HOMEWHY A SICAV SIFABOUT USTHE KMG ADVANTAGECONTACT US
UK TAX REPORTABLE INCOMEINVESTORS INFORMATION


 
Important Information regarding TRS (total return swaps)
 

  BROCHURE
  APPLICATION FORM
  SICAV SIF LAW
  AIFM DIRECTIVE / LAW
  UCITS / MIFID
  NEWS & ARTICLES
  CASE STUDIES
  FORUMS & SEMINARS
  COMPLAINTS

  PROFESSIONAL INTRODUCERS
  IFA TERMS OF BUSINESS
  1. General description of the SFTs and total return swaps used by the collective investment undertaking and the rationale for their use.

    The Sempera Credit Opportunities Fund (the “Sub-Fund”) may enter into total return swaps on loans, bonds or market indices in order to achieve long or short exposures on underlying in a way in which it is more efficient and flexible than implementing physically in the portfolio.

    In the case where the TRS format is used to access exposure to syndicated loans, the Sub-Fund does not need to invest the full market value of the loan. The TRS enables the Sub-Fund to access this exposure indirectly from a wider range of loan market counterparties. This gives the Sub-Fund the opportunity to both source exposure to a wider range of assets and achieve better pricing.

  2. Overall data to be reported for each type of SFTs and total return swaps

    The TRS will typically be executed under an ISDA Master Agreement and CSA (Credit Support Annex). In the case where the underlying are loans this will also typically involve a loan TRS master agreement. An individual TRS can cover multiple underlying assets. The NAV of the Sub-Fund will record the aggregate mark-to-market of each TRS.

    Each TRS is reported in detail to a CCR (currently DTCC) in full compliance with EMIR reporting rules.

    1. Types of assets that can be subject to them

      • Loans, bonds and market indices
    2. Maximum proportion of AUM that can be subject to them

      • 100% of the Sub-Fund gross exposure could be achieved through total return swaps
    3. Expected proportion of AUM that will be subject to each of them

      • It is envisaged that the portion of gross exposure to instruments using total return swaps will be in the order of 75% but could be materially higher or lower. It is envisaged that the proportion of the Sub-Funds’ assets constituted by total return swaps’ valuation within the NAV of the Sub-Fund will typically be less than 10% of the Sub-Fund’s assets.
  3. Criteria used to select counterparties (including legal status, country of origin, minimum credit rating).

    The Sub-Fund only selects market leading top tier institutional counterparties for total return swaps with high quality credit ratings. These institutions must be regulated banks established in G7 or the EU countries. All counterparties must be approved by KMG SICAV SIF’s board of directors, Sempera Partners LLPs’ Board and Sempera Partners LLPs’ Investment Committee on a case by case basis.

  4. Acceptable collateral: description of acceptable collateral with regard to asset types, issuer, maturity, liquidity as well as the collateral diversification and correlation policies.

    The TRS will be collateralised by cash governed by an ISDA Master Agreement and CSA. The value of the TRS is determined based on the underlying assets’ mark to market and the accrued value of the TRS’s funding leg.

  5. Collateral valuation: description of the collateral valuation methodology used and its rationale, and whether daily mark-to-market and daily variation margins are used.

    All collateral is cash in either EUR, USD or GBP, valued daily and subject to daily variation margin. The value of cash is readily observable and transparent.

  6. Risk management: description of the risks linked to SFTs and total return swaps as well as risks linked to collateral management, such as operational, liquidity, counterparty, custody and legal risks and, where applicable, the risks arising from its reuse.

    Investment and derivative risks are disclosed in the Sub-Fund’s Appendix and main part of the Offering Document of KMG SICAV-SIF. The principle purpose of the TRS is to access the risk of the underlying instruments as an alternative to investing in them directly.

  7. Specification of how assets subject to SFTs and total return swaps and collateral received are safe-kept (e.g. with fund custodian).

    Collateral is limited to cash and is governed by an ISDA Master Agreement and CSA.

  8. Specification of any restrictions (regulatory or self-imposed) on reuse of collateral.

    Collateral is limited to cash and is governed by a market standard ISDA Master Agreement and CSA. This ISDA agreement provides an extensive legal framework under which the title to the cash collateral is transferred to the recipient whereby there are no restrictions for reuse.

 


© 2009 KMG SICAV SIF

| Home Page | | Why a SICAV SIF | | About Us | | The KMG Advantage | | Contact Us || Site Map |

Luxembourg Fund set-up
Sicav Sif
Luxembourg SIF
Fund setup
Fund Services
SICAV
AIFMD
UCITS
Private placements
Private equity funds
Fund of funds
Asset managers
Registered
National regulator
EU-AIF
SICAV SIF
Cyprus
Distribution
MSR
Reporting Requirements
Self-manage
Risk management
Investment services
KMG Capital Markets
fund incubator
  Setting up a fund
Sicav Sif Fund Services
Luxembourg SICAV
Fund of funds
Luxembourg Funds
SIF

EU AIFMD
EU AIFM
NPPR
Real estate funds
Banks
Portfolio management
Authorized
Open-ended investment funds
Non-EU AIF
Luxembourg
Marketing
Member State of Reference
Supervised
External investment manager
AIFMD Compliant
Qualified investors
Segregated sub-fund
  Fund Launch
Real Estate Fund
Private Equity Fund setup
Launch your own fund
Fund Creation
Luxembourg fund creation

AIFM Law
EU-wide passport
Collective investment schemes
Hedge funds
Investment firms
Self-assessment
Licensed
Investor protection
SIF
Switzerland
Home regulator
Compliance
Investment fund managers
Licensed
Administration
Alternative investment funds
Feeder fund