Alternate Risk Management Framework mandates alternative margining and pricing when commodity futures approach near zero or negative prices. An Alternate Risk Management Framework applies when commodity futures approach near zero or negative prices: activation follows CC review upon specified triggers; prices are modelled as normally distributed with EWMA volatility on absolute price differences; initial margin floors include an absolute currency floor plus percentage floor on absolute prices; spread margin benefits are withdrawn; option pricing models suitable for negative underlyings are used; pre expiry and Extreme Loss Margins may be levied; deactivation requires cessation of triggers, time lag, exit thresholds, and margin convergence.
Cases where this provision is explicitly mentioned in the judgment/order text; may not be exhaustive. To view the complete list of cases mentioning this section, Click here.
Provisions expressly mentioned in the judgment/order text.
Alternate Risk Management Framework mandates alternative margining and pricing when commodity futures approach near zero or negative prices.
An Alternate Risk Management Framework applies when commodity futures approach near zero or negative prices: activation follows CC review upon specified triggers; prices are modelled as normally distributed with EWMA volatility on absolute price differences; initial margin floors include an absolute currency floor plus percentage floor on absolute prices; spread margin benefits are withdrawn; option pricing models suitable for negative underlyings are used; pre expiry and Extreme Loss Margins may be levied; deactivation requires cessation of triggers, time lag, exit thresholds, and margin convergence.
Full Summary is available for active users!
Note: It is a system-generated summary and is for quick reference only.
TaxTMI 
of 
TaxTMI 
