Quick summary
SEBI has modified the standardized stress testing norms for the Commodity Derivatives Segment. The threshold for replacing extreme price movements in peak historical returns has been reduced from a Z-score of 10 to a Z-score of 5 to facilitate Ease of Doing Business. This change applies to the Core Settlement Guarantee Fund (SGF) framework.
Who is affected
All Recognised Clearing Corporations having Commodity Derivatives Segment.
What changes
Under the "Standardized Stress Testing for Commodity Derivatives" (Annexure O, paragraph 22 of the SEBI Master Circular dated Aug 04, 2023), the Z-score threshold that replaces extreme price movements beyond that threshold in peak historical returns of all commodities has been changed from 10 to 5.
Action items
Not specified in the source.
Key dates-deadlines
August 12, 2026 (Effective immediately).
Source reference
HO/47/16/14(1)2026-MRD-POD1/I/18580/2026, August 12, 2026