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🔗 Back to Summary. 🇫🇷 French Version: 2016R2251_FR.17. Back to Summary of LVL1. Open the PDF. Direct link to EUR-LEX.
Article 16 – Calibration of the parameters of the model ⬅️ | ➡️ Article 18 – Qualitative requirements
Article 17 - Diversification, hedging and risk offsets across underlying classes
1.
Initial margin models shall only include non-centrally cleared OTC derivative contracts within the same netting set. Initial margin models may provide for diversification, hedging and risk offsets arising from the risks of the contracts within the same netting set, provided that the diversification, hedging or risk offset is only carried out within the same underlying asset class as referred to in paragraph 2.
2.
For the purposes of paragraph 1, diversification, hedging and risk offsets may only be carried out within the following underlying asset classes:
(a)
interest rates, currency and inflation;
(b)
equity;
(c)
credit;
(d)
commodities and gold;
(e)
other.