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TMI BlogReview of risk management framework for Equity Derivatives SegmentX X X X Extracts X X X X X X X X Extracts X X X X ..... w of risk management framework for Equity Derivatives Segment The Principles for Financial Market Infrastructures (PFMI) inter alia prescribe that a central counterparty (CCP) should identify and consider a number of elements, including Margin Period of Risk (MPOR) or close-out period, when constructing an appropriate margin system to address risks that arise from the products cleared. The ass ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ring MPOR in greater conformity with the PFMI, the Risk Management Review Committee (RMRC) of SEBI recommended that the MPOR may be increased to 2 (two) days as compared to current MPOR of 1 (one) day. 4. SEBI circular SEBI/DNPD/Cir-26/2004/07/16 dated July 16, 2004 inter alia prescribes that the Stock Exchanges/ Clearing Corporations may offer a choice to the members to opt for payment of mark ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... of initial margins across index options and index futures contracts as three standard deviations (3 ) or 5% of the underlying value, whichever is higher. The Short Option Minimum Charge (SOMC) for index option contracts also stands revised to 5%. 7. Additionally, in order to make risk management framework more robust, the payment of MTM shall now mandatorily be made by all the members on T+0 b ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... n securities and to promote the development of, and to regulate the securities market. This circular is available on SEBI website at www.sebi.gov.in under the category Circulars . Yours faithfully (Sanjay Purao) General Manager Market Regulation Department Division of Risk Management and New Products E-mail: [email protected] - Circular - Trade Notice - Pub ..... X X X X Extracts X X X X X X X X Extracts X X X X
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