Regulation (EU) 2015/2365 of the European Parliament and of the CouncilDangos y teitl llawn

ANNEX U.K.

Section A – U.K. Information to be provided in the UCITS half-yearly and annual reports and the AIF’s annual report

Global data: U.K.

• The amount of securities and commodities on loan as a proportion of total lendable assets defined as excluding cash and cash equivalents;

• 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: U.K.

• 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);

• 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: U.K.

• Type and quality of collateral;

• 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;

• Currency of the collateral;

• 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;

• Country in which the counterparties are established;

• Settlement and clearing (e.g., tri-party, Central Counterparty, bilateral).

Data on reuse of collateral: U.K.

• Share of collateral received that is reused, compared to the maximum amount specified in the prospectus or in the disclosure to investors;

• 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: U.K.

Number and names of custodians and the amount of collateral assets safe-kept by each of the custodians

Safekeeping of collateral granted by the collective investment undertaking as part of SFTs and total return swaps: U.K.

The proportion of collateral held in segregated accounts or in pooled accounts, or in any other accounts

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

Section B – U.K. Information to be included in the UCITS Prospectus and AIF disclosure to investors:

• General description of the SFTs and total return swaps used by the collective investment undertaking and the rationale for their use.

• Overall data to be reported for each type of SFTs and total return swaps

  • Types of assets that can be subject to them

  • Maximum proportion of AUM that can be subject to them

  • Expected proportion of AUM that will be subject to each of them.

• Criteria used to select counterparties (including legal status, country of origin, minimum credit rating).

• Acceptable collateral: description of acceptable collateral with regard to asset types, issuer, maturity, liquidity as well as the collateral diversification and correlation policies.

• Collateral valuation: description of the collateral valuation methodology used and its rationale, and whether daily mark-to-market and daily variation margins are used.

• 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.

• Specification of how assets subject to SFTs and total return swaps and collateral received are safe-kept (e.g. with fund custodian).

• Specification of any restrictions (regulatory or self-imposed) on reuse of collateral.

• 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.