Value at Risk margin: rolling settlement mandates VaR based margins, additional volatility surcharge, and gross margining across cash market. Introduction of a Value At Risk (VaR) based margin framework for securities in the compulsory rolling settlement: exchanges must compute scrip wise VaR and index based VaR and apply the higher as margin (multiplier not less than 1.75, capped at 100%), collect VaR margins on T+1 alongside mark to market margins, apply an additional 12% surcharge for extreme events, disseminate daily VaR data, and maintain existing capital and exposure norms.
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Provisions expressly mentioned in the judgment/order text.
Value at Risk margin: rolling settlement mandates VaR based margins, additional volatility surcharge, and gross margining across cash market.
Introduction of a Value At Risk (VaR) based margin framework for securities in the compulsory rolling settlement: exchanges must compute scrip wise VaR and index based VaR and apply the higher as margin (multiplier not less than 1.75, capped at 100%), collect VaR margins on T+1 alongside mark to market margins, apply an additional 12% surcharge for extreme events, disseminate daily VaR data, and maintain existing capital and exposure norms.
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