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Financial and capital market Commission Regulation No 207 (financial and capital market Commission in Riga 2006 8 December Council meeting Protocol No. 54, 2. p.)
Investment fund reporting rules Issued pursuant to the financial and capital market Commission Act 7 of the first paragraph of article 1 and paragraph 2, and article 17, paragraph 2 of the investment management company law the second part of article 72 and 75 of the third paragraph of article i. General questions 1. "investment fund reporting rules" (hereinafter-the rules) are binding on Latvia licensed investment management firms by preparing investment Fund (Fund) (hereinafter the Fund) accounts required to carry out supervision, financial accounts report, for the preparation of the balance of payments, as well as providing comparable information on the Fund's financial position and half-year performance indicators for investors and other stakeholders.
2. the investment management company according to the requirements of this regulation for each of its existing Fund Administration prepare: 2.1 monthly report: 2.1.1. Investment Fund's assets and the statement of its commitments "under UPDK 0651107 form (annex 1);
2.1.2. "trust fund income and expenditure" under UPDK 0651108 form (annex 2);
2.1.3. investment fund net asset movement statement "under UPDK 0651109 form (annex 3);
2.1.4. "investment fund investment portfolio overview" under UPDK 0651276 form (annex 4);
2.2. the quarterly report comprising 2.1.1-2.1.4. the annex referred to in paragraph 2.2.1. report: "Investment Fund for financial derivatives business total risk" under UPDK 0651277 form (annex 5);
2.2.2. the report "investment fund counterparty risk" under UPDK 0651278 form (annex 6);
2.2.3. the report "investment fund business with a single issuer or counterparty" under UPDK 0651279 form (annex 7);
2.2.4. the report "investment fund loan" under UPDK 0651280 form (annex 8);
2.3. the half-yearly report, which reflects the information on its financial position and activities from the beginning of the year to 30 June.
3. the report shall be made, subject to the following requirements: 3.1. cash used in reports is the monetary unit of the Republic of Latvia;
3.2 country code indicates the corresponding between the standard ISO 3166 folksy "countries and their territorial breakdown unit name code";
3.3. currency code according to international standard ISO 4217, "codes for currencies and resources";
3.4. international institutions which are not registered as residents of one State (the European bank for reconstruction and development, European regional development fund, the European investment bank, the bank for international settlements, etc.) presented under the heading "Over in the issuer securities with a notional" country code "66".
4. the terms used in the rules comply with the investment management company law, financial and capital market Commission (hereinafter the Commission) Council approved provisions-19.05.2006. No. 99 "Investment Fund annual report" and with the Bank of Latvia Board of 12.07.2001. decision No 88/7 approved "monetary financial institutions a monthly balance report and preparation of the annex rules" used terms.
5. review and evaluation of the position of the content matches the Council approved the Commission's provisions-19.05.2006. No. 99 "Investment Fund annual report rules ', if these rules otherwise.
II. investment fund investment portfolio review "preparing 6." investment fund investment portfolio report ' financial instruments are divided into regulated market trading in financial instruments and other financial instruments.
7. Investment Portfolio statement specifies the issuer of a financial instrument (the counterparties) name, ISIN code of securities (International Securities Identification Number), the registration of the regulated market, the issuer's country code (business partner) country of registration code, the currency in which the investment is made, the code, the investment carrying amount, the carrying amount of the investment ratio of the Fund's assets (in percentage) and fund prospectus (Charter) limit (as a percentage).
8. The column "the regulated market of the country of registration code" indicates the country (from any country), which includes the financial instruments on a regulated market, the code. Under the heading "Fund/Sub-fund" and "money market funds" do not fill in this field, if the units are not included in the regulated market.
9. The column "issuer (business partner) country of registration code" indicates the country where the issuer is registered (business partner) or real estate, the code.
10. If the Fund's investments in debt securities issued by credit institutions that strengthen the commitments made for the funds obtained in accordance with the procedure prescribed by law to invest in debt securities traded in the whole time they provide fully secured obligations and those obligations have priority of the issuer of securities of the executable in the event of insolvency (hereinafter mortgages), and their value exceeds 5 percent of the Fund's assets, the carrying amount of the investment and the total of the column "reference of CIS investment in mortgage bonds issued more than 5% of the Fund's assets, the total "(heading code 1121).
11. in determining the amount of the investment under the heading "Investment credit in mortgage bonds issued by more than 5% of the Fund's assets, the total" (heading code 1121) and under the heading "individual investment securities issued by the issuer (other than investment management company, article 66 of the law on the second and fourth referred to investments), which is more than 5%, the total" (heading code 2240), one of the companies of the group are treated as a single person and the issuer of the investment securities are summarized.
12. Under "financial derivatives" in the column "carrying amount" displays the derivative financial instruments positive and negative book value. Derivative financial instruments negative book value report included with the minus sign.
13. Under the "requirements on demand to credit institutions" and "term deposits with credit institutions", the first indicates the credit institution – a custodian.
14. Under the heading "investment property" investments in real estate and other investment property (such as real property rights of use), t.sk. the investment of unencumbered property indicates the country code, in which the real property register, the carrying amount, the carrying amount of the investment ratio of the Fund's assets total (in percentage) and fund prospectus (Charter) limit (as a percentage).
III. Review of an investment Fund financial derivatives transactions total risk "15. report preparation" Investment Fund for financial derivatives business total risk "be prepared to determine the overall risk resulting from transactions in financial derivatives (hereinafter – the total risk).
16. Total risk (1000. positions in box 2): 16.1. derivative financial instruments the market value of the underlying, or core value of notional fixed pursuant to Commission the Council approved the rules of 17.11.2004. No. 255 ' capital adequacy calculation rules "4.17, total;
16.2. the option's Delta equivalent amount, that is, each option's market price of the underlying, multiplied by the Delta, where the options are traded on a regulated market or the Commission's investment management company has given permission to option pricing models for use in the Commission of the Council approved the rules of 17.11.2004. No. 255 ' capital adequacy calculation rules "requirements of paragraph 12.2.
17. the total does not include it in the calculation of risk derivative financial instruments the market value of the underlying, or core value that conditional according to the investment management company's risk management policies are used to limit the risks. These derivative financial instruments the market value of the underlying, or core value of notional information reflects the revised heading for 1000 in box 1.
18. Capital and interest financial derivatives determine the market value of the underlying reference date, which is the quantity of securities referred to in the contract, multiplied by the market price of the securities reporting date or conditional core value.
19. Capital and interest derivative financial instruments group assets of the issuer at the base, giving the derived financial instruments (derivatives possible types see the Commission Council approved regulations No 17.11.2004.255. "capital adequacy calculation rules" in paragraph 4.12), derivative financial instruments, which is not the issuer of the base assets (foreign exchange derivatives, etc.), and business partner, giving the derived financial instruments.
20. Profit for the financial derivatives market in the underlying value of the opposing positions may be mutually set off in accordance with the Commission's Council approved the rules of 17.11.2004. No. 255 ' capital adequacy calculation rules "and in paragraph 6.12 6.11 If transactions are concluded with counterparties. Result 2 of reference column.
21. the transferable securities and money market instruments (credit default swaps (credit linked notes), convertible bonds (convertible bonds), exchangeable bonds (exchangabl bond), structured financial instruments, which ie not this gum is based on, for example, stock index or a percentage of the yield, etc.) included in derivative financial instruments (embedded counterparties) are separated from the underlying basic and included in the calculation of the overall risk, if the market value of the underlying is higher than the market value of the underlying.
22. By way of derogation from that rule 16-21. the requirements referred to in paragraph 1, for the determination of the overall risk (1000. positions in box 2), the Commission authorized investment management company may use internal risk models to value according to the Commission, the Council approved the rules of 17.11.2004. No. 255 ' capital adequacy calculation rules "to the requirements of paragraph 11, in so far as they are attributable to the operations of the Fund.
IV. Review of an investment fund counterparty risk "23. report preparation" investment fund counterparty risk "be prepared to determine the extent of exposure to a single counterparty in transactions with derived financial instruments that are not traded on a regulated market (hereinafter referred to as the counterparty risk).
24. Counterparty risk amount calculated using the market value method in accordance with the Commission's Council approved the rules of 17.11.2004. No. 255 ' capital adequacy calculation rules "4.15. requirements of paragraph, not multiplied by the relative level of risk.
25. Counterparty risk in the calculation of the financial instruments covered include financial derivatives: 25.1. If the contract provides for the possibility of an instrument separate from the key to put a third person, and if the derived 25.2. financial instrument underlying asset value is greater than the carrying value of the underlying.
26. Counterparty risk calculation, if not carried out transactions in financial derivatives are carried out on a regulated market where there are guarantees ensure billing system (the clearinghous backed by appropriate performance guarantee), the positions are revalued at market prices every day and reserve contributions are adjusted at least once a day (at least daily margining).
V. review of an investment fund business with a single issuer or counterparty "27. report preparation" investment fund business with a single issuer or counterparty "prepares to determine the total investment and the extent of exposure to each of the issuer and/or business partner, as well as with companies in the same group.
28. the calculation of investment limits by one issuer or counterparty, taking into account: 28.1. the contribution of a fund portfolio securities issued by the issuer of the accounting value (annex 4);
28.2. derivative financial instruments the base asset issued by the issuer or counterparty, market value (annex 5), if the transactions are not intended to limit the risks;
28.3. the deposit principal. The deposit amount is the credit institution reporting date accounts existing funds which a credit institution must repay under the terms of the contract. The deposit principal amount and the requirements for all term deposit on request (except for the requirements to request the custodian) carrying amount reduced by the amount of the accrued interest, if the contract does not provide for the cost of accrued interest in the event of breach of contract;
28.4. counterparty risk margins (annex 6).
29. If the securities or money market instruments covered by the derivative financial instrument provides for the exchange of existing financial instruments to another of the same issuer, financial instruments issued by the calculation includes the greater of the market value of the underlying securities or money market instruments, or the market value.
30. Derivative financial instrument or notional underlying fundamental values can be excluded in the calculation of investment limits in cases where the derivative financial instrument is the underlying index, which includes the securities on a regulated market traded in highly liquid securities, following the composition of the index is sufficiently diversified, it reflects the appropriate relevant market standards and have been properly published. Index composition is considered sufficiently diversified unless the position of the securities does not exceed 10 percent of the entire index of securities contained in the common position in total.
Vi. preparation of the semi-annual report 31. the half-yearly report contains the following information that is prepared in accordance with the Commission's Council-19.05.2006. Regulation No 99 approved "Investment Fund annual report" the requirements of points (the points indicated in the brackets), given that the current period is semi-annual: 31.1. statement of assets and liabilities (paragraph 19);
31.2. the income and expenditure account (paragraph 23);
31.3. the annex, which contains at least the following information: 31.3.1. detailed information on the investment (56), in addition to specifying the carrying amount of the investment ratio of the Fund's total assets, expressed as a percentage;
31.3.2. the Fund's net assets (21.8. and 35.6;)
31.3.3. the Fund's investment certificates issued (22.2 and 22.2;)
31.3.4. net assets of the Fund on the investment certificate (22.3. and 35.10;)
31.3.5. profitability of the Fund (65.3 and 65.4.;)
31.3.6. relevant information on transactions and events, t.sk. about the changes in the structure of investments during the reporting period;
19.5. the opinion of the Auditor, if any, is provided.
VII. Reporting 32. Investment management company prepares: 32.1 2.1 reports referred to in the paragraph about the State the last date of each month and shall be submitted to the Commission until next month's 20. date;
32.2. the reports referred to in paragraph 2.2 of the State on the last day of each quarter and shall be submitted to the Commission to review the quarter following 20 months.
33. Monthly and quarterly report prepared for submission to the Council of the Commission approved rules 16.07.2004. Nr. 156 "electronically submit statistical reports preparation and dispatch rules".
34. If the Commission finds that the report has been prepared in error, it will be announced in the report to the applicant. If the Commission has not indicated otherwise, corrected report shall be submitted not later than the working day following notification of the existence of the error from the Commission.
35. Investment management company shall submit half-yearly reports (on paper or in electronic form) to the Commission and to ensure that all Fund stakeholders would have the opportunity to become acquainted with the half-yearly report of the Fund investment management company and in accordance with the procedure prescribed by law within the time limit.
VIII. Closing questions 36. provisions enter into force 01.01.2007.37. With the entry into force of these regulations shall lapse at the Council of the Commission approved regulations No 01.11.2002.. 310 "investment fund reporting rules".
Informative reference to European Union directives and recommendations included in the provisions of rules arising from Directive 85/611/EEC and amendments, which comply with Directive 88/220/EEC, 95/26/EC, 2000/64/EC, 2001/107/EC and 2001/108/EC and the European Commission recommendation 2004/383/EC on derivative financial instruments for undertakings for collective investment in transferable securities.
Financial and capital market Commission President When the U.
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