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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 Markets Authority (FMA), with which the 4. Derivatives-Risk calculation and reporting regulation is amended

On the basis of § § 83, 84 and 87 (3) of the Investment Fund Act 2011-InvFG 2011, BGBl. I n ° 77, as last amended by the Federal Law BGBl. I No 83/2012, shall be arranged:

The Regulation of the Financial Market Supervisory Authority (FMA) on risk calculation and reporting of derivatives-4. Derivatives-Risk calculation and reporting regulation, BGBl. II No 266/2011, shall be amended as follows:

1. § 11 together with the headings is deleted.

2. § 28 reads:

" § 28. (1) Safeguards which are attributable to the overall risk of the counterparty must always meet the following criteria:


Any security not consisting of cash or sight deposits shall be highly liquid at a transparent price, and shall be traded on a regulated market or within a multilateral trading system;


The quantitative restrictions on the avoidance of influence on issuers within the meaning of § 78 InvFG 2011 are to be complied with;


The value of the collateral must be calculated at least on the stock exchange rate;


In the event of strong volatility in the value of security, it shall be permissible only if appropriate conservative valuation haircuts (Haircuts) are used;


The security issuer has a high level of creditworthiness;


The security is not issued, issued or guaranteed by the counterparty or by a company belonging to the group of the counterparty, and does not have a high correlation with the development of the counterparty;


The collateral obtained is sufficiently scattered with regard to states, markets and issuers. The total risk of a single issuer must not exceed 20 vH of the net asset value of the capital investment fund. In the case of collateral from a number of securities lending transactions, OTC derivative transactions and repurchase transactions attributable to the same issuer, issuer or guarantor, the overall risk to that issuer shall be for the issuer, issuer or guarantor. the calculation of the overall risk limit;


The risk associated with the management of collateral, in particular the operational or legal risk, shall be determined, controlled and mitigated by the risk management applied to the capital investment fund;


Any form of suspension of the deposit shall be inadmissible;


Collateral, with the exception of sight deposits, may not be sold, reinvested or pledged.

(2) If the ownership of the securities transferred has been transferred to the management company for the capital investment fund, the securities received shall be kept from the custodian bank of the capital investment fund. Otherwise, a third party may be held in custody, provided that it is subject to supervision which, in the opinion of the FMA, is equivalent to that under EU law, and not a group-affiliated company of the counterparty or any other party to the relevant person in relation to the counterparty. In the case of the safekeeping of sight deposits or preventable deposits, it must be ensured that the investment limit of § 74 (1) last sentence of InvFG 2011 is complied with at any time.

(3) The management company shall ensure that it is able to exploit any collateral received without delay without reference or consent of the counterparty.

(4) The management company shall have, for the capital investment fund, an assessment policy (Haircut-strategy) for each asset that is considered to be collateral and the properties of the assets, such as the assets of the asset, to take account of creditworthiness and the price volatility of the respective assets, as well as the results of the stress tests carried out in accordance with § 28b. The assessment policy must be documented and, in respect of the respective types of property, it shall be understood to make any decision to apply or to refrain from any assessment. "

3. According to § 28, the following § § 28a and 28b shall be inserted together with the headings:

" Resurrection of securities

§ 28a. (1) The re-assessment of deposited collateral with the exception of deposited sight deposits and promulgated deposits is not permitted. Sight deposits and repayable deposits shall be used exclusively in one of the following ways:


Installation in sight deposits in accordance with § 72 InvFG 2011 with a term of not more than 12 months at a credit institution, provided that the credit institution has its registered office in a Member State or, if the seat of the credit institution is situated in a third country, it shall: be subject to prudential rules which, in the opinion of the FMA, are equivalent to those of Union law;


debt securities issued by States with high creditworthiness;


Investment in assets under a pension business within the meaning of § 83 InvFG 2011, provided that the counterparty of the pension business is a credit institution subject to at least prudential rules which are subject to supervision by the The FMA considers that it is equivalent to those of Union law and, if the management company is entitled to recover the sight deposits and to be discernible, at the present and complete recovery;


Assessment in money market funds with a short maturity structure according to § 3 Money Market Fund Ordinance-GMF-V, BGBl. II. No 262/2011, as amended, which are established in the territory of the country or in a Member State.

(2) The reassessment of sight deposits and preventable deposits has to comply with the provisions of section 28 (1) Z 7 with regard to the risk spread of incapable collateral.

Stress tests for liquidity risks

§ 28b. With regard to the development, design and application of appropriate stress testing procedures, which can regularly determine the liquidity risk associated with the collateral under normal and exceptional liquidity conditions, § 6 the securities lending and pension business regulation-WPV, BGBl. II No 101/2013, as amended. "

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

" (3) § 28, § 28a and § 28b together with transcripts in the version of the Ordination BGBl. II No. 102/2013 will enter into force on 1 May 2013. Management companies which have already concluded OTC derivative transactions for capital investment funds prior to the entry into force of this Regulation shall have to adapt the collateral stock no later than 18 February 2014. A collateral stock already existing before the entry into force of this Regulation may no longer be reduced until such time as it is adapted to the provisions of this Regulation. On the other hand, § 28a applies from the date of entry into force of this Regulation for all reassessment of cash securities. § 11 together with the transcripts shall expire on 30 April 2013. "

Ettl Kumpfmüller