Intraday VaR margin updates required to align cash market risk management and protect investors. The circular mandates updating VaR margin rates intra-day in the cash market at multiple points using contemporaneous prices, replacing the end-of-day application to next-day positions, to align risk management with the derivative market and enhance investor protection. Stock exchanges must implement the methodology by prescribed dates, amend bye-laws, notify members, disseminate the change, and report implementation status to the regulator; trading is not to be permitted unless the exchange can apply the methodology.
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Provisions expressly mentioned in the judgment/order text.
Intraday VaR margin updates required to align cash market risk management and protect investors.
The circular mandates updating VaR margin rates intra-day in the cash market at multiple points using contemporaneous prices, replacing the end-of-day application to next-day positions, to align risk management with the derivative market and enhance investor protection. Stock exchanges must implement the methodology by prescribed dates, amend bye-laws, notify members, disseminate the change, and report implementation status to the regulator; trading is not to be permitted unless the exchange can apply the methodology.
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