The Multi Commodity Exchange Clearing Corporation Ltd. (MCX), on September 17, 2024, issued a notification regarding the Review of Margin Period of Risk (MPOR).
Currently, for the calculation of Initial Margins, the VaR (Value at Risk) for all commodities is adjusted based on their respective MPOR (Margin Period of Risk) as outlined in Circular No. MCXCCL/RISK/207/2024 dated August 20, 2024. The MPOR serves as a risk measure reflecting the liquidity or liquidation risk in commodity contracts. After reviewing the liquidity of all commodities and their variants, MCXCCL has determined the minimum MPOR for October 2024. Consequently, for Initial Margin computation, the VaR for each commodity will be scaled according to its corresponding MPOR, as detailed in Annexure - 1.
[Notification No. MCX/MCXCCL/607/2024]
