The conditions for the receipt of collateral by a UCITS, to which Regulation 24 refers, are the following:
1. Liquidity
Collateral received, other than cash, should be highly liquid and traded on a regulated market or multilateral trading facility with transparent pricing in order that it can be sold quickly at a price that is close to its pre-sale valuation. Collateral that is received should also comply with the provisions of Regulation 74 of the UCITS Regulations;
2. Valuation
Collateral that is received should be valued on at least a daily basis and assets that exhibit high price volatility should not be accepted as collateral unless suitably conservative haircuts are in place;
3. Issuer Credit Quality
Collateral received should be of high quality. The responsible person shall ensure that -
(i) where the issuer was subject to a credit rating by an agency registered and supervised by ESMA that rating shall be taken into account by the responsible person in the credi
…