基金管理公司最近几周对12月的证券交易委员会提案的要素表示反对，以限制使用衍生品的共同基金和交易所交易基金，抱怨拟议的规则走得太远。
衍生物通常被液体替代共同资金用于复制对冲基金战略，并通过ETF旨在移动两次或三倍的安全，商品或指数。据晨星表示，液体替代共同基金在过去五年中吸引了1560亿美元的投资者资金。
“我们赞同统治，但在一些部分可以做得更好，”基于纽约的资产经理Blackrock副主席Barbara Novick说。“规则的目标是限制衍生品和杠杆，并在系统中有一些控制。我们支持这个目标。“她说，问题是实施。“该提案不会达到其一些目标的结果。”
基金经理对象大多数证券交易所提案的三个规定：首先，如果通过价值 - 风险测试，资金必须将其衍生率暴露在150％或资产的300％。其次，如果在确定当时退出衍生工交易，则基金一般必须分离现金等于基金将支付的金额的总和，加上基金如果在压力下纾困使适应。第三，利益使用衍生品广泛地必须创建由指定衍生品风险经理管理的风险管理计划。
The proposal was announced in December, and the final public comment was posted April 8. It could take months for the SEC to decide what, if any, regulation to enact. Agency officials declined to comment on the issue.
The linchpin of fund companies’ objections is that the SEC’s proposal doesn’t properly deal with risks arising from derivative use. “Vanguard strongly recommends that the SEC apply a risk-sensitive approach to the proposed portfolio limits on derivative transactions, to more appropriately address the investor protection and undue speculation concerns,” says Vanguard Group spokesman David Hoffman.
使用基金衍生物暴露的总占综合体确定曝光限制。但基金公司表示，测量不足。“问题是它没有告诉你风险的任何东西，”诺克说。总占占极值欧元产品的欧洲风险大幅重量，拥有20年的国债期货，拥有更大的市场风险。“也没有信贷，这是一个可能是对冲风险的经理，”她说。“毛重曝光太简单了。”
Moreover, fund companies see no reason to restrict segregated assets to cash and cash equivalents. “We believe that there are other types of liquid assets that could be used to satisfy a fund’s future contingent obligations and are consistent with rules adopted by other regulators,” T. Rowe Price wrote in a letter to the SEC commenting on the proposal.
例如，在执行互换时，资金可以使用国债，其他政府证券，标准普尔1500股和金子作为隔离资产。根据在不利条件下销售的情况下，基于基金会在销售情况下必须吸收的大部分折扣，对每个资产适用于每个资产。资产的风险越大，发型越大。
Limiting the segregated assets to cash can distort the composition of a fund’s portfolio, Novick says. “In a world where liquidity is scarce, do you want to tie up cash in that way when there’s another way that’s more flexible?” she says.
On the risk management front, fund managers told Morningstar analysts that the rule will force them to formally evaluate each trade, rather than their overall positions on a daily basis, as they do now, requiring an inordinate amount of time, says Scott Cooley, director of policy research for the Chicago research firm. “Managers say that’s impractical.”
他说提案可能具有越来越危险的经常结果。就是因为，他说，它鼓励资金与投资组合的“物理侧”采取更多风险，然后使用衍生物来减少这种风险。
“Funds could end up taking more risk and using more derivatives than they would without the rule,” he says. The SEC’s goal is to lower overall risk, which Morningstar supports. “But the way the rule is written, we don’t think that’s what portfolio managers would do.”
可以肯定的是,并不是所有的股东主张分享rningstar’s opposition to the proposal. The Consumer Federation of America is one of its supporters. “The proposal will better protect investors from the risk derivatives pose to funds and lessen the chance that funds will blow up when derivatives go bad,” says Micah Hauptman, financial services counsel for the group.
他指出，很少有共同资金使用大量的衍生品。根据SEC的估计，只有29％的传统共同资金利用它们。只有27％的液体ALT资金有一个名义的衍生曝光，总计至少150％的资产，这将把这些资产归功于拟议的规则。使用Morningstar的607液体ALT资金，27％将构成164个基金。
仍然，衍生品的少数资金“偏离他们最初打算做的是持有证券”，“Hauptman说。应允许资金使用衍生品来放大回报或减轻风险。“但他们必须与适当的保障措施一起使用，”他补充道。