Collateral policy and investment of collateral General. In conjunction with transactions in OTC financial derivatives and efficient port- The prospectus: Investment regulations folio management techniques, the management company can accept col- lateral in the name and for the account of the UCITS to reduce its counterpar- ty risk. Collateral received shall be held in safekeeping for the UCITS by the depositary or its agent. This section explains the collateral policy applied by the management company in such cases. Within the meaning of this section, all assets received by the management company in the name and for the account of the UCITS (securities lending, asset-based annuities transactions, reverse annuity transactions) within the scope of efficient portfolio manage- ment techniques shall be treated as collateral. Permissible collateral The management company can use the collateral it receives to reduce the counterparty risk provided it abides by the criteria set forth in the applicable laws, regulations, and FMA-issued guidelines, particularly with respect to liquidi- ty, valuation, issuer credit rating, correlation, risks in conjunction with the ad- ministration of collateral and realizability. Mainly, collateral should fulfill the fol- lowing conditions: All non-cash forms of collateral should be of good quality and high liquidity and be traded on a regulated market or a multilateral trading system with transparent pricing so that they can quickly be sold at a price that roughly corresponds with the valuation prior to a sale. They should be valued at least daily, and assets subject to high price volatility should be accepted as collateral only if an adequately conservative discount (haircut) is applied. They should be issued by an entity that is not affiliated with the counterparty and is therefore not likely to exhibit any strong correlation with the perfor- xxxxx of the counterparty. They should be sufficiently diversified across countries, markets, and issuers and correspond to a maximum aggregate commitment of 20% of the net asset value (NAV) of the UCITS in any single issuer under consideration of all collat- eral received. If it complies with the rules in 6.3.5 – 6.3.7 above, the UCITS may deviate from that benchmark. At all times, they should be realizable by the management company without recourse to or approval by the counterparty. Worth of collateral The management company shall determine the required worth of the collat- eral for transactions with OTC derivatives and for efficient portfolio manage- ment techniques under consideration of the limits set forth in the prospectus for counterparty risks and under consideration of the nature and features of the transactions, creditworthiness, identity of the counterparties, and prevail- ing market conditions. Rules for haircuts Collateral shall be valued on a daily basis based on available market prices and under consideration of adequately conservative discounts (haircuts) that the management company will determine for each investment class based on its rules for haircuts. Depending on the type of collateral received, these rules take into account various factors, such as the issuer's creditworthiness, the du- ration, the currency, the price volatility of the assets, and, if applicable, the re- sults of liquidity stress tests that the management company performs under normal and extraordinary liquidity conditions. The table below lists the haircuts that the management company deems adequate on the issue date of this prospectus. The values are subject to change. Collateral instrument Valuation rate (%) Account balance (in the reference currency of the UCITS) 95 Account balance (not in the reference currency of the UCITS) 85 The prospectus: Investment regulations Government bonds [debt securities issued or expressly guaranteed by the following countries (without implicitly guaranteed liabilities, for example): Austria, Belgium, Denmark, France, Germany, the Netherlands, Sweden, the United Kingdom, and the USA to the extent that these countries have a minimum rating of AA-/Aa3 and such debt securities can be valued at market prices daily (mark to market)] Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Corporates (debt securities issue or expressly guaranteed by a company (except financial institutes) and (i) rated at least AA-/Aa3, (ii) with a resid- ual duration of no more than 10 years and (iii) denominated in an OECD Collateral instrument currency) Valuation rate (%) Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Investment of collateral If the management company accepts collateral other than cash, it is not al- lowed to sell, invest, or encumber the collateral. If the management company accepts collateral in cash, it can: be invested as deposits with credit institutes headquartered in a member state or, if headquartered in a third country, are subject to conservative su- pervisory rules that are deemed by the FMA as being equivalent to the su- pervisory rules of member states; be invested in top-quality government bonds; be used for reverse annuities transactions if they are conducted with credit institutes subject to a conservative supervisory authority and the manage- ment company is always in a position to demand the full cash repayment including amounts accrued thereon; and/or be invested in short-term money market funds according to the definition in the Guidelines on a Common Definition of European Money Market Funds. The invested cash collateral should be diversified in accordance with the di- versification requirements that apply to collateral which is not provided in the form of account balances and as described above. The UCITS may incur losses when investing cash collateral received. Such a loss can incur as a result of the depreciation of the investment instruments pur- chased with the cash collateral. If the value of the invested cash collateral declines, this reduces the collateral amount that was made available to the UCITS and is subsequently due for repayment to the counterparty. The UCITS would have to offset the monetary difference between the originally received collateral and the amount repayable to the counterparty, so the UCITS would incur a loss.
Appears in 2 contracts
Samples: Trust Agreement, Trust Agreement
Collateral policy and investment of collateral General. In conjunction with transactions in OTC financial derivatives and efficient port- The prospectus: Investment regulations folio management techniques, the management company can accept col- lateral in the name and for the account of the UCITS to reduce its counterpar- ty risk. Collateral received shall be held in safekeeping for the UCITS by the depositary or its agent. This section explains the collateral policy applied by the management company in such cases. Within the meaning of this section, all assets received by the management company in the name and for the account of the UCITS (securities lending, asset-based annuities transactions, reverse annuity transactions) within the scope of efficient portfolio manage- ment techniques shall be treated as collateral. Permissible collateral The management company can use the collateral it receives to reduce the counterparty risk provided it abides by the criteria set forth in the applicable laws, regulations, and FMA-issued guidelines, particularly with respect to liquidi- ty, valuation, issuer credit rating, correlation, risks in conjunction with the ad- ministration of collateral and realizability. Mainly, collateral should fulfill the fol- lowing conditions: All non-cash forms of collateral should be of good quality and high liquidity and be traded on a regulated market or a multilateral trading system with transparent pricing so that they can quickly be sold at a price that roughly corresponds with the valuation prior to a sale. They should be valued at least daily, and assets subject to high price volatility should be accepted as collateral only if an adequately conservative discount (haircut) is applied. They should be issued by an entity that is not affiliated with the counterparty and is therefore not likely to exhibit any strong correlation with the perfor- xxxxx of the counterparty. They should be sufficiently diversified across countries, markets, and issuers and correspond to a maximum aggregate commitment of 20% of the net asset value (NAV) of the UCITS in any single issuer under consideration of all collat- eral received. If it complies with the rules in 6.3.5 – 6.3.7 above, the UCITS may deviate from that benchmark. At all times, they should be realizable by the management company without recourse to or approval by the counterparty. Worth of collateral The prospectus: Investment regulations The management company shall determine the required worth of the collat- eral for transactions with OTC derivatives and for efficient portfolio manage- ment techniques under consideration of the limits set forth in the prospectus for counterparty risks and under consideration of the nature and features of the transactions, creditworthiness, identity of the counterparties, and prevail- ing market conditions. Rules for haircuts Collateral shall be valued on a daily basis based on available market prices and under consideration of adequately conservative discounts (haircuts) that the management company will determine for each investment class based on its rules for haircuts. Depending on the type of collateral received, these rules take into account various factors, such as the issuer's creditworthiness, the du- ration, the currency, the price volatility of the assets, and, if applicable, the re- sults of liquidity stress tests that the management company performs under normal and extraordinary liquidity conditions. The table below lists the haircuts that the management company deems adequate on the issue date of this prospectus. The values are subject to change. Collateral instrument Valuation rate (%) Account balance (in the reference currency of the UCITS) 95 Account balance (not in the reference currency of the UCITS) 85 The prospectus: Investment regulations Government bonds [debt securities issued or expressly guaranteed by the following countries (without implicitly guaranteed liabilities, for example): Austria, Belgium, Denmark, France, Germany, the Netherlands, Sweden, the United Kingdom, and the USA to the extent that these countries have a minimum rating of AA-/Aa3 and such debt securities can be valued at market prices daily (mark to market)] Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Corporates (debt securities issue or expressly guaranteed by a company (except financial institutes) and (i) rated at least AA-/Aa3, (ii) with a resid- ual duration of no more than 10 years and (iii) denominated in an OECD Collateral instrument currency) Valuation rate (%) Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Investment of collateral If the management company accepts collateral other than cash, it is not al- lowed to sell, invest, or encumber the collateral. If the management company accepts collateral in cash, it can: ♦ be invested as deposits with credit institutes headquartered in a member state or, if headquartered in a third country, are subject to conservative su- pervisory rules that are deemed by the FMA as being equivalent to the su- pervisory rules of member states; ♦ be invested in top-quality government bonds; ♦ be used for reverse annuities transactions if they are conducted with credit institutes subject to a conservative supervisory authority and the manage- ment company is always in a position to demand the full cash repayment including amounts accrued thereon; and/or The prospectus: Investment regulations ♦ be invested in short-term money market funds according to the definition in the Guidelines on a Common Definition of European Money Market Funds. The invested cash collateral should be diversified in accordance with the di- versification requirements that apply to collateral which is not provided in the form of account balances and as described above. The UCITS may incur losses when investing cash collateral received. Such a loss can incur as a result of the depreciation of the investment instruments pur- chased with the cash collateral. If the value of the invested cash collateral declines, this reduces the collateral amount that was made available to the UCITS and is subsequently due for repayment to the counterparty. The UCITS would have to offset the monetary difference between the originally received collateral and the amount repayable to the counterparty, so the UCITS would incur a loss.
Appears in 1 contract
Samples: Trust Agreement
Collateral policy and investment of collateral General. In conjunction with transactions in OTC financial derivatives and efficient port- The prospectus: Investment regulations folio management techniquesportfolio management, the management company Management Com- pany can accept col- lateral in the name and for on the account of the UCITS sub-fund take receipt of collateral in order to reduce its counterpar- ty counterparty risk. Collateral received shall Received collateral must be held in safekeeping deposited for the UCITS by sub-fund with the depositary Custodian or with its agent. This section explains describes the collateral policy applied by the management company Management Company in such these cases. Within All of the meaning of this section, all assets received by the management company in the name and for on the account of the UCITS sub-fund (securities lending, asset-based annuities securities repurchase transactions, reverse annuity repurchase transactions) within the scope context of efficient portfolio manage- ment management techniques shall be treated as collateralcollateral within the meaning of this section. Permissible Approved collateral The management company Management Company can use the collateral it receives to reduce the counterparty risk risk, provided that it abides by adheres to the criteria set forth out in the respective applicable lawsstatutory provisions, regulationsregulations and guidelines issued by the FMA, and FMA-issued guidelines, particularly with respect to liquidi- tyabove all in terms of liquidity, valuation, issuer credit ratingcreditworthiness of the issuer, correlation, risks in conjunction associated with the ad- ministration administration of collateral and realizabilityrealisability. Mainly, collateral Collateral should fulfill fulfil above all the fol- lowing following conditions: All non-collateral that does not consist of cash forms of collateral should be of good quality and high liquidity liquidity, and should be traded on a regulated market or a multilateral trading system with transparent pricing so pricing, in order to ensure that they can quickly be sold promptly at a price that roughly corresponds with approximately to the valuation prior to a before the sale. They It should be valued at least daily, and assets subject to high that exhibit heightened price volatility should be accepted as collateral only if an adequately they are subjected to reasonable conservative discount discounts (haircut) is appliedhaircuts). They should be issued by an entity a unit that is independent of the counterparty, and should not affiliated be expected to correlate strongly with the counterparty and is therefore not likely to exhibit any strong correlation with the perfor- xxxxx performance of the counterparty. They should be sufficiently broadly diversified across countries, marketsmarkets and issuers, and issuers and correspond to with a maximum aggregate commitment collective exposure of 20% of the net asset value (NAV) of the UCITS sub-fund in any single issuer under consideration individual issuers, taking account of all collat- eral receivedreceived securities. If it complies A sub- fund may deviate with the rules in 6.3.5 further regulations set out above under 7.3.5 – 6.3.7 above7.3.7. They should, the UCITS may deviate from that benchmark. At all timeshowever, they should be realizable realisable by the management company Management Company at any time, without recourse to or approval by the counterparty. Worth Level of the collateral The management company Management Company shall determine stipulate the required worth necessary level of the collat- eral collateral for transactions with OTC derivatives and for efficient portfolio manage- ment management techniques under consideration of by referring to the applicable limits set forth out in the sales prospectus for counterparty coun- terparty risks and under consideration taking account of the nature and features the characteristics of the transactions, creditworthiness, the creditworthiness and the identity of the counterparties, and prevail- ing counterparties as well as the prevailing market conditions. Rules for haircuts (must be defined individually) Collateral shall be valued daily on a daily the basis based on of available market prices and under consideration taking account of adequately reasonable conservative discounts (haircuts) ), that the management company will determine Management Company prescribes for each investment class based on the basis of its rules for haircuts. Depending on upon the type nature of collateral receivedthe received collateral, these rules take into account of various factors, such as for example the creditworthiness of the issuer's creditworthiness, the du- rationduration, the currency, the price volatility of the assets, and, assets and if applicable, necessary the re- sults result of liquidity stress tests that the management company performs Investment Company has conducted under normal and extraordinary liquidity conditionscondi- tions. The table set out below lists shows the haircuts that the management company deems adequate Management Company considers reasonable on the issue date day of this prospectusProspectus. The These respective values are subject to change. Collateral instrument Valuation rate (%) Account balance (in the reference currency of the UCITS) 95 Account balance (not in the reference currency of the UCITS) 85 The prospectus: Investment regulations Government bonds [debt securities issued or expressly guaranteed by the following countries (without implicitly guaranteed liabilities, for example): Austria, Belgium, Denmark, France, Germany, the Netherlands, Sweden, the United Kingdom, and the USA to the extent that these countries have a minimum rating of AA-/Aa3 and such debt securities can be valued at market prices daily (mark to market)] Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Corporates (debt securities issue or expressly guaranteed by a company (except financial institutes) and (i) rated at least AA-/Aa3, (ii) with a resid- ual duration of no more than 10 years and (iii) denominated in an OECD Collateral instrument currency) Valuation rate (%) Duration ≤ 1 year 90 Duration > 1 year and residual duration ≤ 5 years 85 Duration > 5 years and residual duration ≤ 10 years 80 Investment of collateral If the management company accepts collateral other than cash, it is not al- lowed to sell, invest, or encumber the collateral. If the management company accepts collateral in cash, it can: be invested as deposits with credit institutes headquartered in a member state or, if headquartered in a third country, are subject to conservative su- pervisory rules that are deemed by the FMA as being equivalent to the su- pervisory rules of member states; be invested in top-quality government bonds; be used for reverse annuities transactions if they are conducted with credit institutes subject to a conservative supervisory authority and the manage- ment company is always in a position to demand the full cash repayment including amounts accrued thereon; and/or be invested in short-term money market funds according to the definition in the Guidelines on a Common Definition of European Money Market Funds. The invested cash collateral should be diversified in accordance with the di- versification requirements that apply to collateral which is not provided in the form of account balances and as described above. The UCITS may incur losses when investing cash collateral received. Such a loss can incur as a result of the depreciation of the investment instruments pur- chased with the cash collateral. If the value of the invested cash collateral declines, this reduces the collateral amount that was made available to the UCITS and is subsequently due for repayment to the counterparty. The UCITS would have to offset the monetary difference between the originally received collateral and the amount repayable to the counterparty, so the UCITS would incur a loss.
Appears in 1 contract
Samples: Capital Funds
