Lending And Repurchase Regulation - Upu

Original Language Title: Wertpapierleih- und Pensionsgeschäfteverordnung – WPV

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101. Regulation of the Financial Market Supervisory Authority (FMA) on securities lending and repurchase agreements by management companies (securities lending and pension business regulation-WPV)

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:

Scope

§ 1. (1) This Regulation shall apply to management companies in accordance with § 3 paragraph 2 Z 1 InvFG 2011.

(2) This Regulation shall not apply to securities lending operations in respect of a special fund, where its unit-holders are credit institutions within the meaning of Article 1 (1) of the BWG, the securities being awarded as collateral under refinancing operations with the European Central Bank, with a central bank of a Member State of the EEA, the Swiss National Bank, or with the US Federal Reserve, and all the unit-holders expressly agree to it.

Securities lending and repurchase transactions

§ 2. (1) securities lending transactions in accordance with § 84 InvFG 2011 as well as repurchase transactions in accordance with § 83 InvFG 2011 shall be admissible only in the best interest of the unit-holders and shall not be allowed to change the investment strategy of a capital investment fund or a significant change in the risk compared to the risk profile listed in the sales documents.

(2) The duration of a permissible securities lending or repurchase business shall be a maximum of twelve months. The proceeds from securities lending or repurchase transactions, less direct and indirect costs and fees, shall be supplied without delay to the investment fund. The fees have to be in conformity with the market. This is to be ascertained and sufficiently documented by at least once a year.

(3) The management company shall ensure that the conclusion of securities lending or repurchase transactions does not affect the withdrawal and payment of shares of the capital investment fund. To this end, the management company has, in particular, in the preparation of an appropriate risk management process for liquidity risks of the capital investment fund, in accordance with § 88 InvFG 2011, the securities lending or repurchase transactions carried out. consideration.

(4) The management company must be entitled to terminate the securities lending business at all times and may require the immediate return of the securities issued. The right to dismissal must not be subject to conditions or conditions. The return period shall not exceed the market-standard settlement period, but not more than three stock exchanges.

(5) In the case of a pension business, the management company must be entitled at any time to recover the full amount of money or to terminate the pension business either in accumulated total or on the market value (mark-to-market value) be. If the amount of the money can be reclaimed at any time at the market value, the market value of the pension business shall be used to calculate the net asset value of the capital investment fund. Pension transactions up to a maximum of seven days are considered to be agreements in which the management company can reclaim the assets at any time.

(6) The management company shall ensure that the risk management procedure of the Capital Investment Fund adequately covers all the risks related to the securities or repurchase transactions.

(7) The risk positions associated with the securities lending or repurchase transactions are to be included in the calculation of the default risk limit for OTC derivatives pursuant to Section 74 (2) of the InvFG 2011.

Securities lending system

§ 3. (1) A recognised securities lending system within the meaning of section 84 of the InvFG 2011 has in particular the following criteria to be met:

1.

Sufficient automation-supported documentation;

2.

the conclusion of securities lending operations within a calendar year with at least 10 counterparties;

3.

Audit security within the meaning of paragraph 3;

4.

at least 100 transactions per calendar year;

5.

a business volume of at least EUR 100 million per calendar year;

6.

The information on a transfer has to be made immediately to the depository institution, which confirms the processing of this information in its system.

(2) The organisation of the securities lending business transaction shall be functionally and organizationally separated from the organisation of securities lending business.

(3) Any input and modification of data shall be documented by the securities lending system. Financial statements are to be assigned to the respective counterparty exactly, to be documented in a comprehensible way and to be able to be evaluated at any time, together with all subsequent changes. For this purpose, the securities lending system shall, for each entry, record in particular the following data:

1.

The name of the capital investment fund and the management company;

2.

the quantity, the nominal value and the current market value of the securities which have been awarded;

3.

the quantity and current market value and the amount of collateral deposited by the counterparty;

4.

the date and time of the transfer of the order to the securities lending system and the date and time of the execution of the order;

5.

where appropriate, the reasons for the cancellation of a contract;

6.

information on the counterparty;

7.

the duration of the securities lending business.

(4) The management company shall ensure that it is informed at any time of the market value of the securities being lent and of the market value of the securities deposited.

(5) A management company, which is the predominant property of the central organisation of a credit institution-association pursuant to Section 30a of the Federal Elections Act, securities to this central organisation, are not subject to the criteria set out in paragraphs 1, Z 2, 4 and 5.

Collateral

§ 4. (1) The management company may transfer securities to a counterparty only or have it transferred if, before or in the event of a move against the transfer of the securities for the account of the capital investment fund, sufficient collateral is required under the conditions laid down in the Paragraphs 2 to 6 shall be granted. All assets held by a management company in connection with a securities lending or repurchase business shall be regarded as collateral. Any kind of suspension of the deposit of collateral is not permitted.

(2) With regard to the collateral obtained, it shall in particular be ensured that:

1.

any security not consisting of cash or sight deposits is traded highly liquid at a transparent price on a regulated market or within a multilateral trading system;

2.

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

3.

at least publicly, the value of the collateral is calculated;

4.

in the case of strong volatility in the value of the security, this is only permissible if appropriate conservative valuation haircuts (Haircuts) are used;

5.

the issuer of the security has a high credit rating;

6.

the collateral obtained is not issued, issued or guaranteed by a 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;

7.

the collateral obtained is sufficiently dispersed in respect of 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;

8.

the risk associated with the management of the collateral, in particular the operational or legal risk, is determined, controlled and mitigated by the risk management applied to the capital investment fund.

(3) The management company may, for the purposes of Section 46 (3) of the InvFG in 2011, exclusively securities held by Mündelsecure Capital Investment Funds in accordance with Section 217 of the German Civil Code (ABGB), as well as sight deposits and other deposits in accordance with § 72 of the InvFG 2011 as Allow collateral.

(4) 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.

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

(6) 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 assets concerned, as well as the results of the stress tests carried out in accordance with § 6. The assessment policy must be documented and, with regard to the respective types of property, it must be understood that any decision to apply or to refrain from any assessment should be made comprehensible.

Reassessment of collateral

§ 5. (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:

1.

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;

2.

Assessment of debt securities issued by States with high creditworthiness;

3.

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;

4.

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 4 (2) Z 7 with regard to the risk spread of incapable collateral.

Stress tests

§ 6. Where a capital investment fund for OTC derivative transactions, securities lending or repurchase transactions is subject to collateral in the value of at least 30 vH of its net asset value, the management company shall have a capital investment fund for that capital investment fund develop and apply appropriate stress testing procedures, which can regularly identify the liquidity risk associated with collateral under normal and exceptional liquidity conditions. In particular, such a stress test procedure shall be presented:

1.

The concept for stress test censarioanalysis, including calibration, certification and sensitivity analysis;

2.

the empirical approach to impact assessment and back-tests of liquidity risk estimates;

3.

the frequency of the reports and the reporting limits and loss tolerance thresholds; and

4.

the measures to reduce losses, including the impact assessment policy (Haircut-strategy) and protection against undercover (Gap-Risk).

Investor Information

§ 7. (1) The prospectus of the capital investment fund shall contain the information in accordance with paragraph 2 as well as an indication that the capital investment fund is entitled, in accordance with its fund provisions, to purchase repurchase transactions in accordance with § 83 InvFG 2011 or Carry out securities lending operations in accordance with § 84 InvFG 2011. If a prospectus is not to be drawn up for a capital investment fund, the management company shall ensure that information corresponding to the conditions set out in paragraph 2 is provided to the unit-holders.

(2) The information shall contain in particular:

1.

Detailed description of the risks arising from securities lending or repurchase transactions, in particular the counterparty risk;

2.

potential conflicts of interest;

3.

impact on the value development of the capital investment fund;

4.

the nature of the eligible collateral within the meaning of § 4 and the amount of collateral required;

5.

the re-investment policy of visual deposits and preventable deposits, as well as information on the risks of reassessment,

6.

the impact assessment policy (Haircut-Strategy);

7.

Information on the direct and indirect operational costs and charges arising from the securities or repurchase agreements, as well as the other costs or charges arising from the proceeds of the securities lending or repurchase business for the Capital investment funds can be deducted. There are no hidden profits to be included in these costs and fees.

8.

the undertakings to which the direct and indirect costs and charges of the securities lending or repurchase business are paid;

9.

where one or more of these companies is a group of companies belonging to the management company or the depositary or a relevant person within the meaning of section 3 (2) (2) (21) of the InvFG 2011, an indication of that.

Accounting

§ 8. The management company shall, in respect of each investment fund for which securities or repurchase transactions are concluded, have the following information in the account report:

1.

information on the total risk (exposure) resulting from securities lending or repurchase transactions carried out;

2.

information on the identity of the counterparties to the securities lending or repurchase transactions;

3.

information on the nature and amount of collateral received by the capital investment fund, which can be credited to the counterparty risk;

4.

Information on the fees, direct and indirect operational costs and proceeds of the capital investment fund for the respective accounting period, arising from securities lending or repurchase transactions.

entry into force

§ 9. (1) This Regulation shall enter into force on 1 May 2013 and shall apply to securities lending or repurchase transactions concluded from that date. § 3 shall enter into force on 1. Jänner 2014 in force.

(2) Management companies which have already concluded securities lending or repurchase agreements for capital investment funds before 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. § 5, on the other hand, applies to all reassessment of cash collateral from the entry into force of this Regulation.

(3) The requirements of § 7 shall be implemented at the time of the entry into force of this Regulation already existing capital investment funds in the next revision of the prospectus or investor information, but no later than 18 February 2014.

Ettl Kumpfmüller