Cross margin benefit between commodity index futures and constituent futures reduces initial margin for eligible offsetting positions. Cross margin benefit between commodity index futures and constituent futures permits reduction in initial margin for eligible offsetting positions while Extreme Loss Margin and Mark to Market margins continue to apply. The benefit must be computed at the client level in real time and passed to the client. Eligibility is limited to contracts in the same or nearest expiry month among the first three expiries and the benefit must be withdrawn by tender period start or expiry. Clearing Corporations may introduce cross margin after six months of back testing proving post benefit initial margin covers MTM on at least 99% of days, and must have default and liability allocation arrangements.
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Provisions expressly mentioned in the judgment/order text.
Cross margin benefit between commodity index futures and constituent futures reduces initial margin for eligible offsetting positions.
Cross margin benefit between commodity index futures and constituent futures permits reduction in initial margin for eligible offsetting positions while Extreme Loss Margin and Mark to Market margins continue to apply. The benefit must be computed at the client level in real time and passed to the client. Eligibility is limited to contracts in the same or nearest expiry month among the first three expiries and the benefit must be withdrawn by tender period start or expiry. Clearing Corporations may introduce cross margin after six months of back testing proving post benefit initial margin covers MTM on at least 99% of days, and must have default and liability allocation arrangements.
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