6.5	In calculating margin requirements, a CCP may allow offsets or reductions in required margin across products that it clears or between products that it and another CCP clear, if the risk of one product is significantly and reliably correlated with the risk of the other product. Where two or more CCPs are authorised to offer cross-margining, they must have appropriate safeguards and harmonised overall risk-management systems.
For an Individual account (position account) belonging a single beneficial owner, APEX Clear allows the margin offset between the different contracts of the same Product or between the contracts of different products that are significantly and reliably correlated. APEX Clear practices “gross margining” for Omnibus accounts (position accounts), i.e. within the customer or house member unit of a clearing member, there is no margin offset between the positions belonging to two different accounts (position accounts). APEX Clear does not offer cross-margining arrangements with other central counterparties.
6.6	A CCP should analyse and monitor its model performance and overall margin coverage by conducting rigorous daily backtesting and at least monthly, and more-frequent where appropriate, sensitivity analysis. A CCP should regularly conduct an assessment of the theoretical and empirical properties of its margin model for all products it clears. In conducting sensitivity analysis of the model’s coverage, a CCP should take into account a wide range of parameters and assumptions that reflect possible market conditions, including the most- volatile periods that have been experienced by the markets it serves and extreme changes in the correlations between prices.
APEX Clear conducts daily back-testing against realised market movement for a product as well as a given portfolio to ensure that its margining methodology is robust. APEX Clear also reviews margins regularly as well as perform ad-hoc reviews during stressed market conditions. APEX Clear also tests the price correlations between products under stressed periods. APEX Clear performs sensitivity analysis monthly for margin setting on both Clearing Members and Products in terms of margin requirements. Through the analysis, APEX Clear is able to identify the impact to margins under stressed market conditions.
6.7	A CCP should regularly review and validate its margin system.
APEX Clear reviews its margining methodology at least annually or when there are significant market developments or changes in trading patterns. The review: (i) Includes daily back-testing the actual profit/loss outcomes against the theoretical level at the product level, as well as actual portfolio profit & loss against portfolio margin requirements; (ii) Examines the theoretical properties of the margin parameters; (iii) Assesses both historical and foreseeable future conditions, which also includes the recent stress periods after the previous review; and (iv) Examines the adequacy of the underlying model assumptions with respect to the composition of Clearing Members’ portfolios, the risk characteristics of the existing and new products, and the changes in market structure. APEX Clear will enhance or change the methodology if necessary.