UCITS

Summary of Key Guidelines

Liquid Securities only

  • 0% Exposure to Commodities
  • 0% Exposure to Property / Real Estate
  • 0% Exposure to Private Equity
  • 0% Exposure to illiquid securities

Risk Management

  • VaR of a fund cannot exceed 20%, with 99% confidence level and 20 days holding period; minimum historical observation period of 1 year.
  • Stress testing for derivatives must be carried out at least once a month.
  • Daily risk monitoring is carried out to ensure compliance with fund restrictions.
  • Fund Managers are financially liable for any losses incurred from any advertent breaches of the Fund restrictions.

Borrowing

  • A Fund cannot borrow more than 10% of the NAV
  • Additional exposure is available through Swaps (no Recourse)

Issuer Control Limits

  • A Fund cannot hold more than 10% of any one companies issued stocks, bonds or money market instruments, including through derivatives

Concentration Limits

  • Positions of same issuer must be less than 10% of NAV (can be up to 25% of NAV if a credit institution, or up to 35% if government backed)
  • Total aggregate positions as above that are greater than 5% and less than 10%, must be less than 40% of NAV
  • Cash deposits with one credit institution must be less than 20% of NAV
  • Derivatives from the same issuer must be less than 5% of NAV (10% if the counterparty is a credit institution)
  • Collateral reduces the exposure to an entity
  • Aggregate exposure to a given entity across all the above (transferable securities + deposits + derivatives – collateral) must be less than 35% of the NAV

Liquidity

  • Daily marked to market
  • Daily or weekly liquidity

Investment Restrictions

  • Physical short-selling is disallowed; short exposure can be obtained through single-stock swaps with limited counterparty risk
  • Warrants (direct or through derivatives) must be less than 5% of the NAV

Corporate Governance

  • All directors of a Fund must be independent of the Investment Manager
  • An independent Auditor, Administrator and Custodian must be appointed
  • Independent Risk Reporting must be provided

Transparency

  • Underlying holdings
  • Semi-annual and annual reports
  • Prospectus and KIID must give particular risk warnings
  • KIID must give risk/reward indicator

 

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