Pursuant to Article 13 of Regulation (EU) 2015/2365 of November 25th 2015 on transparency of securities financing transactions (“SFT”) and of reuse (the “SFTR”), UCITS management companies, and UCITS investment companies shall inform investors on the use they make of SFTs and total return swaps in annual and half-yearly reports. The information on SFTs and total return swaps shall include the data provided for in Section A of the Annex to SFTR.
ESMA’s updated Q&A on the application of UCITS Directive dated October 5th 2017 clarifies that all data items should be reported as a snapshot (taken at the end of the reporting period) and not as aggregate data (with respect to the whole of the reporting period), with the exception of (i) Cash collateral reinvestment returns to the UCITS and (ii) Data on return and cost for each type of SFT. The Q&A gives further detail on how these two data items should be disclosed. The Q&A includes a table clarifying the guidance.