SEBI lowers commodity derivatives stress test Z-score limit to 5
SEBI just cut the Z-score limit for stress testing in the commodity derivatives market from 10 to five.
Announced on Wednesday, August 12, 2026, this update is meant to make compliance simpler and easing compliance for market participants.
It's all part of SEBI's standardized stress testing framework prescribed under the Core Settlement Guarantee Fund (Core SGF) for commodity derivatives.
SEBI's rule uses 15-year MPOR returns
Now, instead of using extreme historical price swings, stress tests will use price moves linked to a Z-score of five, with mean and sigma of returns over the applicable MPOR period across 15 years used for calculation of the Z-score.
This should make things less complicated for traders and help everyone focus on realistic risks, not just rare outliers.
The new rule is already in effect, with the objective of facilitating Ease of Doing Business and easing compliance for market participants in the commodity derivatives market.