accounting treatment in case of Index Basket

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amit (Querist)
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02 May 2008 we are doing equity index arbitrage. We buy nifty futures and sold equivalent % of stock futures so our position is 99.99% hedge. Suppose we bought 1,00,000 nifty @6000 and sold equivalent stock futures at same level to take advantage of arbitrage opportunity. Now on 31st March the Nifty value comes to 4500 but we have positive mark to market as we have already sold stock futures of equvalent value. Now as per Guidance note issued by ICAI we have to provide for Mark to Market loss on Nifty futures i.e.Rs.1500 lacs and should not consider gain of Rs.1510 lacs on stock futures. To me in such cases as matter of prudence one has to consider profit/loss of whole basket instead of considering each item individually. Any comment ???

Taranjit Singh

Taranjit Singh (Expert)
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27 September 2009 If this query is still pending then please post it again by updating......Good wishes.....or you can also send me a PM.

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