(Draft for Comment)
Article 1 In order to regulate the fund's investment in stock index futures, prevent investment risks and protect the legitimate rights and interests of fund share holders, these Guidelines are formulated in accordance with the Securities Investment Fund Law, the Measures for the Administration of the Operation of Securities Investment Funds and other laws and regulations.
Article 2 The term "stock index futures" as mentioned in these Guidelines refers to financial futures contracts with the stock price index as the target, which are approved by the China Securities Regulatory Commission and listed and traded on the China Financial Futures Exchange.
Article 3 Fund investment in stock index futures shall be based on the principle of risk management and for the purpose of hedging, and shall be implemented in accordance with the relevant provisions on hedging management of China Financial Futures Exchange. Except for capital preservation funds and special funds approved by China Securities Regulatory Commission.
Article 4 Equity funds, hybrid funds and principal guaranteed fund may invest in stock index futures in accordance with these Guidelines. Bond funds and money market funds may not invest in stock index futures.
Article 5 Funds investing in stock index futures shall meet the following requirements, except for special fund types as otherwise stipulated or approved by the China Securities Regulatory Commission:
(1) The value of stock index futures contracts held by the Fund at the end of any trading day shall not exceed 65,438+00% of the net asset value of the Fund.
(2) At the end of any trading day, the sum of the value of futures contracts held by open-end funds (excluding open-end index funds and transactional open-end index funds (hereinafter referred to as ETFs) and the market value of securities shall not exceed 95% of the fund's net asset value. Marketable securities refer to stocks, bonds, warrants, asset-backed securities and financial assets bought and sold back, the same below.
(3) The sum of the value of futures contracts held by closed-end funds, open-end index funds and ETFs and the market value of securities at the end of any trading day shall not exceed 65,438+000% of the fund's net asset value.
(4) At the end of any trading day, the value of the sold futures contracts held by the Fund shall not exceed 20% of the total market value of the shares held by the Fund.
A fund management company shall, in accordance with the content, format and time limit required by the financial futures exchange, report to the financial futures exchange the trading and holding of the sold futures contracts, the trading purpose and the corresponding securities assets.
(5) The market value of the stocks held by the Fund and the contract value (net calculation) of buying and selling stock index futures shall comply with the relevant provisions of the stock investment ratio in the fund contract.
(6) The value of stock index futures contracts traded by the Fund on any trading day shall not exceed 20% of the net asset value of the Fund on the previous trading day.
(7) After deducting the trading margin required for stock index futures contracts, open-end funds (excluding ETFs) shall keep at least 5% of the fund's net asset value in cash or government bonds with maturity within one year at the end of each trading day.
(8) Closed-end funds and ETFs shall, at the end of each trading day, keep cash not less than twice the trading margin after deducting the trading margin required for stock index futures contracts.
(9) The capital preservation fund's investment in stock index futures is not restricted by the above items (1) to (8), but it should conform to the capital preservation strategy and investment objectives agreed in the fund contract, and the maximum possible loss of futures contracts and securities held every day shall not exceed the balance of the net assets of the fund after deducting some assets used for capital preservation. The guarantee institution shall fully understand the investment strategy and possible losses of the capital preservation fund, and make a special explanation in the guarantee agreement.
(10) Other proportional restrictions stipulated by laws and regulations and fund contracts.
If the fund investment ratio does not meet the above requirements due to factors other than fluctuations in the securities and futures market and changes in the fund size, the fund manager shall complete the adjustment within ten trading days.
Article 6 For funds that have been approved by the China Securities Regulatory Commission before the implementation of these Guidelines, fund managers shall decide whether to participate in stock index futures investment according to laws and regulations, fund contracts and the relevant requirements of these Guidelines. When fund managers participate in stock index futures investment, they should make clear the corresponding investment strategies, proportion restrictions and information disclosure methods. Fund contract ",and perform the corresponding procedures.
Article 7 Where the fund to be raised after the implementation of these Guidelines intends to participate in stock index futures investment, the relevant contents such as stock index futures investment plan shall be specified in the fund contract, prospectus, product plan and other fundraising application materials.
Article 8 A fund shall disclose its investment in stock index futures, including investment policies, positions, profits and losses, risk indicators, etc. , in the quarterly report, semi-annual report, annual report and other regular reports and prospectus (update), fully reveal the impact of stock index futures investment on the overall risk of the fund and whether it meets the established investment policy and investment objectives.
Article 9 Fund management companies and custodian banks shall fully understand the characteristics and risks of stock index futures, and treat the participation of funds in stock index futures cautiously from the perspective of protecting the interests of fund share holders. If a fund management company intends to use the fund property to invest in stock index futures, it shall comprehensively measure the current risk management level, technical system and professional preparation according to the company's own development strategy and overall planning, carefully evaluate the ability to participate in stock index futures investment, make scientific decisions on the breadth and depth of participation in stock index futures investment, and report the relevant investment decision-making process and risk control system to the company's board of directors for approval.
Article 10 A fund management company shall formulate a strict authorization management system and investment decision-making process for stock index futures investment, ensure the independent operation of research and analysis, investment decision-making, transaction execution and risk control, and clarify the responsibilities of relevant posts. In addition, a decision-making department or group for stock index futures investment should be established, and specific managers should be authorized to be responsible for the investment approval of stock index futures.
Article 11 Fund management companies and custodian banks shall strengthen the internal control system, improve the risk management system, do a good job in training and preparing personnel, systems, business processes and technical systems, and submit the application materials for offering with relevant systems and preparations.
Article 12 In the process of investing in stock index futures, fund management companies shall operate in a standardized manner in accordance with the requirements of relevant laws and regulations, and shall not engage in insider trading, manipulation of securities prices, interest transfer or other unfair trading activities.
Article 13 A fund management company and a fund custodian bank shall, in accordance with the relevant provisions of China Financial Futures Exchange, determine the transaction settlement method of the fund's participation in stock index futures investment, clarify the rights and obligations of transaction execution, fund transfer, fund settlement, accounting and depository, and establish a fund security guarantee mechanism. The fund custodian bank shall strengthen the supervision, verification and risk control of fund investment in stock index futures, and effectively protect the legitimate rights and interests of fund share holders.
Article 14 These Guidelines shall be implemented as of the date of promulgation.