Insurance Company Investment Regulation - Vu-Kav

Original Language Title: Versicherungsunternehmen Kapitalanlageverordnung – VU-KAV

Read the untranslated law here: http://www.ris.bka.gv.at/Dokumente/BgblAuth/BGBLA_2015_II_423/BGBLA_2015_II_423.html

423 regulation of the financial market authority (FMA) on qualitative requirements for capital investments of insurance and re-insurance companies (insurance company investment regulation - VU-KAV)

On the basis of article 126 of the insurance supervision law 2016 - VAG 2016, Federal Law Gazette I no. 34/2015, as last amended by the Federal Act Federal Law Gazette I no. 112/2015, is with the consent of the Federal Minister of finance prescribed:

1 section

General requirements

Scope of application

§ 1. This regulation applies Z 1 insurance companies according to § 5 VAG 2016 and for reinsurance undertakings pursuant to section 5 No. 2 VAG 2016 headquartered in Germany. The provisions of the 2nd section are applicable to insurance companies that VAG 2016 a collateral must be in accordance with section 300.

Asset-liability management (ALM)

§ 2. insurance and reinsurance companies have for the modeling of the ALM in accordance with article 124, paragraph 1 No. 3 in conjunction with § 110, para. 2 No. 2 VAG 2016 and article 260 para 1 lit. (b) the delegated Regulation (EU) 2015/35 to complement the directive 2009/138/EC, OJ Number to use S. 1, reasonable assumptions and factors L 12 of the 17.01.2015.

Guidelines on the assessment

§ 3. VAG 2016 to ensure compliance with the requirements referred to in article 124, paragraph 1, insurance and re-insurance companies have internal written guidelines on ALM and investment schemes referred to in article 110, paragraph 1, VAG 2016 to create 2 Nos. 2 and 3 and paragraph 6 in conjunction with article 107 para. 3 and implement that, unless for internal investment relevant, include at least the following components : 1. segmentation of the entire portfolio at least at the level of balance departments in accordance with article 140, paragraph 1 VAG 2016;

2. investment objectives with regard to obligations arising from insurance contracts and other liabilities, risk, yield, time horizon and liquidity requirements;

3. processes for the ALM;

4. criteria for the security, quality, liquidity, profitability and availability of the entire portfolio, and the limit system derived from;

5. strategic asset allocation, appropriate deviation parameters and rules governing their determination;

6 definition of the universe according to asset classes;

7 investment processes in terms of asset classes according to no. 6;

8. Description of the escalation mechanisms in case of exceeding the limits set in accordance with Nos. 4 and § 6;

9 volume and frequency of their own credit risk assessments in accordance with section 8 including the establishment of criteria, which require a re-evaluation of the credit risk;

10 conditions under which the insurance or reinsurance undertakings Wertpapierleih-and repurchase can operate;

11 processes for asset valuation and monitoring of performance.

Organisational separation

§ 4. The valuation of assets, to separate the processing and the recording of transactions in the accounting in accordance with section 107, paragraph 2 Z 1 VAG 2016 organizationally from the asset value selection in the context of the investment is to ensure compliance with the requirements of section 124 para 1 VAG 2016 Z 1 to 4.

Documentation

§ 5. To the risks of the investment in accordance with article 124, paragraph 1 VAG 2016 adequately recognize Z 1, measure, monitor, manage and control to and to report on them adequately, the basis for making investment decisions, as well as the ongoing monitoring are appropriate to document performance and credit risk. All transactions are promptly and fully.

Mixing and dispersion

6. (1) insurance and reinsurance undertakings have an appropriate limit system with quantitative investment limits for all relevant concentration risks Z 7 for the purpose of a reasonable mix and distribution in accordance with article 124, paragraph 1 VAG 2016, anyway, but for the according to § 3 No. 6 defined asset classes, for issuers or counterparties including, the same group of companies in accordance with section 74 paragraph 7 InvFG 2011, Federal Law Gazette I no. 77/2011 , as amended by Federal Law Gazette I no. 117/2015, belong to, and set for geographic regions and to implement.

(2) in the monitoring of quantitative investment limits referred to in paragraph 1 applies with regard to investments in shares in undertakings for collective investment in transferable securities (UCITS) pursuant to § 2 2011, InvFG Federal Law Gazette I no. 77/2011, in the version of Federal Law Gazette I no. 117/2015, in shares of alternative investment funds (AIF) in accordance with article 2, paragraph 1 Z 1 AIFMG, Federal Law Gazette I no. 135/2013, as amended by Federal Law Gazette I no. 117/2015 , in other plants in the form of funds, as well as in indirect risk positions in accordance with article 84 paragraph 2 of the delegated Regulation (EU) 2015/35 the following: 1 is a significant influence on the management or disposition of the facilities referred to in the first sentence of the insurance or reinsurance undertaking, insurance and re-insurance companies in the individual annexes referred to in the first sentence's underlying assets to browse (look-through approach) have.

2. no significant influence exists, so that has look through at least on the basis of a target allocation in accordance with article 84 § 3 of the delegated Regulation (EU) 2015/35 on the individual annexes referred to in the first sentence's underlying asset classes to be carried out.

(3) a significant influence of the insurance and reinsurance undertaking on the management or disposition which is investments referred in section 6 paragraph 2 first sentence suspected, if 1 the plants referred to in paragraph be managed 2 first sentence of companies associated with the insurance or reinsurance undertaking or the insurance undertaking or reinsurance undertaking more than 50% of the assets of the system referred to in paragraph 2, first sentence holds 2. , or 3 elsewhere can affect the insurance undertaking or reinsurance undertaking the investment policy or investment decisions of the company that managed the plant. The ability to influence the investment policy or when making investment decisions, is deemed to accept, when outsourcing the assessment of related assets by the insurance or reinsurance undertakings exists, VAG 2016 to see as important or critical within the meaning of article 109, paragraph 2 is.

(4) the presumption referred to in paragraph 3 does not apply to, if the insurance undertaking or reinsurance undertaking can demonstrate that despite the requirements referred to in paragraph 3 are a significant influence does not exist.

(5) in the case of funds is in the framework of monitoring the quantitative limits referred to in paragraph 2 and 3 a sufficient number of repetitions, which look through to make.

(6) by way of derogation from paragraph 2 and 3 can investments in UCITS, the investment strategy is based on the replication of the development of one or more indexes (index-replicating UCITS), which look through only on the basis of target allocation in accordance with article 84 paragraph 3 the delegated Regulation (EU) 2015/35 be.

(7) paragraphs 1 to 4 shall not apply to assets that are held VAG 2016 according to § 125 for the unit - or index-linked life insurance. For the covering of the coverage requirement of State-sponsored retirement provision in accordance with article 300 para. 1 No. 6 VAG 2016 are the provisions of par. 1 to 4, taking into consideration the special features of the State-sponsored retirement provision in accordance with the sections 108 g to 108i of the income tax Act 1988 - EStG 1988, Federal Law Gazette No. 400/1988, No 118/2015, shall apply in the version of Federal Law Gazette I.

Key risk indicators

§ 7. Can to ensure that insurance and reinsurance undertakings in accordance with article 124, paragraph 1 invest no. 1 in conjunction with § 110 section 2 Z 3 VAG 2016 only assets, associated risks appropriately recognize, measure, monitor, manage, control and they can appropriately report about their risks, insurance and re-insurance companies have to develop their own risk indicators which are to be a part of the investment and all key risk indicators , or at least include the following: 1. comparison of the interest sensitivity of assets and liabilities;

2. deviations from the strategic and tactical asset allocation 3. deviations from the limit system for all other relevant concentration risks in accordance with § 3 Z 4 and § 6 para 1;

4. proportion of unlisted and not regularly traded assets;

5. structure of the segments in accordance with § 3 Z 1 according to credit quality, maturity and interest rate sensitivity, currency and geographic region;

6 base value equivalent of the underlying instrument underlying the derivative in accordance with § 4 para 1 in conjunction with Appendix 1 section A of the 4 derivatives and derivative instruments reporting regulation, Federal Law Gazette II No. 266/2011, as amended by regulation BGBl. II No. 267/2015, for use of derivatives to facilitate an efficient portfolio management in accordance with article 124, paragraph 1 Z 5 VAG 2016 as well as sensitivity indicators for derivatives with substantive exposure and 7 share of the total portfolio in plants in accordance with § 6 para 2 first sentence , to which look through on individual assets in accordance with § 6 par. 2 Z 1 is not applied.

Credit risk assessment


§ 8. To ensure that insurance and reinsurance undertakings create VAG 2016 all assets in a manner no. 2 in accordance with article 124, paragraph 1, which ensures the security, quality, liquidity and profitability of the entire portfolio, have insurance and reinsurance companies in assessing the credit quality of issuers or counterparties to observe the following: 1 is a reasonable own credit risk assessment anyway, for more complex or substantive investments or investment activities , which have a credit risk, as well as perform for loan. For determining material facilities or activities exposures are section 74 paragraph 7 InvFG compared with same issuer or different issuers same group according to 2011 totaling counterparties of same group of companies in accordance with section 74 paragraph 7 2011 or to same counterparty or various InvFG.

2. the credit risk assessment according to no. 1 is both at the level of the individual issuer and of each counterparty as also, provided that the issuer or the other party of a group of companies pursuant to section 74 paragraph 7 2011 belongs to InvFG, perform at the group level. Measures that improve the quality of credit, such as guarantees or collateral, are taking into account.

3. the credit risk assessment according to Z 1 has, if relevant, the analysis of macroeconomic developments, balance sheet and key figures in the market, reports external rating agencies, the contract documentation, as well as the ongoing monitoring of messages which may suggest a change of credit risk, to include.

4. the information used for credit risk assessment in accordance with no. 1 are from reliable sources and have to take into account a large number of data points that enable an integrated approach of credit risk over several time periods in terms of the scope and timeliness.

Liquidity

§ 9. To ensure that all commitments also from securities and derivatives transactions at the time of maturity in its entirety can be met, insurance and re-insurance companies have in accordance with article 124, paragraph 1 Nos. 2 and 3 VAG 2016 to ensure the composition of the entire portfolio to ensure the constant availability of a reasonable amount of cash.

Lending and repurchase

§ 10 (1) safety, to ensure the quality and liquidity of the entire portfolio in accordance with article 124, paragraph 1 Z 2 VAG 2016 lit are for securities which are subject to lending and repurchase, to provide collateral, which can be seen on debt securities issued by States or companies with at least high credit quality as about balances at banks, gold, as highly liquid or covered bonds in accordance with article 46 paragraph 3. of Regulation (EU) No. 648/2012 on OTC derivatives, central counterparties and trade repositories, OJ No L 201 of the 27.07.2012 p. 1, last amended by the (EU) Directive 2015/1515, OJ No. L 239 of the 15.09.2015 p. 63, that have at least a high credit quality.

(2) the market value of the security deposit must be less than the market value of Securities lent at any time and the securities shall be deposited, not accessible to the value paper borrower in the bankruptcy or insolvency on deposits or accounts. Lending and repurchase are allowed cautious level only and exclusively in the best interest of policyholders and beneficiaries.

(3) apply to lending and repurchase in the direct holdings and mutatis mutandis within systems exists on their management or investment a significant influence pursuant to § 6 section 3 para 1 and 2. The State-sponsored retirement provision in accordance with article 300, paragraph 1 Z 6 VAG 2016 is to assess the cautious level referred to in paragraph 2, taking into consideration the special features of the State-sponsored retirement provision in accordance with the sections 108 g 108i EStG 1988.

Derivative financial instruments

§ 11 (1) the use of derivative financial instruments is the acceptable purpose in accordance with article 124, paragraph 1 Z 5 VAG 2016 in compliance with the following requirements to prove: 1 when you use to mitigate risks have insurance and re-insurance companies at all times in a position to quantitatively demonstrate the risk-reducing effect for the entire period of the proposed use. Also have insurance and reinsurance companies at any time in the to be able to prove that no additional significant risks arising from the use of derivative financial instruments.

2. When you use to facilitate an efficient portfolio management, insurance and reinsurance companies at any time in the to be able to demonstrate quantitatively that the generated risk profile not much of a risk profile without the use of derivative financial instruments is different and that no additional significant risks arising from the use of derivative financial instruments have.

(2) to the security, quality, to ensure the liquidity and profitability of the entire portfolio in accordance with article 124, paragraph 1 Z 2 VAG 2016, speculative investments with high leverage, short duration or high frequency of transaction or arbitrage strategies as well as the use of short put options on cautious level only are allowed.

(3) as to be protected from risk positions within the meaning of article 124, paragraph 1 VAG 2016 considered Z 5 assets liabilities also individually and in sum for each segment according to § 3 No. 1.

(4) for risk management in relation to derivative financial instruments, at least the ratios in accordance with § 7 are no. 6, as well as the operational, liquidity risk and counterparty risk into account.

(5) section 1 to 4 apply for investments in the direct holdings and facilities pursuant to section 6 para 2 first sentence, their management or investment is a significant influence of the insurance or reinsurance undertaking in accordance with article 6, paragraph 3.

2. section

Special provisions for the collateral pool

General terms and conditions

Section 12 (1) to ensure that assets to cover the technical provisions in accordance with article 124, paragraph 1 applied Z 3 VAG 2016 in the best interest of policyholders and beneficiaries, only the following assets for covering the coverage requirement in accordance with article 301 should be kept VAG 2016: 1 investments pursuant to article 144, paragraph 2 item b.i. B.II. and B.III. 1 to B.III. 7 VAG 2016; other loans pursuant to article 144, paragraph 2 item B.III. 6 VAG 2016 but only insofar as it is exploitable once loan in accordance with § 13 No. 3;

2. prorated interest and rent pursuant to article 144, paragraph 2 item E VAG 2016 only insofar as it's proportionate interest.

3. current balances with banks, cheques and cash on hand pursuant to article 144, paragraph 2 item F.II VAG 2016 only insofar as it's current balances with banks and cash on hand.

(2) without prejudice to paragraph 1, the following assets not for covering the coverage requirement in accordance with article 301 should be kept anyway, 1 assets used in 1988 to value paper cover in accordance with § 14 paragraph 5 and paragraph 7 EStG VAG 2016;.

2. securities of their own emissions;

3. shares in companies the critical or important operational functions or activities VAG 2016 has been transferred by outsourcing according to § 109 are;

4. shares in companies, the insurance companies as a general partner is liable for its obligations or whose gains and losses within the framework of profit and loss transfer agreements by the insurance companies are taken over.

(3) for the unit - linked and index-linked life insurance the provisions of § apply § by way of derogation from paragraph 1 and article 13 16 and 17.

Special provisions for certain assets

§ 13. To ensure that assets, covering the coverage requirement in accordance with § 301 VAG 2016 be held, Nos. 3 and 4 VAG 2016 in the best interest of policyholders and claimants are applied in accordance with article 124, paragraph 1, are to observe the following principles: 1. If notes not only in minor extent covering the coverage requirement in accordance with § 301 VAG 2016 be held, much of this debt--at least for a high credit quality in the sense of assessing credit risk in accordance with section 8 has to have.

2. shares in AIF may be held for covering the coverage requirement in accordance with § 301 VAG 2016 only cautious level; (this restriction does not apply for a) special funds in accordance with § 163 InvFG 2011 and those that are managed by an investment company based in another Member State and 2011 exhibit the characteristics referred to in section 163 to InvFG and b) real estate fund pursuant to section 1 of the real estate investment fund law, Federal Law Gazette I no. 80/2003, as amended by Federal Law Gazette I no. 115/2015, and comparable with these real estate funds, which are managed by an investment company based in another Member State and a public oversight are subject to.

3.

Loans may be 2016 only at a cautious level and only then held VAG for covering the coverage requirement in accordance with § 301, if they are exploitable once and not subordinated. In addition, they have at least high credit quality within the meaning of the credit risk assessment pursuant to article 8 or of sufficient collateral to dispose of. Mortgage loans the tenements in Germany or in another Member State have occupy and sufficiently insured to be elemental and the market value of the property may be charged up to 60%.

4. derivative financial instruments in accordance with article 11, paragraph 1 must be kept to cover the coverage requirement in accordance with § 301 VAG 2016 only cautious level Z 2. Derivative financial instruments in accordance with article 11, paragraph 1 Z 1 have VAG 2016 to refer to risk positions in the same Division of the collateral in accordance with section 300.

5. structured notes may be held covering the coverage requirement in accordance with § 301 VAG 2016 only cautious level.

Repayments, interest and feedback solutions

Section 14 (1) assets may be held VAG 2016 only then in accordance with article 12, paragraph 1 to the coverage of the coverage requirement in accordance with § 301, sure is that repayments and return solutions and enter into its bank account on a managed pursuant to § 302 3 VAG 2016 separately to cover departments and VAG in a collateral pool directory in accordance with § 249 2016 registered to same Department of the cover pool as the collateral value.

(2) pro-rata interest on assets that VAG 2016 be held for covering the coverage requirement in accordance with § 301 can be used VAG 2016 Z 1 to 8 covering the coverage requirement of same Department in accordance with article 300, paragraph 1, provided that the interest is credited to a bank account of same Department.

Availability

Section 15 (1) loan in accordance with § 13 No. 3, claims such as prorated interest and credit balances may be held only VAG 2016 covering the coverage requirement in accordance with § 301, if, the debtor at fiduciary, management of the trustee, and the guarantor in writing have renounced any rights of set off and right of retention. Securities may be held only the VAG 2016 to the coverage of the coverage requirement in accordance with § 301 the depositary in writing waived any rights of set off and right of retention.

(2) to VAG 2016 to ensure the availability in accordance with article 124, paragraph 1 Z 2-denominated securities VAG 2016 keep covering the coverage requirement in accordance with § 301, when a credit or financial institution, which is entitled as a depositary for the operation of the custody business are owner, to deposit, where to make sure is that each deposited securities at the depository constitute a special fund, which is not a part of the mass in the case of a bankruptcy or insolvency proceedings. The liability of the depositary or the interim custodian for the fault of third-party depositories may contractually not be limited or excluded.

(3) name of bearer securities and other assets to verwahrende are sufficiently secure to be kept.

Unit-linked life insurance

Section 16 (1) to ensure that the assets covering the technical provisions for unit-linked life insurance in accordance with § 125 ABS. 1 in conjunction with article 124, paragraph 1 Z 1 to 4 VAG 2016 comply with the principle of commercial prudence and be applied in particular in the best interest of policyholders and beneficiaries, have to apply adequate insurance companies care in the selection of investment funds and their managers. These are in particular the Organization of the administrator and its service providers to consider the documentation relating to the Fund and its income and risk profile.

(2) in addition to the relevant shares in investment funds pursuant to § 125 ABS. 2 VAG 2016 Z may be held for covering the coverage requirement in accordance with § 301 VAG 2016 in conjunction with article 300, paragraph 1 3 VAG 2016 in unit-linked life insurance to a minor extent only deposits with credit institutions pursuant to § 15 para 1 for purposes of temporary assessment and prepayments on policies in accordance with article 302, paragraph 2 VAG 2016.

(3) if there is a right to vote on the purchase of shares in investment funds or cash benefits paid, the investment funds available to the policyholder to choose for public sale must be registered in the Member State concerned, in which insurance policies are offered.

Index-linked life insurance

§ 17. To ensure that the assets covering the technical provisions of index-linked life insurance in accordance with § 125 ABS. 1 in conjunction with article 124, paragraph 1 Z 1 to 4 VAG 2016 comply with the principle of commercial prudence and be applied in particular in the best interest of policyholders and beneficiaries, have to ensure insurance companies, in particular, that 1 the assets covering the technical provisions, as well as the issuers of these assets , if there is a credit risk, exhibit at the time of purchase at least a high credit quality in the sense of assessing credit risk in accordance with section 8;

2. the assets covering the technical provisions and the values on which the reference value is based, are in the form of precise, reliable and standard prices, which are market prices or evaluated on the basis of an independent issuer rating system, and are externally to understand;

3. the assets covering the technical provisions have an adequate risk diversification;

4. in the case of an external capital guarantee of the guarantor in assessing credit risk in accordance with section 8 has at least a high credit quality;

5. the allocation of assets to insurance products and group insurance contracts is comprehensible and well-documented.

3. section

Transitional and final provisions

18. (1) effective regulation with 1 January 2016.

(2) by way of derogation from articles 12, 16 and 17 May to 31 December 2015 in accordance with the provisions of investment regulation, Federal Law Gazette II No. 2002/383, as amended by regulation BGBl. II Nr 409/2013, dedicated to the collateral assets after 31 December 2015 dedicated to the collateral pool remain.

Ettl Kumpf Müller