Tiffe's Libor-Tibor spreads debut

The Tokyo International Financial Futures Exchange (Tiffe) has launched Libor-Tibor spreads (L-T spreads) today, as well as expanding the contract month cycle of the three-month euroyen Libor futures from a five-month-cycle to a 12-month-cycle.

L-T spreads enable members and customers to trade at the price spread between Libor-based three-month euroyen futures and Tibor-based three-month Euroyen futures of the same contract month. Once the trade is matched, each leg of the L-T spread is divided into one underlying euroyen Libor future and one euroyen future on the same contract month, allowing simultaneous trading of euroyen Libor futures and Euroyen futures without legging risk with a single order entry.

With the extension of the Euroyen Libor futures contract month cycle to a 12-month-cycle, participants are able to trade up to 12 combinations of L-T spreads.

Tiffe has also announced that its three-month Euroyen futures September 2001 contract hit a high of 99.935 – the highest price since the commencement of three-month Euroyen Futures in 1989 – so the three-month Euroyen interest rate from mid-September is expected to be 0.065%.