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of <h1>SEBI Updates ETF Risk Management: Introduces VaR Margin Methodology and Cross-Margining for Broad-Based Index ETFs.</h1> The circular issued by SEBI addresses updates to the risk management framework concerning Exchange Traded Funds (ETFs). It introduces the use of the Value at Risk (VaR) methodology for margin computation on index ETFs, setting the margin at the higher of 5% or three times the ETF's sigma. This revised framework applies to ETFs tracking broad-based indices, excluding sectoral indices. Additionally, a cross-margining facility is introduced for offsetting positions involving ETFs based on equity indices and their constituent stocks. Stock exchanges are instructed to implement these changes, amend relevant regulations, and inform member brokers. This circular aims to protect investors and regulate the securities market.
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