natgillin/translations-raw huggingface dataset:
I lyset af disse krav vil det være hensigtsmæssigt at skabe klarhed om beregningsmetoden for modpartsrisikoen i forbindelse med finansielle derivatinstrumenter og dens forbindelse med de metoder og kriterier, der er fastsat i Europa-Parlamentets og Rådets direktiv 2000/12/EF af 20. marts 2000 om adgang til at optage og udøve virksomhed som kreditinstitut [5].
In view of these requirements it is desirable to clarify the method of calculating the counterparty risk associated with financial derivative instruments and the way in which it relates to the methods and criteria provided for in Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions [5].
I henhold til artikel 21, stk. 3, tredje led, i direktiv 85/611/EØF skal eksponeringen ved det underliggende finansielle derivatinstrument indgå i beregningen af udsteders investeringsgrænser ifølge direktivets artikel 22.
Pursuant to the third subparagraph of Article 21(3) of Directive 85/611/EEC, the exposure to the underlying of the financial derivative instrument has to be included into the calculation of the issuer concentration limits laid down in Article 22 of that Directive.
Ifølge samme bestemmelse kan medlemsstaterne tillade, at et investeringsinstitut investerer i indeksbaserede derivater, uden at disse investeringer skal indgå i de investeringsgrænser, der er fastsat i artikel 22.
According to that same provision, Member States may allow that, when a UCITS invests in index-based derivatives, these investments do not have to be combined to the issuer concentration limits laid down in Article 22.
Det vil derfor være hensigtsmæssigt at anbefale standarder for anvendelsen af udsteders investeringsgrænser, for så vidt angår finansielle derivatinstrumenter.
It is therefore appropriate to recommend standards for the application of issuer concentration limits with regard to financial derivative instruments.
Udækkede salg omfatter alle transaktioner, hvor investeringsinstituttet udsættes for den risiko, at det skal købe værdipapirer til en højere kurs, end værdipapirerne leveres til, og risikoen for, at det ikke kan levere det underliggende finansielle instrument, når transaktionen skal afsluttes.
Uncovered sales are all transactions in which the UCITS is exposed to the risk of having to buy securities at a higher price than the price at which the securities are delivered and thus making a loss and the risk of not being able to deliver the underlying financial instrument for settlement at the time of the maturity of the transaction.
Disse risici er altid relevante for transaktioner, hvor investeringsinstituttet tvinges til at købe værdipapirer på markedet for at kunne opfylde sine forpligtelser.
These risks are always relevant for those operations in which the UCITS is forced to buy securities in the market to meet its obligations.
I sådanne tilfælde udsættes investeringsinstituttet for den risiko, at det ikke eller kun delvist kan opfylde sine forpligtelser i henhold til betingelserne for en finansiel derivattransaktion.
In those cases the UCITS is exposed to the risk that it cannot meet all or a part of its commitments under the terms of a financial derivatives operation.
I artikel 42 i direktiv 85/611/EØF forbydes udækkede salg således generelt med henblik på at undgå, at investeringsinstitutter lider svære tab. I en transaktion, hvori der indgår finansielle derivatinstrumenter med samme profil som et udækket salg, har de risici, der typisk forbindes med udækkede salg, imidlertid ikke altid samme relevans.
Article 42 of Directive 85/611/EEC therefore generally prohibits the execution of uncovered sales in order to avoid heavy losses for UCITS. However, in the context of an operation with financial derivative instruments having the financial profile of an uncovered sale, the risks typically associated with uncovered sales may not always have the same relevance.
Det er derfor hensigtsmæssigt at skabe klarhed om udækkede salg i forbindelse med finansielle derivatinstrumenter og anbefale kriterier, der skal gælde for dækning af derivattransaktioner med henblik på at lette overholdelsen af artikel 42.
It is therefore appropriate to clarify the concept of uncovered sales with regard to financial derivative instruments and to recommend criteria applicable to the cover of a derivatives transaction in order to facilitate compliance with Article 42.
Denne henstilling er første skridt mod en ensartet opfattelse af metoderne til risikovurdering i forbindelse med investeringsinstitutter.
This Recommendation is a first step towards a uniform understanding of risk measurement methodologies in the UCITS area.
Imidlertid er metoderne til risikovurdering i stadig udvikling.
However, risk-measurement methodologies are submitted to a permanent progress.
Der kan derfor være behov for yderligere initiativer, når der skal tages hensyn til yderligere udvikling som f.eks. Basel-kapitalaftalen (Basel II) og det kommende EF-direktiv om kapitalkrav til banker og investeringsfirmaer, der står i forbindelse hermed.
Further steps may therefore be necessary taking into account further developments such as the Basel Capital Accord (Basel II) and the future corresponding Community Directive on capital requirements for banks and investment firms.
Denne henstilling indeholder grundlæggende elementer, der bør overvejes af medlemsstaterne, når de gennemfører direktiv 85/611/EF som ændret.
This Recommendation provides some basic elements which should be taken into consideration by Member States for their implementation of Directive 85/611/EEC as amended by Directive 2001/108/EC.
Det bør bemærkes, at det ikke er formålet med denne henstilling at udstikke udtømmende retningslinjer om brugen af finansielle derivatinstrumenter for investeringsinstitutter, men derimod at skitsere en række principper, der kan betragtes som et nødvendigt udgangspunkt for en fælles risikovurderingsmetode for investeringsinstitutter,
It should be noted that this Recommendation is not intended to provide exhaustive guidelines on the use of financial derivative instruments for UCITS but to outline some principles which can be considered as an essential basis of a common risk-measurement approach for UCITS,
HENSTILLER:
HEREBY RECOMMENDS:
Ved gennemførelsen af direktiv 85/611/EØF bør medlemsstaterne anvende følgende:
In the framework of implementing Directive 85/611/EEC Member States should apply the following:
Risikostyringssystemer, der er tilpasset investeringsinstitutternes relevante risikoprofil
Risk-measurement systems adapted to the relevant risk-profile of the UCITS
Ved anvendelse af artikel 21, stk. 1, i direktiv 85/611/EØF henstilles det til medlemsstaterne at sikre, at administrations- eller investeringsselskaber anvender risikovurderingssystemer, der er tilpasset et investeringsinstituts risikoprofil, således at de giver et nøjagtigt billede af alle væsentlige risici i forbindelse med det investeringsinstitut, der overvåges af de kompetente myndigheder.
In applying Article 21(1) of Directive 85/611/EEC, Member States are recommended to ensure that management or investment companies employ risk measurement systems which are adapted to the relevant risk-profile of a UCITS in order to make sure that they accurately measure all material risks related to the UCITS under the supervision of the competent authorities.
Harmoniseret fortolkning af begrænsningerne i investeringsinstitutternes risikoeksponering
A harmonised interpretation of limitations to the UCITS' risk- exposure
Begrænsning i et investeringsinstituts samlede eksponering i derivater og den generelle risikoeksponering
Limitation to a UCITS' global exposure on derivatives and overall risk exposure
Det henstilles, at medlemsstaterne sikrer, at den samlede eksponering i derivater ikke overstiger 100 % af investeringsinstituttets nettoaktivværdi (NAV), og at investeringsinstituttets samlede risikoeksponering ikke permanent overstiger 200 % af NAV.
Member States are recommended to ensure that the global exposure relating to financial derivative instruments may not exceed 100 % of the UCITS' net asset value (NAV), and hence that the UCITS' overall risk exposure may not exceed 200 % of the NAV on a permanent basis.
Begrænsning i maksimal midlertidig låntagning
Limitation to possible temporary borrowing
Det henstilles til medlemsstaterne at sikre, at investeringsinstituttets samlede risikoeksponering ikke øges med mere end 10 % gennem midlertidig låntagning, således at investeringsinstituttets risikoeksponering under ingen omstændigheder må overstige 210 % af NAV.
Member States are recommended to ensure that the UCITS' overall risk exposure may not be increased by more than 10 % by means of temporary borrowing, so that the UCITS' overall risk exposure may not exceed 210 % of the NAV under any circumstances.
Fælles anvendelse af punkt 3 og 4
Joint application of points 3 and 4
Hvad angår anvendelsen af det samlede eksponeringsloft på 100 % for derivater, henstilles det til medlemsstaterne at sikre, at punkt 3 og 4 overholdes.
For the application of the 100 % global exposure limit relating to derivatives, Member States are recommended to ensure that both points 3 and 4 are respected.
Tilpassede standarder til markedsrisikovurdering
Appropriately calibrated standards to measure market risk
Tilpasning af risikovurderingsmetoder til et investeringsinstituts risikoprofil
Adaptation of risk-measurement methodologies to the risk-profile of a UCITS
I overensstemmelse med det overordnede princip, der nævnes i punkt 1, og som er knæsat i artikel 21, stk. 1, i direktiv 85/611/EØF, henstilles det til medlemsstaterne at give mulighed for en differentieret metodologisk tilgang til de forskellige kategorier af »ikke-sofistikerede« investeringsinstitutter, som generelt har mindre og enklere derivatpositioner bestående af f.eks. et mindre antal almindelige optioner, og »sofistikerede« investeringsinstitutter.
In conformity with the overarching principle mentioned under point 1 and established in Article 21(1) of Directive 85/611/EEC, Member States are recommended to allow a differentiated methodological approach for the respective categories of «non-sophisticated UCITS», which have overall less and simpler derivative positions by using e.g. a few plain vanilla options, and ‘sophisticated UCITS’.
Forskellen på og definitionen af disse kategorier skal uddybes nærmere i overensstemmelse med punkt 3.4.
The distinction between, and exact definition of, these categories requires further work in accordance with point 3.4.
Indtil dette arbejde er færdigt, bør medlemsstaterne gradvis indføre en mere tilpasset metode til at vurdere markedsrisikoen i overensstemmelse med punkt 3.2 og 3.3.
Pending completion of such work, Member States should move towards a more calibrated approach for measuring market risk in accordance with points 3.2 and 3.3.
Ikke-sofistikerede investeringsinstitutter
Non-sophisticated UCITS
Brug af eksponeringsmetoden
Use of the commitment approach
Det henstilles til medlemsstaterne at bede deres kompetente myndigheder sikre, at markedsrisikoen i forbindelse med ikke-sofistikerede investeringsinstitutter vurderes ordentligt ved brug af eksponeringsmetoden, hvorved et investeringsinstituts derivatpositioner omregnes til en tilsvarende position i de underliggende aktiver for disse derivater.
Member States are recommended to request their competent authorities to ensure that, in the case of non-sophisticated UCITS, they are satisfied that market risk is adequately assessed by using the commitment approach, whereby the derivative positions of a UCITS are converted into the equivalent position in the underlying assets embedded in those derivatives.
Ved anvendelse af eksponeringsmetoden bør medlemsstaternes kompetente myndigheder også tage højde for kriterier som investeringsinstituttets samlede eksponering som følge af anvendelse af finansielle derivatinstrumenter, karakter, formål, antal og hyppighed af de kontrakter, som investeringsinstituttet har indgået, og de anvendte administrationsteknikker.
For the application of the commitment approach, Member States' competent authorities should also take into account criteria such as the UCITS' overall exposure deriving from the employment of financial derivative instruments, the nature, aim, number and frequency of the contracts entered into by the UCITS and the management techniques adopted.
Teknisk præcision
Technical precisions
Hvad angår optioner, henstilles det til medlemsstaterne at tillade brug af deltametoden, som afspejler optionsprisens følsomhed over for marginale ændringer i kursen på de underliggende finansielle instrumenter.
In the case of options, Member States are recommended to allow the application of the delta approach, which is derived from the sensitivity of the change in the option's price to marginal changes in the price of the underlying financial instruments.
Konverteringen af terminskontrakter, futures og swapoptioner bør afhænge af de underliggende kontrakters nøjagtige karakter.
The conversion of forwards, futures and swaps positions should depend on the precise nature of the underlying contracts.
Ved almindelige kontrakter vil kontrakternes markedsværdi for det meste være relevant.
In the case of simple contracts, the marked-to-market value of the contracts will usually be relevant.
Opfordring til at overveje yderligere sikkerhedsforanstaltninger
Invitation to consider further additional safeguards
Medlemsstaterne skal overveje, om der er behov for yderligere sikkerhedsforanstaltninger ved brug af eksponeringsmetoden, for eksempel et passende loft over den samlede eksponering i finansielle derivatinstrumenter under 100 % af NAV for ikke-sofistikerede investeringsinstitutter.
Member States are required to consider whether additional safeguards are requested in the context of the use of the commitment approach, such as an appropriate cap to the global exposure relating to financial derivative instruments below 100 % of NAV for non-sophisticated UCITS.
Sofistikerede investeringsinstitutter
Sophisticated UCITS
Standardbrug af »value at risk-metoden« (VaR) med »stress test«
Standard use of value-at-risk (VaR) approach with stress tests
Ved sofistikerede investeringsinstitutter henstilles det til medlemsstaterne at kræve, at administrations- eller investeringsselskaber jævnligt anvender VaR-metoder.
In the case of ‘sophisticated UCITS’, Member States are recommended to require management or investment companies to apply regularly VaR approaches.
Ved brug af VaR-metoder vurderes det højeste potentielle tab, som et investeringsinstituts portefølje kan oppebære inden for en bestemt tidshorisont og med en vis grad af sikkerhed.
In the VaR-approaches, the maximum potential loss that a UCITS portfolio could suffer within a certain time horizon and a certain degree of confidence is estimated.
Det henstilles til medlemsstaterne at kræve, at administrations- eller investeringsselskaberne også anvender stress tests med henblik på at understøtte styringen af risici i forbindelse med eventuelle unormale markedsbevægelser.
Member States are recommended to require management or investment companies also to apply stress tests in order to help manage risks related to possible abnormal market movements.
Under en stress test måles, hvordan ekstreme finansielle eller økonomiske begivenheder påvirker porteføljeværdien på et givet tidspunkt.
Stress tests measure how extreme financial or economic events affect the value of the portfolio at a specific point of time.
Opfordring til at udvikle fælles referencestandarder som et yderligere initiativ
Invitation to develop common reference standards as a further step
Ved anvendelse af VaR-metoder henstilles det til medlemsstaterne at kræve, at der anvendes hensigtsmæssige standarder i overensstemmelse med punkt 3.1.
For the application of VaR-approaches, Member States are recommended to require the use of appropriate standards in conformity with point 3.1.
Med dette formål for øje bør medlemsstaterne overveje følgende parametre som mulige referencepunkter: Et konfidensinterval på 99 %, en ihændehaverperiode på én måned og den seneste tids volatilitet, dvs. højst ét år fra beregningsdatoen med forbehold for yderligere tests, som de kompetente myndigheder måtte udføre.
For this purpose, Member States should consider, as a possible reference the following parameters: a 99 % confidence interval, a holding period of one month and 'recent' volatilities, i.e. no more than one year from the calculation date without prejudice to further testing by the competent authorities.
Når der som følge af medlemsstaternes arbejde er udviklet fælles standarder i overensstemmelse med punkt 3.4, bør medlemsstaterne kun tillade administrations- eller investeringsselskaber at afvige fra disse standarder i enkelttilfælde, såfremt de kompetente myndigheder gennemfører en passende undersøgelse i overensstemmelse med bestemmelserne i punkt 3.3.3.
Once common standards have been developed by further work undertaken by Member States in accordance with point 3.4, Member States should allow management or investment companies to deviate from these standards only on a case-by-case basis, subject to the appropriate examination of the competent authorities in accordance with what is provided for in point 3.3.3.
Interne risikovurderingsmodeller
Internal risk-measurement models
Det henstilles, at medlemsstaterne kun godkender de interne risikovurderingsmodeller, der foreslås af et administrations- eller investeringsselskab, som er underlagt passende sikkerhedsforanstaltninger, herunder de foranstaltninger, der er nævnt i denne henstilling.
Member States are recommended to accept only those internal risk-measurement models proposed by a management or investment company which are subject to appropriate safeguards, including those set out in this recommendation.
Modellerne bør undersøges forsvarligt af de kompetente myndigheder.
The models concerned should be subject to appropriate examination by the competent national authorities.
Det henstilles tillige, at medlemsstaterne offentliggør en liste over de modeller, som anerkendes af de kompetente nationale myndigheder og offentliggør dem på passende vis.
Member States are also recommended to disclose a list of models recognised by the competent national authorities, and make them publicly available by appropriate means.
Henstilling om yderligere arbejde
Recommendation to carry out further work
I lyset af at disse risikovurderingsmetoder kræver yderligere tilpasning, henstilles det til medlemsstaterne at tilskynde deres kompetente myndigheder til at udføre yderligere arbejde med henblik på at skabe mere avancerede og udførlige metoder til risikovurdering og dermed udvikle en ensartet metode på EU-plan.
Considering that these risk-measurement methodologies need further refinement, Member States are recommended to encourage their competent authorities to undertake further work with a view to elaborating more advanced and elaborated methods of risk-measurement and thus develop a convergent Community-wide approach.
Det gælder nærmere betegnet:
This concerns in particular:
kriterierne til definition af sofistikerede og ikke-sofistikerede investeringsinstitutter
the criteria to identify sophisticated and non-sophisticated UCITS;
omregning af finansielle derivatinstrumenter til tilsvarende underliggende aktiver og opgørelse af positioner, der ligger til grund for derivatinstrumenter ved brug af eksponeringsmetoden
the conversion of financial derivative instruments into equivalent underlying assetsand the netting of positions underlying the financial derivative instruments in case ofthe application of the commitment approach;
bedste praksis inden for VaR og stress tests
best practices in the area of VaR and stress tests;
de standarder, som interne modeller skal opfylde, for at investeringsinstitutterne kan bruge dem.
the standards which internal models must meet in order to be used by UCITS.
Tilpassede standarder til gearingsvurdering
Appropriately calibrated standards to assess leverage
I mangel af de avancerede metoder, der er nævnt i punkt 4.2, henstilles det til medlemsstaterne at opfordre til brug af eksponeringsmetoden ved vurdering af et investeringsinstituts gearing i kombination med de VaR-metoder og stress tests, der kræves ved vurdering af sofistikerede investeringsinstitutters markedsrisikoeksponering, jf. punkt 3.3.
In the absence of the advanced methodologies mentioned under point 4.2, Member States are recommended to request the use of the commitment approach to assess a UCITS' leverage, in combination with the VaR-approaches and the stress-tests required for the purpose of measuring market risk exposure of sophisticated UCITS under point 3.3.
Det henstilles ligeledes til medlemsstaterne at lade administrations- eller investeringsselskaber, der anvender eksponeringsmetoden i henhold til punkt 3.2, yderligere benytte eksponeringsmetoden til vurdering af gearing.
Member States are also recommended to allow management or investment companies which use the commitment approach according to point 3.2 to also employ the commitment approach for the assessment of leverage.
Opfordring til at tillade brug af yderligere avancerede metoder
Invitation to allow the use of further advanced methodologies
Såfremt tilsynsmyndighederne er fuldt ud overbevist om, at et givet administrations- eller investeringsselskab allerede har udviklet og testet en passende metode til vurdering af gearingen ved brug af VaR-metoder og stress tests, og såfremt denne metode dokumenteres forsvarligt af administrations- eller investeringsselskabet, bør medlemsstaterne overveje at anerkende den til vurdering af gearingen i sofistikerede investeringsinstitutter i punkt 3.3.
In the case of sophisticated UCITS under point 3.3, provided that the supervisory authorities are fully convinced that a given management or investment company has already developed and tested an appropriate method of assessing leverage by the means of VaR-approaches and stress tests and provided that this method is duly documented by the management or investment company, Member States should consider recognising it for the assessment of leverage.
Derfor henstilles det specifikt til medlemsstaterne at overveje metoder, der bygger på en sammenligningsstandard som VaR/stress test-værdien af en passende referenceportefølje, som opfylder et investeringsinstituts investeringspolitik, eller et passende benchmark.
For this purpose, Member States are specifically recommended to consider approaches relying on a standard of comparison such as the VaR/stress test value of an appropriate reference portfolio which complies with the investment policy of a UCITS or the VaR/stress test value of an adequate benchmark.
Det henstilles til medlemsstaterne at tage højde for, at metoderne til vurdering af et investeringsinstituts gearing kræver yderligere tilpasning, især hvad angår den maksimale VaR/stress test-værdi, der svarer til en samlet eksponering på 200 % af et investeringsinstituts NAV.
Member States are recommended to take into account that the methods for assessing the leverage of a UCITS need further refinement, in particular with respect to the maximum VaR/stress-test value corresponding to a total exposure of 200 % of a UCITS' NAV.
De bør derfor tilskynde deres kompetente nationale myndigheder til at arbejde videre med mere avancerede og sofistikerede modeller til at vurdere gearing med henblik på at udvikle en ensartet metode på EF-plan.
Therefore they should encourage their competent national authorities to undertake further work to develop more advanced and sophisticated methods of assessing leverage aiming at the development of a convergent Community-wide approach.
Anvendelse af passende standarder og anerkendte risikoformindskelsesteknikker for at begrænse modpartsrisikoen
Applying appropriate standards and recognised risk-mitigation techniques to limit counterparty risk
Kriterier for begrænsning af modpartsrisikoeksponeringen ved OTC-derivater
Criteria for the limitation of counterparty risk exposure to OTC derivatives