APPENDIX B: Treasury Management Practice (TMP1) – Credit and Counterparty Risk Management
SPECIFIED INVESTMENTS: All such investments will be sterling denominated, with maturities up to maximum of 1 year, meeting the minimum ‘high’ quality criteria where applicable.
NON-SPECIFIED INVESTMENTS: These are any investments which do not meet the specified investment criteria.
A variety of investment instruments will be used, subject to the credit quality of the institution, and depending on the type of investment made it will fall into one of the above categories.
The criteria, time limits and monetary limits applying to institutions or investment vehicles are:
|
|
* Minimum credit criteria / colour band |
** Max % of total investments/ £ limit per institution |
Max. maturity period |
|
DMADF – UK Government |
N/A |
100% |
6 months |
|
UK Government gilts |
UK sovereign rating |
|
2 years |
|
UK Government Treasury blls |
UK sovereign rating |
|
2 years |
|
Bonds issued by multilateral development banks |
UK sovereign rating |
|
6 months |
|
Money market funds |
AAA |
100% |
Liquid |
|
Enhanced money market funds with a credit score of 1.25 |
AAA |
100% |
Liquid |
|
Enhanced money market funds with a credit score of 1.5 |
AAA |
100% |
Liquid |
|
Local authorities |
N/A |
100% |
2 years |
|
Term deposits with banks and building societies |
Yellow Purple Blue Orange Red Green No Colour |
|
Up to 2 years Up to 2 years Up to 2 years Up to 1 year Up to 6 Months Up to 100 days Top 5 Building societies only |
|
CDs or corporate bonds with banks and building societies |
Yellow Purple Blue Orange Red Green No Colour |
|
Up to 2 years Up to 2 years Up to 2 years Up to 1 year Up to 6 Months Up to 100 days Top 5 Building |
|
Corporate bond funds |
|
|
|
|
Gilt funds |
UK sovereign rating |
|
|
|
Property funds |
|
|
|
ENGLISH LOCAL AUTHORITIES
SPECIFIED INVESTMENTS:
(All such investments will be sterling denominated, with maturities up to maximum of 1 year, meeting the minimum ‘high’ rating criteria where applicable)
|
|
* Minimum ‘High’ Credit Criteria |
Use |
|
Debt Management Agency Deposit Facility |
-- |
In-house |
|
Term deposits – local authorities |
-- |
In-house |
|
Term deposits – banks and building societies ** |
Capita Green Rating |
In-house |
|
|
|
|
Term deposits with nationalised banks and banks and building societies
|
|
* Minimum Credit Criteria |
Use |
|
UK part nationalised banks |
Capita Blue Rating |
In-house |
|
Banks part nationalised by high credit rated (sovereign rating) countries – non UK |
Sovereign rating AA+ |
In-house |
|
Collateralised deposit (see note 2) |
UK sovereign rating |
In-house |
|
Certificates of deposit issued by banks and building societies covered by UK Government (explicit) guarantee |
UK sovereign rating |
In-house |
|
UK Government Gilts |
UK sovereign rating |
In-house buy and hold |
|
Bonds issued by multilateral development banks |
AAA |
In-house buy and hold |
|
Bond issuance issued by a financial institution which is explicitly guaranteed by the UK Government (refers solely to GEFCO - Guaranteed Export Finance Corporation) |
UK sovereign rating |
In-house buy and hold |
|
Sovereign bond issues (other than the UK govt) |
AAA |
In-house buy and hold |
|
Treasury Bills |
UK sovereign rating |
In house |
|
Collective Investment Schemes structured as Open Ended Investment Companies (OEICs): - |
||
|
1. Government Liquidity Funds |
Capita Yellow Rating |
In-house |
|
2. Money Market Funds |
Capita Yellow Rating |
In-house |
|
3. Enhanced Money Market Funds with a credit score of 1.25 |
Capita Dark Pink Rating |
In-house |
|
4. Enhanced Money Market Funds with a credit score of 1.5 |
Capita Light Pink Rating |
In-house |
|
5. Bond Funds |
AAA |
In-house |
|
6. Gilt Funds |
AAA |
In-house |
Accounting treatment of investments. The accounting treatment may differ from the underlying cash transactions arising from investment decisions made by this Council. To ensure that the Council is protected from any adverse revenue impact, which may arise from these differences, we will review the accounting implications of new transactions before they are undertaken.
NON-SPECIFIED INVESTMENTS A maximum of 25% will be held in aggregate in non-specified investment
1. Maturities of ANY period
|
|
* Minimum Credit Criteria |
Use |
|
Fixed term deposits with variable rate and variable maturities: -Structured deposits |
Capita Green Rating |
In-house |
|
Term deposits with unrated counterparties : any maturity |
Top five Building Societies based on a combination of Asset size and Man Exp |
In-house |
|
Commercial paper issuance covered by a specific UK Government (explicit) guarantee |
UK sovereign rating |
In-house |
|
Commercial paper other |
|
In-house |
|
Corporate bonds |
* Short-term __, Long-term __, Viability __, Support __ |
In-house |
|
Other debt issuance by UK banks covered by UK Government (explicit) guarantee |
UK sovereign rating |
In-house |
|
Property fund: the use of these investments would constitute capital expenditure |
-- |
In house |
2. Maturities in excess of 1 year
|
|
* Minimum Credit Criteria |
Use |
Max. maturity period |
|
|
|
Term deposits – local authorities |
-- |
In-house |
2 yrs |
|
|
|
Term deposits – banks and building societies |
Capita Blue Rating |
In-house |
2 yrs |
|
|
|
Certificates of deposit issued by banks and building societies covered by UK Government (explicit) guarantee |
UK sovereign rating |
In-house |
2yrs |
|
|
|
|
|
|
|
|
|
|
Certificates of deposit issued by banks and building societies |
Capita Blue Rating |
In-house |
2 yrs |
|
|
|
UK Government Gilts |
UK sovereign rating |
In-house |
2 yrs |
|
|
|
Bonds issued by multilateral development banks |
AAA |
In-house |
2 yrs |
|
|
|
Sovereign bond issues (other than the UK govt) |
AAA |
In-house |
2 yrs |
|
|
|
Collective Investment Schemes structured as Open Ended Investment Companies (OEICs) |
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|
1. Bond funds |
AAA |
In-house |
2 yrs |
|
|
|
2. Gilt funds |
AAA |
In-house |
2 yrs |
|
|