9911796707
TMI BlogReview of norms for investment and disclosure by Mutual Funds in derivativesX X X X Extracts X X X X X X X X Extracts X X X X ..... bring in transparency and clarity in the disclosure of the same to investors, it has been decided to bring in certain modification in the aforesaid circulars. Exposure Limits 3. The cumulative gross exposure through equity, debt and derivative positions should not exceed 100% of the net assets of the scheme. 4. Mutual Funds shall not write options or purchase instruments with embedded written options. 5. The total exposure related to option premium paid must not exceed 20% of the net assets of the scheme. 6. Cash or cash equivalents with residual maturity of less than 91 days may be treated as not creating any exposure. 7. Exposure due to hedging positions may not be included in the above mentioned limits subject to the ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... hat may occur on a position. However, certain derivative positions may theoretically have unlimited possible loss. Exposure in derivative positions shall be computed as follows: Position Exposure Long Future Futures Price * Lot Size * Number of Contracts Short Future Futures Price * Lot Size * Number of Contracts Option bought Option Premium Paid * Lot Size * Number of Contracts. Disclosure of derivatives in Half Yearly Portfolios 11. The manner of disclosure of derivatives position in half yearly portfolio disclosure reports has not been specified in the SEBI (Mutual Fund ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ity of existing position being hedged) shall be reported in the next table. Other than Hedging Positions through Futures as on Underlying Long / Short Futures Price when purchased Current price of the contract Margin maintained in Rs. Lakhs Total exposure due to futures (non hedging positions) as a %age of net assets For the period ended specify the following for non-hedging transactions through futures which have been squared off/expired Total Number of contracts where futures were bought Total Number of ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... For the period ended with regard to non-hedging transactions through options which have already been exercised/expired specify: Total Number of contracts entered into Gross Notional Value of contracts Net Profit/Loss on all contracts (treat premium paid as loss) Hedging Positions through swaps as on Swaps should be disclosed separately as two notional positions in the underlying security with relevant maturities. For example, an interest rate swap under which a mutual fund is receiving floating rate interest and paying fixed rate will be treated as a long position in a floating rate instrument of maturity equivalent to the period until the next interest fixing and a short position in a fixed rate ..... X X X X Extracts X X X X X X X X Extracts X X X X
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