https://www.taxtmi.com/circulars?id=57789 Exchanges may grant initial margin benefit on spread positions only if the coefficient of correlation between futures prices is at least 0.90, back testing over a minimum of 250 trading days shows post benefit initial margin covers mark to market on at least 99% of days, and each contract in the spread is among the first three expiring contracts; maximum initial margin benefit is capped at 50% and no ELM benefit is permitted (ELM charged on both legs), with mandatory monitoring and withdrawal by tender period or expiry day. en-us Tue, 20 Mar 2018 00:00:00 +0530 Thu, 29 Nov 2018 10:30:00 +0530 TaxTMI RSS Generator https://www.taxtmi.com/circulars?id=57789 Exchanges may grant initial margin benefit on spread positions only if the coefficient of correlation between futures prices is at least 0.90, back testing over a minimum of 250 trading days shows post benefit initial margin covers mark to market on at least 99% of days, and each contract in the spread is among the first three expiring contracts; maximum initial margin benefit is capped at 50% and no ELM benefit is permitted (ELM charged on both legs), with mandatory monitoring and withdrawal by tender period or expiry day. Circulars SEBI Tue, 20 Mar 2018 00:00:00 +0530 https://www.taxtmi.com/circulars?id=57789