TaxTMI 
TaxTMI 
Framework for Corporate Debt Market Development Fund (CDMDF)
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.... 2. CDMDF shall comply with the Guarantee Scheme for Corporate Debt (GSCD) as notified by Ministry of Finance vide notification no. G.S.R. 559(E) dated July 26, 2023, which includes the Framework for Corporate Debt Market Development Fund. 3. In addition to the abovementioned scheme as mentioned at para 2 above, CDMDF shall comply with following: 3.1. The fund shall deal only in following securities during normal times: • Low duration Government Securities • Treasury bills • Tri-party Repo on G-sec • Guaranteed corporate bond repo with maturity not exceeding 7 days. 3.2. The fees and expenses of the Fund shall be as follows: • During Normal times: (0.15% + tax) of the Portfolio Value charged on daily pro-rata basis. • During Market stress: (0.20% + tax) of the Portfolio Value charged on daily pro-rata basis. • "Portfolio Value" means the aggregate amount of portfolio of investments including cash balance without netting off of leverage undertaken by the Fund. Clarification: i. The taxes as mentioned above shall include all kinds of taxes. ii. Transaction costs on....
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....urities market. 5. This Circular is available at www.sebi.gov.in under the link "Legal > Circulars". Yours faithfully, Lakshaya Chawla Deputy General Manager Tel no.: 022-26449369 Email: [email protected] Annexure A Approach to purchase pricing: 1. While it may not be possible to pre-empt the events and scenarios prevailing at the point of time when purchase of securities is being undertaken by CDMDF, the investment policy may provide for following indicative factors for determining purchase price of corporate debt securities: a. Valuation policies prescribed for Mutual Funds (based on the principles of fair valuation). b. Previous day's valuation of securities by valuation agencies before the date of Purchase. c. Average 10 days valuation prior to start of market dislocation. d. Mark-up in yield over previous day may be limited to arrive at floor price. For eg: it may be 25/50/75 bps over AAA/AA/Below AA securities respectively. e. Consideration of Spread over benchmark/ spread over sovereign yields. f. Qualitative factors that may have bearing on arriving at fair price. 2. T....
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....0% of the consideration is in the form of units of CDMDF, called A3 units) B. Daily NAV should reflect the fair value of each unit class including the effect of differential treatment of A3 unit class. The loss waterfall based on CDMDF Framework is as follows: Level of loss absorption Particulars Hereinafter referred as 1st Up to 10% by MF schemes selling debt securities to the Fund (i.e., equivalent to the units outstanding of the selling MF schemes issued to them against sale of securities to CDMDF) Class A3 units 2nd Contribution of specified debt oriented MF Schemes and AMCs Class A1 and A2 units 3rd Government Guarantee NA C. The following process shall be followed: 1. All profits/losses/income/gains/expenses to be apportioned to A1 and A2 unit class in ratio of their AUM during the normal times. 2. A3 units to be allotted at the same NAV as that of A1 & A2 at the time of opening of market dislocation. 3. All profits/losses/income/gains/expenses (including cost of leverage) to be apportioned to all the 3 class of units during the market dislocation and subsequently till A3 units exits (i.e A1/A2/A3), except t....
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.... Number of units Scenario -1 Investment A1 A2 A3 1,000 1,000 Total GSEC/CBLO 2,000 MD-INVT A3 Situation 10.00 10.00 100 100 MTM Gain 5 5 NAV of the unit 10.05 10.05 NAV of the Corpus 1,005 1.005 Scenario -2 2,000 2,010 10 2,010 -4 MTM Loss NAV of the unit 10.01 10.01 NAV of the corpus 1,001 1.001 2,002 Scenario -3 Realised gain 2 2 NAV of the unit 10.03 10.03 NAV of the Corpus 1,003 1,003 Scenario -4 Realised loss NAV of the unit NAV of the corpus -1 -1 10.02 1,002 10.02 1,002 Scenario -5 Opening NAV of the Corpus 1.002 1,002 Number of opening units 100 Opening NAV of the unit 10.02 100 10.02 Additional Capital 2,006 -2 2,004 2,002 Investment in Government Securities and T-Bills MTM Gain is proportionately allocated to all the unit holders (except A3 doesn't exist as of now) Investment in Government Securities and T-Bills MTM loss is proportionately allocated to all the unit holders (except A3 doesn't exist as of now) System System driven calc....
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.... drop below their opening NAV of Rs. 10.02 till A3 NAV is positive 1,300 Realised Loss Realised Loss gets apportioned to all the unit class system driven except the FA needs to now start monitoring the NAV of A1 and A2 should not drop below their opening NAV of Rs. 10.02 till A3 NAV is positive 1,300 Significant MTM loss with the loss getting apportioned to all the 3 unit classes, the NAV of A1 and A2 is falling below their opening NAV f 10.020 Manual working and intervention required 888 1,300 Scenario -10 MTM loss 888 -9.1 -9.1 -1.8 -20 NAV of the unit NAV of the corpus 9.95 9.95 9.95 995 995 199 2.188 Manual working and adjustment to be carried out Current NAV of units 10.04 10.04 Less: Protection to opening NAV 10.02 10.02 Surplus to absorb the w/off 0.02 0.02 Number of units 100 100 Loss to be absorbed by A1 and A2 1.82 1.82 3.64 NAV post the loss absorption 10.02 10.02 Unabsorbed loss entirely to A3 -16.36 -16.36 Corpus NAV of A3 units post absorbing the waterfall loss 184 A3 class unit NAV post absorbing the wate....