The study conducted by the SEBI has revealed that ₹1.7-lakh crore of asset under management of open-ended debt schemes of 17 mutual funds were under stress as of September quarter.
The analysis revealed stress in the case of 17 mutual funds and in terms of schemes, however, only 24 out of a total of 299 schemes exhibited stress, as per the Financial Stability Report published by the RBI on Thursday.
Stress test
The assets under management (AUM) of the stressed open-ended debt schemes was ₹1.7-lakh crore as against the total AUM of ₹12.4-lakh crore for all schemes for which the stress testing was conducted, it added.
As mandated by the SEBI, stress testing of all open-ended debt schemes (except overnight schemes) is carried out by asset management companies every month to evaluate the impact of various risk parameters including redemption risk.
Liquidity risk management for open-ended debt schemes include redemption at risk (RaR), which represents likely outflows at a given confidence interval and conditional redemption at risk (CRaR), which represents the behaviour of the tail at the given confidence interval, are used.
All the AMCs have been mandated to maintain these liquidity ratios (RaR and CRaR) above the threshold limits, which are derived from scheme type, scheme asset composition and potential outflows (modelled from investor concentration in the scheme).
Mutual funds are required to carry out back-testing of these liquidity ratios for all open-ended debt schemes (except overnight funds, gilt funds and gilt funds with 10-year constant duration) on a monthly basis.
The RaR and CRaR computed by top 10 mutual funds (based on AUM) for 13 categories of open-ended debt schemes for October were well above the respective threshold limits for most of the mutual funds. A few instances of the ratios falling below the threshold limits were addressed by the respective AMCs in a timely manner, said the RBI report.