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Performance review of the commodity derivatives contracts

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..... mework to evaluate the performance of these contracts based not merely on statistics regarding delivery and trade volumes but also on the strength of a comprehensive empirical assessment after considering all relevant information, pertaining to the performance of a derivative contract during the relevant period of time. 2. Keeping the above in view and in consultation with the Commodity Derivatives Advisory Committee (CDAC), the following has been decided: 2.1. All recognized stock exchanges shall review the performance of all contracts traded on their exchanges, in commodity derivatives segment, as per the parameters laid down in the Circular. 2.2. The said performance review shall be consulted with the Product Advisory Committee (PAC) con .....

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..... r the category Circulars and Info for Commodity Derivatives . Yours faithfully, Vikas Sukhwal General Manager Division of New Products and Market Policy Commodity Derivatives Market Regulation Department vikass@sebi.gov.in Annexure I Parameters for Performance Review of Commodity 1. Background a. Brief about the commodity such as sample picture, lifecycle and various varieties/grade of the commodity found in India b. Commodity fundamentals and balance sheet as per the following format (to be prepared based on publicly available information on best effort basis): Table - Fundamentals & Balance sheet (quantity) Global Scenario Previous FY Current FY Opening Stocks Production Others (if any) Consumption Closing Stocks Indian Scenario Previ .....

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..... ue) m. Number of unique FPOs / farmers and VCPs/hedgers who traded in the financial year n. Algorithmic trading as percentage of total trading O. Delivery defaults Number of instances Quantity involved Value involved 3. Price movements a. Comparison, correlation and ratio of standard deviation of Exchange futures price vis-à-vis international futures price (wherever relevant comparable are available). b. Comparison, correlation and ratio of standard deviation of Exchange futures price vis-à-vis international spot price (wherever relevant comparable are available) and domestic spot price (exchange polled price). c. Correlation between exchange futures & domestic spot prices along with ratio of standard deviation. d. Correla .....

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