101. Regulation of the financial market authority (FMA) to lending and repurchase agreements by management companies (lending and repurchase regulation - UPU)
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:
Scope of application
§ 1 (1) this Regulation applies to management companies in accordance with § 3 par. 2 Z 1 InvFG 2011.
(2) this regulation does not apply for securities lending transactions for a special fund, if its shareholders credit institutions within the meaning of § 1 para 1 BWG are lent securities as collateral in the framework of refinancing operations with the European Central Bank, with a Central Bank of a Member State of the EEA, the Swiss National Bank and the US Federal Reserve will be used, and expressly agree to all shareholders.
Lending and repurchase transactions
2. (1) securities-lending transactions in accordance with § are 84 InvFG 2011 and repurchase agreements pursuant to section 83 InvFG 2011 exclusively in the best interest of the unit-holders allowed and may not lead to a change of in investment strategy, an investment fund or a significant change in the risk compared to the risk profile indicated in the sales documents.
(2) the term of a permissible lending or repurchase agreement amounts to no more than twelve months. The income from lending or repurchase agreements, minus the direct and indirect costs and fees, are immediately to feed the capital investment fund. The fees have to be line with the market. This is to determine through at least once a year to adjust foreign comparisons and sufficiently documented.
(3) the management company has to ensure that the conclusion of lending or repurchase agreements does not affect the redemption and payment of shares of the investment fund. To the management company in particular in establishing a reasonable risk management process for liquidity risks of the investment funds in accordance with § 88 has to take into account the carried out lending or repurchase InvFG 2011.
(4) the management company must be entitled to at any time terminate the value securities lending business and demand the immediate return of the Securities lent. The right to terminate the contract shall not be made conditional on terms or conditions. The return period may no longer than the standard processing time, but not more than three Exchange days, amount.
(5) the management company must be entitled in the event of a repurchase agreement at any time to the recovery of the full amount of the money or to the termination of the pension business in accrued total height or at market value (mark-to-market value). The amount of money at any time be reclaimed to the market value, the market value of the pension business to the calculation of the net asset value of the investment fund is to attract. Up to a maximum seven days considered to be repurchase agreements, in which the management company can always reclaim the assets.
(6) the management company has to ensure that the risk management process of the capital investment fund adequately captures all risks with the lending or repurchase agreements in context.
(7) the risk positions standing with the lending or repurchase agreements in related are to be InvFG 2011 when calculating the loss threshold for OTC derivatives in accordance with article 74, paragraph 2.
Securities lending system
3. (1) a recognized securities lending system in the sense of § 84 InvFG 2011 has to fulfill the following criteria in particular:
1. sufficient computer-assisted documentation;
2. conclusion of securities lending transactions in a calendar year, with at least ten counterparties;
3. revision safety 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 about a successful transfer has to be made, which confirms the processing of this information in his system immediately to the depositary institution.
(2) the Organization of rental value paper deal is to separate from the securities lending business processing organization functionally and organizationally.
(3) any input and change of data shall be documented by the securities lending system. Business transactions are accurately assign the respective counterparty, traceable to and including all subsequent amendments to be evaluated at any time. For this purpose, in particular the following data shall be recorded by the securities borrowing system for each entry:
1. the name of the capital investment fund and the management company;
2. the amount of the nominal and the current market value of the Securities lent;
3. the amount and the current market value and the amount of collateral deposited by the other party;
4. the date and the exact time of job submission to the securities lending system as well as the date and the exact time of the execution of the order;
5. where appropriate, the reasons for the cancellation of an order;
6. information to the other party;
7. the duration of value securities lending business.
(4) the management company has to ensure that it is informed at all times about the market value of the Securities lent and the market value of the collateral.
(5) a management company, which is majority owned by the Central Organization of credit institutions-Federation in accordance with section 30a of the BWG, securities to this central organization gives the criteria of paragraph 1 Nos. 2, 4 and 5 are not applicable.
§ 4 (1) the management company may only transfer securities to a counterparty or transferred leave, if forward or train to train against transfer of securities for the account of the Investment Fund sufficient collateral granted pursuant to para 2 to 6. All assets received by a management company in connection with a lending or repurchase agreements, are to be regarded as collateral. Any kind of deferral of the deposit of the securities is not permitted.
(2) with respect to the collateral is in particular to ensure that
1. any security not consisting of cash or deposits highly liquid to a transparent price on a regulated market or in a multilateral trading system; traded
2. the quantitative restrictions to avoid influencing the issuer within the meaning of § 78 InvFG; met 2011
3. at least daily calculates the value of the collateral;
4. in the case of strong volatility of the value of the security it is allowed only if appropriate conservative haircuts (haircuts) are used;
5. the issuer of the security has a high credit rating;
6. the collateral from a counterparty or a company belonging to the Group of the opposing party are issued, emitted or guaranteed and has no high correlation with the development of the other party;
7. the collateral sufficiently in relation to States, markets as well as issuers are scattered. 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 risk associated with the management of the securities, as in particular the operational or legal risk, which for the investment fund applied risk management is determined, controlled and reduced.
(3) the management company may let himself InvFG InvFG 2011 as collateral 2011 only securities pursuant to § 217 ABGB, as well as demand deposits and puttable deposits pursuant to § 72 for securities held by gilt-edged investment fund in the sense of § 46 paragraph 3.
(4) 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.
(5) the management company has to make sure that she can immediately utilize accepted collateral without reference or consent of the other party.
(6) the management company has the capital investment fund on a valuation discount policy (haircut strategy) for each security to have received asset type and the properties of the assets, such as in particular the creditworthiness and the price volatility of the respective assets, as well as the results in accordance with § 6 stress tests carried out to take into account. The valuation discount policy is documented and has any decision to apply a haircut or to refrain, traceable to make with regard to the respective types of assets.
Reinvestment of securities
5. (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. investments in debt securities issued by States with 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 money market fund regulation - GMF-V, BGBl. II. are 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 § 4 para 2 No. 7 with regard to the diversification of non-cash collateral.
6 a capital investment fund receives § for OTC derivative transactions, lending or repurchase collateral worth by at least 30 vH of its net asset value, so the management company for this capital investment fund has to develop appropriate stress testing procedures and to apply, which regularly to determine the liquidity risk associated with the collateral under normal and exceptional liquidity conditions. Such a stress test procedure has to represent in particular:
1. the concept for the stress test scenario analysis, including the calibration, certification and the sensitivity analysis;
2. the empirical approach to impact assessment including back-testing of liquidity risk estimates;
3. the frequency of reports and the reporting boundaries and loss tolerance thresholds and 4. the measures for the containment of losses, including the valuation discount policy (haircut strategy) and protection against shortage (gap risk).
7. (1) the prospectus of the investment fund has the information referred to in paragraph 2, as well as an indication to contain, that authorized the investment funds according to its fund rules, carry repurchase agreements pursuant to section 83 InvFG 2011 or securities-lending transactions pursuant to § 84 InvFG 2011. If no prospectus is create for a capital investment fund, the management company has to make sure that information which meet the conditions referred to in paragraph 2, be paid to the shareholders.
(2) the information shall contain in particular the following information:
1. detailed description of the risks resulting from the lending or repurchase agreements, in particular the counterparty risk;
2. potential conflicts of interest;
3. impact on the value of the investment fund;
4. type of allowable collateral within the meaning of section 4, as well as the amount of required collaterals;
5. the return investment policy of demand deposits as collateral and puttable deposits, as well as information on the risks of the reinvestment;
6. the valuation discount policy (haircut strategy);
7. information direct and indirect operational costs arising from the lending or repurchase agreements and fees as well as any other costs or fees, which are deductible from the income of the lending or repurchase agreement for the investment fund. No hidden profits are to be included in such costs and charges.
8. the companies on which the direct and indirect costs and fees charged by the lending or repurchase agreement to be paid;
9. If it is in one or more of these companies to nationals of Group companies of the management company or the depositary or to a relevant persons within the meaning of § 3 para 2 2011 Z 21 InvFG, one indication.
Accounting section 8. The management company has for each investment fund for the lending or repurchase agreements are completed, to lead the following information in the report:
1. information concerning the overall risk (exposure), resulting made lending or repurchase;
2. information concerning the identity of counterparties of the lending or repurchase;
3. information about the nature and amount of the securities received from the capital investment fund, which are chargeable to the counterparty risk;
4. information on the fees arising from lending or repurchase agreements, direct and indirect operational costs and income of the capital investment fund for the respective accounting period.
Entry into force
9. (1) this Regulation comes into force on May 1, 2013 and applies for lending or repurchase agreements, which are completed after that date. § 3 enters into force on January 1, 2014.
(2) management companies, which have already completed before the entry into force of this regulation Wertpapierleih-or sale and repurchase agreements for capital 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. § 5 applies to all re investments of cash, however, the entry into force of this regulation.
(3) the requirements of section 7 are to implement already existing at the time of entry into force of this Regulation capital investment funds at the next change of the prospectus or the investor information, no later than 18 February 2014.
Ettl Kumpf Müller