Change The 4 Derivatives And Derivative Instruments Reporting Regulation

Original Language Title: Änderung der 4. Derivate-Risikoberechnungs- und Meldeverordnung

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102. Regulation of the financial market authority (FMA), which modifies the 4 derivatives and derivative instruments reporting regulation

On the basis of §§ 83, 84 and 87 (3) of the investment funds act 2011 - 2011 InvFG, Federal Law Gazette I no. 77, amended by Federal Law Gazette I no. 83/2012, is prescribed:

The regulation of the financial market authority (FMA) on the risk calculation and reporting of derivatives - 4 derivatives-derivative instruments and reporting regulation, Federal Law Gazette II is no. 266/2011, as the following changed:

1. § 11 along with headings is eliminated.

2. paragraph 28:

"Section 28 (1) securities which are chargeable on the total risk of the counterparty must following always meet criteria:"

1. any not consisting of cash or deposits security has to be highly liquid to a transparent price and has to be traded on a regulated market or in a multilateral trading system;

2. the quantitative restrictions to avoid influencing the issuer in accordance with § 78 InvFG 2011 must be respected;

3. the value of the securities must be calculated at least every trading day.

4. in the case of strong volatility of the value of the security, this is only permitted if appropriate conservative haircuts (haircuts) are used;

5. the issuer of the security has a high credit rating;

6. the security is issued not by the other party or by a company belonging to the Group of the party, issued or guaranteed and has no high correlation with the development of the other party;

7. the collateral is sprinkled enough on States, markets and issuers. The overall risk to a single issuer must not exceed 20 vH of the net asset value of the investment fund here. In the case of collateral from several securities lending transactions, OTC derivatives and repurchase agreements, which are attributable to same issuer, issuer or guarantor, the overall risk this issuer for the calculation of the total threshold is to comprise;

8. the risks associated with managing the collateral, such as in particular the operational and legal risk, is determined by the risk management applied to the capital investment fund, controlled and mitigated;

9. any of deferral of the deposit is not accepted;

10 securities, with the exception of deposits, may be not sells, reinvested or pledged.

(2) if the ownership of the transferred collateral on the management company for the investment fund has gone, the collateral of the custodian of the investment fund are to be kept. Otherwise, the custody by a third party is permitted, provided that these are subject to prudential supervision, which according to is equivalent to the FMA of those under Union law, and no group in membership businesses of the counterparty or a relevant person in relation to the counterparty. In the case of the custody of deposits or terminable deposits is to ensure that the investment limit of section 74 para 1 last sentence InvFG 2011 at any time is respected.

(3) the management company has to make sure that she can immediately utilize accepted collateral without reference or consent of the other party.

(4) the management company has the capital investment fund on a valuation discount policy (haircut strategy) for any kind of assets received as collateral to dispose and the properties of assets, such as in particular the creditworthiness and the price volatility of the respective assets, as well as the results of the stress tests carried out in accordance with section 28 to consider b. The valuation discount policy is documented and has any decision to apply a haircut or to refrain, traceable to make with regard to the various kinds of assets."

3. under section 28, following articles 28a and 28B and headings shall be inserted:

"Reinvestment of securities

section 28a. (1) the reinvestment of backed collateral except backed deposits and disclosure of puttable deposits is not allowed. Sight deposits and puttable deposits are only to use one of the following ways:

1 plant in sight deposits pursuant to § 72 InvFG 2011 with a maturity not exceeding twelve months with a credit institution, provided that it is established in a Member State, or - if the seat of the credit institution is located in a third country - it is subject to prudential rules, which according to the FMA equivalent to those of Union law are;

2. of States issued bonds with a high credit rating.

3. investment in assets within the framework of a repurchase agreement within the meaning of section 83 InvFG 2011, provided that the counterparty of the pension business is a credit institution which is subject to at least supervisory regulations are equivalent to those of Union law according to the FMA, and provided that the management company to at any time and complete recovery of demand deposits and puttable deposits is entitled;

4. investment in money market funds with a short maturity structure in accordance with § 3 are money market fund regulation - GMF-V, Federal Law Gazette II No. 262/2011 in the currently valid version, which built domestically or in a Member State.

(2) the reinvestment demand deposits and puttable deposits has to comply with the provisions of § 28 para 1 No. 7 with regard to the diversification of non-cash collateral.

Stress testing for liquidity risk

section 28 b. "With regard to the development, design and application of proper stress test procedures, which regularly to determine the liquidity risk associated with the collateral under normal and exceptional liquidity conditions is section 6 of the lending and repurchase regulation - UPU, Federal Law Gazette II No. 101/2013 in the currently valid version, instrumental."

The following paragraph 3 is added to § 4. 37:

"(3) section 28, section 28a and 28B and headings in the version of regulation BGBl. II Nr 102/2013 enter into force with 1 may 2013." Management companies, which have to be completed before the entry into force of this regulation of OTC derivatives transactions for investment funds, have to adapt the safety stock no later than February 18, 2014. A safety stock existing before the entry into force of this Regulation may no longer be reduced to adapt the provisions of this regulation. § 28a applies to all re investments of cash, however, from the entry into force of this regulation. § 11 along with headings occurs at the end of the 30 April 2013 override."

Ettl Kumpf Müller