Regulation On Risk Management And Risk Measurement With The Use Of Derivatives, Securities Lending And Repurchase Transactions In Investment Assets After The Investment Code

Original Language Title: Verordnung über Risikomanagement und Risikomessung beim Einsatz von Derivaten, Wertpapier-Darlehen und Pensionsgeschäften in Investmentvermögen nach dem Kapitalanlagegesetzbuch

Read the untranslated law here: http://www.gesetze-im-internet.de/derivatev_2013/BJNR246300013.html

Regulation on risk management and risk measurement with the use of derivatives, securities lending and repurchase transactions in investment assets after the investment code (derivative regulation - DerivateV) DerivateV Ausfertigung date: 16.07.2013 full quotation: "derivative regulation of 16th July 2013 (Gazette I p. 2463), by article 1 of the Decree of February 26, 2015 (BGBl. I S. 181) is has been modified" stand: amended by art. 1 V v. 26.2.2015 I 181 about the stand number you see in the menu see remarks footnote (+++ text detection from) : 22.7.2013 +++) input formula on the basis of § 197 paragraph 3 sentence 1 and of the § 204 paragraph 3 sentence 1 of the investment law by July 4, 2013 (Federal Law Gazette I p. 1981) and section 106, sentence 1, of § 120 paragraph 8, sentence 1, of § 121 paragraph 4, sentence 1, of article 135 paragraph 11 set 1 and of § 136 paragraph 4 sentence 1 of the investment law by July 4, 2013 (BGBl. I S. 1981) in agreement with the Federal Ministry of Justice , each in conjunction with § 1 number 3a of regulation to the delegation of powers to adopt regulations on the Federal Agency for financial services supervision, the last by article 1 of the Decree of 11 July 2013 (BGBl. I S. 2231) is changed, decreed the Federal Agency for financial services supervision: section 1 General provisions section 1 scope of application (1) this regulation is to apply on 1 the use of derivatives in investment assets in accordance with section 197 of the investment code , 2. the use of securities lending and repurchase transactions referred to in paragraphs 200 to 203 of the investment code, 3. risk management and the calculation of the market risk potential of this derivatives and shops, as well as the crediting of these derivatives and shops on the investment limits.
(2) this Regulation shall only apply to open domestic public investment funds pursuant to §§ 162-260 of the investment setting book and open domestic special AIF with fixed investment conditions referred to in section 284 of the investment code, except, exclude the plant conditions of these investment funds investing in derivatives, securities lending and repurchase transactions.

(§ 2 use of derivatives, securities lending and repurchase transactions (1) the use of derivatives, securities lending and repurchase transactions, do 1 not to a change in the nature of investment, of a) is permitted under the investment law and the conditions of the facility as well as b) is described in public investment asset pools in the prospectus and the key investor information referred to in the sections 165 and 166 of the investment code and 2nd with significant additional risks compared to the original , be connected in the sales documents described risk profile.
(2) the capital management company may conclude with the exception of other investment assets according to section 220 of the investment code and special AIF, according to § 284 of the investment code for an investment asset only derivatives if 1 the base values of these derivatives may be acquired in accordance with the investment law and the respective investment conditions for the investment asset pool, or 2. the risks that represent these base values, have can also arise from the permitted under the investment law and the conditions of investment assets in the investment asset.
(3) a Contracting Party of a derivative transaction has a discretion when the composition or the management of the investment portfolio of the investment asset pool or the composition or administration of the underlying assets or of the underlying of the derivatives business is considered outsourcing agreement in relation to the portfolio management and must comply with the requirements of section 36 of the investment code.

§ 3 delivery and payment obligations; Cover (1) the capital management company must make sure that 1 it can come after all on behalf of an investment asset pool received, conditional and unconditional delivery and payment obligations arising from derivatives, securities lending and repurchase agreements fully and 2 there is a sufficient coverage of derivative transactions.
(2) for the purposes of paragraph 1, number 2 is to meet in the framework of the risk management process continuously to monitor.

§ 4 conflicts of interest (1) the capital management company has in particular for transactions involving conflicts of interest cannot be ruled out are for example deals with mother, sister, or daughter companies, through an appropriate control procedure to ensure that these operations at fair market conditions are completed. The specified control procedures must be documented by the capital management company.
(2) the audit report pursuant to the § § 102, 121 (3) and § 136 paragraph 3 of the investment code has to include whether the specified control procedures is appropriate and useful information about it.
1 application rules for the qualified market risk under section section 2 and the simple approach of article 5 the capital management company has bases and demarcation (1) to determine the utilization of market risk limit pursuant to section 197, subsection 2 of the investment law for the use of derivatives (line load) at least on a daily basis. The market risk limit must be maintained continuously. Depending on the investment strategy a underground calculation of load may be necessary.
(2) the market risk of the investment fund or the investment grade to determine of the limit load can be used through leverage; where either the qualified approach to the paragraphs 7 to 14 or the simple approach is according to sections 15 to 22 to apply. The method is to choose on their own responsibility based on the analysis of the risk profile of investment assets, including of the derivatives. The method chosen must be appropriate to the investment strategy as well as the type and complexity of the derivatives and their share in investment assets. The application of the simple approach does not exempt the capital management company from the obligation to implement a reasonable risk management process including risk measurement and limitation. When applying the qualified approach is regularly to monitor the leverage of the investment asset pool and other risk indicators, taking into account the risk profile and the investment strategy of the respective investment assets are in addition, where appropriate, use.
(3) the capital management company must apply the qualified approach, if 1 the simple approach not all is can be very accurately recorded included market risks in investment assets and measure, 2nd addition on complex strategies based investment strategy of investment assets to negligible levels or the investment asset pool of a negligible proportion also in complex derivatives invested 3..

§ 6 recording and notification requirements under the decision of the capital management company for the simple approach or the qualified approach, one of the methods of the qualified approach to the determination of the limit load according to § 7 paragraph 1 or paragraph 2 and the assumptions underlying the decision must be documented. The statutory auditor has the procedure applied in the individual investment funds to determine of the limit load after section 197, subsection 2 of the investment code in the audit report in accordance with the sections 102, perform 121 (3) and § 136 paragraph 3 of the investment code. The capital management company has according to § 7 paragraph 1 or paragraph 2 for an investment asset of the Federal Agency for financial services supervision (Bundesanstalt) notified to the exchange between the simple and the qualified approach, as well as changing the method for calculating the limit load within the qualified approach.
Subsection 2 qualified approach section 7 risk limit (1) which to associate potential risk amount for market risk may be an investment asset exceed twice of the amount of potential risk for market risk of the corresponding comparison assets at any time.
(2) Alternatively, the potential risk amount to associate with an investment asset for market risk at any one time exceed 20 per cent of the value of the investment asset pool.

§ 8 demarcation within the framework of the qualified approach can the capital management company the potential amount of risk either relatively in proportion to the associated comparison assets limit according to § 7 paragraph 1 or absolutely according to § 7 paragraph 2. This selects the method according to section 5 paragraph 2 under their own responsibility. The method must be reasonable with regard to the risk profile and the investment strategy of the investment asset pool. The method is usually to use.

Article 9 associated comparison assets (1) the corresponding comparison assets is regularly a derivative-free fortune, which has no leverage, and its market value is equivalent to the current market value of investment assets.
(2) the composition of the comparison assets must comply with 1 the investment conditions of the investment asset pool and the details of the prospectus and the key investor information to the investment objectives and investment policy of the investment asset pool as well as the limits of the investment code compliance 2.; the limits of the Exhibitor are excluded according to the paragraphs 206 and 207 of the investment code.
(3) If a derivative-free benchmark is defined for the investment asset pool, so the corresponding comparison assets must replicate as accurately as possible this benchmark. In justified individual cases may be deviated from paragraph 2.
(4) in case of doubt those assets are for comparison assets to choose, which result in the lesser amount of potential risk for market risk.
(5) the capital management company must create guidelines for the composition of the comparison assets and the changes in this composition. The determination of the composition of the assets of the comparison must be considered within the risk management process. The composition and any change in the composition of the comparison assets must be documented comprehensible. If an index is used for comparison assets, its composition and development must be transparent. The audit report pursuant to the § § 102, 121 (3) and § 136 paragraph 3 of the investment code has to include whether the comparison assets in accordance with paragraphs 1 to 4 is duly informs.
(6) the capital management company makes a substantial change in the scale of comparison within the meaning of paragraph 3, this federal agency is immediately and comprehensibly to display; Changes to benchmarks for special AIF are exempted from the notification obligation according to § 284 of the investment code.

§ 10 potential risk amount for (1) market risk is the potential amount of risk for the market risk using an appropriate own risk model in the sense of § 1 paragraph 13 of the Banking Act to determine.
(2) a risk model is then be regarded as suitable, if 1 it captures at least the risk factors according to § 12 of the risk profile and the investment strategy of the investment property as well as adequately takes account of the complexity of the derivatives, 2. in determining the risk of descriptive indicators the quantitative sizes according to § 11 applied, and adhered to the qualitative requirements according to § 13 and 3's exhibit a satisfactory accuracy.
In justified individual cases, the Federal Agency can confirm a risk model on request also with derogations from paragraph 2 as appropriate.
(3) the audit report pursuant to the § § 102, 121 (3) and § 136 paragraph 3 of the investment code has to contain, that the requirements referred to in paragraph 2 are complied information on. The right of the Federal Agency, to verify compliance with the requirements referred to in paragraph 2 or to repeat an aptitude test, remains unaffected. The requirements are not met, the Federal Agency can arrange appropriate measures.

§ 11 is quantitative guidelines in determining the amount of potential risk for market risk 1 to assume that that be kept further 20 working days in investment assets at close of business in investment assets financial instruments or financial instrument groups to consider 2. a single-sided forecast interval with a probability level of 99 per cent and 3. to create an effective historical observation period of at least one year.
Notwithstanding sentence 1 number 1 is allowed adopting a holding period of less than 20 working days. A deviation from set 1 number 2 is permissible up to a probability level of 95 percent. If a deviation from set, 1 number 1 and 2 is the percentage in article 7 paragraph 2 accordingly. A deviation from set 1 number 3 is only due to extraordinary market conditions and with the prior consent of the Federal Agency in the sense of article 10 paragraph 2 sentence 2 allowed.

To be detected § 12 risk factors (1) in determining the amount of potential risk for market risk are all not only insignificant market risk factors in a manner commensurate with the scope and the structure of the investment assets into account. Here are the General as well as specific market risk into account.
(2) that the included option stores peculiar risks which are not linear relating to the price, price or interest rate fluctuations, are taken into account in an appropriate manner.
(3) in determining the amount of potential risk is separately in an appropriate way to take into account the following: 1 special interest rate risks for the non-uniform development of short-term and long-term interest rates (interest rate structure risks) and 2nd not uniform development of interest rates of different, on the same currency of denominated interest-related financial instruments with comparable maturity (spread risks).
A number commensurate with the size of the investment asset pool and an appropriate to the structure of the investment asset pool distribution of timing specific interest rate risk zones are taken into account when determining the interest rate structure risks. The number of interest rate risk zones must be at least six, if available in the market.
(4) in determining the share price risks are differences in the development of courses or prices of product groups and products, as well as differences in the development of spot and futures prices adequately taken into account.

§ 13-quality requirements; Risk controlling (1) which is working and organisational of capital management company to ensure that a timely determination of the amount of potential risk for market risk, in particular through a complete recording of all positions of the investment asset pool, is guaranteed; This must be documented in detail.
(2) the risk control function according to article 29, paragraph 1, of the investment code is responsible for 1 the creation, validation, maintenance and further development of the risk models, 2. monitoring of the process for the determination and composition of the comparison assets pursuant to § 9, 3. to ensure the suitability of the risk model for the relevant investment asset, 4. the ongoing validation of the risk model, 5. the validation and implementation of a documented and approved by the management system of limits (limits) of potential risk amounts for each investment's assets in accordance with its risk profile , 6 the daily discovery, analysis and commentary on the potential amounts of risk and monitoring the ceilings referred to in point 5, 7 the regular monitoring of the leverage of the investment asset pool and 8 regular reporting to the Managing Director regarding the current potential risk amounts, the lift according to § 14 and the results of the stress tests after the sections 28 to 32 (3) the mathematical statistical method for determining the amount of potential risk for market risk must exhibit a high precision. You must comply with the methods applied for the current risk management; only deviations from the in the section are allowed § 11 and 12 paragraph 3 sentence 2 prescribed quantitative targets.
(4) the capital management company must have appropriate procedures for the validation of the risk model. The adequacy validated in the following cases and should be verified: 1. in the development of the risk model, 2nd in regular intervals (current validation) and 3rd in any significant change that could result in that the risk model is no longer adequate.
People who are involved directly in the development process of the risk model must be included in the validation of the development and changes. The ongoing validation is carried out by the risk control function, according to paragraph 2 No. 4. Validation and verification of adequacy are adequate to document and the risk model is to adapt if necessary.
(5) the empirical data used for the time series analysis of the development of prices, rates and interest rates, as well as their relationships are regularly, at least but every update. If necessary, they are to update immediately.
(6) the risk model including the associated processes and mathematical statistical procedures shall be documented. The documentation includes at least the risks captured by the risk model, the mathematical and statistical procedures, assumptions and basics, the data, the adequacy of the risk assessment, procedures for the validation of the risk model, the procedure for determining the lift according to § 14, the procedure with regard to the stress tests after the sections 28 to 34, the validity under the risk model and the operational implementation.
(7) compliance with the requirements of paragraphs 1 to 6 and § 14 is regularly, at least once a year to review revision of the internal.

§ 14 lift
The lift of a risk model is proven by means of a daily comparison of potential risk amount determined on the basis of the risk model based on a holding period of one working day for the market risk with the change in value of the individual financial instruments included in the model-based calculation or financial instrument groups to determine (Backtesting). In determining the lift, the financial instruments or financial instrument groups that were at close of business the previous day in the investment asset, are to re-evaluate the respective market price at close of business. The negative difference between the evaluation results of the previous day should be noted. Exceed the magnitude of the change in value determined in accordance with sentence 2 model in terms of identified potential risk for market risk, as the business leaders are at least quarterly and to inform the Federal Agency quarterly on this, as well as about the size of the difference, the reason for their emergence and, where appropriate, measures to improve the accuracy. The display has to include also the underlying parameters according to § 11, sentence 1 number 2 and 3 in conjunction with § 11 sentence 3 and 4. Exceeds the number of exceptions to a not appropriate level, can cause the federal measures.
Subsection of 3 easier approach § 15 risk limit (1) which allowed capital charge for market risk according to article 16, paragraph 3 exceed the value of the investment asset pool at any time.
(2) the investment assets directly or indirectly assets according to § 196 of the investment code, which contain derivatives, the value of investment assets is in paragraph 1 in order to reduce the value of these assets.

Article 16 capital charge for market risk (1) the capital charge for market risk for basic forms of derivatives is regularly each the base value equivalent. It is the market value of the underlying asset to be based. This leads to a more conservative calculation, the nominal value or the average daily volume determined forward price for financial futures contracts can be used alternatively.
(2) to determine the amount of credit for the market risk, the capital management company has to determine the individual eligible amounts of the respective derivatives and derivative components as well as the individual eligible amounts for securities lending and repurchase transactions. Furthermore, it has to identify possible hedging transactions according to § 19. To do this, the eligible amounts between opposing market derivatives in accordance with the provisions will be charged initially according to § 19. The resulting from the allocation credits amount of individual derivatives may be applied in addition according to § 19 with the market values of corresponding non derivative assets after the sections 193 to 196, 198 and 231 of the investment code. The absolute value of the resulting from the clearing is the credit amount of the respective derivative.
(3) the capital charge for market risk is then to determine as sum of the absolute values 1 the eligible amounts of individual derivatives and derivative components according to the paragraphs 7 to 9, not in allocation to § 19 were included, 2 the eligible amounts resulting from allocation to § 19, and 3 the eligible amounts from the reinvestment of collateral under section 21 (4) in determining the amount of credit to use the base currency of the investment asset pool by using the current exchange rates.
(5) where a currency derivative consists of two Contracting Parties, which are not meet in the base currency of the investment asset pool, both Contracting Parties in determining the amount of imputation are involving.
(6) an asset represents a combination of derivatives or a combination of sections 193 to 196 and 198 of the capital investment law permitted assets in derivatives, is its capital charge for market risk the sum of the individual components of the asset. Contains an index to the investment assets invested, derivatives or the index is leverage, the eligible amounts of the relevant assets in the index are to identify and to include in the calculation pursuant to paragraph 3.
(7) the capital charge for market risk for basic forms of derivatives is at 1st financial futures contracts the number of contracts multiplied by the contract value multiplied by the market value of the underlying asset, where the market value of the underlying a) the market value corresponding to best available reference bond, if the underlying asset is a bond, or b) corresponds to the current state of the underlying, if the base value is a financial index, exchange rate or interest rate , 2 options the number of contracts multiplied by the contract value multiplied by the market value of the underlying base value multiplied by the corresponding Delta according to § 18 paragraph 1, where the market value of the underlying is equal to the current state of the underlying if the base value is a financial index, exchange rate or interest rate, 3. swaptions crediting of the swap by multiplying the amount with the associated Delta, 4. interest rate swaps and Inflationsswaps a) the market value of the underlying base or b) the nominal value of the fixed contract page , 5. currency swaps, interest rate swaps, and OTC currency forward contracts the notional amount of the currency page or pages, 6 total return swaps the market value of the underlying base; complex total return swaps, the market values of both Contracting Parties are to add 7 credit-default swaps, which relate to a single base value (single name credit default swaps), a) with regard to the seller or guarantor the higher amount of the market value of the underlying base value and the par value of the credit default swaps and b) with regard to the buyer or fuse holder the market value of the underlying base , 8 financial difference shops the market value of the underlying base.
(8) the capital charge for market risk for derivative components is 1 the number of the underlying values of the base multiplied by the market value of the underlying shares multiplied by convertible bonds with the associated Delta, 2 credit-linked notes the market value of the underlying base and 3 multiplied by multiplied by the contract value multiplied by the number warrants and rights with the market value of the underlying underlying the associated Delta.
(9) the capital charge for market risk for complex derivatives financial futures contracts, which relate to the realised variance (realized volatility to the square of an asset) (variance swaps), the variance notional amount is multiplied by the current variance at the determination time; at 1. a capping of the volatility is foreseen, the crediting amount of variance nominal determined multiplied by the reduced amount of the current variance or the Volatilitätskappungsgrenze to the square; the current variance is determined as a function of the squared realized and implied volatility; the variance notional amount is determined as the nominal value divided by twice of the variance price (reference price), 2 financial futures contracts, which relate to the realised volatility of an asset (volatility swaps), the nominal value multiplied by the current volatility at the time of the determination; a capping of the volatility is foreseen, the crediting amount of nominal determined multiplied by the reduced amount of the current volatility or the Volatilitätskappungsgrenze; the current volatility is determined each as a function of the realized and implied volatility, 3 multiplied by multiplied by the contract value multiplied by the number of contracts threshold options with the market value of the underlying reference asset the maximum Delta; the maximum Delta is the highest positive or the lowest negative value, the Delta can be reached taking into account all potential market scenarios.

§ 17 unrecognized derivatives in determining the credit transfer amount according to article 16, paragraph 3 may be considered: 1 swaps, which trade the development of underlying securities, which are held directly in investment assets, for the development of other underlying assets, unless a) the exchanged basis values from the investment asset market risk is completely eliminated, so that these assets have no impact on the change in the value of investment assets , and b) swap grant option rights, nor contains leverage or other additional risks that go beyond the direct investment of the relevant underlying assets, and 2. appropriate risk-free cash and cash equivalents can be associated derivatives which generate additional market risk exposure or leverage, and where, so that the combination of derivatives and risk-free liquid assets of the direct investment in the underlying reference asset is equivalent.

§ 18 associated Delta (1) the associated Delta is the ratio of the change in the value of the derivative to a change in the value of the underlying adopted as a minor.
(2) the capital management company is required daily to determine the associated Delta on suitable and recognised manner, to document and to notify the depositary.

Article 19 recognition of hedging transactions
(1) hedges can be taken into account in determining the amount of credit for the market risk according to article 16, paragraph 3. A negative sign is associated with, the credit amount of offsetting market derivatives. The eligible amounts of market offsetting derivatives can be with the corresponding positive credit amounts of derivatives, as well as with the market values of corresponding non-derivative assets after the sections 193 to 196, 198 and 231 of the investment code added and thus charged. The deduction amount resulting from the offsetting is an absolute value in the sum according to article 16, paragraph 3 to include. Allocations may be made only under the condition that 1 the derivative business only has been completed for the purpose of hedging, 2nd by the offsetting significant risks are not neglected, 3. the crediting amount of derivatives is determined according to the specifications of article 16 paragraph 1 sentence 1 and the derivatives relate to a 4) the same base or base value, exactly corresponding to non-derivative asset to be safeguarded according to sections 193 to 196 and 198 of the investment code in investment assets , or b) a base value, which does not exactly match according to sections 193 to 196, 198, and 231 of the investment code in investment assets to be protected not derivative asset, if aa) derivative business does not rely on an investment strategy which is profit, bb) the derivative to a verifiable reduction in the risk of the investment asset pool, cc) are compensated for the General and the specific market risk of the derivative , dd) to fair derivatives, underlying assets, or assets of the same kind of financial instruments are and ee) be considered can, that the hedging strategy even under exceptional market conditions is efficient.
(2) for investment assets, which are mostly invested in derivatives related to interest rates (interest rate derivatives), the correlation between maturity segments of the yield curve according to the method described in section 20 be considered can the clearing of credit amounts for the purpose. The method may not be applied according to § 20 if the application leads to a wrong identification of the risk profile of the investment asset pool and excessive leverage, and if significant risks shall be disregarded.

Article 20 hedges of interest rate derivatives (1) to the settlement of interest rate derivatives according to § 19 paragraph 2 are the interest rate derivatives according to the remaining lock-in periods of the underlying base values to assign the following maturity bands: maturity band remaining interest period 7 till 15 years 4 through 15 years is (2) each interest rate derivatives 1 to 2 years 2 over 2 up to 7 years 3 through its base value equivalent to convert. The base value equivalent is in this case contrary to the requirements from section 16 of the duration of the interest rate derivative divided by the Zielduration of investment assets multiplied by the market value of the underlying reference asset. The Zielduration of the investment asset pool corresponds to the expected level of risk and the duration of the investment asset pool in regular market conditions and results from the investment strategy.
(3) for each maturity band, you are to determine amount corresponding sums of base value equivalents with opposing interest binding directions (balanced band positions) as well as the remaining differences (open band positions). To summarize the positions of the band separately according to the direction of the interest binding are for each maturity band.
(4) for the two immediately adjacent maturity bands the amount corresponding sums are pursuant to paragraph 3 to determine set 2 summarized open band positions with opposing interest binding directions (balanced position of two adjacent bands), as well as the remaining differences (open position of two adjacent bands). To summarize the positions of two adjacent bands separately according to the direction of the interest binding are for each maturity band.
(5) for two not immediately adjacent maturity bands the amount corresponding sums are pursuant to paragraph 4 to determine set 2 summarized positions of two adjacent bands with opposing interest binding directions (balanced position of two non-adjacent bands), as well as the remaining differences (open position of two non-adjacent bands). Sentence 1 shall not apply to maturity band 1 in conjunction with maturity band 4 (6) the capital charge for market risk is then to be determined as the sum of 1 0 percent weighted sum of balanced band positions, 2 with 40 percent weighted sum of balanced positions of two adjacent bands, 3. 75 percent weighted sum of balanced positions of two non-contiguous bands and 4 with 100 percent weighted remaining open positions.

§ 21 reinvestment of securities (1) the system of collateral in the framework of derivatives of securities loans according to the paragraphs 200 to 202 of the investment code and repurchase agreements according to § 203 of the investment code must be included when determining the amount of credit for the market risk according to article 16 paragraph 3 with the associated deduction amounts. Excepted from this is the investment in risk-free medium.
(2) the related credit transfer amount corresponds to collateral in the form of bank deposits, the amount of collateral or collateral in the form of other assets at market value.
(3) paragraphs 1 and 2 shall apply to additional for the use of collateral repurchase agreements according to.
(4) in pension approved securities or received amounts pursuant to § 203 of the investment code are considered collateral within the meaning of paragraphs 1 to 3.

Section 22 determination of the credit amount for structured investment funds the capital charge for market risk for structured investment funds can be determined separately as an alternative for each payout profile, unless 1 investment assets passively and in accordance with a fixed payout after the period of the investment asset pool is managed and the investments of the investment asset pool of ensure the fixed payments are used, 2. the specified payout in a limited number of separated scenarios is divided , which determined after the performance of the underlying instruments and 3 while the runtime of the investment asset pool at any time only one payout profile can be relevant, 4. which method chosen is appropriate pursuant to § 5 paragraph 2 and no significant risks are not considered, 5 has a limited period of not more than nine years the investment asset pool, 6 after an initial sales period issued no further shares of the investment asset pool lead to different payment profiles, , 7 the maximum loss that arises through the change between payment profiles, is capped at 100 percent of the first issue price and the influence of the performance of an instrument on the payout profile when changing between scenarios the respective quantitative limits relative to the initial value of the investment asset pool does not exceed 8 according to the paragraphs 206 and 207 of the investment code.
Section 3 credit risk and liquidity risk subsection 1 issuer risk § 23 principle (1) in calculating the utilization of investment limits according to the paragraphs 206 and 207 of the investment code (limits of exhibitors) are derivatives and derivative components that are derived from transferable securities, money market instruments or investment units pursuant to § 196 of the investment code, to include.
(2) in the case of repurchase transactions are all assets that are the subject of the repurchase agreement, to include in the limits of the exhibitor.

Section 24 is applying the simple approach (1) for the calculation of the limits of exhibitors according to § 23 paragraph 1 the simple approach basically according to section 16 to apply. This, the capital charges for market risk in accordance with section 16 are attributable to the exhibitor of the respective underlying for derivatives and derivative components in the sense of article 23, paragraph 1. The conditions of § 19 paragraph 1 sentence 5 1 until 3, 4 letter a paragraph are satisfied, derivatives, whose value development runs counter to the performance of the underlying may be charged accordingly.
(2) in calculating according to § 23 paragraph 1 may not considered remain: 1 credit default swaps, as long as they serve exclusively and traceable credit risk of exactly identifiable assets of investment assets, and 2. the assets, which are directly associated with the credit-default swaps referred to in point 1.
A credit derivative hedges only a part of the credit risk of the associated asset, so the remaining part in the calculation of the load of the limits of the exhibitor is to include.
(3) the Exhibitor limits must be observed up to transfer and clearing of derivatives, so that the actual exposure of the investment asset pool in accordance with the limits of the exhibitor is diversified. Regardless of allocations must the use of total return swaps or derivatives with similar properties that mainly influence the actual exposure of the investment asset pool, in addition the assets held directly by the investment asset (basic investment) as well as the underlying of the derivatives correspond to the limits of the exhibitor.
Subsection 2 liquidity risk and counterparty risk
§ 25 financial statements and valuation of OTC derivatives (1) derivatives, which are not allowed or included in another organised market for trading on a stock exchange (OTC derivatives), can the capital management company only with appropriate credit institutions or financial services institutions on the basis of standardised master agreements complete.
(2) the capital management company has to ensure a transparent and fair valuation of OTC derivatives on a daily basis. The assessment must take into account the risks of OTC derivatives as well as the type and complexity of OTC derivatives and comply with the requirements of paragraphs 24 and 26 of the investment accounting and assessment regulation. Procedures provide for the valuation of OTC derivatives, that third parties carry out certain tasks, the requirements of section 36 of the investment code must be met. The risk control function according to article 29, paragraph 1, of the investment code is appropriate to participate at the valuation of OTC derivatives. The OTC derivatives must be sold at any time to a reasonable value, liquidated or closed by an offsetting transaction.

Section 26 default of securities lending and repurchase transactions (1) which need capital management company be entitled to terminate a loan and to finish. All securities transferred within the framework of the securities loan back are can transmit at any time.
(2) the capital management company must be entitled to terminate 1 a pension business and stop, 2 with a simple repurchase (repo transactions) to recover the underlying securities and 3rd in a reverse repurchase agreement (reverse repo transactions) a) the full amount of money to reclaim or b) to recover the current amount of money equal to the market value of a reverse repo transaction. the market value of the reverse repo transaction of the valuation of the net asset value of the investment asset pool is.
(3) sale and repurchase agreements with maturities of up to one week are shops, where the full amount of the money or the underlying securities at any time can be recovered.
(4) an AIF capital management company may differ in other investment assets under the conditions of § 221 paragraph 7 of the investment code from paragraphs 1 and 2. An AIF capital management company in special AIF with fixed investment conditions under the conditions of § 284 paragraph 2 of the investment code may vary from paragraphs 1 and 2.
(5) securities lending and repurchase transactions are taken into account in the framework of the liquidity risk management process. It is to ensure that the withdrawal obligations that arise through securities lending and repurchase transactions, can be accommodated.

§ 27 credit amount for the counterparty risk (1) derivatives, securities lending and repurchase transactions only as far as will be completed when the credit amount for the counterparty risk of the contract partner does not exceed 5 per cent of the value of the investment asset pool. If the contractual partner is a credit institution domiciled in a Member State of the European Union or another Contracting State to the agreement on the European economic area or is established in a third country and is subject to supervisory provisions which are equivalent to those of Community law according to the Federal Agency, the credit amount exceed up to 10 percent of the value of the investment asset pool. Exceeds the credit amount for the counterparty risk of the border set 1 or set 2, the capital management company must make only more shops with the Contracting Party, if not increasing the credit amount as a result. The limit in accordance with article 200, paragraph 1, of the investment code remains unaffected.
(2) the capital management company in special AIF with fixed investment conditions under the conditions of § 284 paragraph 2 of the investment code may vary from paragraph 1. The principle of risk diversification pursuant to section 282 paragraph 1 of the investment code remains unaffected.
(3) derivatives, which party is a central clearing house of a stock exchange or an other organised market, shall be disregarded when determining the amount of credit referred to in paragraph 1, if the derivatives are subject to a daily valuation at market rates with daily Marginausgleich. Claims to an intermediary are to take into account, even if the derivative on a stock exchange or other organised market will be traded in determining the amount of credit referred to in paragraph 1.
(4) the credit amount for the counterparty risk is to be determined from the sum of the current positive replacement values of derivative positions, the loan and the repurchase agreements that exist with regard to a treaty partner, plus the value of the collateral provided by the capital management company for the account of the investment asset pool with regard to a treaty partner; These assets can be offset with legally effective bilateral netting agreements.
(5) positive replacement values and negative replacement values of derivative positions of the investment asset pool in a Contracting Party may be netted when legally effective bilateral netting agreements and novation contracts.
(6) in the calculation of the credit amount for the counterparty risk, the market values of the securities provided by the contract partner taking sufficient safety margin deductions (haircuts) may be deducted.
(7) all guarantees provided by a contractual partner 1 must consist of assets which may be acquired for the investment asset pool in accordance with the investment law book, highly liquid must be 2.; Assets that are not cash, an at least the rating are subject to are considered highly liquid, if they can be sold short and close to the evaluation of the underlying price and traded in a liquid market with transparent price observations, 3., 4. must be issued by issuers with high credit quality and more haircuts must be made, if not the highest credit rating and prices are volatile , 5 may be issued not by an issuer, the contracting partner itself or a group membership company within the meaning of § 290 of the commercial code, 6 must be adequately risk-diversified in countries, markets and issuers, 7 may be subject to no significant operational risks or legal risks in terms of their management and custody, 8 must be deposited with a depositary, which is subject to effective public supervision and is independent of the collateral provider or be legally protected against failure of a participating , if they were not transferred, through the capital management company can be checked without the consent of the guarantor must 9, 10 need for investment funds can be utilized immediately and 11 must legal arrangements in the event of the insolvency of the collateral are subject to.
1 number 6 can be assumed by a reasonable diversification in accordance with set in terms of the concentration of the issuer, if the value of securities of the same issuer, provided by a Contracting Party does not exceed 20 percent of the value of the investment asset pool. Several contractors provide security, the values of the securities of the same issuer are to aggregate; their total value shall not exceed 20 per cent of the value of the investment asset pool. Notwithstanding sentences 2 and 3 adequate diversification in terms of the issuer concentration exists even if the collateral provided for the benefit of an investment asset pool only to securities or money market instruments issued or guaranteed to be from the Federal Government, of a country by another European Union Member State or its local authorities of another Contracting State of the agreement on the European economic area or by the authorities of that Contracting State , from a third country or an international organisation that belongs to the Federal Government, another Member State of the European Union or another Contracting State of the agreement on the European economic area. The collateral provided pursuant to sentence 4 must include securities or money market instruments, which have been issued under from at least six different issues, where the value of the securities issued in the same issue or money market instruments must not exceed 30 per cent of the value of the investment asset pool. The capital management company with special AIF with fixed investment conditions under the conditions of § 284 paragraph 2 of the investment code may differ from the sentences 2 to 5.
(8) collateral must not be reused. Collateral in the form of bank deposits may be entertained only in the currency of the balance 1 on blocked accounts a) the depositary or b) with the consent of the depositary with other credit institutions established in a Member State of the European Union or another Contracting State to the agreement on the European economic area or other credit institutions incorporated in a third country in accordance with section 195, sentence 2 second half-sentence of the investment code or 2. applied a)
in debt securities, which are of high quality and from the League of a country, the European Union, a European Union Member State or its local authorities, a third State or another Contracting State to the agreement on the European economic area issued are, b) in money market funds with a short maturity structure according to the directives which have been adopted by the Federal Agency on the basis of § 4 paragraph 2 of the investment code , or c) in the way of a reverse repurchase agreement with a credit institution which ensures the permanent recovery of accrued credits.
At installation of the collateral in the form of bank deposits also diversification is in addition to the deduction on the quantitative limits referred to in the paragraphs 206 and 207 of the investment law under paragraph 7 sentence 2. The sentences 1 to 3 in special AIF with fixed investment conditions under the conditions of § 284 paragraph 2 of the investment code may differ from the requirements the capital management company. Collateral may in the form of other assets are not sold, transferred, mortgaged or invested.
(9) a capital management company must have a unique haircut strategy, which is designed for all types of assets accepted as collateral. In the drafting of the haircut strategy are the properties of assets such as the risk of failure of the issuer to take into account the price volatility and the results of stress tests carried out in accordance with section 32. The haircut strategy is documented. It serves to justify the application of a particular valuation discount on an asset.
(10) risks associated with the Safety Administration, in particular operational and legal risks, are to determine the risk management, control, and minimize.
(11) assets, the investment asset pools within the framework received from repurchase agreements, are considered as collateral within the meaning of this provision.
(12) the credit amount for the counterparty risk is taken into account when calculating the utilization of investment limits according to § 206, paragraph 5 of the investment code.
(13) companies within the meaning of § 290 of the commercial code group members is considered to be a Contracting Party.
(14) the capital management company may vary set 1 number 5, 6 and 10, and paragraph 9 use an organised securities loan system in accordance with article 202 of the investment code of paragraph 7, if the interests of investors by means of an appropriate application of the guidelines system is guaranteed.
Section 4 stress testing General requirements (1) which has capital management company for each investment asset of stress tests in accordance with of article 30 § 28. A stress test is appropriate only if it meets the requirements of section 29.
(2) in a stress test, possible exceptionally large losses in value of the investment asset pool must be determined, that may arise due to unusual changes in the value-determining parameters and their relationships. Conversely, if appropriate, the changes of value-determining parameters and their relationships to determine who would have a unusually large or fortune-threatening loss in value of the investment asset pool to which.
(3) a detailed assessment of the potential losses of the investment asset pool or the changes of value-determining parameters and their relationships for individual types of risk is not possible, the capital management company in place of the assessment may put a professional estimate.
(4) the stress tests must be risk-adequate integrated in risk management for the investment asset pool. The results of the stress tests must be considered adequately in the investment decisions for the investment asset pool.
(5) the outsourcing of performing stress tests determined according to section 36 of the investment code.

Qualitative requirements (1) which need to stress tests all risks cover section 29, which not only insignificantly affect the value or the fluctuations in the value of the investment asset pool. Emphasis must be on those risks, which is the method applied in the relevant investment asset after the articles 5 to 22, not or only incomplete Bill.
(2) the stress tests must be suitable to analyze possible situations in which the value of investment assets as a result of the use of derivatives or as a result of borrowing at the expense of investment assets with a negative sign is flawed.
(3) the stress tests must be designed and carried out that they reflect those risks, which may only gain due to a stressful situation, meaning, for example, the risk of an unusual correlation changes or illiquid markets.

Frequency adjustment (1) § 30 the stress tests are carried out at least a month. In addition, stress tests then, if not, it can be excluded that their results by a change in the value or composition of the investment asset pool or a change materially change in the market conditions are.
(2) the design of the stress tests is to adapt continuously to the composition of the investment asset pool and to the investment asset pool relevant market conditions. Any change of the design of the stress tests are the previous and the revised stress tests carried out at least once parallel.

§ 31 documentation review (1) which need capital management company create a transparent policy for the design and the continuous adjustment of the stress tests. On the basis of the directive is a program for performing stress tests to develop for each investment asset pools. The suitability of the program for the investment asset pool is set out in the program. The stress tests and their results shall be documented comprehensible for each investment asset. Books are to justify deviations from the program in accordance with sentence 2.
(2) the audit report pursuant to the § § 102, 121 (3) and § 136 paragraph 3 of the investment code has information about it to contain, whether the stress tests as per § 29 were properly designed and carried out properly in accordance with section 30. The verification requirement also extends to section 28, paragraph 4 and 5.

Both normal and exceptional liquidity conditions take account of § 32 additional stress tests within the framework of which has the capital management company security management (1) for each investment asset for collateral in the amount of at least 30 percent of the value of the investment asset pool, provided appropriate stress tests to assess the liquidity risk associated with the collateral.
(2) the strategy for these stress tests has to be specified in the directive in accordance with article 31. In particular, the strategy must include: 1. a concept for the stress test scenario analysis, including calibration, certification, and sensitivity analysis, 2. the empirical approach to impact assessment, including back-testing of liquidity risk estimates, 3rd report frequency, alarm limits and loss tolerance thresholds and 4.
Measures to reduce losses, including haircut strategy and gap-risk protection.
Section 5 structured products with a derivative component section 33 purchase structured products (1) a structured product may be purchased only for an investment asset, if it is ensured that only those components have influence on the risk profile and the pricing of the product, which may be purchased directly for the investment asset pool.
(2) on application of the simple approach is to decompose a structured product for the determination of the capital charges for market risk in accordance with section 16 and for the inclusion in the calculation of the load of the Exhibitor limits according to sections 23 and 24 in its components and to be a combination of these components in accordance with section 16 paragraph 6 on the respective investment limits. The separation must be documented comprehensible.

Section 34 (1) the capital management company has to regulate investing in structured products in a directive which contains a detailed description of the procedures, responsibilities and controls. The directive is to update regularly. In the policy at least the following must be closer: 1 a formalized regularity audit before purchase of the product, in the analyzed the structure and complete risk profile of the product and evaluated;
2. measures in the event that the product is below the quality characteristics established for number 1 during his term;
3. the figure of special risk structure of products in the risk management system and in the risk-measurement system, in particular the separation of structured products according to § 33 paragraph 2;
4. a proper pricing, particularly for illiquid products.
(2) for products with which the capital management company already has sufficient experience, the policy must provide a simplified procedure as far as this is appropriate in a particular case. The capital management company has to document the proper conduct of the procedure laid down in the directive for each investment asset pools. The audit report pursuant to sections 102, 121 (3) and § 136 paragraph 3 of the investment code has indication to include whether the capital management company correctly designed the procedure laid down in the directive referred to in paragraph 1 and carried out. Inadequacies of the process are to show up in the audit report.
Section 6 details in the prospectus of public investment assets (1) the prospectus of public investment asset pool pursuant to section 165 of the investment code must special publication and registration provisions of section 35 in the use of total return swaps or other derivatives, which have a significant influence on the investment strategy of the investment asset pool, include the following: 1. information about the underlying strategy and the composition of the investment portfolio or index after the use of the derivative , 2 information to the Contracting Parties for OTC derivatives, 3. a description of the counterparty risk and the implications of a default of the counterparty on the returns of the investors, 4. the extent to which the contract partner has a discretion in the composition or the management of the investment portfolio of the investment asset pool or the base values of the derivatives, as well as information about shops must agree whether the Contracting Party relating to the investment portfolio of investment assets , 5. the contract partner, who takes over the portfolio management within the meaning of article 2, paragraph 3.
(2) the prospectus of public investment asset pool pursuant to section 165 of the investment code must contain the following information, if the investment asset pool with the use of leverage is an index, or if the recreated index itself has leverage: 1. a description of the leverage strategy, and information about the way such as this strategy, implemented in particular about how the leverage results from the index or its figure , 2. a statement of costs of leverage, if relevant, 3. Description of the inverse leverage (reverse-leverage), if relevant, 4 medium may be different from the value development of the investment asset pool information about whether and to what extent up over the long term by the multiple of index development.
(3) the prospectus of public investment asset pool pursuant to section 165 of the investment code must contain the following information for the use of securities lending and repurchase transactions: 1. information about the intention to use securities lending and repurchase transactions, 2. a detailed description of the risks associated with the use of securities lending and repurchase transactions, including counterparty risk, 3. detailed description of possible conflicts of interest, 4. the representation of the potential impact of risks and conflicts of interest according to paragraphs 2 and 3 on the development of investment assets , 5. a description of the approach regarding the direct and indirect costs and fees that arise through the use of business and reduce the income of the investment asset pool, 6 joined the company, which is bound to carry out securities lending or repurchase agreements and on the fees referred to in point 5 are paid, or indicating that the capital management company itself does the business, 7 indicating whether and, where appropriate, how the company referred to in point 6 of the capital management company or the depositary of investment assets is.
The information can be made Alternatively together to set in the annual report 1 number 6 and 7.
(4) the prospectus of public investment asset pool pursuant to section 165 of the investment code must contain unique information security strategy. This information includes permissible types of collateral to the extent of the collateral haircut strategy, and, in the case of cash collateral on the strategy for the investment of assets including the associated risks. If the security strategy envisages an increased concentration of the issuer after § 27, paragraph 7, sentence 4, the prospectus must contain separate statements, and this name the issuers or guarantors of those securities, the value of which can make up more than 20 percent of the value of the investment asset pool.
(5) the method applied to determine of the limit load according to § 5 is to represent in the prospectus of public investment assets.
(6) if the qualified approach is applied after the sections 7 to 14, the prospectus of UCITS must contain details of the expected amount of leverage and point out the possibility of a higher leverage.
(7) if the limit load is determined according to § 7 paragraph 1, a public investment fund prospectus must contain information to compare assets pursuant to § 9.
(8) if the deduction amount is determined according to section 22 for structured investment funds, the prospectus of public investment assets 1 must contain a comprehensible description of payment profiles, scenarios and basis instruments as well as 2 a warning prominently, that on part returns not lead to set payment before the expiry of the duration of the investment asset pool and that results may be significant losses.

Information in the key investor information the information pursuant to article 35, paragraph 2 are 36 to present in summary form, in the key investor information referred to in section 166 of the investment code.

Section 37 information in the annual report (1) the annual report of an investment asset pool must be in the use of derivatives include the following: 1 the exposure generated by derivatives, 2. the contractual partner of derivative transactions, 3. the nature and amount of collateral accepted.
(2) the annual report of an investment asset pool must contain the following information for the use of securities lending and repurchase transactions: 1. the exposure generated by securities lending and repurchase transactions, 2. the contractual partner of the securities lending and repurchase transactions, 3. the nature and amount of collateral accepted, 4. the income arising from the securities lending and repurchase transactions for the entire reporting period, including the direct and indirect costs incurred and fees.
(3) the method applied to determine of the limit load according to § 5 is to present the annual report of the investment asset pool.
(4) if the qualified approach is applied after the sections 7 to 14, are to name the potential risk amounts for investment assets in the fiscal year for the market risk in the annual report. This, at least the smallest, the largest, and the average amount of potential risk shall be indicated. The representation must also contain the risk model according to § 10 and parameter pursuant to section 11. Also the amount of leverage used in the fiscal year shall be indicated in the annual report of a UCITS.
(5) if the limit load is determined according to § 7 paragraph 1, the annual report must include the composition of the comparison assets pursuant to § 9.
(6) the guarantees provided for the benefit of the investment asset pool exhibit during the reporting period an increased concentration of the issuer after § 27, paragraph 7, sentence 4, the issuer or guarantor of those securities to appoint, whose value is more than 20 percent of the value of the investment asset pool have made are in the annual report. This is to indicate whether any collateral in the form of securities were made, has the Federal Government, another Member State of the European Union or another Contracting State of the agreement on the European economic area issued or guaranteed.

Section 38 reports on derivatives (1) the capital management company has to prepare a report on the used derivatives and structured products with derivative component for all UCITS to the end of the calendar year or the fiscal year (balance sheet date) and also at any time on request of the Federal Agency. For open audience AIF pursuant to section 214 of the investment code and for special AIF according to § 284 of the investment code, the report only on request of the Federal Agency is to create. The report is immediately submitted the Federal Agency.
(2) the report must contain: 1. a list of the types of derivatives and structured products with derivative component including the significant risks that underlie them deployed during the reporting period, the method selected according to § 5 paragraph 2 to measure these risks, the purpose of the use of the types of derivatives and derivative components in relation to the investment strategy, as well as the risk profile of the investment asset pool , 2. According to article 36, 3. a breakdown of the derivatives employed at the reporting date in the investment asset, their respective capital charges for market risk according to § 7 or article 16, for the issuer risk according to article 23, as well as for the counterparty risk after § 27 including the representation of possible allocations as well as representing the load the respective limits and 4 if necessary, further information which sets out the Federal Agency at the request.
(3) the Federal Agency can provide the information for the purpose of monitoring of systemic risk under paragraphs 1 and 2 of the Deutsche Bundesbank, the European Securities and markets authority and the European systemic risk Board.
Section applicability that are requirements of this Regulation as to apply 1 on the activity of a EU UCITS management company, which manages domestic UCITS, and 2nd on the activity of a EU AIF management company, which manages domestic open special AIF with fixed investment conditions 7 final provisions § 39.

§ 40 transitional provisions (1) derivative regulation of 6 February 2004 (Federal Law Gazette I p. 153) which continue to apply existing AIF capital management companies and AIF, as long as continue to apply the provisions of the Investment Act on 21 July 2013 for this after the transition provisions of sections 345 to 350 of the investment code is in force until 21 July 2013 amended. Capital UCITS management company applies the derivatives regulation of 6 February 2004 (Federal Law Gazette I p. 153) in force until 21 July 2013 version on 21 July 2013 existing UCITS until the entry into force of the change of investment conditions of that UCITS pursuant to § 355 paragraph 2 on the investment code, maximum up to 18 February 2014. No changes in the investment conditions in accordance with § 355 paragraph 2 of the investment code are required for UCITS existing on 21 July 2013 may the UCITS management company the derivatives regulation of 6 February 2004 (BGBl. I S. 153) apply to these UCITS in force until 21 July 2013 amended until 18 February 2014.
(2) on the prospectus of investment assets, which were launched before 1st October 2014, article 35, paragraph 4, sentence 3 is to apply if prospectuses, changed after March 4th, 2015 for some other reason or replaced at the latest from October 1, 2015.

Article 41 entry into force, expiry this regulation enters into force on July 22, 2013. At the same time the derivatives regulation of 6 February 2004 (BGBl. I S. 153), by article 1 of the Decree of 28 June 2011 (BGBl. I S. 1278) is been changed other than force.