The European Securities and Markets Authority (ESMA) has published updated questions and answers documents (Q&A) on the application of the Undertakings for the Collective Investment in Transferable Securities Directive (UCITS) and the Alternative Investment Fund Managers Directive (AIFMD).
Pursuant to Article 13 of SFTR, UCITS management companies, UCITS investment companies, and AIFMs (UCITS/AIF managers) shall inform investors on the use they make of SFTs and total return swaps in annual (UCITS and AIFs) and half-yearly (UCITS only) reports. The information on SFTs and The information on SFTs and total return swaps shall include the data provided for in Section A of the Annex to SFTR.
Question: Should this data be reported as aggregate data (with respect to the whole of the reporting period) or based on a snapshot (taken at the end of the reporting period)?
Answer: All data items should be reported as a snapshot, with the exception of the
- Data on reuse of collateral
- cash collateral reinvestment returns to the collective investment undertaking
- Data on return and cost for each type of SFTs and total return swaps
- broken down between the collective investment undertaking, the manager of the collective investment undertaking and third parties (e.g. agent lender) in absolute terms and as a percentage of overall returns generated by that type of SFTs and total return swaps
A table identifying which data are snapshots is included in the full Q&A report