Intra-day crystallised losses to be real-time blocked from free collateral, triggering risk-reduction if insufficient collateral. Intra-day crystallised losses on transactions subject to upfront margining must be monitored and blocked in real time from a member's free collateral, with client-level offset against crystallised profits permitted; losses are to be calculated on weighted average prices and not adjusted from exposure free liquid networth. If losses exceed available free collateral, the member must be placed into risk reduction mode as specified by the regulator. Clearing Corporations must implement these measures within three months, notify members, publish the provisions, and report implementation status in monthly development reports.
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Provisions expressly mentioned in the judgment/order text.
Intra-day crystallised losses to be real-time blocked from free collateral, triggering risk-reduction if insufficient collateral.
Intra-day crystallised losses on transactions subject to upfront margining must be monitored and blocked in real time from a member's free collateral, with client-level offset against crystallised profits permitted; losses are to be calculated on weighted average prices and not adjusted from exposure free liquid networth. If losses exceed available free collateral, the member must be placed into risk reduction mode as specified by the regulator. Clearing Corporations must implement these measures within three months, notify members, publish the provisions, and report implementation status in monthly development reports.
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