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TMI BlogParticipation of mutual funds in Credit Default Swaps (CDS) Market as Users (“Protection Buyers”) and in repo, in corporate debt securitiesX X X X Extracts X X X X X X X X Extracts X X X X ..... ay 23, 2011, has issued the Guidelines on Credit Default Swaps for Corporate Bonds . 2. It has been decided to permit mutual funds to participate in CDS market, as per the guidelines issued by RBI from time to time, subject to the following conditions: a. Mutual funds shall participate in CDS transactions only as users (protection buyer). Thus, mutual funds are permitted to buy credit protection only to hedge their credit risk on corporate bonds they hold. They shall not be allowed to sell protection and hence not permitted to enter into short positions in the CDS contracts. However, they shall be permitted to exit their bought CDS positions, subject to para 2(d) below. b. Mutual funds can participate as users in CDS for the eligi ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... close the details of CDS transactions of the scheme in corporate debt securities in the monthly portfolio statements as well as in the half yearly trustee report, as per the format placed at Annexure-A. Further, mutual funds shall disclose the schemewise details of CDS transactions in the notes to the accounts of annual report of the mutual fund as per the format placed at Annexure-B. 3. Mutual funds participating in CDS transactions, as users, shall be required to comply with the guidelines issued by RBI, vide notification no. IDMD.PCD.No.5053/14.03.04/2010-11 dated May 23, 2011 and subsequent guidelines issued by RBI and SEBI from time to time. B. Participation of mutual funds in repo in corporate debt securities 1. SEBI vide c ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... Amount (FV) Residual Maturity Amount Tenor Price/ Spread (bps) Premium paid (Amount in Rs. crore, Residual Maturity/Tenor in years) Annexure-B Format for disclosure to be made in the notes to account of annual report of the mutual funds 1. No. of transactions during the year 2. Amount of protection bought during the year 3. No. of transactions where credit event payment was received during the year: a. Pertaining to ..... X X X X Extracts X X X X X X X X Extracts X X X X
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