Cut-off time for margin collection set at 5pm, applying RPF to end-of-day client portfolios to compute minimum margins. For commodity derivative contracts with trading beyond 5:00 PM, a 5:00 PM cut-off shall determine the minimum threshold of margins to be collected by members: the Risk Parameter File generated at that cut-off will be applied to clients' end-of-day portfolios to compute minimum margin, and end-of-day portfolios shall be valued for Extreme Loss Margin using the half-hour weighted average trade price at the cut-off. Contracts trading until 5:00 PM will have margin collection on an end-of-day basis; clearing corporation-member margin norms remain unchanged.
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Provisions expressly mentioned in the judgment/order text.
Cut-off time for margin collection set at 5pm, applying RPF to end-of-day client portfolios to compute minimum margins.
For commodity derivative contracts with trading beyond 5:00 PM, a 5:00 PM cut-off shall determine the minimum threshold of margins to be collected by members: the Risk Parameter File generated at that cut-off will be applied to clients' end-of-day portfolios to compute minimum margin, and end-of-day portfolios shall be valued for Extreme Loss Margin using the half-hour weighted average trade price at the cut-off. Contracts trading until 5:00 PM will have margin collection on an end-of-day basis; clearing corporation-member margin norms remain unchanged.
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