Comprehensive Risk Management Framework for Electronic Gold Receipts (EGR) segment

Risk management framework for Electronic Gold Receipts mandates VaR, extreme loss margins, collateral rules and T+1 settlement.

The circular mandates a risk management framework for the EGR segment requiring members to deposit liquid assets with the Clearing Corporation to cover MTM losses, a 99.9% VaR margin and a minimum Extreme Loss Margin, with daily valuation, prescribed asset haircuts, concentration limits, and rules for upfront collection on gross open positions. It sets operational rules for early pay-in, T+1 rolling settlement, auctions and close-out pricing, reporting and penalties for short/non-collection of client margins, segregation and pledge of EGR, a dedicated Core Settlement Guarantee Fund and stress-testing and default waterfall obligations for Clearing Corporations.