Directives OPSC
D – 02/2014
French
Occupational Pension
Supervisory Commission (OPSC)
Conditions for investment foundations that, pursuant to Article 26 (3) IFO, exceed the limits per debtor and per company stipulated in Articles 54 and 54a BVV 2
Edition:
Last amendment:
Addressees
01.06.2014
First publication:
Investment foundations and auditors of investment foundations
Contents
1
Purpose
3
2
Investment specifications
3
2.1
Passively managed investment groups .................................................................................... 3
2.2
Actively managed investment groups with debt ........................................................................ 3
2.2.1
Maximum positive deviation versus index weightings .............................................................. 3
2.2.2
Requirement to replicate the benchmark .................................................................................. 3
2.2.3
Additional diversification requirements ..................................................................................... 3
2.2.4
Limit on non-index debtors ........................................................................................................ 4
2.3
Actively managed investment groups with shareholdings ........................................................ 4
2.3.1
Maximum positive deviation versus index weightings .............................................................. 4
2.3.2
Requirement to replicate the benchmark .................................................................................. 4
2.3.3
Additional diversification requirements ..................................................................................... 4
2.3.4
Limit on non-index companies .................................................................................................. 4
3
Provisions concerning transparency
3.1
Names ....................................................................................................................................... 4
3.2
Investment guidelines ............................................................................................................... 5
3.3
Information concerning the reference index ............................................................................. 5
3.4
Disclosure when exceeding of limits ......................................................................................... 5
4
Entry into force
6
5
Comments
7
5.1
On: Chapter 1 (Purpose) ........................................................................................................... 7
5.2
On: Chapter 2.1 (Passively managed investment groups) ....................................................... 7
5.3
On: Chapter 2.2.1 (Maximum positive deviation versus index weightings) .............................. 7
5.4
On: Chapter 2.2.2 and 2.3.2 (Requirement to replicate the benchmark).................................. 7
5.5
On: Chapter 2.2.3 and 2.3.3 (Additional diversification requirements) ..................................... 7
5.6
On: Chapter 2.2.4 (Limit on non-index debtors) ....................................................................... 7
5.7
On: Chapter 3.3 (Information concerning the reference index) ................................................ 8
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The Occupational Pension Supervisory Commission (OPSC),
having regard to Article 64a. (1)a, and (2), of the Swiss Federal Law on Occupational Retirement,
Survivors' and Disability Pension Plans of 25 June 1982 (BVG/LPP; SR 831.40), and Article 26 (3),
Ordinance on Investment Foundations of 22 June 2011 (IFO; SR 831.403.2),
enacts the following directives:
1 Purpose
Investment groups that pursue a strategy based on a standard index – with the exception of mixed
investment groups – may exceed the limits per debtor and per company stipulated in Articles 54 and
54a of the Ordinance on Occupational Retirement, Survivors' and Disability Pension Plans of 18 April
1984 (BVV 2; SR 831.441.1), provided the reference index contains heavily weighted securities. The
present directives of the OPSC stipulate the conditions to be met for the application of Article 26 (3),
IFO (exemption).
Investment groups that do not exceed the limits per debtor and per company stipulated in Articles 54
and 54a BVV2 (general rule) are not subject to the present directives.
2 Investment specifications
2.1 Passively managed investment groups
Passively managed investment groups shall meet the following requirements:
•
•
deviations from the reference index (lower and upper limits) are only minimal;
no additional diversification requirements need be observed
2.2 Actively managed investment groups with debt
2.2.1 Maximum positive deviation versus index weightings
In the case of active management, deviations of +5 percentage points at most are possible
versus the reference index weightings.
In case of a high-grade government agency, a maximum deviation of +50 percentage points
is authorized.
2.2.2 Requirement to replicate the benchmark
The risk structure of the investment group shall always be similar to that of the reference index. The investment foundation defines the corresponding limits in its investment guidelines.
2.2.3 Additional diversification requirements
The investment foundation shall stipulate a minimum number of debtors.
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2.2.4 Limit on non-index debtors
Debt held in debtors not included in the benchmark is limited to a maximum of 10% of the
assets of the investment group. High-grade debtors constitute an exception: they may be
used as substitutes to a level of 100%. Claims against non-benchmark debtors are subject to
the prevailing 10% limit per debtor.
The limit on non-benchmark debtors does not apply to liquidity.
2.3 Actively managed investment groups with shareholdings
2.3.1 Maximum positive deviation versus index weightings
In the case of active management, deviations of +5 percentage points at most are possible
versus the reference index weightings.
2.3.2 Requirement to replicate the benchmark
The risk structure of the investment group shall always be similar to that of the reference index. The investment foundation defines the corresponding limits in its investment guidelines.
2.3.3 Additional diversification requirements
The investment foundation shall stipulate a minimum number of companies.
2.3.4 Limit on non-index companies
The proportion of companies not included in the composition of the reference index is limited
to 10% in the case of active management.
Investments made outside the reference index shall comply with the 5% limit per company.
The limit on non-index companies does not apply to cash.
3 Provisions concerning transparency
3.1 Names
If positions of more than 50% are retained for the long term, they shall be mentioned in the name
of the investment group (US government bonds, for example).
In the case of passively managed investment groups, the name shall refer to the replicated index.
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3.2 Investment guidelines
The investment guidelines state the official name of the reference index and stipulate that the investment strategy is inspired by this index. They refer to the information regarding the reference
index as published on the website or in a separate document. If the investment group is actively
managed, this shall be stated in the guidelines.
If the investment group makes use of the option of exceeding limits pursuant to Article 26 (3),
IFO, the investment guidelines shall state in a transparent manner that the limits per debtor and
per company may be exceeded by way of an exemption from Articles 54 and 54a BVV 2.
If the investment group is passively managed, the investment guidelines must stipulate the method of replicating the chosen reference index as well as the impact of this method on the investment group as far as exposures (in comparison with the reference index) and counterparty risks
are concerned.
If an investment group can be invested in debtors or companies not included in the composition
of the reference index, the investment guidelines shall identify these debtors or companies and
justify their inclusion in the investment group. They shall also indicate the maximum proportion
that investments in debtors or companies not included in the composition of the reference index
may represent.
3.3 Information concerning the reference index
With regard to the reference index, the transparency requirements in terms of directives 05/23
"Key Determining Figures and Other Information to Be Provided by Investment Foundations" shall
apply1. If the limits per debtor and per company stipulated in BVV 2 are exceeded, this shall also
be indicated.
References to other websites and specific information regarding the index published on the website of the investment foundation shall be checked and updated on a regular basis.
3.4 Disclosure when exceeding of limits
If the limits per debtor and per company as well as the actual proportion of debtors and companies not included in the composition of the reference index in the case of actively managed investment groups are exceeded, this shall be disclosed in the annual report and in the intermediate publications specified in Article 35 (4) IFO.
The number of debtors and companies shall also be mentioned in these intermediate publications. In addition, the risk structure of the investment group shall be compared with that of the reference index by means of the selected measurements for risk limits, and the deviations shall be
commented upon.
http://www.oak-bv.admin.ch/fileadmin/dateien/Weisungen/Weisungen_05_2013_chiffrescle_determinants_et_autres_renseignements_francais.pdf
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4 Entry into force
These directives enter into force on 1 June 2014. The transitional period for adapting investment
guidelines for existing investment groups ends on 31 March 2015.
1 June 2014
Occupational Pension
Supervisory Commission (OPSC)
President: Pierre Triponez
Director: Manfred Hüsler
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5 Comments
5.1 On: Chapter 1 (Purpose)
Only investment groups that track an index with heavily weighted securities are affected, in other
words weightings of at least 8% per individual debtor and at least 4% per company.
The OPSC defines the term "standard index" on the basis of the Guidelines on ETFs and other
UCITS issues of the European Securities and Markets Authority (ESMA/2012/832EN) 2, which
makes the following stipulation in chapter 52: "An index should not be considered as being an
adequate benchmark of a market if it has been created and calculated on the request of one, or a
very limited number of, market participants and according to the specifications of those market
participants."
5.2 On: Chapter 2.1 (Passively managed investment groups)
For passively managed investment groups, the usual proven methods are authorized e.g. full replication or stratified sampling. The chosen method must ensure that the differences in the investment group's return versus the reference index remain minimal.
5.3 On: Chapter 2.2.1 (Maximum positive deviation versus index weightings)
Debt within the meaning of Article 54 (2) BVV 2 (debt issued by the Swiss Confederation or the
Swiss Central Mortgage Bond Institution, etc.) is unlimited.
5.4 On: Chapter 2.2.2 and 2.3.2 (Requirement to replicate the benchmark)
The ordinance refers to an "index-based strategy". This guideline shall be reflected in the risk
structure. The limits which the investment foundation must set shall ensure that the investment
group remains similar, in terms of dimensions and risks, to the risk structure of the reference index. The choice of these dimensions depends on the type of investment group.
5.5 On: Chapter 2.2.3 and 2.3.3 (Additional diversification requirements)
As the minimum number of debtors or companies is highly dependent on the chosen investment
group and reference index, a general stipulation cannot be made: therefore, the present directives do not stipulate a specific minimum number. The minimum number chosen by the investment group shall be stipulated in the investment guidelines.
5.6 On: Chapter 2.2.4 (Limit on non-index debtors)
The limit relates solely to debtors, not to individual issues. It is therefore possible for issues of a
debtor included in the composition of the reference index to be replaced by other issues of the
same debtor.
Exposure via derivatives is valued in an economic manner; this means that a synthetic construction is possible, but that it is taken into account in the share of the corresponding debtor.
2
http://www.esma.europa.eu/system/files/esma_fr_0.pdf
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Thanks to the exemption granted, an investment group that uses a reference index comprising
government bonds, for example, is entitled to replace the government bonds with bonds from supranational issuers or other public-law corporations with a good credit rating.
5.7 On: Chapter 3.3 (Information concerning the reference index)
If the limits per debtor and per company laid down in the BVV 2 are exceeded, the investor shall
be informed in a transparent manner about the reference index and in particular about the
weighting of the various securities. The reference index shall be described in more precise detail
on the investment foundation's website or in a separate document. Where a composite index is
involved, all indices constituting the index shall be presented in a transparent manner. The
weighting of each index in the composite index shall also be stated.
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