Agri Business

SEBI tweaks stress-test method for commodity derivatives

New Delhi | Updated on July 12, 2018 Published on July 12, 2018

Markets regulator SEBI has modified the methodology for daily stress testing for commodity derivatives as part of strengthening the risk management system.

Clearing corporations carry out stress tests to evaluate risks and possible impact on the settlement guarantee fund in various scenarios for commodity derivatives segment.

Being modified

In a circular, the Securities and Exchange Board of India (SEBI) said the methodology is being modified in light of the different features and concerns of commodity derivatives markets.

Further, the regulator has asked clearing corporations to use the modified method for carrying out the daily stress tests within three months.

The stress test pertains to Minimum Required Corpus (MRC) of core Settlement Guarantee Fund (SGF).

The regulator has fixed minimum threshold value of MRC for commodity derivatives segment of any stock exchanges at ₹10 crore.

Published on July 12, 2018
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