Related provisions for COLL 5.6.6

1 - 20 of 114 items.

Search Term(s)

Filter by Topics

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

COLL 5.2.3RRP
(1) An authorised fund manager must ensure that, taking account of the investment objectives and policy of the UCITS scheme as stated in the most recently published prospectus, the scheme property of the UCITS scheme aims to provide a prudent spread of risk.(2) The rules in this section relating to spread of investments do not apply until the expiry of a period of six months after the date of which the authorisation order, in respect of the UCITS scheme, takes effect or on which
COLL 5.2.4RRP
The scheme property of each UCITS scheme must be invested only in accordance with the relevant provisions in sections COLL 5.2 to COLL 5.5 that are applicable to that UCITS scheme and up to any maximum limit so stated, but, the instrument constituting the fund18 may further restrict:18(1) the kind of property in which the scheme property may be invested;(2) the proportion of the capital property of the UCITS scheme be invested in assets of any description;(3) the descriptions
COLL 5.2.5RRP
(1) In this chapter, the value of the scheme property of a UCITS schememeans the net value determined in accordance with COLL 6.3 (Valuation and pricing), after deducting any outstanding borrowings, whether immediately due to be repaid or not.(2) When valuing the scheme property for the purposes of this chapter:(a) the time as at which the valuation is being carried out ("the relevant time") is treated as if it were a valuation point, but the valuation and the relevant time do
COLL 5.2.6ARRP
7The scheme property of a UCITS scheme must, except where otherwise provided in the rules in this chapter, consist solely of any or all of:(1) transferable securities;(2) approved money-market instruments;(3) units in collective investment schemes;(4) derivatives and forward transactions; (5) deposits; and (6) (for an ICVC) movable and immovable property that is essential13 for the direct pursuit of the ICVC's business;13in accordance with the rules in this section.[Note: articles
COLL 5.2.7DGRP
(1) 7An authorised fund manager should not invest the scheme property of a UCITS scheme in units of a closed end fund for the purpose of circumventing the investment limits set down in this section.(2) When required to assess whether the corporate governance mechanisms of a closed end fund in contractual form are equivalent to those applied to companies, the authorised fund manager should consider whether the contract on which the closed end fund is based provides its investors
COLL 5.2.7IGRP
(1) 7The authorised fund manager should assess the liquidity of a money-market instrument in accordance with CESR's UCITS eligible assets guidelines with respect to article 4(1) of the UCITS eligible assets Directive.(2) Where an approved money-market instrument forms part of the scheme property of a qualifying money market fund, short-term money market fund or money market fund,12 the authorised fund manager should adequately monitor that the instrument continues to be of high
COLL 5.2.8RRP
(1) [deleted]77(2) [deleted]77(3) Transferable securities and approved money-market instruments7 held within a UCITS scheme must be:777(a) admitted to or dealt in on an eligible market within COLL 5.2.10 R (1)(a) (Eligible markets: requirements); or(b) dealt in on an eligible market within COLL 5.2.10 R (1)(b); or(c) admitted to or dealt in on an eligible market within COLL 5.2.10 R (2); or(d) for an approved money-market instrument not admitted to or dealt in on an eligible market,
COLL 5.2.9ARRP
12The ability to hold up to 10% of the scheme property in ineligible assets under COLL 5.2.8 R (4) is subject to the following limitations:(1) for a qualifying money market fund, the 10% restriction is limited to high quality money market instruments with a maturity or residual maturity of not more than 397 days, or regular yield adjustments consistent with such a maturity, and with a weighted average maturity of no more than 60 days;(2) for a short-term money market fund or a
COLL 5.2.10RRP
(1) A market is eligible for the purposes of the rules in this sourcebook if it is:(a) a regulated market;(b) a market in an EEA State which is regulated, operates regularly and is open to the public; or(c) any market within (2).(2) A market not falling within (1)(a) and (b) is eligible for the purposes of the rules in this sourcebook if:(a) the authorised fund manager, after consultation with and notification to the depositary (and in the case of an ICVC, any other directors),
COLL 5.2.11RRP
(1) This rule does not apply to government and public securities.(2) For the purposes of this rule companies included in the same group for the purposes of consolidated accounts as defined in accordance with the Seventh Council Directive 83/349/EEC of 13 June 1983 based on Article 54(3)(g) of the Treaty on consolidated accounts or, in the same group in accordance with international accounting standards, are regarded as a single body.(3) Not more than 20% in value of the scheme
COLL 5.2.11AGRP
(1) [deleted]13113(2) [deleted]1313(3) 5In applying the spread limit of 20% in value of scheme property which may consist of deposits with a single body, all uninvested cash comprising capital property that the depositary holds should be included in calculating the total sum of the deposits held by it and other companies in its group on behalf of the scheme.
COLL 5.2.12RRP
(1) This rule applies to government and public securities ("such securities").(2) Where no more than 35% in value of the scheme property is invested in such securities issued by any one body, there is no limit on the amount which may be invested in such securities or in any one issue.(3) An authorised fund may invest more than 35% in value of the scheme property in such securities issued by any one body provided that:(a) the authorised fund manager has before any such investment
COLL 5.2.13RRP
A UCITS scheme must not invest in units in a collective investment scheme ("second scheme") unless the second scheme satisfies all of the following conditions, and provided that no more than 30% of the value of the UCITS scheme is invested in second schemes within (1)(b) to (e):88(1) the second scheme must:(a) satisfy the conditions necessary for it to enjoy the rights conferred by the UCITS Directive; or(b) be a recognised scheme18 under the provisions of section 27218 of the
COLL 5.2.14GRP
(1) COLL 9.3 gives further detail as to the recognition of a scheme under section 27218of the Act.18(2) Article 5013 of the UCITS Directive sets out the general investment limits. So, a scheme18 which has the power to invest in gold or immovables would not meet the criteria set out in COLL 5.2.13R (1).18131818(3) 8In determining whether a scheme (other than a UCITS)18 meets the requirements of article 50(1)(e)13 of the UCITS Directive for the purposes ofCOLL 5.2.13R (1),18 the
COLL 5.2.18RRP
[deleted]7
COLL 5.2.19RRP
(1) A transaction in derivatives or a forward transaction must not be effected for a UCITS scheme unless:(a) the transaction is of a kind specified in COLL 5.2.20 R (Permitted transactions (derivatives and forwards)); and(b) the transaction is covered, as required by COLL 5.3.3A R (Cover for investment in derivatives and forward transactions).1313(2) Where a UCITS scheme invests in derivatives, the exposure to the underlying assets must not exceed the limits in COLL 5.2.11 R (Spread:
COLL 5.2.19AGRP
(1) 7Collateralised debt obligations (CDOs) or asset-backed securities using derivatives, with or without an active management, will generally not be considered as embedding a derivative except if:(a) they are leveraged, i.e. the CDOs or asset-backed securities are not limited recourse vehicles and the investors' loss can be higher than their initial investment; or(b) they are not sufficiently diversified.(2) Where a transferable security or approved money-market instrument embedding
COLL 5.2.20RRP
(1) A transaction in a derivative must:(a) be in an approved derivative; or(b) be one which complies with COLL 5.2.23 R (OTC transactions in derivatives).(2) The underlying of a transaction in a derivative must consist of any one or more of the following to which the scheme is dedicated:(a) transferable securities permitted under COLL 5.2.8 R (3)(a) to (c) and COLL 5.2.8 R (3)(e)7;(b) approved money-market instruments7 permitted underCOLL 5.2.8 R (3)(a) to COLL 5.2.8 R (3)(d)7;77(c)
COLL 5.2.22AGRP
[deleted]131(1) In the FCA's view the requirement in COLL 5.2.22R (1)(a) can be met where:(a) the risks of the underlying financial instrument of a derivative can be appropriately represented by another financial instrument and the underlying financial instrument is highly liquid; or(b) the authorised fund manager or the depositary has the right to settle the derivative in cash, and cover exists within the scheme property which falls within one of the following asset classes:(i)
COLL 5.2.29RRP
A UCITS scheme:(1) must not acquire transferable securities (other than debt securities) which:(a) do not carry a right to vote on any matter at a general meeting of the body corporate that issued them; and(b) represent more than 10% of those securities issued by that body corporate;(2) must not acquire more than 10% of the debt securities issued by any single body;(3) must not acquire more than 25% of the units in a collective investment scheme;(4) must not acquire more than
COLL 5.2.30RRP
(1) In relation to a UCITS scheme which is an umbrella, the provisions in COLL 5.2 to COLL 5.5 apply to each sub-fund as they would for an authorised fund, except the following rules which apply at the level of the umbrella only:(a) COLL 5.2.27 R (Significant influence for ICVCs);(b) COLL 5.2.28 R (Significant influence for authorised fund managers of AUTs or ACSs17); and17(c) COLL 5.2.29 R (Concentration).(2) A sub-fund may invest in or dispose of units of14 another sub-fund
COLL 5.2.31RRP
(1) Notwithstanding COLL 5.2.11 R (Spread: general), a7UCITS scheme may invest up to 20% in value of the scheme property in shares and debentures which are issued by the same body where the investment policy of that scheme as stated in the most recently published prospectus is to replicate the composition of a relevant index which satisfies the criteria specified in COLL 5.2.33 R (Relevant indices).7(1A) Replication of the composition of a relevant index shall be understood to
COLL 5.2.32GRP
(1) Where the 20% limit (see COLL 5.2.31 R (1)) is raised (subject to the maximum of 35% permitted by COLL 5.2.31 R (2)), the authorised fund manager should provide appropriate information in the simplified prospectus, in order to explain the authorised fund manager's assessment of why this increase is justified by exceptional market conditions.7[Note:CESR's UCITS eligible assets guidelines with respect to Article 12(2) of the UCITS eligible assets Directive]7(2) In the case of
COLL 5.2.34GRP
13Authorised fund managers of UCITS schemes or EEA UCITS schemes should bear in mind that where a UCITS scheme, or an EEA UCITS scheme that is a recognised scheme under section 264 of the Act, employs particular investment strategies such as investing more than 35% of its scheme property in government and public securities, or investing principally in units in collective investment schemes, deposits or derivatives, or replicating an index, COBS 4.13.2R (Marketing communications
COLL 5.2.35GRP
(1) 15A syndicated loan for the purposes of this guidance means a form of loan where a group or syndicate of parties lend money to a third party and, in return, receive interest payments during the life of the debt and a return of principal either at the end of the loan period or amortised over the life of the loan. Such loans are usually arranged through agent banks which may, among other things, maintain a record of the lenders’ interest in the loan and arrange or act as a
BIPRU 7.7.1RRP
A firm must calculate its CIU PRR by:(1) identifying which CIUpositions must be included within the scope of the PRR calculation (see BIPRU 7.7.2R);(2) identifying which CIUpositions are to be subject to the CIU PRR and which positions are to be subject to one of the other PRR charges;(3) converting on a daily basis net positions into the firm'sbase currency at the prevailing spot exchange rate before their aggregation;(4) calculating an individual PRR for each position in a CIU
BIPRU 7.7.2RRP
(1) A firm'sPRR calculation must include all trading bookpositions in CIUs.(2) A firm'sCIU PRR calculation must include all trading bookpositions in CIUs unless they are treated under one of the CIU look through methods and included in the PRR calculations for the relevant underlying investments or subject to an option PRR.(3) A firm'sPRR calculation for CIUs must include notional positions arising from trading bookpositions in options or warrants on collective investmentunde
BIPRU 7.7.3RRP
Unless noted otherwise, no netting is permitted between the underlying investments of a CIU and other positions held by a firm for the purposes of calculating the PRR charge for a position in a CIU.
BIPRU 7.7.4RRP
A firm may rely on a third party to calculate and report PRR capital requirements for position risk (general market risk and specific risk) for positions in CIUs falling within BIPRU 7.7.9R and BIPRU 7.7.11R, in accordance with the methods set out in BIPRU 7.7, provided that the correctness of the calculation and the report is adequately ensured.
BIPRU 7.7.5RRP
Without prejudice to other provisions in BIPRU 7.7, a position in a CIU is subject to a collective investment undertaking PRR (general market risk and specific risk) of 32%. Without prejudice to provisions in BIPRU 7.5.18R (Foreign currency PRR for CIUs) or, if the firm has a VaR model permission, BIPRU 7.10.44R (Commodity risks and VaR models) taken together with BIPRU 7.5.18R, where the modified gold treatment set out in those rules is used, a position in a CIU is subject to
BIPRU 7.7.6RRP
A firm may determine the securities PRR requirement for positions in CIUs which meet the criteria set out in BIPRU 7.7.7R, by one of the following methods:(1) the standard CIU look through method (BIPRU 7.7.4R and BIPRU 7.7.7R - BIPRU 7.7.10R); or(2) the modified CIU look through method (BIPRU 7.7.4R, BIPRU 7.7.7R - BIPRU 7.7.8R and BIPRU 7.7.11R - BIPRU 7.7.12R).
BIPRU 7.7.7RRP
The general eligibility criteria for using the methods in BIPRU 7.7.4R and BIPRU 7.7.9R - BIPRU 7.7.11R, for CIUs issued by companies supervised or incorporated within the EEA are that:(1) the CIU's prospectus or equivalent document must include:(a) the categories of assets the CIU is authorised to invest in;(b) if investment limits apply, the relative limits and the methodologies to calculate them;(c) if leverage is allowed, the maximum level of leverage; and(d) if investment
BIPRU 7.7.8RRP
Third country CIUs are eligible if the requirements in BIPRU 7.7.7R (1) - BIPRU 7.7.7R (5) are met.
BIPRU 7.7.9RRP
(1) Where a firm is aware of the underlying investments of the CIU on a daily basis the firm may look through to those underlying investments in order to calculate the securities PRR for position risk (general market risk and specific risk) for those positions in accordance with the methods set out in the securities PRR requirements or, if the firm has a VaR model permission, in accordance with the methods set out in BIPRU 7.10 (Use of a Value at Risk Model).(2) Under this approach,
BIPRU 7.7.10RRP
(1) A firm may calculate the securities PRR for position risk (general market risk and specific risk) for positions in CIUs in accordance with the methods set out in the securities PRR requirements or, if the firm has a VaR model permission, in accordance with the methods set out in BIPRU 7.10 (Use of a Value at Risk Model), to assumed positions representing those necessary to replicate the composition and performance of the externally generated index or fixed basket of equities
BIPRU 7.7.11RRP
Where a firm is not aware of the underlying investments of the CIU on a daily basis, the firm may calculate the securities PRR for position risk (general market risk and specific risk) in accordance with the methods set out in the securities PRR requirements, subject to the following conditions:(1) it must be assumed that the CIU first invests to the maximum extent allowed under its mandate in the asset classes attracting the highest securities PRR for position risk (general market
BIPRU 7.7.12RRP
For the purpose of BIPRU 7.7.11R (1) the position in the CIU must be treated as a direct holding in the assumed position.
BIPRU 7.7.13GRP
Where BIPRU 7.7 permits a firm to calculate the PRR charge for a position in a CIU using the rules in BIPRU 7 relating to the underlying investment, a firm that has:(1) a CAD 1 model waiver that covers positions in CIUs may use the rules as modified by that waiver; and(2) a VaR model permission that covers positions in CIUs may use its VaR model.
BIPRU 7.7.14GRP
An option on a CIU should be treated in accordance with BIPRU 7.6.35R to BIPRU 7.6.37G (Options on a CIU).
COLL 5.6.2GRP
(1) This section contains rules on the types of permitted investments and any relevant limits with which non-UCITS retail schemes must comply. These rules allow for the relaxation of certain investment and borrowing powers from the requirements of the UCITS Directive. Consequently, a scheme authorised as a non-UCITS retail schemewill not qualify for the cross border passporting rights conferred by the UCITS Directive on a UCITS scheme.(2) Some examples of the different investment
COLL 5.6.4RRP
(1) The scheme property of a non-UCITS retail scheme may, subject to the rules in this section, comprise any assets or investments to which it is dedicated.(2) For an ICVC, the scheme property may also include movable or immovable property that is necessary for the direct pursuit of the ICVC's business of investing in those assets or investments.(3) The scheme property must be invested only in accordance with the relevant provisions in this section that are applicable to that
COLL 5.6.5RRP
Transferable securities and money-market instruments held within a non-UCITS retail scheme must:(1) 2(a) be admitted to or dealt in on an eligible market within COLL 5.2.10 R (Eligible markets: requirements); or9(b) be recently issued transferable securities which satisfy the requirements for investment by a UCITS scheme set out in COLL 5.2.8 R (3)(e); or9(c) be approved money-market instruments not admitted to or dealt in on an eligible market which satisfy the requirements for
COLL 5.6.7RRP
(1) This rule does not apply in respect of government and public securities.(2) Not more than 20% in value of the scheme property is to consist of deposits with a single body.(3) Not more than 10% in value of the scheme property is to consist of transferable securities or money-market instruments issued by any single body subject to COLL 5.6.23 R (Schemes replicating an index).(3A) The limit of 10% in (3) is raised to 25% in value of the scheme property in respect of covered bonds.9(4)
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
COLL 5.6.13RRP
(1) A transaction in a derivative must be within COLL 5.2.20 R (1) (Permitted transactions (derivatives and forwards)) and:(a) the underlying must be within COLL 5.6.4 R (5) (Investment powers: general) or COLL 5.2.20R (2)(f) to (i)2; and2(b) the exposure to the underlying must not exceed the limits in COLL 5.6.7 R (Spread: general),9COLL 5.6.8 R (Spread: government and public securities) and COLL 5.6.5 R (2).99(2) A transaction in an approved derivative must be effected on or
COLL 5.6.18ARRP
(1) 5An overseas6 immovable may be held by a scheme through an intermediate holding vehicle whose purpose is to enable the holding of immovables by the scheme or a series of such intermediate holding vehicles, provided that the interests of unitholders are adequately protected. Any investment in an intermediate holding vehicle for the purpose of holding an overseas6 immovable shall be treated for the purposes of this chapter as if it were a direct investment in that6 immovable.6(2)
COLL 5.6.19RRP
The following limits apply in respect of immovables held as part of scheme property of a scheme:(1) not more than 15% in value of the scheme property is to consist of any one immovable;(2) in (1), immovables within COLL 5.6.18 R (4) (b) (Investment in property) must be regarded as one immovable;(3) the figure of 15% in (1) may be increased to 25% once the immovable has been included in the scheme property in compliance with (1);(4) the income receivable from any one group in any
COLL 5.6.20RRP
(1) The following requirements apply in relation to the appointment of a valuer:(a) the authorised fund manager must ensure that any immovables in the scheme property are valued by an appropriate valuer (standing independent valuer) appointed by the authorised fund manager; and(b) the appointment must be made with the approval of the depositary at the outset and upon any vacancy.18(2) The standing independent valuer in (1) must be:(a) for an AUT or ACS18, independent of the authorised
COLL 5.6.23RRP
(1) A non-UCITS retail scheme may invest up to 20% in value of the scheme property in shares and debentures which are issued by the same body where the aim of the investment policy of that scheme as stated in its most recently published prospectus is to replicate the performance or composition of an index within (2).(2) The index must:(a) have a sufficiently diversified composition;(b) be a representative benchmark for the market to which it refers; and(c) be published in an appropriate
COLL 5.6.23AGRP
(1) 9Replication of the composition of an index shall be understood to be a reference to replication of the composition of the underlying assets of that index, including the use of techniques and instruments for the purpose of efficient portfolio management.(2) The composition of an index is sufficiently diversified if its components adhere to the spread requirements in this section.(3) An index is a representative benchmark if its provider uses a recognised methodology which
COLL 5.6.24RRP
(1) In relation to a scheme which is an umbrella, the provisions in this section apply to each sub-fund as they would for a non-UCITS retail scheme.(2) A sub-fund may invest in or dispose of units of15 another sub-fund of the same umbrella (the second sub-fund) only if the following conditions are satisfied:1515(a) the second sub-fund does not hold units in any other sub-fund of the same umbrella;15(b) the conditions in COLL 5.2.16 R (Investment in other group schemes) and COLL
COLL 5.6.26RRP
17The authorised fund manager of a feeder NURS must ensure that the feeder NURS does not invest in the qualifying master scheme, unless the qualifying master scheme meets both of the requirements in (1) and (2):(1) the qualifying master scheme:(a) satisfies the conditions necessary for it to enjoy the rights conferred by the UCITS Directive; or(b) is a recognised scheme; or (c) is a non-UCITS retail scheme; and(2) where the qualifying master scheme is an umbrella, the provisions
COLL 8.5.2RRP
(1) The authorised fund manager must manage the scheme in accordance with:(a) the instrument constituting the fund;1212(b) the rules in this sourcebook;(c) the most recently published prospectus; and(d) for an ICVC, the OEIC Regulations.(2) The authorised fund manager must carry out such functions as are necessary to ensure compliance with the rules in this sourcebook that impose obligations on the authorised fund manager or ICVC, as appropriate.(3) The authorised fund manager
COLL 8.5.3RRP
(1) An authorised fund manager may give instructions to deal in the scheme property.(2) An authorised fund manager must avoid the scheme property being used or invested contrary to any provision in COLL 8.4 (Investment and borrowing powers).(3) An authorised fund manager must immediately on becoming aware of any breach of COLL 8.4 take action, at its own expense, to rectify that breach.(4) An authorised fund manager must take the action in (3) immediately, except in circumstances
COLL 8.5.4RRP
(1) The depositary is responsible for the safekeeping of all the scheme property.(2) The depositary must:(a) take all steps to ensure that transactions properly entered into for the account of the scheme are completed;(b) take all steps to ensure that instructions properly given by the authorised fund manager in respect of the exercise of rights related to scheme property are carried out;(c) ensure that any scheme property in registered form is as soon as reasonably practicable
COLL 8.5.5RRP
(1) The authorised fund manager (or in addition any other director in the case of an ICVC) may delegate any function to any person.(2) The depositary has the power to delegate any function to anyone, including in the case of an ICVC a director, to assist the depositary to perform its functions, save that it must not retain the services of the authorised fund manager or, in the case of an ICVC, any other director to perform any part of its functions of safe custody of the scheme
COLL 8.5.7RRP
(1) The authorised fund manager and the depositary must ensure that any transaction in respect of the scheme property undertaken with an affected person is on terms at least as favourable to the scheme as any comparable arrangement on normal commercial terms negotiated at arm's length with an independent third party.(2) Paragraph (1) is subject to any provision in the instrument constituting the fund12 and the prospectus imposing a prohibition in relation to any type of trans
COLL 8.5.8RRP
(1) The authorised fund manager10 or the depositary of an AUT or ACS10 (in accordance with their responsibilities as set out in the instrument constituting the fund12) must maintain a register of unitholders as a document in accordance with this rule.101012(2) The register must contain:(a) the name and address of each Unitholder (for joint Unitholders no more than four need to be registered);(b) the number of units (including fractions of a unit) of each class held by each unitholder;
COLL 8.5.9RRP
(1) The value of the scheme property is the net value of the scheme property after deducting any outstanding borrowings (including any capital outstanding on a mortgage of an immovable).(2) Any part of the scheme property which is not an investment (save an immovable) must be valued at fair value.(3) For the purposes of (2), any charges that were paid, or would be payable, on acquiring or disposing of the asset must be excluded from the value of that asset.(4) The value of the
COLL 8.5.10BRRP
(1) 10Where transfer of units in an ACS is allowed by its contractual scheme deed and prospectus in accordance with the conditions specified by FCArules, the authorised contractual scheme manager of the ACS must take reasonable care to ensure that units are only transferred if the conditions specified by the FCA under (2) are met.(2) The FCA specifies that for the purposes of (1), and for the purposes of COLL 8.2.6R(2)(6)(a)(vii)(B) (Table: contents of the instrument constituting
COLL 8.5.11RRP
(1) The authorised fund manager must, at all times during the dealing day, be willing to effect the sale of units to any eligible investor (within any conditions in the instrument constituting the fund12 and the prospectus which must be fair and reasonable as between all unitholders and potential unitholders) for whom the authorised fund manager does not have reasonable grounds to refuse such sale.12(2) The authorised fund manager must, at all times during the dealing day, effect
COLL 8.5.13RRP
(1) An ICVC must not incur any expense in respect of the use of any movable or immovable property unless the scheme is dedicated to such investment or such property is necessary for the direct pursuit of its business.(2) Payments out of the scheme property may be made from capital property rather than from income, provided the basis for this is set out in the prospectus.
COLL 8.5.14GRP
An affected person is not liable to account to another affected person or to the unitholders of the scheme for any profits or benefits it makes or receives that are made or derived from or in connection with:(1) dealings in the units of a scheme; or(2) any transaction in scheme property; or(3) the supply of services to the scheme;where disclosure of the non-accountability has been made in the prospectus of the scheme.
BIPRU 3.4.114RRP
BIPRU 3.4.115 R to BIPRU 3.4.125 R set out the treatment to be accorded to exposures in the form of CIUs.
BIPRU 3.4.115RRP
Without prejudice to BIPRU 3.4.116 R to BIPRU 3.4.125 R, exposures in CIUs must be assigned a risk weight of 100%.[Note: BCD Annex VI Part 1 point 74]
BIPRU 3.4.116RRP
Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.117 R in accordance with the assignment by the appropriate regulator in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 75]
BIPRU 3.4.117RRP

Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available

This table belongs to BIPRU 3.4.116 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

50%

100%

100%

150%

150%
BIPRU 3.4.118RRP
Where a firm considers that a position in a CIU is associated with particularly high risks it must assign that position a risk weight of 150%.[Note: BCD Annex VI Part 1 point 76]
BIPRU 3.4.119GRP
A firm should consider a CIU as being high risk where there is no external credit assessment from an eligible ECAI and where the CIU has specific features (such as high levels of leverage or lack of transparency) that prevent it from meeting the eligibility criteria laid out in BIPRU 3.4.121 R.
BIPRU 3.4.120GRP
Other examples of high risk CIUs are: one in which a substantial element of the CIU's property is made up of items that would attract a risk weight of over 100%; or one whose mandate (as referred to in BIPRU 3.4.124 R) would permit it to invest in a substantial amount of such items.
BIPRU 3.4.121RRP
Where BIPRU 3.4.116 R does not apply, a firm may determine the risk weight for a CIU as set out in BIPRU 3.4.123 R to BIPRU 3.4.125 R, if the following eligibility criteria are met:(1) one of the following conditions is satisfied:(a) the CIU is managed by a company which is subject to supervision in an EEA State; or(b) the following conditions are satisfied:(i) the CIU is managed by a company which is subject to supervision that is equivalent to that laid down in EU5 law; and5(ii)
BIPRU 3.4.122RRP
If another EEA competent authority approves a third country CIU as eligible under a CRD implementation measure with respect to point 77(a) of Part 1 of Annex VI of the Banking Consolidation Directive then a firm may make use of this recognition.[Note: BCD Annex VI Part 1 point 78]
BIPRU 3.4.123RRP
Where a firm is aware of the underlying exposures of a CIU, it may look through to those underlying exposures in order to calculate an average risk weight for the CIU in accordance with the standardised approach.[Note: BCD Annex VI Part 1 point 79]
BIPRU 3.4.124RRP
Where a firm is not aware of the underlying exposures of a CIU, it may calculate an average risk weight for the CIU in accordance with the standardised approach subject to the following rules: it will be assumed that the CIU first invests, to the maximum extent allowed under its mandate, in the standardised credit risk exposure classes attracting the highest capital requirement, and then continues making investments in descending order until the maximum total investment limit
BIPRU 3.4.125RRP
A firm may rely on a third party to calculate and report, in accordance with the methods set out in BIPRU 3.4.123 R to BIPRU 3.4.124 R, a risk weight for the CIU provided that the correctness of the calculation and report is adequately ensured.[Note: BCD Annex VI Part 1 point 81]
COLL 6.6.3RRP
(1) The authorised fund manager must manage the scheme in accordance with:(a) the instrument constituting the fund;1111(b) the rules in this sourcebook;(c) the most recently published prospectus; and(d) for an ICVC, the OEIC Regulations.(2) The authorised fund manager must take such steps as necessary to ensure compliance with the rules in this sourcebook that impose obligations upon the ICVC.(3) The authorised fund manager must:(a) make decisions as to the constituents of the
COLL 6.6.4RRP
(1) The depositary of an authorised fund must take reasonable care to ensure that the scheme is managed by the authorised fund manager in accordance with:(a) COLL 5 (Investment and borrowing powers);(b) COLL 6.2 (Dealing);(c) COLL 6.3 (Valuation and pricing);(d) COLL 6.8 (Income: accounting, allocation and distribution); and(e) any provision of the instrument constituting the fund11 or prospectus that relates to the provisions referred to in (a) to (d).11(2) The depositary
COLL 6.6.5RRP
(1) The duties and powers of the authorised fund manager, the directors of an ICVC and the depositary under the rules in this sourcebook and under the instrument constituting the fund11 are in addition to the powers and duties under the general law. 11(2) Paragraph (1) applies only in so far as the relevant general law is not qualified by the rules in this sourcebook or the instrument constituting the fund11 or the OEIC Regulations.11
COLL 6.6.5ARRP
9Where reasonable grounds exist for an ACD of an ICVC or an authorised contractual scheme manager of a co-ownership scheme10 which is an umbrella to consider that a foreign law contract entered into by the ICVC or authorised contractual scheme manager on behalf of the co-ownership scheme10 may have become inconsistent with the principle of limited recourse stated in the instrument constituting the fund11 of the ICVC or co-ownership scheme10 (see COLL 3.2.6 R (22A) (ICVCs: Umbrella
COLL 6.6.10RRP
(1) The authorised fund manager may give instructions to deal in the property of the scheme.(2) The authorised fundmanager must obtain the consent of the depositary for the acquisition or disposal of immovable property.(3) Where the depositary is of the opinion that a deal in property is not within the rules in this sourcebook and the instrument constituting the fund11, the depositary may require the authorised fund manager to cancel the transaction or make a corresponding disposal
COLL 6.6.12RRP
(1) The depositary of an authorised fund is responsible for the safekeeping of all of the scheme property (other than tangible movable property) entrusted to it and must:(a) take all steps and complete all documents needed to ensure completion of transactions properly entered into for the account of the scheme;(b) ensure that scheme property in registered form is, as soon as practicable, registered in the name of the depositary, its nominee, or a person retained by it under COLL
COLL 6.6.13RRP
(1) The depositary must take all necessary steps to ensure that instructions given to it by the authorised fund manager for the exercise of rights attaching to the ownership of scheme property are carried out.(2) Where the scheme property of an authorised fund contains units in any other scheme managed or otherwise operated by the authorised fund manager10 of the AUT or ACS10 or, as the case may be, by any director of the ICVC or by any associate of either, the depositary must
COLL 6.6.14RRP
(1) The authorised fundmanager must avoid the scheme property being used or invested contrary to COLL 5, or any provision in the instrument constituting the fund11 or the prospectus as referred to in COLL 5.2.4 R (Investment powers:general), and COLL 5.6.4 R (Investment powers: general)2, except to the extent permitted by (3)(b).11(2) The authorised fund manager must, immediately upon becoming aware of any breach of a provision listed in (1), take action, at its own expense, to
COLL 6.6.15RRP
(1) The directors of an ICVC may delegate to any one or more of their number any of the directors' powers or duties but remain responsible for the acts or omissions of any such directors.(1A) The directors of an ICVC have the power to retain the services of anyone to assist in the performance of their functions, subject to the duty of the ACD to comply with COLL 6.6.15A R.8(2) [deleted]8(3) [deleted]88(4) The depositary of a scheme may delegate any function to any person save:(a)
COLL 6.6.17RRP
(1) The authorised fund manager, any other director of an ICVC and the depositary must take reasonable care to ensure that a transaction within (a) to (f) is not carried out on behalf of the scheme:(a) putting cash on deposit with an affected person unless that person is an eligible institution or an approved bank and the arm's length requirement in (2) is satisfied;(b) lending money by an affected person to, or for the account of, the scheme, unless the affected person is an
COLL 8.4.5RRP
(1) 7A qualified investor scheme may invest in units in a scheme (a ‘second scheme’) only if the second scheme is:7(a) a regulated collective investment scheme; or7(b) a scheme not within (a) where the authorised fund manager has taken reasonable care to determine that:7(i) it is the subject of an independent annual audit conducted in accordance with international standards on auditing;7(ii) the calculation of the net asset value of each of the second schemes and the maintenance
COLL 8.4.5ARRP
Where the second scheme in COLL 8.4.5 R is an umbrella, the provisions apply to each sub-fund as if it were a separate scheme.
COLL 8.4.5BGRP
(1) 7The guidance at COLL 5.7.11 G applies to an authorised fund manager of a qualified investor scheme carrying out due diligence for the purpose of COLL 8.4.5 R, as if that guidance related to COLL 8.4.5 R.(2) Where COLL 5.7.11G (10) refers to COLL 6.3 (Valuation and pricing), that reference should be read as if it were a reference to COLL 8.5.9 R (Valuation, pricing and dealing).(3) In addition to the guidance at COLL 5.7.11 G the authorised fund manager should, as part of
COLL 8.4.6RRP
(1) An authorised fund manager must take reasonable care to determine the following when entering into any transaction in derivatives or any commodity contract which may result in any asset becoming part of the scheme property:(a) if it is an asset in which the scheme property could be invested, that the transaction:(i) can be readily closed out; or(ii) would at the expected time of delivery relate to an asset which could be included in the scheme property under the rules in this
COLL 8.4.7RRP
(1) A transaction in derivatives or a forward transaction may be entered into only if the maximum exposure, in terms of the principal or notional principal created by the transaction to which the scheme is or may be committed by another person, is covered globally under (2).(2) Exposure is globally covered if adequate cover from within the scheme property is available to meet the scheme's total exposure taking into account any reasonably foreseeable market movement.(3) The total
COLL 8.4.8RRP
(1) An authorised fund manager must, as frequently as necessary to ensure compliance with COLL 8.4.7 R (2) and COLL 8.4.7 R (4), re-calculate the amount of cover required in respect of derivatives and forwards positions in existence under this chapter.(2) Derivatives and forwards positions may be retained in the scheme property only so long as they remain covered globally under COLL 8.4.7 R.(3) An authorised fund manager must use a risk management process enabling it to monitor
COLL 8.4.11ARRP
(1) 4An overseas5 immovable may be held by a scheme through an intermediate holding vehicle whose purpose is to enable the holding of immovables by the scheme or a series of such intermediate holding vehicles, provided that the interests of unitholders are adequately protected. Any investment in an intermediate holding vehicle for the purpose of holding an overseas5 immovable shall be treated for the purposes of this section as if it were a direct investment in that5 immovable.5(2)
COLL 8.4.12RRP
The following limits apply in respect of immovables held as part of the scheme property:(1) the amount secured by mortgages over any immovable must not exceed 100% of the latest valuation by an appropriate valuer under COLL 8.4.11 R (2)(c) or COLL 8.4.11 R (2)(d) or COLL 8.4.13 R, as appropriate;(2) no option may be granted to a person to buy or obtain an interest in any immovable comprised in the scheme property if this might unduly prejudice the ability to provide redemption;
COLL 8.4.13RRP
(1) In relation to the appointment of a valuer the authorised fund manager must:(a) at the outset appoint the standing independent valuer with the approval of the depositary and likewise upon any vacancy; and(b) ensure that any immovables in the scheme property are valued by an appropriate valuer (standing independent valuer) appointed by the authorised fund manager.(2) The following apply in relation to the functions of the standing independent valuer:(a) the authorised fund
COLL 7.3.1GRP
(1) The winding up of an ICVC may be carried out under this section instead of by the court provided the ICVC is solvent and the steps required under regulation 21 the OEIC Regulations (The Authority's approval for certain changes in respect of a company) are fulfilled. This section lays down the procedures to be followed and the obligations of the ACD and any other directors of the ICVC. (2) The termination of a sub-fund may be carried out4 under this section, instead of by the
COLL 7.3.2RRP
In this section, where a sub-fund of an ICVC is being terminated, references to:(1) units, are references to units of the class or classes related to the sub-fund to be terminated;(2) a resolution, or extraordinary resolution, are references to such a resolution passed at a meeting of unitholders of units of the class or classes referred to in (1); (3) scheme property, are references to the scheme property allocated or attributable to the sub-fund to be terminated; and(4) liabilities,
COLL 7.3.3GRP

This table belongs to COLL 7.3.1 G (4) (Explanation of COLL 7.3)3

3

Summary of the main steps in winding up a solvent ICVC or terminating a sub-fund3 under FCArules, assuming FCA approval.

Notes: N = Notice to be given to the FCA under regulation 21 of OEIC Regulations

E = commencement of winding up or termination

W/U = winding up

FAP = final accounting period (COLL 7.3.8 R(4))

Step number

Explanation

When

COLL rule (unless stated otherwise)

1

Commence preparation of solvency statement

N-28 days

7.3.5 (2)

2

Send audited solvency statement to the FCA with copy to depositary

By N + 21 days

7.3.5 (4) and (5)

3

Receive the FCA approval

N + one month

Regulation 21 of OEIC Regulations

4

Normal business ceases; notify unitholders3

3

E

7.3.6

5

Realise proceeds, wind up, instruct depositary accordingly

ASAP after E

7.3.7

6

Prepare final account or termination account & have account audited

On completion of W/U or termination

7.3.8

7

Send final account or termination account and auditor's report to the FCA & unitholders

Within 43months of FAP

3

7.3.8(6)

8

Request FCA to revoke relevant authorisation order or update its records4

On completion of W/U or termination4

7.3.7(9)
COLL 7.3.4RRP
(1) An ICVC must not be wound up except:44(a) under this section; or4(b) as an unregistered company under Part V of the Insolvency Act 1986.4(1A) 4A sub-fund must not:(a) be terminated except under this section; or(b) wound up except under Part V of the Insolvency Act 1986 (as modified by regulation 33C of the OEIC Regulations) as an unregistered company.(2) An ICVC must not be wound up or a sub-fund terminated4 under this section if there is a vacancy in the position of ACD.
COLL 7.3.6RRP
(1) Winding up or termination must commence once the conditions referred to in COLL 7.3.4 R (3) are both satisfied or, if later, once the events in COLL 7.3.4 R (4) have occurred. (2) Once winding up or termination has commenced: (a) COLL 6.2 (Dealing), COLL 6.3 (Valuation and pricing) and COLL 5 (Investment and borrowing powers) cease to apply to the ICVC or to the units and scheme property in the case of a sub-fund; (b) the ICVC must cease to issue and cancel3units, except
COLL 7.3.7RRP
(1) [deleted]44(2) The ACD must, as soon as practicable after winding up or termination has commenced, cause the scheme property to be realised and the liabilities of the ICVC or the sub-fund to be met out of the proceeds.(3) The ACD must instruct the depositary how such proceeds (until utilised to meet liabilities or make distributions to unitholders) must be held and those instructions must be prepared with a view to the prudent protection of creditors and unitholders against
COLL 7.3.7AGRP
3For the purposes of this section an ICVC may be treated as having been wound up or a sub-fund terminated upon completion, where relevant, of all of the steps in (1) to (3):(1) payment or adequate provision being made (by the ACD) to cover the expenses relating to the winding up or termination and all liabilities of the scheme;(2) the scheme property being realised or distributed in accordance with COLL 7.3.7 R (8); and(3) the net proceeds being distributed to the unitholders
COLL 7.3.8RRP
(1) Once the ICVC's affairs are wound up or termination of the sub-fund has been completed (including distribution or provision for distribution in accordance with COLL 7.3.7 R (5)),3 the ACD must prepare an account of the winding up or termination showing: 3(a) how it has been conducted; and(b) how the scheme property has been disposed of. (2) The account in (1) must be, if there is: (a) more than one director, approved by the board of directors and be signed on their behalf
COLL 6.7.3GRP
(1) This section assists in securing the statutory objective of protecting consumers through requirements which govern the payments out of scheme property and charges imposed on investors when buying or selling units.(2) The requirements clarify the nature of permitted charges and payments and ensure the disclosure for unitholders of any increases in charges and payments to the authorised fund manager.(3) The prospectus should make adequate provision for payments from an authorised
COLL 6.7.4RRP
(1) The only payments which may be recovered from the scheme property of an authorised fund are those in respect of: (a) remunerating the parties operating the authorised fund;(b) the administration of the authorised fund; or(c) the investment or safekeeping of the scheme property.(2) No payment under this rule can be made from scheme property if it is unfair to (or materially prejudices the interests of) any class of unitholders or potential unitholders.(3) Paragraphs (1) and
COLL 6.7.5GRP
(1) Details of permissible types of payments out of scheme property are to be set out in full in the prospectus in accordance with COLL 4.2.5R (13) and COLL 4.2.5R (14) (Table: contents of the prospectus).(2) An authorised fund manager should consider whether a payment to an affected person is unfair because of its amount or because it confers a disproportionate benefit on the affected person.3(3) COLL 6.7.4 R (2) (Payments out of scheme property) does not invalidate a payment
COLL 6.7.6GRP
(1) For the authorised fund manager's periodic charge or for payments out of scheme property to the investment adviser, the prospectus may permit a payment based on a comparison of one or more aspects of the scheme property or price in comparison with fluctuations in the value or price of property of any description or index or other factor designated for the purpose (a "performance fee").(2) Any performance fee should be specified in the appropriate manner in the prospectus and
COLL 6.7.12RRP
2(1) No payment may be made from scheme property to any person, other than a payment to the authorised fund manager permitted by the rules in COLL, for the acquisition or promotion of the sale of units in an authorised fund.2(2) 2Paragraph (1) does3 not apply to the costs an authorised fund incurs3 preparing and printing the simplified prospectus, key investor information document6, key features document or key features illustration3, provided the prospectus states, in accordance
COLL 6.7.15RRP
(1) Where the property of an authorised fund is transferred to a second authorised fund (or to the depositary for the account of the authorised fund) in consideration of the issue of units in the second authorised fund to unitholders in the first scheme, (2) applies.(2) The ICVC or the depositary of the ICVC, ACS or8AUT as the successor in title to the property transferred, may pay out of the scheme property any liability arising after the transfer which, had it arisen before
COLL 6.7.16GRP
An affected person is not liable to account to another affected person or to the unitholders of any scheme for any profits or benefits it makes or receives that are made or derived from or in connection with:(1) dealings in the units of a scheme; or(2) any transaction in scheme property; or(3) the supply of services to the scheme;where disclosure of the non-accountability has been made in the prospectus of the scheme.
COLL 6.7.17RRP
For a scheme which is an umbrella, any assets to be received into, or any payments out of, the scheme property which are not attributable to one sub-fund only, must be allocated by the authorised fund manager between the sub-funds in a manner which is fair to the unitholders of the umbrella generally.
BIPRU 7.6.3RRP
Except as permitted under BIPRU 7.6.5R, a firm'soption PRR calculation must include:(1) each trading bookposition in an option on an equity, interest rate or debt security;(2) each trading bookposition in a warrant on an equity or debt security;(3) each trading bookposition in a CIU; and(4) each trading book and non-trading bookposition in an option on a commodity, currency or gold.
BIPRU 7.6.5RRP

Table: Appropriate PRR calculation for an option or warrant

This table belongs to BIPRU 7.6.3R

Option type (see BIPRU 7.6.18R) or warrant

PRR calculation

American option, European option, Bermudan option, Asian option or warrant for which the in the money percentage (see BIPRU 7.6.6R) is equal to or greater than the appropriate position risk adjustment (see BIPRU 7.6.7R and BIPRU 7.6.8R)

Calculate either an option PRR, or the most appropriate to the underlying position of:

American option, European option, Bermudan option, Asian option or warrant:

Calculate an option PRR

All other types of option listed in BIPRU 7.6.18R (regardless of whether in the money, at the money or out of the money).
BIPRU 7.6.6RRP
(1) The in the money percentage is calculated in accordance with this rule.(2) For a call option:Current market price of underlying - Strike price of the option * 100Strike price of the option(3) For a put option:Strike price of option - Current market price of underlying * 100Strike price of the option(4) In the case of an option on a basket of securities a firm may not treat the option as being in the money by the relevant percentage so as to enable the firm not to apply an
BIPRU 7.6.7RRP
(1) The appropriate position risk adjustment for a position is that listed in the table in BIPRU 7.6.8R against the relevant underlying position.(2) If the firm uses the commodity extended maturity ladder approach or the commodity maturity ladder approach for a particular commodity under BIPRU 7.4 (Commodity PRR) the appropriate position risk adjustment for an option on that commodity is the outright rate applicable to the underlying position (see BIPRU 7.4.26R (Calculating the
BIPRU 7.6.8RRP

Table: Appropriate position risk adjustment

This table belongs to BIPRU 7.6.7R

Underlying position

Appropriate position risk adjustment

Equity

The position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method)

Interest rate

The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position

Debt securities

The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position

Commodity

18% (unless BIPRU 7.6.7R requires otherwise)

Currency

8%

Gold

8%

CIU

32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R)
BIPRU 7.6.13RRP

Table: Derived positions

This table belongs to BIPRU 7.6.9R

Underlying

Option (or warrant)

Derived position

Equity

Option (warrant) on a single equity or option on a future/forward on a single equity

A notional position in the actual equity underlying the contract valued at the current market price of the equity.

Option (warrant) on a basket of equities or option on a future/forward on a basket of equities

A notional position in the actual equities underlying the contract valued at the current market price of the equities.

Option (warrant) on an equity index or option on a future/forward on an equity index

A notional position in the index underlying the contract valued at the current market price of the index.

Interest rate

Option on an interest rate or an interest rate future/FRA

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract.

Option on an interest rate swap

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount.

Interest rate cap or floor

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract.

Debt securities

Option (warrant) on a debt security or option on a future/forward on a debt security

The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security.

Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities

A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities.

Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities

A notional position in the index underlying the contract valued at the current market price of the index.

Commodity

Option on a commodity or option on a future/forward on a commodity

An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach).

Option on a commodityswap

An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount.

CIU

(These provisions about CIUs are subject to BIPRU 7.6.35R)

Option (warrant) on a single CIU or option on a future/forward on a single CIU

A notional position in the actual CIU underlying the contract valued at the current market price of the CIU.

Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs

A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs.

Gold

Option on gold or option on a future/forward on gold

An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option.

Currency

Currency option

The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised.
BIPRU 7.6.25RRP
(1) A firm may not use the option hedging method for:(a) an interest rate option and its hedge; or(b) a commodity option and its hedge; or(c) a CIUoption and its hedge.(2) A firm may only use the option hedging method if the item underlying the option or warrant is the same as the hedge of the option or warrant under the PRR identical product netting rules.
BIPRU 7.6.33GRP
The following diagram illustrates the relationship between BIPRU 7.6 and the rest of BIPRU 7.
BIPRU 7.6.35RRP
For the purpose of identifying the appropriate treatment for the purpose of BIPRU 7.6.5R, the underlying position for the purpose of BIPRU 7.6.8R and the derived position under BIPRU 7.6.13R a firm may choose between treating an option on a CIU as being:(1) a position in the CIU itself; or(2) (if the conditions in BIPRU 7.7 (Position risk requirements for collective investment undertakings) for the use of the method in question are satisfied) positions in the underlying investments
BIPRU 7.6.36GRP
(1) This paragraph gives an example of how the appropriate position risk adjustment should be calculated for the purpose of deciding whether or not an option on a CIU is sufficiently in the money for the firm to have a choice whether or not to apply an option PRR. This example assumes that there is no leveraging (see BIPRU 7.7.11R (CIU modified look through method)).(2) Say that the CIU contains underlying equityposition and the firm is using one of the CIU look through methods.
COLL 6.3.2GRP
(1) In accordance with Principle 6, this section is intended to ensure that the authorised fund manager pays due regard to its clients' interests and treats them fairly.(2) An authorised fund manager is responsible for valuing the scheme property of the authorised fund it manages and for calculating the price of units in the authorised fund. This section protects clients by:(a) setting out rules and guidance1 to ensure the prices1 of units in both a single-priced authorised fund
COLL 6.3.3RRP
1(1) To determine the price of units the authorised fund manager must carry out a fair and accurate valuation of all the scheme property in accordance with the instrument constituting the fund9 and the prospectus.19(2) 1For a dual-priced authorised fund, each valuation of the scheme property must consist of two parts, carried out on an issue basis and a cancellation basis respectively.
COLL 6.3.4RRP
(1) An authorised fund must not have fewer than two regular valuation points in any month and if there are only two valuation points in any month, the regular valuation points must be at least two weeks apart.(2) The prospectus of a scheme must contain information about its regular valuation points for the purposes of dealing in units in accordance with COLL 4.2.5R (16) (Table: contents of the prospectus).(3) Where a scheme operates limited redemption arrangements, (1) does not
COLL 6.3.5RRP
(1) An authorised fund manager must ensure that the1price of a unit of any class is calculated:1(a) 1by reference to the net value of the scheme property; and(b) 1in accordance with the provisions of both the instrument constituting the fund9 and the prospectus.9(2) Any unit price calculated in accordance with (1) must be expressed in a form that is accurate to at least four significant figures.(3) 1For each class of units in a single-priced authorised fund, a single price must
COLL 6.3.6GRP

Table: This table belongs to COLL 6.3.2 G (2) (a) and COLL 6.3.3 R (Valuation)1.

Valuation and pricing

1

The valuation of scheme property

(1)

Where possible, investments should be valued using a reputable source. The reliability of the source of prices should be kept under regular review.

(2)

For some or all of the investments comprising the scheme property, different prices may quoted according to whether they are being bought (offer prices) or sold (bid prices). The valuation of a single-priced authorised fund should reflect the mid-market value of such investments. In the case of a dual-priced authorised fund, the issue basis of the valuation will be carried out by reference to the offer prices of investments and the cancellation basis by reference to the bid prices of those same investments. The prospectus should explain how investments will be valued for which a single price is quoted for both buying and selling.1

1

3(2A)

Schemes investing in approved money-market instruments5should value such instruments on an amortised cost basis on condition that:5

55

[Note:CESR's UCITS eligible assets guidelines with respect to article 4(2) of the UCITS eligible assets Directive]

(2B)

Short-term money market funds may value approved money-market instruments on an amortised cost basis.7

[Note: paragraph 21 of CESR's guidelines on a common definition of European money market funds]7

(3)

Any part of the scheme property of an authorised fund that is not an investment should be valued at a fair value, but for immovables this is subject to COLL 5.6.20 R (3) (f) (Standing independent valuer and valuation).

(4)

For the purposes of (2) and (3), any fiscal charges, commissions, professional fees or other charges that were paid, or would be payable on acquiring or disposing of the investment or other part of the scheme property should, in the case of a single-priced authorised fund,2 be excluded from the value of an investment or other part of the scheme property. In the case of a dual-priced authorised fund, any such payments should be added to the issue basis of the valuation, or subtracted from the cancellation basis of the valuation, as appropriate. Alternatively, the prospectus of a dual-priced authorised fund may prescribe any other method of calculating unitprices that ensures an equivalent treatment of the effect of these payments.2

(5)

Where the authorised fund manager has reasonable grounds to believe that:

it should value an investment at a price which, in its opinion, reflects a fair and reasonable price for that investment (the fair value price);

(6)

The circumstances which may give rise to a fair value price being used include:

  • no recent trade in the security concerned; or
  • the occurrence of a significant event since the most recent closure of the market where the price of the security is taken.
In (b), a significant event is one that means the most recent price of a security or a basket of securities is materially different to the price that it is reasonably believed would exist at the valuation point had the relevant market been open.

(7)

In determining whether to use such a fair value price , the authorised fund manager should include in his consideration:

4(7A)

Where the authorised fund manager, the depositary or the standing independent valuer have reasonable grounds to believe that the most recent valuation of an immovable does not reflect the current value of that immovable, the authorised fund manager should consult and agree with the standing independent valuer a fair and reasonable value for the immovable.

(8)

The authorised fund manager should document the basis of valuation (including any fair value pricing policy) and, where appropriate, the basis of any methodology and ensure that the procedures are applied consistently and fairly.

(9)

Where a unit price is determined using properly applied fair value prices in accordance with policies in (8), subsequent information that indicates the price should have been different from that calculated will not normally give rise to an instance of incorrect pricing.

2

The pricing controls of the authorised fund manager

(1)

An authorised fund manager needs to be able to demonstrate that it has effective controls over its calculations of unit prices.

(2)

The controls referred to in (1) should ensure that:

  • asset prices are accurate and up to date;
  • investment 1transactions are accurately and promptly reflected in valuations;
  • the components of the valuation (including stock, cash, and units in issue1), are regularly reconciled to their source or prime records and any reconciling items resolved promptly and debtors reviewed for recoverability;
  • the sources of prices not obtained from the main pricing source are recorded and regularly reviewed;
  • compliance with the investment and borrowing powers is regularly reviewed;
  • dividends are accounted for as soon as securities1 are quoted ex-dividend (unless it is prudent to account for them on receipt):
  • fixed interest dividends, interest and expenses are accrued at each valuation point1;
  • tax positions are regularly reviewed and adjusted, if necessary;
  • reasonable tolerances are set for movements in the key elements of a valuation and movements outside these tolerances are investigated;5
  • the fund manager regularly reviews the portfolio valuation for accuracy5; and5
  • the valuation of OTC derivatives is accurate and up to date and in compliance with the methods agreed with the depositary.5

(3)

In exercising its pricing controls, the authorised fund manager may exercise reasonable discretion in determining the appropriate frequency of the operation of the controls and may choose a longer interval, if appropriate, given the level of activity on the authorised fund1or the materiality of any effect on the price.

(4)

Evidence of the exercise of the pricing controls should be retained.

(5)

Evidence of persistent or repetitive errors in relation to these matters, and in particular any evidence of a pattern of errors working in an authorised fund manager's favour, will make demonstrating effective controls more difficult.

(6)

Where the pricing1function is delegated to a third party, COLL 6.6.15 R (1) (Committees and delegation) will apply.

3

The depositary's review of the authorised fund manager's systems and controls

(1)

This section provides details of the types of checks a depositary should carry out to be satisfied that the authorised fund manager adopts systems and controls which are appropriate to ensure that prices of units are calculated in accordance with this section and to ensure that the likelihood of incorrect prices will be minimised. These checks also apply where an authorised fund manager has delegated all or some of its pricing1 functions to one or more third parties5.

5

(2)

A depositary should thoroughly review an authorised fund manager's systems and controls to confirm that they are satisfactory. The depositary's review should include an analysis of the controls in place to determine the extent to which reliance can be placed on them.

(3)

A review should be performed when the depositary is appointed and thereafter as it feels appropriate given its knowledge of the robustness and the stability of the systems and controls and their operation.

(4)

A review should be carried out more frequently where a depositary knows or suspects that an authorised fund manager's systems and controls are weak or are otherwise unsatisfactory.

(5)

Additionally, a depositary should from time to time review other aspects of the valuation of the scheme property of each authorised fund for which it is responsible, verifying, on a sample basis, if necessary, the assets, liabilities, accruals, units in issue1, securities prices (and in particular the prices of OTC derivatives,5unapproved securities and the basis for the valuation of unquoted securities) and any other relevant matters, for example an accumulation factor or a currency conversion factor.

(6)

A depositary should ensure that any issues, which are identified in any such review, are properly followed up and resolved.

4

The recording and reporting of instances of incorrect pricing

(1)

An authorised fund manager should record each instance where the price of a unit is incorrect as soon as the error is discovered, and report the fact to the depositary together with details of the action taken, or to be taken, to avoid repetition as soon as practicable.

(2)

In accordance with COLL 6.6.11 G (Duty to inform the FCA), the depositary should report any breach of the rules in COLL 6.3 immediately to the FCA. However, notification should relate to instances which the depositary considers material only.

(3)

A depositary should also report to the FCA immediately any instance of incorrect pricing1where the error is 0.5% or more of the price of a unit, where a depositary believes that reimbursement or payment is inappropriate and should not be paid by an authorised fund manager.

(4)

In accordance with SUP 16.6.8 R, a depositary should also make a return to the FCA on a quarterly basis which summarises the number of instances of incorrect pricing1 during a particular period.

5

The rectification of pricing breaches

(1)

COLL 6.6.3 R (1) (Functions of the authorised fund manager) places a duty on the authorised fund manager to take action to reimburse affected unitholders, former unitholders, and the scheme itself, for instances of incorrect pricing1, except if it appears to the depositary that the breach is of minimal significance.

(2)

A depositary may consider that the instance of incorrect pricing1is of minimal significance if:

(3)

In determining (2), if the instance of incorrect pricing1 is due to one or more factors or exists over a period of time, each price should be considered separately.

(4)

If a depositary deems it appropriate, it may, in spite of the circumstances outlined in (2), require a payment from the authorised fund manager or from the authorised fund to the unitholders, former unitholders, the authorised fund or the authorised fund manager (where appropriate).

(5)

The depositary should satisfy itself that any payments required following an instance of incorrect pricing1 are accurately and promptly calculated and paid.

(6)

If a depositary considers that reimbursement or payment is inappropriate, it should report the matter to the FCA, together with its recommendation and justification. The depositary should take into account the need to avoid prejudice to the rights of unitholders, or the rights of unitholders in a class of units.

(7)

It may not be practicable, or in some cases legally permissible, for the authorised fund manager to obtain reimbursement from unitholders, where the unitholders have benefited from the incorrect price.

(8)

In all cases where reimbursement or payment is required, amounts due to be reimbursed to unitholders for individual sums which are reasonably considered by the authorised fund manager and depositary to be immaterial, need not normally be paid.
COLL 6.3.8RRP
(1) When arranging to sell, redeem, issue or cancel units, or when units are issued or cancelled under COLL 6.2.7 R (1) (Issues and cancellations through an authorised fund manager), an authorised fund manager is permitted to:(a) require the payment of a dilution levy; or(b) make a dilution adjustment; or(c) neither require a dilution levy nor make a dilution adjustment;in accordance with its statements in the prospectus required by COLL 4.2.5R (18) (Table: contents of the
COLL 6.3.13RRP
3The authorised fund manager of a qualifying money market fund or a short-term money market fund valuing scheme property on an amortised cost basis7 must: (1) carry out a valuation of the scheme property on a mark to market basis at least once every week and at the same valuation point used to value the scheme property on an amortised cost basis; and(2) ensure that the value of the scheme property when valued on a mark to market basis does not differ by more than 0.5% from the
COLL 6.3.14GRP
3The authorised fund manager should advise the depositary when the mark to market value of a qualifying money market fund or a short-term money market fund valuing scheme property on an amortised cost basis 7varies from its amortised cost value by 0.1%, 0.2% and 0.3% respectively. The authorised fund manager of a qualifying money market fund or short-term money market fund7 should agree procedures with the depositary designed to stabilise the value of the scheme in these even
PERG 9.4.1GRP
The first element of the definition is that open-ended investment companies are a corporate form of collective investment scheme. This means that they must have the features in section 235 of the Act.
PERG 9.4.2GRP
Section 235(1) states that a collective investment scheme means any arrangements with respect to property of any description. The purpose or effect of the arrangements must be to enable the persons taking part in them to participate in or receive profits or income arising from the acquisition, holding, management or disposal of the property or sums paid out of such profits or income. The participants must not have day-to-day control over the management of the property (section
PERG 9.4.3GRP
In the FCA's view, it is the very existence of the body corporate that is the collective investment scheme. There are a number of statutory references that support this view. For example, it is clear that paragraph 21 of the Schedule to the Financial Services and Markets Act 2000 (Collective Investment Schemes) Order 2001 (SI 2001/1062) (Arrangements not amounting to a collective investment scheme) is drafted on the basis that it is the body corporate itself that is (or would
PERG 9.4.5GRP
Where a body corporate does come within the definition of a collective investment scheme in section 235(1) to (3), the only relevant issue is to determine whether or not it is excluded. As PERG 9.2.2 G (Introduction) explains, the exclusions are in the Schedule to the Financial Services and Markets Act 2000 (Collective Investment Schemes) Order 2001 (SI 2001/1062) (Arrangements not amounting to a collective investment scheme). If a body corporate satisfies any of the exclusions
PERG 9.4.6GRP
In the FCA's view, the question of what constitutes a single scheme in line with section 235(4) of the Act does not arise in relation to a body corporate. This is simply because the body corporate is itself a collective investment scheme (and so is a single scheme). Section 235(4) contemplates a 'separate' pooling of parts of the property that is subject to the arrangements referred to in section 235(1). But to analyse a body corporate in this way requires looking through its
COLL 6.2.4GRP
(1) Details of any initial offer period must be provided in the relevant prospectus as described in COLL 4.2.5R (17)(h) (Table: contents of the prospectus).(2) It may be appropriate that the initial offer for a scheme operating limited issue or limited redemption arrangements, or intending to invest in illiquid assets, is longer than one for a scheme which does not have these features.
COLL 6.2.6ARRP
3If an authorised fund has two or more classes of unit in issue, the authorised fund manager may treat any or all of those classes as one for the purpose of determining the number of units to be issued or cancelled by reference to a particular valuation point, if:(1) the depositary gives its prior agreement; and(2) the relevant classes:(a) have the same entitlement to participate in, and the same liability for charges, expenses and other payments that may be recovered from, the
COLL 6.2.12GRP

Explanatory table: This table belongs to COLL 6.2.2 G (4) (Purpose).

Correction of box management errors

1

Controls by authorised fund managers

An authorised fund manager needs to be able to demonstrate that it has effective controls over:

(1)

its calculations of what units are owned by it (its 'box'); and

(2)

compliance with COLL 6.2.8 R which is intended to prevent a negative box.

2

Controls by depositaries

(1)

Under COLL 6.6.4 (General duties of the depositary), a depositary should take reasonable care to ensure that a scheme2 is managed in accordance with COLL 6.2 (Dealing) and COLL 6.3 (Pricing and valuation).

(2)

A depositary should therefore make a regular assessment of the authorised fund manager's box management procedures (including supporting systems) and controls. This should include reviewing the authorised fund manager's controls and procedures when the depositary assumes office, on any significant change and on a regular basis, to ensure that a series of otherwise minor changes do not have a cumulative and a significant effect on the accuracy of the controls and procedures.

3

Recording and reporting of box management errors

(1)

An authorised fund manager should record all errors which result in a breach of COLL 6.2.8 R (Controls over the issue and cancellation of units) and as soon as an error is discovered, the authorised fund manager should report the fact to the depositary, together with details of the action taken, or to be taken, to avoid repetition of the error.

(2)

A depositary should report material box management errors to the FCA immediately. Materiality should be determined by taking into account a number of factors including:

  • the implications of the error for the sufficiency of controls put into place by the authorised fund manager;
  • the significance of any breakdown in the authorised fund manager's management controls or other checking procedures;
  • the significance of any failure of systems or back-up arrangements;
  • the duration of an error; and
  • the level of compensation due to the scheme, and an authorised fund manager's ability (or otherwise) to meet claims for compensation in full.

(3)

A depositary should also make a return to the FCA (in the manner prescribed by SUP 16.6.8 R) on a quarterly basis.
COLL 6.2.15RRP
The depositary may take into or pay out of scheme property assets other than cash2 as payment for the issue or cancellation of units2 but only if:(1) it has taken reasonable care to ensure that the property concerned would not be likely to result in any material prejudice to the interests of unitholders; and(2) the instrument constituting the fund8 so provides.8
COLL 6.2.18RRP
(1) If an authorised fund limits the issue of any class of unit, the prospectus of an authorised fund must provide for the circumstances and conditions when units will be issued.(2) Where (1) applies, the authorised fund manager may not provide for the further issue of units unless, at the time of the issue2, it2is satisfied on reasonable grounds that the proceeds of that subsequent issue can be invested without compromising the scheme's investment objective or materially prejudicing
COLL 6.2.19RRP
(1) The instrument constituting the fund8 and the prospectus of a non-UCITS retail scheme2 operating as a FAIF, or5 that invests substantially in immovables2 or whose investment objective is to provide a specified level of return, may provide for limited redemption arrangements appropriate to its aims and objectives.8(2) Where (1) applies, the scheme must provide for sales and5redemptions at least once in every six months.(3) Within a scheme, unit classes may operate different
COLL 6.2.22GRP
In times of high levels of redemption, deferred redemption will enable the authorised fund manager to protect the interests of continuing unitholders by allowing it to match the sale of scheme property to the level of redemptions. This should reduce the impact of dilution on the scheme.
COLL 4.5.3RRP
(1) The authorised fund manager must for each annual accounting period and half-yearly accounting period, prepare a short report and a long report for a scheme.(2) For a scheme which is an umbrella, the authorised fund manager must prepare a short report for each sub-fund but this is not necessary for the umbrella as a whole.(3) Where the first annual accounting period of a scheme is less than 12 months, a half-yearly report need not be prepared.(4) [deleted]1
COLL 4.5.7RRP
(1) An annual long report on an authorised fund, other than a scheme which is an umbrella, must contain:(a) the accounts for the annual accounting period which must be prepared in accordance with the requirements of the IMA SORP;3(b) the report of the authorised fund manager in accordance with COLL 4.5.9 R (Authorised fund manager's report);(c) comparative information12 in accordance with COLL 4.5.10 R (Comparative information12);1212(d) the report of the depositary in accordance
COLL 4.5.9RRP
The matters set out in (1) to (13)2 must be included in any authorised fund manager's report, except where otherwise indicated:2(1) the names and addresses of :(a) the authorised fund manager;(b) the depositary;(c) the registrar;(d) any investment adviser;(e) the auditor; and(f) for a scheme which invests in immovables, the standing independent valuer;(2) (for an ICVC), the names of any directors other than the ACD;(3) a statement of the authorised status of the scheme;(4) (for
COLL 4.5.10RRP
The comparative information12 required by COLL 4.5.7 R12 (Contents of the annual long report) and COLL 8.3.5A R (Contents of the annual report) must be shown for the last three annual accounting periods (or all of the authorised fund'sannual accounting periods, if fewer than three) and must set out:1212(1) [deleted]1212(1A) for a unit of each class in issue, a comparative table as at the end of the period to which the report relates, prepared in accordance with the requirements
COLL 4.5.10AGRP
(1) The figure for the "return before operating charges" shown in the comparative table required by COLL 4.5.10R (1A) should include all costs and charges actually borne by the class of units it describes.(2) The indication of actual costs and charges borne by a class of units should cover pro-rata allocations of the operating charges borne by the scheme (e.g. annual management fee, fees and expenses payable to the depositary, auditors and FCA, costs of buying and selling units
COLL 4.5.11RRP
(1) The depositary must make an annual report to unitholders which must be included in the annual report.(2) The annual report must contain:(a) a description, which may be in summary form, of the duties of the depositary under COLL 6.6.4 (General duties of the depositary) and in respect of the safekeeping of the scheme property; and(b) a statement whether, in any material respect:(i) the issue, sale, redemption and cancellation, and calculation of the price of the units and the
COLL 4.5.12RRP
The authorised fund manager must ensure that the report of the auditor to the unitholders includes the following statements:33(1) whether, in the auditor's opinion, the accounts have been properly prepared in accordance with the IMA SORP, the rules in this sourcebook, and the instrument constituting the fund;1010(2) whether, in the auditor's opinion, the accounts give a true and fair view of the net revenue3and the net capital 3gains or losses on3the scheme property of the authorised
PERG 8.20.1GRP
Where collective investment schemes are concerned additional restrictions are placed on their promotion to ensure that only those which are regulated are promoted to the general public. This is achieved by a combination of sections 21 and 238 (Restrictions on promotion) of the Act as explained in PERG 8.20.2 G. A regulated collective investment scheme is:(1) an authorised unit trust scheme; or(1A) an authorised contractual scheme; or7(2) an investment company with variable capital;
PERG 8.20.2GRP
Section 21 precludes the promotion by unauthorised persons of unregulated collective investment schemes unless the financial promotion is approved by an authorised person or is exempt. Section 238 then precludes the promotion of an unregulated collective investment scheme by authorised persons except where:(1) there is an exemption in an order made by the Treasury under section 238(6); or(2) the financial promotion is permitted under rules made by the FCA under section 238(5)
PERG 8.20.3GRP
7(1) The Treasury has made an order under section 238(6). This is the Financial Services and Markets Act 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001 (as amended by article 3 of the Financial Services and Markets Act 2000 (Financial Promotion) (Amendment) Order 2001 (SI 2001/2633), by articles 7 to 10 of the Financial Services and Markets Act 2000 (Financial Promotion) (Amendment) (Electronic Commerce Directive) Order 2002 (SI 2002/2157) and, by article
PERG 8.20.4GRP
The FCA has made rules under section 238(5) which allow authorisedfirms to communicate or approve a financial promotion for an unregulated collective investment scheme in certain specified circumstances. These circumstances are set out in COBS 4.12.4 R3 To date, the Treasury has not made an order exempting single property schemes under section 239.23
PERG 8.20.5GRP
4In addition, where the collective investment scheme is an AIF, the marketing of that scheme is subject to additional restrictions (see PERG 8.37).
COLL 5.5.3RRP
(1) Cash and near cash must not be retained in the scheme property except to the extent that this may reasonably be regarded as necessary in order to enable:(a) the pursuit of the scheme's investment objectives; or(b) redemption of units; or(c) efficient management of the authorised fund in accordance with its investment objectives; or(d) other purposes which may reasonably be regarded as ancillary to the investment objectives of the authorised fund.(2) During the period of the
COLL 5.5.4RRP
(1) The ICVC or depositary of an AUT or ACS4 (on the instructions of the authorised fund manager4) may, in accordance with this rule and COLL 5.5.5 R (Borrowing limits), borrow money for the use of the authorised fund on terms that the borrowing is to be repayable out of the scheme property.44(2) Paragraph (1) is subject to the obligation of the authorised fund to comply with any restriction in the instrument constituting the fund.55(3) The ICVC or depositary of an AUT or ACS4
COLL 5.5.5RRP
(1) The authorised fund manager must ensure that the authorised fund's borrowing does not, on any day, exceed 10% of the value of the scheme property.(2) This rule does not apply to "back to back" borrowing under COLL 5.3.5 R (2)(Borrowing).(3) In this rule, borrowing includes, as well as borrowing in a conventional manner, any other arrangement (including a combination of derivatives) designed to achieve a temporary injection of money into the scheme property in the expectation
COLL 5.5.6RRP
(1) None of the money in the scheme property of an authorised fund may be lent and, for the purposes of this prohibition, money is lent by an authorised fund if it is paid to a person ("the payee") on the basis that it should be repaid, whether or not by the payee.(2) Acquiring a debenture is not lending for the purposes of (1); nor is the placing of money on deposit or in a current account.(3) Paragraph (1) does not prevent an ICVC from providing an officer of the ICVC with funds
COLL 5.5.7RRP
(1) The scheme property of an authorised fund other than money must not be lent by way of deposit or otherwise.(2) Transactions permitted by COLL 5.4 (Stock lending) are not to be regarded as lending for the purposes of (1).(3) The scheme property must not be mortgaged.(4) Where transactions in derivatives or forward transactions are used for the account of the authorised fund in accordance with any of the rules in this chapter, nothing in this rule prevents the ICVC or the depositary
COLL 5.5.9RRP
(1) An ICVC or a depositary for the account of an authorised fund must not provide any guarantee or indemnity in respect of the obligation of any person.(2) None of the scheme property of an authorised fund may be used to discharge any obligation arising under a guarantee or indemnity with respect to the obligation of any person.(3) Paragraphs (1) and (2) do not apply to:(a) any indemnity or guarantee given for margin requirements where the derivatives or forward transactions
BIPRU 7.9.7GRP

Table: Types of CAD 1 model

This table belongs to BIPRU 7.9.6G

Options risk aggregation models

Interest rate pre-processing models

Brief description and eligible instruments

Analyse and aggregate options risks for:

May be used to calculate duration weighted positions for:

The output and how it is used in the PRR calculation

Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation.

Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R).
BIPRU 7.9.8GRP
Currently the appropriate regulator only envisages allowing recognition for options on CIUs if the CIU satisfies one of the following conditions:(1) it is a regulated collective investment scheme; or(2) the firm can demonstrate that it has characteristics that are similar to or better than an undertaking in (1) from the point of view of transparency and liquidity.
BIPRU 7.9.32GRP

Table: proportional implied volatility shifts

This table belongs to BIPRU 7.9.30G

Remaining life of option

Proportional shift

Equities, foreign currency and commodities

Interest rates and CIUs

≤ 1 month

30%

30%

> 1 ≤ 3 months

20%

20%

> 3 ≤ 6 months

15%

15%

> 6 ≤ 9 months

12%

12%

> 9 ≤ 12 months

9%

9%

> 1 ≤ 2 years

6%

9%

> 2 ≤ 4 years

4.5%

9%

> 4 years

3%

9%
BIPRU 7.9.34GRP

Table: underlying price/rate shifts

This table belongs to BIPRU 7.9.33G

Underlying asset class

Shift

Equities

±8%

Foreign currency

±8%

Commodities

±15%, (but a firm may use the percentages applicable under the commodity extended maturity ladder approach if it would qualify under BIPRU 7.4 (Commodity PRR) to use that approach).

Interest rates

±100bp (but a firm may use the sliding scale of shifts by maturity as applicable to the interest rate duration method).

CIU

±32%, (but a firm may use the percentages applicable to the underlyings if the firm applies one of the CIU look through methods under BIPRU 7.7 (Position risk requirements for collective investment undertakings)).
BIPRU 7.9.37GRP
(1) A different scenario matrix should be set up for each underlying asset type in accordance with this paragraph.(2) For equities (including single equities, baskets and indices) there should be a separate matrix for each national market or non-decomposed basket or non-decomposed multi-national index.(3) For foreign currency products there should be a separate matrix for each currency pair where appropriate.(4) For commodity products there should be a separate matrix for each
COLL 3.3.2GRP
(1) The instrument constituting the fund5 may provide for different classes of unit to be issued in an authorised fund and, for a scheme which is an umbrella, provide that classes of units may be issued for each sub-fund.5(2) In order to be satisfied that COLL 3.2.2 R (Relationship between the Instrument constituting the fund5and the rules) is complied with, the FCA will take into account the principles in (a) to (c) when considering proposals for unit classes:5(a) a unit class
COLL 3.3.5RRP
(1) If any class of units in an authorised fund has different rights from another class of units in that fund, the instrument constituting the fund5 must provide how the proportion of the value of the scheme property and the proportion of income available for allocation attributable to each such class must be calculated.5(2) For an authorised fund which is not an umbrella, the instrument constituting the fund5 must not provide for any class of units in respect of which:5(a) the
COLL 3.3.5ARRP
1A class hedging transaction must:2(1) be undertaken in accordance with the requirements of COLL 5 (Investment and borrowing powers); and(2) (for the purposes of valuing scheme property and calculating the price of units in accordance with COLL 6.3 (Valuation and pricing)) be attributed only to the class of units2for which it is undertaken.
COLL 3.3.8RRP
(1) The directors of an ICVC or the authorised fund manager4 of an AUT or ACS4 may, unless expressly forbidden to do so by the instrument constituting the fund,5 determine that:45(a) each unit of any class is to be subdivided into two or more units; or(b) units of any class are to be consolidated.(2) The ICVC or theauthorised fund manager of an AUT or ACS4 must (unless it has done so before the sub-division or consolidation became effective) immediately give notice to each unitholder
COLL 3.3.10GRP
(1) In accordance with section 235(4) of the Act (Collective investment schemes), the participants in a scheme which is an umbrella are entitled to exchange rights in one sub-fund for rights in another sub-fund of the umbrella.(2) To satisfy (1), where any sub-fund in a scheme which is an umbrella has provisions in its prospectus limiting the issue of units in that sub-fund, the authorised fund manager should ensure that at least two sub-funds are able to issue units at any time.
COLL 5.3.2GRP
(1) A scheme may invest in derivatives and forward transactions as long as the exposure to which the scheme is committed by that transaction itself is suitably covered from within its scheme property. Exposure will include any initial outlay in respect of that transaction.(2) Cover ensures that a scheme is not exposed to the risk of loss of property, including money, to an extent greater than the net value of the scheme property. Therefore, a scheme is required to hold scheme
COLL 5.3.3ARRP
2The authorised fund manager of a UCITS scheme must ensure that its global exposure relating to derivatives and forward transactions held in the UCITS scheme does not exceed the net value of the scheme property.[Note: article 51(3) first paragraph of the UCITS Directive]
COLL 5.3.5RRP
(1) Cash obtained from borrowing, and borrowing which the authorised fund manager reasonably regards an eligible institution or an approved bank to be committed to provide, is not available for cover under COLL 5.3.3A R (Cover for investment in derivatives and forward transactions),3 except if (2) applies.3(2) Where, for the purposes of this section, the ICVC or the depositary4 for the account of the AUT or ACS4 on the instructions of the authorised fund manager4:44(a) borrows
COLL 5.3.7RRP
2An authorised fund manager must calculate the global exposure of any UCITS scheme it manages either as:(1) the incremental exposure and leverage generated through the use of derivatives and forward transactions (including embedded derivatives as referred to in COLL 5.2.19R (3A) (Derivatives: general)), which may not exceed 100% of the net value of the scheme property; or(2) the market risk of the scheme property.[Note: article 41(1) of the UCITS implementing Directive]
COLL 5.3.8RRP
(1) 2An authorised fund manager must calculate the global exposure of a UCITS scheme by using:(a) the commitment approach; or(b) the value at risk approach.(2) An authorised fund manager must ensure that the method selected in (1) is appropriate, taking into account:(a) the investment strategy pursued by the UCITS scheme;(b) the types and complexities of the derivatives and forward transactions used; and(c) the proportion of the scheme property comprising derivatives and forward
COLL 5.3.9RRP
2Where an authorised fund manager of a UCITS scheme uses the commitment approach for the calculation of global exposure, it must:(1) ensure that it applies this approach to all derivative and forward transactions (including embedded derivatives as referred to in COLL 5.2.19R (3A) (Derivatives: general)), whether used as part of the scheme's general investment policy, for the purposes of risk reduction or for the purposes of efficient portfolio management in accordance with the
COLL 8.3.4RRP

This table belongs to COLL 8.3.2 R.

1

Document status

A statement that this document is the prospectus of the authorised fund valid as at a particular date which shall be the date of the document.

2

Description of the authorised fund

Information detailing:

(1)

the name of the authorised fund;

(2)

that the authorised fund is either an ICVC, ACS11 or an AUT;

(3)

that the scheme is a qualified investor scheme;

(4)

where relevant, that the unitholders in an ICVC are not liable for the debts of the authorised fund;

(5)

where relevant, the address of the ICVC's head office and the address in the United Kingdom for service on the ICVC of documents required or authorised to be served on it;

(6)

the effective date of the authorisation order made by the FCA and, if the duration of the authorised fund is not unlimited, when it will or may terminate;

(7)

the base currency for the authorised fund;

(8)

where relevant, the maximum and minimum sizes of the ICVC's capital;

11

(9)

the circumstances in which the authorised fund may be wound up under the rules in COLL and a summary of the procedure for, and the rights of unitholders under, such a winding up; and11

11

(10)11

for an ACS that is a limited partnership scheme, the address of the proposed principal place of business of the limited partnership scheme.

3

Investment objectives and policy

(1)

Sufficient information to enable a unitholder to ascertain:

(a)

the investment objectives of the authorised fund;

(b)

the authorised fund's investment policy for achieving those investment objectives, including:

(i)

the general nature of the portfolio and any intended specialisation;

(ii)

the policy for the spreading of risk in the scheme property; and

(iii)

the policy in relation to the exercise of borrowing powers;

(c)

a description of any restrictions in the assets in which investment may be made; and

(d)

the extent (if any) to which that investment policy does not envisage remaining fully invested at all times.

(2)

For investment in immovables :

(a)

the countries or territories of immovables in which the authorised fund may invest;

(b)

the policy of the authorised fund manager in relation to insurance of immovables forming part of the scheme property; and

(c)

the policy of the authorised fund manager in relation to the granting of options over immovables in the scheme property and the purchase of options on immovables.

(3)

If intended, whether the scheme property may consist of units in collective investment schemes ("second schemes") which are managed by or operated by the authorised fund manager or by one of its associates and a statement as:

(a)

to the basis of the maximum amount of the charges in respect of transactions in a second scheme; and

(b)

the extent to which any such charges will be reimbursed to the scheme.

(4)

If intended, whether the scheme may enter into stock lending transactions and, if so, what procedures will operate and what collateral will be required.

(5)

Where a scheme is a feeder scheme which (in respect of investment in units in a single collective investment scheme) is dedicated to units in a collective investment scheme, details of the master scheme and the minimum (and, if relevant, maximum) investment that the feeder scheme may make in it;8

(6)

Where the scheme is a money market fund or a short-term money market fund, a statement identifying it as such a fund and a statement that the scheme's investment objectives and policies will meet the conditions in the definition of money market fund or short-term money market fund, as appropriate.9

4

Distributions and accounting dates

Relevant details of accounting and distribution dates and a description of the procedures:

(1)

for determining and applying income (including how any distributable income is paid); and

(2)

relating to unclaimed distributions.

5

The characteristics of units in the authorised fund

Information as to:

(1)

the names of the classes of units in issue or available for issue and the rights attached to them in so far as they vary from the rights attached to other classes;

(2)

how unitholders may exercise their voting rights and what these are; and

(3)

the circumstances where a mandatory redemption, cancellation or conversion of units from one class to another may be required.11

115A

Issue of units in ACSs: eligible investors

(1)

A statement that units may not be issued to a person other than to a person :

12

(a)

who 12is a:

(i)

professional ACS investor; or

(ii)

large ACS investor; or

(iii)

person who already holds units in the scheme; and

(b)

to whom units in a qualified investor scheme may be promoted under COBS 4.12.4 R.12

12

(2)

A statement that the authorised contractual scheme manager of an ACS must redeemunits as soon as practicable after becoming aware that those units are vested in anyone (whether as a result of subscription or transfer of units) other than a person meeting the criteria in (1).

115B

Transfer of units in ACSs

(1)

A statement whether the transfer of units in the ACSscheme is either:

(a)

prohibited; or

(b)

allowed;

by the instrument constituting the fund13 and prospectus.

13

(2)

A statement that where transfer of units is allowed by the instrument constituting the fund13 and prospectus in accordance with (1)(b), units may only be transferred in accordance with the conditions specified by FCArules, including that units may not be transferred to a person other than a person :

1312

(a)

who 12is a:

(i)

professional ACS investor; or

(ii)

large ACS investor; or

(iii)

person who already holds units in the scheme; and

(b)

to whom units in a qualified investor scheme may be promoted under COBS 4.12.4 R.12

12

(3)

For a co-ownership scheme which is an umbrella, a statement in accordance with (1)(a) or (1)(b) and, where appropriate, a statement in accordance with (2), must also be made for the sub-funds. Where individual sub-funds have differing policies in relation to transfer of units, separate statements are required.

6

The authorised fund manager

The following particulars of the authorised fund manager:

(1)

its name and the nature of its corporate form;

(2)

the country or territory of its incorporation;

(3)

the date of its incorporation and if the duration of its corporate status is limited, when that status will or may cease;

(4)

if it is a subsidiary, the name of its ultimate holding company and the country or territory in which that holding company is incorporated;

(5)

the address of its registered office, its head office, and, if different, the address of its principal place of business in the United Kingdom;

(6)

the amount of its issued share capital and how much of it is paid up;

(7)

for an ICVC, a summary of the material provisions of the contract between the ICVC and the authorised fund manager which may be relevant to unitholders including provisions (if any) relating to termination, compensation on termination and indemnity; and

(8)

for an AUT, the names of the directors of the authorised fund manager.11

11

7

Directors of an ICVC, other than the ACD

Other than for the ACD:

(1)

the names and positions in the ICVC of the directors; and

(2)

the manner, amount and calculation of the remuneration of the directors.

8

The depositary

The following particulars of the depositary:

(1)

its name and the nature of its corporate form;

(2)

the country or territory of its incorporation;

(3)

the address of its registered office and the address of its head office if that is different from the address of its registered office; and

(4)

if neither its registered office nor its head office is in the United Kingdom, the address of its principal place of business in the United Kingdom.

9

The investment adviser

If an investment adviser is retained in connection with the business of the authorised fund, its name and whether or not it is authorised by the FCA.

10

The auditor

The name of the auditor of the authorised fund.

11

The register of Unitholders

Details of the address in the United Kingdom where the register of unitholders is kept and can be inspected by unitholders.

12

Payments out of the scheme property

The payments that may be made out of the scheme property to any person whether by way of remuneration for services, or reimbursement of expense and for each category of remuneration or expense, the following should be specified:

(1)

the current rates or amounts of such remuneration;

(2)

how the remuneration will be calculated and accrue and when it will be paid;

(3)

if notice has been given to unitholders of the authorised fund manager's intention to:

(a)

introduce a new category of remuneration for its services; or

(b)

increase the basis of any current charge; or

(c)

change the basis of the treatment of a payment from the capital property set out in COLL 8.5.13 R (2) (Payments);

particulars of that introduction or increase and when it will take place;

(4)

the types of any other charges and expenses that may be taken out of the scheme property; and

(5)

if, in accordance with COLL 8.5.13 R (2), all or part of the remuneration or expense are to be treated as a capital charge:

(a)

that fact; and

(b)

the basis of the charge which may be so treated

13

Dealing

Details of:

(1)

the dealing days and times in the dealing day on which the authorised fund manager will receive requests for the sale and redemption of units;

(2)

the procedures for effecting:

(a)

the issue and cancellation of units;

(b)

the sale and redemption of units; and

(c)

the settlement of transactions;

(3)

the steps required to be taken by a unitholder in redeeming units before he can receive the proceeds including any relevant notice periods and the circumstances and periods where a deferral of payment as provided in COLL 8.5.11 R (3) (Sale and redemption) may be applied;

(4)

the circumstances in which the redemption of units may be suspended;

(5)

the days and times in the day on which recalculation of the price will commence;

(6)

details of the minimum number or value of each type of unit in the authorised fund which:

(a)

any one person may hold; and

(b)

may be the subject of any one transaction of sale or redemption;

(7)

the circumstances in which the authorised fund manager may arrange for, and the procedure for, a redemption of units in specie;

(8)

the circumstances in which the further issue of units in any particular class may be limited and the procedures relating to this:66

(9)

the circumstances in which direct issue or cancellation of units by the ICVC or the depositary of an AUT or ACS11 (as appropriate) may occur and the relevant procedures for such issues and cancellations; and66

11

(10)

6whether a unitholder may effect transfer of title to units on the authority of an electronic communication and if so the conditions that must be satisfied in order to effect a transfer.6

14

Valuation of scheme property

Details as to:

(1)

how frequently and at what times of the day the scheme property will be regularly valued to determine the price at which units in the scheme may be purchased from or redeemed by the authorised fund manager and a description of any circumstance where the scheme property may be specially valued;

(2)

in relation to each purpose for which the scheme property must be valued, the basis on which it will be valued; and

(3)

how the price of units of each class will be determined, including whether a forward price or historic price basis is to be applied.

15

Sale and redemption charges

If the authorised fund manager makes any charges on sale or redemption of units, details of the charging structure and how notice will be provided to unitholders of any increase.

15A5

Property Authorised Investment Funds

For a property authorised investment fund, a statement that:

(1)

it is a property authorised investment fund;

(2)

no body corporate may seek to obtain or intentionally maintain a holding of more than 10% of the net asset value of the fund; and

(3)

in the event that the authorised fund manager reasonably considers that a body corporate holds more than 10% of the net asset value of the fund, the authorised fund manager is entitled to delay any redemption or cancellation of units if the authorised fund manager reasonably considers such action to be:

(a)

necessary in order to enable an orderly reduction of the holding to below 10%; and

(b)

in the interests of the unitholders as a whole.

16

General information

Details as to:

(1)

when annual and half- yearly reports will be published; and

(2)

the address at which copies of the instrument constituting the fund,13 any amending instrument and the most recent annual reports may be inspected and from which copies may be obtained.

13

17

Information on the umbrella

In the case of a scheme which is an umbrella, the following information:

(1)

that a unitholder may exchange units in one sub-fund for units in another sub-fund and that such an exchange is treated as a redemption and sale;

(2)

what charges may be made on exchanging units in one sub-fund for units in other sub-funds;

(3)

the policy for allocating between sub-funds any assets of, or costs, charges and expenses payable out of, the scheme property which are not attributable to any particular sub-fund;

(4)

in respect of each sub-fund, the currency in which the scheme property allocated to it will be valued and the price of units calculated and payments made, if this currency is not the base currency of the umbrella; and

(5)

for an ICVC or a co-ownership scheme,11 that:10

10

10(a)

for an ICVC,11 its sub-funds are segregated portfolios of assets and, accordingly, the assets of a sub-fund belong exclusively to that sub-fund and shall not be used to discharge directly or indirectly the liabilities of, or claims against, any other person or body, including the umbrella, or any other sub-fund, and shall not be available for any such purpose;

11

11(aa)

for a co-ownership scheme, the property subject to a sub-fund is beneficially owned by the participants in that sub-fund as tenants in common (or, in Scotland, is the common property of the participants in that sub-fund) and must not be used to discharge any liabilities of, or meet any claims against, any person other than the participants in that sub-fund; and

10(b)

for an ICVC or a co-ownership scheme,11 while the provisions of the OEIC Regulations, and section 261P (Segregated liability in relation to umbrella co-ownership schemes) of the Act in the case of co-ownership schemes,11 provide for segregated liability between sub-funds, the concept of segregated liability is relatively new. Accordingly, where claims are brought by local creditors in foreign courts or under foreign law contracts, it is not yet known how those foreign courts will react to regulations 11A and 11B of the OEIC Regulations or, as the case may be, section 261P of the Act.11

11

18

Application of the prospectus contents to an umbrella

For a scheme which is an umbrella, information required must be stated:

(1)

in relation to each sub-fund where the information for any sub-fund differs from that for any other; and

(2)

for the umbrella as a whole, but only where the information is relevant to the umbrella as a whole.

318A

Investment in overseas4 property through an intermediate holding vehicle3

If investment in an overseas4 immovable is to be made through an intermediate holding vehicle or a series of intermediate holding vehicles a statement disclosing the existence of that intermediate holding vehicle or series of intermediate holding vehicles and confirming that the purpose of that intermediate holding vehicle or series of intermediate holding vehicles is to enable the holding of overseas4 immovables by the scheme.3

1118B

Information on authorised contractual schemes

A statement that:

(1)

a unitholder in a co-ownership scheme is not liable to make any further payment after he has paid the price of his units and that no further liability can be imposed on him in respect of the units he holds;

(2)

a unitholder in a limited partnership scheme is not liable for the debts or obligations of the limited partnership scheme beyond the amount of the scheme property which is available to the authorised contractual scheme manager to meet such debts or obligations, provided that the unitholder does not take part in the management of the partnership business;

(3)

the exercise of rights conferred on limited partners by FCArules does not constitute taking part in the management of the partnership business; and

(4)

the scheme property of a co-ownership scheme is beneficially owned by the participants as tenants in common (or, in Scotland, is the common property of the participants).

19

Additional information

Any other material information which is within the knowledge of the directors11 of an ICVC or the authorised fund manager11 of an AUT or ACS11, or which the directors or authorised fund manager11 would have obtained by the making of reasonable enquiries which investors and their professional advisers would reasonably require, and reasonably expect to find in the prospectus, for the purpose of making an informed judgement about the merits of investing in the authorised fund and the extent and characteristics of the risks accepted by so participating.

111111
COLL 8.3.5DRRP
(1) The depositary must make an annual report to unitholders which must be included in the annual report.(2) The depositary's report must contain:(a) a description, which may be in summary form, of the duties of the depositary under COLL 8.5.4 R (Duties of the depositary) and in respect of the safekeeping of the scheme property; and(b) a statement whether in any material respect:(i) the issue, sale, redemption and cancellation and calculation of the price of the units and the
COLL 8.3.6RRP
(1) Any proposed change which would be reasonably considered to be a fundamental change to the scheme requires the prior sanction of an ordinary resolution of the unitholders.(2) Any proposed change to the scheme which is not within (1) but which would be reasonably considered to be significant, requires the giving of reasonable notice to Unitholders to become effective.(3) Alterations affecting only a particular sub-fund or class of units may be approved in accordance with (1)
COLL 8.3.7GRP
Although account should be taken of the guidance on fundamental changes (COLL 4.3.5 G (Guidance on fundamental changes)) and significant changes (COLL 4.3.7 G (Guidance on significant changes)) the impact of any change to the scheme should be assessed individually based on the nature of the scheme and its investor profile.
COLL 8.3.8RRP
(1) Details of the procedures for the convening and conducting of meetings and resolutions must be set out in the instrument constituting the fund13 and be reasonable and fair as between all relevant parties.13(2) The authorised fund manager must record and keep minutes for six years of all proceedings to which COLL 8.3.6 R (Alterations to the scheme and notices to Unitholders) and this rule are relevant.(3) The provisions in COLL 4.4.12 R (Notices to Unitholders), COLL 4.4.13