https://www.taxtmi.com/circulars?id=64322 An Alternate Risk Management Framework applies when commodity futures approach near zero or negative prices: activation follows CC review upon specified triggers; prices are modelled as normally distributed with EWMA volatility on absolute price differences; initial margin floors include an absolute currency floor plus percentage floor on absolute prices; spread margin benefits are withdrawn; option pricing models suitable for negative underlyings are used; pre expiry and Extreme Loss Margins may be levied; deactivation requires cessation of triggers, time lag, exit thresholds, and margin convergence. en-us Mon, 21 Sep 2020 00:00:00 +0530 Mon, 21 Sep 2020 18:09:00 +0530 TaxTMI RSS Generator https://www.taxtmi.com/circulars?id=64322 An Alternate Risk Management Framework applies when commodity futures approach near zero or negative prices: activation follows CC review upon specified triggers; prices are modelled as normally distributed with EWMA volatility on absolute price differences; initial margin floors include an absolute currency floor plus percentage floor on absolute prices; spread margin benefits are withdrawn; option pricing models suitable for negative underlyings are used; pre expiry and Extreme Loss Margins may be levied; deactivation requires cessation of triggers, time lag, exit thresholds, and margin convergence. Circulars SEBI Mon, 21 Sep 2020 00:00:00 +0530 https://www.taxtmi.com/circulars?id=64322