Pension Funds/Opinions/Operation of pensions funds

Contracting of commodity futures

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1. With regard to the possibility of management entities contracting "commodity futures to cover possible positions in portfolios (Bonds whose income depends on the evolution of commodity prices)", this is a situation which, in the case of such contracts being traded on a regulated market, and having as its underlying objective the reduction of investment risk or the effective management of the portfolio (which may be aimed, namely, hedging the risk of variability of income associated with the financial instruments held), is not acceptable because the underlying asset ("commodities" or goods) is not a security, an interest rate or currency or an index on such assets/financial instruments, as provided for in Regulatory Standard 8/2002-R, of 7 May;

2. In fact, from the Derivatives Standard it is clear that it is not possible for management entities to contract commodities futures, but only financial assets futures, even if it is recognised that, when they serve to reduce the risk of variability of the income from assets (bonds) held by the fund depending on the evolution of commodities, they may serve to reduce the risk of investment in assets permitted as investments of pension funds, thus fulfilling the objective established in paragraph (b) of Article 2(1) of Regulation 8/2002-R, of 7 May; 2.Article 69.3, no. 1, of Decree-Law no. 12/2006, of 20 January, for the use of derivatives.

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