The Securities and Exchange Board of India has revised standardized stress-testing requirements for recognized clearing corporations with commodity derivatives segments. With immediate effect, price movements corresponding to a Z-score of 5, down from 10, will replace movements exceeding that threshold when calculating peak historical return scenarios for the Core Settlement Guarantee Fund. The scenarios capture the maximum percentage rise and fall in each underlying over the applicable margin period of risk during the past 15 years. The mean and standard deviation of returns over that period will continue to be used to calculate the Z-score.
Securities & Exchange Board of India2026-08-12
Securities and Exchange Board of India lowers Z-score threshold from 10 to 5 for commodity derivatives stress tests
The Securities and Exchange Board of India has lowered the Z-score threshold used in commodity derivatives stress tests from 10 to 5 with immediate effect. Movements exceeding the new threshold will be replaced when calculating peak historical return scenarios for clearing corporations’ Core Settlement Guarantee Funds.