Exchange Traded Derivatives: standardized product rules with stringent margining, collateral, exposure limits and surveillance requirements. Consolidated SEBI master circular prescribes standardized product specifications and a uniform risk management framework for exchange traded derivatives: portfolio based initial margins covering 99% one day VaR using EWMA volatility, minimum margin floors, calendar spread and short option minimum charges, extreme loss margins, real time application of scenario values, defined liquid assets and haircuts, limits on bank and issuer exposures, client fund segregation, cross margining rules, and mandatory surveillance, position limits, reporting and eligibility requirements for exchanges, clearing corporations and members.
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Exchange Traded Derivatives: standardized product rules with stringent margining, collateral, exposure limits and surveillance requirements.
Consolidated SEBI master circular prescribes standardized product specifications and a uniform risk management framework for exchange traded derivatives: portfolio based initial margins covering 99% one day VaR using EWMA volatility, minimum margin floors, calendar spread and short option minimum charges, extreme loss margins, real time application of scenario values, defined liquid assets and haircuts, limits on bank and issuer exposures, client fund segregation, cross margining rules, and mandatory surveillance, position limits, reporting and eligibility requirements for exchanges, clearing corporations and members.
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