Review of risk management framework for Equity Derivatives Segment

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....) Madam/Sir Review of risk management framework for Equity Derivatives Segment The Principles for Financial Market Infrastructures (PFMI) inter alia prescribe that a central counterparty (CCP) should identify and consider a number of elements, including Margin Period of Risk (MPOR) or close-out period, when constructing an appropriate margin system to address risks that arise from the pro....

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....o. 3. In order to bring MPOR in greater conformity with the PFMI, the Risk Management Review Committee (RMRC) of SEBI recommended that the MPOR may be increased to 2 (two) days as compared to current MPOR of 1 (one) day. 4. SEBI circular SEBI/DNPD/Cir-26/2004/07/16 dated July 16, 2004 inter alia prescribes that the Stock Exchanges/ Clearing Corporations may offer a choice to the members to o....

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....te PSR for computation of initial margins across index options and index futures contracts as three standard deviations (3σ) or 5% of the underlying value, whichever is higher. The Short Option Minimum Charge (SOMC) for index option contracts also stands revised to 5%. 7. Additionally, in order to make risk management framework more robust, the payment of MTM shall now mandatorily be made....