383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 18 Individual stock and narrow-based security index [Initial Margin Requirement] The greater of: (1) 5% of the current market value of the long security future(s); or (2) 5% of the current market value of the short security future(s). The greater of: (1) 5% of the current market value of the long security future(s); or (2) 5% of the current market value of the short security future(s). [Description of Offset] 
Long (short) a basket of security futures that together tracks a narrow-based index and short (long) a narrow based-index future
Final Rule: Customer Margin Rules Relating to Security Futures