TFX Announces Application of Intraday Additional Margin Call

Today, Tokyo Financial Exchange (TFX) applied the Intraday Additional Margin Call of Interest-rate Futures contracts for the first time since 17 March 2020.

TFX usually calculates margin requirements based on the SPAN® margin system, which accommodates a certain range of price fluctuations of futures contracts traded under a normal circumstance.

However, when the market moves out of this range, TFX determines the intraday settlement price for the futures contracts at the end of its morning session (11:30 am Tokyo Time), and calculates intraday additional margin requirements based on positions carried by a member at the time. TFX then requests additional deposits from a member whose margin deposits are less than the amount required by the Intraday Additional Margin Call.

The Intraday Additional Margin Call is triggered when changes in price of the leading contract month (currently DEC 2022 contract) traded at TFX exceed a range of price fluctuations set by TFX (currently 3.0 ticks, or 0.030%) at 11:25 am Tokyo Time, 5 minutes before the end of its morning session.

SPAN® is registered trademarks of the CME. All the rights pertaining to SPAN® are held by the CME, from which TFX has obtained permission for their use. However, the CME assumes no liability in connection with the use of SPAN® by any person or entity.