The stress level at 34 open-ended debt schemes with total AUM of ₹2.75 lakh crore as of September-end have breached the AMFI or AMC prescribed threshold and have initiated remedial action to be completed in the prescribed timeframe.

On the other hand, stress level of 261 schemes with AUM of ₹11.93 lakh crore were below the threshold limit, according to the Financial Responsibility Report.

SEBI has mandated that asset management companies should carry out stress testing of all open-ended debt schemes (except overnight schemes) every month to evaluate the impact of various risk parameters faced by such schemes on their net asset values (NAVs).

As part of liquidity risk management for open-ended debt schemes, two types of liquidity ratios including redemption at risk (LR-RaR), which represents likely outflows at a given confidence interval and conditional redemption at risk (LR-CRaR), which represents the behaviour of the tail at the given confidence interval, have been used.

All AMCs are mandated to maintain these liquidity ratios above the threshold limits which are derived from scheme type, scheme asset composition and potential outflows (modelled from investor concentration in the scheme).

MFs 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.