COLL 6 Annex 3 Guidance notes on UK UCITS management company of UCITS schemes and EEA UCITS schemes: Derivative Use Report (FSA042: UCITS)

Fund name

This is the name of the scheme or, where applicable, of the sub-fund as it appears on the FS Register or, for an EEA UCITS scheme, in the prospectus.

Fund authorisation

Whether the scheme is authorised and regulated in the United Kingdom or in another EEA State.

PRN or LEI

For a UCITS scheme, this is the product reference number of the scheme or, where applicable, of the sub-fund which appears on the FS Register.

EEA UCITS schemes are not assigned a PRN. Instead, the legal entity identifier (LEI) of the scheme or, where applicable, of the sub-fund, should be indicated. Where the LEI is not available, please leave the cell blank.

Derivative

A forward, a future, an option, a swap, a warrant or another type of derivative instrument.

Derivatives used for investment purposes

This means that derivatives are not being used solely in pursuit of efficient portfolio management.

Global exposure

Global exposure is calculated as either the incremental exposure and leverage generated through the use of derivatives, or the market risk of the scheme property, as set out in COLL 5.3.7R. Market risk is calculated using one of the stated risk measures.

Risk measures

For each scheme or, where applicable, sub-fund, information should be provided for only one of the risk measures (commitment approach, relative VaR or absolute VaR) indicated in the table.

Average leverage

In line with the CESR Guidelines (CESR/10-788), this is the mean of all leverage calculations over the past twelve months, leverage being calculated as the sum of the notionals of the derivatives used.

Leverage limit

In line with Box 24 of the CESR guidelines (CESR/10-788), the usually expected or maximum expected level of leverage should be provided. Where these are not applicable, please provide the maximum leverage limit approved internally by the authorised fund manager (or leave blank if appropriate and provide an explanation in the comments box).