CIRCULAR
HO/47/16/14(1)2026-MRD-POD1/I/18580/2026 August 12, 2026
To,
The Managing Directors / Chief Executive Officers,
All Recognised Clearing Corporations having Commodity Derivatives Segment
Sir / Madam,
Subject: Review of Inclusion of Historical Scenarios in Stress Testing for
Commodity Derivatives Segment
1. SEBI Master Circular SEBI/HO/MRD/MRD-PoD-1/P/CIR/2023/136 for Commodity
Derivatives Segment dated Aug 04, 2023, inter alia, prescribes norms related to Core
Settlement Guarantee Fund (SGF). The extant provisions pertaining to applicable value
of Z-Score (for the purpose of stress testing), as provided in paragraph 22 of Annexure
O of the said circular are as follows:
“Core Settlement Guarantee Fund (Core SGF) – Annexure O
22) Standardized Stress Testing for Commodity Derivatives
Part A. Scenarios
Historical Scenarios
1 Peak Historical Return
Price movement in respect of each underlying over the MPOR period during the last 15
years to be considered:
Scenario 1A: Maximum percentage rise over MPOR period
Scenario 1B: Maximum percentage fall over MPOR period
Price movements corresponding to a Z-score of 10 will replace extreme price movements
beyond that threshold in peak historical returns of all the commodities. Mean and sigma
of returns over the applicable MPOR period across 15 years would be used for calculation
of the Z-score.”
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2. SEBI has received representations to review the aforementioned extant provision related
to Z-Score for Commodity Derivatives Market.
3. Based on representations received from stakeholders, recommendation of the Risk
Management Review Committee (RMRC) and public comments received, and with the
objective of facilitating Ease of Doing Business, it has been decided to modify the
provisions contained in Part A (with respect to Z-score) of paragraph 22 (“Standardized
Stress Testing for Commodity Derivatives”) of Annexure O of SEBI Master Circular for
Commodity Derivatives Segment dated Aug 04, 2023, as under:
“Part A. Scenarios
Historical Scenarios
1 Peak Historical Return
.........
Price movements corresponding to a Z-score of 5 will replace extreme price movements
beyond that threshold in peak historical returns of all the commodities. Mean and sigma
of returns over the applicable MPOR period across 15 years would be used for calculation
of the Z-score.”
4. The circular shall come into force with immediate effect.
5. This circular is issued in exercise of the powers conferred under Section 11(1) of the
Securities and Exchange Board of India Act, 1992, read with Regulation 51 of the
Securities Contracts (Regulation) (Stock Exchanges and Clearing Corporations)
Regulations, 2018 to protect the interests of investors in securities and to promote the
development of, and to regulate the securities market.
6. The Circular is issued with the approval of the competent authority.
7. This Circular is available on SEBI website www.sebi.gov.in under the category “Circulars”
and “Info for Commodity Derivatives”.
Yours faithfully,
Neetika Rajpal
Deputy General Manager
Market Regulation Department
Email: neetikar@sebi.gov.in
Phone Number: 022-26449628
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