ESA Joint Committee · priips-59 Final

Is it fair to assume that a EU-regulated UCITS fund will always meet the requirements under Annex II Point 46 (a) and (b) and thus the CRM for a UCITS fund will always be equal to 1. If not under what

Regulation
PRIIPs
Answered
2017-07-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is it fair to assume that a EU-regulated UCITS fund will always meet the requirements under Annex II Point 46 (a) and (b) and thus the CRM for a UCITS fund will always be equal to 1. If not under what circumstances would a UCITS fund not comply with Point 46?

Answer

A UCITS fund will not always have a CRM equal to 1. As described in Points 33 to 36 of Part 2 of Annex II, in the case of a fund, credit risk may need to be assessed in relation to the underlying investments or exposures, for example in the case of exposures to non-exchange traded derivatives and non-cleared OTC derivatives, and to other efficient portfolio management techniques such as repo or securities financing transactions, where these are not fully and appropriately collateralised and amount to 10% or more of the total assets or value of the PRIIP. This is also the case for a structured fund providing a full capital guarantee to its investors.
View original on ESA Joint Committee (EBA, ESMA, EIOPA) ↗

This Q&A is published by ESA Joint Committee (EBA, ESMA, EIOPA) and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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