Risk management framework standardises margining, collateral and capital safeguards for national commodity derivatives exchanges. The circular mandates a harmonised risk management framework for national commodity derivatives exchanges requiring specified categories of liquid assets with haircut and concentration limits, and real time valuation and liquidation arrangements. It prescribes a uniform margining regime: VaR based Initial Margin computed at client portfolio level, an Extreme Loss Margin on gross open positions, additional and pre expiry/delivery margins, daily cash mark to market settlement, upfront collection of IM and ELM from clients, and online real time deduction from clearing members' liquid assets.
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Risk management framework standardises margining, collateral and capital safeguards for national commodity derivatives exchanges.
The circular mandates a harmonised risk management framework for national commodity derivatives exchanges requiring specified categories of liquid assets with haircut and concentration limits, and real time valuation and liquidation arrangements. It prescribes a uniform margining regime: VaR based Initial Margin computed at client portfolio level, an Extreme Loss Margin on gross open positions, additional and pre expiry/delivery margins, daily cash mark to market settlement, upfront collection of IM and ELM from clients, and online real time deduction from clearing members' liquid assets.
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