SEBI lowers the Z-score limit used for stress testing commodity derivatives to 5 from 10. Under the revised approach, extreme historical price movements are capped at a Z-score of five. This affects how much stress loss is assumed in the standardized framework.
The change is described by outlets as part of SEBI’s updated stress-testing methodology for commodities. NDTV reports that the revision could reduce stress losses and, as a result, lower Core Settlement Guarantee Fund requirements. Economic Times characterizes the move as improving compliance and streamlining processes within the standardized framework, and suggests that price variations linked to the Z-score of five make the requirements easier for market participants.
While both sources align on the key numerical change and its role in the stress-testing framework, they differ in emphasis—one highlights potential financial and fund impacts, while the other focuses on operational and compliance effects for participants.
