Related provisions for LR 13.6.4
Table: General contents of a periodic statement
This table belongs to COBS 18.5.15 E.
General contents of periodic statements |
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1 |
Contents and value |
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(a) |
As at the beginning of the account period, the total value of the portfolio of the fund6, being either: 6 |
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(i) |
the value of the assets comprised in the portfolio on the date as at which the statement provided for the immediately preceding period of account is made up; or |
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(ii) |
in the case of the first periodic statement, the value of the assets comprised in the portfolio on the date on which the firm6 assumed responsibility for the management of the portfolio. 6 |
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(b) |
As at the end of the account period: |
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(i) |
the number, description and value of each investment held on behalf of the fund6; 6 |
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(ii) |
the amount of cash held on behalf of the fund6; and 6 |
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(iii) |
the total value of the portfolio of the fund6. 6 |
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2 |
Basis of valuation A statement of the basis on which the value of each investment has been calculated and, if applicable, a statement that the basis for valuing a particular investment has changed since the previous periodic statement. Where any investments are shown in a currency other than the usual one used for valuation of the portfolio of the fund6, the relevant currency exchange rates must be shown. 6 |
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3 |
Details of any assets loaned or charged |
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(a) |
A summary of those investments (if any) which were, at the closing date, loaned to any third party and those investments (if any) that were at that date charged to secure borrowings made on behalf of the portfolio of the fund6; and 6 |
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(b) |
the aggregate of any interest payments made and income received during the account period in respect of loans or borrowings made during the period. |
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4 |
Transactions and changes in composition Except in the case of a portfolio which aims to track the performance of an external index: |
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(a) |
a statement that summarises the transactions entered into for the portfolio of the fund6 during the period; and 6 |
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(b) |
the aggregate of money and a summary of all investments transferred into and out of the portfolio of the fund6 during the period; and 6 |
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(c) |
the aggregate of any interest payments, dividends and other benefits received by the firm6 for the portfolio of the fund6 during that period. 66 |
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5 |
Charges and remuneration If not previously advised in writing, a statement for the account period: |
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(a) |
of the aggregate charges of the firm6 and its associates; and 6 |
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(b) |
of any remuneration received by the firm6 or its associates or both from a third party in respect of the transactions entered into, or any other services provided, for the portfolio of the fund6. 66 |
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6 |
Movement in value of portfolio A statement of the difference between the value of the portfolio at the closing date and its value at the starting date of the account period, having regard at least, during the account period, to the following: |
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(a) |
the aggregate of assets received from investors of the fund6 and added to the portfolio of the fund6; 66 |
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(b) |
the aggregate of the value of assets transferred, or of amounts paid, to thefund;6 6 |
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(c) |
the aggregate income received on behalf of the fund6 in respect of the portfolio; and 6 |
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(d) |
the aggregate of realised and unrealised profits or gains and losses attributable to the assets comprised in the portfolio of the fund6. 6 |
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Notes: For the purposes of Item 1, where the fund6 is a property enterprise trust, it will be sufficient for the periodic statement to disclose the number of properties held in successive valuation bands where this is appropriate to the size and composition of the fund6, rather than the value of each asset in the portfolio. The valuation bands of over £10m, £5-£10m, £2.5-£5m, £1-£2.5m and under £1m would be appropriate, unless a firm6 could show that different bands were justifiable in the circumstances. The statement to be provided under Item 6 is not intended to be an indicator of the performance of the portfolio of the fund.6 A firm6 may wish to distinguish capital and income, and thereby provide more information than referred to in this table. If the statement includes some measure of performance, the basis of measurement should be stated. 666 |
Transparency of collective investment undertakings in pre-contractual documents |
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1. |
The prospectus referred to in [COLL 4.2.2R]32, and the disclosure by AIFMs to investors required by [FUND 3.2.2R]32 shall specify the SFT and total return swaps which UCITS management companies or UCITS investment companies, and AIFMs respectively, are authorised to use and include a clear statement that those transactions and instruments are used. |
2. |
The prospectus and the disclosure to investors referred to in paragraph 1 shall include the data provided for in Section B of the Annex. |
[Note: article 14(1) and (2) of the Securities Financing Transactions Regulation and article 3 for relevant definitions] |
Information to be included in the UCITS Prospectus and AIF disclosure to investors: |
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General description of the SFTs and total return swaps used by the collective investment undertaking and the rationale for their use. |
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Overall data to be reported for each type of SFTs and total return swaps |
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Types of assets that can be subject to them. |
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Maximum proportion of AUM that can be subject to them. |
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Expected proportion of AUM that will be subject to each of them. |
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Criteria used to select counterparties (including legal status, country of origin, minimum credit rating). |
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Acceptable collateral: description of acceptable collateral with regard to asset types, issuer, maturity, liquidity as well as the collateral diversification and correlation policies. |
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Collateral valuation: description of the collateral valuation methodology used and its rationale, and whether daily mark-to-market and daily variation margins are used. |
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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. |
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Specification of how assets subject to SFTs and total return swaps and collateral received are safe-kept (e.g. with fund custodian). |
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Specification of any restrictions (regulatory or self-imposed) on reuse of collateral. |
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Policy on sharing of return generated by SFTs and total return swaps: description of the proportions of the revenue generated by SFTs and total return swaps that is returned to the collective investment undertaking, and of the costs and fees assigned to the manager or third parties (e.g. the agent lender). The prospectus or disclosure to investors shall also indicate if these are related parties to the manager. |
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[Note: section B of the annex to the Securities Financing Transactions Regulation and article 3 for relevant definitions.] [Note: AUM means assets under management.] |
Information to be provided in the UCITS half-yearly and annual reports and the AIF’s annual report |
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Global data: |
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The amount of securities and commodities on loan as a proportion of total lendable assets defined as excluding cash and cash equivalents; |
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The amount of assets engaged in each type of SFTs and total return swaps expressed as an absolute amount (in the collective investment undertaking’s currency) and as a proportion of the collective investment undertaking’s assets under management (AUM). |
Concentration data: |
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Ten largest collateral issuers across all SFTs and total return swaps (break down of volumes of the collateral securities and commodities received per issuer’s name); |
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Top 10 counterparties of each type of SFTs and total return swaps separately (Name of counterparty and gross volume of outstanding transactions). |
Aggregate transaction data for each type of SFTs and total return swaps separately to be broken down according to the below categories: |
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Type and quality of collateral; |
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Maturity tenor of the collateral broken down in the following maturity buckets: less than one day, one day to one week, one week to one month, one to three months, three months to one year, above one year, open maturity; |
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Currency of the collateral; |
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Maturity tenor of the SFTs and total return swaps broken down in the following maturity buckets: less than one day, one day to one week, one week to one month, one to three months, three months to one year, above one year, open transactions; |
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Country in which the counterparties are established; |
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Settlement and clearing (e.g., tri-party, Central Counterparty, bilateral). |
Data on reuse of collateral: |
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Share of collateral received that is reused, compared to the maximum amount specified in the prospectus or in the disclosure to investors; |
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Cash collateral reinvestment returns to the collective investment undertaking. |
Safekeeping of collateral received by the collective investment undertaking as part of SFTs and total return swaps: |
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Number and names of custodians and the amount of collateral assets safe-kept by each of the custodians |
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Safekeeping of collateral granted by the collective investment undertaking as part of SFTs and total return swaps: |
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The proportion of collateral held in segregated accounts or in pooled accounts, or in any other accounts |
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Data on return and cost for each type of SFTs and total return swaps broken down between the collective investment undertaking, the manager of the collective investment undertaking and third parties (e.g. agent lender) in absolute terms and as a percentage of overall returns generated by that type of SFTs and total return swaps |
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[Note: section A of the annex to the Securities Financing Transactions Regulation and article 3 for relevant definitions] |