Diversification, hedging and risk offsets across underlying classes
Article 17
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.