Related provisions for BIPRU 5.4.29

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COLL 5.6.7AGRP
(1) 2COLL 5.6.7 R (7) to (10) replicate the provisions of Article 5 of the Commission Recommendation 2004/383/EC of 27 April 2004 on the use of financial derivative instruments for undertakings for collective investment in transferable securities, so as to enable non-UCITS retail schemes to benefit from the same flexibility.11(2) The attention of authorised fund managers is specifically drawn to condition (d) in COLL 5.6.7 R (8) under which the collateral has to be legally enforceable
BIPRU 4.6.43RRP
For retail exposures secured by real estate collateral a correlation (R) of 0.15 must replace the correlation formula in the table in BIPRU 4.6.42 R.[Note:BCD Annex VII Part 1 point 12]
COLL 4.2.5CEURP

28

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.

[Note: section B of the annex to the Securities Financing Transactions Regulation and article 3 for relevant definitions.]

[Note: AUM means assets under management.]