If the use of derivatives is permitted for the management of a securities fund, such derivatives must be described in the fund regulations and the prospectus.
The prospectus must indicate whether the derivatives are used as part of the investment strategy or solely to hedge investment positions. In addition, the prospectus must explain how the use of derivatives affects the risk profile of the securities fund.
The fund regulations and prospectus must state which risk assessment process is applied to the securities fund. The risk assessment process must also be described in the prospectus. If the model approach is used, the gross overall exposure to derivatives must be shown. If the relative VaR approach is used, the benchmark portfolio must be disclosed in the prospectus.
If a securities fund exhibits increased volatility or leverage due to the use of derivatives, special reference must be made to this in the prospectus and advertising material.
Reference must be made to the counterparty risks of derivatives in the prospectus.