Performance review of the commodity derivatives contracts

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..... e risks. In order to ensure that the derivatives contracts are closely aligned to the physical markets, it is imperative to have a framework to evaluate the performance of these contracts based not merely on statistics regarding delivery and trade volumes but also on the strength of a comprehensive empirical assessment after considering all relevant information, pertaining to the performance of a derivative contract during the relevant period of time. 2. Keeping the above in view and in consultation with the Commodity Derivatives Advisory Committee (CDAC), the following has been decided: 2.1. All recognized stock exchanges shall review the performance of all contracts traded on their exchanges, in commodity derivativ .....

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..... ice of the stock brokers of the Exchange and also to disseminate the same on their website. iii. communicate to SEBI, the status of the implementation of the provisions of this circular. 7. This Circular is available on SEBI website at www.sebi.gov.in under the category Circulars and Info for Commodity Derivatives . Yours faithfully, Vikas Sukhwal General Manager Division of New Products and Market Policy Commodity Derivatives Market Regulation Department [email protected] Annexure I Parameters for Performance Review of Commodity 1. Background a. Brief about the commodity such as sample .....

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..... Top 10 Major producing countries Previous FY Current FY Top 10 Major consuming countries Previous FY Current FY Top 10 Major exporting countries Previous FY Current FY Top 10 Major importing countries Previous FY .....

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..... nnual average as well as maximum daily value) m. Number of unique FPOs / farmers and VCPs/hedgers who traded in the financial year n. Algorithmic trading as percentage of total trading O. Delivery defaults Number of instances Quantity involved Value involved 3. Price movements a. Comparison, correlation and ratio of standard deviation of Exchange futures price vis- -vis international futures price (wherever relevant comparable are available). b. Comparison, correlation and ratio of standard deviation of Exchange futures price vis- -vis international spot price (wherever relevant comparable are available) and domestic spot price (exchange polled pr .....

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