The document provides an update on arbitrage spreads for February 2021 compared to the previous month. It notes that market-wide rollover was lower this month at 91.3% versus the 2-month average of 92.7%. Nifty rollover was unchanged from the average at 77.3%. The average annualized yield of the arbitrage portion including margin is around 3.60-3.65%. Going forward, spreads are expected to remain under pressure due to global market volatility and the upcoming union budget. The fund aims to maintain its arbitrage portion at over 65% to benefit from equity taxation.

1. 01-Feb-21
Update on arbitrage spread
The arbitrage spread detail for the month as compared to the previous settlement is as below:
➢ Market Wide Rollover for February’21 was 91.3% vs 92.7% average of last 2 expiries.
➢ Market Wide Futures Open Interest (OI) stood at ~INR 1,37,190 cr at the beginning of February’21 series (v/s INR 1,38,931 cr
at January’21 start).
➢ Nifty rollover was at 77.3% v/s 77.3% average of last 2 expiries.
➢ Nifty February’21 series starts with an Open Interest of INR 14,140 cr v/s INR 17,833 cr in January series (136k contracts v/s
170k contracts)
Source: NSE, IDFC MF Research
The average annualized yield of the arbitrage book including Margin as on January 28th
is ~3.60-3.65%.
The yield referred to here is the weighted average spread of the arbitrage portion (including Margin) and does not in any manner indicate performance of the scheme
and does not in any manner indicate any return potential of the scheme
Going forward
With markets tremors globally and heightened volatility in domestic markets, spreads continued to be under pressure
throughout the expiry week. Also, the upcoming Union budget just after the expiry week also kept long rollers away
given the uncertainty around the event.
IDFC Arbitrage Fund
(An open ended scheme investing in arbitrage opportunities)
Fund

2. 01-Feb-21
The fund would look to maintain the average for the Fiscal Year at 65% plus portion in the Arbitrage portion in order to
benefit from equity taxation (average equity holding in the period April’20-January’21 is 67.41%). The debt portion of
the fund (including Margins) has traditionally been around 30-35%. The debt portion is actively managed but has a
conservative maturity profile and a high quality focus – 100% AAA/Sovereign/A1+ portfolio.
The current portfolio break up (as on 28th
January’21) is as below:
Arbitrage Portion: 67.87%
100% AAA equivalent Cash/CP/CD/T-bills/Corp bonds & Fixed Deposits: 32.13%
We would like to re-emphasize that during periods of panic in financial markets, the arbitrage fund returns can be volatile
for a short period of time, and therefore would recommend a minimum investment horizon of 6 months.
PRODUCT LABEL
IDFC Arbitrage Fund
(An open ended scheme investing in arbitrage opportunities)

3. 01-Feb-21
Disclaimer:
MUTUAL FUND INVESTMENTS ARE SUBJECT TO MARKET RISKS, READ ALL SCHEME RELATED DOCUMENTS CAREFULLY.
The Disclosures of opinions/in house views/strategy incorporated herein is provided solely to enhance the transparency about the
investment strategy / theme of the Scheme and should not be treated as endorsement of the views / opinions or as an investment
advice. This document should not be construed as a research report or a recommendation to buy or sell any security. This document
has been prepared on the basis of information, which is already available in publicly accessible media or developed through analysis
of IDFC Mutual Fund. The information/ views / opinions provided is for informative purpose only and may have ceased to be current
by the time it may reach the recipient, which should be taken into account before interpreting this document. The recipient should
note and understand that the information provided above may not contain all the material aspects relevant for making an investment
decision and the security may or may not continue to form part of the scheme’s portfolio in future. Investors are advised to consult
their own investment advisor before making any investment decision in light of their risk appetite, investment goals and horizon. The
decision of the Investment Manager may not always be profitable; as such decisions are based on the prevailing market conditions
and the understanding of the Investment Manager. Actual market movements may vary from the anticipated trends. This information
is subject to change without any prior notice. The Company reserves the right to make modifications and alterations to this statement
as may be required from time to time. Neither IDFC Mutual Fund / IDFC AMC Trustee Co. Ltd./ IDFC Asset Management Co. Ltd nor
IDFC, its Directors or representatives shall be liable for any damages whether direct or indirect, incidental, punitive special or
consequential including lost revenue or lost profits that may arise from or in connection with the use of the information.