Insurance Company Investment Regulation - Vu-Kav

Original Language Title: Versicherungsunternehmen Kapitalanlageverordnung – VU-KAV

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423. Ordinance of the Financial Markets Authority (FMA) on qualitative requirements for capital investments of insurance and reinsurance undertakings (insurance company capital investment regulation-VU-KAV)

On the basis of § 126 of the Insurance Supervision Act 2016-VAG 2016, BGBl. I n ° 34/2015, as last amended by the Federal Act BGBl. I n ° 112/2015, is ordered with the approval of the Federal Minister of Finance:

Section 1

General requirements

Scope

§ 1. This Regulation shall apply to insurance undertakings according to § 5 Z 1 VAG 2016 and to reinsurance undertakings according to § 5 Z 2 VAG 2016 with registered office in Germany. The provisions of the second section shall apply to insurance undertakings which, according to § 300 VAG 2016, have to form a deckstock.

Asset Liability Management (ALM)

§ 2. Insurance and reinsurance undertakings have for the modelling of the ALM in accordance with § 124 (1) Z 3 in conjunction with § 110 paragraph 2 Z 2 VAG 2016 and Art. 260 (1) lit. b of the Delegated Regulation (EU) 2015/35 supplementing Directive 2009 /138/EC, OJ L 376, 27.12.2009, p. No. 1, to use reasonable assumptions and factors.

Guidelines on the assessment

§ 3. In order to ensure compliance with the requirements of § 124 (1) VAG 2016, insurance and reinsurance companies have internal written guidelines concerning ALM and investments pursuant to § 110 (1), 2 (2) (2) and (3) and (3). 6 in connection with § 107 para. 3 VAG 2016 to create and implement which, if relevant for the company's internal predisposition, include at least the following components:

1.

Segmentation of the entire portfolio at least at the level of the balance sheet departments according to § 140 paragraph 1 VAG 2016;

2.

Assessment objectives in compliance with obligations arising from insurance contracts and other liabilities, risk, income, 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 resulting lice system;

5.

Strategic asset allocation, appropriate deviating parameters and rules for determining them;

6.

Definition of the investment universe by asset categories;

7.

Investment processes in relation to asset categories according to Z 6;

8.

Description of the escalation mechanisms in the event of exceeding of the limits set in accordance with Z 4 and § 6;

9.

the extent and frequency of its own credit risk assessments in accordance with § 8, including the establishment of criteria which require a re-credit risk assessment;

10.

conditions under which the insurance or reinsurance undertaking may operate securities lending and securities transactions;

11.

Processes for the valuation of assets and monitoring of value development.

Organizational separation

§ 4. In order to ensure compliance with the requirements of § 124 (1) Z 1 to 4 VAG 2016, the valuation of the assets, the settlement and the collection of transactions in the accounting system is in accordance with § 107 para. 2 Z 1 VAG 2016 organizationally separate from the asset selection in the context of the assessment.

Documentation

§ 5. In order to be able to adequately identify, measure, monitor, manage and manage the risks of predisposition in accordance with § 124 (1) Z 1 VAG 2016 and to be able to report appropriately on these risks, the basis for investment decisions and the to adequately document ongoing monitoring of value development and credit risk. All transactions must be recorded in a timely and complete manner.

Mixing and scattering

§ 6. (1) For the purpose of appropriate mixing and dispersion in accordance with Section 124 (1) Z 7 VAG 2016, insurance and reinsurance undertakings shall have a suitable lice system with quantitative limits for all relevant concentration risks, at least but for the asset categories defined in accordance with § 3 Z 6, for issuers and/or Counterparties, including those belonging to the same group of companies according to § 74 (7) InvFG 2011, BGBl. I n ° 77/2011, as amended by the Federal Law BGBl. I n ° 117/2015, and for geographical regions to be defined and implemented.

(2) In the case of the monitoring of quantitative investment limits in accordance with paragraph 1, in respect of investments in shares in collective investment undertakings (UCITS) in accordance with § 2 of the InvFG 2011, BGBl. I n ° 77/2011, as amended by the Federal Law BGBl. I n ° 117/2015, in shares in Alternative Investment Funds (AIF) according to § 2 para. 1 Z 1 AIFMG, BGBl. I No. 135/2013, in the version of the Federal Law BGBl. I No 117/2015, in other facilities in the form of funds and in indirect risk positions in accordance with Article 84 (2) of the Delegated Regulation (EU) 2015/35:

1.

Where the insurance or reinsurance undertaking ' s significant influence is on the management or assessment of the installations referred to in the first sentence, insurance and reinsurance undertakings shall have the responsibility of the individual undertakings in the first sentence. Look through the set of assets mentioned above (look-through approach).

2.

If there is no significant influence, the review shall, at least on the basis of a target allocation within the meaning of Article 84 (3) of the delegated regulation (EU) 2015/35, be based on the individual assets referred to in the first sentence. Asset categories shall be made.

(3) A significant influence of the insurance and reinsurance undertaking on the administration or assessment of the installations referred to in § 6 (2), first sentence, shall be presumed if:

1.

the installations referred to in the first sentence of paragraph 2 are managed by undertakings connected with the insurance or reinsurance undertaking; or

2.

the insurance or reinsurance undertaking holds more than 50% of the assets of the installation as referred to in paragraph 2, first sentence, or

3.

the insurance or reinsurance undertaking may otherwise have an influence on the investment policy or the investment decisions of the undertaking managing the investment. In any event, the possibility of influencing investment policy or decision making is likely to be accepted if an outsourcing of the assessment of the corresponding assets by the insurance or reinsurance undertaking , which is to be regarded as important or critical within the meaning of § 109 para. 2 VAG 2016.

(4) The presumption in accordance with paragraph 3 shall not apply if the insurance or reinsurance undertaking can state that, in spite of the existence of the conditions set out in paragraph 3, there is no significant influence on the part of the insurance or reinsurance undertaking.

(5) In the case of funds for funds, a sufficient number of repetitions of the screening shall be carried out in the context of the monitoring of the quantitative limits of the investment referred to in paragraphs 2 and 3.

(6) By way of derogation from paragraphs 2 and 3, in the case of investments in UCITS whose investment strategy is based on the development of the development of one or more indices (index-forming UCITS), the screening can only be carried out on the basis of a target allocation within the meaning of Art. 84 Section 3 of the Delegated Regulation (EU) 2015/35.

(7) Section 1 to 4 shall not apply to assets held for fund-or index-linked life insurance pursuant to § 125 VAG 2016. In order to cover the cover requirement of the pre-payment beneficiaries for the future according to § 300 (1) Z 6 VAG 2016, the provisions of para. 1 to 4 shall be based on the special features of the pre-payment beneficiaries for the future of the future in accordance with § § § § § § § § § § § § § § § § § § 108g to 108i of the Income Tax Act 1988-EStG 1988, BGBl. N ° 400/1988, as amended by the Federal Law BGBl. I No 118/2015.

Key risk indicators

§ 7. In order to ensure that insurance and reinsurance undertakings invest only in assets whose risks they adequately identify, measure, monitor, manage, in accordance with Section 124 (1) Z 1 in connection with Section 110 (2) Z 3 VAG 2016 , and where they can report appropriately on their risks, insurance and reinsurance undertakings have to develop their own risk indicators, which are to be used in the context of the assessment and which are all relevant risk indicators, however, at least the following shall include:

1.

Comparison of interest rate sensitivities of assets and liabilities;

2.

Deviations from the strategic or Tactical Asset Allocation

3.

Deviations from the limit system for all other relevant concentration risks according to § 3 Z 4 and § 6 para. 1;

4.

the proportion of unlisted and non-regularly traded assets;

5.

Structure of segments according to § 3 Z 1 according to credit quality, maturity or interest rate sensitivity, currency and geographical region;

6.

Base-value equivalent of the underlying basis of the derivative according to § 4 (1) in conjunction with Appendix 1, Section A of the 4. Derivatives-Risk calculation and reporting regulation, BGBl. II No 266/2011, as amended by the BGBl Regulation. II No 267/2015, where derivatives are used to facilitate efficient portfolio management in accordance with Section 124 (1) Z 5 VAG 2016 as well as sensitivity indicators for derivatives in the case of material exposure and

7.

Share of the entire portfolio in annexes pursuant to § 6 (2), first sentence, to which the review is not applied to individual assets pursuant to § 6 para. 2 Z 1.

Credit risk assessment

§ 8. In order to ensure that insurance and reinsurance companies apply all assets in a manner that ensures the security, quality, liquidity and profitability of the entire portfolio in accordance with § 124 (1) Z 2 VAG 2016 , insurance and reinsurance undertakings shall, in assessing the credit quality of issuers or Counterparties to observe the following:

1.

An appropriate own credit risk assessment shall, in any event, be carried out for more complex or tangible assets or activities which have a credit risk, and for loans. For the purpose of determining tangible assets or activities, exposures to the same issuer or to different issuers of the same group of companies shall be those in accordance with Section 74 (7) of the InvFG 2011 and/or to be counted against the same counterparty or various counterparties to the same group of companies pursuant to Section 74 (7) of the InvFG 2011.

2.

The credit risk assessment according to Z 1 is both at the level of the individual issuer and/or the individual counterparty as well as, if the issuer or the counterparty of a group of companies according to § 74 (7) of the InvFG 2011 belongs to the group level. Measures to improve credit quality, such as guarantees or collateral, must be taken into account.

3.

The credit risk assessment according to Z 1 shall have, where relevant, the analysis of macroeconomic developments, balance sheet and market figures, reports of external credit rating agencies, the contract documentation, and the ongoing monitoring of messages, which shall: on a change in credit risk, to be included.

4.

The information used for the credit risk assessment in accordance with Z 1 shall be obtained from reliable sources and shall take into account, with regard to the scope and timeliness, a sufficient number of data points, which shall be a holistic one. Allow the credit risk to be considered over several periods of time.

Liquidity

§ 9. In order to ensure that all accepted obligations can also be fully fulfilled by securities and derivatives transactions at the time of maturity, insurance and reinsurance undertakings have in accordance with § 124 (1) Z 2 and 3 VAG 2016 to ensure that the composition of the entire portfolio ensures the permanent availability of a reasonable amount of liquid assets.

Securities lending and securities lending operations

§ 10. (1) In order to ensure the security, quality and liquidity of the entire portfolio in accordance with § 124 (1) Z 2 VAG 2016, securities which are the subject of securities lending and securities exchange transactions shall be subject to collateral which: can be considered as highly liquid assets, such as credit institutions, gold, debt securities issued by States or companies with at least high credit quality or covered bonds in accordance with Art. 46 (3) (3) (3). a of Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories, OJ L 124, 20.4.2012, p. No. OJ L 201 of 27.07.2012 p. 1, as last amended by Directive (EU) 2015/1515, OJ L 201, 31.7.2002, p. No. OJ L 239, 15.09.2015 p. 63, which has at least a high credit quality.

(2) The market value of the security performance shall not be less than the market value of the securities issued and the collateral shall be deposited on depots or accounts on which the securities borrower in the case of bankruptcy or insolvency proceedings is not accessible. Securities lending and securities transactions are only permitted on a prudent level and only in the best interests of all policyholders and beneficiaries.

(3) (1) and (2) apply to securities lending and securities transactions in direct stock, as well as within investments where there is a significant influence on the administration or disposition of securities pursuant to Section 6 (3) of the Regulation. In accordance with § 300 (1) Z 6 VAG 2016, the cautious level according to section 2 (2) must be assessed in accordance with § § 108g bis 108i EStG 1988, taking into account the special features of the future provision of the premium.

Derivative financial instruments

§ 11. (1) When derivative financial instruments are used, the permitted use in accordance with § 124 (1) Z 5 VAG 2016 shall be proven in compliance with the following requirements:

1.

Where risks are used to reduce risks, insurance and reinsurance undertakings shall at all times be able to quantitatively demonstrate the risk-reducing effect for the whole period of the proposed use. Likewise, insurance and reinsurance undertakings shall at all times be in a position to demonstrate that the use of derivative financial instruments does not result in any additional significant risks.

2.

In the case of use to facilitate efficient portfolio management, insurance and reinsurance undertakings shall at all times be able to demonstrate, quantitatively, that the risk profile produced does not materially from a risk profile. without the use of derivative financial instruments, and that the use of derivative financial instruments does not give rise to any additional significant risks.

(2) In order to ensure the security, quality, liquidity and profitability of the entire portfolio according to § 124 (1) Z 2 VAG 2016, speculative investments with a high leverage, short holding period or high transaction frequency or in the Framework of arbitrage strategies as well as the use of short put options only on a cautious level allowed.

(3) As the risk positions to be protected within the meaning of § 124 (1) Z 5 VAG 2016, assets as well as liabilities shall apply individually as well as in total for each segment in accordance with § 3 Z 1.

(4) For risk management in relation to derivative financial instruments, at least the key figures according to § 7 Z 6 as well as the operational, liquidity and counterparty risk of risk must be taken into account.

(5) (5) (1) to (4) apply to investments in direct holdings and installations pursuant to Section 6 (2), first sentence, on the management or assessment of which there is a relevant influence of the insurance or reinsurance undertaking pursuant to § 6 (3).

Section 2

Special provisions for the cover stock

General provisions

§ 12. (1) In order to ensure that assets to cover the technical provisions are applied in the best interests of all policyholders and beneficiaries in accordance with Section 124 (1) Z 3 VAG 2016, only those assets may be used. the following assets are held to cover the cover requirement in accordance with § 301 VAG 2016:

1.

Capital investments pursuant to § 144 (2) items B.I., B.II. and B.III.1 to B.III.7 VAG 2016; other loans pursuant to § 144 (2) item B.III.6 VAG 2016, however, only to the extent that the loans are once exploitable in accordance with § 13 Z 3;

2.

In accordance with Section 144 (2) (E) of the VAG 2016, the amount of interest and rent shall be limited to the amount of interest paid;

3.

Current credit in the case of credit institutions, cheques and cash balances pursuant to § 144 (2) item F.II VAG 2016 only in so far as it relates to current assets of credit institutions and cash balances.

(2) Without prejudice to paragraph 1, the following assets shall in any case not be held to cover the cover requirement in accordance with § 301 VAG 2016

1.

assets used for securities coverage in accordance with Section 14 (5) and (7) of the EStG 1988;

2.

securities issued on its own issues;

3.

shares in companies to which critical or important operational functions or activities have been transferred by outsourcing according to § 109 VAG 2016;

4.

Shares in undertakings for whose obligations the insurance undertaking is liable as a personally liable partner or whose profits and losses are assumed by the insurance undertaking in the context of profit and loss management contracts .

(3) By way of derogation from paragraph 1 and section 13, the provisions of § § 16 and 17 shall apply to the fund and index-bound life insurance.

Specific provisions for individual assets

§ 13. In order to ensure that assets held to cover the cover requirement in accordance with § 301 VAG 2016 are in the best interest of all policyholders and beneficiaries in accordance with § 124 (1) Z 3 and 4 VAG 2016 , the following principles must be observed:

1.

If debt securities are not only kept to a small extent in order to cover the cover requirement in accordance with § 301 VAG 2016, a large part of these debt securities has at least a high credit quality in the sense of the Credit risk assessment according to § 8.

2.

Shares in AIF may only be held at a prudent level in order to cover the cover requirement in accordance with § 301 VAG 2016; this restriction shall not apply to:

a)

Special funds according to § 163 InvFG 2011 and those managed by a capital investment company with registered office in another Member State and which have the characteristics according to § 163 InvFG 2011 and

b)

Real estate funds according to § 1 of the Real Estate Investment Fund Act, BGBl. I n ° 80/2003, in the version of the Federal Law BGBl. I No 115/2015, and with these comparable real estate funds, which are managed by a capital investment company established in another Member State and subject to public supervision.

3.

In order to cover the cover requirement in accordance with § 301 VAG 2016, loans may only be held at a prudent level and only if they are usable once and are not subordinated. In addition, they shall have at least a high credit quality in the sense of the credit risk assessment in accordance with § 8 or on sufficient collateral. In the case of mortgage loans, the properties in the country or in another Member State have to be proven and sufficiently basic to be insured, and the value of the property's transport value may be subject to up to 60%.

4.

Derivative financial instruments according to § 11 paragraph 1 Z 2 may only be held at a cautious level in order to cover the cover requirement in accordance with § 301 VAG 2016. Derivative financial instruments pursuant to Section 11 (1) (1) (1) shall relate to risk positions in the same covering stock department in accordance with § 300 VAG 2016.

5.

Structured debt securities may only be held at a prudent level in order to cover the cover requirement in accordance with § 301 VAG 2016.

Redemption, redemption and interest

§ 14. (1) Assets in accordance with Section 12 (1) may be held to cover the cover requirement in accordance with § 301 VAG 2016 only if it is ensured that redemption and redemption shall apply to a separately according to § 302 (3) VAG 2016 Congruency departments shall enter into a bank account of the same division of the cover stock, such as the cover stock value, which is registered in accordance with § 249 VAG 2016 and is entered in a cover stock directory.

(2) Anpartite interest on assets held in order to cover the cover requirement in accordance with § 301 VAG 2016 may be used to cover the cover requirement of the same department in accordance with Section 300 (1) Z 1 to 8 VAG 2016, provided the interest is credited to a bank account of the same department.

Availability

§ 15. (1) Loans pursuant to § 13 Z 3, claims such as interest and credit in the case of credit institutions may only be held in order to cover the cover requirement in accordance with § 301 VAG 2016, if the debtor, in the case of a trustee administration of the The trustee and the guarantor have waived in writing any right of resettlement and retention. Securities may only be held in order to cover the cover requirement in accordance with § 301 VAG 2016, if the Verwahrer has waived in writing any right of settlement and retention.

(2) In order to ensure the availability in accordance with § 124 (1) Z 2 VAG 2016, bearer securities held to cover the cover requirement in accordance with § 301 VAG 2016 shall be held at a credit or financial institution which shall be deemed to be subject to the following conditions: The depositary is entitled to deposit the securities, while ensuring that the securities deposited in each case constitute a special asset in the depositary which, in the event of bankruptcy or insolvency proceedings, does not constitute a part of the securities issued by the depositary. Mass is. The liability of the depositary or of the interim depositary for the fault of third parties may not be restricted or excluded in the contract.

(3) Securities denominated in the name and other assets to be held shall be sufficiently safe to be preserved.

Fund-linked life insurance

§ 16. (1) In order to ensure that the assets to cover the technical provisions relating to the fund-linked life insurance in accordance with Section 125 (1) in conjunction with § 124 (1) Z 1 to 4 VAG 2016, the principle of prudent prudence and, in particular, in the best interests of all policyholders and beneficiaries, insurance undertakings have due diligence in the selection of capital investment funds and their Administering them. In particular, the organisation of the liquidator and its service provider, the documentation relating to the fund and its yield and risk profile shall be taken into account.

(2) In addition to the relevant shares in capital investment funds pursuant to section 125 (2) of the VAG 2016, in order to cover the cover requirement in accordance with § 301 VAG 2016 in connection with § 300 paragraph 1 Z 3 VAG 2016 in the fund-linked life insurance in one Only a small amount of credit is held by credit institutions pursuant to § 15 (1) for the purposes of the temporary assessment and advance payments to police officers in accordance with Section 302 (2) of the VAG 2016.

(3) Where, in the event of a performance, a right to vote on the relationship between shares in capital investment funds or cash benefits is provided for, the Member State in which insurance contracts are offered must be offered to the policyholder. standing capital investment fund for public distribution.

Index-bound life insurance

§ 17. In order to ensure that the assets to cover the technical provisions relating to index-linked life insurance in accordance with § 125 (1) in conjunction with Section 124 (1) Z 1 to 4 VAG 2016, the principle of prudent and, in particular, the best interests of all policyholders and beneficiaries, insurance undertakings shall, in particular, ensure that:

1.

the assets to cover the technical provisions and the issuers of such assets, where there is a credit risk, at the time of acquisition, at least a high credit quality in the sense of the credit risk assessment in accordance with § 8;

2.

the assets to cover the technical provisions and the values on which the reference value is based, in the form of precise, reliable and current prices, which are either market prices or, as a result of a the evaluation system independent of the issuer, and externally comprehensible;

3.

the assets to cover the technical provisions have adequate risk diversification;

4.

in the case of an external capital guarantee, the guarantor has at least a high credit quality in the case of the credit risk assessment in accordance with § 8;

5.

the allocation of assets to insurance products and groups of insurance contracts is designed to be comprehensible and documented sufficiently.

Section 3

Transitional and final provisions

§ 18. (1) The Regulation shall enter into force 1. Jänner 2016 in force.

(2) By way of derogation from § § 12, 16 and 17, the BGBl shall be allowed to comply with the provisions of the Capital Investment Ordinance as at 31 December 2015. II No 2002/383, as amended by the BGBl Regulation. II No 409/2013, assets dedicated to the cover stock also remain dedicated to the cover stock after 31 December 2015.

Ettl Kumpfmüller