Review of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment)

Review of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment) https://www.taxtmi.com/circulars?id=63493 The circular revises margining for cash and derivatives: cash VaR margins by liquidity group with 6 methodology and specified minima; an Extreme Loss Margin for stocks and broad based ETFs; for derivatives, fixes the EWMA at 0.995, prescribes product specific Price Scan and Volatility Scan Ranges with scaling rules, standardizes Calendar Spread Charges, removes separate short option minimum charge, prescribes product Extreme Loss Margins with special rules for deep OTM and long dated contracts, replaces various crystallized/assignment margins with a consolidated crystallized obligation margin, and imposes additional margins for repeatedly volatile securities. en-us Mon, 24 Feb 2020 00:00:00 +0530 Tue, 25 Feb 2020 15:51:00 +0530 TaxTMI RSS Generator Review of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment) https://www.taxtmi.com/circulars?id=63493 The circular revises margining for cash and derivatives: cash VaR margins by liquidity group with 6 methodology and specified minima; an Extreme Loss Margin for stocks and broad based ETFs; for derivatives, fixes the EWMA at 0.995, prescribes product specific Price Scan and Volatility Scan Ranges with scaling rules, standardizes Calendar Spread Charges, removes separate short option minimum charge, prescribes product Extreme Loss Margins with special rules for deep OTM and long dated contracts, replaces various crystallized/assignment margins with a consolidated crystallized obligation margin, and imposes additional margins for repeatedly volatile securities. Circulars SEBI Mon, 24 Feb 2020 00:00:00 +0530 https://www.taxtmi.com/circulars?id=63493