NYPC CROSS-MARGINING AGREEMENTCross-Margining Agreement • October 27th, 2010 • New York
This NYPC Cross-Margining Agreement (this “Agreement”) is entered into this [●] day of [●], 2010 by Fixed Income Clearing Corporation (“FICC”), a New York corporation, and New York Portfolio Clearing, LLC (“NYPC”), a Delaware limited liability corporation (FICC and NYPC, each a “Party” and together, the “Parties”).
ContractCross-Margining Agreement • July 17th, 2023
CROSS-MARGINING AGREEMENTCross-Margining Agreement • March 23rd, 2016 • New York
where FOM is the Figure-of-Merit, N is the total number of delta equivalents in the strip, D is the depth of the strip, n is the number of delta equivalents in the ith expiry month, and q is the serial number of the ith expiry quarter (q ranges from 1 to a maximum of 40). The depth of a strip is the serial number of the expiry quarter of the most-deferred contract in the strip . The Treasury Equivalent (TE) of the jth long strip is:
