## Derivatives
The Company can detect and measure suffi- ciently accurately all market risks in the fund arising from the use of derivatives.
To determine the extent to which the market risk limit has been reached, the Company applies the so-called “qualified approach” as defined by the Derivatives Regulation.
In this regard, the Company uses either the relative or the absolute VaR method to measure and limit the market risk exposure. In the case of the relative VaR method, a reference portfolio that does not contain derivatives is generally defined that in terms of its risk profile and investment strategy is appropriate for the fund, and the market risk (“VaR”) of the fund is
The precise composition of the reference portfolio is available from the Company on request.
The value-at-risk amount for the fund’s market risk exposure may at no time exceed twice the value-at-risk amount for the market risk exposure of the associated reference portfolio with no derivatives.
The market risk of the fund and of the reference portfolio with no derivatives is calculated using the value-at-risk (“VaR”) method. As the VaR method, the Company uses historical simulation with the following parameters: a confidence interval of 99% and an effective historical observation period of at least one year. The VaR is the highest possi- ble loss that, with 99% probability, will not be exceeded within the specified holding period. The VaR therefore does not indicate the maximum possible loss. When calculating the VaR, the Company records market price risks from all transactions. By means of the risk model, it quantifies the change in the value of the assets held in the fund over time. The VaR is thus a limit, expressed as a monetary amount, for potential losses in a portfolio between two given points in time. This change in value is determined by ran- dom events, namely, the future development of market prices, and can therefore not be predicted with certainty. The market risk to be determined in each case can be estimated only with a certain degree of probability.
The VaR method is continuously tested using backtesting. In addition, stress tests are conducted on a regular basis.
The Company may – provided an appropriate risk management system is in place – invest in any and all types of derivatives for the account of the fund, provided that this investment is consistent with the investment objectives and the invest- ment strategy of the fund. This requires that the derivatives be based on assets that may be acquired for the fund, or on the following underlyings:
- Interest rates
- Exchange rates
- Currencies
- Financial indices that are sufficiently diversified, represent an adequate benchmark for the market to which they refer, and are published in an appropriate manner. In particular, this includes options, financial futures and swaps, as well as combinations thereof.

Translation (ENES, 2020-07-01):
### Derivados
La sociedad puede registrar y medir con sufi- ciente exactitud todos los riesgos de mercado incluidos en el fondo que se basen en el empleo de derivados.
Para determinar el grado de utilización del límite de riesgo de mercado, la sociedad aplica el principio cualificado en el sentido del reglamento alemán de derivados.
A tal efecto, la sociedad puede utilizar los modelos de valor en riesgo relativo o abso- luto para medir y controlar la magnitud de riesgo potencial del riesgo de mercado. En el
des monetarias, de las posibles pérdidas de una cartera entre dos momentos dados. Esta variación del valor viene determinada por hechos aleatorios, como la evolución futura de los precios de mer- cado, por lo que no es predecible con toda seguri- dad. El riesgo de mercado resultante únicamente puede ser estimado en cada caso con una cierta probabilidad.
El método de valor en riesgo se revisa de forma continua mediante controles a posteriori (back- testing). Como complemento, también se llevan a cabo pruebas de estrés periódicas.
La sociedad podrá invertir por cuenta del fondo, bajo reserva de un sistema apropiado de gestión del riesgo, en todo tipo de derivados, siempre que dicha inversión sea acorde con los objetivos y la estrategia de inversión del fondo. Condición previa para ello será que los derivados se deriven de activos financieros que puedan ser adquiridos para el fondo o de los siguientes activos subya- centes:
- Tipos de interés
- Tipos de cambio
- Monedas
- Índices financieros suficientemente diversifi- cados que constituyan una referencia ade- cuada para el mercado al que corresponden y se publiquen de manera apropiada. Entre estos están las opciones, los contratos de futuros financieros y los swaps, así como combinaciones de los anteriores.