Пруденційний нагляд та ризик-менеджмент
у КУА за законодавством ЄС
І. Директиви та Регламенти (законодавство):
1. Directive 2009/65/EC of 13 July 2009 on the coordination of laws, regulations and administrative
provisions relating to undertakings for collective investment in transferable securities (UCITS IV) – див.
нижче ключові положення та посилання на документ.
2. Directive 2010/43/EU of 1 July 2010 implementing Directive 2009/65/EC of the European
Parliament and of the Council as regards organisational requirements, conflicts of interest, conduct of
business, risk management and content of the agreement between a depositary and a management
company – див. нижче ключові положення та посилання на документ.
3. Directive 2014/91/EU (amending Directive 2009/65/EC) of 23 July 2014 on the coordination of laws,
regulations and administrative provisions relating to undertakings for collective investment in
transferable securities (UCITS) as regards depositary functions, remuneration policies and sanctions
(UCITS V – to enter into force as from 18.03.2016)
4. Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the
taking up and pursuit of the business of credit institutions (recast)
and Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital
adequacy of investment firms and credit institutions (recast) (CRD I, II, ІІІ)
5. Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of
credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives
2006/48/EC and 2006/49/EC (CRD IV – in force as from 01.01.2014); and
6. Regulation №575/2013 on prudential requirements for credit institutions and investment firms (CRR –
in force as from 01.01.2014) – див. нижче ключові положення та посилання на документ.
(див. Prudential requirements на сайті Європейської Комісії)
ІІ. Нормативні документи, які імплементують директиву UCITS IV з питань
пруденційного нагляду та управління ризиками (технічні стандарти):
7. CESR’s technical advice to the European Commission on the level 2 measures related to the UCITS
management company passport (CESR/09-963 of 28 Oct 2009)
8. CESR’s Guidelines on Risk Measurement and the Calculation of Global Exposure and
Counterparty Risk for UCITS (CESR/10-788 28 Jul 2010)
9. CESR Guidelines on Risk management principles for UCITS (CESR/09-178 – 27/02/2009)
10. CESR Guidelines on Methodology for the calculation of the synthetic risk and reward indicator in
the Key Investor Information Document (CESR/10-673 – 02/07/2010)
Документи ESMA (колишній CESR) щодо ризик-менеджменту в UCITS (за посиланням –
документи на сайті ESMA)
1
Directive 2009/65/EC of 13 July 2009 on the coordination of laws, regulations and
administrative provisions relating to undertakings for collective investment in transferable
securities (UCITS IV)
CHAPTER III
SECTION 3
OBLIGATIONS REGARDING MANAGEMENT COMPANIES
Operating conditions
Article 10
1. The competent authorities of the management company’s home Member State shall require that the
management company which they have authorised complies at all times with the conditions laid down in
Article 6 and Article 7(1) and (2).
The own funds of a management company shall not fall below the level specified in Article 7(1)(a). If they
do, however, the competent authorities may, where the circumstances so justify, allow such firms a limited
period in which to rectify their situations or cease their activities.
2. The prudential supervision of a management company shall be the responsibility of the competent
authorities of the management company’s home Member State, whether the management company
establishes a branch or provides services in another Member State or not, without prejudice to those
provisions of this Directive which confer responsibility to the competent authorities of a management
company’s host Member State.
Article 12
1. Each Member State shall draw up prudential rules which management companies authorised in that
Member State, with regard to the activity of management of UCITS authorised according to this Directive,
shall observe at all times.
In particular, the competent authorities of the management company’s home Member State, having regard
also to the nature of the UCITS managed by a management company, shall require that each such
company:
(a) has sound administrative and accounting procedures, control and safeguard arrangements for
electronic data processing and adequate internal control mechanisms including, in particular, rules for
personal transactions by its employees or for the holding or management of investments in financial
instruments in order to invest on its own account and ensuring, at least, that each transaction involving the
UCITS may be reconstructed according to its origin, the parties to it, its nature, and the time and place at
which it was effected and that the assets of the UCITS managed by the management company are invested
according to the fund rules or the instruments of incorporation and the legal provisions in force;
(b) is structured and organised in such a way as to minimise the risk of UCITS’ or clients’ interests
being prejudiced by conflicts of interest between the company and its clients, between two of its clients,
between one of its clients and a UCITS, or between two UCITS.
2. Each management company the authorisation of which also covers the discretionary portfolio
management service referred to in Article 6(3)(a) shall:
(a) not be permitted to invest all or a part of the investor’s portfolio in units of collective investment
undertakings it manages, unless it receives prior general approval from the client;
(b) be subject with regard to the services referred to in Article 6(3) to the provisions laid down in Directive
97/9/EC of the European Parliament and of the Council of 3 March 1997 on investor-compensation
schemes.
3. Without prejudice to Article 116, the Commission shall adopt, by 1 July 2010, implementing measures
specifying the procedures and arrangements as referred to under point (a) of the second subparagraph of
paragraph 1 and the structures and organisational requirements to minimise conflicts of interests as
referred to under point (b) of the second subparagraph of paragraph 1.
2
Article 14
1. Each Member State shall draw up rules of conduct which management companies authorised in that
Member State shall observe at all times. Such rules shall implement at least the principles set out in this
paragraph. Those principles shall ensure that a management company:
(a) acts honestly and fairly in conducting its business activities in the best interests of the UCITS it
manages and the integrity of the market;
(b) acts with due skill, care and diligence, in the best interests of the UCITS it manages and the integrity
of the market;
(c) has and employs effectively the resources and procedures that are necessary for the proper
performance of its business activities;
(d) tries to avoid conflicts of interests and, when they cannot be avoided, ensures that the UCITS it
manages are fairly treated; and
(e) complies with all regulatory requirements applicable to the conduct of its business activities so as to
promote the best interests of its investors and the integrity of the market.
2. Without prejudice to Article 116, the Commission shall adopt, by 1 July 2010, implementing measures,
with a view to ensuring that the management company complies with the duties set out in paragraph 1, in
particular to:
(a) establish appropriate criteria for acting honestly and fairly and with due skill, care and diligence in the
best interests of the UCITS;
(b) specify the principles required to ensure that management companies employ effectively the resources
and procedures that are necessary for the proper performance of their business activities; and
(c) define the steps that management companies might reasonably be expected to take to identify, prevent,
manage or disclose conflicts of interest as well as to establish appropriate criteria for determining the types
of conflicts of interest whose existence may damage the interests of the UCITS.
Article 51
1. A management or investment company shall employ a risk-management process which enables it to
monitor and measure at any time the risk of the positions and their contribution to the overall risk profile of
the portfolio.
It shall employ a process for accurate and independent assessment of the value of OTC derivatives.
It shall communicate to the competent authorities of its home Member State regularly in regard to the
types of derivative instruments, the underlying risks, the quantitative limits and the methods which are
chosen in order to estimate the risks associated with transactions in derivative instruments regarding each
managed UCITS.
2. Member States may authorise UCITS to employ techniques and instruments relating to transferable
securities and money market instruments under the conditions and within the limits which they lay down
provided that such techniques and instruments are used for the purpose of efficient portfolio management.
When those operations concern the use of derivative instruments, the conditions and limits shall conform to
the provisions laid down in this Directive.
Under no circumstances shall those operations cause the UCITS to diverge from its investment objectives
as laid down in the UCITS’ fund rules, instruments of incorporation or prospectus.
3. A UCITS shall ensure that its global exposure relating to derivative instruments does not exceed
the total net value of its portfolio.
The exposure is calculated taking into account the current value of the underlying assets, the counterparty
risk, future market movements and the time available to liquidate the positions. This shall also apply to the
third and fourth subparagraphs.
3
A UCITS may invest, as a part of its investment policy and within the limit laid down in Article 52(5), in
financial derivative instruments provided that the exposure to the underlying assets does not exceed in
aggregate the investment limits laid down in Article 52. Member States may provide that, when a UCITS
invests in index-based financial derivative instruments, those investments are not required to be combined
for the purposes of the limits laid down in Article 52.
When transferable securities or money market instruments embed a derivative, the derivative shall be taken
into account when complying with the requirements of this Article.
4. Without prejudice to Article 116, the Commission shall adopt, by 1 July 2010, implementing measures
[див. Нормативні документи, які імплементують директиву UCITS IV в аспекті пруд. нагляду]
specifying the following:
(a) criteria for assessing the adequacy of the risk management process employed by the management
company in accordance with the first subparagraph of paragraph 1;
(b) detailed rules regarding the accurate and independent assessment of the value of OTC derivatives; and
c) detailed rules regarding the content of and procedure to be followed for communicating the information
referred to in the third subparagraph of paragraph 1 to the competent authorities of the management
company’s home Member State.
Directive 2010/43/EU of 1 July 2010 implementing Directive 2009/65/EC of the European
Parliament and of the Council as regards organisational requirements, conflicts of interest,
conduct of business, risk management and content of the agreement between a depositary
and a management company
CHAPTER II
ADMINISTRATIVE PROCEDURES AND CONTROL MECHANISM
(Article 12(1)(a) and Article 14(1)(c) of Directive 2009/65/EC)
SECTION 1 General principles
SECTION 2 Administrative and accounting procedures
SECTION 3 Internal control mechanisms
CHAPTER III
CONFLICT OF INTERESTS
(Article 12(1)(b) and Article 14(1)(d) and (2)(c) of Directive 2009/65/EC)
CHAPTER IV RULES OF CONDUCT
(Article 14(1)(a), (b) and (2)(a), (b) of Directive 2009/65/EC)
SECTION 1 General principles
SECTION 2 Handling of subscription and redemption orders
SECTION 3 Best execution
SECTION 4 Handling of orders
SECTION 5 Inducements
CHAPTER V PARTICULARS OF THE STANDARD AGREEMENT BETWEEN A DEPOSITARY AND A
MANAGEMENT COMPANY
(Article 23(5) and Article 33(5) of Directive 2009/65/EC)
CHAPTER VI RISK MANAGEMENT
(Article 51(1) of Directive 2009/65/EC)
SECTION 1 Risk management policy and risk measurement
SECTION 2 Risk management processes, Counterparty risk exposure and issuer concentration
SECTION 3 Procedures for the valuation of the OTC derivatives
4
Directive 2014/91/EU (amending Directive 2009/65/EC) - Директива UCITS V, вступить у
дію з 18.03.2016
(recitals)
(25) In order to ensure a high level of investor protection and to guarantee an appropriate level of prudential
regulation and ongoing control, it is necessary to establish an exhaustive list of entities that are eligible
to act as depositaries. Those entities should be limited to national central banks, credit institutions, and
other legal entities authorised under the law of Member States to carry out depositary activities under
this Directive, which are subject to prudential supervision and capital adequacy requirements not
less than the requirements calculated depending on the selected approach in accordance with
Article 315 or 317 of Regulation (EU) No 575/2013 of the European Parliament and of the Council,
have own funds not less than the amount of initial capital under Article 28(2) of Directive 2013/36/EU
of the European Parliament and of the Council and have their registered office or a branch in the UCITS
home Member State.
Article 23 is amended as follows:
(a) paragraphs 2, 3 and 4 are replaced by the following:
‘2. The depositary shall be:
(a) a national central bank;
(b) a credit institution authorised in accordance with Directive 2013/36/EU; or
(c) another legal entity, authorised by the competent authority under the law of the Member State to carry
out depositary activities under this Directive, which is subject to capital adequacy requirements not less
than the requirements calculated depending on the selected approach in accordance with Article
315 or 317 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (*) and
which has own funds not less than the amount of initial capital under Article 28(2) of Directive
2013/36/EU.
A legal entity as referred to in point (c) of the first subparagraph shall be subject to prudential regulation
and ongoing supervision and shall satisfy the following minimum requirements:
(a) it shall have the infrastructure necessary to keep in custody financial instruments that can be registered
in a financial instruments account opened in the depositary’s books;
(b) it shall establish adequate policies and procedures sufficient to ensure compliance of the entity,
including its managers and employees, with its obligations under this Directive;
(c) it shall have sound administrative and accounting procedures, internal control mechanisms, effective
procedures for risk assessment and effective control and safeguard arrangements for information
processing systems;
(d) it shall maintain and operate effective organisational and administrative arrangements with a view to
taking all reasonable steps designed to prevent conflicts of interest;
(e) it shall arrange for records to be kept of all services, activities and transactions that it undertakes, which
shall be sufficient to enable the competent authority to fulfil its supervisory tasks and to perform the
enforcement actions provided for in this Directive;
(f) it shall take reasonable steps to ensure continuity and regularity in the performance of its depositary
functions by employing appropriate and proportionate systems, resources and procedures including to
perform its depositary activities;
(g) all members of its management body and senior management, shall, at all times, be of sufficiently good
repute, possess sufficient knowledge, skills and experience;
(h) its management body shall possess adequate collective knowledge, skills and experience to be able to
understand the depositary’s activities, including the main risks;
(i) each member of its management body and senior management shall act with honesty and integrity.
5
Directive 2013/36/EU on access to the activity of credit institutions and the prudential
supervision of credit institutions and investment firms, amending Directive 2002/87/EC and
repealing Directives 2006/48/EC and 2006/49/EC – Директива CRD IV, вступила в дію з
01.01.2014
TITLE IV
INITIAL CAPITAL OF INVESTMENT FIRMS
Article 28
Initial capital of investment firms
1. The initial capital of investment firms shall comprise only one or more of the items referred to in points (a)
to (e) of Article 26(1) of Regulation (EU) No 575/2013.
2. All investment firms other than those referred to in Article 29 shall have initial capital of EUR 730 000.
Article 29
Initial capital of particular types of investment firms
1. An investment firm that does not deal in any financial instruments for its own account or underwrite
issues of financial instruments on a firm commitment basis, but which holds client money or securities and
which offers one or more of the following services, shall have initial capital of EUR 125 000:
(a) the reception and transmission of investors' orders for financial instruments;
(b) the execution of investors' orders for financial instruments;
(c) the management of individual portfolios of investments in financial instruments.
2. The competent authorities may allow an investment firm which executes investors' orders for financial
instruments to hold such instruments for its own account if the following conditions are met:
(a) such positions arise only as a result of the firm's failure to match investors' orders precisely;
(b) the total market value of all such positions is subject to a ceiling of 15 % of the firm's initial capital;
(c) the firm meets the requirements set out in Articles 92 to 95 and Part Four of Regulation (EU) No
575/2013;
(d) such positions are incidental and provisional in nature and strictly limited to the time required to carry out
the transaction in question.
3. Member States may reduce the amount referred to in paragraph 1 to EUR 50 000 where a firm is not
authorised to hold client money or securities, to deal for its own account, or to underwrite issues on a firm
commitment basis.
4. The holding of non-trading-book positions in financial instruments in order to invest own funds shall not
be considered as dealing for its own account in relation to the services set out in paragraph 1 or for the
purposes of paragraph 3.
Article 74
Article 85
Regulation №575/2013 on prudential requirements for credit institutions and investment
firms – Регламент CRR, вступив у дію з 01.01.2014
(recitals)
(51) 'initial capital' means the amount and types of own funds specified in Article 12 of Directive
2013/36/EU for credit institutions and in Title IV of that Directive for investment firms;
(52) 'operational risk' means the risk of loss resulting from inadequate or failed internal processes, people
and systems or from external events, and includes legal risk;
PART ONE. GENERAL PROVISIONS
TITLE I . SUBJECT MATTER, SCOPE AND DEFINITIONS
Article 4. Definitions
1. For the purposes of this Regulation, the following definitions shall apply:
6
(7) 'collective investment undertaking' or 'CIU' means a UCITS as defined in Article 1(2) of Directive
2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws,
regulations and administrative provisions relating to undertakings for collective investment in transferable
securities (UCITS) ( 1 ), including, unless otherwise provided, third-country entities which carry out
similar activities, which are subject to supervision pursuant to Union law or to the law of a third
country which applies supervisory and regulatory requirements at least equivalent to those applied in the
Union, an AIF as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of
the Council of 8 June 2011 on Alternative Investment Fund Managers ( 2 ), or a non-EU AIF as defined in
Article 4(1)(aa) of that Directive;
(19) 'asset management company' means an asset management company as defined in point (5) of
Article 2 of Directive 2002/87/EC and an AIFM as defined in Article 4(1)(b) of Directive 2011/61/EU,
including, unless otherwise provided, third country entities, that carry out similar activities, that are
subject to the laws of a third country which applies supervisory and regulatory requirements at least
equivalent to those applied in the Union;
PART TWO
OWN FUNDS
TITLE I
ELEMENTS OF OWN FUNDS
CHAPTER 2
Common Equity Tier 1 capital
Section1
Common equity tier 1 items and instruments
Article 26
Common Equity Tier 1 items
1. Common Equity Tier 1 items of institutions consist of the following:
(a) capital instruments, provided the conditions laid down in Article 28 or, where applicable, Article 29 are
met;
(b) share premium accounts related to the instruments referred to in point (a);
(c) retained earnings;
(d) accumulated other comprehensive income;
(e) other reserves;
(f) funds for general banking risk.
The items referred to in points (c) to (f) shall be recognised as Common Equity Tier 1 only where they are
available to the institution for unrestricted and immediate use to cover risks or losses as soon as these
occur.
2. For the purposes of point (c) of paragraph 1, institutions may include interim or year-end profits in
Common Equity Tier 1 capital before the institution has taken a formal decision confirming the final profit or
loss of the institution for the year only with the prior permission of the competent authority. The competent
authority shall grant permission where the following conditions are met:
(a) those profits have been verified by persons independent of the institution that are responsible for the
auditing of the accounts of that institution;
(b) the institution has demonstrated to the satisfaction of the competent authority that any foreseeable
charge or dividend has been deducted from the amount of those profits.
A verification of the interim or year-end profits of the institution shall provide an adequate level of assurance
that those profits have been evaluated in accordance with the principles set out in the applicable accounting
framework.
(…)
TITLE III
OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK
CHAPTER 1
General principles governing the use of the different approaches
Article 312
Permission and notification
1. To qualify for use of the Standardised Approach, institutions shall meet the criteria set out in
Article 320, in addition to meeting the general risk management standards set out in Articles 74 and
7
85 of Directive 2013/36/EU. Institutions shall notify the competent authorities prior to using the
Standardised Approach.
Competent authorities shall permit institutions to use an alternative relevant indicator for the business lines
of retail banking and commercial banking where the conditions set out in Articles 319(2) and 320 are met.
2. Competent authorities shall permit institutions to use Advanced Measurement Approaches based
on their own operational risk measurement systems, where all the qualitative and quantitative
standards set out in Articles 321 and 322 respectively are met and where institutions meet the general
risk management standards set out in Articles 74 and 85 of Directive 2013/36/EU and Section II, Chapter 3,
Title VII of that Directive.
Institutions shall also apply for permission from their competent authorities where they want to implement
material extensions and changes to those Advanced Measurement Approaches. Competent authorities
shall grant the permission only where institutions would continue to meet the standards specified in the first
subparagraph following those material extensions and changes.
3. Institutions shall notify the competent authorities of all changes to their Advanced Measurement
Approaches models.
4. EBA shall develop draft regulatory technical standards to specify the following:
(a) the assessment methodology under which the competent authorities permit institutions to use
Advanced Measurement Approaches;
(b) the conditions for assessing the materiality of extensions and changes to the Advanced
Measurement Approaches;
(c) the modalities of the notification required in paragraph 3.
EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2014.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first
subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
Article 313
Reverting to the use of less sophisticated approaches
1. Institutions that use the Standardised Approach shall not revert to the use of the Basic Indicator
Approach unless the conditions in paragraph 3 are met.
2. Institutions that use the Advanced Measurement Approaches shall not revert to the use of the
Standardised Approach or the Basic Indicator Approach unless the conditions in paragraph 3 are met.
3. An institution may only revert to the use of a less sophisticated approach for operational risk
where both the following conditions are met:
(a) the institution has demonstrated to the satisfaction of the competent authority that the use of a less
sophisticated approach is not proposed in order to reduce the operational risk related own funds
requirements of the institution, is necessary on the basis of nature and complexity of the institution and
would not have a material adverse impact on the solvency of the institution or its ability to manage
operational risk effectively;
(b) the institution has received the prior permission of the competent authority.
Article 314
Combined use of different approaches
(…)
CHAPTER 2
Basic indicator approach
Article 315
Own funds requirement
1. Under the Basic Indicator Approach, the own funds requirement for operational risk is equal to 15 %
of the average over three years of the relevant indicator as set out in Article 316.
Institutions shall calculate the average over three years of the relevant indicator on the basis of the last
three twelve-monthly observations at the end of the financial year. When audited figures are not available,
institutions may use business estimates.
2. Where an institution has been in operation for less than three years it may use forward-looking business
estimates in calculating the relevant indicator, provided that it starts using historical data as soon as it is
available.
(…)
8
4. Where for any given observation, the relevant indicator is negative or equal to zero, institutions
shall not take into account this figure in the calculation of the average over three years. Institutions shall
calculate the average over three years as the sum of positive figures divided by the number of
positive figures.
Article 316
Relevant indicator
1. For institutions applying accounting standards established by Directive 86/635/EEC, based on the
accounting categories for the profit and loss account of institutions under Article 27 of that Directive, the
relevant indicator is the sum of the elements listed in Table 1 of this paragraph. Institutions shall
include each element in the sum with its positive or negative sign.
Table 1
1 Interest receivable and similar income
2 Interest payable and similar charges
3 Income from shares and other variable/fixed-yield securities
4 Commissions/fees receivable
5 Commissions/fees payable
6 Net profit or net loss on financial operations
7 Other operating income
Institutions shall adjust these elements to reflect the following qualifications:
(a) institutions shall calculate the relevant indicator before the deduction of any provisions and operating
expenses. Institutions shall include in operating expenses fees paid for outsourcing services rendered by
third parties which are not a parent or subsidiary of the institution or a subsidiary of a parent which is also
the parent of the institution. Institutions may use expenditure on the outsourcing of services rendered by
third parties to reduce the relevant indicator where the expenditure is incurred from an undertaking subject
to rules under, or equivalent to, this Regulation;
(b) institutions shall not use the following elements in the calculation of the relevant indicator:
(i) realised profits/losses from the sale of non-trading book items;
(ii) income from extraordinary or irregular items;
(iii) income derived from insurance.
(c) when revaluation of trading items is part of the profit and loss statement, institutions may include
revaluation. When institutions apply Article 36(2) of Directive 86/635/EEC, they shall include revaluation
booked in the profit and loss account.
2. When institutions apply accounting standards different from those established by Directive 86/635/EEC,
they shall calculate the relevant indicator on the basis of data that best reflect the definition set out in this
Article.
3. EBA shall develop draft regulatory technical standards to determine the methodology to calculate the
relevant indicator referred to in paragraph 2.
EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2017.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first
subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
CHAPTER 3
Standardised Approach
Article 317
Own funds requirement
1. Under the Standardised Approach, institutions shall divide their activities into the business lines set
out in Table 2 of paragraph 4 and in accordance with the principles set out in Article 318.
2. Institutions shall calculate the own funds requirement for operational risk as the average over three
years of the sum of the annual own funds requirements across all business lines referred to in
Table 2 of paragraph 4. The annual own funds requirement of each business line is equal to the product of
the corresponding beta factor referred to in that Table and the part of the relevant indicator mapped to the
respective business line.
3. In any given year, institutions may offset negative own funds requirements resulting from a negative part
of the relevant indicator in any business line with positive own funds requirements in other business lines
without limit. However, where the aggregate own funds requirement across all business lines within a
9
given year is negative, institutions shall use the value zero as the input to the numerator for that
year.
4. Institutions shall calculate the average over three years of the sum referred to in paragraph 2 on the
basis of the last three twelve-monthly observations at the end of the financial year. When audited figures
are not available, institutions may use business estimates.
(…)
Table 2
Business line / List of activities / Percentage (beta factor)
Corporate finance
Underwriting of financial instruments or placing of financial instruments on a firm commitment basis Services related to
underwriting Investment advice Advice to undertakings on capital structure, industrial strategy and related matters and
advice and services relating to the mergers and the purchase of undertakings Investment research and financial
analysis and other forms of general recommendation relating to transactions in financial instruments
18 %
Trading and sales
Dealing on own account Money broking Reception and transmission of orders in relation to one or more financial
instruments Execution of orders on behalf of clients Placing of financial instruments without a firm commitment basis
Operation of Multilateral Trading Facilities
18 %
Retail brokerage (Activities with natural persons or with SMEs meeting the criteria set out in Article 123 for the retail
exposure class)
Reception and transmission of orders in relation to one or more financial instruments Execution of orders on behalf of
clients Placing of financial instruments without a firm commitment basis
12 %
Commercial banking
Acceptance of deposits and other repayable funds Lending Financial leasing Guarantees and commitments
15 %
Retail banking (Activities with natural persons or with SMEs meeting the criteria set out in Article 123 for the retail
exposure class)
Acceptance of deposits and other repayable funds Lending Financial leasing Guarantees and commitments
12 %
Payment and settlement
Money transmission services, Issuing and administering means of payment
18 %
Agency services
Safekeeping and administration of financial instruments for the account of clients, including custodianship and related
services such as cash/collateral management
15 %
Asset management
Portfolio management
Managing of UCITS
Other forms of asset management
12 %
Article 318
Principles for business line mapping
1. Institutions shall develop and document specific policies and criteria for mapping the relevant indicator for
current business lines and activities into the standardised framework set out in Article 317. They shall
review and adjust those policies and criteria as appropriate for new or changing business activities and
risks.
2. Institutions shall apply the following principles for business line mapping:
(a) institutions shall map all activities into the business lines in a mutually exclusive and jointly exhaustive
manner;
(b) institutions shall allocate any activity which cannot be readily mapped into the business line framework,
but which represents an ancillary activity to an activity included in the framework, to the business line it
supports. Where more than one business line is supported through the ancillary activity, institutions shall
use an objective-mapping criterion;
10
(c) where an activity cannot be mapped into a particular business line then institutions shall use the
business line yielding the highest percentage. The same business line equally applies to any ancillary
activity associated with that activity;
(d) institutions may use internal pricing methods to allocate the relevant indicator between business lines.
Costs generated in one business line which are imputable to a different business line may be reallocated to
the business line to which they pertain;
(e) the mapping of activities into business lines for operational risk capital purposes shall be consistent with
the categories institutions use for credit and market risks;
(f) senior management shall be responsible for the mapping policy under the control of the management
body of the institution;
(g) institutions shall subject the mapping process to business lines to independent review.
3. EBA shall develop draft implementing technical standards to determine the conditions of application of
the principles for business line mapping provided in this Article.
EBA shall submit those draft implementing technical standards to the Commission by 31 December 2017.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first
subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010.
Article 320
Criteria for the Standardised Approach
The criteria referred to in the first subparagraph of Article 312(1) are the following:
(a) an institution shall have in place a well-documented assessment and management system for
operational risk with clear responsibilities assigned for this system. It shall identify its exposures to
operational risk and track relevant operational risk data, including material loss data. This system shall be
subject to regular independent review carried out by an internal or external party possessing the
necessary knowledge to carry out such review;
(b) an institution's operational risk assessment system shall be closely integrated into the risk
management processes of the institution. Its output shall be an integral part of the process of
monitoring and controlling the institution's operational risk profile;
(c) an institution shall implement a system of reporting to senior management that provides
operational risk reports to relevant functions within the institution. An institution shall have in place
procedures for taking appropriate action according to the information within the reports to
management.
CESR’s technical advice to the European Commission on the level 2 measures related to
the UCITS management company passport (CESR/09-963 of 28 Oct 2009)
This document sets out CESR‘s technical advice to the European Commission on the Level 2 measures in
the following areas, all of which are covered under part I of the mandate.
Section I: Organisational requirements and conflicts of interest
Chapter 1: Organisational requirements – Implementation of Article 12(1)(a) of UCITS Directive
Chapter 2: Conflicts of interest – Implementation of Article 12(1)(b) of UCITS Directive
Section IV: Risk management
Chapter I – Conditions governing risk management processes
Chapter II – Requirements concerning risk measurement methods
i) Organisational requirements and conflicts of interest
The advice follows the clear direction in the Commission‘s mandate to seek maximum alignment with the
MiFID rules in this area, while taking into account the specificities of the UCITS sphere. The paper sets out
technical advice on, inter alia, general organisational procedures and arrangements; internal control
mechanisms, including responsibility of senior management and the remuneration policy; electronic data
processing and record-keeping; and conflicts of interest.
ii) Rules of conduct
In line with the advice on organisational requirements and conflicts of interest, the approach taken to the
advice on rules of conduct is to seek maximum alignment with the relevant MiFID provisions. The advice
includes requirements applying to the direct sale of UCITS by management companies, as well as best
execution, order handling and inducements.
…
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iv) Risk management
The relevant article of the UCITS Directive sets out the general principle that a management company shall
employ a risk management process which enables it to monitor and measure at any time the risk of different
positions and their contribution to the overall risk profile of the portfolio. Chapter 1 of this section of the
advice sets out more detailed requirements on the basis of this principle in relation to the adequacy of the
risk management process. Chapter 2, meanwhile, relates to the requirements on risk measurement for the
purposes of calculation of UCITS‘ global exposure.
Section I
CESR’s technical advice to the European Commission on the implementing
measures on organisational requirements and conflicts of interest for management
companies (Articles 12(3) and 14(2) (a) and (c) of the UCITS Directive)
CHAPTER 1
ORGANISATIONAL REQUIREMENTS
Implementation of Article 12(1)(a) of UCITS Directive
MiFID rules which may be adapted to the UCITS context
Impacts of the proposed approach
Sound organisational procedures and arrangements for management companies
General organisational procedures and arrangements for management companies
Responsibility of senior management
Remuneration policy
Permanent compliance function
Internal audit
Complaints handling
Personal transactions
Meaning of personal transaction
Personal transactions
Electronic data processing and recordkeeping requirements
Recordkeeping requirements
Ability to process data electronically
Recording of subscription and redemption orders
Additional non-MiFID provisions: organisation principles of the UCITS accounting
UCITS accounting principles
Additional non-MiFID provisions: implementation of investment strategies
Implementation of the general investment policy
Additional non-MiFID provisions: Implementation of strategies for the exercise of voting rights
Implementation of strategies for the exercise of voting rights
CHAPTER 2
CONFLICTS OF INTEREST
Implementation of Article 12(1)(b) of the UCITS Directive
Identification of possible relevant MiFID provisions
Impacts of the proposed approach
Criteria for the identification of conflicts of interest
Conflicts of interest potentially detrimental to a client of a management company or to an investor.
Procedures for conflicts identification and management
Conflicts of interest policy
Independence of the persons managing conflicts
Independence in the conflicts management
Records of collective portfolio management activities
Record of collective portfolio management or activities giving rise to detrimental conflict of interest
Management of non-neutralised conflicts
Management of non-neutralised conflicts
ANNEX 1
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Excerpt from MiFID L2 Directive 2006/73/EC on organisational requirements and internal control
mechanisms
Article 5
(Article 13(2) to (8) of Directive 2004/39/EC)
General organisational requirements
Article 10
(Article 13(2) of Directive 2004/39/EC)
Complaints handling
Article 6
(Article 13(2) of Directive 2004/39/EC)
Compliance
Article 11
(Article 13(2) of Directive 2004/39/EC)
Meaning of personal transaction
Article 8
(second subparagraph of Article 13(5) of Directive
2004/39/EC)
Internal audit
Article 12
(Article 13(2) of Directive 2004/39/EC)
Personal transactions
Article 9
(Article 13(2) of Directive 2004/39/EC)
Responsibility of senior management
ANNEX 2
Excerpt from MiFID L2 Directive 2006/73/EC on recordkeeping requirements
Article 51
(Article 13(6) of Directive 2004/39/EC)
Retention of records
Article 8
(Article 13(6) of Directive 2004/39/EC)
Record-keeping of transactions
Excerpt from MiFID L2 Regulation No. 1287/2006
on recordkeeping requirements
Article 7
(Article 13(6) of Directive 2004/39/EC)
Record-keeping of client orders and decisions
to deal
Annex I of the MiFID L2 Regulation
Table 1
List of fields for reporting purposes
ANNEX 3
Excerpt from MiFID L2 Directive 2006/73/EC on conflicts of interests
Article 21
(Articles 13(3) and 18 of Directive 2004/39/EC)
Conflicts of interest potentially detrimental to a
client
Article 23
(Article 13(6) of Directive 2004/39/EC)
Record of services or activities giving rise to
detrimental conflict of interest
Article 22
(Articles 13(3) and 18(1) of Directive 2004/39/EC)
Conflicts of interest policy
Section II
CESR’s technical advice on possible implementing measures of Article
14(2)(b) of the UCITS Directive
(Rules of conduct for management companies)
Impact on firms
13. As stated in paragraph 7, CESR considers it would be burdensome and inconsistent to require management
companies to comply with different rules of conduct regimes in respect to individual and collective portfolio
management.
14. However, CESR is mindful about the potential impacts of applying rule of conduct requirements similar to
MiFID requirements to the collective portfolio management business of UCITS management companies.
15. The actual impact of implementing the proposals described in this paper depends on how much this will
change the internal policies and behaviour of UCITS management companies. This depends on whether
management companies already apply the proposed rules or whether on a national level there is already a
degree of read-across of MiFID provisions to the collective portfolio management business of UCITS
management companies.
16. In order to get a full picture about this situation, CESR carried out a survey among its members to establish
the extent of read-across of MiFID provisions to the collective portfolio management business of UCITS
management companies. The survey has shown a significant variation in regulatory practices across CESR
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member states. On one end of the scale, several Member States have a near complete read-across of MiFID
provisions on rules of conduct for the collective portfolio management business of UCITS management
companies. On the other end of the scale, there are a few Member States where there is basically no readacross, with regulatory practices of many CESR Members between these boundaries.
17. As the current regulatory situation varies across the member states, CESR was very much interested in the
views of stakeholders about the impacts i.e. the costs and benefits, of the proposals on rules of conduct for
UCITS management companies. The responses to the consultation were taken into account by CESR in
providing its final advice to the Commission.
CONDUCT OF BUSINESS
(Article. 14(2)(b) of the UCITS Directive)
B. Provision of the service of collective portfolio management
Duty to act in the best interests of the UCITS and its unitholders and to ensure market integrity
B.2 Due diligence requirements
C. Direct Distribution
Appropriateness test and execution only
Handling of subscription and redemption orders of investors
Reporting obligations in respect of execution of subscription and redemption orders
D. Best execution
Direct execution of orders by the management company
Duties of management companies to act in the best interests of the UCITS when executing the decisions to
deal on behalf of the managed UCITS in the context of the management of their portfolios.
Placement of orders with other entities for execution
Duties of management companies in the context of the management of UCITS portfolios to act in the best
interests of the UCITS when placing orders to deal on behalf of the UCITS with other entities for execution.
E. Handling of orders related to the execution of portfolio decisions to deal on behalf of the managed
UCITS
General principles
Aggregation and allocation of trading orders
F – Inducements
Inducements
ANNEX II
Excerpt from MiFID L2 Directive 2006/73/EC
Article 26, Article 44-48
Section IV CESR’s technical advice to the European Commission on the implementing
measures on risk management (Article 51(4)(a) of the UCITS Directive)
CHAPTER I
CONDITIONS GOVERNING RISK MANAGEMENT PROCESSES AND PROCEDURES FOR
THE VALUATION OF OTC DERIVATIVES
Implementation of Articles 51(4)(a) and 51(4) (b) of the UCITS Directive
1. Identification of risks relevant to the UCITS
Identification of risks and risk management policy
5. Responsibility of the board of directors and
internal reporting
Responsibility of the board of directors and internal
reporting
2. Risk management function
Risk management function
6. Procedures for the valuation of OTC
derivatives
Procedures for the valuation of over-the-counter
(OTC) derivatives
3. Risk management activities performed by
third parties
Risk management activities performed by third
parties
7. Supervision
Supervision
4. Measurement and management of risks
Risk measurement and management
CHAPTER II
REQUIREMENTS CONCERNING RISK MEASUREMENT METHODS
8. Risk Measurement and Global Exposure
Global Exposure
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Commitment Approach
Value at Risk and advanced risk measurement methodologies
Counterparty Risk/Issuer Concentration
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ДОДАТКОВО
UCITS IV – Rules of Conduct and the Challenges Facing Management Companies and SelfManaged Investment Companies
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