(1) Where the initial margin posted to and variation margin receivable from a broker relating to an exchange-traded derivative or an OTC derivative is not protected by client money rules or other similar arrangements to protect the UCITS in the event of the insolvency of the broker, the responsible person shall calculate exposure of the UCITS within the OTC counterparty limit as referred to in Regulation 70(1)(c) of the UCITS Regulations.
(2) A responsible person shall ensure that, at all times -
(a) the UCITS is capable of meeting all its payment and delivery obligations incurred by transactions involving FDI,
(b) the risk management process of the UCITS includes the monitoring of FDI transactions to ensure that every such transaction is covered adequately, and
(c) a transaction in FDI which gives rise to, or could potentially give rise to, a future commitment on behalf of a UCITS is covered in accordance with the conditions specified in paragraph (3).
(3) The conditions to which subp
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