Related provisions for INSPRU 3.2.37

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COLL 5.4.2GRP
(1) This section covers techniques relating to transferable securities and approved money-market instruments which are used for the purpose of efficient portfolio management. It3 permits the generation of additional income for the benefit of the authorised fund, and hence for its investors, by entry into stock lending transactions for the account of the authorised fund.(2) The specific method of stock lending permitted in this section is in fact not a transaction which is a loan
COLL 5.4.4RRP
(1) An ICVC, or the depositary of an authorised fund acting in accordance with the instructions 6of the authorised fund manager4, may enter into a repo contract, or a1stock lending arrangement of the kind described in section 263B of the Taxation of Chargeable Gains Act 1992 (without extension by section 263C), but only if:444(a) all the terms of the agreement under which securities are to be reacquired by the depositary for the account of the ICVC, AUT or ACS4 are in a form which
COLL 5.4.5GRP
Where a stock lending arrangement is entered into, the scheme property remains unchanged in terms of value. The securities transferred cease to be part of the scheme property, but there is obtained in return an obligation on the part of the counterparty to transfer back equivalent securities. The depositary will also receive collateral to set against the risk of default in transfer, and that collateral is equally irrelevant to the valuation of the scheme property (because it is
BIPRU 7.2.5GRP
BIPRU 7.2.3R(1) includes a trading bookposition in debt security, preference share or convertible that is subsequently repo'd under a repurchase agreement or lent under a stock lending agreement. Clearly, if the security had initially been obtained via a reverse repurchase agreement or stock borrowing agreement, the security would not have been included in the PRR calculation in the first place.
COLL 5.1.4GRP

This table belongs to COLL 5.1.2G (2).

Scheme investments and investment techniques

Limits for UCITS schemes

Limits for non-UCITS retail schemes

Permissible investment

Maximum limit

Permissible investment

Maximum limit

Approved securities

Yes

None

Yes

None

Transferable securities that are not approved securities

Yes

10%

Yes

20%

Government and public securities

Yes

None

Yes

None

Regulated schemes other than qualified investor schemes1

Yes

None

Yes

None

Unregulated schemes and qualified investor schemes1

No

N/A

Yes

20%(C)1

Warrants

Yes

None

Yes

None

Investment trusts

Yes

None

Yes

None

Deposits

Yes

None

Yes

None

Derivatives

Yes

None

Yes

None

Immovables (i.e real property)

No

N/A

Yes

None

Gold

No

N/A

Yes

10%

Hedging

Yes

None

Yes

None

Stock lending

Yes

None

Yes

None

Underwriting

Yes

None

Yes

None

Borrowing

Yes

10% (T)

Yes

10%

Cash and near cash

Yes

None

Yes

None

Note:

Meaning of terms used:

A percentage

an upper limit (though there may be limits of other kinds).

"(T)"

temporary only- see COLL 5.5.4R(4)

"N/A"

Not applicable1

1“(C)”

In the case of a non-UCITS retail scheme operating as a FAIF there is no maximum limit - see COLL 5.7.7 R.

INSPRU 1.5.32GRP
The purposes of the long-term insurance business include the payment of claims, expenses and liabilities arising from that business, the acquisition of lawful access to fixed assets to be used in that business and the investment of assets. The payment of liabilities may include repaying a loan but only where that loan was incurred for the purpose of the long-term insurance business. The purchase or investment of assets may include an exchange at fair market value of assets (including
COLL 8.4.9RRP
(1) The ICVC, or the depositary at the request of the ICVC, or the depositary of an AUT or ACS9 at the request of the authorised fund manager,9 may enter into a repo contract or a 2stock lending arrangement within section 263B of the Taxation of Chargeable Gains Act 1992 (without extension by section 263C).99(2) The depositary must ensure that the value of any collateral, for the stock lending arrangement is at all times at least equal to the value of the securities transferred

11

Receivables

In the case of receivables due to the firm in the form of fees, commission, interest, dividends and margin in exchange-traded futures or options contracts, which are directly related to items included in the trading book, the CRR is calculated as follows:

CRR = A x RF, where

A = the amount of the sum due; and

RF = the appropriate risk factor derived from IPRU-INV 5.14.1R.

Note 1

This requirement attaches only to balances arising from proprietary activity falling within the definition of the trading book.

Note 2

This requirement does not attach to items deducted in full as illiquid assets.

2

Delivery of cash against documents

Where a firm enters into a trading book transaction and the transaction is to be settled by delivery of cash against documents, the firm'sCRR in respect of that transaction is calculated as follows:

CRR = (SP - MV) x RF, where

SP = agreed settlement price;

MV = current market value;

RF = the appropriate risk factor derived from IPRU-INV 5.13.1R.

The CRR should only be calculated where the difference between SP and MV would involve a loss if borne by the firm.

3

Free deliveries

Where a firm enters into a trading book transaction and the firm pays for the securities before it receives documents of title or delivers documents of title before receiving payment, the CRR in respect of that transaction is calculated as follows:

CRR =

V x RF,

where

V

(i)

the full amount due to the firm (i.e. the contract value) where the firm has delivered securities to a counterparty and has not received payment; or

(ii)

the market value of the securities, where the firm has made payment to a counterparty for securities and has not received documents of title; and

RF =

the appropriate risk factor derived from IPRU-INV 5.14.1R.

4

Settlement outstanding 30 days or more

In the case of trading book transactions entered into by a firm where the firm pays for the securities before it receives documents of title or delivers documents of title before receiving payment and settlement has not been effected within 30 days of falling due, CRR = V.

5

Repos/Stock Lending and Reverse Repos/Stock Borrowing

Where a firm enters into a transaction based on securities included in the trading book under the terms of a repurchase agreement or a securities lending agreement the firm'sCRR in respect of that transaction is calculated as follows:

CRR = V x RF, where

RF = the appropriate risk factor derived from IPRU-INV 5.14.1R; and

for repos/stock lending:

V = the excess of the market value of the securities over the value of the collateral provided under the agreement, if the net figure is positive; or

for reverse repos/stock borrowing:

V = the excess of the amount paid or the collateral given for the securities received under the agreement, if the net figure is positive.

6

otc derivatives

In the case of a transaction entered into by a firm as principal in an otc derivative the CRR is calculated as follows:

CRR = A x RF, where

A = the appropriate credit equivalent amount derived from IPRU-INV 5.15.1R; and

RF = the appropriate risk factor derived from IPRU-INV 5.14.1R.

This calculation shall not apply to contracts for interest rate and foreign exchange which are traded on a recognised investment exchange or designated investment exchange where they are subject to a daily margin requirement and foreign exchange contracts with an original maturity of 14 calendar days or less.

A firm may net off contracts with the same counterparty in the same otc derivative contract for settlement on the same date in the same currency provided that the firm is legally entitled under the terms of the contracts with such a counterparty to net such contracts by novation.