Review of Margin Period of Risk (MPOR)

On October 14, 2020, the MCXCCL issued a circular (MCXCCL/RISK/250/2020) to review the Margin Period of Risk (MPOR). This circular was a continuation of a previous circular (MCXCCL/RISK/217/2020) that the MCXCCL had issued earlier, on September 18, 2020.

The previous circular laid out the margin framework for the commodity derivatives segment. More specifically, it contained the details of the changes in the minimum Initial Margin (IM), Short Option Minimum Margin (SOMM), minimum MPOR and Volatility Scan Range (VSR) from October 1, 2020.

Following up on that, the latest circular from the MCXCCL (MCXCCL/RISK/250/2020) notified Clearing Members that currently, the VaR (Value at Risk) of all commodities were to be scaled up by their respective Margin Period of Risk (MPOR) for calculating the Internal Margins (IM). Having reviewed the liquidity in all commodities and their variants, the MCXCCL has now decided that for the month of November 2020, there will be no changes in the minimum Margin Period of Risk (MPOR).

So, as per the regulations currently in place, the VaR (Value at Risk) of all commodities will continue to be scaled up by their respective Margin Period of Risk (MPOR) for calculating the Internal Margins (IM).

The minimum Margin Period of Risk (MPOR) applicable to the various commodities were outlined in an annexure attached to the circular, the details of which are as follows.