Norms for investment and disclosure by mutual funds in derivatives

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....for investment and disclosure by mutual funds in derivatives 1. This has reference to SEBI Circular no. Cir/IMD/DF/11/2010, dated August 18, 2010 on Review of norms for investment and disclosure by Mutual Funds in derivatives. 2. Mutual Fund schemes are permitted to undertake transactions in equity derivatives in accordance with the exposure limits specified in the above mentioned circular. ....

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....a scheme shall not exceed 15% of the total market value of equity shares held in that scheme. b. The total number of shares underlying the call options written shall not exceed 30% of the unencumbered shares of a particular company held in the scheme. The unencumbered shares in a scheme shall mean shares that are not part of Securities Lending and Borrowing Mechanism (SLBM), margin or any other....

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.... The premium received shall be within the requirements prescribed in terms of paragraph 5 of SEBI circular dated August 18, 2010 i.e. the total gross exposure related to option premium paid and received must not exceed 20% of the net assets of the scheme. g. The exposure on account of the call option written under the covered call strategy shall not be considered as exposure in terms of paragra....

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....         Call options written as percentage of total market value of equity shares held in the scheme For the period ended ... specify the following for call options written which have already been exercised/expired • Total Number of contracts entered into • Gross Notional Value of contracts • Net Profit/Loss on all con....