Appendix A: Amounts outstanding of over the counter derivatives ( By risk Category and instruments)
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1 Appendix A: Amounts outstanding of over the counter derivatives ( By risk Category and instruments) By risk category and instrument (In billions of US dollars) Notional Amount Outstanding Gross Market Values Risk Category / Instrument Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 370, , , , ,725 9,949 9,691 11,140 15,813 20,353 Foreign exchange contracts 38,127 40,271 48,645 56,238 62,983 1,136 1,266 1,345 1,807 2,262 Forwards and forex swaps 19,407 19,882 24,530 29,144 31, Currency swaps 9,696 10,792 12,312 14,347 16, ,071 Options 9,024 9,597 11,804 12,748 14, Interest rate contracts 262, , , , ,304 5,445 4,826 6,063 7,177 9,263 Forward rate agreements 18,117 18,668 22,809 26,599 39, Interest rate swaps 207, , , , ,772 4,840 4,163 5,321 6,183 8,056 Options 36,821 43,221 52,288 56,951 62, ,120 Equity-linked contracts 6,782 7,488 8,590 8,469 10, ,116 1,142 1,146 Forwards and swaps 1,430 1,767 2,470 2,233 2, Options 5,351 5,720 6,119 6,236 7, Commodity contracts 6,394 7,115 7,567 8,455 13, ,899 2,209 Gold Other commodities 5,938 6,475 7,141 7,861 12, ,829 2,142 Forwards and swaps 2,188 2,813 3,447 5,085 7,561 Options 3,750 3,663 3,694 2,776 5,019 Credit default swaps 20,352 28,650 42,580 57,894 57, ,002 3,172 Single-name instruments 13,873 17,879 24,239 32,246 33, ,143 1,889 Multi-name instruments 6,479 10,771 18,341 25,648 23, ,283 Unallocated 35,997 39,740 61,713 71,146 81,708 1,685 1,609 1,259 1,788 2,301 Memorandum Item: Gross Credit Exposure 2,032 2,036 2,672 3,256 3,859 (Source: Bank for International Settlements) 239
2 Appendix B: Amounts outstanding of over the counter Foreign exchange derivatives ( By instrument and counter-party). By risk category and instrument (In billions of US dollars) Notional Amount Outstanding Gross Market Values Instrument / counterparty Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 38,127 40,271 48,645 56,238 62,983 1,136 1,266 1,345 1,807 2,262 reporting dealers 15,306 15,532 19,173 21,334 24, other financial institutions 15,123 16,023 19,144 24,357 26, non-financial customers 7,698 8,716 10,329 10,548 11, Outright forwards and foreign exchange swaps 19,407 19,882 24,530 29,144 31, reporting dealers 7,301 6,914 8,800 9,899 10, other financial institutions 7,758 8,206 10,010 13,102 14, non-financial customers 4,347 4,763 5,720 6,143 6, Currency swaps 9,696 10,792 12,312 14,347 16, ,071 reporting dealers 3,770 4,121 4,909 5,487 6, other financial institutions 4,247 4,594 5,262 6,625 7, non-financial customers 1,679 2,077 2,141 2,234 2, Options 9,024 9,597 11,804 12,748 14, reporting dealers 4,234 4,498 5,464 5,948 7, other financial institutions 3,118 3,223 3,872 4,629 4, non-financial customers 1,672 1,876 2,468 2,171 2, (Source: Bank for International Settlements) 240
3 Appendix C: Amounts outstanding of over the counter foreign exchange derivatives ( By currency) By currency In billions of US dollars Notional Amount Outstanding Gross Market Values Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 All currencies 38,127 40,271 48,645 56,238 62,983 1,136 1,266 1,345 1,807 2,262 Australian dollar 1,683 1,502 2,030 2,227 2, Canadian dollar 1,674 1,768 2,239 2,404 2, Danish krone Euro 15,344 16,037 18,280 21,806 25, ,010 Hong Kong dollar Japanese yen 9,536 9,490 10,602 12,857 13, New Zealand dollar Norwegian krone Pound sterling 5,217 6,135 7,770 7,979 8, Swedish krona 1,172 1,220 1,390 1,525 1, Swiss franc 2,096 2,311 3,056 3,662 3, Thai baht US dollar 31,791 33,755 40,513 46,947 52, ,069 1,112 1,471 1,838 Other 6,715 7,210 9,896 11,358 14, (Source: Bank for International Settlements) 241
4 Appendix D : Amounts outstanding of over the counter Foreign exchange derivatives ( By instrument and maturity) By instrument and maturity in billions of US dollars All Counterparties Reporting Dealers Instrument / maturity Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 38,127 40,271 48,645 56,238 62,983 15,306 15,532 19,173 21,334 24,845 Maturity of one year or less 29,579 30,270 36,950 40,316 43,639 12,003 11,632 14,586 16,096 18,014 Maturity between 1 and 5 yrs 5,851 6,702 8,090 8,553 10,701 2,305 2,697 3,182 3,597 4,787 Maturity over 5 years 2,697 3,299 3,606 7,370 8, ,204 1,405 1,641 2,044 Forwards and swaps 29,103 30,674 36,842 43,490 48,273 11,072 11,035 13,709 15,386 17,496 Maturity of one year or less 22,122 22,696 27,706 31,172 33,558 8,461 8,061 10,206 11,543 12,549 Maturity between 1 and 5 yrs 4,448 4,899 5,823 6,176 7,623 1,685 1,873 2,237 2,431 3,177 Maturity over 5 years 2,533 3,079 3,312 6,142 7, ,100 1,266 1,412 1,770 Options 9,024 9,597 11,804 12,748 14,710 4,234 4,498 5,464 5,948 7,349 Maturity of one year or less 7,456 7,573 9,244 9,144 10,081 3,541 3,571 4,380 4,553 5,466 Maturity between 1 and 5 yrs 1,403 1,803 2,267 2,377 3, ,166 1,610 Maturity over 5 years ,227 1, (Source: Bank for International Settlements) 242
5 Appendix E: Amounts outstanding of over the counter single currency interestrate derivatives.( By instrument and counter-party) By instrument and counter-party In billions of US dollars Notional Amount Outstanding Gross Market Values Instrument / counterparty Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 262, , , , ,304 5,445 4,826 6,063 7,177 9,263 reporting dealers 114, , , , ,982 2,221 1,973 2,375 2,774 3,554 other financial institutions 114, , , , ,023 2,516 2,223 2,946 3,786 4,965 non-financial customers 32,770 38,441 45,387 42,786 46, Forward rate agreements 18,117 18,668 22,809 26,599 39, reporting dealers 9,653 10,024 10,754 11,903 19, other financial institutions 7,692 7,394 11,035 13,830 18, non-financial customers 772 1,250 1, , Swaps 207, , , , ,772 4,840 4,163 5,321 6,183 8,056 reporting dealers 87,671 96, , , ,489 1,915 1,627 1,982 2,271 2,920 other financial institutions 92, , , , ,831 2,276 1,974 2,661 3,382 4,480 non-financial customers 27,043 30,603 36,976 33,002 36, Options 36,821 43,221 52,288 56,951 62, ,120 reporting dealers 17,501 21,130 26,477 25,704 29, other financial institutions 14,364 15,502 18,418 22,329 24, non-financial customers 4,955 6,588 7,392 8,918 8, (Source: Bank for International Settlements) 243
6 Appendix F: Amounts outstanding of over the counter single currency interestrate derivatives.( By currency). By currency In billions of US dollars Notional Amount Outstanding Gross Market Values Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 All currencies 262, , , , ,304 5,445 4,826 6,063 7,177 9,263 Australian dollar 983 1,042 1,538 1,701 2, Canadian dollar 2,047 2,125 2,828 3,014 3, Danish krone Euro 103, , , , ,877 2,299 2,300 2,846 2,688 3,910 Hong Kong dollar Japanese yen 32,581 38,113 48,035 53,099 58, New Zealand dollar Norwegian krone 562 1,183 1,969 2,381 2, Pound sterling 19,071 22,238 27,676 28,390 38, Swedish krona 3,452 3,594 5,155 5,176 6, Swiss franc 3,647 3,543 3,921 4,101 5, US dollar 88,115 97, , , ,813 2,120 1,661 1,851 3,219 3,601 Other 8,036 9,818 13,360 18,493 18, (Source: Bank for International Settlements) 244
7 Appendix G: Amounts outstanding of over the counter single currency interestrate derivatives.( By instrument and maturity) By instrument and maturity In billions of US dollars All Counterparties Reporting Dealers Instrument / maturity Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 262, , , , , , , , , ,982 Maturity of one year or less 90, , , , ,181 43,775 49,538 60,108 60,805 79,955 Maturity between 1 and 5 yrs 101, , , , ,096 43,533 47,231 53,469 56,783 63,969 Maturity over 5 years 69,861 77,170 89, , ,028 27,518 30,663 34,979 39,658 45,058 Forwards and swaps 225, , , , ,142 97, , , , ,692 Maturity of one year or less 80,387 90, , , ,215 39,668 44,389 53,829 54,880 72,793 Maturity between 1 and 5 yrs 86,254 92, , , ,741 35,819 38,313 41,781 46,349 52,223 Maturity over 5 years 59,064 64,974 74, , ,186 21,837 23,600 26,468 30,313 34,675 Options 36,821 43,221 52,288 56,951 62,162 17,501 21,130 26,477 25,704 29,291 Maturity of one year or less 10,368 13,389 15,906 13,975 14,966 4,107 5,149 6,279 5,926 7,162 Maturity between 1 and 5 yrs 15,655 17,636 21,800 20,604 21,355 7,713 8,918 11,687 10,434 11,746 Maturity over 5 years 10,797 12,196 14,582 22,373 25,841 5,681 7,063 8,511 9,344 10,383 (Source: Bank for International Settlements) 245
8 Appendix H : Amounts outstanding of over the counter equity linked and commodity derivatives.( By instrument & counter-party) By instrument and counter-party In billions of US dollars Notional Amount Outstanding Gross Market Values Instrument / counterparty Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total equity contracts 6,782 7,488 8,590 8,469 10, ,116 1,142 1,146 Reporting dealers 2,593 2,537 3,118 3,011 3, Other financial institutions 3,515 4,295 4,473 4,598 5, Non-financial institutions , Forwards and swaps 1,430 1,767 2,470 2,233 2, Reporting dealers Other financial institutions 816 1,049 1,321 1,262 1, Non-financial institutions Options 5,351 5,720 6,119 6,236 7, Reporting dealers 2,243 2,096 2,460 2,373 2, Other financial institutions 2,699 3,246 3,152 3,336 4, Non-financial institutions Total commodity Contracts 6,394 7,115 7,567 8,455 13, ,899 2,209 Gold Forwards and swaps Options Other precious metals Forwards and swaps Options Other commodities 5,854 6,399 7,053 7,758 12, ,819 2,128 Forwards and swaps 2,153 2,780 3,405 5,034 7,474 Options 3,700 3,619 3,649 2,724 4,915 (Source: Bank for International Settlements) 246
9 Appendix I: Amounts outstanding of over the counter Amounts outstanding of over the counter equity linked derivatives. ( By instrument and market) By instrument and Market In billions of US dollars Notional Amount Outstanding Gross Market Values Instrument / Market Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 6,782 7,488 8,590 8,469 10, ,116 1,142 1,146 US Equities 1,668 1,597 1,907 1,766 2, European Equities 3,449 4,077 5,059 5,003 6, Japanese Equities Other Asian Equities Latin American Equities Other Equities Forwards and swaps 1,430 1,767 2,470 2,233 2, US Equities European Equities ,289 1,104 1, Japanese Equities Other Asian Equities Latin American Equities Other Equities Options 5,351 5,720 6,119 6,236 7, US Equities 1, ,112 1,047 1, European Equities 2,711 3,197 3,769 3,899 4, Japanese Equities Other Asian Equities Latin American Equities Other Equities (Source: Bank for International Settlements) 247
10 Appendix J: Amounts outstanding of over the counter equity linked derivatives. (By instrument, maturity & counter-party) By instrument, maturity and counterparty In billions of US dollars All Counterparties Reporting Dealers Instrument / Maturity Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Total contracts 6,782 7,488 8,590 8,469 10,177 2,593 2,537 3,118 3,011 3,479 Maturity of one year or less 3,071 3,758 4,093 4,672 5,332 1,121 1,296 1,485 1,693 1,893 Maturity between 1 and 5 yrs 3,110 2,910 3,513 2,905 3,793 1,310 1,054 1,365 1,082 1,348 Maturity over 5 years , Forwards and swaps 1,430 1,767 2,470 2,233 2, Maturity of one year or less ,383 1,313 1, Maturity between 1 and 5 yrs Maturity over 5 years Options 5,351 5,720 6,119 6,236 7,520 2,243 2,096 2,460 2,373 2,879 Maturity of one year or less 2,255 2,851 2,710 3,359 3, ,065 1,091 1,322 1,516 Maturity between 1 and 5 yrs 2,667 2,379 2,802 2,248 2,862 1, , ,173 Maturity over 5 years (Source: Bank for International Settlements) 248
11 Appendix K: Derivatives financial instruments traded on organized exchanges(instrument/ location) By instrument and location Notional principal in billions of US dollars Amount outstanding Turnover Instrument / Location Dec-06 Dec-07 Jun-08 Sept Q4-07 Q1-08 Q2-08 Q3-08 Futures All markets Interest rate Currency Equity index North America Interest rate Currency Equity index Europe Interest rate Currency Equity index Asia and Pacific Interest rate Currency Equity index Other Markets Interest rate Currency Equity index Options All markets 43,724 51,039 54,184 52, , , , , , ,397 Interest rate 38,116 44,282 46,905 45, , , , , , ,353 Currency ,120 2, Equity index 5,529 6,625 7,088 6,866 99, ,396 38,451 34,483 34,476 39,313 North America 27,772 28,024 26,360 25, , ,902 89, ,308 80,914 73,645 Interest rate 24,844 25,084 23,114 22, , ,599 77,445 93,721 69,943 60,653 Currency Equity index 2,895 2,883 3,170 3,168 34,676 50,681 12,341 11,349 10,728 12,736 Europe 15,067 21,555 26,728 25, , ,790 52,720 83,230 71,745 59,415 Interest rate 12,702 18,110 23,120 22, , ,640 44,967 74,606 63,855 51,286 Currency Equity index 2,364 3,444 3,608 3,433 13,452 27,143 7,751 8,621 7,889 8,127 Asia and Pacific 681 1, ,062 77,883 18,636 15,018 16,224 18,643 Interest rate ,594 6,341 1,242 1,424 1, Currency Equity index ,468 71,541 17,394 13,594 15,112 17,702 Other Markets ,997 5,592 1,689 2,010 1,777 1,693 Interest rate , Currency , Equity index ,736 3,
12 Appendix L: Derivatives financial instruments traded on organized exchanges. (By instrument and location ) By instrument and location Number of contracts in millions Contracts outstanding Turnover Instrument / Location Dec-06 Dec-07 Jun-08 Sept Q4-07 Q1-08 Q2-08 Q3-08 Futures All markets , , , , , , Interest rate , , Currency Equity index , , North America , , Interest rate , , Currency Equity index Europe , , Interest rate , Currency Equity index Asia and Pacific Interest rate Currency Equity index Other Markets Interest rate Currency Equity index Options All markets , , , , , , Interest rate Currency Equity index , , , North America Interest rate Currency Equity index Europe Interest rate Currency Equity index Asia and Pacific , , Interest rate Currency - Equity index , , Other Markets Interest rate Currency Equity index
13 Appendix M: NSE Derivatives data from to Year Index Futures Stock Futures Index Options Stock Options No. of contracts Turnover (Rs. cr.) No. of contracts Turnover (Rs. cr.) No. of contracts Notional Turnover (Rs. cr.) No. of contracts Notional Turnover (Rs. cr.) E E E E E E Year Interest Rate Futures No. of contra cts Turnover (Rs. cr.) No. of contracts Total Turnover (Rs. cr.) Average Daily Turnover (Rs. cr.) E E E E (Source: 251
14 Appendix N: Markets for Derivatives Instruments from 1986 to 1996 Appendix O: Markets for IRS and Currency for members of ISDA. From 1987 to 1996 (Source: The American Economic Review:1998) 252
15 Appendix P: Contracts Specifications (Proposed) of Currency Futures in MCX SE: Underlying Lot Size Maturity Period Exchange Timings Quote price Initial Margin Position Limits Final Settlement USD INR 1000 USD 12 monthly contracts 9.00 am to 5.00 pm INR per USD As decided by the exchange from time to time based on the Var margining system. Minimum margin shall be at the rate of 1.75% on the first day of trading and at the rate of 1% there after. At Client Level Gross open positions of the client across all the contracts shall not exceed 6% of the total open interest or $5 million whichever is higher. At Trading Member Level Gross open positions of the trading member across all the contracts shall not exceed 15% of the total open interest or $25 million whichever is higher. Final settlement would be in INR based on RBI reference rate. The contract would expire on the last working day (excluding Saturdays) of the month. Appendix Q: Records Achieved in F & O Segment at NSE (Source: 253
16 Appendix R: Comparative Analysis of World Exchanges Appendix S: The Top 20 Equity Index: - A listing of the most actively traded futures and options contracts worldwide ranked by number of contracts traded 254
17 Appendix T: Analysis of Forex Questionnaire-survey: Forex analysis: 1. Out of 55 firms surveyed, 31 firms use derivatives while 24 firms don t use derivatives. Thus 56% of the firms use derivatives while 44% firms don t use derivatives. 2. (%) of firms with operating revenues in foreign currency ( firms which don t use derivatives) Percent of operating revenue (%) of operating revenue in forex Frequency Percent Valid Percent Total : 3. (%) of operating cost in forex( firms which don t use derivatives) Percent of operating cost % Frequency Percent Total
18 4. (%) of capital expenditure in forex( firms which don t use derivatives): Percentage of capital expenditure Valid Cumulative Frequency Percent Percent Percent Total Question wise analysis for firms using forex derivatives is shown below: Use of benchmark: Use of benchmark Frequency Percent Cumulative Percent Does not use Benchmark Forward rates available at the beginning of period Spot rate available at the beginning of period Baseline percent hedged strategy Other benchmark Total
19 The risk management tools used for short term risk management: Short term forward cover Frequency Percent Yes No Total Short term Cross currency option Frequency Percent Yes No Total Forward Rate Agreement Frequency Percent Yes No Total Other short term hedging instrument Frequency Percent Yes No Total Long term risk management tools used Long Term Currency Swap Frequency Percent Yes No Total
20 Long Term Currency Swap Yes 12.9% No 87.1% Long Term Currency Option Yes 32.3% No 67.7% 258
21 Firms hedging contractual commitments: 60 Hedge contractual commitments Percent 10 0 Not Applicable Never Sometimes Frequently Hedge contractual commitments Hedging contacts over one year: 50 Hedge transactions over one year Percent 0 Not Applicable Never Sometimes Frequently Hedge transactions over one year 259
22 Hedging Economic exposure: Hedging Economic Exposure % 3.2% % 3.2% < 25 % 93.5% Altering the timing of hedge to cope up the fluctuations in exchange rates: Alter the timing of hedge for volatility P e r c e n t 10 0 Never Sometimes Frequently 260
23 Altering the size of hedge to cope up the fluctuations in exchange rates: Alter the size of hedge for volatility Percent 10 0 Never Sometimes Frequently 60 After the size of hedge for volatility Frequency of valuing Derivative portfolio Percent 10 0 Daily Weekly Quarterly Annually As Needed / No set S Frequency of valuing Derivative portfolio 261
24 Appendix U: Key Recommendations of J.R.Varma and L.C.Gupta Committee Prof. J.R. Varma Committee Report for risk containment for derivative trading The J.R. Varma Committee, set up by the SEBI, to recommend risk containment measures in the Indian Stock Index Futures Market submitted its Report to SEBI. The Committee focused on ways of making operational the broad recommendations of the committee on derivatives to fix the initial margin to cover at 99 per cent Value at Risk. Recommendations of Varma Committee Report on Derivatives The Report provides the methodology for fixing of initial margin on Index Futures contracts, prescribes liquid net worth requirements for clearing members, transparency and disclosure norms for the clearing corporation, trading member position limits etc. 1. SEBI should recommend only the use of a particular Value at Risk estimation methodology, but should not mandate a specific minimum margin level. The derivatives exchange and clearing corporation would be authorised to fix the quantum of margin for index futures using this methodology. An exponential moving average method would be used to obtain the volatility estimate every day. The volatility at the end of a particular day is estimated using the previous day s volatility estimate and the returns observed in the futures market during the current day. However, for the first six months of trading (until the futures market stabilises with a reasonable level of trading), the initial margin shall not be less than 5%. 2. The margin on calendar spreads to be levied at a flat rate of 0.5% per month of spread on the far month contract of the spread subject to a minimum margin of 1% and a maximum margin of 3% on the far side of the spread for spreads with legs upto 1 year apart. 3. The clearing member s liquid net worth must satisfy the following 2 conditions on a real time basis: a. Condition 1: Liquid Net Worth shall not be less than Rs 50 lakh at any point of time. b. Condition 2: The mark to market value of gross open positions at any point of time of all trades cleared through the clearing member shall not exceed 33 1/3 times the members liquid networth. 4. There shall be a position limit at the trading member level of 15% of the open interest or Rs 100 crore whichever is higher. 262
25 Dr. L.C.Gupta Committee Recommendation: (executive summary) The Committee strongly favours the introduction of financial derivatives in order to provide the facility for hedging in the most cost-efficient way against market risk. This is an important economic purpose. At the same time, it recognises that in order to make hedging possible, the market should also have speculators who are prepared to be counter-parties to hedgers. A derivatives market wholly or mostly consisting of speculators is unlikely to be a sound economic institution. A soundly based derivatives market requires the presence of both hedgers and speculators. 1. The Committee is of the opinion that there is need for equity derivatives, interest rate derivatives and currency derivatives. In the case of equity derivatives, while the Committee believes that the type of derivatives contracts to be introduced will be determined by market forces under the general oversight of SEBI and that both futures and options will be needed, the Committee suggests that a beginning may be made with stock index futures. 2. The Committee favours the introduction of equity derivatives in a phased manner so that the complex types are introduced after the market participants have acquired some degree of comfort and familiarity with the simpler types. This would be desirable from the regulatory angle too. 3. The Committee's recommendations on regulatory framework for derivatives trading envisage two-level regulation, i.e. exchange-level and SEBI-level. The Committee s main emphasis is on exchange-level regulation by ensuring that the derivative exchanges operate as effective self-regulatory organisations under the overall supervision of SEBI. 4. Since the Committee has placed considerable emphasis on the self-regulatory competence of derivatives exchanges under the over-all supervision and guidance of SEBI, it is necessary that SEBI should review the working of the governance system of stock exchanges and strengthen it further. A much stricter governance system is needed for the derivative exchanges in order to ensure that a derivative exchange will be a totally disciplined market place. 5. The Committee is of the opinion that the entry requirements for brokers/dealers for derivatives market have to be more stringent than for the cash market. These include not only capital adequacy requirements but also knowledge requirements in the form of mandatory passing of a certification programme by the brokers/dealers and the sales persons. An important 263
26 regulatory aspect of derivatives trading is the strict regulation of sales practices. 6. Many of the SEBI's important regulations relating to exchanges, brokersdealers, prevention of fraud, investor protection, etc., are of general and overriding nature and hence, these should be reviewed in detail in order to be applicable to derivatives exchanges and their members. 7. The Committee has recommended that the regulatory prohibition on the use of derivatives by mutual funds should go. At the same time, the Committee is of the opinion that the use of derivatives by mutual funds should be only for hedging and portfolio balancing and not for speculation. The responsibility for proper control in this regard should be cast on the trustees of mutual funds. The Committee does not favour framing of detailed SEBI regulations for this purpose in order to allow flexibility and development of ideas. 8. SEBI, as the overseeing authority, will have to ensure that the new futures market operates fairly, efficiently and on sound principles. The operation of the underlying cash markets, on which the derivatives market is based, needs improvement in many respects. The equity derivatives market and the equity cash market are parts of the equity market mechanism as a whole. 9. SEBI should create a Derivatives Cell, a Derivatives Advisory Committee, and Economic Research Wing. It would need to develop a competence among its personnel in order to be able to guide this new development along sound lines. (Source: 264
27 Appendix V: Copy of Equity Questionnaire Use of Derivatives 1.a Does your firm use derivatives (forwards, futures, options, swaps)? (please circle the appropriate response) a. Yes b. No Please complete this section if you answered no to question 1.a 1.b Please indicate three most important factors in your decision not to use derivatives (please rank 1 most important 2- second most important 3-third most important) a. Lack of knowledge: Rank: b. Insufficient exposure to financial or commodity prices.: Rank: c. Exposures are more effectively managed by other means.: Rank: d. Difficulty pricing & valuing derivatives.: Rank: e. Concerns about perceptions of derivative use by investors, regulators, and the public.: Rank: f. Costs of establishing and maintaining a derivatives program exceed that of expected benefits.: Rank: Others: Specify. 2. How often does your firm use derivatives to/for Frequently Seldom Never Don t know a. Arbitraging the market b. Taking a view (speculation) c. Hedge the balance sheet d. Hedge anticipated transactions (<= 12 months) e. Hedge anticipated transactions (>= 12 months) 3. What concerns you about using derivatives? (please indicate degree of concern with each) a. Credit risk b. Transaction cost c. Market Risk d. Liquidity risk e. Lack of knowledge about derivatives within my firm. No concern Low Moderate High 265
28 4.a What proportion of your total equity investment is in derivatives? (please circle the appropriate response) a. less than 25% b. less than 50% c. less than 75% d. more than 75% 4.b Please bifurcate your proportion invested in derivatives as given below: Derivatives tool (%) Percentages 1. Futures in stock 2. Futures on index 3. Options in stock 4. Options on index 5. Interest rate derivatives Total Do you have software for pricing the following derivatives? Yes No Don t know a. Swap b. Options c. Futures 6. Please indicate which of the following types of option contracts your firm has used in the past months for the indicated exposure. Stock market exposure a. Standard European style b. Standard American style c. Basket options d. Barrier options e. Options with deferred or conditional premium f. Option combinations (i.e. straddle, strip etc.) g. Others: 7. In the present phase of very high volatility of stock market, what would you like to do from the following: (Please tick mark the applicable) a. Trading in Cash market: b. Trading in Option market: c. Trading in futures market: d. Not to trade: 266
29 Appendix W: Copy of Forex Questionnaire 1. What percentages of your consolidated operating revenues are in foreign currency? ( Please circle the response that is closest.) a. 0% b. 5% c. 10% d. 20% e. 30% f. 40% g. 50+ % 2. What percentages of your consolidated operating costs are in foreign currency? (Please circle the response that is closest.) a. 0% b. 5% c. 10% d. 20% e. 30% f. 40% g. 50+ % 3. What percentages of your capital expenditure are in foreign currency? (Please circle the response that is closest.) a. 0% b. 5% c. 10% d. 20% e. 30% f. 40% g. 50+ % 4. Which benchmark does your firm use for evaluating foreign currency risk management over the budget planning period? (Please circle the response that is appropriate) a. Our firm does not use a benchmark. b. Forward rates available at the beginning of the period. c. Spot rates available at the beginning of the period d. Baseline percent hedged strategy (eg. X% hedged) e. Other benchmark [ If your firm does not use currency derivatives, please skip ahead to Section option contracts ] 5. Which of the following risk management products does your firm use? SHORT TERM: a. Forward covers b. cross currency options c. forward rate agreements d. Others LONG TERM: a. Currency swap b. currency options 6. How often does your firm transact in the currency derivatives market to ( Please circle the appropriate response for each exposure) Hedge foreign repatriations (dividends, royalties, investment payments) Hedge contractual commitments i. on- balance-sheet transactions ( accounts payables/receivables) ii. off-balance-sheet transactions (pending contracts) Not Applicable Never Sometimes Frequently 267
30 Hedge anticipated transactions one year or less Hedge anticipated transactions over one year Hedge economic/ competitive exposure Hedge translation exposure Arbitrage borrowing rates across currencies (currency swap in association with foreign currency borrowings) Not Applicable Never Sometimes Frequently 7. What percentage of the following categories of exposures do you generally hedge? (Please indicate the appropriate percentage under each exposure category) Percentage of exposure hedged On-balance sheet transactions Off-balance sheet transactions Anticipated transactions 1 yr. or less < 25% 25 50% 50-75% Anticipated transactions over 1 yr. Economic/ Competitive Exposure Foreign repatriation Translation exposure 8. For each of the following exposures, which best describes your usual hedging horizon? ( Please tick the appropriate response for each column) Hedging Horizon Shorter than the maturity of exposure Hedge the maturity of exposure Longer than the maturity of exposure Hedge to the end of fiscal year (budget period) Contractual Commitments Anticipated transaction Economic Exposure Foreign repatriation Translation Of foreign Accounts 9. How often does your market view of exchange rates cause you to (Please tick the appropriate response for each column) Never Sometimes Frequently Alter the timing of hedges Alter the size of hedges Actively take positions in currency derivatives 268
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