266. Regulation of the financial market authority (FMA) on the risk calculation and reporting of derivatives (4. derivatives and derivative instruments reporting regulation)
On the basis of § 14 para 5, § 73 para 1 Nos. 1 and 2 and article 87 par. 3 of the investment funds act 2011 - InvFG 2011, Federal Law Gazette I no. 77, is prescribed:
1. main piece
§ 1. Management companies have messages with the dates of 31 March, 30 June, 30 September and 31 December to repay according to the provisions of this regulation of the financial market authority (FMA) quarterly in standardized electronically readable form; they are to submit to the FMA within one month. The disk or other forms of transmission must derivatives registration system regulation 2011 - Federal Law Gazette II No. 267/2011 in the current version - set requirements. The reporting institution has with his bank to identify.
§ 2. The messages have for each organism that is managed by the management company to the joint investment in transferable securities (UCITS, § 2 ABS. 1 InvFG 2011) to contain information concerning the overall risk as a percentage of the respective net assets under statement of the name of the Fund and the international securities identification number (ISIN) in the form of a statement of the management company. It is in particular the highest percentage of the period under report.
2. main piece
3. (1) a UCITS has at least daily to calculate its overall risk. The defined boundaries of the overall risk are to comply with at all times. A UCITS has continuously perform calculations of overall risk depending on the respective investment strategy, even during market trading hours.
(2) a UCITS may use only one method of calculation stated in this regulation for the calculation of the overall risk.
(3) it is the responsibility of the UCITS, to select a permissible method of calculation for the total risk by means of a self-assessment that is appropriate in terms of their risk profile and investment strategy. The risk of derivatives is particularly taken into account.
(4) a UCITS has to apply the value-at-risk (VaR) approach to calculate the overall risk, if: he 1 complex investment strategies pursued in accordance with its investment policy to a not negligible extent, he invested 2. to a significant extent in exotic derivatives or 3. when applying the commitment approach of portfolio market risk not adequately can be represented.
(5) the application of the commitment approach or the VaR approach absolve the UCITS does not from the requirement to use an internal risk management and limit system.
(6) the periodic monitoring is whether derivative transactions in sufficient quantity to have coverage, part of the risk management process.
3. main piece
Currency translation methods
General terms and conditions
The commitment approach for simple derivatives unfolds § 4 (1) in the determination of market value through conversion of the position of the underlying (base value equivalent) underlying the derivative. This market value can be replaced by the nominal value of the futures contract or the price of the futures contract, if this value is more conservative. In complex derivatives, whose converting in the market or nominal value of the underlying asset is not possible, an alternative method can be applied, provided that the total value of these derivatives represents only a minor part of the portfolio of the UCITS.
(2) in calculating the total risk, following steps by the UCITS are under application of the commitment approach to make: 1 converting of every individual derivative in 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 hedge is to calculate the net commitment as follows: a) the gross commitment is the sum of the commitments of each derivatives (including embedded derivatives), after any use of Nettingregeln derivatives in accordance with § 7 and § 10.
(b) if the netting - or hedge securities, the market value of the securities can be used, for the gross commitment to be set off.
(c) the absolute value of these calculations is the net commitment.
3. the overall risk is the sum of a) the absolute value of the commitment of every individual derivative which is not covered by netting - or hedging arrangements, and b) the absolute value of each net commitment pursuant to no. 2 after netting - or hedging arrangements and c) the sum of all absolute values of commitment associated with the efficient portfolio management techniques.
(3) the calculation of the commitment of every individual derivative has to be carried out in the base currency of the UCITS to the respective spot price.
(4) If a currency derivative consists of two components, which are not the base currency of the UCITS, both components in the calculation of the commitment are taken into account.
(5) the conversion methods referred to in annex 1 are to be applied.
Exception for certain swaps
§ 5. A derivative is in the calculation of the commitment not to take into account, if all the following criteria are met: 1. the performance of the assets held by the UCITS in his portfolio is against the performance of other assets replaced (swap).
2. the market risk of the exchanged assets is fully compensated, so that the value development of the UCITS not by the performance of these new values is dependent on.
3. the derivative contains additional optional properties still leverage clauses or other risks as compared to a direct investment.
Exception for certain derivatives in combination
§ 6. A derivative is the calculation of the commitment not to take into account also, if all the following criteria are met: 1. the combined holding of a derivative as well as money or risk-free money-equivalent financial instruments corresponds to the cash position of the instrument underlying the derivative based.
2. the derivative generates no additional risk, market risk, or leverage.
Netting and security
General terms and conditions
§ 7 (1) in calculating the overall risk using the commitment approach netting - and hedging arrangements can be considered to reduce the overall risk.
(2) Nettingvorkehrungen where the transactions are completed with a single goal, to eliminate the risks associated with the originally purchased financial instruments are combinations of transactions with derivatives of the same underlying or from transactions with a derivative and the forming its underlying securities, regardless of the maturities.
(3) security precautions are combinations of transactions with derivatives or securities which do not necessarily need to refer to the same base value and be completed with the sole aim to offset the risks associated with the originally purchased derivatives or securities.
(4) if the UCITS elects a conservative rather than a precise calculation of the commitment of each derivative hedging and Nettingvorkehrungen shall not be considered for the reduction of the commitment for the case, that their consideration would lead to a low determination of the overall risk.
Set-off of certain items from Nettingvorkehrungen
§ 8. A UCITS may offset positions from Nettingvorkehrungen. This is only possible: 1 between derivatives, provided that these refer to the same base value, regardless of the respective due date;
2. between derivatives, whose the underlying is a transferable securities, money market instrument or a UCITS and the appropriate base value. or 3 If a UCITS which invests mainly in interest rate derivatives, applying duration netting rules pursuant to section 9, 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 is allowed a duration netting only according to annex 2.
(2) duration-netting may not be applied if it leads to a wrong assessment of the risk profile of the UCITS. UCITS which apply duration netting, no other sources of risk may include in their interest rate curves strategy.
(3) through the application of duration-netting, no unjustified leverage may be generated by holding short-term interest rate derivatives.
(4) a UCITS which applies duration netting can continue hedging arrangements. Duration-netting can be applied only for interest rate derivatives, which are not covered by hedging arrangements.
Overall risk and hedging arrangements
§ 10 (1) hedging arrangements may only be included in the calculation of the overall risk, if they reduce the risk associated with the plant or pick up and meet all the following criteria: 1. you need to the same asset class refer to.
2. you must be effective also under extraordinary market situations (situations of stress) and efficient.
3. investment strategies with profit must not be seen as security precautions.
4. There must be a verifiable reduction of risk at the level of the UCITS fixable.
General and specific risks associated with derivative financial instruments, must be neutralized.
(2) Notwithstanding the criteria referred to in paragraph 1, derivative financial instruments that are used only for the purposes of currency may be netted in the calculation of the overall risk of the UCITS. This currency hedging may generate no additional market risk or leverage.
Efficient portfolio management techniques
11. (1) If a UCITS to repurchase or securities lending transactions in accordance with section 83 and section 84 2011 entitled InvFG is and generated by reinvestment of securities additional leverage, then these transactions must be taken into account when calculating the overall risk.
(2) UCITS which reinvest deposited assets in financial instruments that generate a higher return than the risk-free interest rate, the following values must be expected when calculating their overall risk: 1. the amount received, as far as cash collateral are kept, and 2. the market value of the financial instrument concerned if no money collateral are kept.
(3) that generated by efficient portfolio management risk and the risk generated by derivatives cannot be together not exceed 100 per cent of the net asset value.
(4) the re-use of collateral as part of another repurchase or securities lending transactions must be included to provided for in paragraph 1 in the calculation of the overall risk.
Definition and calculation of overall risk
12. (1) a UCITS is a structured UCITS within the meaning of this regulation, if all the following criteria are met: 1. the UCITS is passively managed and be structured in advance defined payout takes place at maturity.
2. the UCITS is formula-based and defined in advance payment can be divided in different scenarios that are dependent on and represent different variants of payment of the underlying assets.
3. the investor can be exposed at any time only one payout profile during the term of the UCITS.
4. in the application of the commitment approach to calculate the overall risk to the different scenarios, in particular the conditions of the 2nd main part of this regulation are.
5. the term of the UCITS is limited to up to nine years.
6. the UCITS may assume no further drawings after the initial subscription period.
7. the maximum loss when changing the payout profile is limited to 100 vH of the initial issue price.
8. the impact of the performance of a single underlying asset on the payout profile - in the event of a change of the scenario of the UCITS - must meet the diversification requirements of section 66 paragraph 1 2011 InvFG.
(2) a structured UCITS under application of the commitment approach's overall risk can be calculated as follows: 1. the formula-based investment strategy is divided for each defined in advance payment profile on different scenarios.
2. the derivative included in each scenario must be evaluated to determine whether it is covered by the calculation of the total risk in accordance with section 5 or section 6.
3. a UCITS calculates the total risk of the various scenarios, to verify whether the 100% of the net assets will adhere to.
§ 13. The prospect of structured UCITS, which applies the calculation method for the overall risk, stated in § 12, must clearly represent the investment strategy, risk and payment variants, common language use one the average investors and contain a clear warning that investors who pay their share before the end of term to can not benefit from the shown payment profile and suffer considerable losses.
4. main piece
Value-at-risk (VaR) approach
Calculation of VaR
General terms and conditions
All positions of the UCITS are section 14 (1) in calculating the overall risk by using the VaR approach into account.
(2) the UCITS has the limit of var, taking into account its risk profile to set.
Selection of the VaR approach
Section 15 (1) for the calculation of the overall risk can apply the relative or absolute VaR approach of the UCITS. In assessing the overall risk on the basis of the relative or absolute VaR approach, the UCITS has set quantitative and qualitative minimum requirements of this regulation to comply with.
(2) the UCITS is responsible for the VaR approach corresponding to its risk profile and his investment strategy.
(3) the UCITS at any time can prove that the VaR approach chosen by him is adequate its risk profile and its investment strategy, and has to lead a comprehensive documentation.
(4) in deciding which VaR approach is used to calculate the overall risk, must be taken consistently.
Relative VaR approach
Section 16 (1) is the calculation of the overall risk of UCITS by means of the relative VaR approach to carry out as follows: 1. calculation of the VaR of the current portfolio of the UCITS (including derivatives);
2. calculation of the VaR of a portfolio of reference;
3. check that the VaR of the UCITS portfolios compared to the reference portfolio is up twice to make sure that the general age limit of the lever is held by 2. This limit can be represented as follows:
(2) the reference portfolio has to meet the following requirements: 1 the reference portfolio may have no leverage and contain no derivatives including embedded derivatives, except in those cases that a) a UCITS a long/short strategy pursued, so that the reference portfolio contains derivatives, to represent the short exposure. or b) a UCITS with the intention to keep a currency abgesichertes portfolio, can choose a currency-hedged index as a reference portfolio.
2. the risk profile of the reference portfolio has with its investment objectives, to be consistent investment guidelines and limits of UCITS's portfolio.
(3) if the risk/return profile of UCITS frequently changed, or if the definition of a reference portfolio is not possible, the relative VaR approach must not be used.
(4) the procedure for the investigation and ongoing update of the reference portfolio is to integrate into the risk management process, and to support through appropriate procedures. Policies governing the composition of the reference portfolio, are to create. In addition, the actual composition of the reference portfolio and any changes are written and comprehensible to document objectively.
Absolute VaR approach
§ 17. The absolute VaR approach limited the maximum VaR, a UCITS compared to the net asset value may have. The absolute value of a UCITS shall not exceed 20 vH of its net asset value.
In the calculation of the absolute and relative VaR following parameters are section 18 (1) to be used: 1. confidence interval of 99%;
2. holding period of one month (20 business days);
3. effective observation period of the risk factors of at least one year (250 business days), except where a shorter observation period through a significant increase in price volatility due to extreme market conditions is justified;
4. quarterly data refresh, or more frequently if the market prices are subject to significant changes;
5. calculations at least on a daily basis.
(2) an of paragraph 1 Z 1 different confidence level and a of paragraph 1 Z 2 different holding period can be used by the UCITS, if the confidence level is not lower than 95 vH and holding period of one month (20 business days) does not exceed that.
(3) UCITS which apply the absolute VaR approach, have to make a conversion of the 20% limit to the relevant holding period and the respective confidence interval when using other calculation parameters referred to in paragraph 2. This conversion may only under the assumption of a normal distribution with an identical and independent distribution of risk factors as well as the inverse of the normal distribution and the mathematical root-time formula ("square root of time" rule) to apply to the reference.
§ 19. The VaR approach used for the calculation of the overall risk has as a minimum and - if applicable - the idiosyncratic risk into account General market risk. The event - as well as credit risks are to consider minimum stress tests according to the section 4. The risks are inadequately covered by a calculation on the basis of these minimum requirements, a stricter risk approach to use is for UCITS.
Completeness and accuracy
Section 20 (1) remains the responsibility of the UCITS the selection of matching a VaR approach. In the selection of the approach, the UCITS has to ensure that the approach to the investment strategy and the complexity of the financial instruments used is fine.
(2) the VaR approach has to ensure completeness and to assess the risks with high accuracy. In particular, are to be considered: 1 are all positions of UCITS's portfolio to include in the VaR calculation.
The approach has to cover all significant market risks of the securities in the portfolio and in particular the special risks of derivatives. The materiality of the risk is determined by their effect on the fluctuations in the value of the portfolio.
3. the quantitative models used within the framework of the VaR approach, have a high level of accuracy in particular as regards the price calculation models to provide estimates and correlations.
4. the management company's consistency, ensuring timeliness and reliability of data used in the framework of the VaR approach.
Return compare (back-testing)
Section 21 (1) of the UCITS has accuracy and efficiency (accuracy) his VaR approach based on a back-testing program to verify.
(2) the back-testing has for each business day at the end of the subsequent business day contrasting the calculated one-day VaR value of the day positions of the portfolio and the portfolio's value.
(3) the implementation of back-testing has to be carried out at least monthly based on a retrospective comparison of the days referred to in paragraph 2 of the UCITS.
(4) the UCITS has to evaluate overruns on the basis of back testing and to monitor. An overshooting is a one-day change in the portfolio's value exceeds the calculated one-day VaR value.
(5) If on the basis of back testing results, that is a strikingly high percentage of exceedances, the UCITS has to undergo its VaR approach of a review and make appropriate changes.
(6) the Management Board of the management company is at least quarterly and the FMA every six months about the back-testing to inform, if at a 99% confidence interval in the last 250 business days is come to more than four transgressions. This information has an analysis and explanation to the responsible for the overrun causes to contain and a representation of what measures have been taken to improve the predictive quality of the VaR approach. The number of exceedances is too high and the measures taken by the management company are insufficient to improve the predictive quality of the VaR approach, the management company has to take further measures and to apply especially stringent criteria regarding the use of the VaR approach.
Stresstesting duty and general condition
Section 22 (1) each UCITS which applies the VaR approach, has a strict carry out comprehensive, risk-adequate Stresstesting programme that meets the qualitative and quantitative requirements listed in this section.
(2) the stress test must be that any potential impairment of the UCITS as a result of unexpected changes in the relevant market situation and correlations is measurable.
(3) the stress tests are to integrate adequately in the risk management process and the results are taken into account in investment decisions.
23. (1) the stress tests have to cover all risks, which affect the value or the value fluctuations of a UCITS to a significant extent. In particular, those risks are not fully covered by the VaR approach, are taken into account.
(2) the stress tests are to configure that market conditions can be analyzed, where the use of significant leverage can lead to the total loss of the assets of the UCITS.
(3) stress tests have particularly pay attention, which could pose no particular danger under normal circumstances, however become a danger in stressful situations such as in particular correlation changes, illiquidity of markets in extreme situations or complex structured products with liquidity problems to such risks.
Section 24 (1) stress tests are regularly, but at least a month to make. In addition, they are carried out if a change in the value or the composition of a UCITS or a change in the market situation's suggest that the results change significantly.
(2) the design of the stress tests has according to the composition of the UCITS and adapted to the market situation relevant to the UCITS to take place.
(3) management companies have clear guidelines with regard to the design and the ongoing adaptation of the stress tests to set. A program to run the stress test is to develop each UCITS in accordance with these guidelines. It is to represent why the applied stress test for the UCITS is suitable. Completed stress tests are written along with the results and traceable to document objectively. It is a change or a change to this program.
Qualitative requirements for the VaR approach
Risk management function
Section 25 (1) pursuant to § 17 para 3 InvFG 2011 the risk management function is responsible for: 1. development, testing and application of the VaR approach on a daily basis.
2. monitoring of the process of valuation and composition of the reference portfolio, if the UCITS uses relative VaR approach;
3. ensuring that the VaR approach continuously adjusts the portfolio of the UCITS;
4. ongoing validation of the VaR approach;
5. introduction and implementation of documentation processes with regard to the VaR limits and the corresponding risk profiles for each single UCITS; These are approved by the Executive Board and the Supervisory Board;
6 monitoring and control of the VaR limits;
7. regular monitoring of leverage;
8 regular reporting in terms of the value of the VaR (including stress test and back-testing results) to the Executive Board.
(2) the VaR approach and the results thus obtained have to represent an integral part of the daily risk management. In addition, the results must be integrated into the investment process of fund management 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 this is through an independent third party in terms of its design and its functionality of an exam to take, to ensure that all material risks are covered. The audit has also in following any significant change of the VaR approach to be carried out. A significant change may be the investment in a new financial instrument, the improvement of the VaR approach based on back testing results, or the decision to change certain aspects of the VaR approach in a significant way.
(4) the risk management function has an ongoing validation of the VaR approach in order to ensure the accuracy of the calibration of the VaR approach. This review is to document and - if necessary - is the VaR approach accordingly.
(5) adequate documentation within the meaning of § 87 par. 2 InvFG 2011 for the VaR approach includes at least: 1 the risks covered by the approach, 2. the methodology of approach, 3. the mathematical assumptions and bases, 4. the used data, 5. the completeness and accuracy of risk assessment, 6 the methods for validation of the approach, 7 the back-testing processes, 8 the stress test processes, 9 the scope of the approach and 10 the operational implementation.
Section 26 (1) UCITS which the VaR approach applied to the calculation of the overall risk, have continuously to monitor leverage.
(2) a UCITS has its VaR and stress test system, taking into account the risk profile and the investment strategy in the appropriate context through additional risk measurement methods to complement.
5. main piece
Counterparty in transactions involving OTC derivatives
§ 27 counterparty in transactions with derived financial instruments that are not traded on a stock exchange or a regulated market, following a supervisory entities InvFG 2011 (OTC derivatives) must be within the meaning of article 73, paragraph 1: 1 Austrian credit institutions;
2. a Member State authorised credit institutions in accordance with article 4 point 1 of Directive 2006/48/EC;
3. foreign credit institutions pursuant to section 2 Z 13 of the law on banking - Banking Act, Federal Law Gazette No. 532/1993, part I, as amended by Federal Law Gazette I would be no. 118/2010, to provided according to § 22a of the Banking Act with a risk weight of not more than 20% with the seat in a central State.
4. investment firms pursuant to § 2 Z 30 BWG with the seat in a central Government, according to § 22a of the Banking Act with a risk weight of not more than 20% to provide would be.
Hedge the counterparty
Section 28 (1) securities, which reduce the overall risk of the counterparty, following criteria always comply: 1 sufficient liquidity;
2. daily evaluation;
3. high credit rating of the issuer;
4. no correlation between the other party and the safety;
5. sufficient dispersion of the collateral;
6. adequate systems and processes to manage the collateral;
7 collateral InvFG 2011, which is either not connected to the provider or protected legally against the default of an associated company, must be kept from an independent depositary pursuant to § 39 para 1;
8. the UCITS can at any time have the collateral, in particular no consent obligation of the counterparty may be intended;
9 securities, with the exception of deposits, may be not sells, reinvested or mortgaged;
Deposits may be invested only in risk-free assets.
(2) the UCITS can be the counterparty risk only considered secured if the value of securities which are valued based on the market price including reasonable deductions (haircuts) is at any time higher than the values that are exposed to the risk.
(3) in the assessment of collateral that have a significant risk of value fluctuations, the UCITS has to apply appropriate discounts (haircuts).
Avoiding a concentration of issuer
Section 29 (1) according to article 74, paragraph 2 2011 InvFG margin paid an initial as well as in respect of listed derivatives or OTC derivatives of the variation margin, by deposit guarantee schemes are not secured, as another risk taken into account in the calculation.
(2) section 74 subsection 3 2011 is accordingly InvFG to consider each net risk generated by securities lending or repurchase agreements compared to the other party. The pending (conferred) notional amount less the collateral is considered a net risk in this context by the opposing party. Be reinvested the collateral, this should be in the issuer risk to include.
(3) the calculation of the risk within the meaning of section 74 InvFG 2011 has to document whether the risk originates from an OTC counterparty, a broker or a clearing house of the UCITS.
(4) the risk regarding the underlying of a derivative (including embedded derivatives) associated with the position resulting from the direct investment must not exceed InvFG 2011 established limits in article 74 and article 77.
(5) the issuer risk must be based on a look through the (embedded) derivatives position risk are calculated. This is the commitment approach to apply. If this does not apply however, a "maximum loss" approach must be applied. The calculation of the issuer risk with the help of the commitment approach is also to apply if the VaR approach is used to calculate the overall risk.
(6) the credit amount for the counterparty risk is para in calculating the utilization of investment limits pursuant to § 74 2011 at the level of the individual as well as at the level of the group in accordance with section 74 paragraph 7 2011 1 and 3 InvFG InvFG.
(7) section InvFG do not apply 1 to para 6 to index-based derivatives in the sense of § 75 2011.
6 main piece
30. (1) financial indices pursuant to § 73 para 1 Z 1 InvFG 2011 must: 1 be sufficiently diversified, represent an adequate benchmark for the market to which they refer, 2nd and 3rd in an appropriate manner will be published.
(2) financial indices are Z 1 sufficiently diversified, that its overall development is affected by price movements or trading activities in a single component do not unduly referred to in paragraph 1 if 1 the index is so composed,
2. in the case of one of the in article 66, paragraph 1 InvFG 2011 designated assets composite index its composition at least in accordance with § 75 InvFG 2011 diversified is;
3. in the case of one from other than in article 66, paragraph 1 InvFG 2011 designated assets composite index his composition in such a way is diversified, that section 75 InvFG 2011 prescribed diversification equivalent is in.
(3) financial indices represent an adequate benchmark No. 2 referred to in paragraph 1, if the index 1 the development of a representative group of underlyings in a meaningful and appropriate manner;
2. the index is regularly checked and adapted his composition, so that it always reflects the markets to which it refers, according to publicly available criteria;
3. the underlyings are sufficiently liquid so that users can, if necessary, recreate the index.
(4) financial indices are published no. 3 in an appropriate manner in accordance with paragraph 1, if 1 their publication is based on sound methods for the collection of prices and for the calculation and subsequent publication of the index value, including price discovery process for the individual components, if no market price is available;
2. basic 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 promptly provided.
(5) the criteria referred to in paragraphs 1 to 4 are not fulfilled, so these derivatives to apply InvFG, provided it pursuant to § 73 para 1 2011 Z 1 to 3 InvFG meet the criteria, as derivatives on a combination of instruments within the meaning of section 66 paragraph 1 2011 including financial instruments which exhibit one or more characteristics of these assets, exchange rates, currencies and interest rates.
Section 31 (1) can a Hedgefondsindex under the term of the financial index pursuant to § 73 para 1 InvFG 2011 classified 1 Z, when it meets in § 30 par. 1 to 4 criteria and method, which selects the index provider for the selection and the rebalancing of the components, is based on objective and laid down in advance. The index is not considered Z financial index pursuant to § 73 para 1 1 InvFG 2011, if a Hedgefondsindex index provider will answer payments that can be made for the purpose of inclusion in the index of potential components of the index or if the index method allows a retroactive correction of previously published index value (backfilling).
(2) If a base value to a Hedgefondsindex, is a due diligence to carry, which has to extend also to the quality of the index. The review is to put in writing. In assessing the quality of the index are at least the size of the index method, involving the availability of information about the index and the treatment of the index components.
(3) following criteria to keep in mind are in assessing the scope of the index method in accordance with paragraph 2: 1 whether the index method definitions includes such as weighting and classification of the components and treatment of no longer existing components, and 2. whether the index represents an adequate benchmark for the type of hedge funds to which it refers.
(4) in assessing the availability of information in accordance with paragraph 2 are following criteria to keep in mind: 1. whether a clear description of available is what the script tries to represent;
2. whether the index of an independent review is subjected to and to what extent, these will take place;
3. how often the index will be published and whether this circumstance affected the assessment of the Fund's assets.
(5) at least the following criteria to be observed are in assessing the treatment of the index components referred to in paragraph 2 by the index provider: 1. procedures which the index provider applies when carrying out a due diligence in terms of on the method applied in the calculation of the net asset value of the index components.
2. to what extent are the index components and their net asset values to the available information, including the information whether the index components are bringing;
3. If the number of index components ensures a sufficient diversification.
7 main piece
32. (1) a derivative into a transferable security or money market instrument pursuant to § 73 para 6 InvFG 2011 embedded is if the transferable security or the money market instrument contains a component that meets the following criteria: 1. power of this component can be changed after a specific interest rate, financial instrument price, exchange rate, price or price index, credit rating or credit index, or other variable some or all cash flows that would otherwise require, when acting as a basic contract value paper and vary in a manner similar to a stand-alone derivative.
2. their economic characteristics and risks are not closely related to the economic characteristics and risks of the host contract;
3. it has a significant impact on the risk profile and the pricing of the securities.
(2) money market instruments, which one of the criteria in article 70, paragraph 1 InvFG 2011 and 2011 meet all criteria in § 70 para. 2 InvFG and contain a component which fulfils the criteria referred to in paragraph 1, are regarded as money market instruments in which a derivative is embedded.
(3) a security or money market instrument includes a component which is contractually transferable independently by this transferable security or money market instrument, it does not apply as a transferable security or money market instrument, a derivative is embedded in it. A such component is rather considered their own financial instrument.
Into account in the risk management
§ 33. frequency and extent of review of an embedded derivative are to vote on its character and its impact on the UCITS with the investment strategy of the UCITS and its risk profile are taken into account. In the case of embedded derivatives which have no significant effect on the UCITS, predefined limits can be used to check.
8 main piece
34. (1) is intended for a derivative either automatically or at the request of the other party upon maturity or exercise a centre-delivery of the underlying instrument and centre-providing the relevant instrument is common, then the relevant basic instrument to cover in the Fund's assets must be kept.
(2) when a derivative automatically or at the request of the management company a cash settlement occurs, then the UCITS must hold the relevant basic instrument not to cover.
(3) is held the base instrument referred to in paragraph 2 does not to cover, are so cash and cash values, which at any time can be used for the purchase of the basic instrument to be delivered, maintain to cover. Among other things, cash and liquid debt instruments with adequate protections considered come as permissible coverage. Can those instruments considered to be cash, are made in less than seven business days at a price that is equivalent to as accurately as possible the current value of the financial instruments on its own market, to cash. The corresponding cash amount has to be the UCITS upon maturity or exercise of the derivative available.
(4) the management company must ensure that she can meet all received for the account of a Fund, conditional and unconditional terms of delivery and payment obligations arising from derivatives fully.
9 main piece
section 35. The reports pursuant to § 14 para 4 Z 2 InvFG 2011 are to reimburse the Board in writing, fully, verifiably, and at least quarterly. Of the Executive Board are the reports pursuant to § 14 para 4 InvFG 2011 to the same extent and in the same form at least monthly, occasion case involved immediately to repay.
10 main piece
Entry into force and expiry
36. (1) effective this regulation with 1 September 2011. A message within the meaning of this regulation is to reimburse for the first time with date 31 December 2011.
(2) the regulation of the financial market authority on the risk calculation and reporting of derivatives (the 3rd derivative instruments and reporting regulation), Federal Law Gazette II No. 169/2008, occurs at the end of the August 31, 2011 except force.