383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 17 Narrow-based security index [Initial Margin Requirement] 5% of the current market value of the long (short) basket of security futures. 5% of the current market value of the long (short) basket of security futures. [Description of Offset] 
Long (short) a basket of security futures, each based on a narrow-based security index that together tracks the broad-based index and short (long) a broad based-index future
Final Rule: Customer Margin Rules Relating to Security Futures