4. Derivatives And Derivative Instruments Reporting Regulation

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

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266. Regulation of the Financial Market Supervisory Authority (FMA) on risk calculation and reporting of derivatives (4. Derivatives-Risk calculation and reporting regulation)

Pursuant to Section 14 (5), Section 73 (1) (1) and (2) and Article 87 (3) of the Investment Fund Act 2011-InvFG 2011, BGBl. I n ° 77, shall be assigned:

1. Main item

Derivatives-Notifications

Reporting obligation

§ 1. In accordance with the provisions of this Regulation, the management companies have the Financial Market Supervisory Authority (FMA) quarterly in standardised electronically readable form with the reporting dates 31 March, 30 June, 30 September and 31 December. , these are to be submitted to the FMA within one month. The data carriers or other types of transmission must be included in the derivatives reporting system ordinance 2011-BGBl. II No 267/2011, as amended, in accordance with the applicable requirements. The notifiable institute has to identify itself with its bank code number.

Message Content

§ 2. The notifications for each organism managed by the management company for the common assessment in transferable securities (UCITS, § 2 para. 1 InvFG 2011) have data on the overall risk as a percentage of the respective net assets under To include the fund name and the International Securities Identification Number (ISIN) in the form of a total order of the management company. In particular, it is the highest percentage of the elapsed period to be reported.

2. Main piece

Total risk

§ 3. (1) A UCITS has to calculate its overall risk at least on a daily basis. The fixed limits of the overall risk shall be respected at all times. Depending on the investment strategy pursued, a UCITS has to carry out calculations of the overall risk on an ongoing basis, even during normal market trading hours.

(2) A UCITS may use only one calculation method referred to in this Regulation for the purpose of calculating the overall risk.

(3) It is the responsibility of the UCITS to select a valid calculation method for the overall risk by means of a self-assessment, which is appropriate with respect to the respective risk profile and the investment strategy. The risk from derivatives must be taken into account in particular.

(4) A UCITS shall apply the Value-at-Risk (VaR) approach to the calculation of the overall risk if:

1.

he pursues complex investment strategies according to his investment policy in a non-negligible scale, or

2.

it invests in an unnegligible amount in exotic derivatives, or

3.

in the application of the Commitment Approach, the market risk of the portfolio cannot be adequately represented.

(5) The application of the Commitment Approach or the VaR approach does not release the UCITS from the obligation to use an internal risk management and liliite system.

(6) Regular monitoring as to whether derivative transactions have sufficient coverage in sufficient quantity is part of the risk management process.

3. Main piece

Commitment approach

Section 1

Conversion methods

General provisions

§ 4. (1) The commitment approach for simple derivatives shall be carried out in the determination of the market value by conversion of the position of the underlying base value (base value equivalent) on the derivative. This market value may be replaced by the nominal value of the futures contract, or the price of the futures contract, if this value is more conservative. In the case of complex derivatives whose conversion into the market or nominal value of the base value is not possible, an alternative method may be used, provided that the total value of these derivatives is only a small part of the UCITS portfolio .

(2) In the calculation of the overall risk, the following steps shall be taken by the UCITS using the Commitment Approach:

1.

Conversion of each derivative into the respective base value equivalent (Commitment) as well as the embedded derivatives and the leverage associated with efficient portfolio management techniques.

2.

For each netting or hedging business, the net commitment shall be calculated as follows:

a)

The gross commitment is the sum of the commitments of each derivative (included derivatives included), after possible application of the netting rules for derivatives according to § 7 bis § 10.

b)

If the netting or hedging business contains securities positions, the market value of the securities positions may be used to offset the gross commitment.

c)

The absolute value of these calculations is the netto commitment.

3.

The total risk is the sum

a)

the absolute value of the commitment of each individual derivative, which is not included in netting or hedging arrangements, and

b)

the absolute value of each net commitment referred to in Z 2 after netting or hedging arrangements; and

c)

the sum of all absolute values of the Commitment associated with the efficient portfolio management techniques.

(3) The calculation of the commitment of each derivative has to be made in the base currency of the UCITS at the respective cassae rate.

(4) Where a currency derivative is made up of two components which do not correspond to the base currency of the UCITS, both components shall be taken into account in the calculation of the commitment.

(5) The conversion methods referred to in Appendix 1 shall apply.

Exception for certain swaps

§ 5. A derivative shall not be taken into account in the calculation of the commitment if all of the following criteria are met:

1.

The value development of the assets held by the UCITS in its portfolio is exchanged for the value development of other assets (swap).

2.

The market risk of the exchanged assets is fully compensated, so that the value of the UCITS is not dependent on the performance of these exchanged values.

3.

The derivative does not include any additional optional properties or leverage clauses or other risks in comparison to a direct line.

Exception for certain derivatives held in combination

§ 6. In the calculation of the commitment, a derivative cannot be taken into account if all of the following criteria are met:

1.

The combined holding of a derivative as well as money or risk-free equivalent financial instruments shall correspond to the cassa position of the financial instrument underlying the derivative.

2.

The derivative does not generate any additional overall risk, leverage or market risk.

Section 2

Netting and protection

General provisions

§ 7. (1) In calculating the overall risk using the Commitment Approach, netting and hedging arrangements may be taken into account in order to reduce the overall risk.

(2) Nettings are combinations of transactions with derivatives of the same basic value or of transactions with a derivative and the securities forming its underlying value, irrespective of the maturities, the transactions being carried out with the the sole aim is to eliminate the risks associated with the financial instruments originally acquired.

(3) Assurance arrangements are combinations of transactions with derivatives or securities which do not necessarily have to be based on the same basic value and which are concluded with the sole objective of the original objective of the , to offset the risks associated with acquired derivatives or securities.

(4) If the UCITS elects a conservative rather than a precise calculation of the commitment of each derivative, the reduction of the commitment in the case of the reduction of the commitment shall not be taken into account in the event that the UCITS have Consideration would lead to too low a determination of the overall risk.

Netting of certain items from netting arrangements

§ 8. A UCITS may set up positions from netting arrangements. This is only possible:

1.

between derivatives, provided that they relate to the same base value, irrespective of the maturity date in question;

2.

between derivatives whose basic value is a transferable securities, a money market instrument or a UCITS, and the corresponding base value; or

3.

if a UCITS, which invests mainly in interest rate derivatives, applies duration-netting rules in accordance with § 9 in order to take into account the correlation between the maturity segments of the respective interest curve.

Duration-netting in interest rate derivatives

§ 9. (1) For interest rate derivatives, a duration netting is only allowed according to Appendix 2.

(2) Duration netting should not be applied if it leads to an incorrect assessment of the risk profile of the UCITS. UCITS, which apply duration netting, must not include other risk sources in their interest rate strategy.

(3) The application of duration netting shall not generate an unjustified leverage by holding short-term interest rate derivatives.

(4) A UCITS, which applies duration netting, may continue to use hedging arrangements. Duration netting can only be applied to interest rate derivatives that are not covered by hedging arrangements.

Total risk and hedging arrangements

§ 10. (1) Assurance arrangements may only be included in the calculation of the overall risk if they reduce or eliminate the risk associated with the installations and fulfil all the following criteria:

1.

You must refer to the same asset class.

2.

They must also be effective and efficient in exceptional market situations (stressful situations).

3.

Investment strategies with a profit-making intent must not be considered as hedging measures.

4.

A verifiable reduction of the risk at the level of the UCITS must be established.

5.

General and specific risks associated with derivative financial instruments must be neutralised.

(2) By way of derogation from the criteria set out in paragraph 1, derivative financial instruments used only for the purpose of monetary protection may be included in the calculation of the overall risk of the UCITS. This currency protection must not create an additional market risk or leverage.

Section 3

Efficient portfolio management techniques

§ 11. (1) If a UCITS is entitled to a pension or securities lending business according to § 83 and § 84 InvFG 2011 and generates additional leverage by re-investment of collateral, then these transactions must be taken into account in the calculation of the total risk shall be considered.

(2) UCITS reinvesting deposited collateral in financial instruments that generate a higher return than the risk-free interest rate shall include the following values in the calculation of their overall risk:

1.

The amount received, in so far as collateral arrangements are held, and

2.

the market value of the financial instrument concerned, if there are no financial collateral arrangements.

(3) The risk generated by efficient portfolio management and the risk generated by derivatives shall collectively be no greater than 100 vH of the net asset value.

(4) The re-use of collateral as part of further pension or securities lending operations must be included in the calculation of the overall risk in accordance with the conditions laid down in paragraph 1.

Section 4

Structured UCITS

Definition and calculation of the overall risk

§ 12. A UCITS shall be a structured UCITS within the meaning of this Regulation if all of the following criteria are met:

1.

The UCITS is passively managed and structured in such a way that a pre-defined payout takes place at maturity.

2.

The UCITS is formally based and the pre-defined payout can be divided into different scenarios, which are dependent on the underlying assets and represent different disbursing variants.

3.

The investor may be subject to only one payment profile at any time during the lifetime of the UCITS.

4.

In applying the commitment approach to the calculation of the overall risk in relation to the different scenarios, the requirements of the second main item of this Regulation shall be met in particular.

5.

The duration of the UCITS is limited to a maximum of nine years.

6.

The UCITS may not adopt any further drawings after the first recording period.

7.

The maximum loss when changing the payout profile is limited to 100 vH of the initial issue price.

8.

The effects of the value development of a single base value on the payout profile-in the case of an exchange of the scenario of the UCITS-must satisfy the diversification requirements of § 66 para. 1 InvFG 2011.

(2) A structured UCITS may calculate the overall risk by applying the Commitment Approach as follows:

1.

The form-based investment strategy is divided into different scenarios for each pre-defined payout profile.

2.

The derivative contained in each scenario must be evaluated in order to determine whether it is covered by the calculation of the overall risk according to § 5 or § 6.

3.

The UCITS calculates the overall risk of the different scenarios in order to check whether the 100% net assets limit is being met.

Prospectus requirements

§ 13. The prospectus of a structured UCITS, which applies the calculation method for the overall risk listed in § 12, must clearly represent the investment strategy, the risk and the payment variants, one of the average investors use in common language and contain a clear warning that investors who pay their share before the end of the term are not able to benefit from the pay profile shown and suffer significant losses.

4. Main piece

Value-at-Risk (VaR) approach

Section 1

Calculation of the VaR

General provisions

§ 14. (1) In calculating the overall risk by means of the VaR approach, all positions of the UCITS shall be taken into account.

(2) The UCITS has to determine the maximum VaR limit, taking into account its risk profile.

Selection of the VaR approach

§ 15. (1) For the calculation of the overall risk, the UCITS may apply the relative or the absolute VaR approach. In assessing the overall risk on the basis of the relative or the absolute VaR approach, the UCITS shall comply with the minimum quantitative and qualitative requirements laid down in this Regulation.

(2) The UCITS shall be responsible for electing the VaR approach to its risk profile and investment strategy.

(3) The UCITS must be able to demonstrate at any time that the VaR approach it has chosen is appropriate to its risk profile and investment strategy, and shall have a comprehensive documentation on it.

(4) In deciding which VaR approach is used to calculate the overall risk, the procedure must be consistent.

Relative VaR approach

§ 16. (1) The calculation of the overall risk of the UCITS by means of the relative VaR approach shall be carried out as follows:

1.

Calculation of the VaR of the current portfolio of the UCITS (including derivatives);

2.

Calculation of the VaR of a reference portfolio;

3.

Check that the VaR of the UCITS portfolio is at most twice the size of the reference portfolio in order to ensure that the overall Leverage limit of 2 is maintained. This limit can be represented as follows:

(2) The reference portfolio shall be subject to the following requirements:

1.

The reference portfolio shall not have a leverage and shall not contain derivatives, including embedded derivatives, except in the cases where:

a)

a UCITS pursues a long/short strategy, so that the reference portfolio contains derivatives to represent the short exposure; or

b)

A UCITS with the intention of holding a currency-backed portfolio can choose a currency-backed index as a reference portfolio.

2.

The risk profile of the reference portfolio has to be consistent with the investment objectives, the investment policies and the limits of the UCITS portfolio.

(3) If the risk/return profile of a UCITS frequently changes, or if the definition of a reference portfolio is not possible, the relative VaR approach must not be used.

(4) The procedure for the identification and ongoing updating of the reference portfolio shall be integrated into the risk management process and shall be supported by appropriate procedures. Guidelines that govern the composition of the reference portfolio are to be created. In addition, the actual composition of the reference portfolio and any changes may be documented in a written and objectively comprehensible way.

Absolute VaR Approach

§ 17. The absolute VaR approach limits the maximum VaR, which a UCITS may have in comparison to the net asset value. The absolute VaR of a UCITS may not be higher than 20 vH of its net asset value.

Parameters

§ 18. (1) In the calculation of absolute and relative VaR, the following parameters shall be used:

1.

Confidence interval of 99 vH;

2.

Holding period of one month (20 business days);

3.

effective observation period of risk factors of at least one year (250 business days), except where a shorter observation period is due to a significant increase in price volatility due to extreme market conditions;

4.

quarterly data updates, or more frequently, when market prices are subject to substantial changes;

5.

Calculations at least on a daily basis.

(2) A confidence interval deviating from paragraph 1 Z 1 and a holding period deviating from paragraph 1 Z 2 may be used by the UCITS if the confidence interval does not fall below 95 vH and the holding period does not exceed one month (20 business days). exceeds.

(3) UCITS which use the absolute VaR approach shall, in applying other calculation parameters in accordance with paragraph 2, carry out a conversion of the 20% limit to the respective holding period and the respective confidence interval. However, this conversion may only be carried out under the assumption of a normal distribution with an identical and independent distribution of the risk factors and the reference to the quantile of the normal distribution and the mathematical root-time formula ("Square root" of time rule).

Section 2

Risk Coverage

Minimum requirements

§ 19. The VaR approach used for the calculation of the overall risk has to take account of the general market risk and, if applicable, the idiosyncratic risk as a minimum requirement. The event and risk of failure are as a minimum requirement for stress tests after the 4. Section shall be considered. If a calculation based on these minimum requirements only insufficiently captures the risks, a more stringent risk-taking approach shall be used for the UCITS.

Completeness and accuracy

§ 20. (1) The selection of the appropriate VaR approach shall remain the responsibility of the UCITS. In selecting the approach, the UCITS has to ensure that the approach is adequate in terms of the investment strategy pursued and the complexity of the financial instruments used.

(2) The VaR approach has to ensure completeness and to assess the risks with a high degree of accuracy. In particular, account should be taken of

1.

All positions of the UCITS portfolio are to be included in the VaR calculation.

2.

The approach has to cover all the main market risks of the securities exposures contained in the portfolio and in particular the specific risks of derivatives. The materiality of the risks is determined by their influence on the value fluctuations of the portfolio.

3.

The quantitative models used in the VaR approach have to provide for a high level of accuracy, especially with regard to price calculation models, volatility estimates and correlations.

4.

The management company has to ensure consistency, timeliness and reliability of all data used in the VaR approach.

Section 3

Back-testing

§ 21. (1) The UCITS has to verify the accuracy and efficiency (forecasting) of its VaR approach on the basis of a back-testing program.

(2) Back-testing shall, for each business day, confront the calculated one-day VaR value of the daily end-of-day positions of the portfolio and the portfolio value at the end of the following business day.

(3) The execution of the back-testing shall be carried out by the UCITS at least monthly on the basis of a retroactive comparison of the days referred to in paragraph 2.

(4) The UCITS has to evaluate and monitor exceedances on the basis of the back-testing. An overrun occurs if a one-day change of the portfolio value exceeds the calculated one-day VaR value.

(5) If it results from the back-testing that there is a conspicuously high percentage of exceedances, the UCITS has to review its VaR approach and make appropriate changes to it.

(6) The management of the management company shall be informed at least quarterly and the FMA every six months on the back-testing if it exceeds four exceedances at a 99% confidence interval over the last 250 business days is coming. This information shall contain an analysis and explanation of the causes responsible for the transgressions and a presentation of what measures have been taken to improve the prognosis of the VaR approach. If the number of exceedances is too high and the measures taken by the management company are not sufficient to improve the forecast quality of the VaR approach, the management company has to take further action and in particular, to apply more stringent criteria relating to the use of the VaR approach.

Section 4

Stress tests

Stress-esting-duty and general requirement

§ 22. (1) Each UCITS applying the VaR approach shall carry out a strict, comprehensive, risk-sensitive stress-management programme which meets the qualitative and quantitative conditions set out in this section.

(2) The stress test shall be designed in such a way that any potential impairment of the UCITS can be measured as a result of unexpected changes in the relevant market situation and correlations.

(3) The stress tests shall be adequately integrated into the risk management process and the results shall be taken into account in investment decisions.

Quantitative requirements

§ 23. (1) The stress tests shall cover all risks that affect the value or the value fluctuations of a UCITS to a significant degree. In particular, those risks that are not fully covered by the VaR approach must be taken into account.

(2) The stress tests are to be configured in such a way that market situations can be analysed where the use of significant leverage can lead to the total loss of the assets of the UCITS.

(3) Stress tests should pay particular attention to those risks which, in normal circumstances, do not pose a particular risk, but could be at risk in stressful situations, such as in particular correlation changes, illiquidity of markets in extreme situations or complex structured products with liquidity problems.

Qualitative requirements

§ 24. (1) Stress tests shall be carried out on a regular basis, but at least monthly. In addition, they must be carried out if a change in the value or the composition of a UCITS or a change in the market situation suggest that the results will change significantly.

(2) The design of the stress test shall be carried out in accordance with the composition of the UCITS and adapted to the market situation relevant to the UCITS.

(3) Management companies have to define comprehensible guidelines for the design and ongoing adaptation of the stress tests. A programme for the implementation of the stress tests shall be developed in accordance with these guidelines for each UCITS. It is necessary to explain why the applied stress test is appropriate for the UCITS. Completed stress tests are to be documented in a written and objectively comprehensible way together with the results. A change or a change in this programme shall be justified.

Section 5

Qualitative requirements in the VaR approach

Risk Management function

§ 25. (1) In accordance with Section 17 (3) of the InvFG 2011, the risk management function is responsible for:

1.

Development, examination and application of the VaR approach on a daily basis;

2.

to monitor the process of valuation and composition of the reference portfolio if the UCITS uses a relative VaR approach;

3.

Ensure that the VaR approach is constantly adapted to the UCITS portfolio;

4.

ongoing validation of the VaR approach;

5.

Introduction and implementation of documentation processes with regard to VaR limits and the corresponding risk profiles for each individual UCITS; these are to be approved by the Executive Board and the Supervisory Board;

6.

Monitoring and control of the VaR-Limits;

7.

regular monitoring of the leverage;

8.

regular reporting with regard to the value of the VaR (including the stress test and back-testing results) to the management.

(2) The VaR approach and the results achieved thereby have an integral part of the daily risk management. In addition, the results must be integrated into the investment process of the fund management in order to keep the risk profile of the UCITS under control and in line with the investment strategy.

(3) After the development of the VaR approach, it shall be subject to an examination by an independent third party with regard to its structure and functionality, in order to ensure that all material risks are covered. The audit also has to be carried out following any significant change in the VaR approach. A significant change can be the predisposition to a new financial instrument, the improvement of the VaR approach due to back-testing results, or the decision to alter certain aspects of the VaR approach in a significant way.

(4) The risk management function shall carry out an ongoing validation of the VaR approach in order to ensure the accuracy of the calibration of the VaR approach. This review is to be documented and-if necessary-to adapt the VaR approach accordingly.

(5) An adequate documentation within the meaning of Section 87 (2) InvFG 2011 for the VaR approach shall include at least:

1.

The risks covered by the approach,

2.

the methodology of the approach,

3.

the mathematical assumptions and fundamentals,

4.

the data used,

5.

the completeness and accuracy of the risk assessment;

6.

the methods for validating the approach,

7.

the back-testing processes,

8.

the stress test processes,

9.

the scope of the approach and

10.

operational implementation.

Additional backups

§ 26. (1) UCITS, which apply the VaR approach to the calculation of the overall risk, have to monitor the leverage continuously.

(2) A UCITS has to supplement its VaR and stress test system with further risk measurement methods in the appropriate framework, taking into account the risk profile and the investment strategy pursued.

5. Main piece

Counterparty in dealings with OTC derivatives

Counterparty

§ 27. Counterparty in the case of transactions with derivative financial instruments which are not traded on a stock exchange or a regulated market, within the meaning of Section 73 (1) InvFG 2011 (OTC derivatives), the following institutions may be subject to supervision:

1.

Austrian credit institutions;

2.

credit institutions authorised in a Member State in accordance with Article 4 (1) of Directive 2006 /48/EC;

3.

foreign credit institutions according to § 2 Z 13 of the Banking Act-BWG, BGBl. No. 532/1993, Art. I, in the version of the Federal Law BGBl. I No 118/2010, with the seat in a central State to be provided with a risk weight not exceeding 20 vH in accordance with Section 22a of the BWG;

4.

Investment firms according to § 2 Z 30 of the Federal Elections Act (BWG) with the registered office in a central state, which would be provided with a risk weight of no more than 20 VH according to Article 22a BWG.

Protection of the counterparty

§ 28. (1) Collateral which mitigates the overall risk of the counterparty must always meet the following criteria:

1.

Sufficient liquidity;

2.

daily evaluability;

3.

high creditworthiness of the issuer;

4.

no correlation between the counterparty and the security;

5.

adequate dispersion of collateral;

6.

adequate systems and processes for the management of collateral;

7.

Securities must be held by an independent depositary in accordance with § 39 paragraph 1 InvFG 2011, which is either not connected to the provider or is legally secured against the default of a related company;

8.

the UCITS may at any time have the securities, and in particular the counterparty may not be required to consent to such collateral;

9.

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

10.

Sight deposits may only be invested in risk-free assets.

(2) The UCITS may consider the counterparty risk to be hedged only if the value of the collateral, which is assessed in accordance with the market price including appropriate haircuts, is higher at any time than the exposure to the risk Values.

(3) In the case of the valuation of collateral which has a significant risk of fluctuations in value, the UCITS shall have appropriate haircuts to be used.

Avoidance of an issuer concentration

§ 29. (1) In accordance with Section 74 (2) of the InvFG 2011, the paid initial margin, as well as with regard to listed derivatives or OTC derivatives, is the variation margin, which is not secured by Deposit Guarantee Schemes, as a further risk in the case of the Calculation should be considered.

(2) In accordance with Section 74 (3) of the InvFG 2011, any net risk generated by securities or repurchase transactions shall be taken into account in relation to the counterparty. The net risk in this context is understood to be the outstanding (lost) nominal amount minus the collateral by the counterparty. If the securities are reinvested, they shall also be included in the issuer risk.

(3) In the calculation of the risk of default within the meaning of § 74 InvFG 2011, the UCITS shall document whether the risk comes from an OTC counterparty, a broker or a clearing house.

(4) The risk with respect to the base value of a derivative (including embedded derivatives) combined with the position resulting from the direct investment may not exceed the limits laid down in § 74 and § 77 InvFG 2011.

(5) In the calculation of the issuer risk, the position risk must be calculated on the basis of a look through the (embedded) derivative. The commitment approach is to be applied. However, if this is not applicable, a "Maximum-Loss" approach must be applied. The calculation of the issuer risk using the Commitment Approach shall also be applied if the VaR approach is used to calculate the overall risk.

(6) The amount of credit for the counterparty risk is to be determined in the calculation of the utilization of the investment limits in accordance with § 74 (1) and (3) InvFG 2011 both at the level of the individual company and at the group level according to § 74 paragraph 7 InvFG 2011 consideration.

(7) Paragraph 1 bis (6) does not apply to index-based derivatives within the meaning of § 75 InvFG 2011.

6. Main piece

Indexes

Financial Indexes

§ 30. (1) Financial indices in accordance with § 73 (1) Z 1 InvFG 2011 must:

1.

be sufficiently diversified,

2.

provide an adequate reference base for the market to which they relate; and

3.

shall be published in an appropriate manner.

(2) Financial indices are sufficiently diversified in accordance with paragraph 1 (1) (1) if:

1.

the index is composed in such a way that its overall development is not subject to a fee due to price movements or trading activities of a single component;

2.

in the case of an index composed of the assets referred to in § 66 para. 1 InvFG 2011, its composition is diversified at least in accordance with § 75 InvFG 2011;

3.

in the case of an index of assets other than the assets referred to in § 66 (1) InvFG 2011, its composition is diversified in such a way as to be equivalent to the diversification prescribed in § 75 InvFG 2011.

(3) Financial indices shall constitute an adequate reference basis in accordance with paragraph 1 (1) (2) if:

1.

the index measures the development of a representative group of basic values in a meaningful and adequate manner;

2.

the index is regularly reviewed and its composition adjusted so that it always reflects the markets to which it relates, in accordance with publicly available criteria;

3.

the basic values are sufficiently liquid, so that the users can, if necessary, re-establish the index.

(4) Financial indices shall be published in an appropriate manner in accordance with paragraph 1 (1) (3) if:

1.

their publication is based on sound procedures for the collection of prices and for the calculation and subsequent publication of the index value, including pricing practices for the individual components, if no market price is available;

2.

Essential information on aspects such as the methodology for index calculation and adjustment of index composition, index changes or operational difficulties in providing timely or accurate information, comprehensively and shall be made available immediately.

(5) If the criteria set out in paragraphs 1 to 4 are not fulfilled, these derivatives shall apply if they meet the criteria in accordance with § 73 (1) Z 1 to 3 InvFG 2011, as derivatives on a combination of instruments within the meaning of § 66 (1) InvFG 2011 including financial instruments that have one or more characteristics of these assets, exchange rates, currencies and interest rates.

Hedge fund indices

§ 31. (1) A hedge fund index may be subsumed under the term "financial index" in accordance with § 73 (1) Z 1 InvFG 2011 if it meets the criteria set out in § 30 (1) to (4) and the method used by the index provider for the selection and the Rebalancing of components is based on objective and pre-defined criteria. The index does not apply as a financial index in accordance with § 73 (1) Z 1 InvFG 2011, if the index provider of a hedge fund accepts payments made for inclusion in the index from potential index components, or if the index provider of a hedge index accepts payments from potential index components for the purpose of inclusion in the index. Index method allows a retroactive correction of an already published index value (backfilling).

(2) If a base value is a hedge index, a due diligence check must be carried out, which should also be based on the quality of the index. The evaluation shall be recorded in writing. In assessing the index quality, at least the extent of the index method, the availability of information on the index, and the treatment of the index components should be included.

(3) In assessing the extent of the index method referred to in paragraph 2, the following criteria shall be taken into consideration:

1.

whether the index method involves definitions such as weighting and classification of components and treatment of non-existing components; and

2.

whether the index represents an adequate benchmark for the type of hedge funds to which it relates.

(4) In assessing the availability of information pursuant to paragraph 2, the following criteria shall be complied with:

1.

whether a clear description of what the index is trying to represent is available;

2.

whether the index is subject to independent scrutiny and to what extent it is taking place;

3.

in which frequency the index is published, and whether this circumstance affects the valuation of the fund's assets.

(5) In assessing the treatment of the index components according to paragraph 2 by the index provider, at least the following criteria must be observed:

1.

the method used by the index provider in carrying out a due diligence process in relation to the method used in calculating the net asset value of the index components;

2.

The extent to which information on the index components and their net asset values is available, including information on whether the index components can be invested;

3.

Whether the number of index components ensures sufficient diversification.

7. Main piece

Embedded derivatives

Definition

§ 32. (1) A derivative is embedded in a securities or a money market instrument in accordance with Section 73 (6) of the InvFG in 2011, if the securities or the money market instrument contains a component which meets the following criteria:

1.

By virtue of this component, some or all cash flows that would otherwise be required in the case of the securities acting as the base contract may be subject to a specific interest rate, financial instrument price, exchange rate, price index or price index, credit rating, or credit index or any other variable, and therefore may vary in a similar way to a separate derivative;

2.

their economic characteristics and risks are not closely linked to the economic characteristics and risks of the basic contract;

3.

it has a significant impact on the risk profile and the pricing of the security.

(2) Money market instruments which meet one of the criteria in § 70 paragraph 1 InvFG 2011 and all the criteria in § 70 paragraph 2 InvFG 2011 and contain a component that meets the criteria set out in paragraph 1 shall be considered to be money market instruments in which a A derivative is embedded.

(3) If a securities or money market instrument contains a component which is contractually transferable independently of this securities or money market instrument, it does not apply as a securities or money market instrument into which a derivative is embedded. is. Rather, such a component is considered to be its own financial instrument.

Consideration in risk management

§ 33. The frequency and extent of the verification of an embedded derivative shall be in line with its character and its impact on the UCITS, taking into account the investment strategy of the UCITS and its risk profile. In the case of embedded derivatives that do not have a significant impact on the UCITS, pre-defined investment limits may be used for verification.

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Short selling

§ 34. (1) Where a derivative is either automatic or, at the request of the counterparty, if it is due to be due or exercised, the basic instrument shall be supplied in a lumpy manner and the regular supply of the instrument is customary for the instrument concerned, and the shall be held in accordance with the basic instrument concerned in the fund assets.

(2) Where a derivative is automatically or at the request of the management company a cash compensation is made, the UCITS shall not be required to keep the relevant basic instrument in place.

(3) Where the basic instrument referred to in paragraph 2 is not held for cover, cash and liquid assets which may be used at any time for the purchase of the basic instrument to be delivered shall be held to cover. Eligible cover shall be, inter alia, cash and liquid debt in the case of appropriate protection mechanisms. Those instruments are considered to be liquid, which can be made into cash in less than seven banking days at a price which is as accurate as possible to the current value of the financial instrument on its own market. The corresponding cash amount shall be available to the UCITS in the event of maturity or performance of the derivative.

(4) The management company must ensure that it can fully comply with all the conditional and unconditional delivery and payment obligations of derivatives entered into, for the account of a special asset.

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Reporting obligations

§ 35. The reports pursuant to § 14 paragraph 4 Z 2 InvFG 2011 shall be reported to the Supervisory Board in writing, in full, demonstrably and at least quarterly. The management is to reimburse the reports in accordance with § 14 paragraph 4 of the InvFG 2011 to the same extent and in the same form at least for months, on a case-by-case basis immediately.

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Entry into force and external force

§ 36. (1) This Regulation shall enter into force on 1 September 2011. A notification within the meaning of this Regulation shall be reported for the first time on the date of 31 December 2011.

(2) The Regulation of the Financial Markets Authority on risk calculation and reporting of derivatives (3). Derivatives-Risk calculation and reporting regulation), BGBl. II n ° 169/2008, shall expire on 31 August 2011.

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