What Criteria Must Positions Meet to Qualify for Cross-Margining?
To qualify for cross-margining, positions must typically be in the same or highly correlated underlying asset, or be part of a recognized portfolio strategy that exhibits offsetting risk characteristics. They must also be held within the same legal entity and be eligible products approved by the clearing house.
The core criterion is that the net risk of the combined positions is lower than the sum of the individual risks.
