Regulatory Alerts2016-04-25 | DOF 5434351Added
General Provisions on Financial Matters for Retirement Savings Systems
The National Commission for the Retirement Savings System establishes general financial provisions governing the investment portfolio management of Investment Companies operated by Retirement Fund Administrators. The document defines key terms and mandates specific governance structures, including Risk and Investment Committees, a Chief Risk Officer unit, and a Regulatory Comptroller. It prescribes detailed procedures for risk management, investment processes, price provisioning, asset valuation, and the use of derivatives and structured instruments. Additionally, it outlines corporate governance practices, market access mechanisms, and portfolio recomposition protocols for non-compliance scenarios.

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DOF: 25/04/2016
GENERAL PROVISIONS on financial matters of the Retirement Savings Systems
At the margin, a seal with the National Coat of Arms, which says: United Mexican States.- Ministry of Finance and Public Credit.- National Commission for the Retirement Savings System.
GENERAL PROVISIONS ON FINANCIAL MATTERS OF THE
RETIREMENT SAVINGS SYSTEMS
The President of the National Commission for the Retirement Savings System, based on
articles 1, 2, 5 fractions I, II, III, VI, VI bis, VII, XIII bis, and XVI; 12 fractions I, VI, VIII and XVI; 18, 25, 29,
30, 36, 39, 42, 42 bis, 43, 44, 44 bis, 45, 46, 47, 47 bis, 48, 64, 64 bis, 67, 68, 69, 70, 89, 90 fractions II, IV,
V, VI, VII, IX, XII and XIII, 100 bis, 100 ter and 100 quáter of the Law of the Retirement Savings Systems; 106
of the Law of the Institute for Social Security and Services for State Workers; 1, 2, 14, 17, 18,
19, 20, 21, 22, 23, 24, 25, 33 clause A fraction VIII and clause B, 139, 140, 141, 154 and 155 of the Regulation of the
Law of the Retirement Savings Systems and 1, 2 fraction III, and 8 first paragraph of the Internal Regulation of
the National Commission for the Retirement Savings System, has deemed it appropriate to issue the following
GENERAL PROVISIONS ON FINANCIAL MATTERS OF THE
RETIREMENT SAVINGS SYSTEMS
INDEX
TITLE I.
GENERAL PROVISIONS
Sole Chapter.
Definitions
TITLE II.
ON THE FINANCIAL RISK MANAGEMENT OF THE INVESTMENT COMPANY
Chapter I.
On the Financial Risk Committee
Chapter II.
On the Integrated Risk Management Unit
Chapter III.
On the Manual of Policies and Procedures for Financial Risk Management
TITLE III.
PROVISIONS ON INVESTMENTS
Chapter I.
On the Investment Committees
Chapter II.
On the Head of the Investment Area
Chapter III.
On the Investment Manual
Chapter IV.
On the Investment Process
Chapter V.
On the Stress Testing of Investment Portfolios
TITLE IV.
ON SOUND PRACTICES
Chapter I.
On Corporate Rights
Chapter II.
On Good Practices
Chapter III.
On Practices to Avoid Conflicts of Interest
Chapter IV.
On the Certification of Officials
Chapter V.
On Independent Directors
TITLE V.
ON PRICE PROVIDING AND VALUATION OF INVESTMENT ASSETS
Chapter I.
On Price Providing for the Valuation of Investment Assets
Section I.
On Price Providing for the Valuation of Assets Managed by the Investment Company
Section II.
On Price Providing for the Valuation of Assets Managed by Trustees
Section III.
On Price Providing for the Valuation of Investment Assets
Section IV.
On the Hiring of the Price Provider
Chapter II.
On the Valuation of Investment Assets
Section I.
On Contingent Valuation Procedures for Investment Assets that are part of the
Asset Managed by the Investment Company
Section II.
On Contingent Valuation Procedures for Investment Assets that are part of the
Asset Managed by the Trustee
Section III.
On the Hiring of Valuation Companies
Section IV.
On the Valuation of Shares Representing the Paid-up Capital of Investment Companies
TITLE VI.
ON ACCESS TO INTERNATIONAL MARKETS
Chapter I.
On Mechanisms for Access to International Markets
Chapter II.
On Vehicles
TITLE VII.
ON THE CUSTODIAN
Chapter I.
On the Hiring of the Custodian
Chapter II.
On the Contract Requirements
TITLE VIII.
ON DERIVATIVES OPERATIONS
TITLE IX.
ON OPERATIONS WITH STRUCTURES LINKED TO UNDERLYING ASSETS
TITLE X.
ON OPERATIONS WITH STRUCTURED INSTRUMENTS, FIBRAS AND BURSÁTILES CERTIFICATES LINKED TO REAL PROJECTS
TITLE XI.
ON NON-COMPLIANCE WITH THE INVESTMENT REGIME AND THESE PROVISIONS
TITLE XII.
ON PORTFOLIO RECOMPOSITION OF SPECIALIZED INVESTMENT COMPANIES FOR
RETIREMENT FUNDS
Chapter I.
On the Portfolio Recomposition Procedure
Section I.
On Rating Downgrades
Section II.
On Variations in the Prices of Investment Assets that make up the Asset Managed
by the Investment Company and on the violation of investment limits in Equity Components
for causes not attributable to the Investment Company
Section III.
On Portfolio Recomposition for failing to meet the limits established in the Investment Regime
Authorized by acquisition or sale of Investment Assets and for the violation of investment limits
that make up the Total Asset of the Investment Company in Equity Components for causes
attributable to the Investment Company
Section IV.
On Portfolio Recomposition for exceeding the limit of the Conditional Value at Risk Differential,
Liquidity Coefficient or Value at Risk
TITLE XIII.
ON INFORMATION PROSPECTUSES, EXPLANATORY BOOKLETS AND THEIR UPDATE
TITLE XIV.
ON THE CHOICE OF INVESTMENT OF RESOURCES FROM THE RETIREMENT INSURANCE
SUBACCOUNT, RETIREMENT SAVINGS SUBACCOUNT AND VOLUNTARY SAVINGS
TITLE XV.
ON REGULATORY COMPTROLLERSHIP
Chapter I.
General Provisions
Chapter II.
On the Function Plan
Chapter III.
On the Monthly Report to the Commission
Chapter IV.
On the Observation Function of the Regulatory Comptroller
Chapter V.
On the Report to the Governing Body
Chapter VI.
On the Training of the Regulatory Comptroller
Chapter VII.
On the Presentation and Follow-up of Correction Programs by Administrators
TITLE XVI.
FINAL PROVISIONS
ANNEX "A".
Fixed scenarios that count towards the Conditional Value at Risk Differential
ANNEX "B".
On Structured Instruments, FIBRAS and Bursátil Certificates Linked to Real Projects
Chapter I
Elements that must be foreseen in the policies defined by the Investment Committees to make investments
in Structured Instruments, FIBRAS and Bursátil Certificates Linked to Real Projects
Chapter II
Elements that must be contained in the selection questionnaires for Structured Instruments, FIBRAS and
Bursátil Certificates Linked to Real Projects
ANNEX "C".
Minimum elements that must be included in the analysis of companies
ANNEX "D".
Currency Classification
ANNEX "E".
Methodology to calculate the Market Value of Currency positions
ANNEX "F".
Methodology to verify compliance with limits regarding Foreign Securities
ANNEX "G".
Methodology to calculate the market value of operations that must be considered within the
limits of Issuers or Counterparties
ANNEX "H".
Methodology to calculate the exposure of the Investment Company to Investment Assets denominated in Investment Units (UDI) or whose interests guarantee a yield equal to or greater than the
UDI or the National Consumer Price Index
ANNEX "I".
Methodology to calculate exposure to Commodities
ANNEX "J".
On the certification of Officials with activities in the management of resources of Investment Companies
ANNEX "K".
Disclosure of reference portfolios and the deviation policy with the investment portfolio
ANNEX "L".
Requirements that the Automated Integrated System for the acquisition, alienation, and online
registration of Investment Assets of the Automated Integrated System must meet
ANNEX "M".
On Derivatives on Derivatives Operations
ANNEX "N".
Methodology to calculate the Liquidity Coefficient
ANNEX "O".
Valuation criteria that will be used to determine the amount of the write-down of assets with which
the Investment Regime is not complied with
ANNEX "P".
Model of Information Prospectus
ANNEX "Q".
Model of Explanatory Booklet
ANNEX "R".
Criteria that Securitized Instruments must meet to be considered as issued by an independent issuer
ANNEX "S".
Guidelines applicable to independent experts dedicated to evaluating and certifying Debt Vehicles,
Equity Components, Real Estate Investment Vehicles and FIBRAS, Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments and
Debt Indices of Eligible Countries for Investments
ANNEX "T".
Methodology to verify compliance with limits regarding Structured Instruments
ANNEX "U".
Methodology to calculate the maximum investment limits for the set of Investment Companies
operated by the same Administrator, in Structured Instruments
GENERAL PROVISIONS ON FINANCIAL MATTERS OF THE
RETIREMENT SAVINGS SYSTEMS
TITLE I
GENERAL PROVISIONS
SOLE CHAPTER
DEFINITIONS
Article 1.- These Provisions aim to regulate the comprehensive management aspects of the
investment portfolios of Investment Companies, to which Administrators and the
Investment Companies they operate must adhere.
Article 2.- For the purposes of these General Provisions, in addition to the
definitions set forth in the Law of the Retirement Savings Systems, its Regulation, as well as the
General Provisions establishing the investment regime to which Investment Companies must adhere, the General Provisions establishing the patrimonial regime to which
Retirement Fund Administrators, Pensionissste and Investment Companies and the
Special Reserve must adhere, the General Provisions establishing the procedure for the construction
of net performance indicators of Investment Companies, the General Provisions
on the registration of accounting, preparation and presentation of financial statements to which Investment Companies must adhere, and the Prudential Rules on risk management
issued by the Commission, the following shall be understood:
I.
Detailed Minutes, the minutes of the sessions of collegiate bodies that are accompanied
by the supporting documentation of the session, which contains the comments made in each one
of the sessions referred to the agreements taken, the explicit agreements for each topic
submitted for consideration and the meaning of the votes of each of the members, as well as,
the attendance list signed by all and each of the members and guests present at the
corresponding session;
II.
Financial Risk Management, the set of methodologies, models, objectives, policies,
procedures and actions that are implemented to identify, measure, monitor, limit,
control, inform and reveal the different types of Financial Risks to which Investment Companies are exposed;
III.
Early Warning, the measure aimed at giving prior notice that the limits established
in the regulation or the Prudential Limits of Investment Companies are exceeded;
IV.
Derivatives Exchange, legal entities whose object is to provide the facilities and
other services so that Derivatives are quoted and negotiated, supervised by authorities
belonging to the Eligible Countries for Investments;
V.
Basket of Indices, the set of stock indices, or sub-indices derived from them, of
Eligible Countries for Investments, prepared based on one or more of the stock
indices provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere;
VI.
Category, each of the investment limits linked to the credit rating issued by
some securities rating agency applicable to Debt Instruments, Foreign Debt Securities or Counterparties, determined in the General Provisions establishing the investment regime to which Investment Companies must adhere;
VII.
Asset Class, Debt Instruments, Foreign Debt Securities, Equity Instruments,
Foreign Equity Securities, Commodities, Structured Instruments,
FIBRAS, Real Estate Investment Vehicles, and Pure Currency Positions, authorized in accordance with what is provided in the General Provisions establishing the investment regime to which Investment Companies must adhere, which may attend to the disaggregation defined by the Investment Committee based on the classification provided in
this fraction;
VIII.
Liquidity Coefficient, the value of the provision for exposure to Derivatives with respect to
high-quality assets, provided for in these Provisions to mitigate the liquidity requirements
caused by Derivatives positions. Annex N contains the methodology and the
definitions of the variables used to calculate the Liquidity Coefficient;
IX.
Independent Director, those referred to in article 29 of the Law;
X.
Board of Directors, provided for in articles 20, fraction III and 29 of the Law;
XI.
Regulatory Comptroller, provided for, for Administrators, in article 30 of the Law and its
equivalent for Operating Companies, in their concession title;
XII.
Brokerage Costs, income other than Advisory Costs received by:
a)
Financial Intermediaries, as well as clearing houses and Counterparties,
directly as a result of their intermediation labor in the securities market or in
Derivatives Exchanges, and
b)
Providers of the trading platforms for Investment Assets
used by Investment Companies, which are linked to each operation
concluded;
XIII.
Advisory Costs, charges, commissions or any other type of expenditure that is
generated by reason of advisory, administration, management, handling, maintenance or any
other analogous, whatever the name assigned to it, that are charged directly or
indirectly by Financial Service Providers or Independent Service Providers. Also included within these costs are charges, commissions or any type of expenditure derived from the acquisition by Investment Companies of Investment Assets, Vehicles, Real Estate Investment Vehicles, as well as the acquisition or structuring of Structures Linked to
Underlying Assets, which are not backed by concluded operations and are different from Brokerage Costs;
XIV.
Coupon, the accessory credit title attached to a Debt Instrument or Foreign
Debt Security;
XV.
Permitted Deviation, the observed difference between the weight assigned to a share that
makes up an index or Basket of Indices and the weight assigned to that same share in an
Equity Component, which in accordance with the General Provisions establishing the investment regime to which Investment Companies must adhere
reproduces said index or Basket of Indices;
XVI.
Valuation Day, the date on which the price of the share of the Investment
Company will be in effect;
XVII.
Exercise of Patrimonial Rights, the payment of dividends in cash or in shares, the
subscriptions, swaps or other analogous to the foregoing to which investors holders of the titles linked to the corresponding Equity Instrument or Foreign Equity Instrument have the right;
XVIII.
Investment Strategy, the policies defined by the Investment Committee of each Investment Company operated by the Administrator, regarding the purchase or sale of Investment Assets
and the aggregate composition of the investment portfolio, in accordance with the prudential framework
on risk management defined and approved by the Financial Risk Committee
of the Investment Company, in accordance with these Provisions, the
General Provisions establishing the investment regime to which Investment Companies must adhere and the Prudential Rules on risk management.
The definition of the Investment Strategy must be consistent with the definition of the reference portfolio of the Investment Company and must contemplate the maximum deviation that is allowed between the investment portfolio and the reference portfolio;
XIX.
Risk Factors, interest rates, Currencies, volatilities and other variables that are
used in the determination of the prices of Investment Assets;
XX.
Official, any natural person who holds a job, position or commission in the
Administrators, in the Investment Companies or both, excepting: the Independent
Directors, the proprietary members of the Investment Committee and the Financial Risk Committee, in terms of what is provided for in these Provisions, as well as auxiliaries, and
others that are linked to administrative matters;
XXI.
Monthly Report, the report that the Regulatory Comptroller of the Administrators must present
to the Commission, in accordance with what is provided for in article 30, fraction IV of the Law;
XXII.
Financial Intermediaries, Credit Institutions, Financial Entities and other
legal entities authorized to issue or operate Investment Assets, as well as to
act as Counterparties, that are subject to the regulation and supervision of government agencies of the Eligible Countries for Investments;
XXIII.
Securitized Instruments, titles or securities that represent credit rights, receivables or
cash flows issued through Vehicles and whose underlying assets are said
credit rights, receivables or cash flows, which represent a payment commitment of
Coupons, principal or both for the issuer of the instrument and that have the credit
ratings provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere.
For the case of Securitized Instruments of mortgage credits, the levels of underwriting, retained capital, the subordinated series and the financial guarantee that are determined by the Risk Analysis Committee, to which articles 43 fourth paragraph and 45 of the Law refer.
The instruments referred to in this fraction will be considered as issued
by an independent issuer when they comply with what is provided for in Annex R of these
Provisions.
Structured Instruments are not included within this definition;
XXIV.
Generic Instrument, the market reference that in accordance with its characteristics
can be used to approximate, the valuation, the yield, the volatility or some Risk Factor, of an Investment Asset;
XXV.
Prudential Limit, the limits defined by the Financial Risk Committee or by the Investment
Committee complementary to the regulatory ones;
XXVI.
Investment Manual, the document with the rules that each Administrator prepares to
document the Investment Strategy, as well as investment policies authorized by the
Investment Committees, in compliance with the responsibilities provided for in these
Provisions for said Investment Committees;
XXVII.
Manual of Policies and Procedures for Financial Risk Management, the document
with the rules that each Administrator prepares to document Financial Risk Management;
XXVIII.
Governing Body, the Board of Directors of the Administrators, of the Investment
Companies, as well as the equivalent body of public institutions that perform
similar functions;
XXIX.
Over-the-Counter Operation, the purchase or sale operation of an Investment Asset
whose execution price is less favorable for the Investment Company than those
firm market prices that are available and documented when carrying out said transaction;
XXX.
Forward Operations, operations in which it is agreed that the obligations of the
parties will be fulfilled in a period greater than four business banking days counted from
the date of their conclusion. Regarding operations on government securities and
bank titles indicated in Circular 3/2012 containing the Provisions applicable to the operations of Credit Institutions and the National Financial Institution for Agricultural, Rural, Forestry and Fisheries Development, as well as their respective modifications issued by
the Bank of Mexico, as well as those in which it is agreed that the delivery of these and their
countervalue or, if applicable, the delivery by differences, will be fulfilled in a period greater than four
business banking days counted from their date of conclusion. Operations with a settlement period of three business days, counted from
the date of their conclusion, that are carried out with the following Investment Assets will not be considered within
this definition:
Listed Shares, Vehicles and Real Estate Investment Vehicles listed in organized markets of the Eligible Countries for Investments and the primary offerings of Bursátil Certificates that so provide in their placement prospectus, placed in the local market or in markets of the Eligible Countries for Investments. Also excluded from this definition are operations that the Bank of Mexico indicates in its Rules regarding operations with
Derivatives;
XXXI.
Option Operation, the operation by virtue of which one of the parties, designated as
option buyer, by paying a premium acquires the right to buy (in the
case of an option known in practice and in the English language as "Call") or sell (in the
case of an option known in practice and in the English language as "Put") underlying
assets authorized to its Counterparty, the latter designated as option seller, which is exercisable
on an "Exercise Date" and at the "Exercise Price" previously agreed. The payment of the premium
may also give the right to receive a sum of money or the underlying objects of the
operation previously determined subject to the conditions that have been determined by the negotiating parties. "Exercise Date" shall be understood as the day or days on which the buyer of
the option is authorized to exercise his right. The "Exercise Date" may be a
specific date or a series of consecutive or separate business days. Likewise, "Exercise Price" shall mean the price at which the buyer of the option may exercise the agreed right, which may be zero;
XXXII.
Swap Operation, the contract by which negotiating parties commit to exchange cash flows on future dates anticipated at the time of concluding the operation;
XXXIII.
Operator, the Officials assigned to the investment area of the Administrator who operate the Investment Company and are in charge of executing the Investment Strategy;
XXXIV.
Block Trade Orders, those executed by the Investment Company with a Financial Intermediary, in compliance with the execution practices foreseen in these Provisions and in accordance with the applicable regulations for securities markets or Derivatives Exchanges to carry out these investments, whose purpose is to formalize the operation on a trading platform. These operations are known in English as "block trade" and may be executed off the listed market in accordance with best execution practices;
XXXV.
Dark Pool Orders, those executed by the Investment Company through trading platforms known in English as "dark pool," in which the Financial Intermediaries or certain characteristics of the orders, such as price or amount, are not known;
XXXVI.
Parameter, the representation of a variable or Risk Factor used in some operational risk management model, Financial Risk Management model, or valuation model used by the Administrator;
XXXVII.
Functions Plan, that provided for in article 30, fourth paragraph of the Law and in article 154 of the Regulations, which contains the evaluation activities and measures to preserve the compliance of the Administrator's Self-Regulation Program;
XXXVIII.
Pure Currency Position, the currency position that does not derive from the investment in any Investment Asset denominated in a currency other than the national currency;
XXXIX.
Updated Price for Valuation, the market price, or in its case, the theoretical price, obtained based on algorithms, technical and statistical criteria, and valuation models, applicable to each of the Investment Assets, provided for in a methodology developed by a Price Provider;
XL.
Independent Service Provider, the entity external to the Administrator or the Operating Companies, which is contracted to execute activities subject to said entities;
XLI.
Financial Service Providers, the persons or entities authorized to operate with Investment Assets on behalf of third parties, as well as to offer other services related to the Investment Assets, such as investment advice, asset administration and management, among others, which are subject to the regulation and supervision of government agencies of the Countries Eligible for Investments;
XLII.
Observation Process, the review activities carried out by the Regulatory Comptroller regarding compliance with internal and external applicable regulations in financial matters, the detection of observed deviations with respect to said regulations, as well as the follow-up of the mentioned deviations until their resolution. The Observation Process does not include auditing activities or any operational resource management process of the Investment Companies;
XLIII.
Self-Regulation Program, the program provided for in article 29, fraction I of the Law;
XLIV.
Correction Programs, the report provided for in article 100 bis of the Law, which the Administrator will present to the Commission through the Regulatory Comptroller regarding the correction of non-compliance in which said entity may have incurred with respect to the regulations governing the Savings for Retirement Systems;
XLV.
Authorized Investment Regime, that provided for in the General Provisions that establish the investment regime to which the Investment Companies must be subject and in the information prospectus prepared in accordance with what is established in these Provisions, as well as in the cases referred to in article 178 of these Provisions;
XLVI.
Regulations, the Regulations of the Law;
XLVII.
Head of the Investment Area, the Official of the Administrators who is in charge of the area responsible for the execution of the Investment Strategy of the Investment Companies;
XLVIII.
Financial Risk, the possibility of occurrence of losses or write-downs in the investment portfolio of the Investment Company in question, caused by any of the following causes, or a combination thereof:
a)
Credit or credit risk, which refers to the potential loss or write-down caused by the total or partial failure to pay by a Counterparty or the issuer, of the commitments established in the issuance prospectus or investment contract of an Investment Asset;
b)
Liquidity risk, which refers to the potential loss or write-down caused by the early or forced sale of an Investment Asset at unusual discounts to meet obligations, or by the fact that a position cannot be timely disposed of, acquired, or hedged, the latter by establishing an equivalent opposite position, and
c)
Market risk, which refers to the potential loss or write-down caused by changes in the Risk Factors that affect the valuation of the Investment Assets.
XLIX.
Automated Integrated System, the computer system or set of interconnected modules used in an automated manner by the Administrator to carry out the activities described in these Provisions. Said system or set of modules must allow carrying out the following activities:
a)
Acquisition and disposal of Investment Assets;
b)
Online registration of Investment Assets;
c)
Risk management;
d)
Confirmation of operations;
e)
Assignment of operations;
f)
Settlement of operations;
g)
Accounting registration of the Investment Company;
h)
Generation of financial statements of the Investment Company, and
i)
Those others required to meet the needs in the comprehensive management of the investment portfolios of the Investment Companies operated by the Administrator;
Likewise, the Automated Integrated System must:
i.
Allow that access to the services of the Automated Integrated System is restricted by users and profiles. Access security policies must be documented and subject to audit;
ii.
Have inviolable evidence, including date and time, which is registered in the system itself, known in practice as "audit trails," which allows identifying the users who participated in the activities described in items a) to i) of this fraction and in their respective functions such as, parameterization, analysis prior to the corresponding operation, assignment, confirmation, settlement, accounting registration, generation of financial statements, queries, and integration of inputs;
iii.
Have permanent and timely technical support to resolve technical, operational, or modeling problems for the Automated Integrated System, and
iv.
Have a database structure that allows compliance with what is provided in these Provisions and in the General Provisions on the registration of accounting, preparation, and presentation of financial statements to which the Investment Companies must be subject.
L.
Exchange Rate, the exchange rate between the national currency and the United States dollar, determined by the Price Providers;
LI.
Cross Valuation Exchange Rate, the applicable exchange rate between two Currencies different from the peso, determined by the Price Providers;
LII.
Fixed Exchange Rate, the exchange rate between the peso and the United States dollar, used to settle obligations in United States dollars payable in the United Mexican States, determined by the Bank of Mexico;
LIII.
UAIR, the Comprehensive Risk Management Unit of the Administrator specialized in financial risks in which the Financial Risk Committees and the Investment Committees of the Investment Companies rely to carry out Financial Risk Management, in accordance with these Provisions and with the Prudential Rules on risk management issued by the Commission;
LIV.
Last Updated Prices for Known Valuation, the prices for the valuation of Investment Assets that have been made known by the Price Providers, the Valuation Companies, the Custodians, and in its case, by the Administrator itself, as applicable in accordance with these Provisions, determined on the business day immediately preceding the Valuation Day;
LV.
Equivalent Delta Value, the amount in national currency or Currency of the Delta Value for Positions in Derivatives equivalent to the direct position in the underlying at market value, and
LVI.
Delta Value for Positions in Derivatives, the change in the market value of the position when the value of the underlying changes.
TITLE II
OF THE FINANCIAL RISK MANAGEMENT OF THE INVESTMENT COMPANY
CHAPTER I
OF THE FINANCIAL RISK COMMITTEE
Article 3.- The Financial Risk Committee of each Investment Company must define, approve, and follow up, within the limits authorized by the General Provisions that establish the investment regime to which the Investment Companies must be subject and the Prudential Rules on risk management that the Commission establishes for this effect, with the approval of the Independent Councilor who is a member of said Committee, on the following:
I.
The explicit establishment of policies whose objective is to prudently administer the resources of the Workers. For such purposes, it must have a diagnosis and must follow up on the Financial Risks to which the investment portfolio of the Investment Company is exposed;
II.
Prudential Limits applicable to the investments of the Total Asset of the Investment Company in Investment Assets, directly or, through Vehicles or Real Estate Investment Vehicles. These limits may be applied to the Risk Factors, to each Class of Asset or to the groupings of Investment Assets with similar risks defined by the Financial Risk Committee, as well as may be applied as additional limits to those provided for in the General Provisions that establish the investment regime to which the Investment Companies must be subject or sub-limits thereof. The Financial Risk Committee may define the Prudential Limits referred to in this fraction based on its own risk management policies and on the best international practices observed in the market. To determine these limits, the Financial Risk Committee must consider the complexity of the investment portfolio of the Investment Company, as well as the technical, human, and process capabilities defined by the Administrator to manage the investment portfolios;
III.
Prudential Limits of maximum exposure to each Counterparty and to each issuer, complementary to those provided for in the Provisions that establish the investment regime of the Investment Companies. For such purposes, these limits will consider the term, the underlying to which exposure is acquired, and the Class of Asset. The credit quality of the issuer or the Counterparty must be considered, based on internal analyses or opinions of third-party specialists in the matter on the fundamental factors that determine the viability of the issuer or the Counterparty. These limits must be defined for each Class of Asset with which the Investment Company finances or maintains exposure with the entity in its capacity as issuer and Counterparty. Likewise, an aggregate maximum limit covering simultaneously all authorized Classes of Assets to finance or maintain exposure with the entity in its capacity as issuer and Counterparty must be provided for. These limits will apply for direct operations, through Vehicles or Real Estate Investment Vehicles and will also consider the guarantees received by the Investment Company. The Financial Risk Committee may define the Prudential Limits referred to in this fraction based on its own risk management policies and on the best international practices observed in the market;
IV.
Measures to evaluate the maximum leverage of the investment portfolio, additional to those provided for in the General Provisions that establish the investment regime to which the Investment Companies must be subject, which each Investment Company must observe. Likewise, the Financial Risk Committee may define leverage measures by Class of Asset, by Risk Factor, and by underlying;
V.
Policies to receive and deliver guarantees that back authorized operations with Derivatives, securities lending, and repos. These policies must consider the type of issuer of the guarantee and its credit quality based on fundamental factors that determine its viability, as well as the legal structure of the execution of guarantees. Regarding the guarantee, the policies must take into consideration the maturity term, liquidity, the discount to be applied, and the markets in which it may be disposed of. Likewise, the policies must establish the following:
a)
Prudential Limits, and the measures to be used, regarding the maximum exposure that the Investment Company may have through each of the following operations:
i.
Derivatives;
ii.
Securities lending, and
iii.
Repo;
b)
Prudential Limits for the Investment Company for each type of underlying authorized in operations with Derivatives, which may be grouped as defined by the Financial Risk Committee, and
c)
Aggregate Prudential Limit of exposure of the Investment Company applicable to each issuing entity, including all Investment Assets issued by it, as well as all operations in which it is a Counterparty;
VI.
Performance, risk-adjusted performance, sensitivity, and market risk measures, which will be applied to the investment portfolio of the Asset Managed by the Investment Company and in an aggregated manner for each of the following types of investments or underlyings:
a)
Commodities;
b)
Currencies;
c)
Debt instruments and interest rates;
d)
Foreign Debt Securities;
e)
Equity Components;
f)
FIBRAS, and
g)
Real Estate Investment Vehicles;
VII.
Methodologies to perform performance and risk attribution of the investment portfolio of the Asset Managed by the Investment Company, as well as of the investment portfolio of the Total Asset of the Investment Company with respect to the reference portfolio. The Assets Managed by the Mandatories may be excluded from the methodologies. Define policies to present the results in the application of said methodologies at the level of disaggregation by Class of Asset, Risk Factor, or underlying defined by the Financial Risk Committee;
VIII.
Methodologies to follow up on the deviation policy with respect to the reference portfolio, including the maximum deviation margin, defined by the Investment Committee. Define policies to present the aforementioned results in the corresponding reports with the disaggregation by Class of Asset, Risk Factor, or underlying defined by the Financial Risk Committee;
IX.
Maximum exposure for each authorized depository, through deposits. For such purposes, the credit quality of the depository, the capitalization index, the term of the operation, and the Currency will be considered;
X.
Financial Risk control policies that the Investment Companies must observe with respect to the Mandatories they hire;
XI.
Early Warnings for the Liquidity Coefficient, as well as other minimum liquidity parameters for positions in Derivatives;
XII.
Prudential Limits for Value at Risk, Conditional Value at Risk, and the Differential of Conditional Value at Risk;
XIII.
Methodologies and measurement elements, whether internal or external, for additional credit evaluation beyond that provided by securities rating agencies. For this purpose, it must include, by way of example and not limitation, models, information, procedures, integration into the Automated Integrated System for risk management activities, in its case, qualitative elements, and those defined by the Financial Risk Committee;
XIV.
Policies for the determination of concentration limits for the Asset Managed by the Investment Company, which in its case are defined, by Counterparty or issuer considering for the latter the structure of each issuance, by way of example and not limitation, the type of payment seniority, enhancers, or those known in practice and in English as "covenants," in accordance with the additional credit evaluation referred to in the previous fraction XIII. To this end, the Financial Risk Committee must define and approve the following:
a)
The concentration limits and the periodicity with which they will review these limits;
b)
The periodicity with which the methodology and measurement elements referred to in the previous fraction XIII will be reviewed;
c)
The periodicity with which the inputs used by the aforementioned methodology and measurement elements will be updated;
d)
The grouping by additional credit evaluation for each concentration limit. Likewise, a comparison of the credit ratings granted to the issuances and the Counterparties by the securities rating agencies and the additional credit evaluation prepared by the UAIR must be presented;
e)
The periodicity with which the UAIR must present to this Committee, the results of the additional credit evaluation of the issuance considering the type of issuer and Counterparties, of the reviews to the methodology and measurement elements, as well as the criteria with which such information will be presented to it, and
f)
The UAIR must present in each ordinary session of this Committee, the usage percentages of the concentration limits.
The defined concentration limits must be included in the information prospectuses, subject to what is provided in these Provisions.
The periodicity of items a), b), d), and e) must be annual or with a lower periodicity.
For the case of item c), the periodicity must be semi-annual or with a lower frequency.
XV.
Verify and follow up on the compliance with the criteria issued and notified by the Risk Analysis Committee, as well as the evaluation, follow-up, and update of the Automated Integrated System for risk management activities;
XVI.
Maximum limits for investments in individual stocks that each of the mandates may exercise, subject to the limits and criteria established and notified by the Risk Analysis Committee;
XVII.
Operational risk control policies in the execution of Block Trade Orders, Dark Pool Orders, and other similar mechanisms to these. These controls must be in the risk management module of the Automated Integrated System;
XVIII.
Methodologies and measurement elements, whether internal or external, for the evaluation of liquidity risks of the investment portfolio of the Total Asset of the Investment Company, and
XIX.
Policies for the use of Generic Instruments, described in Detailed Minutes, considering the causal or conditions of use.
XX.
Prudential Limits and Early Warnings applicable to the investments of the Total Asset of the Investment Company in Structured Instruments considering the total of the pending capital calls.
To comply with the analyses or studies foreseen in articles 11, fraction III, 30, fractions II, VII, and XIV, 36, fraction III, and 139, fraction I of these Provisions, the Administrator must define as responsible the Financial Risk Committee or the Investment Committee. In case the Administrator defines the Financial Risk Committee, it must:
1.1.
Designate the Official of the risk area responsible for complying with the aforementioned analyses or studies, and
1.2.
Verify that the designation and the activities to be carried out are included in the Manual of Policies and Procedures for Financial Risk Management.
The policies provided for in this article only apply to the Investment Assets in which the Investment Companies invest.
The Financial Risk Committee must be aware of the current situation regarding the measures, policies, and criteria provided for in this article, updated by the UAIR, at least once every three months.
Article 4.- The Financial Risk Committees must define the policies and periodicity of update and improvement of the Automated Integrated System that applies to risk management in terms of article 3 of these Provisions.
The Administrator must designate as responsible one of the following, the Financial Risk Committees, the Investment Committees, or an Official to define the policies and periodicity of update of the Automated Integrated System that apply to the confirmation, assignment, and settlement of operations, as well as the accounting registration and generation of financial statements of the Investment Company.
In case the Administrator designates an Official, this Official must not have a conflict of interest in carrying out the aforementioned activities.
The Financial Risk Committees or the Investment Committees must verify that the policies, periodicity, as well as the designations of the responsible parties referred to in this article are incorporated into the Manual of Policies and Procedures for Financial Risk Management, the Investment Manual, or the manual described in article 62 of these Provisions, as applicable, depending on the designation made by the Administrator, in terms of what
provided for in the preceding paragraph.
Article 5.- The Financial Risk Committee of each Investment Society shall be composed of at least the Head of the UAIR, one Independent Director and one non-independent Director of the respective Investment Society, who shall not be members of the Investment Committee of the same Investment Society, and the General Manager of the Administrator operating the Investment Society.
The Detailed Minutes of the Financial Risk Committee sessions shall be available to the Commission, which may be presented in stenographic version or by means of a recording that has the necessary security means to maintain the integrity of the information and the corresponding transcription. For such purposes, the secretary of said Committee shall ensure to prepare and integrate the corresponding Detailed Minutes. The Commission may request more information about the sessions of the Financial Risk Committee from the secretary of said Committee.
This Committee shall meet at least once a month and its sessions will be valid only if they have a quorum of 80% of its members participating with a vote, within which the attendance of the General Manager of the Administrator and an Independent Director will be required. The absence of the Independent Director or the General Manager of the Administrator may only be excused on two occasions per calendar year, and the Committee must designate a responsible person during the absence of the corresponding person and only for such purposes.
The approval of agreements will be by majority of votes, without prejudice to the foregoing, the requirements for the opinion of the Independent Directors for the topics provided for in these Provisions must be met. In the case where Independent Directors must pronounce themselves and they have tied divided decisions, prior to this condition, this Committee must define who has the casting vote among said directors.
Article 6.- The Financial Risk Committee may create subcommittees whose purpose is to analyze the matters presented before the Financial Risk Committee. For such purposes, the subcommittees must comply with the following:
I.
That they are constituted in the terms determined by the respective Financial Risk Committees;
II.
That the information related to the functioning of the subcommittees be documented, indicating the members, guests, powers, policies, strategies, and accountability mechanisms to the Financial Risk Committee, and
III.
The activities carried out by the subcommittees must be approved by the Financial Risk Committee, recorded in the Detailed Minutes of the Financial Risk Committee, as well as revealed in the Manual of Policies and Procedures for the Administration of Financial Risk.
Among the activities carried out by the subcommittees, the preparation of the necessary documentation for the decision-making of the aforementioned Financial Risk Committee may be contemplated, which shall be available to the Commission.
The creation of subcommittees does not exempt the Financial Risk Committee from having the necessary information for its decision-making and fully complying with what is provided in the Law, these Provisions, and what is provided in the Prudential Rules on risk management.
Article 7.- The compliance with the Prudential Limits provided for in Article 3 above, defined by the Financial Risk Committee, must be complied with using the valuations generated by each Administrator in its Integrated Automated System and in accordance with the Manual of Policies and Procedures for the Administration of Financial Risk. The UAIR must follow up daily on these calculations and they must be presented monthly to the Financial Risk Committee. Likewise, the Regulatory Comptroller must ensure that the authorized Function Plan contains an Observation Process on the tasks described in this article.
CHAPTER II
OF THE INDEPENDENT RISK MANAGEMENT UNIT
Article 8.- The UAIR, in matters of Financial Risks, has as its objective to identify, measure, monitor, and report on the Financial Risks faced by Investment Societies to the Financial Risk Committee, the Investment Committee, the General Manager of the Administrator, and the Regulatory Comptroller.
The UAIR must be constituted within the structure of the Administrator. This unit must be independent of the investment areas, in order to avoid conflicts of interest and ensure adequate separation of responsibilities. The Financial Risk Committee and the Investment Committee will rely on the UAIR.
The Administrator must have an Official responsible for the UAIR and the latter must be formed exclusively by Officials of the Administrator.
Article 9.- The Administrators must have a head of the risk area, who reports directly to the General Manager of the Administrator.
Article 10.- The UAIR, in matters of Financial Risk, will perform the following functions:
I.
Propose to the Financial Risk Committee for its approval, the methodology to identify, measure, and monitor the different types of Financial Risks to which Investment Societies are exposed, as well as the limits by type of Financial Risk;
II.
Apply the methodology referred to in the preceding fraction I, using, for such purpose, the models, Parameters, and scenarios for the measurement and control of risk established by the Financial Risk Committee;
III.
Investigate and document the causes that originate deviations from the established risk limits when they occur, identifying if such deviations occur in a repeated manner and inform their results in a timely manner to the Financial Risk Committees, the Investment Committees, the General Manager of the Administrator, and the Regulatory Comptroller;
IV.
Propose to the Financial Risk Committee for its approval, the methodology that, in its case, will be applied for the calculation of the valuation price of operations with Derivatives that each Investment Society carries out in over-the-counter markets, as well as the valuation methodology of other Investment Assets that, according to these Provisions, the Administrator has informed the Commission that it will carry out the valuation of said Investment Assets, and
V.
Follow up on the Investment Strategy defined by the Investment Committee, in accordance with the prudential framework in matters of risk management approved by the Financial Risk Committee.
Article 11.- The UAIR, in matters of Financial Risk, must inform monthly or with greater frequency when necessary, to the Financial Risk Committees and Investment Committees, the General Manager of the Administrator, and the Regulatory Comptroller, on the following matters applicable to the investment portfolio of the Total Asset of the Investment Society, except when otherwise stated:
I.
The exposure of the investment portfolio of the Asset Managed by the Investment Society and by type of risk. The reports on risk exposure must include:
a)
Sensitivity analysis of the investment portfolio, which may be disaggregated by Risk Factors or Asset Class, in accordance with the methodology defined by the Financial Risk Committee, and
b)
Stress scenario portfolio tests, which may be presented for the investment portfolio of the Asset Managed by the Investment Society, as well as by Risk Factors or Asset Class.
II.
The deviations that may occur with respect to the maximum risk limits, established by the Financial Risk Committee, proposing, when appropriate, the necessary corrective actions;
III.
The return, risk-adjusted return, and expected return of the investment portfolio of the Asset Managed by the Investment Society and in an aggregated manner for each of the following types of investments or underlyings:
a)
Commodities;
b)
Currencies;
c)
Debt instruments and interest rates;
d)
Foreign Debt Securities;
e)
Equity Components;
f)
FIBRAS, and
g)
Real Estate Investment Vehicles.
The return must be calculated for the different time horizons defined by the Financial Risk Committee and must be quantified against the applicable reference portfolio for the investment portfolio of the Total Asset of the Investment Society. The Assets Managed by Mandataries may be excluded for the calculations referred to in this fraction. The investments area or, in its case, the risk area must perform the calculations of the expected returns referred to in this fraction;
IV.
The attribution of return and risk, based on the methodology approved by the Financial Risk Committee. This indicator must identify the attribution to the return and risk of the investment portfolio of the Asset Managed by the Investment Society observed for each Asset Class, or in its case, Risk Factors, that make up the portfolio of the Investment Society and must be calculated for different time horizons. For the case of the reference portfolio, the attribution of return and risk must be calculated, based on the methodology approved by the Financial Risk Committee, of the investment portfolio of the Total Asset of the Investment Society with respect to the reference portfolio and must be presented quarterly in the sessions of the Investment and Risk Committees. The Assets Managed by Mandataries may be excluded for the calculation referred to in this fraction;
V.
The exposure of the investment portfolio of the Asset Managed by the Investment Society by type of risk including the Delta Equivalent Value of positions in Derivatives, for all underlyings;
VI.
The percentage of use of the limits of the investment regime and the Prudential Limits, the available capacities in each of the limits, and, in its case, if Early Warnings were triggered;
VII.
The percentage of use of concentration limits and the available capacities in these limits for the Asset Managed by the Investment Society, as well as performing the additional credit evaluation, referred to in fraction XIV of Article 3;
VIII.
The results of portfolio tests applicable to the investment portfolio of the Asset Managed by the Investment Society under stress scenarios assuming adjustments in Risk Factors such as: Currencies, interest rates, volatilities for the case of options and for Structures Linked to Underlyings, inflation, prices of Equity Components, prices of Commodities, as well as those that the Financial Risk Committee deems relevant;
IX.
The results of portfolio tests under stress scenarios defined by the Financial Risk Committee applicable to the investment portfolio of the Asset Managed by the Investment Society. The magnitudes of the adjustments to the Risk Factors of said scenarios must be comparable to four historical financial crises;
X.
The results of hypothetical scenarios applicable to the investment portfolio of the Asset Managed by the Investment Society, defined by the Financial Risk Committee, known in practice and in the English language as "what if" scenarios under extreme conditions;
XI.
The values of sensitivity measures for the investment portfolio of the Asset Managed by the Investment Society must consider the following: duration, convexity, Historical Value at Risk, Parametric Value at Risk, Montecarlo Value at Risk, Conditional Value at Risk, Differential of Conditional Value at Risk, Greeks for Derivatives, stress scenarios based on an extreme value theory distribution, weighted average maturities, historical volatility, implied volatility, basis point price value, without prejudice to the others defined by the Financial Risk Committee in the Manual of Policies and Procedures for the Administration of Financial Risk, specifying which measures are applicable for each Investment Asset. In case that any of the above measures is not applicable for some Investment Assets, they must be calculated for the rest of the investment portfolio of the Asset Managed by the Investment Society;
XII.
The credit or credit risk measurement elements applicable to the investment portfolio of the Asset Managed by the Investment Society, defined by the Financial Risk Committee and the following elements: probability of default using the methodology approved by said Committee, potential severity of loss or write-down, portfolio concentration by degree of credit or credit risk, disclosure and status of instruments with credit ratings outside the investment regime. The Financial Risk Committee must define the level of disaggregation to apply the analyses provided for in this paragraph;
XIII.
The liquidity risk measurement elements applicable to the investment portfolio of the Asset Managed by the Investment Society, defined by the Financial Risk Committee, considering the following elements: distribution of resources in each Investment Society by specific age, maturity profile in the next ten years, estimates of inflows and outflows of resources through financial and operational processes, the latter provided for in the General Provisions on operations issued by the Commission. The analyses referred to in this paragraph must be carried out with demographic, statistical, financial, and actuarial elements.
Likewise, for the investment portfolio of the Total Asset of the Investment Society, a classification of the assets that make up the investment portfolios of the Investment Societies must be carried out according to their liquidity characteristics. For operations with Derivatives, the available capacity and the percentage of use of credit lines with Counterparties must be followed up. For the purposes of what is provided in this paragraph, Administrators may define policies applicable to the Asset Managed by Mandataries;
XIV.
Exposure of the investment portfolio of the Asset Managed by the Investment Society considering the different types of underlyings identified by the UAIR, operations, and sectors or economic activities;
XV.
Leverage measures, which include the Differential of Conditional Value at Risk of the investment portfolio of the Asset Managed by the Investment Society;
XVI.
Prudential leverage measures defined by the Financial Risk Committee, such as unhedged derivatives with reverse operation, known in practice as uncovered operations and in the English language as "naked positions";
XVII.
Conditional Value at Risk and Differential of Conditional Value at Risk calculated under stress scenarios applied to the investment portfolio of the Asset Managed by the Investment Society using the dates provided for in Annex A of these Provisions;
XVIII.
The daily level of the Liquidity Coefficient and, in its case, of those minimum liquidity parameters for positions in Derivatives applicable to the investment portfolio of the Asset Managed by the Investment Society, defined by the Financial Risk Committee, as well as the Early Warnings at different levels defined by the Financial Risk Committee. Additionally, this report must be informed daily to the Head of the Investments Area;
XIX.
Standard deviations of returns calculated at least at two horizons applicable to the investment portfolios of the Investment Societies;
XX.
The maximum exposure and credit rating defined by the Financial Risk Committee for each National Issuer, Foreign Issuer, National Counterparty, or Foreign Counterparty;
XXI.
The maximum exposure and credit rating applicable to the clearing houses of the Derivatives Exchanges in which Investment Societies operate and, in its case, the Mandataries;
XXII.
The exposure of the investment portfolio of the Asset Managed by the Investment Society by type of underlying for securities lending and repurchase operations. The return of these operations, report on changes in the levels of guarantees, credit rating of the Counterparties, percentage of use of concentration limits, liquidity, default to any policy determined by the Financial Risk Committee. The aforementioned Committee may define additional elements to those provided for in this fraction;
XXIII.
Deviation of the investment portfolio of the Total Asset Managed by the Investment Society with respect to the reference portfolio and the maximum deviation margin defined by the Investment Committee. The Assets Managed by Mandataries may be excluded for the calculations referred to in this fraction, and
XXIV.
The activities described in Article 14 of these Provisions.
Article 12.- The UAIR will deliver daily to the General Manager of the Administrator, the Regulatory Comptroller, and the Head of the Investments Area, an executive report on the behavior of the Financial Risks of the Investment Societies operated by the Administrator. The General Manager of the Administrator may determine a different periodicity than that provided for in this paragraph to receive said report, leaving this decision recorded in the Detailed Minutes of the Financial Risk Committee.
Article 13.- The UAIR, to carry out the measurement, follow-up, and control of the various types of Financial Risks, as well as the valuation of the positions of the Investment Societies operated by the Administrator, must:
I.
Have models and methodologies for risk management;
II.
Carry out risk management in the Integrated Automated System;
III.
Ensure that the Integrated Automated System for the activity of operation registration informs the Operator, prior to negotiation, when the level of risk associated with certain Investment Assets reaches the limits provided for in the General Provisions that establish the investment regime to which Investment Societies must be subject, the Prudential Limits, and the Early Warnings. This level of risk must be calculated in the Integrated Automated System for the risk management activity and, in its case, transmit the alerts that apply to the Operator through the Integrated Automated System. The procedure to be followed to detect what is described in this paragraph must be documented in the Manual of Policies and Procedures for the Administration of Financial Risk. The Financial Risk Committee must define the maximum time for the validity of what is provided for in this paragraph.
In the case of Investment Assets that do not have market prices or Risk Factors, Generic Instruments may be used, based on the policies defined by the Financial Risk Committee;
IV.
Ensure that the information that serves as the basis for calculating the positions of the Investment Societies used in the models and in the Integrated Automated System for the risk management activity is accurate, complete, and timely, therefore, any modification to said information must be documented and have an explanation on its nature and cause that originated it;
V.
Perform semi-annual reviews, or with greater frequency, on the assumptions contained in the valuation models and Parameters of the Investment Assets. Likewise, it must review and issue an opinion regarding the updates of the Integrated Automated System for the risk management activity in accordance with the policy and periodicity defined by the Financial Risk Committee;
VI.
Generate an independent valuation to that provided by Price Providers for each of the Investment Assets that make up the investment portfolio managed directly by the Investment Society, with the exception of investments in Equity Components, Commodities, and Currencies. In the case of Investment Assets that do not have market prices or Risk Factors, Generic Instruments may be used to carry out the valuation in question. Both the inputs for the calculation of the independent valuation and the models defined for these purposes will be determined by the Financial Risk Committee. The inputs for the independent valuation and the market prices of Equity Components, Commodities, and Currencies may be obtained through the subscription systems and means authorized by the Investment Committees;
VII.
Apply daily portfolio tests under stress scenarios for the measurement of all quantifiable Financial Risks including Value at Risk, Conditional Value at Risk, and Differential of Conditional Value at Risk using the dates provided for in Annex A of these Provisions, to which Investment Societies are exposed, and
VIII.
Carry out the additional tests that derive from the activities provided for in Article 14 of these Provisions.
The UAIR reports regarding Financial Risks may be presented in an aggregated manner by the investment portfolio, by Asset Class or Risk Factor, regardless of whether the Integrated Automated System in the risk management activity has the capacity to generate the calculations provided for in this article for each Investment Asset that makes up the investment portfolio of the Asset Managed by the Investment Society.
Article 14.- The Integrated Automated System must allow the UAIR to perform the following activities:
I.
Evaluate the Financial Risk of the investment portfolio of the Asset Managed by the Investment Society. This evaluation must be able to be carried out for each Investment Asset, as well as for each Asset Class or Risk Factor and for the investment portfolio of the Asset Managed by the Investment Society. Likewise, it must allow the calculation of various sensitivity measures, among which are those referred to in Article 11, fraction XI of these Provisions;
II.
Carry out portfolio tests under stress scenarios applied to the investment portfolio of the
Assets Managed by Investment Companies, as well as sub-portfolios defined by the Financial Risk Committee and the Specific Investment Assets that form part of the portfolio of the Asset Managed by the Investment Company. Such stress scenario portfolio tests shall consider at least the following:
a) Extreme events on different Risk Factors that the Financial Risk Committee deems relevant, and
b) Stress scenarios equivalent to the four historical financial crises defined by the Financial Risk Committee;
III. Monitor the percentage of use of the Prudential Limits and Early Warnings approved by the Financial Risk Committee of the Investment Company, by Asset Class, by issuer or Counterparty, by underlying, for Foreign Securities, by regions and by economic sectors;
IV. Analyze the impact on the limits provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere, the Prudential Limits and Early Warnings upon the incorporation of new Specific Investment Assets into the investment portfolio of the Investment Companies, with the advance notice defined for this purpose by the Financial Risk Committee. The calculations referred to in this subsection shall be performed using the parametrization defined by the risk area in the Automated Integrated System, for which there must be inviolable evidence recorded in the Automated Integrated System that allows identifying the users who performed the calculations provided for in this subsection. In the event that market prices or Risk Factors are not available, Generic Instruments may be used. The investments area may perform the calculations provided for in this subsection;
V. Calculate the exposure of the Specific Investment Assets, considering different groupings, among which the following must be considered: Asset Class, type of underlying, type of issuer or Counterparty, and those defined by the Financial Risk Committee. This exposure must consider the market value for direct positions and the Equivalent Delta Value for positions in Derivatives;
VI. Calculate the Market Value at Risk, through different methodologies, of the complete investment portfolio, as well as said measures applied to sub-portfolios defined by the Financial Risk Committee and to the Specific Investment Assets;
VII. Generate stochastic Monte Carlo simulations on the valuation prices of the different Specific Investment Assets and the corresponding Risk Factors;
VIII. Allow the parametrization of the different Risk Factors of each Specific Investment Asset. In the event that market prices or Risk Factors are not available, Generic Instruments may be used to estimate the Risk Factors;
IX. Ensure that the Automated Integrated System in the risk management activity has access restrictions for different users;
X. Document the parametrization of each Specific Investment Asset;
XI. Allow the person in charge of the UAIR or that Official designated by them, to integrate new formulas or valuation models for Specific Investment Assets that form the investment portfolios of the Investment Companies, as well as new methods for estimating Financial Risk metrics or new modules for financial analysis of the investment portfolios, in accordance with the policies defined by the Financial Risk Committee;
XII. Calculate the Early Warnings at different levels for the Liquidity Coefficient, as well as other minimum liquidity parameters for positions in Derivatives defined by the Financial Risk Committee;
XIII. Calculate the Conditional Value at Risk and the Differential of Conditional Value at Risk under stress scenarios applied to the investment portfolio of the Asset Managed by the Investment Company using the dates provided for in Annex A of these Provisions, and
XIV. Monitor the percentage of use of the Prudential Limits approved by the Financial Risk Committee applicable to securities lending and repurchase operations, by exposure to the investment portfolio of the Asset Managed by the Investment Company, Asset Class and type of underlying, yield of these operations, level of collateral, credit rating of the Counterparties, concentration limits, liquidity and leverage.
The Financial Risk Committee may opt for a set of variables, Risk Factors and analyses different from those provided for in subsections V, VI and VII of this article, provided that it has the approval of the majority of the Independent Directors of said Committee, for which they must record this in the Detailed Minutes of the session in which it is approved by said Committee.
When an Independent Director of the Financial Risk Committee is incorporated, said Director within a period not exceeding 60 business days following the session in which they participate for the first time, must express their opinion regarding the policies approved by the Financial Risk Committee that will be in effect on the matters provided for in subsections V, VI and VII of this article. The list of agreements on which they issue their opinion must be recorded in the Detailed Minutes of the corresponding session.
The UAIR must ensure that the requirements provided for in this article are met at all times.
CHAPTER III
ON THE MANUAL OF POLICIES AND PROCEDURES FOR THE MANAGEMENT OF FINANCIAL RISK
Article 15.- Each Administrator shall prepare a Manual of Policies and Procedures for the Management of Financial Risk, which must be approved by the Financial Risk Committee of the Investment Companies and by the Governing Body of the Administrator itself, with the favorable vote of the majority of the Independent Directors.
The Administrator must have available to the Commission evidence of the following:
I. The Manual of Policies and Procedures for the Management of Financial Risk was reviewed at least by the person in charge of the risk area, and
II. The Regulatory Auditor supervised that the content of the Manual of Policies and Procedures for the Management of Financial Risk corresponds to what was approved both by the Financial Risk Committee and by the Governing Body of the Administrator itself.
When the Administrator must present to the Commission its request for non-objection to the Manual of Policies and Procedures for the Management of Financial Risk, in terms of what is established in article 16 of these Provisions, the Commission will have a period of 40 business days to issue its non-objection. In the event that this period elapses without an express resolution by the Commission, the said Manual shall be deemed non-objectioned.
For the purposes of obtaining the non-objection of the Manual of Policies and Procedures for the Management of Financial Risk, the information delivered to the Commission must comply with the quality and characteristics required in this Chapter, as well as what is provided for in articles 3, 4, 6, subsection III, 13, subsection III, 30, 36, 41, and 139, subsection I of these Provisions, as applicable, in terms of what is established in each of said articles.
For the purposes of the foregoing, the request for non-objection of the Manual of Policies and Procedures for the Management of Financial Risk must be accompanied by the electronic version in which the proposed modifications in the project submitted for the non-objection of the Commission are formally and clearly identified. In the event that said Manual is modified, the non-objections of the Commission will be granted only on the adjustments formally indicated in the projects, so that any other modification not identified in the manner described in this article will not form part of the Manual of Policies and Procedures for the Management of Financial Risk non-objectioned.
Article 16.- Administrators must at all times have the non-objection of the Manual of Policies and Procedures for the Management of Financial Risk by the Commission only with respect to, Commodities, Currencies, Structured Instruments, FIBRAS, Real Estate Investment Vehicles, Certificates Linked to Real Projects, Derivatives, individual shares and investments through Mandatees. For what is provided for in this paragraph, the Manual must contain the following:
I. The policies and Prudential Limits that will apply related to exposure to Financial Risks. In their case, the Prudential Limits and Early Warnings will be defined based on their own risk management policies and on the best international practices observed in the market;
II. The models and methodologies applicable to the investment portfolio for the valuation of Financial Risks, approved by the Financial Risk Committee, impacting the Risk Factors of Commodities, Currencies, Equity Components, FIBRAS, Real Estate Investment Vehicles and Certificates Linked to Real Projects;
III. The policies and procedures for the use of Generic Instruments;
IV. The process for the measurement, monitoring and reporting of Financial Risks and operational risk linked to the investment process of the Investment Company;
V. The Prudential Limits, as well as the corresponding policies to, in their case, correct the deviations observed on the risk limits;
VI. The internal control measures and the mechanisms to correct the deviations observed on the tolerance levels to operational risks linked to the investment process of the Investment Company provided for in these Provisions;
VII. The process for the authorization by the Financial Risk Committee, of the excesses to the Prudential Limits applicable to the different Financial Risks, and
VIII. The methodology used for the valuation of Derivatives and Certificates Linked to Real Projects.
Article 17.-
Administrators shall not have the non-objection of the Commission of the Manual of Policies and Procedures for the Management of Financial Risk with respect to Specific Investment Assets other than those listed in the previous article. For what is provided for in this paragraph, the Manual must contain the following:
I. The policies and Prudential Limits that will apply related to the exposure of Financial Risks. In their case, the Prudential Limits and Early Warnings will be defined based on their own risk management policies and on the best international practices observed in the market;
II. The models and methodologies for the valuation of Financial Risks, approved by the Financial Risk Committee;
III. The policies and procedures for the use of Generic Instruments;
IV. The determination and procedure to calculate the limits for taking risks that the Financial Risk Committee of each Investment Company establishes at a global level and by type of risk. Likewise, procedures to be followed when the level of risk associated with certain Specific Investment Assets reaches the limits provided for in the investment regime, in the manuals, by the Financial Risk Committee or when there are extreme market conditions must be provided for;
V. The process for the measurement, monitoring and reporting of Financial Risks and operational risk linked to the investment process of the Investment Company;
VI. The Prudential Limits, as well as the corresponding policies to, in their case, correct the deviations observed on the risk limits;
VII. The internal control measures and the mechanisms to correct the deviations observed on the tolerance levels to operational risks linked to the investment process of the Investment Company provided for in these Provisions;
VIII. The process for the authorization by the Financial Risk Committee, of the excesses to the Prudential Limits applicable to the different Financial Risks;
IX. The process for the approval of policies, criteria and strategies for the Management of Financial Risk and, in their case, of hedges other than Derivatives. For such purposes, a general description of the operation, an analysis of the risks inherent to said operation and a procedure to identify, measure, monitor, control, report and disclose such risks must be available;
X. Portfolio tests under stress scenarios applicable to the investment portfolios of the Asset Managed by the Investment Companies, to which Chapter II of this Title refers, including portfolio tests under stress scenarios applicable to Value at Risk, Conditional Value at Risk and the Differential of Conditional Value at Risk;
XI. In the event that operations with Derivatives are intended to be carried out, the logistics to operate them and a description of best execution practices, as well as policies and maximum leverage limits, approved by the Financial Risk Committee, that the Investment Company must observe when using these instruments;
XII. In the event that operations with Derivatives in over-the-counter markets are intended to be carried out, the policy or in their case the methodology to which the Investment Company will be subject for the valuation of said operations;
XIII. In the event that operations with Foreign Securities, Commodities, Currencies, Vehicles, Real Estate Investment Vehicles, as well as investing through Mutual Funds or Mandatees are intended to be carried out, the procedure to operate these and a description of best execution practices or in their case of contracting of Mandatees;
XIV. The methodology used for the valuation of the Specific Investment Assets owned by the Investment Companies, as well as of the shares representing the paid-up share capital of the Investment Companies;
XV. The organizational structure designed to carry out the Management of Financial Risk. Such structure must be established in such a way that there is independence between the UAIR and those other operational control areas, as well as there must be a clear delimitation of functions and job profiles at all its levels;
XVI. The powers and responsibilities based on the position or office held by the Officials;
XVII. The description of the Automated Integrated System in the risk management activity and the database structure generated for the monitoring of the risk of each Investment Company;
XVIII. Action plans in case of contingencies at alternate sites. The alternate site of the Administrator must fully satisfy these Provisions, regarding the minimum functioning defined by the Commission that Investment Companies must observe, as well as the additional activities determined by the Administrator itself. In the event that it is necessary to recover the continuity of operations, it must be carried out at an alternate site that has not been foreseeably affected by the same circumstances as the Administrator's headquarters.
The minimum functioning of Investment Companies for the risk area shall be understood as complying with subsection III of article 56 of these Provisions;
XIX. The requirements of the Automated Integrated System in the risk management activity of the Automated Integrated System to which Chapter II of this Title refers;
XX. The methodology to define the Prudential Limits and Early Warnings of maximum exposure for repurchase and securities lending operations by type of permitted Instrument and by each Counterparty with which such operations are carried out, as well as the aggregate limits by permitted Instrument and by Counterparty, approved by the Financial Risk Committee;
XXI. The methodology to define the maximum exposure limits to each Counterparty and to each issuer defined by the Financial Risk Committee;
XXII. The methodology to calculate Value at Risk, Conditional Value at Risk, and the Differential of Conditional Value at Risk applying the dates provided for in Annex A of these Provisions;
XXIII. The methodology defined by the Financial Risk Committee to perform sensitivity analysis at the portfolio level, disaggregated by Risk Factor or Asset Class;
XXIV. The methodology to determine the maximum leverage level of Derivative operations, in their case, using loss limits, referred to in English and in practice as "stop loss";
XXV. The methodology to perform the attribution of return and risk of the investment portfolio of the Asset Managed by the Investment Company and of the reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Company. The Assets Managed by Mandatees may be excluded from the methodology referred to in this subsection, and
XXVI. The methodology to calculate the maximum deviation that the investment portfolio of the Investment Company must observe with respect to the reference portfolio, detailing with precision the formula for its computation.
Article 18.- The Commission may require, at any time, that the Administrator present to it the Manual of Policies and Procedures for the Management of Financial Risk, and that the Administrator make the necessary adjustments to said Manual so that it complies with what is provided for in these Provisions.
The Manual of Policies and Procedures for the Management of Financial Risk must be entirely available to the Commission at all times.
Article 19.- The Manual of Policies and Procedures for the Management of Financial Risk must form part of the Self-Regulation Program approved by the Governing Body of the Administrator in terms of article 29 of the Law. The Officials of the Administrator and of the Investment Companies must observe the compliance with said Manual.
TITLE III
PROVISIONS ON INVESTMENTS
CHAPTER I
ON INVESTMENT COMMITTEES
Article 20.- Investment Committees must define, approve and monitor the Investment Strategy of the Specific Investment Assets, within the limits proposed by the Financial Risk Committee that have been approved by the Governing Body of the Investment Company in question. This obligation will be applicable only to the Specific Investment Assets described in this Title in which the Investment Company invests or has exposure.
The Investment Strategy must provide for the following policies applicable in an aggregated manner to the investment portfolio of each Investment Company:
I. The liquidity characteristics, if applicable;
II. The credit quality of the Debt Instruments, Foreign Debt Securities and Neutral Investments that make up the investment portfolio;
III. The tolerated sensitivity of the investment portfolio to the volatility of Risk Factors;
IV. The Vehicles, Real Estate Investment Vehicles, investment mandates and other similar investment mechanisms, authorized in accordance with what is provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere, referred to the Specific Investment Assets that will form the investment portfolio of the Investment Company in question;
V. The Specific Investment Assets that will form part of the Total Asset of the Investment Company and in particular those regarding Foreign Securities, Neutral Investments, Structured Instruments, FIBRAS, Real Estate Investment Vehicles, Securitized Instruments, Commodities, Currencies and the use of Derivatives;
VI. The Specific Investment Assets provided for in the regulations issued by the Commission, the Asset Classes and investment mechanisms that can be used for the investments of the investment portfolio of the corresponding Investment Company, as well as the target percentages that they must represent with respect to the value of the Total Asset, and
VII. The policies provided for in the previous subsections may be defined based on the reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Company.
The Investment Committee must specify if the percentages referred to in the previous subsection VI are computed using the market value, the Equivalent Delta Value for positions in Derivatives or any other measure. Likewise, liquidity, credit and market measures defined and approved by the Financial Risk Committee of the Investment Company must be used.
The Investment Strategy must contemplate its validity, the periodicity with which it will be reviewed by the Investment Committee and the maximum deviation margin allowed to the investment area by the Investment Committee for each of the policies referred to in this article. Without prejudice to the foregoing, it will be the responsibility of the Investment Committee to define and approve additional criteria that form the Investment Strategy, with the objective of prudently administering pension resources in accordance with the profile of the Investment Company in question.
When new instruments are incorporated into the definition of Specific Investment Assets provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere, the Investment Committee must analyze the liquidity in the secondary market and the Risk Factors that affect the price of these instruments. The Head of the Investments Area must express an opinion on the information provided for in this paragraph.
The Investment Strategy must be recorded in the Detailed Minutes of the sessions of the Investment Committees, which must be held in accordance with what is provided for in article 42 of the Law.
Article 21.- Investment Committees must designate:
I. The Custodian or Custodians and approve the contracts that are entered into with them in the terms provided for in these Provisions. For the case of liquidity facilities that the contracts with Custodians provide for, the Investment Committees must give their approval;
II.
To Financial Service Providers and approve the contracts entered into with them under the terms established in these Provisions, and
III.
To the Operators and the responsible parties for confirmation, allocation, settlement, accounting registration and generation of financial statements, as well as the transfer of cash and securities of the Investment Company, based on policies previously defined by the Investment Committee itself.
Regarding the Head of the Investment Area, the Investment Committees must evaluate and express their opinion in the corresponding session regarding the designation made by the Administrator.
Article 22.- The Investment Committees must approve portfolio reconstruction programs. Without prejudice to the foregoing, such programs must be approved in the event of breaches of the concentration limits defined by the Financial Risk Committee.
Article 23.- The Investment Committees must define and approve:
I. The mechanisms to notify Counterparties about the list of Authorized Officials to carry out Over-the-Counter Derivatives transactions, and
II. The policies to monitor the markets, the Counterparties, the Financial Intermediaries and the trading platforms, with which Investment Asset transactions may be carried out, based on publicly available information.
Article 24.- The Investment Committees must define, approve and monitor the policies for coordinating transactions with Investment Assets, complementary to the best execution provisions established in these Provisions. These transaction coordination policies on trading platforms must consider, if used by the Administrator, Block Coordination Orders, Blind Coordination Orders, as well as other similar mechanisms.
Likewise, the Investment Committee must foresee policies to prevent Off-Market Transactions. For the purposes of this article, the Investment Committee must demonstrate compliance with the adopted transaction coordination policies by any magnetic, electronic or documentary means.
Article 25.- The Investment Committees may define the horizons in which performance and risk analyses, observed and prospective, must be carried out, either for each Asset Class in which the Investment Company invests, by Risk Factors or by types of risk to which the Investment Company's investment portfolios are exposed.
This applies when the Investment Committee considers it appropriate to use timeframes other than 1, 3, 5 years and historical periods from the start of the investment or at least three alternative horizons defined by the Investment Committee.
The aforementioned calculations must be carried out in accordance with the policies and horizons defined by the Investment Committee with the favorable opinion of the majority of Independent Directors, including the updating of inputs, and must be recorded in the Detailed Minutes of the corresponding session of the Investment Committee.
The Risk Factors or types of risk will be identified by the Financial Risk Committee.
Article 26.- The Investment Committees must determine, for each Asset Class, the percentages of Total Assets corresponding to the Assets Managed by the Investment Company and to the Assets Managed by the Mandator, considering all Mandatories that have contracted for this purpose.
Article 27.- The Investment Committees must define the frequency with which the investment area of the Investment Companies must present information regarding the monitoring and analysis of the contents and obligations provided for in Articles 20 to 26 above. Such frequency may not exceed one year.
Article 28.- When the Administrator has the non-objection of the Commission to carry out transactions with Commodities, the Investment Committees must approve and monitor investments in Commodities, for which they must specifically:
I. Define and approve the Commodity Investment Strategy, within the authorized limits in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee and the limits defined by the Financial Risk Committee. For such purposes, the Investment Committee must define the investment horizon, the amounts and the percentages of the Total Assets of the Investment Company in question that will be invested in Commodities, as well as the policies provided for in Article 20 of these Provisions applicable to Commodities;
II. Define the long-term objectives to be achieved, in terms of diversification and expected profitability through investment in mechanisms and Vehicles with exposure to Commodities. Such long-term objectives may be defined in ranges;
III. Define the policies to approve the investment mechanisms and Vehicles with exposure to Commodities in which the Investment Company invests, in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject and the criteria defined by the Risk Analysis Committee. For such purposes, the Investment Committee must know the following characteristics of the investment mechanism or Vehicle:
a) The structure and agents involved in management;
b) The total costs, identifying the concepts that make up such costs;
c) The estimated transaction costs;
d) Quantitative or even qualitative estimates of the liquidity of the investment mechanism or Vehicle and of the markets where the Administrator will acquire such Vehicle;
e) The underlyings to which exposure may be held, within those authorized by the General Provisions establishing the investment regime to which Investment Companies must be subject;
f) In their case, the leverage and the guarantees received or delivered, in accordance with the placement prospectus or equivalent document of the Vehicle in question, and
g) The Counterparties with which the transactions provided for in the placement prospectus or equivalent document of the Vehicle in question are executed;
Investment Companies may only invest in Commodities through the Vehicles authorized for such purposes by the Risk Analysis Committee.
IV. Monitor the observed and expected performance of investments in Commodities. For this purpose, the performance and risk measures approved and indicated by the Investment Committee in the Investment Manual must be considered. Without prejudice to the foregoing, the measures provided for in this paragraph may not replace the measures defined by the Financial Risk Committee that must be used to evaluate compliance with Prudential Limits;
V. Foresee policies so that the investment area of the Investment Company has, prior to making investments in Commodities or authorized Commodity indices, an analysis of the characteristics and risks inherent to each type of underlying. In investments made through Commodity indices, there must be an analysis for the sectors that collectively constitute the investment. Such analyses must comply with these Provisions, as well as with the Prudential Rules on risk management;
VI. Analyze the valuation models of the assets, as well as of the Vehicles that provide exposure to Commodities, in accordance with the criteria approved by the Risk Analysis Committee;
VII. Approve the policies regarding transactions with Derivative Instruments on Commodities carried out by the Investment Company, as well as by the Mandator, and
VIII. Approve the active investment policies in Commodities that Mandatories must observe, in accordance with these Provisions, the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Investment Committee and the criteria defined by the Risk Analysis Committee.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if the Committee so determines:
1.1. The information from fractions I, II, III, V, VI, VII, and VIII: annually, and
1.2. The information from fraction IV: every four months.
Article 29.- The Investment Committees must approve and monitor investments in Mutual Funds and equity, debt and real estate vehicles known as Exchange Traded Funds, for which they must specifically:
I. Define and approve the Investment Strategy through Mutual Funds and, where applicable, equity, debt and real estate vehicles, within the authorized limits in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee and the limits defined by the Financial Risk Committee. For such purposes, the Investment Committee must define the investment horizon, the amounts and the percentages of the Total Assets of the Investment Company in question that will be invested through these Vehicles, as well as the policies provided for in Article 20 of these Provisions applied to them;
II. Analyze the structure with which the Mutual Fund and, where applicable, equity, debt and real estate vehicles operate, the entities involved in the investment mechanism, among which are listed, but not limited to: the administrator, the valuer, the Custodian, the investment advisor and the Price Provider;
III. Foresee policies so that the investment area of the Investment Company has, prior to making investments in each Mutual Fund and, where applicable, each equity, debt and real estate vehicle, an analysis of the characteristics and inherent risks, in accordance with what is provided for in these Provisions and what is established by the Prudential Rules on risk management, the General Provisions establishing the investment regime to which Investment Companies must be subject and the criteria defined by the Risk Analysis Committee;
IV. Define and monitor the Asset Classes acquired through Mutual Funds and, where applicable, equity, debt and real estate vehicles, within the authorized limits in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee and the limits defined by the Financial Risk Committee, as well as the maximum or minimum percentages in each of them;
V. Define eligibility policies applicable to the administrators of Mutual Funds and, where applicable, equity, debt and real estate vehicles, in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee and these Provisions. Such policies must include the administrator's experience as a manager of Vehicles, including Mutual Funds and, where applicable, equity, debt and real estate vehicles, the minimum amount of assets under management required;
VI. Define, evaluate and monitor the structure, liquidity and accessibility characteristics of the Mutual Fund and, where applicable, the equity, debt and real estate vehicle, as well as the total costs and, where applicable, entry and exit costs, considering the information available to the public in accordance with applicable provisions;
VII. Evaluate the costs and net returns of the Mutual Funds and, where applicable, equity, debt and real estate vehicles in which the Investment Company invests. Such evaluation must compare with other similar investment alternatives regarding the assets to which exposure is acquired. In the event that the Investment Committee has chosen a higher-cost Vehicle compared to other authorized Vehicles available in the market with the same investment objective, it must expose the reasons for the selection of such Vehicle, recording it in the Detailed Minutes of the corresponding session and having the favorable vote of the majority of Independent Directors who are members of the Investment Committee;
VIII. Monitor the observed and expected performance of investments in Mutual Funds and, where applicable, equity, debt and real estate vehicles. For this purpose, the performance and risk measures approved and indicated by the Investment Committee in the Investment Manual must be considered. Without prejudice to the foregoing, the measures provided for in this paragraph may not replace the measures defined by the Financial Risk Committee that must be used to evaluate compliance with Prudential Limits;
IX. Define the policies that the investment area must observe prior to making an investment in Mutual Funds and, where applicable, equity, debt and real estate vehicles, to verify that the administrators of the aforementioned Vehicles do not have antecedents or pending investigations for conflicts of interest, fraud or negligence in the management of their fiduciary mandate with the corresponding supervisory entities;
X. In the case of Mutual Funds, analyze the periodicity established in the information prospectuses, supplements or other documents approved by the regulatory authority of the Eligible Countries for Investments with which the shares of the Mutual Funds can be redeemed in accordance with the Investment Strategy, the type of underlyings, as well as the investment horizon of the Investment Companies. For this purpose, they must evaluate that the costs of the Mutual Funds reflect the redemption periodicity, as well as evaluate any costs or any other type of sanction imposed by the Mutual Fund administrator that could be generated by an early redemption, and
XI. In the case of Mutual Funds, ensure that the maximum amount to be invested in each Mutual Fund is not greater than 10% of the net assets of said Mutual Fund. The Investment Committee may determine to invest a percentage higher than that provided for in this fraction and must clearly record it in the corresponding Detailed Minutes, having the favorable vote of the majority of Independent Directors who are members of said committee.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if the Committee so determines:
1.1. The information from fractions I, II, III, IV, V, VI, IX and X: annually, and
1.2. The information from fractions VII, VIII and XI: every four months.
Article 30.- The Investment Committees must approve and monitor investments in Structured Instruments, FIBRAs, Real Estate Investment Vehicles and Real Project-Linked Securities Certificates, for which they must:
I. Define and approve the Investment Strategy in Structured Instruments, FIBRAs, Real Estate Investment Vehicles and Real Project-Linked Securities Certificates, within the authorized limits in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee and the limits defined by the Financial Risk Committee. For such purposes, the Investment Committee must define the following:
a) The horizons in which the investments will be maintained in the investment portfolio;
b) The amounts;
c) The classes of underlying investments that will be the subject of the investment;
d) The validity with respect to the Investment Strategy;
e) The frequency to review the Investment Strategy, and
f) The flexibility allowed in the implementation of the authorized Investment Strategy by the investment area for each of the variables described in the preceding subparagraphs. In the case of Structured Instruments, the Investment Committee must define which types of these will be invested in.
The Investment Committee may define and approve additional criteria that constitute the Investment Strategy focused on Structured Instruments, FIBRAs, Real Estate Investment Vehicles and Real Project-Linked Securities Certificates. The foregoing, with the objective of prudently managing pension resources in accordance with the profile of the Investment Company in question. In the event that the Investment Committee decides not to add additional elements in the definition of the Investment Strategy, it must clearly record this in the Detailed Minutes of the corresponding session.
II. Foresee eligibility policies that the investment area of the Investment Company must apply, or in its case the risk area, prior to making investments in Structured Instruments, FIBRAs, Real Estate Investment Vehicles and Real Project-Linked Securities Certificates. Such eligibility policies will include the following:
a) For Structured Instruments and FIBRAs, which may be acquired individually, the following must be included:
i. The administrators of the estates of the trusts corresponding to the Structured Instruments, and the FIBRAs, as well as, where applicable, the co-investors of the Structured Instruments, including among other factors, the human and technical resources to manage the asset, the experience of the team in activities related to the investment, as well as the functions of the agents involved in the Instrument;
ii. The operating structure of the investment vehicles, as well as the development stage of the projects subject to financing, the sectors, the economic activities, the sources of income and the payment cascades;
iii. The commission policies charged to investors;
iv. The policies for aligning the interests of the trust estate administration team of the Structured Instrument and the FIBRA in question with those of the investors. Within such policies, the percentages of co-investment, previously determined by the Investment Committee, that the administrator must carry out in the same projects financed through the trust corresponding to the Structured Instrument or the FIBRA in question must be included. This percentage must be determined considering the risks of the financed projects, as well as according to the administrator's evaluation carried out through the questionnaire provided for in Annex B of these Provisions. For the purposes of what is provided for in this subparagraph, the Investment Committee must know and take into account whether the administrator is a Related Entity or maintains any Patrimonial Link, where applicable, with the co-investor. Finally, the policies provided for in this paragraph may be different for each type of Structured Instrument and FIBRA, likewise
v. The policies containing the additional information disclosure criteria beyond those provided for in the Securities Market Law and the General Provisions applicable to securities issuers and other participants in the securities market, issued by the National Banking and Securities Commission, including audits of the asset as well as of the Vehicle in question;
For the purposes of the analyses resulting from the determination of the policies provided for in this subparagraph, applicable to Structured Instruments, the Investment Committee or, where applicable, the Financial Risk Committee, must fully identify, and record this, the entity that, among the administrator and the co-investor, is in charge of defining the investment thesis of the aforementioned instruments, as well as the entity in charge of the execution work, and, where applicable, the relationship that exists between the entity that defines the investment thesis and the one that executes it. The co-investors must comply with what is provided for in Annex B, Chapter I, fraction IV of these Provisions.
b) For Real Estate Investment Vehicles that may be acquired individually by the Investment Company, the following will be included:
i. The experience of the Real Estate Investment Vehicle administration team in the activities subject to investment;
ii. The operating structure of the investment vehicles, as well as the development stage of the projects subject to financing, the sectors, the economic activities, the sources of income and the payment cascades;
iii. The commission policies charged to investors, and
iv. The policies for aligning the interests of the asset administration team with those of the investors.
c) For Real Project-Linked Securities Certificates that may be acquired individually, the following must be included:
i. The settlor, or in its case whoever contributes the assets or real projects that generate the collection rights, as well as the operator of said assets, including among other factors, the functions of the agents involved in the instrument, and
ii. The operating structure of the investment vehicles, including among other factors, the equity and purposes of the trust, destination of the resources of the issuance, payment cascades, guarantees, the sectors or economic activities in which it operates.
The Investment Committee must foresee the eligibility policies on the concepts provided for in Annex B, Chapter I of these Provisions. In the event that the Investment Committee decides not to foresee eligibility policies for any of the concepts in the aforementioned Annex, it must justify such decision and record it in the corresponding Detailed Minutes.
The investment area must evaluate compliance with the policies referred to in this fraction, regarding each of the Structured Instruments, FIBRAs and Real Project-Linked Securities Certificates, based on publicly available information of
in accordance with the placement mechanism of the instrument in question and as provided for in the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission.
For the evaluation of Fiduciary Certificates of Investment Projects, the Investment Committee must additionally consider the information, if any, provided by the co-investor.
For the evaluation of Structured Instruments, the Investment Committee must additionally consider the information, if any, provided to holders of such instruments in accordance with the provisions of the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission, as well as the information, if any, provided by the independent appraiser.
The Investment Committee must propose to the internal or external Officials or representatives of the Administrator who must attend the technical committees of the trusts corresponding to the Structured Instruments. This must be carried out in accordance with the rights and obligations established in each instrument, as well as in accordance with the rules provided in the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission.
The Investment Committee must define and approve policies regarding the alienation of assets or projects that have formed part of the assets of the trusts corresponding to the Structured Instruments and, where applicable, to FIBRAs, Real Estate Investment Vehicles, or Real Project-Linked Securities, in accordance with best practices for these purposes, ensuring that the interest of affiliates to the Retirement Savings System is protected at all times.
III.
Approve the content of a questionnaire that allows for the evaluation of the policies defined in the different concepts of the Structured Instruments, FIBRAs, and Real Project-Linked Securities in which the corresponding Investment Company intends to invest. To this effect, said questionnaire must correspond to that provided in Annex B, Chapter II, of these Provisions. Without prejudice to the foregoing, the Investment Committee may opt to apply contents different from those provided in said Annex B, Chapter II. In the event that the Investment Committee decides not to include some of the contents of the cited Annex in this subsection, it must justify such decision, which must be recorded in the corresponding Detailed Minutes. Likewise, the Investment Committee must clearly indicate if there is any additional information that must be added to the questionnaire referred to in this subsection, which must be clearly recorded in the corresponding Detailed Minutes;
IV.
With respect to Structured Instruments, FIBRAs, and Real Project-Linked Securities, they must define policies that the administrator, or the corresponding figure for Real Project-Linked Securities, must observe regarding the evaluation of operational, legal, technical, political, and social risks to which the underlying investments of the assets that will form the assets of the trusts corresponding to said instruments are exposed. The Investment Committee must consider the foregoing for purposes of the eligibility of the administrators, or the corresponding figure for Real Project-Linked Securities, in which the Investment Companies operated by the Administrator will invest. Such policies and their evaluations may be differentiated for each type of asset that forms the set of trusts corresponding to Structured Instruments, FIBRAs, and Real Project-Linked Securities, which must be clearly recorded in the corresponding Detailed Minutes;
V.
Opine on and authorize the amounts to be invested in Structured Instruments, FIBRAs, Real Estate Investment Vehicles, and Real Project-Linked Securities, based on the elements referred to in this article. The Investment Committee may define differentiated policies for each type of asset considered within Structured Instruments, FIBRAs, Real Estate Investment Vehicles, and Real Project-Linked Securities.
In the case of Structured Instruments, the Investment Committee may determine the participation of the Investment Company in voluntary participation schemes provided for in the issuance prospectus of the instrument in question. Such schemes may include optional series or non-mandatory capital calls, among others. The aforementioned voluntary participation schemes must be offered to all investors in the Structured Instrument, and the amounts assigned to each must observe policies established in detail in the issuance prospectus of the instrument in question, which may include, among other cases, pro-rata rules. The exercise of voluntary participation schemes may be subordinate to the Investment Company's compliance with investment commitments that are not voluntary in the Structured Instrument, or may be substitutes for these, in accordance with the issuance prospectus. The Investment Committee must define maximum investment policies through the voluntary participation schemes that the Investment Company must observe.
The provisions of this subsection must be clearly recorded in the corresponding Detailed Minutes, having the favorable vote of the majority of the Independent Directors who are members of the Investment Committee;
VI.
Must approve, where applicable, and in accordance with subsection II of Article 139 of these Provisions, an investment program in Structured Instruments referred to in item a), subsection LI, Second Provision of the General Provisions establishing the investment regime to which Investment Companies must be subject, one in FIBRAs, and one in Real Project-Linked Securities, in substitution for the individual authorizations of these assets. For such purposes, the types of eligible assets for each program must be defined with precision. Likewise, it must provide policies so that the investment area of the Investment Company, when implementing each investment program provided for in this paragraph, reports to the Investment Committee on the compliance of each instrument that forms part of each program. Such reporting must be regarding the subsections provided for in this article. Such investment programs may be differentiated for each of the types of assets considered in this paragraph;
VII.
Expressly state its opinion on the information collected through the questionnaire provided in Annex B, Chapter II that is provided by the investment area, or in case the risk area, regarding each Structured Instrument, FIBRA, and Real Project-Linked Securities in which it is intended to invest. The investment area, or in its case the risk area, will collect the questionnaire information for each Structured Instrument, FIBRA, and Real Project-Linked Securities in which it is intended to invest based on the information available to holders of the instrument in accordance with the rights and obligations established in each instrument, as well as in terms of the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission.
For Fiduciary Certificates of Investment Projects, the Investment Committee must consider the additional information, if any, provided by the co-investor.
The Investment Committee may propose in its respective sessions that the Administrator, through the Investment Companies it operates, carry out activities oriented towards the adoption of best practices for information disclosure for Structured Instruments, FIBRAs, Real Estate Investment Vehicles, and Real Project-Linked Securities in which such Investment Companies already invest or plan to invest.
The foregoing, in the case of Structured Instruments, in accordance with the international standards of the "Institutional Limited Partners Association", ILPA, by its acronym in English and known in Spanish as the Association of Institutional Investors.
For Structured Instruments, FIBRAs, and Real Project-Linked Securities, policies must be provided so that the investment area of the Investment Company in question has an analysis of the characteristics and risks inherent to each instrument provided for in this paragraph in which it invests. When subsequent investments are made in any of the instruments referred to in this paragraph that have been previously acquired by the Investment Company, it will not be necessary to perform such analysis for the subsequent investments in that instrument. The provisions of this paragraph must be carried out in accordance with what is provided in Article 139 of these Provisions;
VIII.
With respect to Structured Instruments and FIBRAs, it must expressly state its opinion on the valuation criteria of the underlying assets. Likewise, the Investment Committee must state its opinion regarding said criteria once the Structured Instrument has an appraiser, including its experience and independence;
IX.
Approve the fee or commission collection function or policy of the Structured Instrument, FIBRA, Real Estate Investment Vehicle, and Real Project-Linked Securities, provided for in the placement prospectus, including that applicable during the project search period and on any other concept provided for in the placement prospectus of the instrument in question. Such approval must be made, at least, when Structured Instruments, FIBRAs, Real Estate Investment Vehicles, or Real Project-Linked Securities are acquired for the first time or when there is any change to the commission collection policy of any of these instruments. For Structured Instruments, the respective trust contract must establish that the payment of commissions, compensations, fees, distributions, incentives, or similar applicable to the administrator, the settlor, or persons related to them, must be subordinate to the payment of a certain determined or determinable amount to the holders of said instruments, except for those commissions, fees, distributions, or similar that are necessary for the operation of the administrator, settlor, or persons related to them, in relation to the services they provide to the respective trust. Regarding this, the Investment Committee may agree that modifications to the commission structure be proposed, which must be recorded in the Detailed Minutes of the corresponding session, have the favorable vote of the majority of the Independent Directors, express the reasons, and have available to the Commission the analyses that gave rise to said proposal;
X.
With respect to Structured Instruments, they must state their opinion regarding pending capital calls as to the amount and term in which they will be required, if applicable. Likewise, the Investment Committee may determine, being recorded in the Detailed Minutes of the corresponding session, having the favorable vote of the majority of the Independent Directors who are members of the Investment Committee, as well as expressing the reasons for its decision, not to participate in pending capital calls of some Structured Instrument that is part of the investment portfolio of the Investment Companies, for which the Investment Committee must carry out the appropriate actions so that the Structured Instruments that are in the present case cease to be part of the investment portfolios of the Investment Companies;
XI.
For the case of Real Project-Linked Securities, for said instruments to be considered as placed by an independent issuer, the Investment Committee must have evidence of compliance with the following:
a)
That the issuance has an irrevocable trust, whose assets are one or several real assets or real projects, or the collection rights on the income they generate, in which case the income generated by the real assets, real projects, or collection rights must be contributed directly by said sources to the trust;
b)
That they are issued under the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission, and where applicable, the regulation applicable to Eligible Countries for Investments, and
c)
That they have credit ratings granted by at least two authorized securities rating institutions, in which case they must comply with the minimum credit ratings provided in the General Provisions establishing the investment regime to which Investment Companies must be subject applicable to the issuances of Debt Instruments.
XII.
Follow up on investments made in Structured Instruments and FIBRAs regarding net returns, risks, and investment decisions based exclusively on publicly available information and, in the case of Structured Instruments, based on information provided in technical committees or in assemblies to holders of the instrument in accordance with the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission, or by the independent appraiser or in its case the information provided by the co-investor;
XIII.
For the case of Structured Instruments, retrospectively and in accordance with the information available to investors in terms of the Securities Market Law and the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission, they must know the costs effectively paid and compare them with the costs defined in the placement prospectus of the Structured Instrument, for the underlying investments that have ceased to be part of the Structured Instrument, disaggregating the amounts of each concept for which such costs are incurred;
XIV.
With respect to FIBRAs, they must request the investment area of the Investment Company, or in its case the risk area, to follow up on the corporate rights policy, such as equity right distributions, the results of assemblies, and any relevant event that occurs during the period;
XV.
With respect to Structured Instruments referred to in item a), subsection LI, Second Provision of the General Provisions establishing the investment regime to which Investment Companies must be subject, they must observe that it is accredited to the Commission that the Administrator's representative in the technical committee of the Structured Instrument, and in its case in the holders' assembly, abstained from voting on the investment decisions of said instrument when the issuing trust makes investments in assets or projects of any Related Company or with Property Links with the Investment Company operated by the Administrator in question;
XVI.
For the case of Fiduciary Certificates of Investment Projects, they must verify that:
a)
The structure of the instrument involves the participation of a parallel vehicle or co-investor, which invests in the same projects as the issuing trust. The investment of the parallel vehicle or co-investor must represent at least 30% of the value of the financed projects. The co-investor's investment can even be through the acquisition of the certificates themselves;
b)
The resources of the issuance are destined for investment in projects in Mexico. The investments referred to in this paragraph must be made directly or in its case through investment vehicles of the same nature as Structured Instruments;
c)
The trust contract of the instrument indicates that when there is judicial opposition by holders with the right to do so, the administrator of the instrument is obliged to suspend the investment, and
d)
The trust contract of the instrument establishes that the administrator of the instrument, regardless of whether it is a financial entity or a different one, will look after the interests of investors first and at all times.
XVII.
With respect to FIBRA-E, they must define policies to analyze, evaluate, and in its case, follow up on:
a)
The policies or criteria for the leverage of the Mexican societies acquired by the trust;
b)
The maximum leverage levels of the trust, and
c)
Analyze and evaluate if the administration of the instrument is internal or external.
XVIII.
For the case of Structured Instruments, it must ensure that the maximum amount to be invested in each Structured Instrument is not higher than the equivalent to 2% of the Total Asset corresponding to the set of Basic Investment Companies eligible for investments in Structured Instruments, operated by the same Administrator. The Investment Committee may modify the maximum percentage limit to invest described in this subsection, for which it must have the favorable vote of the Independent Directors and must clearly record it in the Detailed Minutes of the corresponding session;
XIX.
For the case of FIBRA-E and Fiduciary Certificates of Investment Projects, it must ensure that the administrator participates with 2% or more of the value of the investments made through the FIBRA-E and Fiduciary Certificates of Investment Projects, in case the administrator participates as a co-investor of the FIBRA-E or Fiduciary Certificates of Investment Projects in question, such 2% participation will not be additional to the amount of the co-investment. The Investment Committee may modify the minimum percentage limit to invest described in this subsection, which must be recorded in the Detailed Minutes of the corresponding session, have the favorable vote of the majority of the Independent Directors who are members of the Investment Committee, record the approved limit and express the reasons, as well as have available to the Commission the analyses by which the modification to said limit was determined;
XX.
For the case of FIBRAs, it must ensure that the joint investment of the Investment Companies operated by the Administrator, belonging to the same issuance, can be up to 35% of the total value of the issuance, and
XXI.
Investment Companies that fail to comply with the rules provided in Annex T of these provisions must suspend their participation in other Structured Instruments until they comply with the investment regime, without prejudice to the foregoing, Investment Companies must participate in pending capital calls of Structured Instruments in which they have previously participated in order to avoid any harm to the savings of Workers.
In the case of Structured Instruments and FIBRAs, the Head of the Investment Area must update the Investment Committees with the information of the Structured Instrument and the FIBRA when it makes investments or divestments of underlying projects and this information becomes known to investors.
The obligations provided for in this article must be evaluated and, in its case, updated annually or earlier if the Investment Committee requests it based on publicly available information in terms of the Securities Market Law, the General Provisions applicable to securities issuers and other securities market participants, issued by the National Banking and Securities Commission and, where applicable, based on the information provided to holders of Structured Instruments, FIBRAs, and Real Project-Linked Securities and that from the independent appraiser. For Fiduciary Certificates of Investment Projects, the information provided by the co-investor must additionally be considered. For Real Estate Investment Vehicles, the information disclosed in accordance with the applicable regulations of Eligible Countries for Investments may be considered.
The evaluations must be presented in the next ordinary session of the Investment Committee in case relevant changes occur in the structure or operation of any Structured Instrument, FIBRA, Real Estate Investment Vehicle, or Real Project-Linked Securities, when any of these instruments are acquired or alienated, or when the Investment Committee requests it.
To comply with the analyses or application of policies provided for in subsections II, VII, and XIV of this article, the Administrator must designate as responsible the Investment Committee or the Financial Risk Committee. In case the Administrator defines the Investment Committee, it must:
1.1.
Designate the Official of the investment area responsible for complying with the analyses or application of policies provided for in this subsection, and
1.2.
Verify that the designation and the activities to be performed are included in the Investment Manual.
Article 31.- The Investment Committees shall approve and monitor the investment in Equity Components, for which they must:
I.
Define and approve the Investment Strategy for Equity Components in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, the criteria defined by the Risk Analysis Committee, and the limits defined by the Financial Risk Committee, considering different investment horizons authorized by the Investment Committee;
II.
Approve the Equity Components contained in the Authorized Investment Regime and, where applicable, the Structures Linked to Equity Underlyings, in the terms provided in these Provisions. Additionally, they must approve the Permitted Deviation of Stock Indices provided in the General Provisions establishing the investment regime to which Investment Companies must be subject, as well as investment in individual stocks;
III.
Have previously an analysis on the characteristics and inherent risks defined by the Investment Committee for the Equity Components intended to be acquired in accordance with the Prudential Rules on risk management issued by the Commission. In the case of investments in initial public offerings and individual stocks, said analysis must include the fundamentals of the company being financed in accordance with what is established in Annex C of these Provisions. In the case of replicating a national stock or real estate index, and if it presents deviations in a range that does not exceed +/- 1.5 percentage points of the official weights, avoiding that said weights be negative, the analysis on the characteristics and inherent risks will be required, but not the analysis of the company fundamentals referred to in the previous paragraph. Notwithstanding the foregoing, the fundamental analysis will be required when an issuer is not part of the index being replicated;
IV.
Analyze the liquidity of Equity Components in the secondary market;
V.
Periodically monitor the observed and expected performance of investments made in Equity Components. For this purpose, the performance and risk measures approved and indicated by the Investment Committee in the Investment Manual must be considered. The measures provided in this paragraph will not replace the measures defined by the Financial Risk Committee that must be used to evaluate compliance with Prudential Limits, and
VI.
Periodically monitor compliance with the criteria defined by the Risk Analysis Committee, applicable to Vehicles whose purpose is to replicate Equity Components. Likewise, said policies must include the administrator's experience as a manager of Vehicles, including Mutual Funds and, where applicable, stock, debt, or real estate Vehicles, and the minimum amount of assets under management required.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fraction I: annually, and
1.2.
The information from fractions III to VI: every four months.
Article 32.- The Investment Committees shall define, approve, and monitor the Investment Strategy in Currencies, attending to what is provided in Annex D of these provisions, for which they must:
I.
Define and approve the Investment Strategy in Currencies, in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, quantified in accordance with these Provisions, the limits defined by the Financial Risk Committee, and considering different investment horizons, as well as the criteria defined by the Risk Analysis Committee. For the purposes of what is provided in this fraction, Pure Currency Positions, as well as the aggregate, direct, and indirect exposure of the investment portfolio in Currencies, must be considered;
II.
Have beforehand, prior to investment, an analysis on the characteristics and inherent risks defined by the Investment Committee for the investment in Currencies intended to be acquired, in accordance with these Provisions, and
III.
Analyze the liquidity of Currency investments whose exposure is provided for in the Investment Strategy.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fraction I: annually, and
1.2.
The information from fractions II and III: every four months.
Article 33.- The Investment Committees shall define, approve, and monitor the Investment Strategy of the Asset Managed by the Investment Company in Debt Instruments and Foreign Debt Securities, except for Securitized Instruments and government securities, for which the Investment Committees must:
I.
Define, approve, and monitor the Investment Strategy in Debt Instruments and Foreign Debt Securities issued, guaranteed, or accepted by the same issuer, in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, quantified in accordance with these Provisions, the limits defined by the Financial Risk Committee, as well as the criteria defined by the Risk Analysis Committee. For such purposes, the Investment Committee must define the investment horizon, credit rating, amounts, and percentages of the Total Asset of the Investment Company in question;
II.
Create and update matrices containing the issuance and the required interest rate margin with respect to the corresponding government or sovereign reference for the different Debt Instruments or Foreign Debt Securities, which must be determined based on the variables and Risk Factors determined by the same Investment Committee, including the liquidity of the instrument, the payment seniority, the maturity term, and the credit rating. All Debt Instruments and Foreign Debt Securities referred to in this article must be included in one of the matrices provided in this fraction;
III.
Define and monitor policies regarding the analysis of Financial Risks applicable to Debt Instruments and Foreign Debt Securities that are acquired;
IV.
Monitor the internal credit evaluation criteria defined by the Financial Risk Committee;
V.
Define policies to classify issuances by sector, region, or other classification that the Investment Committee deems necessary. Monitor this classification to detect any deviation in the Investment Strategy or excessive concentration in any specific classification. Likewise, the Investment Committee must be informed of the Early Warnings monitoring carried out by the Financial Risk Committee for each defined classification;
VI.
For the case of Hybrid Debt Instruments, verify that a part of the issuance is carried out in international markets;
VII.
For the case of Hybrid Debt Instruments, analyze the liquidity in the secondary market and the Risk Factors that affect the price of these instruments, and
VIII.
For the case of Hybrid Debt Instruments, verify that the issuer has distributed dividends or profits to its investors previously and that it has bonds issued in recognized markets.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fractions I and IV: annually;
1.2.
The information from fractions II, VI, VII, and VIII: in accordance with what the Investment Committee establishes, and
1.3.
The information from fractions III and V: semi-annually.
The Investment Committee must define and approve the policies that the subcommittees provided for in article 46 of these Provisions or those designated by the Investment Committee must observe to update the information that will be presented in the sessions of said Committee for the following situations:
2.1.
Non-compliance with obligations;
2.2.
Changes in credit ratings;
2.3.
Changes in credit enhancers or guarantees;
2.4.
Application of specific rules of holder rights known in practice and in the English language as "covenants", and
2.5.
Other situations defined by the Investment Committee.
Without prejudice to the foregoing, the subcommittees or those designated by the Investment Committee must monitor the information referred to in the preceding items.
Article 34.- When the Administrator has the non-objection of the Commission to carry out operations with Derivatives, the Investment Committee must define, approve, and monitor the policy that will apply in the use of Derivatives, for which:
I.
It will define the underlyings to which it will acquire exposure, the terms, and the types of operations with Derivatives, within the set of operations for which it has the non-objection of the Commission;
II.
It will define the markets, trading platforms, and Counterparties with whom it can carry out operations with Derivatives;
III.
It will define the type and determine the amount of guarantees, the latter with respect to the value of the operations carried out, which it may give and receive during the validity of the operations;
IV.
It must monitor the maximum leverage limit defined by the Financial Risk Committee, for operations with Derivatives to which the Assets Managed by the Investment Company will be exposed, and where applicable, the Assets Managed by the Mandatories, which will be monitored by the UAIR and reported in each session of this Committee. These limits must consider the total leverage for the investment portfolio of the Asset Managed by the Investment Company and, where applicable, must define similar policies for the investment portfolio of the Assets Managed by each Mandatory;
V.
It must monitor the exposure and the market value of the operations that are considered for the calculation of Annexes E, F, G, H, and I of these Provisions, as well as Annex N of the General Provisions establishing the investment regime to which Investment Companies must be subject. These calculations will be made with the investment portfolio of the Asset Managed by the Investment Company, and where applicable, with the investment portfolio of the Assets Managed by each Mandatory;
VI.
It will define the criteria for the operation of purchase, sale, and confirmation in Derivatives markets;
VII.
It must monitor the credit ratings of the clearing houses and Counterparties with whom Investment Companies operate, and, where applicable, define a policy that Mandatories must observe in this regard;
VIII.
Define and monitor the use of credit lines of each Counterparty, and
IX.
It must have a periodic analysis that identifies the positions of operations with Derivatives that it considers may have an effect that is exacerbated by the cycle of Risk Factors, known in practice as "pro-cyclical effects", and the methodology to monitor them, as well as to know the results of the risk metrics defined by the Commission applied to the investment portfolio of the Investment Company in question, and, where applicable, adjust the Investment Strategies with Derivative Instruments.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fractions I, II, III, IV, VI, VII, and VIII: annually, and
1.2.
The information from fractions V and IX: every four months.
Article 35.- The Investment Committees of Investment Companies, in case they approve the intermediation contracts in which they grant investment mandates to Mandatories, must:
I.
Approve internal guidelines for the operation of the mandate and compliance with the investment regime, within the operational criteria defined for this purpose by the Commission and the Risk Analysis Committee that have been notified to the Administrators. Likewise, the Administrators may define additional internal guidelines to those established by the Commission for the operation of the mandate;
II.
Define the content of the proposal request known in practice as "Request for Proposal", RFP, by its acronym in the English language, to select the Mandatories with whom it will celebrate the intermediation contract in accordance with the guidelines approved by the Risk Analysis Committee in this matter, and they must also ensure the application of the approved proposal requests;
III.
Define the content of the intermediation contracts in which they grant investment mandates to Mandatories in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject issued by the Commission, and the criteria defined by the Risk Analysis Committee;
IV.
Define the percentage of assets managed that will be granted through intermediation contracts to Mandatories;
V.
Determine the type of investment according to the region, asset, and investment horizon for which they are authorized, which the Investment Company will grant to the Mandatories that it has hired, where applicable;
VI.
Define a reference portfolio with which the performance of each Mandatory will be evaluated, which will be in accordance with the type of investment that the Investment Company has outsourced, and, where applicable, a maximum deviation margin on the weights or another deviation criterion relative to said portfolio. It will be the responsibility of the UAIR to monitor these measures;
VII.
Have a log in which modifications to the contract with each Mandatory, as well as deviations from it, are recorded and updated, and
VIII.
Determine the frequency of the calculation, as well as its horizon for the attribution of risk and performance of the investment portfolio of the Asset Managed by the Mandatory, applying a methodology approved by the Financial Risk Committee.
The information in this article must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fractions I to V and VII: annually, and
1.2.
The information from fraction VI: every four months.
For the purposes of analyzing the returns and risks provided to the Investment Committee, it must be indicated whether said measures adhere to international standards such as those issued by "Global Investment Performance Standards", GIPS, by its acronym in the English language and translated into Spanish as International Standards on Investment Performance Presentation, or any other standard that complies with international best practices.
Article 36.- The Investment Committees must define a reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Company with which the Administrator will evaluate the performance and risk of each Investment Company that operates, describing the long-term investment objectives.
Said reference portfolio must comply with what is established in the General Provisions establishing the investment regime to which Investment Companies must be subject and the following guidelines for its formation:
I.
Reflect the agreement of the Investment Committee itself regarding the investment horizon and composition by asset class for the reference portfolios most suitable for investing the Investment Company's investment portfolio;
II.
Consider the demographic characteristics of each Investment Company operated by the Administrator, as well as contemplate the variables that could modify its liquidity requirement, in such a way that the compliance with the long-term investment objectives is identified;
III.
Consider the risks and expected returns at 1, 3, 5 years, and historical since the start of investment or at least three alternative horizons defined by the Investment Committee. The above calculations must be carried out in accordance with the policies and horizons previously defined by the Investment Committee with the favorable opinion of the majority of the Independent Directors, including the update of the inputs. The foregoing must be recorded in the Detailed Minutes of the corresponding session of the Investment Committee. The investments area or, where applicable, the risk area must carry out the calculations of the risks and expected returns referred to in this fraction;
IV.
Have a deviation policy with respect to said reference portfolio;
V.
It must have the approval of the majority of the Independent Directors;
VI.
The Administrator, through the UAIR, will prepare the analysis of performance and risk attribution of the investment portfolio of the Total Asset of the Investment Company relative to the reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Company. The Assets Managed by the Mandatories may be excluded for the analysis referred to in this fraction;
VII.
Analyze the deviations between the weights by asset class for the reference portfolios or Risk Factor of the investment portfolio of the Asset Managed by the Investment Company and the investment portfolio of the Total Asset of the Investment Company with respect to the weights defined in the reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Company. The Assets Managed by the Mandatories may be excluded for what is provided in this fraction, and
VIII.
Reveal the formation and the deviation policy between the reference portfolio and the investment portfolio of the Total Asset of the Investment Company. The Assets Managed by the Mandatories may be excluded for what is provided in this fraction. Such revelation will be through the Administrator's Internet page once approved by the Investment Committee, for which they may observe the contents of the format provided for in Annex K of these Provisions.
The information from the preceding fractions must be updated and presented to the Investment Committee with the frequency indicated below, or earlier if said Committee so determines:
1.1.
The information from fractions I, II, IV, V, and VIII: annually;
1.2.
The information from fraction III: every four months, and
1.3.
The information from fractions VI and VII: monthly.
To comply with the calculations provided for in the preceding fraction III and the calculation of expected returns provided for in article 11 fraction III, the Administrator must define as responsible the Investment Committee or the Financial Risk Committee. In case the Administrator defines the Investment Committee, it must:
2.1.
Designate the Official from the investments area responsible for complying with the calculations provided for in this fraction, and
2.2.
Verify that the designation and the activities to be carried out are included in the Investment Manual.
Without prejudice to the foregoing, the definition of the reference portfolio must consider at least the following:
3.1.
The policy for the inclusion or exclusion of Target Investment Assets and the determination of their weights within the reference portfolio;
3.2.
The formation of the reference portfolio, detailing the authorized investment percentages for at least each of the following concepts:
a)
The asset classes for the reference portfolios, which will include Debt Instruments disaggregating from these the Securitized Instruments, Structures Linked to Underlyings, Equity Instruments, Commodities, Structured Instruments, FIBRAS, and Real Estate Investment Vehicles. Additionally, liquidity operations such as securities lending, repos, and deposits in Credit Institutions must be included. The Investment Committee may consider additional asset classes for the reference portfolios beyond those provided for in this item;
b)
Currencies, referred to in provision Second, fraction XXVII of the General Provisions establishing the investment regime to which Investment Companies must be subject, and Investment Units;
c)
Investments in National Issuers, Neutral Investment, and Foreign Securities;
d)
Investments made directly by Investment Companies and through Vehicles and Mandatories;
e)
Exposure through Derivatives, quantified through delta value and subject to the Differential of Conditional Value at Risk. Within these investments, the aggregate exposure by type of underlying must be indicated, considering, Currencies, interest rates, stocks, Commodities, references linked to inflation such as Investment Units, as well as the authorized percentage in listed and over-the-counter markets;
f)
Classification in accordance with the liquidity parameters of the investments, considering three qualitative scales referring to low, medium, or high liquidity. For these purposes, the Investment Committee must define the criteria to classify the investments in the three referred scales;
g)
Regarding Debt Instruments, they must specify the authorized percentages in accordance with:
i.
The credit rating;
ii.
The term to maturity or duration, considering at least the following ranges:
Securities with maturity less than or equal to 1 year;
Securities with maturity greater than 1 year and up to 3 years;
Securities with maturity greater than 3 years and up to 5 years;
Securities with maturity greater than 5 years and up to 10 years;
Securities with maturity greater than 10 years and up to 20 years, and
Securities with maturity greater than 20 years.
Securities with a maturity greater than 20 years.
The Investment Committee may determine an alternative measure to the maturity date.
iii.
The priority in collection rights, indicating at least whether it is common debt, subordinated debt, or convertible debt.
In all the above cases, the authorized percentages shall be calculated in accordance with these Provisions and the General Provisions establishing the investment regime to which Investment Societies must be subject.
3.3.
The rules that apply, where applicable, for the rebalancing of the reference portfolio, distinguishing those that apply to each class of asset for the reference portfolios or Risk Factor included in the reference portfolio, as well as at the aggregate level;
3.4.
The maximum deviation that the investment portfolio may observe with respect to the reference portfolio, which may include, among others, the so-called "tracking error". Such deviation must be determined with respect to the investment portfolio at the aggregate level and may be determined by class of asset for the reference portfolios or Risk Factor, for which such deviation must be technically substantiated;
3.5.
Policies for the inclusion and exclusion of assets in case of abnormal market situations, in which case a definition of abnormal market situations must be provided;
3.6.
Maximum investment policies for Investment Assets not included in the reference portfolio but which are part of the investment portfolios of the Investment Societies;
3.7.
Formula for calculating the level of return and risk of the reference portfolio, and
3.8.
Criteria for making adjustments to the reference portfolio in case of not having complete price information for the Investment Assets included in said portfolio.
The definition of the reference portfolio must be submitted to the Commission for its non-objection, having obtained approvals from both the Investment Committee and the Financial Risk Committee. For these purposes, the Commission shall have a period of 40 business days to issue its resolution. In the event that this period elapses without an express resolution by the Commission, the aforementioned reference portfolio shall be deemed non-objectioned.
For the purposes of the aforementioned non-objection, the information delivered to the Commission must meet the quality and characteristics required in this article.
The maximum authorized deviation with respect to the reference portfolio and the investment portfolio, as well as the rebalancing rules, may be adjusted by the Investment Committee every twelve months, and the Administrator must inform the Commission no later than 5 business days after the approved adjustments.
The Administrator must have available to the Commission evidence that the Internal Comptroller supervised that the reference portfolio corresponds to what was approved by the Investment Committee and the Financial Risk Committee.
Article 37.- The Investment Committees must be aware of the results regarding portfolio stress scenario tests approved by the Financial Risk Committee applicable to the investment portfolio of the Asset Managed by the Investment Society, in accordance with what is provided in Article 63 of these Provisions. Likewise, the Investment Committees must be aware of the evaluations of Value at Risk, Conditional Value at Risk, and Differential Conditional Value at Risk measures.
Article 38.- The Investment Committees must follow up on compliance with the criteria issued by the Risk Analysis Committee regarding Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments, Debt Indices of Eligible Countries for Investments, Vehicles, Real Estate Investment Vehicles, Mandatories, Custodians, and Merchandise that the Commission notifies to each Administrator or the Investment Societies that it operates.
Article 39.- The Investment Committees must opine and propose improvements to the financial operation mechanisms in the contingency situations foreseen in Title III, Chapter IV of these Provisions.
Article 40.- The Investment Committee may opt for a set of variables, requirements, policies, evaluations, Risk Factors, and analyses different from those provided in Article 28, fraction III, Article 29, fraction IX, Article 30, fractions IV, V, and XIV, Article 31, fractions III, V, and VI, and Article 38, as well as the contents provided in Annex C of these Provisions.
The foregoing must be recorded in the Detailed Minutes of the session in which it is approved by the Investment Committee and must have the approval of the majority of the Independent Directors of said Committee.
When an Independent Director of the Investment Committee is incorporated, said Director, within a period not greater than 60 business days following the session in which they participate for the first time, must express their opinion regarding the policies approved by the Investment Committee that are in force on the matters provided in Articles 28, fraction III, 29, fraction IX, 30, fractions IV, V, and XIV, 31, fractions III, V, and VI, and 38, as well as the contents provided in Annex C of these Provisions that remain in force. The list of agreements on which they express their opinion must be recorded in the Detailed Minutes of the corresponding session.
Article 41.- The Investment Committees must define the policies and frequency of update, as well as the improvement of the Integrated Automated System that they apply to their activities.
The Administrator must designate as responsible the Financial Risk Committees, the Investment Committees, or a certain Official to define the policies and frequency of update of the Integrated Automated System that they apply to the confirmation, allocation, and settlement of operations, as well as the accounting record and generation of financial statements of the Investment Society. In the event that the Administrator designates an Official, this Official must not have a conflict of interest when performing the aforementioned activities.
The Financial Risk Committees or the Investment Committees must verify that the policies, frequency, as well as the designations of the responsible persons referred to in this article are incorporated into the Manual of Policies and Procedures for the Administration of Financial Risk, the Investment Manual, or, in the manual described in Article 62 of these Provisions, as applicable, depending on the designation made by the Administrator, in accordance with what is provided in the preceding paragraph.
Article 42.- The Investment Committees, in coordination with the Financial Risk Committees, must define the policies and frequency of update and improvement of the interconnections between the modules of the Integrated Automated System that they apply to the activities of both Committees. The automated interconnections between modules will be required when they interact directly.
Article 43.- The Investment Committee will define the policies for purchase or sale operations of Investment Assets negotiated through stock exchanges, Derivatives Exchanges, or electronic brokers opened simultaneously to financial participants.
Article 44.- The Investment Committees must expressly record in the Detailed Minutes, the current and potential conflicts of interest that may exist between the Administrator operating the Investment Societies and the persons with whom they have a Financial Nexus, whether directly through operations of the Investment Society or indirectly through mandates or analogous arrangements, in case of approving the acquisition and retention of Investment Assets, as well as the investment in authorized Vehicles that have been placed or structured by persons with whom they have a Financial Nexus, or when the resource flows derived from the investment can be received by said persons.
Article 45.- The Investment Committee of each Investment Society must be integrated by at least five members, among whom there must be an Independent Director, the general director of the Administrator operating the Investment Society, and the other members or Officials designated by the Governing Body of the Investment Society in question.
The sessions of the Investment Committee must be held in accordance with what is provided in Article 42 of the Law.
Among the members designated by the Governing Body, there must in all cases be a non-independent director and the Head of the Investment Area of the Administrator.
Each member shall have the right to one vote. The members of the Investment Committee must establish the internal procedure for the adoption of agreements in case of a tie in voting.
The Detailed Minutes of the sessions of the Investment Committee must be available to the Commission, which may be presented in stenographic version or by means of a recording that has the necessary security means to maintain the integrity of the information and the corresponding transcription. For these purposes, the secretary of said Committee must ensure the elaboration and integration of the corresponding Detailed Minutes. The Commission may request more information about the sessions of the Investment Committee from the secretary of said Committee.
This Committee must meet at least once a month, and its sessions will be valid only if they have a quorum of 80% of its members who participate with a vote, among whom the attendance of the general director of the Administrator and an Independent Director is required. The absence of the Independent Director or the general director of the Administrator may only be excused on two occasions per calendar year, the Committee must designate a responsible person during the absence of the corresponding person and only for such purposes.
The approval of agreements will be by majority of votes, without prejudice to the foregoing, the requirements for the opinion of the Independent Directors for the topics provided in these Provisions must be met. In the case where Independent Directors must pronounce themselves and they have divided decisions tied, prior to this condition, this Committee must define who has the casting vote among said directors.
Article 46.- The Investment Committee may create subcommittees whose purpose is to analyze the policies, strategies, classes, and types of Investment Assets that are presented to the Investment Committee.
For these purposes, the subcommittees must comply with the following:
I.
That they are constituted in the terms determined by the respective Investment Committees;
II.
That the information related to the functioning of the subcommittees is documented, indicating at least the members, guests, powers, policies, strategies, and accountability mechanisms towards the Investment Committee, and
III.
The activities carried out by the subcommittees must be endorsed by the Investment Committees, being recorded in the corresponding Detailed Minutes, as well as revealed in the Investment Manual.
Among the activities that the subcommittees carry out, the preparation of the necessary documentation for the decision-making of the aforementioned Investment Committee may be contemplated, which must be available to the Commission.
The creation of subcommittees does not exempt the Investment Committee from having the necessary information for its decision-making and fully complying with the obligations provided in the current regulations.
Article 47.- The Internal Comptrollers and the persons responsible for the risk area must attend the sessions of the Investment Committees operated by the Administrator for whom they provide their services. In all cases, they will participate with voice but without vote.
Article 48.- The members of the Investment Committee with voice and vote cannot be members of the Financial Risk Committee with the exception of the general director of the Administrator operating the Investment Society in question.
Article 49.- The Independent Directors who are members of an Investment Committee must demonstrate the minimum experience of five years referred to in Article 50, fraction I of the Law, in financial matters.
The Independent Directors and the attendees at the sessions of the Investment Committee must manifest the potential conflicts of interest that they may face regarding the portfolio management topics that are the subject of their evaluation. The Independent Directors must abstain from exercising their right to vote in cases where they have manifested facing a conflict of interest.
CHAPTER II
OF THE HEAD OF THE INVESTMENT AREA
Article 50.- Each Administrator must have a Head of the Investment Area. The Head of the Investment Area must be an Official who reports directly to the general director of the Administrator according to the organizational structure of the Administrator. To be the Head of the Investment Area, the following requirements must be met:
I.
Demonstrate to the Commission moral solvency, as well as technical and administrative capacity:
a)
A person is considered to have moral solvency when:
i.
They are not disqualified from exercising commerce or for holding an employment, position, or commission in the public service, or in the Mexican financial system;
ii.
They have not been convicted by a final judgment for an intentional crime, and
iii.
They enjoy recognized professional prestige.
b)
To meet the requirement of technical and administrative capacity, they must prove professional experience of at least seven years in the management of investment portfolios, and
II.
Declare under oath to the Administrator, that they know the code of ethics prepared by the Administrator to whom they provide their services, to which they must be subject for the realization of personal investments in order to avoid any type of conflict of interest.
Article 51.- The Head of the Investment Area will have in charge, at least, the following functions:
I.
Be responsible for the execution of the policy and Investment Strategy determined by the Investment Committee, within the parameters established by the Investment and Risk Committees of the Investment Society, for which they must execute said strategy based on the resources available for such purposes of the Administrator itself, or in its case, issue the corresponding instructions to other Operators, or to Financial Service Providers, including the Mandatories. Likewise, they must review the reports issued by the Mandatories;
II.
Perform their functions in accordance with external and internal regulations in the performance of their position and the investment area. Such regulations include the Laws, Regulations, Circulars, Guidelines, and other Provisions of the Savings for Retirement System in matters of investments, and
III.
Enforce the deviation policy with respect to the reference portfolio applicable to the investment portfolio of the Total Asset of the Investment Society once approved by the Investment Committee.
CHAPTER III
OF THE INVESTMENT MANUAL
Article 52.- Each Administrator must prepare an Investment Manual, which must be approved by the Investment Committees and by the Governing Body of the Administrator itself, having the favorable vote of the majority of the Independent Directors.
The Administrator must have available to the Commission evidence of the following:
1.1. The Investment Manual was reviewed at least by the Head of the Investment Area, and
1.2. The Internal Comptroller supervised that the content of the Investment Manual corresponds to what was approved by both the Investment Committee and the Governing Body of the Administrator itself.
When the Administrator must present to the Commission its request for non-objection to the Investment Manual, the Commission shall have a period of 40 business days to issue its non-objection. In the event that this period elapses without an express resolution by the Commission, the Manual shall be deemed non-objectioned.
For the purposes of the foregoing, the request for non-objection of the Investment Manual must be accompanied by the electronic version in which the proposed modifications in the project submitted for the non-objection of the Commission are formally and clearly identified. In the event that said Manual is modified, the non-objections by the Commission will be granted only on the modifications identified in the projects, so any other modification not identified in the manner described in this article will not be part of the non-objectioned Investment Manual.
For the purposes of the non-objection of the Investment Manual referred to in this chapter, the Administrators must only have the non-objection of the Commission regarding the contents of investments in: Merchandise, Currencies, Structured Instruments, FIBRAS, Real Estate Investment Vehicles, Exchange-Traded Certificates Linked to Real Projects, Derivatives, individual shares, and investments through Mandatories. For the purposes of obtaining the non-objection of the Investment Manual, the information delivered to the Commission must meet the quality and characteristics required in this Chapter, as well as what is provided in Articles 4, 30, 36, 41, 46, fraction III, 128, and 139, fraction I of these Provisions, as applicable, in accordance with what is established in each of said articles.
The Commission may require at any time that the Administrator present the Investment Manual to it and that the Administrator make the necessary adjustments to said Manual.
The Investment Manual must specify the following elements:
I.
The policies and procedures for the acquisition of Investment Assets, which the Investment Committee has authorized to invest the resources of the Investment Society. Likewise, it must indicate both in the Investment Manual and in the information prospectus those Investment Assets provided for in the investment regime in force in which the Investment Committee has not authorized investing the resources of the Investment Society within the Authorized Investment Regime. Such investment policies and procedures may be determined by general guidelines authorized by the Investment Committee;
II.
The obligation on the part of the members of the Investment Committee, the Head of the Investment Area, and the Operators, to recognize the responsibility inherent to their position and to prioritize above all, the interest of the Workers over any other;
III.
The procedures for the structuring and settlement of Structures Linked to Underlyings;
IV.
The minimum standards of information disclosure determined by the Investment Committee, of the issuers of Investment Assets eligible to be acquired by the Investment Societies operated by the Administrator, in compliance with what is provided by the applicable regulations;
V.
The methodology that must be followed to carry out the analysis of the investment portfolios referred to in Article 63 of these Provisions;
VI.
The methodology that must be followed to carry out the analysis of the Structured Instruments, FIBRAS, and Exchange-Traded Certificates Linked to Real Projects referred to in Article 139 of these Provisions;
VII.
The minimum requirements that the common representatives of the issuances must meet so that the Investment Societies can acquire them;
VIII.
That the persons responsible for confirmation, settlement, accounting record, and generation of financial statements, as well as for the allocation of operations, act independently of the Head of the Investment Area and the Operators;
IX.
The policies regarding firm price positions to operate with Derivatives;
X.
The establishment of internal policies for the selection of Counterparties, Custodians, and Financial Service Providers including Mutual Funds, Mandatories, in their case, Merchandise Operators and Mandatories of Structured Instruments known in practice as fund of funds, as well as for the selection of Vehicles, Real Estate Investment Vehicles, and mechanisms with exposure to permitted underlyings in the General Provisions establishing the investment regime to which the Investment Societies must be subject. The policies for the selection of Counterparties must include an analysis containing the evaluation of credit or credit risk, reputational risk, and liquidity risk of the Counterparty, as well as an analysis of the legal structure of the execution of guarantees. In the case of contracts established in the modality known in practice as "delivery against payment", it will not be necessary to elaborate the credit risk evaluation of the Counterparty. Likewise, the criteria that were taken into account to define the policy for the selection of Counterparties must be indicated;
XI.
The mechanisms necessary to access the best interest rates or prices current in the market at the time of concluding operations for Investment Asset, subject to the following and in their defect to the best international practices observed in the market:
a)
The definition of mechanisms to conclude operations at the best available price or rate, including the Brokerage Costs that result from operations with Investment Assets;
b)
The electronic and communication means through which quotes are allowed to be obtained;
c)
The definition of policies for order execution considering the amounts to be negotiated, as well as the depth and liquidity of the markets;
d)
The definition of policies for the execution of Package Execution Orders and Blind Execution Orders, as well as other mechanisms similar to these, employed by the Investment Society, for which it must comply with the following requirements:
i.
The Administrator must have the technological capabilities and methodologies, according to what is established in the same Investment Manual and in the Manual of Policies and Procedures for the Administration of Financial Risk. Likewise, the Administrator must have the necessary technological capabilities to carry out the risk control policies established by the Financial Risk Committee and to evaluate if said operations are executed at the best price;
ii.
Have evidence showing that the operation of Order Execution in
The package was executed at the best available price, which must be made available to the Commission and the Regulatory Comptroller, and
iii.
These operations must be carried out exclusively through markets listed in
Eligible Countries for Investments.
e)
The minimum number of quotes before executing an operation;
f)
The time period allowed for quoting;
g)
The time period allowed to execute the distribution of investments among
Investment Societies;
h)
Evidence in magnetic, electronic, documentary, and other
analogous media, supporting adherence to the policies adopted to ensure that the
operations carried out are conducted in accordance with best execution policies;
i)
The sanctions applicable to employees of the Administrator who violate the internal
and external regulations applicable to them;
j)
The policies approved by the Investment Committee for the hiring of Mandatories, and
k) The exception mechanisms to the criteria provided for in the preceding subsections of this
fraction, determined by the Investment Committee.
In the event that operations are carried out through Financial Service Providers,
including Mandatories and Mandatories of Structured Instruments, the
Administrator must agree in the contracts entered into with them on mechanisms so that the
operations are executed at the best interest rates or prevailing market prices at the
moment of execution. These mechanisms must be contained in the
Investment Manual;
XII.
That the code of ethics provided for in articles 65 and 66 of these Provisions, contains
a section applicable to members of the Investment Committee and to Officials of the
investment area. This section must regulate matters related to the personal investments of such
participants in order to avoid any type of conflict of interest;
XIII.
In the case where the management of investments is carried out through a third party,
in addition to having a Head of the Investment Area, the
Administrator must determine the way in which it will ensure that:
a)
The confidential information of each entity is not used for purposes other than those
for which it was disclosed;
b)
There is no undue benefit on the part of the third party or its related entities from the
information provided by the Administrator, and
c)
In the third party's relationships with groups and financial entities with which it has Financial
Links, the provisions of articles 64 and 69 of the Law, the provisions of the
General Provisions establishing the investment regime to which
Investment Societies issued by the Commission must be subject, in the Prudential Rules
on risk management and in these Provisions shall be observed.
XIV.
It must contain policies for the management of the liquidity of the investment portfolio for which
it must consider at least the following:
a)
Characteristics regarding the liquidity of the Investment Assets that make up the
investment portfolio in accordance with the policies defined by the Investment Committee, which
must consider the following:
i.
Term of the instrument;
ii.
If applicable, credit rating of the issuance and issuer;
iii.
Markets in which it is traded and estimates on price differentials of
buy and sell;
iv.
Estimates regarding the depth and liquidity of the markets, conjuncturally and
structurally;
v.
Available trading platforms for said securities;
vi.
Securities lending and repurchase operations with said securities, and
vii.
If applicable, estimates on Coupons, dividends, and distributions.
The Investment Assets must be classified in accordance with the aforementioned policies.
b)
Monthly estimates of the net liquidity flows of the Investment Society
coming from, among others: transfers, partial and total withdrawals, results of financial
operations, particularly from operations with Derivatives, capital calls from
Structured Instruments, periodic contributions to individual accounts,
assignments and reassignments of individual accounts, flow from payment of Coupons,
dividends and distributions, asset maturities, early amortizations, and
transfers due to the age of the Workers. The analyses referred to in this paragraph
must be carried out using demographic, statistical, financial, and actuarial elements;
c)
Ensure that Administrators have projections with the net liquidity flows
generated by the investment portfolio of the Investment Society in question for each of the following 90 natural days subsequent to the date of analysis, as well as a projection of the net liquidity flows at 180 days, 1, 2, 3, 4, and 5 years, and
d)
Provide for a policy for the acquisition and management of Investment Assets, consistent with
the information and analysis derived from carrying out the processes described in this
article. In the event that the Investment Society does not invest in any Investment Asset
the policy in question shall not be determined;
XV.
Define the credit line policies for each Counterparty, particularly for operations with
Derivatives;
XVI.
Have the description of the Integrated Automated System for the activities of acquisition,
disposal, online registration of Investment Assets, and the database structure
generated for the monitoring of each of these activities, and
XVII.
The definition of the reference portfolio of each Investment Society and the maximum authorized
deviation.
The Investment Manual must comply with the provisions of these Provisions and must be
updated with the necessary frequency to achieve this objective. The Investment Manual must form
part of the Self-Regulation Program approved by the Governing Body of the Administrator in terms
of article 29, fraction I of the Law. The Officials of the Administrator and of the Investment Societies
must observe compliance with said Investment Manual.
CHAPTER IV
ON THE INVESTMENT PROCESS
Article 53.- Administrators must have for the operations they directly enter into
through their Operators an Integrated Automated System for the activities of acquisition,
disposal, and online registration of Investment Assets that meets at least the provisions set forth in
Annex L of these Provisions. The Integrated Automated System referred to in this
article must use inputs with a lag of one day or less if the Investment Committee so defines.
Article 54.- Administrators during the implementation of the Integrated Automated System must
use simultaneously the system they have to comply with what is established in these
Provisions. During the substitution of the Integrated Automated System, the Administrator will be
responsible for any non-compliance caused with these Provisions, with the General Provisions
establishing the investment regime to which Investment Societies must be subject, with the
General Provisions on the registration of accounting, preparation, and
presentation of financial statements to which Investment Societies must be subject, with the
General Provisions establishing the patrimonial regime to which
Administrators, Pensionissste, and Investment Societies and the special reserve will be subject, with the General Provisions
establishing the procedure for the construction of net performance indicators
of Investment Societies, with the General Rules that the Commission establishes for the delivery
of information and with what is provided for in the Prudential Rules on risk management.
Article 55.- Administrators must establish contingency policies for the case of technical
failures in the Integrated Automated System or any module of said system, as well as policies for
backup and continuity of the investment operation with which the Investment Society must have. Such
contingency policies must contemplate the functioning of the critical activities defined by the
Investment Committee, considering what is provided for in article 56 of these Provisions.
Article 56.- In the event that it is necessary to recover the continuity of operations, it must be carried out
at an alternate site that
will not be predictably affected by the same circumstances as the
site of the Administrator. The alternate site of the Administrator must fully satisfy these
Provisions, regarding the minimum functioning that Investment Societies must observe, as well
as the additional activities determined by the Administrator itself. In the event that the
Administrator determines the performance of additional functions beyond the minimum functioning at the alternate site,
the Administrator will be responsible for guaranteeing full compliance with these Provisions.
The minimum functioning of Investment Societies is understood to be the following activities:
I.
To be able to cross the price of the Investment Society on the platform defined by the
Mexican Stock Exchange;
II.
Send to the Commission the financial information referred to in the General Rules that the Commission
establishes for the delivery of information;
III.
Comply with all settlement obligations of Investment Assets that make up
the investment portfolio of the Investment Society, and
IV.
Carry out the necessary operations to comply with previously contracted obligations.
Article 57.- Administrators may not, via the Custodian or Custodians they have contracted,
transfer titles between Investment Societies unless a norm or authorization issued by the Commission
allows it.
Article 58.- Investment Societies may acquire or dispose of Investment Assets
only in Eligible Countries for Investments.
Article 59.- Investment Societies operated by Administrators must ensure that
the purchase or sale activities they carry out adhere to sound market uses and practices.
Purchase or sale operations of an Investment Asset negotiated through stock
exchanges, Derivatives Exchanges, or open electronic markets simultaneously with financial participants, are
considered market operations.
It is the obligation of the Administrator to maintain evidence in magnetic, electronic,
documentary, or analogous media, supporting adherence to the policies adopted to ensure that the
operations carried out will be conducted in accordance with best execution policies.
Article 60.- The Head of the Investment Area, or the Official whom he designates in writing,
must notify the Investment Committee at each ordinary session about excesses in the use of credit lines
by Counterparty in Derivative operations occurring during the last period between sessions.
Article 61.- Administrators may provide that contracts with Custodians include liquidity facilities
in the purchase or sale operations of Investment Assets, which must be
settled at the end of the day. These facilities will not generate any cost for Administrators or for the
Investment Societies operating them regarding the facilitated amount, provided they are settled at the end of the day.
Article 62.- The confirmation, settlement, assignment, accounting registration, and financial statement generation areas
of Investment Societies must have a manual indicating the policies and procedures governing their operation, as well as the description of the Integrated Automated System
they apply to their activities and the database structure generated for the monitoring of each of
these activities.
Said manual must be approved by the Investment Committee, the Financial Risk Committee, or the
Official designated as responsible by the general manager, with the approver recorded in
the manual itself. Likewise, in said manual, the Committee or Official responsible for
defining the policies and frequency of update and improvement of the Integrated Automated System in terms of
article 4, second paragraph of these Provisions must be recorded.
The aforementioned manual must be kept available to the Commission at all times.
CHAPTER V
ON THE BEHAVIORAL TESTS OF INVESTMENT PORTFOLIOS
Article 63.- The Head of the Investment Area, or whom he designates, must consider for his
investment decisions in FIBRAS, Real Estate Investment Vehicles, Commodities, Currencies, Debt
Instruments, Foreign Debt Securities, Equity Securities, and Foreign Equity
Securities that are part of the Asset Managed by the Investment Society, the results of the tests
carried out by the UAIR referred to in Title II, Chapter II of these Provisions. The aforementioned
tests must be carried out with a monthly frequency.
In the case of FIBRAS, Real Estate Investment Vehicles, and Certificates Linked to
Real Projects, Investment Societies may use Generic Instruments to carry out the
tests referred to in this article. For the case of Structured Instruments, portfolio tests must also be
carried out, which will only be enforceable from the moment the Structured
Instrument has investments and will be satisfied with the risk reports provided for such
effects by the administrator or the independent appraiser of the Vehicle in question. The Head of the
Investment Area, or whom he designates, must know and, if applicable, request modifications through
the technical committees of the Structured Instruments, regarding the contents of the tests provided for
in this paragraph. The results of these tests must be made known to the Financial Risk
Committee.
The results of the tests referred to in this provision must be presented to the
Investment Committee so that it considers them in its investment decisions for the Investment Society in the session
following their preparation and kept available to the Commission.
TITLE IV
ON SOUND PRACTICES
CHAPTER I
ON CORPORATE RIGHTS
Article 64.- Investment Societies operated by the Administrator, in the exercise of the rights
conferred by their shareholding participation in a company that is part of the investment portfolio of the
Asset Managed by the Investment Society, must comply with the following:
I.
Define a policy for the designation of independent directors of the financed company
in the boards of directors that oversee the economic value
and viability of the company or investment and the interests of the Workers. Among the
characteristics of independent directors are the following:
a)
Professional experience in activities such as directors;
b)
Adherence to the code of ethics established by the Investment Committee, which will include
among others:
i.
Abstaining from voting in which the independent director has a conflict
of interest in his person;
ii.
Provide for policies in which the independent director as representative of the
Investment Society has a conflict of interest with the company, and
iii.
Knowledge of the provisions of the Securities Market Law, particularly regarding
access to information that is not public for decision-making.
c)
Adherence to the rules and guidelines applicable to directors defined by the
regulatory authorities of securities markets and, if applicable, trade associations.
II.
Define a policy that, if applicable, will be applicable to situations in which the Investment Society decides not to appoint an independent director.
CHAPTER II
ON GOOD PRACTICES
Article 65.- The Governing Body of the Administrator must draft and approve a code of good
practices whose objective is to eliminate potential conflicts of interest in activities and decision-making
regarding investments and risk management. Likewise, the Governing Body of the
Administrator must draft and approve a code of ethics whose objective is to establish the principles with
which Officials
of the investment area, the risk area, the regulatory comptroller who perform observation tasks
on financial matters of Investment Societies, of the
areas or activities of confirmation, settlement, assignment, accounting registration, and financial statement generation
of investment operations as well as all those involved in the operation and decision-making
of Investment Societies, in the fulfillment of their functions.
I.
The code of good practices must include the following:
a)
Responsibilities and obligations determined by the Governing Body of the
Administrator, for each council member of said Governing Body;
b)
A policy that allows members of the Governing Body of the
Administrator to know the reports of independent experts, if applicable;
c)
A policy to detect and avoid real and potential conflicts of interest in activities
of investment and risk management that are presented before the Governing Body
of the Administrator;
d)
The criteria on which the remuneration policies of investment and risk personnel of
Investment Societies, as well as those responsible for the
areas of confirmation, assignment, settlement, accounting registration, and regulatory comptroller, could be based. The
Administrator has the obligation to provide the inputs so that they exercise, in time
and form, the necessary tools for the exercise of the powers of the Independent
Directors. Likewise, it will inform them regarding the matters in which their
opinion will be requested, and
e)
Internal sanctions, by type of non-compliance, in case of faults or omissions to what
is provided for in said code, including in an exemplary but not exhaustive manner, private reprimands, public reprimands, and removal from office.
The content of the code of good practices must be reviewed annually or earlier if so defined by
the Governing Body of the Administrator.
II.
The code of ethics must provide for the following:
a)
The principles to which Officials linked to the celebration of
operations must be subject;
b)
The mandatory compliance with the code and its publication on the Internet page of the
Administrator, and
c)
Internal sanctions, by type of non-compliance, in case of faults or omissions to what
is provided for in said code, including in an exemplary but not exhaustive manner, private
reprimands, public reprimands, and removal from office.
The content of the code of ethics must be reviewed annually or earlier if so defined by the Governing Body
of the Administrator.
Article 66.- The Governing Body of the Administrator may create a subcommittee with the object:
I.
Regarding the code of good practices, the following:
a)
Analyze potential conflicts of interest in investment and risk management
activities that are presented before the Governing Body of the Administrator;
b)
Analyze the content of the code of good practices, and
c)
Propose to the Governing Body of the Administrator the sanctions that in case should
be imposed on Officials who infringe the code of good practices.
II.
Regarding the code of ethics, the following:
Analyze matters related to the drafting and approval of the code of ethics, and
Analyze the content of the code of ethics.
In the event that the Governing Body of the Administrator does not create the subcommittee provided for in this
article, said Governing Body must authorize the contents of fractions I and II of this
article.
CHAPTER III
PRACTICES TO AVOID CONFLICTS OF INTEREST
Article 67.- Investment Societies are prohibited from carrying out the following investments with the
Total Asset of the Investment Society:
I.
Acquire directly or indirectly Investment Assets issued, accepted, or
guaranteed by Financial Intermediaries with which the Administrator operating the Investment
Society has Financial Links;
II.
Enter into operations with Investment Assets with Financial Intermediaries with which
the Administrator operating the Investment Society has Financial Links, and
III.
Enter into operations with Vehicles or Real Estate Investment Vehicles of which the
underlying Assets of the Vehicle are not known, in accordance with daily periodicity,
except in the cases provided for in these Provisions.
Investment Societies may acquire Vehicles and Real Estate Investment Vehicles, which are
sponsored or administered by Financial Intermediaries, Mandatories, or Service Providers with which
the Administrator operating the Investment Society has Financial Links, provided that such
Vehicles or Real Estate Investment Vehicles are included in the list published by the Commission on its
Internet page (www.consar.gob.mx) in accordance with what is provided for in the General Provisions
establishing the investment regime to which Investment Societies must be subject and the
criteria defined by the Risk Analysis Committee. Vehicles and Real Estate Investment
Vehicles must comply at all times with the provisions applicable to them.
Investment Societies, whose investment regime authorizes it, may acquire Vehicles through
primary placements and in the secondary market when the issuer is a trust constituted in a
Credit Institution that is part of the same financial group as the Administrator, or from which its
shareholders are part, which operates the Investment Society, it being stated in the trust contract
that is entered into, the conditions that the trustee will act on behalf of third parties, without assuming
any payment responsibility nor granting holders guarantees of any kind.
Likewise, Investment Societies may acquire the Structured Instruments referred to in the
previous paragraph, in the secondary market, using the services of the Credit Institution or the brokerage
house of the financial group of which the Administrator operating them is part or has a Financial Link,
so that on behalf and order, they carry out operations with securities, other than those that are prohibited
by article 69 of the Law.
Article 68.- Investment Companies shall adjust their practices with Financial Service Providers, and where applicable, with Mandatories, to what is provided in this Chapter, always avoiding operations that imply a possible conflict of interest. To this effect, it must be expressly agreed:
I.
That Financial Service Providers, and where applicable, Mandatories, may not carry out any operation for the contracting Investment Company when acting with Investment Assets that are part of the assets of the Financial Service Providers or the Mandatories;
II.
That Financial Service Providers, and where applicable, Mandatories, may not carry out any operation for the contracting Investment Company with Financial Intermediaries with whom the Financial Service Providers or the Mandatories have Patrimonial Links, and
III.
That Financial Service Providers, and where applicable, Mandatories, may not carry out any operation for the contracting Investment Company with Financial Intermediaries with whom the Administrator operating that Investment Company has Patrimonial Links.
Article 69.- The Normative Controller of the Administrator operating the Investment Company shall be responsible for observing the strict compliance with what is provided in this Chapter. Regarding the Asset Managed by the Investment Company, the Normative Controller must define in its Plan of Functions a process to observe deviations from what is established in this Chapter.
CHAPTER IV
OF THE CERTIFICATION OF OFFICIALS
Article 70.- Officials in charge of activities of Investment Companies must be certified in accordance with this article and Annex J of these Provisions. In particular, Officials of the investment area, the risk area, the normative comptrollership that exercise their duties in financial matters of Investment Companies, of the areas or activities of confirmation, settlement, allocation, accounting registration, and generation of financial statements of investment operations, must be certified by an independent third party of recognized prestige in the provision of financial education that the Commission designates to accredit their general knowledge in investment matters to exercise the functions they perform. The certification shall have a validity in accordance with Annex J of these Provisions.
Officials may only carry out purchase, sale, repo, securities lending, confirmation, settlement, allocation, or accounting registration and generation of financial statements operations of instruments on Investment Assets for which they are certified.
In the event that operational errors caused by Officials who failed to comply with the certification referred to in this article resulted in write-downs, costs, or losses to the Investment Companies, the Administrator operating the corresponding Investment Company must reimburse the aforementioned expenditures, for which the complete period in which the event occurred will be considered.
No person involved in the activities of Investment Companies who fails to comply with what is provided in these Provisions regarding the certifications provided for in this article may exercise functions for Investment Companies that require execution by a certified Official for a period greater than 60 business days.
Officials may not accumulate more than 60 business days without certification in an Administrator or different Administrators, counting the days from when they joined the areas referred to in different Administrators or in the same Administrator.
Without prejudice to the general financial certification referred to in this article, Officials in charge of activities regarding Investment Companies that carry out operations with Derivatives and Structured Instruments must additionally hold the specific certifications established in these Provisions, especially regarding the content of Annex J.
CHAPTER V
OF INDEPENDENT DIRECTORS
Article 71.- Independent Directors, once a year, within the four months following the closing of the social exercise, must submit an annual report to the Governing Body of the Administrator, which must contain their opinion on the areas of opportunity they identify in the Administrator in financial matters, as well as the most relevant activities of their management and the activities within the Committees to which they have attended during the reference period. This report must be available to the Commission at all times.
Article 72.- Independent Directors must be informed about Officials who cease to work or provide their services in the Administrator with positions equivalent to or higher than those responsible for each of the areas of the Administrator, among others, the Head of the Investment Area, the Head of Financial Risks, the Head of Operational Risks of the Investment Company, the Head of Administration and Finance, Legal, and the Internal Control Body.
Article 73.- At least once a year through their representation in the Governing Body of the Administrator, Independent Directors must propose and comment on improvements identified in the current corporate governance model of the Administrator.
Article 74.- The Administrator must provide the human and material resources necessary for Independent Directors to carry out their functions.
Article 75.- Independent Directors, upon leaving their position with the Administrator, within the four months following their departure, must submit a report to the Governing Body of the Administrator, which must contain their opinion regarding the situation of the Administrator in financial matters, the most relevant activities of their management, and the activities within the Committees to which they have attended during the period they remained in the Administrator, as well as matters pending or in process under their charge and other information they consider relevant. This report must be available to the Commission at all times.
TITLE V
OF THE PROVISION OF PRICES AND THE VALUATION OF INVESTMENT ASSETS
Article 76.- Administrators must value the Investment Assets owned by Investment Companies themselves or through a Valuation Society they hire. In any case, they must use the prices provided by the Price Provider, which may be different entities when applied to the Asset Managed by the Investment Company and to the Asset Managed by each of the Mandatories. Regarding Assets Managed by Mandatories, Administrators may hire a different Valuation Society.
Regarding the Total Asset of the Investment Company, Valuation Societies must value the shares representing the paid-up capital of Investment Companies.
For Assets Managed by the Investment Company, Valuation Societies, or where applicable, Administrators, must perform, in addition to the valuation of the Investment Assets referred to, the following:
I.
Calculate the fair value of the repo operations carried out by Investment Companies, and
II.
Calculate for all Investment Companies the Value at Risk, the Conditional Value at Risk Differential, and the risk measures defined by the Commission, as well as the risk measures that must be regulatorily proposed by the Financial Risk Committee of the Investment Company and approved by the Governing Body of the Investment Company.
For the purpose of valuing Assets Managed by Mandatories, Valuation Societies hired by Administrators must:
a)
Value the Assets Managed by Mandatories;
b)
Calculate the fair value of the repo operations carried out by Mandatories, and
c)
Calculate the risk measures defined by the Commission or, where applicable, those that must be regulatorily proposed by the Financial Risk Committee of the Investment Company and approved by the Governing Body of the Investment Company, applicable to the Assets Managed by Mandatories.
Article 77.- Administrators, before acquiring any Investment Asset, whether through Investment Companies or through Mandatories, must ensure they have the Updated Price for Valuation of the corresponding Investment Assets, in accordance with these Provisions on the Valuation Day on which said Investment Asset enters the investment portfolio of the Investment Company.
The Updated Prices for Valuation used to value the Investment Assets that make up the Asset Managed by Investment Companies and, where applicable, the interest, must correspond to the Valuation Day of the Investment Company's share. Assets Managed by Mandatories must be valued on the Valuation Day using prices that may be lagged in their determination date in accordance with the timeframes described in the General Provisions on the registration of accounting, preparation, and presentation of financial statements to which Investment Companies must adhere, issued by the Commission.
Article 78.- Administrators who have objections to the prices determined by the Price Provider or the Valuation Society in accordance with their activities must formulate them in writing to said entities and to the competent authority or in accordance with international practices established in the Eligible Country for Investments in question, in order to be resolved in accordance with the regulation applicable to them, and must notify the Commission of the aforementioned disagreement on the next business day following the date of publication of the objected price, indicating the resolution adopted by the Price Provider.
Administrators must retain for a period of 5 years the evidence provided by the Price Provider or the Valuation Society that supports the modifications, if any, made to the Updated Prices for Valuation or, where applicable, to the inputs used to determine compliance with the limits applicable to the risk measures determined by the Commission in accordance with the General Provisions establishing the investment regime to which Investment Companies must adhere.
Article 79.- Bank deposits of money made with Assets Managed by the Investment Company must be valued exclusively by Administrators, taking the closing balance of the day prior to the Valuation Day. Regarding the valuation in national currency of deposits in Foreign Currency, Administrators must use the Exchange Rate, or the Cross Exchange Rate for Valuation, valid for the Valuation Day. Bank deposits made with Assets Managed by Mandatories must be valued by an eligible third party in accordance with these Provisions determined by the Administrator, among which may be International Custodians or this same entity.
Article 80.- Administrators or, where applicable, Valuation Societies they hire for this purpose, must value daily in national currency the Investment Assets that form part of the Total Asset of the Investment Company in accordance with the Authorized Investment Regime, using the following:
I.
Updated Prices for Valuation applied to Investment Assets that form part of the Asset Managed by the Investment Company;
II.
Prices obtained by Administrators according to the methodology they develop in the Manual of Policies and Procedures for the Administration of Financial Risk, applied to Investment Assets for which these Provisions provide this valuation process, that form part of the Asset Managed by the Investment Company;
III.
Fair value of repo operations and value of bank deposits, applied to Investment Assets that form part of the Asset Managed by the Investment Company;
IV.
Risk Factors corresponding to the valuation date, applied to Investment Assets that form part of the Asset Managed by the Investment Company, and
V.
Valuation of Investment Assets of the Asset Managed by Mandatories.
Regarding Investment Assets denominated in Foreign Currency, except those provided for in article 79 of these Provisions, Administrators or, where applicable, Valuation Societies they hire for this purpose, must value them in national currency using the Exchange Rate and, where applicable, the Cross Exchange Rate for Valuation.
Likewise, Investment Assets that form part of the Assets Managed by Mandatories, except those provided for in article 79 of these Provisions, must be valued by the Administrator or, where applicable, by the Valuation Society they hire for such purposes, in national currency, applying, where applicable, Cross Exchange Rates for Valuation determined by the corresponding Price Provider.
Article 81.- Administrators or, where applicable, Valuation Societies they hire for this purpose, must calculate the fair value of the repo operations carried out by Investment Companies and, where applicable, Mandatories, using the Updated Prices for Valuation, and the accrued premium will be updated according to the term of the Valuation Day. Likewise, Administrators or, where applicable, Valuation Societies they hire for this purpose, must value the guarantees of repo operations, in accordance with articles 83 and 84 of these Provisions.
For the purpose of what is established in this article, the fair value of repo operations must be equal to the present value of the sum of the value of the cash, plus the repo premium. The present value, in turn, will be calculated using the discount rate provided by the Price Provider, corresponding to the term to maturity of the repo and the credit rating of the Counterparty with whom such operation is carried out.
Article 82.- Administrators or, where applicable, Valuation Societies they hire for this purpose, must calculate the Value at Risk, the Conditional Value at Risk Differential or, where applicable, the risk measure that, in accordance with the General Provisions establishing the investment regime to which Investment Companies must adhere, is defined, or that risk measure that must be regulatorily proposed by the Financial Risk Committee of the Investment Company and approved by the Governing Body of the Investment Companies or that defined by the Risk Analysis Committee applicable to Investment Assets that form part of the Assets Managed by Investment Companies.
Likewise, Valuation Societies hired by Administrators must calculate the risk measure that, in accordance with the General Provisions establishing the investment regime to which Investment Companies must adhere, is defined, that which must be regulatorily proposed by the Financial Risk Committee of the Investment Company and approved by the Governing Body of the Investment Companies or that defined by the Risk Analysis Committee, applicable to Investment Assets that form part of the Assets Managed by Mandatories.
CHAPTER I
PROVISION OF PRICES FOR THE VALUATION OF INVESTMENT ASSETS
Section I
Of the Provision of Prices for the Valuation of Assets Managed by the Investment Company
Article 83.- Regarding Investment Assets that form part of the Assets Managed by the Investment Company, Administrators must hire the services of a Price Provider, in order to receive from it the following services:
I.
Updated Prices for Valuation of Instruments of all Investment Assets that make up the Asset Managed by the Investment Company, except for:
a)
The fair value of repo operations;
b)
The value of bank deposits;
c)
The value of Structured Instruments, which have the valuation of an independent valuer of the settlor's assets of the Structured Instrument, of the promoted entities, the promoter, and the fund administrator, and
d)
Investment Assets provided for in articles 84 and 85 of these Provisions.
II.
Risk Factors of all Investment Assets that make up the Asset Managed by the Investment Company, excluding those provided for in articles 84 and 85 of these Provisions.
Article 84.- Regarding Investment Assets that operate in international markets and that form part of the Assets Managed by the Investment Company, Administrators may:
I.
Obtain the Updated Prices for Valuation from the Custodian they have hired for the safekeeping of securities and operations carried out in international markets, and
II.
Obtain the Risk Factors from the Custodian hired for the safekeeping of securities and operations carried out in international markets.
The Custodian referred to in this article must be authorized to carry out valuation activities by the competent authority of the Eligible Country for Investments where it is domiciled and may be a different entity from the Custodian hired for securities safekeeping activities in the national market.
Article 85.- Regarding Assets Managed by the Investment Company, the Administrator may obtain the value of operations with Derivatives that Investment Companies administered by it carry out in over-the-counter markets, using the valuation methodology approved by the respective Financial Risk Committees contained in the Manual of Policies and Procedures for the Administration of Financial Risk.
Section II
Of the Provision of Prices for the Valuation of Assets Managed by Mandatories
Article 86.- Regarding Investment Assets that form part of the Assets Managed by Mandatories, the Administrator must obtain the Updated Prices for Valuation and the Risk Factors applicable to the assets referred to in these Provisions from a Price Provider or may obtain them from a Custodian authorized to carry out such activities in Eligible Countries for Investments, which may be a different entity from those referred to in the previous Section.
Section III
Of the Provision of Prices for the Valuation of Investment Assets
Article 87.- The Updated Prices for Valuation corresponding to the Investment Assets that make up the investment portfolio of Investment Companies and, where applicable, the interest, must correspond to the Valuation Day of the Investment Company's share in question.
For this purpose, the Valuation Committee, referred to in article 46 of the Law, may determine the criteria regarding the information that will be considered for the purpose of calculating the Updated Prices for Valuation.
Likewise, through the general Rules that the Commission establishes for this purpose for the delivery of information, policies to define the operations and assets that will make up the positions that must be valued on each valuation date must be delivered to the Commission.
Section IV
Of the Hiring of the Price Provider
Article 88.- Each Price Provider or Custodian that the Administrator hires for the purpose of obtaining Updated Prices for Valuation must provide a single price for the Investment Assets it values.
For the case of Price Providers that the Administrator hires to value the investment portfolios managed by Mandatories and, where applicable, the investment portfolios managed by itself in international markets, the following shall apply:
I.
In the event that the Price Provider in turn requires the services of valuation experts, the Administrator that hired it must know which assets each expert will be responsible for valuing, and
II.
For the case of investment portfolios managed by the Investment Company itself, a single Price Provider must be used to value said Investment Assets. Notwithstanding the foregoing, the Administrator may hire a different Price Provider from that referred to in this paragraph to value the investment portfolio of the Assets Managed by the Investment Company that it operates in international markets.
The Administrator must inform the Commission of the policy it will follow to value the investment portfolios of Investment Companies it operates in international markets. This policy must be made known and approved by the Financial Risk Committee and reported to the Commission no later than 20 business days after approval by said Committee.
Article 89.- For Investment Assets that form part of the Asset Managed by the Investment Company, Administrators, in the contract they enter into with the Price Provider, must establish that it will provide the services referred to in article 83 of these Provisions.
In the event that the Administrator decides to hire the services of a Custodian for valuation purposes, it must provide at least the Updated Prices for Valuation of Investment Assets operated in international markets, as well as the Risk Factors of said securities and of operations with Derivatives carried out in foreign over-the-counter markets.
Article 90.- Administrators must establish in the contract they enter into with the Price Provider or the Custodian, that it must have the necessary information exchange systems to deliver daily to the Commission, on behalf of the Administrator operating each Investment Company, the Updated Prices for Valuation and the Risk Factors that, where applicable, correspond, to value and
determine the Value at Risk, the Conditional Value at Risk Differential, or the risk measures defined by the Commission or those that, in accordance with the provisions of these General Provisions, must be proposed by the Financial Risks Committee and approved by the Governing Body of the Investment Company, of the Investment Assets for which the Price Provider or the Custodian has been hired, with the characteristics established in the General Rules issued by the Commission for the delivery of information and under the terms of articles 83, 86, and 89 of these General Provisions.
Article 91.- Administrators shall inform the Commission regarding the Price Provider and the services contracted for the Assets Managed by the Investment Company, as well as regarding the Custodian and the Price Provider contracted for the Assets Managed by Mandatees, within 10 business days following the celebration of the contract, and with 20 business days' advance notice prior to the start of the respective contract's validity in the event of a change of Price Provider or Custodian.
For the above purposes, Administrators must keep available to the Commission a copy of the contract celebrated between the Administrator and its Price Provider or its Custodian, for the investment portfolio managed directly by the Investment Company and, where applicable, between the Administrator and the Price Provider or the Custodian for the case of Assets Managed by Mandatees. Likewise, within 10 business days following the ratification of the contract by the Governing Body of the Administrator, Administrators must keep available to the Commission a copy of the corresponding agreement, certified by the secretary of said Body, in which the approval of the hiring of the Price Provider or Custodian in question is recorded.
Likewise, all requirements that apply to Assets Managed by Mandatees must be indicated, as part of an annex, in the contract celebrated between the Administrator and the Price Provider or the Custodian.
The contract celebrated by the Administrator with the Price Provider may not have a validity of less than one year and must be ratified by the Governing Body of the Administrator, in the first session following the celebration of said contract. Likewise, the contract celebrated by the Administrator with the Custodian for the purpose of obtaining Updated Valuation Prices must establish an annual validity, unless the termination of the contract had been agreed upon prior to said validity period when the contract with the Mandatees had been cancelled before said period and the services of the Custodian became redundant.
CHAPTER II
ON THE VALUATION OF INVESTMENT ASSETS
Article 92.- Administrators, in the event that the Updated Prices for Valuation of the Investment Assets of the Total Asset of the Investment Company are not provided by the entity they have hired for such effect, must notify this fact to the Commission no later than 18:00 hours Mexico City time, on the business day prior to the Valuation Day.
In this case, Administrators must inform whether the omission in providing the Updated Prices for Valuation of the Investment Assets that form part of the Total Asset of the Investment Company was total or partial. In the event that the omission was partial, Administrators must indicate which of the Investment Assets were omitted.
Section I
On Contingent Valuation Procedures for Investment Assets that form part of the Asset Managed by the Investment Company
Article 93.- In the event that the Price Provider does not provide the Updated Prices for Valuation of the Instruments, Foreign Equity Securities, and Derivatives Transactions celebrated in standardized markets, Administrators, or Valuation Companies where applicable, must value said financial assets under the following terms:
I.
Using the Last Known Updated Prices for Valuation, which shall be updated according to the term of the Valuation Day.
In the case of Investment Assets that, due to being newly issued, have not been included in the Last Known Updated Prices for Valuation, they must be valued taking as a base the acquisition cost. In the case of Investment Assets denominated in Investment Units or its equivalent, or in Foreign Currencies, they shall be updated with the value of the Investment Unit or its equivalent, or with the Exchange Rate or with the Cross-Valuation Exchange Rate in effect for the Valuation Day, respectively;
II.
For titles that pay interest, the price without considering interest from the Last Known Updated Prices for Valuation shall be taken, and the accrued interest for the days elapsed until the Valuation Day shall be calculated.
In the case of Instruments denominated in Foreign Currencies, Investment Units or its equivalent, as well as Foreign Equity Securities denominated in Foreign Currencies, both the price and the interests shall be updated with the value of the Investment Unit or its equivalent or with the Exchange Rate or with the Cross-Valuation Exchange Rate in effect for the Valuation Day, as the case may be;
III.
For Derivatives Transactions celebrated in standardized markets, the Last Known Updated Prices for Valuation shall be taken, and
IV.
For Foreign Equity Securities, the Last Known Updated Prices for Valuation shall be taken.
Article 94.- In the event that the Price Provider or the Custodian, as applicable, do not provide the Updated Prices for Valuation of Foreign Debt Securities, Administrators must value said financial assets under the following terms:
I.
Using the Last Known Updated Prices for Valuation that shall be updated according to the term of the Valuation Day.
In the case of Foreign Debt Securities that, due to being newly issued, have not been included in the Last Known Updated Prices for Valuation, they must be valued taking as a base the acquisition cost.
In the case of Foreign Debt Securities denominated in Investment Units or its equivalent, or in Foreign Currencies, they shall be updated with the value of the Investment Unit or its equivalent, or with the Exchange Rate or with the Cross-Valuation Exchange Rate in effect for the Valuation Day, respectively, and
II.
For Titles that pay interest, the price without considering interest from the Last Known Updated Prices for Valuation shall be taken, and the interest for the days elapsed until the Valuation Day shall be calculated.
In the case of Foreign Debt Securities denominated in Investment Units or its equivalent, or in Foreign Currencies, both the price and the interests shall be updated with the value of the Investment Unit or its equivalent, or with the Exchange Rate or with the Cross-Valuation Exchange Rate in effect for the Valuation Day, respectively.
Article 95.- Administrators, in the event that they hire a Valuation Company for the calculation of the fair value of repurchase operations and it does not provide the corresponding value, must perform the calculation of the fair value of said operations using the Updated Prices for Valuation and the accrued premium shall be updated according to the term of the Valuation Day. Likewise, Administrators must value the guarantees of repurchase operations under the terms of article 81 of these General Provisions or, in the event that the Price Provider does not provide the Updated Prices for Valuation of an Instrument, must value the guarantees of repurchase operations under the terms of fractions I and II of article 93 of these General Provisions.
In the event that they do not have the Updated Prices for Valuation for the calculation of the fair value of repurchase operations, Administrators must use the Last Known Updated Prices for Valuation.
For the purposes of what is established in this article, the fair value of the repurchase shall be equal to the present value of the sum of the value of the cash plus the premium of the repurchase. The present value, in turn, shall be calculated using the discount rate of the Updated Prices for Valuation or, where applicable, the discount rate of the Last Known Updated Prices for Valuation, corresponding to the maturity term of the repurchase and in accordance with the credit quality of the Counterparty.
Article 96.- Administrators, in the event that the Price Provider or the Custodian, as applicable, do not provide the Risk Factors to calculate the Value at Risk, the Conditional Value at Risk Differential, or the risk measures defined by the Commission or those that regulatorily must be proposed by the Financial Risks Committee and approved by the Governing Body of the Investment Companies, of one or more Investment Assets of the Investment Companies, must use the Risk Factors of the day prior to that on which the Price Provider or the Custodian does not provide said factors, which correspond to the Investment Asset whose Risk Factor was not provided. In this latter case, if the Risk Factors were not available for any Investment Asset, the Administrator must use those Risk Factors that are authorized for these purposes by the Financial Risks Committee, the methodologies employed being documented and formalized. The Administrator must inform this Commission about said procedures no later than 10 business days following their approval.
Section II
On Contingent Valuation Procedures for Investment Assets that form part of the Asset Managed by the Mandatee
Article 97.- The Financial Risks Committee of the Investment Company must approve the contingent procedures defined by the Price Providers and the Valuation Companies they hire to calculate the Updated Prices for Valuation and the Risk Factors of the Investment Assets that form part of the Assets Managed by the Mandatee. Such approval must have the approval of the majority of the Independent Advisors of the Financial Risks Committee.
Likewise, the aforementioned procedures must adhere to the best international practices observed in the market.
The Administrator must inform this Commission about said procedures no later than 10 business days following their approval.
Section III
On the Hiring of Valuation Companies
Article 98.- Administrators that hire a Valuation Company must establish in the contract that the Valuation Company must have the necessary information exchange systems to deliver daily to the Commission, on behalf of the Administrator operating each Investment Company, the information for which it has been hired by the Administrators, in accordance with the characteristics established in the General Rules issued by the Commission for the delivery of information.
The contract celebrated by the Administrator with the Valuation Company must be ratified by the Governing Body of the Administrator, in the first session following the celebration of said contract.
Article 99.- When Administrators hire a Valuation Company, they must inform the Commission of this fact, as well as of the services contracted, within 10 business days following the celebration of the contract, and with 20 business days' advance notice prior to the start of the validity of the respective contract in the event of a change of Valuation Company.
For the above purposes, Administrators must keep available to the Commission a copy of the contract celebrated between the Administrator and the Valuation Companies that provide services applicable to the Assets Managed by the Investment Company or to the Assets Managed by the Mandatees. Likewise, within 10 business days following the ratification of the contract by the Governing Body of the Administrator, Administrators must deliver to the Commission a copy of the corresponding agreement, certified by the secretary of said Body, in which the approval of the hiring of the Valuation Company is recorded.
For the purpose of carrying out the valuation activities of the investment portfolio of the Asset Managed by Mandatees, Valuation Companies may provide administrative services for funds known in practice and in the English language as "fund services" for which they are authorized by the authorities that regulate and supervise them. The requirements that apply to the Assets Managed by the Mandatees must be indicated, as part of an annex, in the contract celebrated between the Administrator and the Valuation Company.
Section IV
On the Valuation of Shares Representing the Paid-in Capital of Investment Companies
Article 100.- The Valuation Committee, referred to in article 46 of the Law, may define criteria on the inputs that will be used to value positions in Countries Eligible for Investments that are maintained with the Total Asset of the Investment Company.
Article 101.- Administrators, or in their case the Valuation Companies they hire for such effect, must value in national currency the shares representing the paid-in capital of the Investment Companies.
The value of the shares representing the paid-in capital of the Investment Companies must be effected by dividing the book capital by the number of shares in circulation.
Article 102.- Administrators must be responsible for verifying that the value of the share on the stock exchange, rounded to millionths, is correctly and daily registered, through an independent third party or some other alternative mechanism provided for in the Securities Market Law, said value being the current valuation price for that day.
Article 103.- The sale or acquisition that Investment Companies carry out regarding the shares representing their social capital, will be made at the current valuation price of the day on which the operation in question is carried out.
TITLE VI
ON ACCESS TO INTERNATIONAL MARKETS
CHAPTER I
ON THE MECHANISMS OF ACCESS TO INTERNATIONAL MARKETS
Article 104.- Regarding international markets, the Total Asset of Investment Companies must only be operated with Financial Intermediaries, or in their case through Real Estate Investment Vehicles, Vehicles, including Mutual Funds among others, or through Financial Service Providers, including Mandatees.
Article 105.- Investment Companies may only celebrate contracts with Financial Service Providers and in their case Mandatees that enjoy moral solvency and recognized prestige in the financial markets.
When Investment Companies operate in international markets through Financial Service Providers and in their case Mandatees, they must previously subscribe with them the contract or contracts required for the Financial Service Providers and in their case Mandatees to act on behalf and order of the Investment Company in question.
In the contracts celebrated by Investment Companies with Financial Service Providers and in their case Mandatees to carry out operations in international markets, it must be agreed that the Financial Service Providers and in their case Mandatees will keep in separate accounts the investments they make on behalf of the Investment Company, from the investments they make on their own behalf or on behalf of any other third party.
Likewise, in the contracts referred to in this Title, the prohibitions established in Title IV, Chapter III of these General Provisions must be included and in the case of Mandatees, it must be provided that they also adhere to the guidelines approved by the Governing Bodies of the Commission, including the criteria defined by the Risk Analysis Committee, and indicate in the same that in case of non-observance, the contract will be considered terminated.
Article 106.- The contracts that are celebrated with Financial Service Providers, including Mandatees, to carry out operations in international markets must, at a minimum, meet the following requirements:
I.
Be approved in session by the Investment Committee, with the favorable vote of the majority of the Independent Advisors participating in it, and
II.
Be previously audited by a lawyer of recognized prestige in financial matters who has professional experience of at least five years in said matter, in whose opinion it must be expressly mentioned that the referred contract complies with what is provided in the regulations of the Retirement Savings Systems.
Article 107.- For the celebration of contracts with Mandatees, the Administrator must provide evidence to the Commission that the following requirements are met:
I.
Have a Process of Observation by the Regulatory Comptroller, under the terms of Title XV, Chapter IV of these General Provisions;
II.
Have a letter from the supervisory entity belonging to the Countries Eligible for Investments stating that the Mandatee has no pending antecedents or investigations;
III.
Inform the Governing Body of the Administrator;
IV.
Be the result of a selection process known as "Request for Proposal", RFPs, by its acronym in the English language, previously approved by the Investment Committee, with the favorable vote of the majority of the Independent Advisors;
V.
The cost of the investment mandate;
VI.
The maximum percentage of the Investment Company's investment portfolio that will be managed by the Mandatee;
VII.
The Asset Classes in which the Asset Managed by the Mandatee will be invested;
VIII.
A reference portfolio to evaluate the Mandatee, as well as limits and risk measures of the investment portfolio of the Asset Managed by the Mandatee relative to said portfolio;
IX.
That the contract provides for the obligation to calculate the attribution to risk and performance of the investment portfolio of the Asset Managed by the Mandatee, applying some methodology approved by the Financial Risks Committee. The periodicity of the calculation as well as the horizon must be defined by the Investment Committee;
X.
The investment strategy that the Mandatee will follow, including, without limitation, the investment horizon, the geographic region, and the Asset Classes that it will invest in;
XI.
That the contract provides for the obligation to have a list of selected Counterparties based on eligibility criteria for their selection determined by the Investment Committee of the Investment Company, and
XII.
The designation by the Mandatee of its knowledge of the prohibitions established in Title IV, Chapter III of these General Provisions.
The intermediation contract must also comply with the criteria approved by the Risk Analysis Committee and the General Provisions that establish the investment regime to which Investment Companies must be subject.
Article 108.- The contracts that Investment Companies celebrate with Financial Service Providers and in their case with Mandatees, as well as the opinions referred to in the previous article, must be available to the Commission at all times. In the event that the contract is written in a language other than Spanish, a translation into Spanish must be available, carried out by an expert translator authorized by the Council of the Federal Judiciary.
Likewise, Investment Companies must stipulate in the contracts they celebrate with Financial Service Providers and in their case with Mandatees, clauses that provide as a cause for termination of said contracts the non-compliance with the regulations of the Retirement Savings Systems.
Administrators may hire temporary administrators known in practice and in the English language as "transition managers" to initiate or wind up contracts with Mandatees. In the event of contract termination, operations already agreed upon but pending execution will continue to be operated until their conclusion.
Article 109.- Investment Companies and in their case Mandatees may operate with the Instruments and Foreign Securities permitted by the Authorized Investment Regime, and in compliance with the General Provisions that establish the investment regime to which Investment Companies must be subject, these General Provisions, and what has been approved by the Risk Analysis Committee, for which, when acquiring a Vehicle or Real Estate Investment Vehicle, they must ensure that the rights it confers to other types of financial assets are permitted by the investment regime.
To comply with the above, Investment Companies must adhere to General Rules issued by the Commission for the delivery of information for this purpose.
The Administrator may not hire Financial Service Providers, nor Mandatees, for them to make bank deposits on behalf of the Administrator.
Mandatee contracts may provide for the hiring or execution of the investment mandate with parent companies or subsidiaries of the Mandatee, provided that the social capital of said parent companies or subsidiaries belongs entirely to the Mandatee or to its controlling company, the latter known in practice and in the English language as "holding".
The Mandatees hired by the Administrator on behalf of the Investment Company must inform the Commission, through the Custodian hired by the Administrator for the safekeeping of the Assets Managed by the Mandatees, the composition of the underlying assets subject to the contract between the Mandatee and the Investment Company in accordance with what is provided by the General Rules issued by the Commission for the delivery of information for this purpose.
In the event that Investment Companies acquire Vehicles or Real Estate Investment Vehicles that, under the terms of the corresponding placement prospectus, expressly establish that they replicate underlying assets permitted by the Authorized Investment Regime, the obligation to inform the
Commission on the composition of the underlying assets of the Vehicle or Real Estate Investment Vehicle
will not be applicable, provided that the Investment Societies in question inform the Commission of the source of information in which the aforementioned requirement is recorded. Likewise, in this case, the Investment Societies must keep the offering prospectus of the Vehicle or Real Estate Investment Vehicle in question available to the Commission.
Article 110.- Administrators shall cover the costs incurred for advice, administration, management, handling, maintenance, or any other analogous service, regardless of the name given, charged by Financial Service Providers or Independent Service Providers, or those derived from the acquisition of Vehicles, Real Estate Investment Vehicles, or the acquisition or structuring of Structures Linked to Underlyings by Investment Societies, other than Brokerage Costs. Brokerage Costs shall be absorbed by Investment Societies.
The costs charged by Financial Service Providers or Independent Service Providers, as well as the costs of Vehicles, Real Estate Investment Vehicles, or Structures Linked to Underlyings, must be known and agreed upon prior to the provision of the service, the acquisition of the Vehicle, Real Estate Investment Vehicle, or Structure Linked to Underlyings, or when they are directly deducted from said Instruments.
Regarding Advisory Costs, such costs must be reimbursed by the Administrator to the Investment Society that incurred them.
In the case of Mandatories, Vehicles, and Real Estate Investment Vehicles, Administrators must cover the excess of costs over the maximums approved by the Risk Analysis Committee.
Article 111.- The Administrator, regarding the commissions it charges, must daily offset the corresponding amount for the account receivable for this concept, against the Advisory Costs incurred by the Investment Society.
For the purposes of this article, the Administrator or the Investment Society, on the first business day of each month, must settle the difference that arises from the daily offset between the account receivable for commissions on balance and the account payable for Advisory Costs of the previous month.
CHAPTER II
OF VEHICLES
Article 112.- The cost of Vehicles or Real Estate Investment Vehicles that confer, directly or indirectly, rights on the Investment Object Assets, for advice, management, investment handling, maintenance, or any other analogous service, regardless of the name given, must be covered by the Administrators. The aforementioned costs must be known and agreed upon prior to the acquisition of said Vehicles, and when they are directly deducted from said Vehicles, they must be reimbursed in full on a daily basis by the Administrator to the Investment Society that acquired them.
Regarding Vehicles or Real Estate Investment Vehicles that are subject to public offering, listed, and traded intraday on stock exchanges of Countries Eligible for Investments, Mutual Funds, as well as intermediation contracts entered into with Mandatories, the costs will be assimilated to the Investment Society that invested in them. The investment mechanisms provided for in this paragraph must comply with the criteria determined by the Risk Analysis Committee.
TITLE VII
OF THE CUSTODIAN
CHAPTER I
OF THE CONTRACTING OF CUSTODY
Article 113.- Administrators, as well as Investment Societies, must have only one Custodian for their operations carried out in international markets with Assets Managed by the Investment Society, which may be the same or different from the one they have contracted for their operations in national territory, for which the compliance with the contents of the General Rules established by the Commission for the delivery of information must be verified.
Administrators must hire a Custodian for operations carried out in international markets, which will focus on the Assets Managed by Mandatories, and may be different from those referred to in the previous paragraph; for the purposes of what is established in this paragraph, the compliance with the contents of the General Rules established by the Commission for the delivery of information must be verified.
Article 114.- Administrators may only enter into contracts with National Custodians and International Custodians. Such Custodians must comply with the following:
I. Carry out and monitor the transfer and settlement of Foreign Instruments and Securities, the payment of amortizations, Coupons, principal, and other accessories of the Foreign Instruments and Securities that form part of the investment portfolio of the Investment Societies operated by the Administrator and, where applicable, of the Mandatories;
II. Carry out the offsetting of Foreign Instruments and Securities when the debit and credit accounts are operated by the same Custodian;
III. Maintain an absolute separation between their assets and the resources of each of the Investment Societies operated by the Administrator and, where applicable, the resources of the Investment Societies managed by each of the Mandatories. For the purposes of the foregoing, securities depository institutions must maintain records that allow corroborating what is provided in this section;
IV. Meet the requirements established by the Risk Analysis Committee for the selection of Custodians;
V. Maintain a record for each Investment Society operated by the Administrator in question and, where applicable, one for each Investment Society on whose behalf each Mandatory operates;
VI. Be supervised and regulated by authorities belonging to Countries Eligible for Investments, and
VII. Carry out operations with Currencies in Countries Eligible for Investments and with Counterparties in accordance with the regulation of each country. For such purposes, they must demonstrate that operations are carried out at market prices and in compliance with the instructions issued by the Administrator or, where applicable, the Mandatory.
Article 115.- Administrators must make payments directly to Custodians for the services they provide. Under no circumstances may they be paid directly or indirectly by Investment Societies.
Article 116.- Administrators must verify and prove, with respect to the Investment Societies they operate, that as a result of the purchase and sale operations carried out during the day with the shares representing the share capital of the Investment Societies, as well as those carried out with titles and securities forming part of the investment portfolio of said Societies, when settlement is materialized, said securities, titles, and shares are deposited on the same day in a securities depository institution, in accordance with what is established by the Regulation. Likewise, the Administrator must ensure that, where applicable, Mandatories carry out a verification if the securities they operate have been effectively deposited in a securities depository institution authorized by the applicable regulations, considering the operations carried out with Assets Managed by the Mandatories.
CHAPTER II
OF THE REQUIREMENTS OF THE CONTRACT
Article 117.- In the contracts entered into by Administrators on behalf of Investment Societies with National Custodians and International Custodians, the following must be agreed:
I. That the payment for custody services is made directly by the Administrator;
II. That the settlement of operations is carried out under the modality known in practice as "delivery against payment," in financial markets where such modality exists;
III. That Administrators must receive from the Custodian contracted to safeguard the investment portfolio of the Assets Managed by Mandatories information on the operations that said Custodian carries out, as well as their position at closing.
The information that Administrators receive in terms of this section must comply with the General Rules established by the Commission for the delivery of information;
IV. The express authorization of the Administrator and the express obligation of the Custodian for the latter to send to the Commission, in accordance with the periodicity defined by the latter, the information they receive in terms of sections III and VII of this article;
V. The procedure that Administrators will use to instruct the Custodian, as well as for the latter to confirm the receipt of the instructions issued by the Administrator;
VI. That custody services to safeguard the investment portfolio of the Assets Managed by Mandatories contracted by the Administrator must be provided in all countries where Mandatories make investments. Likewise, international custody services for the safeguarding of the investment portfolio of the Assets Managed by the Investment Society must be provided in all countries where the Investment Societies operated by the contracting Administrator make investments. Without prejudice to the foregoing, Custodians may use sub-custodians that comply with the applicable regulations for Custodians provided for in these Provisions;
VII. The services that the Custodian will provide directly and the services that are provided through third parties.
In the event that the Custodian uses the service of third parties, the full assumption of responsibility by the latter for what is executed by third parties;
VIII. Where applicable, that the Custodian will provide prices for the valuation of the Assets Managed by the Investment Society in international markets and the corresponding Risk Factors for said securities. Likewise, the Custodian that the Administrator has contracted to safeguard the investment portfolio of the Assets Managed by Mandatories, where applicable, will provide prices for the valuation of said assets, as well as the corresponding Risk Factors;
IX. All requirements that apply to the Assets Managed by Mandatories must be indicated, as part of an annex, in the contract that the Administrator and the Custodian enter into, and
X. The means and manner in which the information required by the Commission will be delivered by the Custodian. It must be indicated that the Administrator will be responsible regarding the delivery of information to the Commission.
The Administrator will be responsible for verifying that the Custodian complies with what is provided in this article.
Article 118.- Contracts entered into with National and International Custodians must:
I. Be approved by the Investment Committee of each of the Investment Societies to which services will be provided, with the favorable vote of the majority of Independent Councilors participating in it, and
II. Be previously audited by a lawyer of recognized prestige in financial matters with professional experience of at least five years in said matter, in whose audit it must expressly mention that the referred contract complies with what is provided in the regulations of the Savings for Retirement Systems.
Administrators may only hire Custodians that comply with what is established in section IV of the previous Article 114.
Article 119.- Contracts entered into with Custodians, as well as the audits referred to in the previous article, must be kept available to the Commission at all times. In the event that the contract is written in a language other than Spanish, a translation into Spanish must be available, performed by an expert translator authorized by the Federal Judiciary Council.
Investment Societies may not carry out operations in the national or international market with any Custodian that fails to comply with what is provided in the General Provisions establishing the investment regime to which Investment Societies must be subject, issued by the Commission, in the Prudential Rules on risk management, these Provisions, the criteria defined by the Risk Analysis Committee, and the regulations issued for such purposes by the National Banking and Securities Commission or has any pending violation or investigation with the corresponding supervisory authority.
For the purposes of what is established in this article, Administrators on behalf of Investment Societies must stipulate in the contracts they enter into with Financial Service Providers or with Mandatories, clauses that provide as a cause for termination of said contracts the non-compliance with the regulations of the Savings for Retirement Systems.
In the event of contract termination, operations already agreed upon but pending execution will continue to be operated until their conclusion.
Article 120.- Administrators must notify the Commission, within three business days following the signing of the contract with the Custodian:
I. The name or corporate name of the latter;
II. Address, telephone, and email;
III. Date of contract start, and
IV. Technical responsible of the Custodian who will send the information.
Article 121.- Investment Societies may not carry out operations in national or international markets until the Commission notifies the Administrator that operates them that their International Custodian or the securities depository institutions are connected to the Commission's systems so that it receives daily information from them, and the corresponding tests have been made.
TITLE VIII
OF OPERATIONS WITH DERIVATIVES
Article 122.- Administrators that intend for their Investment Societies, either directly or through Mandatories, to initiate operations with Derivatives authorized by the Bank of Mexico in terms of Article 48, section IX of the Law, or with the Derivatives and underlyings referred to in Annex M of these Provisions, must previously comply with the following requirements:
I. Not have obtained from the Commission any unresolved observations regarding the instrumenting of their comprehensive risk management project in terms of the Prudential Rules on risk management issued by the Commission, to which Administrators must be subject with respect to the Investment Societies they operate;
II. At least one Operator and the Head of the Investments Area, as well as one Official and the head of the risk area, must be certified by an independent third party designated by the Commission for the operation with Derivatives.
For each of the areas of, regulatory oversight, confirmation, settlement, accounting registration, and generation of financial statements of the Investment Societies, there must be at least one Official certified by an independent third party designated by the Commission for the operation with Derivatives. The certifications referred to in this section will have the validity established in Annex J of these Provisions, and
III. Have an Automated Integrated System that allows them to measure and evaluate daily the risks arising from operations with Derivatives, their margin accounts and guarantees, as well as to account for these operations and inform the Operator in the event that the risk level reaches the limits provided for in the investment regime or the Prudential Limits defined by the Financial Risk Committee. These systems must allow access to their information by the UAIR at all times, as well as present the consolidated position of securities and operations with Derivatives.
Investment Societies may only carry out operations with Derivatives directly for which they have the non-objection of the Commission, or through Mandatories for which the latter have authorization from the corresponding authorities in Countries Eligible for Investments.
Article 123.- In the event that the Administrator operating an Investment Society does not have the certifications referred to in section II of the previous Article 122, the celebration of operations with Derivatives must be suspended, and a program for the administration and monitoring of the investment portfolio must be presented for non-objection of the Commission no later than the business day following the occurrence of this event, in which the designation of a new certified Operator or a person in charge of the control and registration of operations with Derivatives certified is provided.
In the event that the investment portfolio administration and monitoring program is approved by the Commission, operations with Derivatives may be resumed in the terms indicated by said program.
Article 124.- Investment Societies and, where applicable, Mandatories may enter into operations with Derivatives with the following persons:
I. Financial Intermediaries authorized in the Derivatives Exchanges referred to in Article 126 of these Provisions, or
II. Financial Intermediaries of Countries Eligible for Investments, that carry out operations outside a Derivatives Exchange, that hold the credit ratings determined for such purposes by the Commission in the General Provisions establishing the investment regime to which Investment Societies must be subject.
Article 125.- Investment Societies may not carry out Derivatives operations on individual Commodities. Without prejudice to the foregoing, Investment Societies may acquire exposure with Derivatives on Commodity indices using authorized mechanisms. Administrators, through Mandatories, may carry out Derivatives operations on individual Commodities or on authorized Commodity indices. The operations provided for in this article must be subject to the leverage criteria with Derivatives through Mandatories defined by the Risk Analysis Committee.
Article 126.- Operations with Derivatives may only be carried out in Derivatives Exchanges supervised and regulated by authorities of Countries Eligible for Investments.
Article 127.- Operations with Derivatives that are not carried out in the Derivatives Exchanges mentioned in the previous article must be formalized using master agreements approved by the "International Swaps and Derivatives Association, Inc.", ISDA, by its acronym in English and translated in Spanish as the International Association of Swap Agents, the "International Securities Market Association", ISMA, by its acronym in English and translated in Spanish as the International Association of Securities Markets, or by other national or international organizations of recognized prestige in the matter that the Commission makes known through its Internet page. Likewise, such master agreements must consider a section or supplement regarding the officials authorized to carry out the indicated operations and keep them updated or inform the Counterparties about the officials authorized to celebrate operations with Derivatives through the policy that the Investment Committee has defined for such purposes. Administrators must request that Counterparties keep the section or supplement of the officials authorized for the aforementioned operations updated.
Article 128.- Operations with Derivatives that are carried out both in over-the-counter markets and in Derivatives Exchanges must be documented, and means of confirmation must be available, applied no later than at the close of the day, for each operation, either individually or by aggregating the operations arranged during the day by Counterparty. Such means and confirmation policies must be defined by the Investment Committee, must be described in the Investment Manual, and be kept available to the Commission at all times.
Article 129.- For Derivatives operations carried out both in over-the-counter markets and in Derivatives Exchanges, the confirmation area must receive the confirmation from the Counterparty, review it against the Administrator's records, and in the event of a match, the authorized persons must ratify it to the Counterparty. In the event of a mismatch, in order to maintain the independence of the process, the operation will be reviewed with the Counterparty's confirmation area and against the magnetic and electronic record of the operation.
It must be guaranteed that all arranged operations are captured and reflected in the accounting of the Investment Society.
Article 130.- The operations with Derivatives referred to in these Provisions may not have as an underlying asset any asset not provided for in the General Provisions establishing the investment regime to which Investment Societies must be subject or another Derivative, except for those assets or Derivatives authorized by the Bank of Mexico for such purposes.
Article 131.- Administrators operating Investment Societies that intend to carry out the operations with Derivatives provided for in Circular 6/2013 containing the "Rules to which Specialized Retirement Fund Investment Societies must be subject in the realization of derivative operations" issued by the Bank of Mexico in terms of Article 48, section IX of the Law, must previously demonstrate to the Commission compliance with the requirements provided for in these Provisions.
The Commission, after the evaluation it carries out for such purposes and once it has accredited such compliance, will express its non-objection for the operations with Derivatives provided for in the General Provisions establishing the investment regime to which Investment Societies must be subject to be celebrated.
The non-objection to carry out operations with Derivatives issued by the Commission will remain valid for a period of three years, and as long as the Administrator continues to comply, during the validity of the certification, with the requirements and procedures established in Article 122, section III of these Provisions and regarding the logistics for operating with Derivatives provided for in Article 17, section XI of these Provisions.
In the event that the Commission, in the exercise of its supervisory powers, detects that the Administrator has failed to comply with any of the aforementioned requirements and procedures, it must notify them, so that the Administrator in question and, where applicable, the Mandatories suspend all operations with Derivatives of their Investment Societies.
In the event that the aforementioned suspension is determined, the Investment Society and, where applicable, the Mandatories shall not enter into new operations with Derivatives, except for operations necessary to rebalance the portfolio, and with respect to operations previously entered into, they must comply with the provisions of these General Provisions regarding portfolio rebalancing due to non-compliance with the limits established in the Authorized Investment Regime by acquisition or sale of Investment Assets, and for the violation of investment limits established for Investment Assets due to causes attributable to the Administrator, without the suspension of operations with Derivatives being understood as a violation of the Investment Regime.
Mandatories may operate with authorized Derivatives and authorized underlyings provided that the Administrator contracting them has the non-objection of the Commission for the Investment Societies they administer to enter into operations with said Derivatives. For the evaluation carried out by the Commission for the purposes provided for in this paragraph, it must consider the reduction in operational risks of the Administrator when employing an eligible Mandatory.
TITLE IX
ON THE OPERATION WITH STRUCTURES LINKED TO UNDERLYINGS
Article 132.- Investment Societies may acquire and create Structures Linked to Underlyings referring to authorized underlying variables.
Only Administrators that have the non-objection of the Commission for the Investment Societies they administer to enter into operations with Derivatives may create and operate with Structures Linked to Underlyings in which the exposure to the underlying is acquired through a Derivative.
Article 133.- For the purpose of documenting Structures Linked to Underlyings, Administrators shall comply with the General Rules established by the Commission for the delivery of information for this effect.
Article 134.- Investment Societies must adjust the weightings of Foreign Variable Income Securities of Structures Linked to Underlyings with Foreign Variable Income Securities acquired directly, when as a consequence of the Exercise of Patrimonial Rights associated with the shares that make up Foreign Variable Income Securities, a deviation within the initial weighting of the same that exceeds the Permitted Deviation occurs.
For this purpose, Investment Societies may sell or buy the necessary shares to adjust to the current weighting of the shares that make up the index or Basket of Indices that replicate Foreign Variable Income Securities.
Article 135.- Investment Societies, in the event that they proceed to adjust the weightings of Foreign Variable Income Securities of Structures Linked to Underlyings that make up the investment portfolio or of Foreign Variable Income Securities acquired directly, must agree on such act within the next business day following that in which the weighting of the index or Basket of Indices is modified as a consequence of the Exercise of Patrimonial Rights, or in its case, the next business day following that in which the Exercise of Patrimonial Rights is publicly announced and as a consequence, a deviation within the initial weighting of Foreign Variable Income Securities occurs.
For this purpose, Investment Societies must order the purchase or sale of the necessary shares so that the weightings that make up Foreign Variable Income Securities do not exceed the Permitted Deviation, within a maximum period of four business days counted from the date on which the weighting of the index or Basket of Indices is modified as a consequence of the Exercise of Patrimonial Rights.
Article 136.- Investment Societies, in the event that they proceed to adjust the weightings of Foreign Variable Income Securities that make up a Structure Linked to an Underlying, must adhere to what is stated in the previous Article 67.
Article 137.- Investment Societies and, where applicable, Mandatories are prohibited from directly or indirectly or through Financial Service Providers, the following:
I. Acquiring Investment Assets, Vehicles or Real Estate Investment Vehicles issued by Financial Entities with which the Administrator operating the Investment Societies have Ownership Ties, and
II. Acquiring Investment Assets, Vehicles or Real Estate Investment Vehicles from Financial Intermediaries with which the Administrator operating the Investment Societies have Ownership Ties.
The prohibitions to which the Investment Society must adhere, described in the aforementioned subsections, shall be applicable even when the investment is made through Mandatories.
Article 138.- Investment Societies and, where applicable, Mandatories may acquire directly or through Financial Service Providers Investment Assets, issued by Financial Entities with which the Administrator operating the Investment Societies have Ownership Ties, solely for the purpose of replicating the indices or Basket of Indices formed by Investment Assets provided for in the General Provisions that establish the investment regime to which Investment Societies must adhere.
TITLE X
ON THE OPERATION WITH STRUCTURED INSTRUMENTS, FIBRAS AND BURSÁTILES CERTIFICATES LINKED TO REAL PROJECTS
Article 139.- Investment Societies must submit to the approval of their Investment Committee, the acquisition of Structured Instruments, FIBRAS and Bursátil Certificates Linked to Real Projects, according to the following:
I. When they do not belong to an investment program referred to in Article 30, subsection VI, of these General Provisions:
A. For FIBRAS and Bursátil Certificates Linked to Real Projects, the investment area or, where applicable, the risk area must previously carry out an analysis on the characteristics and risks inherent to each instrument to be acquired. The Head of the Investment Area must submit to the Investment Committee the aforementioned analysis considering the following:
i. The additional information provided for in these General Provisions, regarding relevant events provided for in the Securities Market Law that have been made public by the issuer of the instrument, as well as any other information disseminated in the market about the instrument;
ii. The content of the questionnaire referred to in Annex B, Chapter II that allows evaluating the policies defined in the different concepts of FIBRAS or Bursátil Certificates Linked to Real Projects, the analysis must refer to the investment plan and experience of the administrator of the instrument's assets;
iii. For monitoring purposes, report on the results of the behavior tests referred to in Article 63 of these General Provisions that are carried out on FIBRAS or Bursátil Certificates Linked to Real Projects using methodologies that consider the information available at the date of the tests or, where applicable, Investment Societies may use Generic Instruments to carry out the tests referred to in this subsection;
iv. The known costs and commissions in favor of the administrator of the structure, the structurer and other participants in the operation. The analysis must include the return corresponding to the administrator or that performing analogous functions of the FIBRA or Bursátil Certificate Linked to Real Projects;
v. The source of resources destined for the payment of the holders of the instrument and the payment priority corresponding to each class of holders;
vi. The valuation of the FIBRA or Bursátil Certificate Linked to Real Projects and its sensitivity to identified risks in accordance with what is provided in this Article, and
vii. The information on the quantitative methodology, parameters and bases on which the analysis has been carried out.
The Head of the Investment Area must present to the Investment Committee a general opinion on the convenience of the investment in the FIBRAS or Bursátil Certificates Linked to Real Projects provided for in subsection A of this subsection, prior to the approval of the Investment Committee, as well as express their opinion on the information provided in subsections ii. and iv. of subsection A of this subsection.
In the event that market prices or Risk Factors are not available to carry out the analysis requested in subsections iii. and vi. of this subsection, Generic Instruments may be used.
The approvals granted by the Investment Committee, for Investment Societies to invest in FIBRAS or Bursátil Certificates Linked to Real Projects, individually, must be expressly agreed upon, have the favorable vote of the majority of Independent Councilors who are members of said Committee and be recorded in the Detailed Minutes of the corresponding Investment Committee session in which the analysis described in subsection A of this subsection was presented.
Investment Societies may only acquire FIBRAS or Bursátil Certificates Linked to Real Projects that satisfy the criteria established in the general investment policies for these instruments, approved by the Investment Committee of the Investment Societies. Such policies must cover the aspects referred to in subsections i. to vii. of subsection A of this subsection and be approved complying with the formalities referred to in the previous paragraph.
B. For Structured Instruments, the Head of the Investment Area must submit to the consideration of the Investment Committee the investment proposal in the Structured Instrument in which they intend to invest considering the following:
i. The additional information to that required in these General Provisions that has been made known to investors by the administrator, as well as the independent valuer of the Structured Instrument;
ii. The content of the questionnaire referred to in Annex B, Chapter II that allows evaluating the policies defined in the different concepts of Structured Instruments;
iii. The compliance with the policies defined in Article 30, subsection II, subsection a) based on the information collected in Annex B, Chapter I of these General Provisions applicable to this type of Structured Instruments;
iv. Each of the assets that in their case make up the Structured Instrument, in accordance with the investments revealed by the administrator, and with respect to the investment plan of the instrument in question;
v. For monitoring purposes, report on Risk Factors, sensitivities and scenarios provided periodically by the administrator or the independent valuer of the instrument in question;
vi. The known costs and commissions in favor of the administrator of the structure and other participants in the operation. Where applicable, the subordination of the payment of commissions applicable to the administrator to the distribution of returns among investors in accordance with what is provided in Article 30, subsection IX of these General Provisions.
Within the analysis, the return corresponding to the administrator of the Structured Instrument must be verified;
vii. Where applicable, if there are capital calls, for monitoring purposes, report on the risk factors associated with the capital call mechanism, in an enumerative but not exhaustive manner, the impact generated on returns, on the business plan or on the investment calendar due to the non-compliance of the investors of the instrument with said calls;
viii. The management of the liquidity of the instrument, in an enumerative but not exhaustive manner, the types of financial assets in which the cash that forms part of the trust's assets may be maintained in accordance with the criteria approved by the Risk Analysis Committee, as well as the destination or administration systems of the cash coming from capital calls, and
ix. The source of resources destined for the payment to the holders of the Structured Instrument and the payment priority corresponding to each class of holders.
The Head of the Investment Area must present to the Investment Committee a general opinion on the convenience of the investment in Structured Instruments, prior to the approval of the Investment Committee, as well as express their opinion on the information collected to satisfy the contents of Article 30, subsection II, subsection a), numerals i., ii., iii. and iv. of these General Provisions.
The approvals granted by the Investment Committee, for Investment Societies to invest in Structured Instruments, individually, must be expressly agreed upon, have the favorable vote of the majority of Independent Councilors who are members of said committee and be recorded in the Detailed Minutes in which the session of the corresponding Investment Committee presented the analysis described in subsection B of this subsection.
Investment Societies may only acquire Structured Instruments that satisfy the criteria established in general investment policies for these instruments approved by the Investment Committee. Such policies must cover the aspects referred to in subsections i. to ix. of subsection B of this subsection and be approved complying with the formalities referred to in the previous paragraph.
To comply with the analyses, studies or investment proposals provided for in this subsection, the Administrator must designate the Investment Committee or the Financial Risk Committee as responsible. In the event that the Administrator defines the Investment Committee, it must:
1.1. Designate the Official of the investment area responsible for complying with the analyses, studies or investment proposals provided for in this subsection, and
1.2. Verify that the designation and the activities to be carried out are included in the Investment Manual.
II. The Structured Instruments referred to in subsection a) of the Second Provision, subsection LI of the General Provisions that establish the investment regime to which Investment Societies must adhere, the FIBRAS and the Bursátil Certificates Linked to Real Projects may be acquired in accordance with what is provided for in Article 30, subsection VI of these General Provisions, through investment programs that must be previously approved by the Investment Committee and that additionally satisfy:
A. That the program is expressly approved and has the favorable vote of the majority of Independent Councilors who are members of said Committee and be recorded in the Detailed Minutes of the corresponding session;
B. The programs must cover the aspects referred to in subsection A of subsection I above, when they include FIBRAS and Bursátil Certificates Linked to Real Projects or subsection B of subsection I above, when they include the Structured Instruments referred to in subsection a) of the Second Provision, subsection LI of the General Provisions that establish the investment regime to which Investment Societies must adhere. The aforementioned analyses must be available to the Commission, and
C. Investments in Structured Instruments referred to in this subsection, FIBRAS and Bursátil Certificates Linked to Real Projects made through investment programs are not obliged to be presented to the Investment Committees prior to their acquisition. The results of the analyses provided for in subsections A and B of subsection I above must be presented to the Investment Committee in the immediate subsequent session to the date of acquisition of the Structured Instrument, FIBRA or Bursátil Certificate Linked to Real Projects.
III. For subsequent investments in the same Structured Instrument, FIBRA or Bursátil Certificate Linked to Real Projects, subsections I and II of this Article shall not apply, and
IV. In accordance with Article 30, penultimate paragraph of these General Provisions, the Head of the Investment Area, or who this designates, must monitor the Structured Instrument, FIBRA or Bursátil Certificate Linked to Real Projects and the assets that in their case make it up, as well as deliver to the Investment Committee the results of the analysis provided for in subsection A of subsection I of this Article, when it concerns FIBRAS and Bursátil Certificates Linked to Real Projects, or to what is provided for in subsection B of subsection I of this Article, when it concerns Structured Instruments. Such analyses must be available to the Commission.
Article 140.- Operators of Investment Societies in charge of the purchase and sale of Structured Instruments, as well as an Official of the UAIR and one of the normative comptroller, must be certified by an independent third party designated by the Commission for this effect. The certifications referred to in this Article shall have the validity referred to in Annex J of these General Provisions.
TITLE XI
ON NON-COMPLIANCE WITH THE INVESTMENT REGIME AND THESE PROVISIONS
Article 141.- To determine compliance with the limits of the investment regime, Investment Societies must use the prices, the Conditional Value at Risk Differential, where applicable, the Value at Risk provided by the Price Provider, the Custodian or the Valuation Society they have contracted, as appropriate to the type of Investment Asset in question or, where applicable, those determined by the Administrator itself.
For the purpose of computing positions in Currencies that the investment portfolio forming the Total Asset of the Investment Society may hold, it shall be subject to the criteria defined in Annex E of these General Provisions.
For the purpose of computing positions in Foreign Securities that the investment portfolio forming the Total Asset of the Investment Society may hold, it shall be subject to the criteria defined in Annex F of these General Provisions.
For the purpose of computing limits applicable to Counterparties that the Asset Managed by the Investment Society, or where applicable, the Asset Managed by the Mandatory, must observe, it shall be subject to the criteria defined in Annex G of these General Provisions.
For the purpose of computing positions of Derivative operations on UDIS or where applicable on variables that provide inflationary protection of the investment portfolio forming the Total Asset of the Investment Society, it shall be subject to the criteria defined in Annex H of these General Provisions.
For the purpose of computing positions in Merchandise of the investment portfolio forming the Total Asset of the Investment Society, it shall be subject to the criteria defined in Annex I of these General Provisions.
For the purpose of computing limits applicable to the Asset Managed by the Investment Society regarding the parameter known as Conditional Value at Risk Differential or where applicable, the Value at Risk, it shall be subject to the criteria defined in Annex L of the General Provisions that establish the investment regime to which Investment Societies must adhere.
For the purpose of computing limits applicable to the Total Asset of the Investment Society regarding the maximum limits authorized in investments in Variable Income Components, FIBRAS and Real Estate Investment Vehicles, it shall be subject to the criteria defined in Annex N of the General Provisions that establish the investment regime to which Investment Societies must adhere.
For the purpose of computing limits applicable to the investment portfolio of the Asset Managed by the Investment Society regarding the Liquidity Coefficient, it shall be subject to the criteria defined in Annex N of these General Provisions.
TITLE XII
ON THE REBALANCING OF PORTFOLIOS OF INVESTMENT SOCIETIES SPECIALIZED IN FUNDS FOR RETIREMENT
Article 142.- When Investment Societies do not cover, or exceed, the limits provided for in the Authorized Investment Regime, or acquire assets not permitted by said regime with the Total Asset of the Investment Society, they must rebalance their portfolio. Investment Societies must carry out such rebalancing and, where applicable, instruct Mandatories to do so, within a period not exceeding six months.
These General Provisions shall be applicable in any of the following events:
I. When one or more of the Investment Assets that make up the investment portfolio of the Total Asset of the Investment Society and, where applicable, of the Mandatories, suffer changes in their credit rating and thereby violate the limit by issuer, by Category, or the new credit rating is lower than that required by the Authorized Investment Regime;
II. When with the Total Asset of the Investment Society, Investment Assets have been acquired or sold observing the percentages provided for in the Authorized Investment Regime, but due to variations in the price of the Investment Assets that make up its asset, they do not cover or exceed such percentages;
III. When due to the change in the composition of the indices or Basket of Indices used as a reference to acquire a Foreign Variable Income Security, the Permitted Deviation in the weighting of the shares of said index or Basket of Indices provided for in the Authorized Investment Regime is exceeded, or when it is not possible to acquire or liquidate the Foreign Variable Income Security within the timeframes established in these General Provisions for the operation with Foreign Variable Income Securities, for causes not attributable to the Investment Society directly or through Mandatories. In the event that the Investment Society, which replicates the Indices provided for in the Authorized Investment Regime, decides to carry out some
purchase or sale of shares that make up the replication basket, it will be assumed that the
Investment Company began portfolio recomposition and it will have four business days to comply with the Permitted Deviations in the weighting of the shares of said index;
IV.
When due to the change in the composition of the index referred to in fraction II of the Twenty-Fourth Provision of the General Provisions establishing the investment regime to which Investment Companies must be subject for shares of National Issuers in which the permitted weighting of shares is exceeded, or when it is not possible to acquire or liquidate the share of National Issuers within the timeframes established in these Provisions for the operation with said instruments, for causes not attributable to the Investment Company. In the event that the Investment Company, decides to make purchases or sales of these issuers, it will be assumed that it has started with the portfolio recomposition and must comply with the permitted weightings on the same day that it made the purchases or sales;
V.
When as a consequence of the Exercise of Patrimonial Rights associated with the shares that make up the Foreign Variable Income Security, an excess in the Permitted Deviation occurs or the Authorized Investment Regime is violated. In the event that the Investment Company, which replicates indices provided for in the Authorized Investment Regime, decides to make any purchase or sale of shares that make up the replication basket, it will be assumed that the Investment Company has started with the portfolio recomposition and it will have four business days to comply with the permitted deviations in the weighting of the shares of said index;
VI.
When as a consequence of the Exercise of Patrimonial Rights associated with the shares of National Issuers, an excess in the Permitted Deviation occurs or the Regime of Authorized Investment is violated. In the event that the Investment Company, decides to make purchases or sales of these issuers, it will be assumed that it has started with the portfolio recomposition and must comply with the Permitted Deviation on the same day that it made the purchases or sales;
VII.
When with the Total Asset of the Investment Company they acquire or sell Assets Subject to Investment, violating the limits permitted by the Authorized Investment Regime, or acquire Assets Subject to Investment not permitted by the same, or when it is not possible to acquire or liquidate Foreign Variable Income Securities within the timeframes established by the Commission for causes attributable to the Investment Company and, where applicable, to the Mandatary. In this case the Administrator that operates the Investment Company in question must cover the daily losses that have occurred from the day the event that gave rise to the violation occurred and until the investment regime is complied with. For these purposes, the Mandatary may apply portfolio recomposition rules in accordance with the regulation applicable in its country of origin that seek to minimize the magnitude of the loss;
VIII.
When the Differential of Conditional Value at Risk or, where applicable, the Value at Risk of the investment portfolio of the Asset Managed by the Investment Company, exceeds the maximum provided for in the Authorized Investment Regime and, where applicable, when the Mandatary exceeds the limit applicable to the risk measure relative to the authorized reference portfolio in the corresponding investment mandate contract;
IX.
When the Liquidity Coefficient of the investment portfolio of the Asset Managed by the Investment Company, exceeds the maximum provided for by the Risk Analysis Committee;
X.
When due to regulatory changes, conditions or criteria more restrictive than those previously existing are defined, and
XI.
When as a consequence of capital calls not covered by other investors of the Structured Instrument that makes up the investment portfolio of the Total Asset of the Investment Company, an excess in the limits for Structured Instruments provided for in these provisions and in the General Provisions that establish the investment regime to which Investment Companies must be subject occurs.
Article 143.- The Administrator must provide in the contracts it enters into with Providers of Financial Services and Mandatories, that violation of the Authorized Investment Regime will be a cause for termination.
Violations of the investment regime will be attributable to the Administrator when the Operator of the asset with which the investment regime is violated does not satisfy the requirements regarding the certification of the Officials provided for in these Provisions, as well as violations of the Authorized Investment Regime caused by failures in the Automated Integral System or the computer system other than the aforementioned with which they have to comply with what is provided in the present Provisions.
Without prejudice to the foregoing, Administrators will be responsible for the sanctions that may apply when the Authorized Investment Regime is violated as a consequence of the operations carried out by the Mandatories that it has hired, or of the operations carried out by the Administrator itself.
CHAPTER I
ON THE PROCEDURE FOR PORTFOLIO RECOMPOSITION
Section
I
On the downgrade of rating
Article 144.- The Investment Company that has in its investment portfolio Assets Subject to Investment subject to credit rating, whose rating or the Counterparty Rating in the case of Derivatives, bank deposits, securities lending or repos, degrades subsequent to its acquisition and thereby violates the Authorized Investment Regime, must proceed in accordance with the following:
I.
In the event that the respective limits are violated by issuer, it must abstain from acquiring Assets Subject to Investment subject to credit rating of the same issuance, make bank deposits in said institution or enter into new operations with Derivatives, repos or securities lending with that Counterparty in the event that such net operations of guarantees imply an increase in the exposure of the Investment Company towards that Counterparty or Issuer;
II.
When the Assets Subject to Investment subject to credit rating or Counterparty of the Derivative, repo or securities lending forms part of another Category as a consequence of the degradation, exceeding the percentages established in the Authorized Investment Regime, it must abstain from acquiring such additional Assets Subject to Investment of the Category to which the asset belongs degraded in its credit rating, or enter into new operations with Derivatives, bank deposits, repos or securities lending with Counterparties of said Category unless, such operations, at all times must be guaranteed in their entirety, and
III.
When the credit rating of Assets Subject to Investment subject to credit rating or of the Counterparties of the Derivatives, bank deposits, repos or securities lending corresponding to a Category degrades below the minimum permitted in the Authorized Investment Regime, it must be counted in the minimum Category permitted in said Regime of Investment and no more operations can be carried out with that Counterparty. No bank deposits can be maintained in Credit Institutions whose credit rating is lower than the minimum authorized in the General Provisions establishing the investment regime to which Investment Companies must be subject.
For the case of Mandatories, Investment Companies must establish in the intermediation contracts in which a mandate is granted to a third party for the acquisition of Assets Subject to Investment how Mandatories must proceed in the event that the events described in the present article occur, providing that the investments of the Total Asset of the Investment Company adhere to the present Provisions and to the General Provisions establishing the investment regime to which Investment Companies must be subject.
Article 145.- The person responsible for the UAIR must notify the Financial Risk Committee and the Investment Committee, when any of the Assets Subject to Investment subject to credit rating, including the bank deposits, acquired by the Investment Company, or any Counterparty with which it has entered into operations with Derivatives, repos or securities lending, is in any of the situations established in the previous article, on the next business day after that on which the Asset Subject to Investment subject to credit rating or Counterparty in question, has been subject to a downgrade in its credit rating. The Administrator must provide in the contract it enters into with each Mandatary that this informs it promptly when any event described in the present article occurs under the management of the Assets Managed by the Mandatary.
Likewise, it must notify the Commission each time any Asset Subject to Investment subject to credit rating or Counterparty changes its applicable credit rating limit and violates the regulatory limits, as a consequence of a downgrade, or when any Asset Subject to Investment having a credit rating lower than the minimum permitted is downgraded to default level, on the next business day after that on which the Asset Subject to Investment subject to credit rating or Counterparty of which it is a matter, has been subject to a downgrade in its Rating.
Article 146.- The Financial Risk Committee must present in session to the Investment Committee a study that must contain the following:
I.
The description of the Asset Subject to Investment subject to credit rating or Counterparty, as well as the analysis of the situation that originated the credit rating downgrade of which it is a matter;
II.
Opinion on the credit quality of the issuer of the Asset Subject to Investment subject to credit rating, including the bank deposits, or Counterparty of the Derivative, repo or securities lending whose credit rating was downgraded;
III.
The impact on the investment portfolio as a consequence of the degradation of the issuer or Counterparty of the Derivative, bank deposits, repo or securities lending, and
IV.
The analyses described in this article must be presented in the session immediately following the date of the degradation event, unless this occurs with 3 business days or less of advance to said session in which case it must be presented in the immediate subsequent session.
The Financial Risk Committee must include the study referred to in this article, in the Detailed Minutes that are drawn up from its corresponding session.
Investment Companies must stipulate in the intermediation contracts in which they grant a mandate to a third party for the acquisition of Assets Subject to Investment that the Mandatary must carry out a analysis of the same nature when what is described in the present article occurs and be informed to the Administrator within the timeframe determined in the contract.
Article 147.- The Investment Committee, considering the information contained in the study presented to it by the Financial Risk Committee, may opt for:
I.
To conserve the Asset Subject to Investment subject to credit rating, unless it is a matter of bank deposits, or
II.
To carry out the recomposition of the portfolio.
The Investment Committee must include the study referred to in this article, in the Detailed Minutes that are drawn up from its corresponding session.
Investment Companies must stipulate in the intermediation contracts in which they grant a mandate to a third party for the acquisition of Assets Subject to Investment that the Mandatories may opt for the options described in this article. For the purpose of executing what is provided for in this paragraph the contract may provide that the Mandatary acts promptly and in accordance with the regulation applicable to the Mandatary in its country of origin in order to mitigate the harm to the assets managed by them.
Article 148.- For the Asset Managed by the Investment Company, in the event that the Investment Committee opts for the conservation of the Assets Subject to Investment subject to credit rating referred to in fraction I of the previous article, the following must be proceeded as follows:
I.
The Investment Company, through its Investment Committee, must notify the Commission of the strategy it adopts, within a period not exceeding 20 business days counted from the date on which the credit rating downgrade in question occurs;
II.
The Financial Risk Committee must update the opinion on the credit quality of the issuer or Counterparty of the Derivative referred to in fraction II of article 146 of these Provisions, on a quarterly basis, which must be presented to the Investment Committee with the same periodicity, and
III.
The Investment Committee must follow up on the behavior of the Assets Subject to Investment subject to credit rating or of the Counterparty of the Derivative, repo or securities lending whose rating has been downgraded and, with the opinion of the Financial Risk Committee, can decide to modify the adopted strategy.
In the event that it is decided to modify the strategy adopted by the Investment Company, its Committee of Investment must, where applicable, present a portfolio recomposition program in the terms to which it refers the following article. The portfolio recomposition program must be presented within a period not exceeding 20 business days counted from the date on which the change of strategy is agreed.
The actions provided for in fractions II and III of this article will be executed until such time as the possession in the investment portfolio of the Asset Managed by the Investment Company or the Counterparty whose credit rating has been downgraded is maintained, or until such time as its credit rating is revised and returns to being within the limits permitted in the Authorized Investment Regime.
For the case of the Asset Managed by the Mandatary, the Administrator must provide that the Mandatary informs it regarding the policies that said Mandatary applies to the issuers as well as to the Counterparties, within the criteria established in the investment mandate contract, which must provide for a retrospective report of the policies applied.
Article 149.- For the Asset Managed by the Investment Company, in the event that the option to recompose the portfolio referred to in article 147 fraction II of these Provisions is taken, the Committee of Investment must record the portfolio recomposition program, in the Detailed Minutes that are drawn up from its corresponding session and establish:
I.
The Assets Subject to Investment that must be alienated, and
II.
The timeframe for the recomposition of the portfolio.
Said program must be notified to the Commission within a period not exceeding 20 business days counted from the date on which the downgrade of the credit rating that gives rise to it occurs.
For the purpose of executing what is provided for in this article, Investment Companies may provide that in the intermediation contracts in which they grant a mandate to a third party that the Mandatary acts promptly and in accordance with the regulation applicable to the Mandatary in its country of origin in order to mitigate the harm to the assets managed by them. Likewise, the investment mandate contract must provide for a retrospective report of the policies applied by the Mandatary.
Article 150.- The compliance with the portfolio recomposition program defined in accordance with what is provided in articles 148 second paragraph and 149 above will be mandatory for the Investment Company in question.
Investment Companies must stipulate in the intermediation contracts in which they grant a mandate to a third party for the acquisition of Assets Subject to Investment that the Mandatories will comply with the portfolio recomposition program in accordance with what is stipulated in the contracts prior to informing the Administrator that hired them.
Section II
On the variations in the prices of the Assets Subject to Investment that make up the Asset Managed by the Investment Company and of the violation of the investment limits in the Variable Income Components and other Assets subject to Investment for causes not attributable to the Investment Company
Article 151.- The Investment Company must proceed in accordance with what is provided in the present Section when any of the following events occur:
I.
When the Investment Company does not cover or exceeds in one or several days the limits provided for in the Authorized Investment Regime due to variations in the price of the Assets Subject to Investment;
II.
When to acquire the Variable Income Component, FIBRA or Real Estate Investment Vehicles, the shares, Vehicles, Real Estate Investment Vehicles or Derivatives that make up, where applicable, indices or Basket of Indices are purchased and, due to the valuation of said securities, the Permitted Deviation or the permitted weighting of the shares is exceeded in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject;
III.
When to acquire a Variable Income Component, FIBRA or Real Estate Investment Vehicle, or Merchandise, shares, Vehicles, Real Estate Investment Vehicles or Derivatives that make up, where applicable, indices or Basket of Indices are purchased and the Permitted Deviation or the permitted weighting of the shares is exceeded in accordance with the General Provisions that establish the investment regime to which Investment Companies must be subject, due to the change in the composition of said index or Basket of Indices;
IV.
When to integrate the Variable Income Component through the acquisition of shares in direct, the Permitted Deviation or the permitted weighting of the shares is exceeded in accordance with fraction II of the Twenty-Fourth Provision of the General Provisions that establish the investment regime to which Investment Companies must be subject, and
V.
When as a consequence of the Exercise of Patrimonial Rights associated with the shares, Vehicles or Real Estate Investment Vehicles that make up a Variable Income Component, said component exceeds the Permitted Deviation or the permitted weighting of the shares in accordance with fraction II of the Twenty-Fourth Provision of the General Provisions that establish the investment regime to which Investment Companies must be subject.
With respect to what is established in fractions II, III and V above, an event will be considered not attributable to the Investment Company when:
1.1
It orders the negotiation of purchase or sale of shares, Vehicles or Real Estate Investment Vehicles within a maximum period of four business days, counted from the date on which the Permitted Deviation has been exceeded, or
1.2
The Investment Company complies with the obligations derived from the liquidation of the orders for purchase or sale of shares, Vehicles or Real Estate Investment Vehicles in a maximum period of four business days counted from the date on which the operation was negotiated and the Counterparty(ies) fail(s) to deliver the shares, Vehicles or Real Estate Investment Vehicles.
With respect to what is established in fraction IV above, an event will be considered not attributable to the Investment Company when:
2.1
It orders the negotiation of purchase or sale of shares, Vehicles or Real Estate Investment Vehicles in accordance with the General Provisions establishing the investment regime to which Investment Companies must be subject, as well as the criteria defined by the Risk Analysis Committee for the operation with Foreign Variable Income Securities and the Permitted Deviation is exceeded because the Counterparty(ies) fail(s) to deliver some of the shares necessary to integrate the Foreign Variable Income Security, or
2.2
Between the date of negotiation of purchase or sale of shares, Vehicles or Real Estate Investment Vehicles and the date of liquidation of the assets referred to, a variation in the valuation of the same occurs.
Violations of the contracts entered into by Administrators with Mandatories will not be a cause attributable to the Investment Company when such violations do not contravene the investment regime provided for in the applicable regulations or in the information prospectus.
It will not be a cause attributable to the Investment Company the violations in the limits for Structured Instruments provided for in these provisions in Annexes T and U, as well as in the General Provisions of general character that establish the investment regime to which Investment Companies must be subject when as a consequence of capital calls, the investors of the Structured Instrument that makes up the investment portfolio of the Total Asset of the Investment Company do not contribute the requested amount and are subject to punitive dilution.
In the event that the administrator of the Structured Instruments, with the public information it has and its own, does not sufficiently diversify the base of investors referred to in Annex U and causes that Investment Companies violate the limits provided for in the aforementioned Annex U of the present provisions and in the General Provisions establishing the investment regime of Investment Companies, it will not be a cause attributable to the Investment Company.
It will not be a cause attributable to the Investment Company the violations of the regulations of the investments in Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments or Debt Indices of Eligible Countries for Investments, as well as the Vehicles that replicate them, that are audited by independent experts, said audit and the evidence of the compliance with the requirements established in the General Provisions establishing the investment regime to which Investment Companies must be subject and the criteria defined by the Risk Analysis Committee, must be available to the Commission at all times.
The preceding paragraph applies only to Vehicles that replicate Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments, or Debt Indices of Eligible Countries for Investments, commonly known as "Exchange Traded Funds" and Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments, or Debt Indices of Eligible Countries for Investments that are certified by independent experts.
The independent expert referred to in the preceding paragraphs must meet the requirements set forth in Annex S of these Provisions and shall be responsible for certifying compliance with the requirements established in the General Provisions establishing the investment regime to which Investment Companies must adhere, as well as the criteria defined by the Risk Analysis Committee of the Vehicles, as well as the Stock Indices of Eligible Countries for Investments, the Real Estate Indices of Eligible Countries for Investments, and the Debt Indices of Eligible Countries for Investments.
Article 152.- The person in charge of the UAIR must notify the Commission, the Financial Risk Committee, and the Investment Committee in writing of the events referred to in the clauses of the preceding Article 151, on the next business day following the occurrence of any of the established events.
Article 153.- For the Asset Managed by the Investment Company, the Financial Risk Committee must present to the Investment Committee a study that must contain:
I. The description of the Investment Assets by virtue of which the defect or excess in the limits provided for in the Authorized Investment Regime occurred;
II. The description of the actions in which the Permitted Deviation was exceeded in the weighting of the index or Basket of Reference Indices established in the Authorized Investment Regime to acquire the Variable Income Component, in the event that there is a change in the composition of the index or Basket of Indices, the new weightings, and the deviations of the percentages of each action to the same;
III. The circumstances or causes that originated the deviation with respect to the limits provided for in the Authorized Investment Regime and the Permitted Deviations, and
IV. The elements that allow supporting the decision-making on the convenience of maintaining or not the defect or excess in the Investment Assets due to price variations.
The Financial Risk Committee must include the study referred to in this article in the Detailed Minutes drawn up from its corresponding session.
Article 154.- The Investment Committee, considering the study presented by the Financial Risk Committee, may opt for:
I. Maintaining the defect or excess in the Investment Assets, or
II. Carrying out the portfolio reconstruction.
The Investment Committee, in all cases, must draw up Detailed Minutes of the session in which the corresponding decision is taken.
In the event that any of the events established in clauses IV or V of the preceding Article 151 occur, the Investment Company must proceed to reconstruct its portfolio in accordance with this Section, as well as present the corresponding portfolio reconstruction program.
Likewise, in the event that the violation is due to the Counterparty(ies) failing to deliver the shares, Vehicles, or Real Estate Investment Vehicles, the Investment Committee must decide whether to continue conducting operations with the Counterparty that failed.
For the purpose of executing what is provided for in this article, Investment Companies may provide that in the intermediation contracts in which they grant a mandate to a third party, the Mandatary acts with timeliness and adherence to the regulation applicable to the Mandatary in their country of origin in order to mitigate damages to the assets managed by them. Likewise, the investment mandate contract must provide for a retrospective report of the policies applied by the Mandatary.
Article 155.- For the Asset Managed by the Investment Company, in the event that it opts to temporarily maintain the defect or excess in the Investment Assets, in accordance with what is established in clause I of the preceding article, it must request from the Commission through its Investment Committee, the authorization to temporarily maintain the defect or excess in said assets, within a period not exceeding 20 business days counted from the day in which any of the events contemplated in Article 151 of these Provisions occurs.
The Commission, on the condition that no new acquisitions or sales of the Investment Assets causing the defect or excess are carried out, will grant non-objection to temporarily maintain the defect or excess in said assets until the applicable limits are restored.
In any case, the period in which the defect or excess in the Investment Assets that make up the Asset Managed by the Investment Company, which gave rise to the non-compliance due to any of the events contemplated in the preceding Article 151, may be maintained, cannot exceed six months counted from the occurrence of said event.
Article 156.- In the event that the portfolio is opted to be reconstructed in accordance with what is provided for in Article 154 of these Provisions, the Investment Committee must state in the Detailed Minutes drawn up from its corresponding session the portfolio reconstruction program, as well as establish at least the following:
I. The Investment Assets that must be sold or purchased;
II. In its case, the investment of new resources, and
III. The period for the portfolio reconstruction.
The Investment Company, through its Investment Committee, must notify the Commission of the portfolio reconstruction program, within a period not exceeding 20 business days counted from the date in which the deviation with respect to the limits provided for in the investment regime occurs.
Article 157.- Compliance with the portfolio reconstruction program defined in accordance with what is provided in the preceding article is mandatory for the Investment Company in question.
Article 158.- The Administrator operating the Investment Company in question, in the event that the notification referred to in Article 152 is not presented within the periods provided for such effect, the request referred to in Article 155, or the portfolio reconstruction program referred to in Article 156, must cover the daily shortfalls that have occurred between the day in which any of the events contemplated in Article 151 that gave rise to the non-compliance occurred and the day in which the notification, request, or portfolio reconstruction program is presented, as the case may be, charged to the special reserve constituted in terms of what is provided by Article 28 of the Law and, in the event that this is insufficient, it must do so charged to its share capital or equity.
In those cases where the Investment Company does not cover or exceeds in one or several days the limits provided for in the Authorized Investment Regime due to price variations; and that once the applicable limits are restored, whether it has opted to maintain the defect or excess in the Investment Assets or has carried out the portfolio reconstruction, it may carry out new acquisitions or sales of the Investment Assets in question without the Commission's approval, provided that the Investment Company has adhered to the procedure provided for in these Provisions and the respective documentary evidence remains available to the Commission.
Likewise, in the event that the Permitted Deviation is exceeded due to causes attributable to the Investment Company, it must reconstruct its portfolio in accordance with what is established in the following Section.
Section III
On portfolio reconstruction for failing to meet the limits established in the Authorized Investment Regime due to acquisition or sale of Investment Assets and for violation of the investment limits that make up the Total Asset of the Investment Company in the Variable Income Components due to causes attributable to the Investment Company
Article 159.- The Investment Company must reconstruct the portfolio that makes up the Total Asset of the Investment Company in accordance with what is provided in this Section when any of the following events occur:
I. When the Investment Company directly or through Financial Service Providers, including Mandatories, has acquired or sold Investment Assets, failing to meet the limits provided for in the Authorized Investment Regime;
II. When the Investment Company directly or through Financial Service Providers, including Mandatories has acquired Investment Assets not contemplated in the Authorized Investment Regime, and
III. For the case of the Asset Managed by the Investment Company, when the period of four business days established by the Commission to form or liquidate the Foreign Variable Income Value is exceeded, failing to meet the Authorized Investment Regime, the excess being attributable to the Administrator operating the Investment Company.
An event is considered attributable to the Investment Company, unless proven otherwise, when:
a) The Investment Company does not arrange the purchase and sale of shares, Vehicles, or Real Estate Investment Vehicles necessary to form a Foreign Variable Income Value within the four business days following the date on which the Foreign Variable Income Value should have been formed, or
b) The Investment Company, having arranged the purchase and sale of shares, Vehicles, or Real Estate Investment Vehicles, due to causes attributable to the Administrator, the agreed settlement of said assets is not carried out within the four business days following the date on which the operation was arranged.
Article 160.- The person in charge of the UAIR must notify in writing to the Commission and to the Financial Risk and Investment Committees, when due to any of the causes established in the preceding article, the Authorized Investment Regime has been violated, on the next business day following the day in which the non-compliance with said Regime originated or in the case of Assets Managed by a Mandatary, on the next business day following the day in which knowledge of the non-compliance is obtained.
Article 161.- The Financial Risk Committee must present to the Investment Committee a study that must contain at least the following:
I. Description of the Investment Assets that make up the Asset Managed by the Investment Company by virtue of which the Authorized Investment Regime was violated in accordance with what is provided in the preceding article, and
II. Proposal for a portfolio reconstruction program that makes up the Asset Managed by the Investment Company that allows restoring, within a maximum period of six months counted from the occurrence of the non-compliance, the limit provided for in the General Provisions establishing the investment regime to which Investment Companies must adhere.
The Financial Risk Committee must include the study referred to in this article in the Detailed Minutes drawn up from its corresponding session.
For the case of the Asset Managed by the Mandatary, the Administrator must provide in the intermediation contracts that the Mandatary informs them regarding the study referred to in this article and that said study is informed to the Administrator.
Article 162.- The Investment Committee, considering the study presented by the Financial Risk Committee, will decide the strategy that the Investment Company must follow to reconstruct its portfolio and for such purpose will define at least the following information:
I. The Investment Assets that must be sold or purchased;
II. In its case, the net flows, the new collection that enters or leaves the Investment Company subsequently, and
III. Its proposal for the period for the portfolio reconstruction.
The Investment Committee must state the portfolio reconstruction program in the Detailed Minutes drawn up in the corresponding session.
For the purpose of executing what is provided for in this article, Investment Companies may provide that in the intermediation contracts in which they grant a mandate to a third party, the Mandatary acts with timeliness and adherence to the regulation applicable to the Mandatary in their country of origin in order to mitigate damages to the assets managed by them. Likewise, the investment mandate contract must provide for a retrospective report of the policies applied by the Mandatary.
The Investment Company, through its Investment Committee, must send the portfolio reconstruction program to the Commission within a period not exceeding five business days counted from the day in which the non-compliance originated.
The Commission, once it receives the portfolio reconstruction program referred to in the preceding paragraph, may set the period in which the Investment Company must reconstruct its portfolio, which cannot be greater than six months counted from the occurrence of the non-compliance, prior to the opinion of the Risk Analysis Committee.
Article 163.- Compliance with the portfolio reconstruction program is mandatory for the Investment Company in question, when the Commission sets a period for the portfolio reconstruction.
Article 164.- When the Investment Company in question violates the Authorized Investment Regime directly or through Financial Service Providers due to any of the events contemplated in Article 159 of these Provisions and the notification referred to in Article 160 of these Provisions is not presented within the period provided for such effect, the Administrator operating it will cover the daily shortfalls that have occurred between the day of the non-compliance and the day in which said notification is presented.
Likewise, in the event that the Investment Company does not send the portfolio reconstruction program to the Commission in accordance with what is provided in Article 162 of these Provisions within the period provided for such effect, the Administrator operating it will cover the daily shortfalls that have occurred between the day of the non-compliance and the day in which said portfolio reconstruction program is presented.
In any case, the Administrator operating the Investment Company in question must cover the shortfalls that occur on the day of the non-compliance, even if the aforementioned notification or portfolio reconstruction program is presented.
The shortfalls referred to in this article will be covered charged to the special reserve constituted in terms of what is provided by Article 28 of the Law and, in the event that this is insufficient, they must be covered charged to its share capital or equity.
Section IV
On portfolio reconstruction for exceeding the limit of the Conditional Value at Risk Differential, Liquidity Coefficient, or Value at Risk
Article 165.- Investment Companies that exceed the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk provided for in the Authorized Investment Regime, thereby contravening the respective Provisions, must reconstruct their portfolio in accordance with what is provided in this Section.
Article 166.- The person in charge of the UAIR must notify in writing to the Commission and to the Financial Risk and Investment Committees, when the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk of the Investment Company exceeds the maximum provided for in the Authorized Investment Regime, on the next business day following the day in which said limit was exceeded.
Article 167.- The Financial Risk Committee must propose to the Investment Committee a portfolio reconstruction program in which various strategies are recommended that allow restoring the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk of the Investment Company, in accordance with what is provided in the General Provisions establishing the investment regime to which Investment Companies must adhere.
For the purpose of the foregoing, the Financial Risk Committee must analyze the following information:
I. If the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk was exceeded due to volatility events, in accordance with what is stated in the General Provisions establishing the investment regime to which Investment Companies must adhere, or due to the Investment Strategy;
II. The worst scenarios corresponding to the confidence level of the Conditional Value at Risk Differential or in its case, the Value at Risk, of the day in which the excess in the limit of the Conditional Value at Risk Differential or in its case, the Value at Risk occurred, and
III. The Conditional Value at Risk Differential or in its case, the individual Value at Risk of the Investment Assets of the investment portfolio and their marginal contribution to it.
Article 168.- The Financial Risk and Investment Committees must jointly decide the strategy that the Investment Company must adopt to reconstruct its portfolio.
The portfolio reconstruction program must contain at least the following information:
I. The Investment Assets that must be sold or purchased;
II. The investment of new resources, and
III. Its proposal for the period for the portfolio reconstruction.
Article 169.- In the event of extreme market volatility events, where to protect the interests of Workers it is convenient to maintain the Investment Strategy determined by the Investment Committee, Investment Companies may present to the Commission a special portfolio reconstruction program, in order to be able to have excesses in the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk.
The special portfolio reconstruction programs referred to in this article will have a maximum duration of six months counted from their non-objection, being extendable, and must adhere to the criteria established by the Commission.
These programs must be strictly applied by Investment Companies.
The extension referred to in this article may be granted for the same period, as many times as necessary until the portfolio reconstruction programs must be maintained.
The excess in the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk occurred under the protection of an authorized and valid special portfolio reconstruction program, will not count for the affectation of the special reserve referred to in the last paragraph of Article 44 of the Law.
Article 170.- The Investment and Financial Risk Committees must state the portfolio reconstruction program in the Detailed Minutes drawn up in their corresponding sessions.
The Investment Company, prior to the approval of the Financial Risk Committee, must send to the Commission through its Investment Committee, the portfolio reconstruction program, within a period not exceeding 20 business days counted from the occurrence of the non-compliance.
The Commission, once the portfolio reconstruction program is received, may set the period in which the Investment Company must reconstruct its portfolio, which cannot be greater than six months counted from the occurrence of the non-compliance, prior to the opinion of the Risk Analysis Committee, except for what is provided in the preceding article.
Article 171.- Compliance with the portfolio reconstruction program is mandatory for the Investment Company in question, when the Commission sets a period for the portfolio reconstruction.
Article 172.- When the Investment Company in question violates the limits provided for in the Authorized Investment Regime by exceeding the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk and the notification referred to in the preceding Article 166 is not presented within the period provided for such effect, the Administrator operating it will cover the daily shortfalls that have occurred between the day of the non-compliance and the day in which the notification is presented.
Likewise, in the event that the Investment Company does not send the portfolio reconstruction program to the Commission in accordance with what is provided in the preceding Article 170, within the period provided for such effect, the Administrator operating it will cover the daily shortfalls that have occurred between the day of the non-compliance and the day in which said portfolio reconstruction program is presented.
The shortfalls referred to in this article will be covered charged to the special reserve constituted in terms of what is provided by Article 28 of the Law and, in the event that this is insufficient, it must be covered charged to its share capital or equity.
Article 173.- In the event that an Investment Company violates the limits provided for in the Authorized Investment Regime by exceeding the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk due to causes attributable to it, the daily shortfalls that occur must be covered until it presents the corresponding portfolio reconstruction program. In this case, the Investment Company will not have any period for the presentation of said program.
The aforementioned shortfalls must be covered charged to the special reserve constituted by the Administrator operating the Investment Company in question in terms of what is provided by Article 28 of the Law and, in the event that this is insufficient, they must be covered charged to the share capital or equity of said Administrator.
It will be understood that an Investment Company violates the limit of the Conditional Value at Risk Differential, the Liquidity Coefficient, or in its case, the Value at Risk due to causes attributable to it,
when using the investment portfolio that constitutes the Investment Company on the day of the first violation and
the scenarios that were used to calculate the Conditional Value at Risk Differential, the Liquidity
Coefficient or, as applicable, the Value at Risk of the previous business day, the cited limit of the Conditional
Value at Risk Differential, the Liquidity Coefficient or, as applicable, the Value at Risk is exceeded.
In the case of repeated and consecutive violations, it will be assumed that an Investment Company
fails to comply with the Conditional Value at Risk Differential limit, Liquidity Coefficient or, as applicable,
Value at Risk limit due to causes attributable to it on a specific day when the following
conditions occur:
I.
A violation of the Conditional Value at Risk Differential limit, the Liquidity
Coefficient or, as applicable, the Value at Risk limit occurred on the previous day, and
II.
By using the investment portfolio that constitutes the Investment Company on the specific day of the
violation and the scenarios that were used to calculate the Conditional Value at Risk
Differential, the Liquidity Coefficient or, as applicable, the Value at Risk of the previous business day, the
limit of the Conditional Value at Risk Differential, the Liquidity Coefficient or, as
applicable, the Value at Risk observed on the previous business day is exceeded.
For the purposes of the above calculations, the Risk Analysis Committee will determine the criteria that
must be observed in the event that the Investment Company's portfolio contains assets not
contemplated in the scenarios.
Article 174.- In the event that the portfolio reconstruction program is not submitted to the Commission,
it will be understood that there is repetition for the purposes of the sanction, for each day that passes
without submitting said program, with the consequent aggravation of the sanction in terms of the Law.
In the event that the Mandatories fail to comply with the investment regime, the Administrator shall be
responsible for the attributable losses generated due to the Mandatories' non-compliance.
TITLE XIII
OF INFORMATION PROSPECTUSES, EXPLANATORY BOOKLETS AND THEIR UPDATE
Article 175.- The information prospectuses prepared by Investment Companies must reveal
information regarding their purpose, general investment policies, financial operations to be followed
and the Financial Risks of the investment portfolios. It must include, as applicable, the objectives set forth by
the Administrator when hiring Mandatories and the criteria for choosing them. Within the general policies of
investment, a general description of the reference portfolio applicable to the investment portfolio of the Total Asset
of the Investment Company must be included. Explanatory booklets will be those that address the
basic points of the information prospectuses and in which their content is exposed with simple
language.
The information prospectuses and explanatory booklets, as applicable, the modifications or addenda of
these that must be submitted to the Commission for their authorization, must attach the requirements
provided for in article 177 of these Provisions.
Article 176.- The information prospectuses and explanatory booklets must adhere to the content
provided for in Annexes P and Q. Likewise, subject to the General Provisions that establish the
investment regime to which Investment Companies issued by the Commission must adhere.
The Commission, when authorizing the information prospectuses and explanatory booklets of Investment
Companies whose exclusive purpose is the investment of social security funds, may order that
provisions regarding investment policies, liquidity, selection and diversification of assets,
information disclosure, credit quality, market risk, marketability, and potential conflicts of
interest that may materialize to the detriment of the beneficiaries of the plan be incorporated.
Article 177.- The draft information prospectus and explanatory booklet, as applicable, the modifications
or addenda of these that must be submitted to the Commission for their authorization in terms of the
present Title, must attach the following:
I.
A document that indicates the modifications made and in electronic version, in which
each of the changes or additions made in the project submitted to
authorization with respect to the corresponding current version are identified;
II.
The approval of the adjustments to said documents, carried out by the Governing Body of the
Administrator, by means of the Detailed Minutes of the session of the Governing Body or of a
certificate issued by the secretary of said body, which must comply with what is provided in
article 29 of the Law. Such Detailed Minutes must have the favorable vote of the
Independent Directors and must be sent to the Commission no later than 20 business days
after the holding of the session of the Governing Body of the Administrator. In case
of not having the approval referred to in this fraction, Investment Companies
must adhere to what is provided in article 179, fraction I of these Provisions;
III.
Evidence indicating that the modifications were reviewed at least by the Head of the
Investments Area and by the head of the risk area, regarding their content
and
consistency, and
IV.
Evidence indicating that the Normative Comptroller supervised the content and that it corresponds to
what was approved by the Governing Body of the Administrator itself.
Article 178.- Investment Companies must modify the information prospectus and explanatory
booklet, or as applicable, the addenda thereof, and submit them to the Commission, within 65 business days
following the entry into force of:
I.
The General Provisions that establish the investment regime to which
Investment Companies must adhere;
II.
The commissions authorized for the Investment Company, except when the information prospectus
and explanatory booklet are expressly authorized by them, only with respect to the update of the commission authorized by the Board of Directors, sending a copy of them prior to the entry into force of the authorized commission, and
III.
Any other general provision issued by the Commission that implies modifications
to what is established in the information prospectus and explanatory booklet of said Investment
Company.
For the modification of the information prospectus and explanatory booklet, or as applicable, the addenda of
these, in accordance with what is established in fractions I to III of the preceding article of this article, the following must apply:
a)
When the General Provisions that establish the investment regime to which
Investment Companies must adhere or another general provision
issued by the Commission that implies modifications to what is established in the information
prospectus and explanatory booklet of said Investment Company, or the commissions
authorized, or the concentration limits defined by the Financial Risk Committee,
establish restrictions greater than those previously in force, the Investment Company
must observe them even if such restrictions are not provided for in its
information prospectus;
b)
When the General Provisions that establish the investment regime to which
Investment Companies must adhere establish a new methodology for
quantifying financial characteristics of investment portfolios, the Investment Company
must observe it. In the event that the methodology provided for in the information prospectus
is compatible with the new methodology, both must be observed, and
c)
When the General Provisions that establish the investment regime to which
Investment Companies must adhere or another general provision
issued by the Commission that implies modifications to what is established in the information
prospectus and explanatory booklet of said Investment Company, or the commissions
authorized, or the concentration limits defined by the Financial Risk Committee
establish restrictions lesser than those previously in force, the Investment Company may not
adopt them until they are provided for in its authorized
information prospectus.
Article 179.- For the authorization of the information prospectus and explanatory booklet, as applicable, the
modifications or addenda thereof, the Administrators must adhere to the following procedure:
I.
The Administrators may submit for authorization with a resolutory condition to the Commission,
the information prospectus and explanatory booklet, or as applicable, the modifications or addenda of
these from the entry into force of what is provided in the previous article of these
Provisions, stating that in the next session held by the Governing Body of the
Administrator, they will be submitted for approval by said Body, in accordance with what is
established in article 29, fraction III of the Law and article 175 of these
Provisions. Once the approval of the Governing Body of the
Administrator is obtained and they have the favorable vote of the Independent Directors, they must send
to the Commission within a term of 20 business days after the holding of the session, the Detailed
Minutes or the certificate issued by the secretary of said Body;
In the event that the Commission does not have the Detailed Minutes of the corresponding session or
the certificate issued by the secretary of said Body in terms of the preceding paragraph, the
authorization with resolutory condition will become void, so the Administrator must
adhere to what is provided for in the last information prospectuses and explanatory booklets authorized
by the Commission without resolutory condition. In this case, the Investment Company operated by
the Administrator will be subject to the portfolio reconstruction rules provided for in the
present Provisions;
II.
The Commission will have a term of 40 business days from the receipt of the request for
authorization of the information prospectus and explanatory booklet, as applicable, the modifications or
addenda thereof, to authorize it. If after said term, the Commission does not issue authorization
nor makes any observation, the documents referred to in this
paragraph will be considered authorized, and
III.
The information prospectus and explanatory booklet will not be authorized, or as applicable, the
modifications or addenda thereof, when the information delivered to the Commission does not comply
with the quality and characteristics required in this Title and in Annexes P and Q, as
corresponds, of these Provisions.
The Commission's authorizations will be granted only on the modifications or additions
identified in accordance with what is provided in article 177, fraction I of these Provisions, by
which any modification or addition not identified will be considered unauthorized.
In the event that the Investment Company submits to the Commission a request for scope through which it makes
modifications or additional clarifications to the previously sent request, the Commission will have the term
provided for in the preceding fraction II, computed from the date of delivery of the scope.
Article 180.- The Administrator must not deliver to the investing public any information prospectus
nor explanatory booklet that is not authorized by the Commission.
Article 181.- The authorized information prospectuses and explanatory booklets must be at all
times available to the investing public, in the offices and branches of the Administrator that operates
the Investment Company in question or on the Internet page of the Administrator, and must adhere to the formats provided for in
Annexes P and Q as corresponds, of these Provisions. For the purposes of this article, it will be sufficient that the Administrator provides the documents in electronic
version.
The information prospectuses of Investment Companies whose exclusive purpose is the
investment of social security funds must comply with the requirements established in article 47 bis of
the Law, except for what is established by fraction VIII of said article. For these Investment Companies
the Administrators may observe the contents of the format provided for in Annex P of these
Provisions. In the event that they decide not to adhere, the content of the format must be defined by the
Investment Committee and described in the corresponding Detailed Minutes, such information must be
available to the Commission.
TITLE XIV
OF THE CHOICE OF INVESTMENT OF THE RESOURCES OF THE SUB-ACCOUNT OF THE RETIREMENT INSURANCE, SUB-ACCOUNT OF RETIREMENT SAVINGS AND VOLUNTARY SAVINGS
Article 182.- Workers, whose pension resources are managed by Investment Companies, may choose that the resources be invested in a Basic Investment Company different from that in which the resources must be invested, in accordance with what is provided in the General Provisions that establish the investment regime to which Investment Companies must adhere.
Regarding Voluntary Savings, in the event that the Administrator does not have an Additional Investment Company, Workers may choose that each sub-account or type of contribution that makes up the Voluntary Savings be invested in different Basic Investment Companies, provided that the chosen Basic Investment Company allows the investment of the resources in question. In this case, the decision that Workers take regarding the investment of each Sub-account or type of contribution will be independent and in no case will it imply that the other resources must be invested in the same way. The resources that make up Voluntary Savings will not be subject to the rules issued by the Commission regarding the transfer of resources from one Investment Company to another, due to the Worker's age.
In the event that Workers do not choose the way in which the resources are invested, such resources
must be invested in the Investment Company determined by the Administrator, in accordance with what is
established in the information prospectuses of each Investment Company that operates. If the
Administrators operate Additional Investment Companies whose purpose is the investment of the resources of Voluntary Savings of Workers, such contributions must be invested in these
Companies.
TITLE XV
NORMATIVE COMPTROLLER
CHAPTER I
GENERAL PROVISIONS
Article 183.- The Normative Comptroller, in the development of its functions, must act with impartiality,
caring for the interests of Workers and avoiding situations that place it in a conflict of interest
real or potential or misuse of privileged information.
Article 184.- The Normative Comptroller when detecting non-compliance with internal or external
regulations, as well as any incident that it considers may affect the patrimony of Workers or the
adequate development of the financial processes of the Administrators and the Investment Companies,
must report them to the Governing Body of the Administrator.
The Normative Comptroller must not intervene or participate directly or indirectly in the processes
related to the investment of Workers' resources, nor with the activities of the Administrator
focused on risk management activities or management of the individual accounts of the
Workers.
Administrators must implement the necessary actions to solve the non-compliances
detected by the Normative Comptroller.
This Title will only be applicable in financial matters, without prejudice to the obligations that the
Normative Comptroller must fulfill in accordance with current regulations.
CHAPTER II
OF THE FUNCTION PLAN
Article 185.- The Function Plan will have as its purpose to establish the evaluation activities and the
measures to be developed by the Normative Comptroller to preserve the compliance of the Program of
Self-Regulation of the Administrator. The Normative Comptroller must verify compliance with the activities referred to in the Self-Regulation Program in accordance with the Function Plan.
The Function Plan will comprise annual exercises, starting its application in the month of January of each
year, and must be presented for approval to the Governing Body of the Administrator, as
corresponds, in the last ordinary session held in the immediate previous year to its application. The Function Plan must be presented to the Commission through the Normative Comptroller together with a certified copy of the Detailed Minutes of the Governing Body of the Administrator that records such
approval, within the following 30 business days after its approval.
Investment Companies may make investments in Investment Assets directly or through
Vehicles only in cases where the Normative Comptroller has an Observation Process established in the Function Plan, in accordance with each type of investment, which must be approved by the Governing Body of the
Administrator.
Article 186.- The Normative Comptroller will propose for approval by the Governing Body of the
Administrator the requirements of all resources and elements necessary to fulfill the Plan of
Functions for which the Administrator will be responsible for providing the requirements approved by the
Governing Body in accordance with article 30 of the Law. The Normative Comptroller must inform the
Commission about the proposal referred to in this paragraph, as well as its resolution.
Article 187.- The Function Plan will include at least the following sections in financial matters
of Investment Companies, in which the actions to be developed by the Comptroller
Normative will be contained:
I.
Evaluation Activities of the Administrator's Self-Regulation Program, the Normative
Comptroller must verify compliance with internal and external regulations, regarding the
policies and procedures defined by the Administrator and its Investment Companies. It
must be taken into account in this analysis the following:
a)
Compliance with the Integrated Automated System, in accordance with what is provided in the
present Provisions;
b)
Compliance with accounting records and generation of financial statements, in
accordance with the General Provisions on the registration of accounting,
elaboration and presentation of financial statements to which the
Investment Companies issued by the Commission must adhere;
c)
Compliance with the Authorized Investment Regime and with the General Provisions
that establish the investment regime to which Investment Companies must adhere;
d)
The investment of Investment Assets, directly or through authorized Vehicles
such as Mutual Funds, Structured Instruments mandates and
investment mandates, among others;
e)
Compliance with portfolio reconstruction programs that have been presented to
the Commission, in accordance with Title XII of these Provisions;
f)
Compliance with the resource investment process; in accordance with the policy and Investment Strategy determined by the Investment Committee of each Investment Company;
g)
The reports that the Normative Comptroller delivers to the Commission;
h)
Compliance with the information transmission process in accordance with the General
Provisions to which the information that Administrators and
Investment Companies deliver to the Commission must adhere;
i)
Compliance with the processes defined in the Manual of Policies and Procedures for the
Management of Financial Risk, in the Investment Manual and in the manual of policies and
procedures referred to in article 62 of these Provisions;
j)
Compliance with regulations regarding the contracting of services with third parties,
related to the process of investment of Workers' resources;
k)
Regarding Investment Assets that are part of the Assets Managed by Mandatories:
i.
Process of compliance with the criteria issued by the Risk Analysis Committee
regarding investment mandates and the regulations issued by this Commission for the
hiring of Mandatories, as well as with the criteria defined by the Committee of
Investment focused on the hiring and, as applicable, cancellation of the services of the
Mandatories;
ii.
Process of compliance with the investment regime of Mandatories;
iii.
Review of the opinions issued by auditors on Mandatories, and
iv.
Process to observe that the Administrator reviews the eligibility of the Mandatory regarding the legal situation of the Mandatory with the corresponding regulatory authority.
Regarding the monitoring of processes applicable to Mandatories, contracts must
provide that the Administrator has sufficient information. The Normative Comptroller may
require the Administrator to make available to the Normative Comptroller all the
information on the hiring, evaluation and detail of the management of the Mandatory.
l)
Compliance with the registration and update of the log kept by the Investment Committee
of Investment Companies with modifications to the contract with each Mandatory, as well
as deviations from it;
m)
Follow-up on the attention to observations reported by the external auditor in financial
matters of Investment Companies;
n)
Follow-up on the attention to recommendations, observations and evaluations made
by the Commission in financial matters of Investment Companies;
o)
Compliance with the code of ethics and the code of good practices provided for in Title
IV, Chapter II of these Provisions;
p)
Compliance with procedures to identify, control and mitigate operational risks
that derive exclusively from the management of the investment portfolio of Investment
Companies;
q)
Compliance with Financial Risk control measures that are integrated into the process of
daily operation, regarding the registration, documentation and settlement of financial
operations, in accordance with the policies and procedures established in the Manual of Policies
and Procedures for the Management of Financial Risk;
r)
The development of the sessions of the Investment Committee, of the Financial Risk Committee
and, where applicable, the sessions of the subcommittees, in compliance with the regulations;
s)
Compliance with the Correction Program that is presented to the Commission, where applicable;
t)
That the Administradoras are observed regarding the application of controls for compliance with the Liquidity Coefficient and, where applicable, the minimum liquidity parameters by positions in Derivatives, as well as the Early Warnings defined by the Financial Risks Committee;
u)
That the Administradoras are observed regarding the application of controls for compliance with the prudential criteria established for Value at Risk, Conditional Value at Risk, and the Differential of Conditional Value at Risk;
v)
That the Administradoras are observed regarding the application of controls for compliance with the maximum exposure to each Foreign Issuer or Foreign Counterparty that holds ratings lower than "A-" or its equivalent and at least "BBB-" or its equivalent approved by the Investment Committee and defined by the Financial Risks Committee; and
w)
That the Administradoras are observed regarding the application of controls for compliance with the maximum exposure, by Categories, to each Issuer or Counterparty of Debt Instruments approved by the Investment Committee and defined by the Financial Risks Committee.
The activities indicated in the subsections provided in this fraction shall be required in the Function Plan only when the Investment Society provides in its information prospectus the investment in Investment Assets linked to said activities.
II.
Measures to preserve compliance with the Self-Regulation Program of the Administradora in financial matters of the Investment Societies:
a)
To carry out evaluations of the controls established by the Administradora in financial matters and notify them to the same with the objective of promoting the correct administration and safeguarding of workers' resources;
b)
To recommend the establishment of Provisions to prevent conflicts of interest and avoid the improper use of information, and
c)
To carry out the scheduled program of activities to be developed, including the quantitative and qualitative progress of projected activities. When required, the program may be rescheduled, which shall be previously notified to the Commission by the Regulatory Comptroller, in case such program cannot be notified in advance due to an extraordinary situation that justifies it, said program shall be notified in the corresponding Monthly Report.
III.
Description of the material, technological, and human resources necessary for the Regulatory Comptroller to carry out its observation functions in financial matters of the Investment Societies;
IV.
Elaboration by the Regulatory Comptroller of Observation Processes in which it can be verified that the Investment Committees that carry out the follow-up of investments in Investment Assets, as well as Vehicles, mandates of Structured Instruments, and investment mandates, through the procedures authorized by said Committees;
V.
The Regulatory Comptroller must have a procedure to identify the greatest vulnerabilities or areas of opportunity in the investment processes in charge of Officials of the Administradora. The Regulatory Comptroller must specify, in order of importance, which areas are the most vulnerable of the Administradora and the respective Investment Societies. Likewise, the Function Plan must contemplate the creation and updating of a matrix containing all the Observation Processes of the Investment Society's investment activities, ordered according to their importance based on the impact they would have if the vulnerabilities detected by the Regulatory Comptroller were to materialize.
For the purposes of the ordering provided in this article, the Regulatory Comptroller must consider the expected impacts, including estimates of probability of occurrence and severity of the identified vulnerabilities, using the best techniques at its disposal, which may even contain qualitative elements. The procedure and the matrix provided for in this fraction must be updated annually. Additionally, the Regulatory Comptroller must carry out a detailed description of the steps, strategies, and expected times to be carried out by each of the Officials of the Administradora or of the Investment Societies regarding the aforementioned matrix. This matrix shall be available to the Commission at all times, the foregoing for informational purposes;
VI.
To elaborate a detailed flowchart for each activity showing the Observation Process carried out, regarding the duration and actions to be taken as well as the responsible parties to comply with the times described in the flowchart;
VII.
To monitor compliance with the liquidity policies defined and approved by the Investment Committee, and
VIII.
Those others that are required in the judgment of the Regulatory Comptroller for the correct observation of the Investment Societies in financial matters.
CHAPTER III
OF THE MONTHLY REPORT TO THE COMMISSION
Article 188.- The Monthly Report shall comprise the activities carried out during each calendar month and shall be presented by the Regulatory Comptroller to the Commission, no later than the last business day of the month following that to which it corresponds.
Article 189.- The report referred to in the preceding article shall incorporate the following elements in accordance with the evaluations, analysis of reports and opinions, as well as participation in sessions to which the Regulatory Comptroller is required to attend in terms of what is provided in article 30, penultimate paragraph of the Law:
I.
Evaluation of the Self-Regulation Program. In this section, it must be reported on the following aspects of observation in financial matters of the Investment Societies:
a)
The development of the Regulatory Comptroller's Function Plan, which must include quantitative and qualitative progress, as well as the results of each of the sections of the Function Plan, describing them in accordance with the scheduled program presented for this purpose in the cited Plan; in case modifications are made to the scheduled program, the cause and the necessary time frame to carry out the rescheduled activities must be indicated, and such modifications must be approved by the Governing Body of the Administradora;
b)
Compliance with self-regulatory obligations in accordance with article 30, fraction I of the Law, regarding the Officials responsible for the administration and operation of the Administradora, in accordance with the policies and procedures defined by the Administradora and its Investment Societies;
c)
Information on financial irregularities detected in the administration and operation of the Administradora and its Investment Societies, as well as on the preventive and corrective measures adopted and, where applicable, the sanctions imposed for non-compliance with such measures; or the irregular aspects that have been detected;
d)
The application and observance of measures provided for to prevent conflicts of interest;
e)
The application and observance of measures provided for to avoid the improper use of privileged information;
f)
The opinion, where applicable, on possible adjustments and improvements to the processes that are subject to its observation for the purpose of increasing effectiveness;
g)
To notify about the non-compliance with the policies and guidelines that have been specified in the intermediation contract in which they grant an investment mandate in accordance with the Tenth Seventeenth Provision of the General Provisions that establish the investment regime to which Investment Societies must be subject and with the minimum contents that must cover the contracts signed by the Administradoras to establish investment mandates established in the guidelines approved by the Risk Analysis Committee;
h)
To inform if the investments in Investment Assets comply with the investment processes authorized by the Investment Committees and the Financial Risk Committees and on the periodic follow-up that must be given to them referred to in articles 20 to 43 of these Provisions;
i)
The Regulatory Comptroller must inform if the activities carried out by the Officials of the Administradora comply with what is provided by the manuals and policies established by the Investment Committees and the Financial Risk Committees, and
j)
The Regulatory Comptroller must indicate where the greatest vulnerabilities and areas of opportunity are in the investment processes in charge of the Officials of the Administradora, in accordance with the matrix provided for in fraction V of article 187 of these Provisions.
II.
It shall be reported on the result of the analysis carried out on the periodic opinions received from external auditors and on the observations derived from them regarding the supervision in financial matters of the Investment Societies;
III.
Participation in the sessions of the Governing Body of the Administradora. It shall be reported on the participation in the sessions of this body, as well as on the main topics discussed and action policies agreed upon;
IV.
Its participation in the sessions of the Governing Body of each Investment Society. It shall be reported on the participation in the sessions of this body, as well as on the main topics discussed and action policies agreed upon;
V.
Reports received from Independent Councilors in accordance with what is provided in article 51 of the Law and on the result of the analysis carried out on these reports. This section of the report shall be complemented with information regarding the specific measures that the Administradora has adopted for the correction of the irregularity and the results of such observation measures in financial matters of the Investment Societies;
VI.
Its participation in the sessions of the Investment Committees and their subcommittees, as well as on the main topics discussed and action policies agreed upon;
VII.
Participation in the sessions of the Financial Risks Committees and their subcommittees, as well as on the main topics discussed and action policies agreed upon;
VIII.
Report on the violations of the code of ethics detected in the observation in financial matters of the Investment Societies;
IX.
The Regulatory Comptroller must inform regarding compliance with the code of good practices, and
X.
To inform if the investment area has complied with the liquidity policies defined and approved by the Investment Committee, as well as if it has complied with the minimum liquidity parameters determined by the Risk Analysis Committee.
Article 190.- The Commission shall analyze the content of the Monthly Report, and when required, shall order the Administradora to implement the preventive and corrective measures that apply. The Commission shall require the Regulatory Comptroller to provide clarifications or additional reports that are necessary regarding the content of its Monthly Report.
CHAPTER IV
OF THE OBSERVATION FUNCTION OF THE REGULATORY COMPTROLLER
Article 191.- The Regulatory Comptroller must observe compliance with the regulations in accordance with the Function Plan indicated in this Chapter and must have evidence of the results and analyses carried out in each process, this evidence must be available to the Commission. The Regulatory Comptroller shall define the set of information that will be considered necessary to carry out the analysis referred to in this paragraph.
Article 192.- The Observation Process of the Regulatory Comptroller is oriented to protect the interest of Workers through the activities established in its Function Plan that allow assessing the degree of compliance with internal and external regulations linked to the financial processes executed by the Officials of the Administradora that operates the Investment Societies. The review of compliance with the regulations established by the Regulatory Comptroller on the policies and procedures established by the Administradora must foresee the following topics:
I.
Regarding the Investment Assets that are part of the Assets Managed by the Investment Society in accordance with its information prospectus:
a)
Processes linked to compliance with the investment regime;
b)
Process of investment of resources; in accordance with the policy and Investment Strategy determined by the Investment Committee of each Investment Society;
c)
Process of compliance with financial risk control measures that are integrated into the daily operation process, relative to the recording, documentation, and settlement of financial operations, in accordance with the policies and procedures established in the Manual of Policies and Procedures for the Administration of Financial Risk;
d)
Process of identification, mitigation, and control of operational risks derived exclusively from the management of the investment portfolios of the Investment Societies;
e)
Compliance with portfolio reconstruction programs that have been presented to the Commission, where applicable;
f)
Process of transmission of information in accordance with the General Rules that the Commission establishes for the delivery of information;
g)
Process of verification of conflicts of interest and improper use of information;
h)
Compliance with the Correction Programs that are presented to the Commission, where applicable;
i)
Process of compliance with the Liquidity Coefficient and with the policies regarding the minimum liquidity parameters by positions in Derivatives, as well as the Early Warnings established by the Financial Risks Committee and approved by the Governing Body of the Investment Society;
j)
Process of compliance with the prudential criteria established for Value at Risk, Conditional Value at Risk, and the Differential of Conditional Value at Risk, and
k)
Process of compliance with the maximum exposure to each Foreign Issuer or Foreign Counterparty that holds ratings lower than "A-" and at least to "BBB-", or in its case, to the equivalent scales of the other recognized securities rating institutions in the General Provisions that establish the investment regime to which Investment Societies must be subject, through the procedures authorized by the Investment Committees and Financial Risks Committees, as well as the maximum exposure, by the Categories defined by the Financial Risks Committee, to each Issuer or Counterparty in Debt Instruments.
The responsible persons of the investment and risk areas, as well as the responsible persons for the confirmation, settlement, allocation, accounting registration, and generation of financial statements of the Investment Societies must provide the Regulatory Comptroller with the information generated in their areas that is necessary for the proper fulfillment of the Regulatory Comptroller's functions, as well as they must conserve and provide the evidence required to analyze the compliance with the processes provided for in this Chapter;
II.
Regarding the Investment Assets that are part of the Assets Managed by the Mandatories:
a)
Process of compliance with the criteria issued by the Risk Analysis Committee regarding investment mandates and the regulations issued by this Commission for the hiring of Mandatories, as well as with the criteria defined by the Investment Committee focused on the hiring and, where applicable, cancellation of the services of the Mandatories;
b)
Process of compliance with the investment regime of the Mandatories;
c)
Review of the opinions carried out by auditors on the Mandatories, and
d)
Process to observe that the Administradora reviews the eligibility of the Mandatory regarding the legal situation of the Mandatory with the corresponding regulatory authority.
Regarding the review of the compliance of the processes applicable to the Mandatories, the contracts must provide that the Administradora has sufficient information. The Regulatory Comptroller may require the Administradora to make all information available to the Regulatory Comptroller regarding the hiring, evaluation, and detail of the management of the Mandatory.
Article 193.- For Assets Managed by the Investment Society, the Regulatory Comptroller must observe that the observations reported by the external auditor are addressed, and observe that the observations, recommendations, and evaluations carried out by the Commission are addressed, for which it must deliver to the Commission a schedule with the dates on which such observations were or will be addressed, prioritizing those that are considered to require immediate attention.
CHAPTER V
OF THE REPORT TO THE GOVERNING BODY
Article 194.- The Regulatory Comptroller shall present in the ordinary session held by the Governing Body of the Administradora, a report on the compliance with the obligations in its charge, which must be attached as an annex to the Detailed Minutes of the Governing Body of the Administradora and be available to the Commission.
CHAPTER VI
OF THE TRAINING OF THE REGULATORY COMPTROLLER
Article 195.- The Governing Body of each Administradora must approve a continuous training program for the Regulatory Comptroller and the Officials who support it in its observation functions, for the update both in matters of Retirement Savings Systems, financial, financial risks, and that necessary to carry out its functions, based on the services provided by its Administradora. The Regulatory Comptroller annually proposes for approval by the Governing Body of the Administradora a continuous training program for itself and for the Officials who support it in its observation functions.
It is the responsibility of the Administradora to provide all the resources and elements necessary to comply with the training and, where applicable, certifications of the Regulatory Comptroller or of the personnel who support it in its observation functions.
CHAPTER VII
OF THE PRESENTATION AND FOLLOW-UP TO THE CORRECTION PROGRAMS OF THE ADMINISTRADORAS
Article 196.- Any Official or dependent of the Administradora, who in the development of its functions identifies having incurred omissions or violations of the applicable regulations in matters of Retirement Savings Systems, must immediately inform the Regulatory Comptroller of the facts that occurred.
For those cases where the Regulatory Comptroller, derived from the application of its Function Plan, detects irregularities in the development of any process, it must immediately inform the Administradora and the Commission, so that, where applicable, the Administradora remedies the omissions or violations of the applicable regulations in matters of Retirement Savings Systems in which they have incurred and elaborates a Correction Program.
Article 197.- The Correction Program elaborated by the Administradora must be presented to the Commission, through its Regulatory Comptroller, and, in case the omission or violation has been corrected, it must be accompanied by evidence of the correction.
The person authorized to sign the Correction Programs, monthly reports, additional reports, and writings addressed to the Commission, in the absence of the Regulatory Comptroller, must be designated by the Governing Body of the Administradora, at the proposal of the Regulatory Comptroller. Such appointment must be informed in writing to the Commission for its knowledge. The foregoing, within the 10 business days following the date of the session in which such approval is resolved, attaching for this purpose, the certification of the secretary of the Governing Body in which such agreement is recorded.
The Correction Programs, monthly reports, and writings addressed to the Commission, signed by the Official designated for this effect in the absence of the Regulatory Comptroller, must be ratified by the latter through a writing addressed to the Commission, within the three business days following the date on which it reincorporates to its activities. If the provisions of this article are not complied with, the writings shall be considered not presented.
Article 198.- In case the Administradora has defined a schedule of future actions in the Correction Program, it must inform the Commission of the conclusion of the Correction Program through its Regulatory Comptroller, within the three business days following the date on which it is concluded, for the Commission to take knowledge of the correction to the omission or violation object of the Correction Program.
The Regulatory Comptroller must follow up on the schedule and the future actions indicated by the Administradora in the Correction Program, these actions will have a term of 20 business days to be fulfilled. The Regulatory Comptroller may request an extension for a maximum term of 5 business days, understanding that in each of the dates indicated in the Correction Program, the Administradora must deliver the documentation that accredits the execution of each activity, for the purpose that through the Regulatory Comptroller, the progress and conclusion of the Correction Program are made known to the Commission. In case the Administradora does not conclude the future actions in accordance with the schedule established in the Correction Program, the Regulatory Comptroller must inform this fact to the Commission, either through its Monthly Report, or at the moment it has knowledge that the Correction Program will not be concluded in accordance with the established schedule.
The benefit provided in article 100 bis of the Law will not be applicable when the Administradora fails to comply with the actions established in the schedule indicated in the Correction Program and the Commission will impose the sanction corresponding to the committed infringement, in terms of what is provided by articles 99 and 100 of the Law.
When, due to the nature of the reported non-compliance, the Administradora requires authorization for a longer term for the fulfillment of corrective actions, it must inform the Commission thereof. The Administradora, through the Regulatory Comptroller only, will request the necessary term to carry them out, justifying such request.
Article 199.- It shall be the responsibility of the Regulatory Comptroller to point out, verify, and observe the processes that give rise to omissions or violations of the regulations of the Retirement Savings System that are
had presented and, where applicable, propose to the Governing Body of the Administrator adjustments in the processes to correct them. Likewise, it must point out contraventions or omissions to the regulations that derive from the same causes.
TITLE XVI
FINAL PROVISIONS
Article 200.- Investment Societies for the sending and receiving of digital documents shall be subject to the procedure for the sending of digital documents and notifications by email of the Participants in the Retirement Savings Systems established in the General Provisions on operational matters of the Retirement Savings Systems.
Article 201.- Administradoras shall emphasize control and information regarding investments in securities of the Normative Comptroller and of the Officials who, by reason of their position or role, have access to information on the investments of resources in individual accounts; the foregoing, in accordance with what is provided in Article 67 of the Law; likewise, they must prohibit the aforementioned persons from directly or indirectly using the reserved information to obtain for themselves or for others, advantages through the purchase or sale of securities.
TRANSITORY PROVISIONS
ARTICLE FIRST. These General Provisions shall enter into force on the next business day following their publication in the Official Journal of the Federation, with the exception of what is provided below:
I.
Article 33, sections II to VIII of these General Provisions, relating to the Investment Committees defining, approving, and monitoring the Investment Strategy in Debt Instruments, including Securitized Instruments, Foreign Debt Securities, with the exception of government securities, shall enter into force until August 1, 2016;
II.
Article 70, with respect to the certifications of Officials of the areas indicated below, shall be subject to the following:
a)
To satisfy the general financial certifications applicable to Officials in charge of activities related to Investment Societies, the areas of confirmation, settlement, allocation, accounting record, and generation of financial statements of investment operations, as well as of the normative comptroller, shall enter into force until February 1, 2017.
Officials who, from the publication of these General Provisions, already hold the general financial certification, will remain valid for the originally provided period, which shall be recognized without the need to remit to the Commission the information related to the certification as provided in Annex J of these General Provisions;
b)
To satisfy the certifications for Derivatives operations applicable to Officials in charge of activities related to Investment Societies, the areas of investments, risks considering the UAIR, confirmation, settlement, allocation, accounting record, and generation of financial statements of investment operations, as well as of the normative comptroller, shall enter into force until August 1, 2016;
Officials who, from the publication of these General Provisions, already hold the certification for Derivatives operations, will have a validity until January 1, 2019, which shall be recognized without the need to remit to the Commission the information related to the certification as provided in Annex J of these General Provisions, and
c)
To satisfy the certifications for operations with Structured Instruments, Officials of the investment area in charge of the investments referred to in this paragraph, an Official of the UAIR, and an Official of the Normative Comptroller, will have a period of 12 months from the date on which the Commission notifies who the independent evaluator will be.
III.
For the purposes of compliance with what is provided in Article 36 of these General Provisions, Administradoras will have three months from the entry into force of these General Provisions to present their reference portfolio to the Commission for no objection.
III.
Articles 2, section XLIX, 3, section XVII, 14, 53, 54, 55, and Annex L of these General Provisions, relating to the Integrated Automated System, Administradoras must implement it completely by July 1, 2016 at the latest. Without prejudice to the fact that from the publication of these General Provisions, Administradoras comply with what is provided in the referred articles, through computer systems they have to accredit compliance with what is provided in these General Provisions, as well as with the General Provisions on the recording of accounting, preparation, and presentation of financial statements to which Investment Societies must be subject.
ARTICLE SECOND. The "General Provisions on financial matters of the Retirement Savings Systems", published in the Official Journal of the Federation on August 11, 2015, are repealed.
Likewise, with the publication of these General Provisions, any provision issued by the Commission that is contrary to this regulation is repealed.
ARTICLE THIRD. For the purposes of compliance with what is provided in section II of the Second Transitory Provision of the General Provisions establishing the investment regime to which Investment Societies must be subject, Administradoras must not have pending observations to be resolved in financial matters made by the Commission.
For the purposes of compliance with what is provided in sections I to III of the Second Transitory Provision of the General Provisions establishing the investment regime to which Investment Societies must be subject, Administradoras must have documented the contents of the referred sections in the investment manuals and policies and procedures for the administration of financial risk, to which the Commission has issued its no objection, as well as be part of the Plan of Functions of the Normative Comptroller.
For the purposes of compliance with what is provided regarding the special reserves of Investment Societies in the Second Transitory Provision of the General Provisions establishing the patrimonial regime to which Administradoras, the Pensionissste, and Investment Societies and the special reserve will be subject, Administradoras:
I.
Must accredit compliance with what is provided in the first paragraph of this article;
II.
Must not have pending observations to be resolved in financial matters made by the Commission for the purpose of verifying compliance with the contents provided in the previous paragraph for sections II and III of the Second Transitory Provision of the General Provisions establishing the investment regime to which Investment Societies must be subject, and
III.
Must accredit compliance with what is provided in Title II, Chapter II, Article 14, and Title III, Chapter IV of these General Provisions.
The Commission, in the exercise of its supervisory powers, will determine the terms in which the special reserve must be reconstituted when any of the conditions provided in this article are not met.
ARTICLE FOURTH. Administradoras that, from the publication of these General Provisions, submit for Commission approval the information prospectuses and explanatory brochures must present them in the formats provided in Annexes P and Q.
ARTICLE FIFTH. Investment Societies that, upon the entry into force of these provisions, fail to comply with the rules provided in Annex T of these provisions, with the prior approval of the Financial Risks Committee, must send to the Commission through their Investment Committee, a portfolio recomposition program, within a period not greater than 20 business days counted from when these provisions enter into force, for such purposes, Administradoras that find themselves in said situation must suspend their participation in other Structured Instruments until such time as they comply with the investment regime, without prejudice to the foregoing, Investment Societies must participate in the capital calls pending for the Structured Instruments in which they have previously participated in order to avoid any harm to the savings of Workers.
ARTICLE SIXTH. The auditing performed by independent experts regarding Debt Vehicles, Variable Income Components, Real Estate Investment Vehicles, and FIBRAS, as well as Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments, and Debt Indices of Eligible Countries for Investments provided in Annex S of these General Provisions, shall enter into force until such time as Administradoras notify the Commission of the compliance of the corresponding independent expert's eligibility and deliver to the Commission the writings referred to in numbers 3 and 4 of section IV of Annex S of these General Provisions, as well as, in accordance with the General Rules to which the information that administrators of retirement funds, specialized investment societies for retirement funds, receiving entities, and operating companies of the National SAR Database must subject themselves, deliver to the National Commission of the Retirement Savings System, the Commission has the required information for the purpose of supervising the current regulation in this matter.
ARTICLE SEVENTH. Administradoras that, on the date of entry into force of these General Provisions, have requests for the issuance of approval before this Commission regarding intermediation contracts in which they grant investment mandates to Mandatarios, said contracts will be subject to these General Provisions.
ARTICLE EIGHTH. Investment Societies will observe the following diversification criteria until such time as the Commission verifies that the methodologies and elements of measurement for additional credit evaluation provided by securities rating institutions, referred to in Article 3, sections XIII and XIV of these General Provisions, have been fully implemented:
a)
Up to 5% of the Total Asset of the Investment Society in Debt Instruments and Foreign Debt Securities that hold the qualifications provided in Annexes A, F, and J of the General Provisions establishing the investment regime to which specialized investment societies for retirement funds must be subject;
b)
Up to 3% of the Total Asset of the Investment Society in Debt Instruments that hold the qualifications provided in Annexes B and G of these General Provisions establishing the investment regime to which specialized investment societies for retirement funds must be subject, and
c)
Up to 2% of the Total Asset of the Investment Society in Debt Instruments that hold the qualifications provided in Annex C of these General Provisions establishing the investment regime to which specialized investment societies for retirement funds must be subject.
For the purpose of computing the value of investments made with each Counterparty or issuer in accordance with this provision, the provisions of the General Provisions establishing the investment regime to which specialized investment societies for retirement funds must be subject and Annex G of these General Provisions shall apply.
ARTICLE NINTH.
For the purpose of what is provided in subitems b) and c) of Annex U of these General Provisions, Structured Instruments that are in force at the entry into force of these General Provisions will be considered.
Mexico City, April 14, 2016.- The President of the National Commission of the Retirement Savings System, Carlos Ramírez Fuentes.- Signature.
ANNEX A
Fixed Scenarios that Count in the Conditional Value at Risk Differential
The scenarios of the following 5 disjoint dates that will remain fixed within the 1000 scenarios used in the computation of the Conditional Value at Risk Differential:
Scenarios
October 22,
2008
February 20,
2009
October 23,
2008
February 23,
2009
October 24,
2008
The Commission will keep updated the list of fixed scenarios that must be considered in the computation of the Conditional Value at Risk Differential, through publication on its Internet page. It shall be the responsibility of Administradoras to comply with the criteria approved by the Risk Analysis Committee, as well as to monitor any update and publication that occurs regarding the list of fixed scenarios that must be considered in the computation of the Conditional Value at Risk Differential.
ANNEX B
On Structured Instruments, FIBRAS, and Certificates Linked to Real Projects
Chapter I
Elements that must be foreseen in the policies defined by Investment Committees to make investments in Structured Instruments, FIBRAS, and Certificates Linked to Real Projects
I.
Regarding the eligibility of the Structured Instrument administrator:
a)
Independence. Determine policies related to the independence of the administration team of the Structured Instrument with respect to the settlors, contributors, originators, or operators, of the assets that make up the underlying investment;
b)
Capabilities. Define parameters to evaluate the capabilities of the administration team of the Structured Instrument based on the status of financial resource management businesses focused on the operation of funds and fund of funds, completed and in progress, including those whose object is the financing of real projects, among which are private capital funds, seed capital funds, project financing funds, infrastructure funds, and real estate funds. These parameters must consider countries, regions, and economic sectors in which investments are planned to be managed. Likewise, it must determine with how many years of experience and amount of managed resources the administration team of the Structured Instrument must have in the elements described in this subitem;
c)
When key officials exist, determine the experience they must have given the tasks assigned to each, and
d)
Team Integrity. Know and define policies in case the administration team of the Structured Instrument, or some of its members, has pending investigations before any of the regulators of the Eligible Countries for Investments for reasons related to the non-compliance with the financial regulations of the countries in which they operate, frauds by their officials or ex-officials, or breach of their fiduciary responsibility.
II.
Regarding the eligibility of the FIBRAS administrator:
a)
Independence. Determine policies related to the independence of the administration team of the instrument referred to in this section with respect to the settlors, contributors, originators, and operators of the assets that make up the underlying investment;
b)
Capabilities. Define parameters to evaluate the capabilities of the administration team of the instrument referred to in this section based on the status of financial resource management businesses focused on the operation of vehicles whose object is the financing of real assets or projects, among which are vehicles for financing infrastructure and real estate projects. These parameters must consider countries, regions, and economic sectors in which investments are planned to be managed. Likewise, it must determine with how many years of experience and amount of managed resources the administration team of the instrument referred to in this section must have in the elements described in this subitem;
c)
When key officials exist, determine the experience they must have given the tasks assigned to each, and
d)
Team Integrity. Know and define policies in case the administration team of the instrument referred to in this section has pending investigations before any of the regulators of the Eligible Countries for Investments for reasons related to the non-compliance with the financial regulations of the countries in which they operate or frauds by their officials or ex-officials, or breach of their fiduciary responsibility.
III.
Regarding the eligibility of the settlor, operator, or in its case, the contributor of real assets or real projects or of rights to collect on the income they generate, of the Certificates Linked to Real Projects:
a)
Independence. Determine policies related to the independence between the settlor or contributor of the underlying real assets or projects, the operator, and in its case, the appraiser;
b)
Capabilities. Define parameters to evaluate the capabilities of the operator, and in its case, administrator, of the underlying real assets or projects, including experience in the operation and administration of real assets and projects, as well as the sector, region, or economic sector in which investments are planned to be managed, and
c)
Team Integrity. Know and define policies in case the settlor or contributor, as well as the operator or administrator of the underlying real assets or projects or well executives of the aforementioned entities, have pending investigations before any of the regulators of the Eligible Countries for Investments for reasons related to the non-compliance with the financial regulations of the countries in which they operate or frauds by their officials or ex-officials, or breach of their fiduciary responsibility.
IV.
Regarding the eligibility of the co-investor of the Fiduciary Certificates of Investment Projects:
a)
For the purposes of computing investment in the projects financed by the Fiduciary Certificates of Investment Projects referred to in Annex U of these General Provisions, eligible co-investors, distinct from Investment Societies, will be those defined in the investment prospectus;
b)
In case the co-investor is the one who defines the investment thesis, they must accredit:
i.
That it is a private capital fund administrator, pension fund, sovereign fund, or central bank, and
ii.
That it accredits that it has experience in investments or development of projects in which it approves to invest the Structured Instrument of which it is a co-investor.
In case the co-investor is a private capital fund administrator or well is an administrator of an instrument provided in subitem a) of the Second Provision, section LI of the General Provisions establishing the investment regime to which Investment Societies must be subject, it must comply with what is provided in section I of Chapter I and section I of Chapter II of this annex.
To accredit the experience of the co-investor and the eligibility criteria provided in this annex, subsidiary companies, subsidiaries, or the controlling entity (known in English as "holding") of the co-investor may be considered, provided that, in the case of subsidiaries or subsidiaries of the co-investor, the share capital belongs entirely to the co-investor and when accredited through the controlling entity, it must be demonstrated that at all times the co-investor observes corporate governance rules, ethics, information disclosure, as well as investment analysis procedures and uses information sources for these purposes, approved by the controlling entity.
Chapter II
Elements that must contain the selection questionnaires for Structured Instruments, FIBRAS, and Certificates Linked to Real Projects
The Investment Committee or the Financial Risks Committee must include in the questionnaire at least the following elements:
The questionnaire must contain the necessary questions to be able to evaluate the satisfaction of the policies provided in the previous chapter of this Annex. In particular, it must contain questions that allow verifying that the administrator, or in the case of the Certificate Linked to Real Projects, the corresponding figure, has an evaluation on the legal, technical, political, and social risks to which the underlying investments of the assets that will make up the Structured Instruments, FIBRAS, and Certificates Linked to Real Projects are exposed.
I.
For Structured Instruments and FIBRAS, the following must be known about the administrator of the instrument:
a)
General information of the administration team of the instruments referred to in this section: main clients; main investors in previous investment instruments; independence of the administrator with respect to possible contracting Administradoras;
b)
Executive Team: Biographies of the members of the executive team of the administrator including education, professional experience, and current position in the company; brief description of the competitive advantages of the executive team; description of the compensation scheme of the executive team of the instrument; experience of the administrative team working together; measures of adherence to the investment and risk criteria defined and approved by the respective governing bodies; identification of officials, executives, and first-level officers and their remuneration policy; mechanisms for disclosure of changes in appointments of officials up to the second level of the administrator; criteria of transparency, integrity, and confidentiality applied by the administration team; description of the mechanisms to reveal changes in the appointments of first-level officials of the administration team, and in its case, the advisor; criteria for substitution and settlement conditions of the administration team, and in its case, the advisor.
c)
Governing Bodies: Structure, composition, and functions of the governing bodies of the administration team and in its case, the advisor; mechanisms for the formation of committees for the management of the instruments referred to in this section;
Constitution and selection criteria for the members of the governing bodies
independent and control group; biographies of the members of the governing
bodies; powers, description of the strategic decision-making process and
veto rights;
d)
Compliance Officer in the company: Name and contact details;
description of any actual or potential conflict of interest; information
on the existence of any legal proceedings in process against the company or
any member of the executive team; policies for resolving and mitigating conflicts
of interest; indicate if any member of the executive team is involved with any
company with which there could be a conflict of interest; and the policies for operation
with related parties;
e)
External Advisers: Information on the use of professional consultants related
to auditing, taxes, finance, and legal; description of the functions of the
professional consultants; contact information for the auditor; information on the
existence of any relationship/affiliation of the auditor to any of the businesses of the
instrument; policies regarding external audits on the situation of the management
of resources and resolution of potential conflicts of interest; information on
outsourcing of third parties for risk management;
f)
Information on the Investment Instrument available to investors in terms of
the Securities Market Law and the General Provisions applicable to
securities issuers and other securities market participants, issued by the
National Banking and Securities Commission: Policy for acquiring or assuming credits;
loans or financing charged to the trust; leverage limits,
policy on the use of derivative instruments and; in the case of Structured
Instruments, liquidity management policies shall be considered until
the resources from capital calls or prefunding are channeled to the
underlying investments of the Structured Instrument;
g)
Administration, operation and monitoring of the instrument: Description of the process for
selecting an investment; description of the process for supervising the investments of
the investment portfolio; type of reports sent to investors; frequency of
reporting instrument information to investors; periodicity of sending
detailed information on investments made; description of the administrator's policy
regarding meetings between fund officials and potential
institutional investors; indicate the diversification policies for investments,
by settlor or contributor, by project operator, by economic sector, by
geographic regions, by project development stage, among others; infrastructure in
systems and models available to the administration team to perform the
processing of operations, valuation and risk control; valuation policies for the assets that make up the trust's equity, including the
experience and independence of the independent appraiser, regarding experience, the
inputs used and rotation policies for the independent expert, specific audit policies for the Structured Instrument or FIBRAS;
h)
For Structured Instruments, evaluation of compliance with international standards
issued by the "Institutional Limited Partner Association", ILPA, by its
acronym in the English language and known in the Spanish language as the Association of
Institutional Investors, or other analogous references regarding:
i.
Information disclosure;
ii.
Valuation practices, and
iii.
Analysis of underlying investments and the fund;
i)
Costs and expenses: Estimated issuance expenses; administration fees; maintenance fee;
incentive fee; preferred commission; sales commission; other instrument commissions;
additional expenses that the instrument might incur;
indicate if they have any shared compensation system with another
company, and
j)
The disclosure, mitigation and resolution policies for conflicts of interest of the administrator itself, as well as those applicable to conflicts of interest of other participants
in the Structured Instrument or FIBRA of which the Administrator has knowledge. In
the case of Structured Instruments, the Administrator must request the code
of ethics of the instrument's administrator.
II.
For Real Project-Linked Certificates, the following shall be observed:
a)
General information on the settlor, operator, or in its case, the contributor of real assets
and real projects or of rights to collect income generated by these,
such as the operation of other real assets or projects, main competitors, independence of the
administrator with respect to possible contracting Administrators, among others;
b)
Governing Bodies: Structure, composition and functions of the governing bodies of
the entities involved in the operation of the underlying assets;
c)
Information on the Real Project-Linked Certificate: Characteristics of the
real assets or real projects or in its case the rights to collect income generated by
these; Risk Factors; description of the expected return (ranges) of the
instrument; policy on credits, loans or financing charged to the trust;
leverage limits, policy on the use of derivative instruments;
d)
Description of any actual or potential conflict of interest; information on the
existence of any legal proceedings in process against the company or any
member of the executive team; policies for resolving and mitigating conflicts of interest;
indicate if there are potential conflicts of interest; policies for operation with related
parties, and
e)
Costs and expenses: Estimated issuance expenses and other additional expenses that the
Real Project-Linked Certificate might incur.
III.
For Fiduciary Investment Project Certificates, in addition to what is provided
in fraction I of this chapter, which shall be applicable only to the
administrator of the instrument, information about the co-investor must be known when
this defines the investment thesis:
a)
General information on the co-investor of the Fiduciary Investment Project Certificates;
b)
Executive team of the co-investor and, in its case, analysis of the parent or subsidiary company
of the co-investor that will be in charge of approving investment projects;
c)
Description of any actual or potential conflict of interest of the co-investor, its
affiliates or operating subsidiaries with respect to the investments of the instrument in question;
d)
Policies of the co-investor regarding the administration, operation and monitoring of the
instrument:
e)
Description of the co-investor's policies regarding:
i.
Information disclosure;
ii.
Valuation practices, and
iii.
Analysis of underlying investments and the fund.
f)
Code of ethics of the co-investor.
In the case where the co-investor is an administrator of private equity funds, it must
comply with what is provided in fraction I of this chapter, leaving without application what is provided
in sub-paragraphs a) to f) of this chapter.
ANNEX C
Minimum elements that must be included in the analysis of companies
I.
The Investment Committee must define and approve an Investment Strategy in individual
stocks, which considers among other elements the objectives, the investment horizon, the
policies for deviation, leverage and liquidity.
II.
Have an analysis of fundamental variables that comprises at least the following
elements:
a)
General description of the issuing company;
b)
Characteristics of the series in which the Investment Society invests:
i.
Rights and restrictions of holders;
ii.
Liquidity, and
iii.
Markets in which it trades.
c)
Financial ratios to consider:
i.
Solvency;
ii.
Liquidity;
iii.
Leverage, and
iv.
Profitability.
d)
Current and prospective view of the company considering:
i.
The general performance of the economy;
ii.
The sector to which it belongs;
iii.
The company's comparative advantages;
iv.
Business strategy;
v.
Growth potential, and
vi.
Risks facing the company that could have an impact on valuation and
performance.
e)
Valuation:
i.
Description of the fair valuation methodology used by the Administrator;
ii.
Assumptions used in said methodology and information inputs, and
iii.
Deviations between market valuation and fair valuation.
f)
In the event that the investment is made through Derivatives, it must also include:
i.
Market and Counterparty;
ii.
Valuation Methodology, and
iii.
Financial characteristics of the Derivative.
In the event that the Investment Committee, with the approval of the majority of the Independent Directors, defines that any of the elements provided in this Annex are unnecessary, it must
record this in the Detailed Minutes of the session where such policy is approved, for which it must
explicitly state the reasons why they consider the elements in question to be unnecessary.
ANNEX D
Currency Classification
Investment Societies may carry out the authorized operations of the Currencies of the Countries
Eligible for Investments in accordance with the following three groups:
Group I: Comprises those Currencies authorized to settle permitted instruments, hedge
exposure to the Currency and take Pure Positions in Currencies. This group is composed of the following currencies:
Group II: Comprises those Currencies authorized only to settle permitted instruments or
hedge the exposure to the Currency of the underlying, which are listed below.
The elements of this group of Currencies may be evaluated, individually, by the Risk
Analysis Committee for the purpose of them being considered in the future within Group I or in its case within
Group III.
Group III: Comprises the Currencies authorized only to settle permitted instruments or hedge
exposure to the Currency, which are listed below.
In the future, some of these Currencies could be transferred to Group II, if market development conditions
allow, prior to the opinion and approval of the Risk Analysis Committee.
The modifications and additions that the Risk Analysis Committee determines for the present, will be
published on the Commission's website. It is the responsibility of the Administrators to comply with the criteria approved by the Risk Analysis Committee and to follow up on any
updates and publications that arise regarding the aforementioned modifications and additions.
ANNEX E
Methodology for calculating the Market Value of Currency positions
For the purpose of verifying compliance with the limit applicable to Currency positions established in
the General Provisions issued by the Commission, the following shall be considered:
I.
Total Currency Exposure.
The Currency exposure of the Total Asset of the Investment Society, derived from the investment in the
Investment Objects, both by the Investment Society and its Mandataries, shall be
calculated considering the following criteria and formulas:
a)
Independent positions are considered those of the Asset Managed by the Society
of Investment and those of the Asset Managed by each of the Mandataries. This implies that the positions of the Asset Managed by the Society
of Investment are not netted with those of the Asset Managed by any Mandatary, nor are the positions of the Assets Managed
between Mandataries netted;
b)
For Currency positions of the Asset Managed by the Investment Society:
i.
Long and short positions in the same Currency are netted;
ii.
Long and short positions across different Currencies are not netted, and
iii.
The net Currency position of the Asset Managed by the Society of
Investment is obtained by summing the net positions in each Currency.
c)
The same mechanism as in the previous sub-paragraph b) applies to the Currency positions of the Asset
Managed by each Mandatary individually, and
d)
The net Currency position of the Asset Managed by the Society of Investment and those of the
Assets Managed by each of the Mandataries, obtained in accordance with the previous sub-paragraphs a), b)
and c), are summed to determine the Currency exposure of the Total Asset of the
Society of Investment.
This is achieved by summing the absolute value of the Currency exposure of the Asset Managed by the
Society of Investment and the absolute values of the Currency exposures of the Asset Managed by each
Mandatary. Finally, the result of these sums is divided by the Total Asset of the Society of
Investment. The following formula shows algebraically the previous mechanism:
Where:
: Is the Currency exposure of the Total Asset of the Investment Society, measured as
percentage with respect to the Total Asset of the Investment Society.
: Is the net Currency exposure of the Asset Managed by the Investment Society.
: Is the net Currency exposure of the Asset Managed by the i-th Mandatary.
: Is the total number of Mandataries contracted by the Investment Society.
: Is the Total Asset of the Investment Society.
The Currency exposure of the Total Asset of the Investment Society as a percentage of the Total Asset of the
Society of Investment must be less than or equal to the limits provided in the General Provisions
that establish the investment regime to which Investment Societies must be subject.
The following sections indicate how to perform the computation of the components of formula (E1)
above.
II.- Net Currency Exposure of the Asset Managed by the Investment Society
The net Currency exposure of the Asset Managed by the Investment Society is calculated by summing the
exposed amounts of each of the Currencies that make up said portfolio, plus the exposure of said
portfolio to Investment Objects denominated in at least two Currencies, known in practice and in
the English language as "cross currency". The following formula represents algebraically the above:
Where:
: Is the net Currency exposure of the Asset Managed by the Investment Society.
Is the exposure to the j-th Currency of the Asset Managed by the Investment Society.
This
term is explained in detail below.
: Is the exposure of the Asset Managed by the Investment Society derived from the
Investment in Investment Objects referenced to at least two distinct currencies. This term is
explained in detail below.
Is the total number of Currencies to which the Asset Managed by the
Society of Investment is exposed.
a) The exposure in the j-th Currency of the Asset Managed by the Investment Society is calculated by
netting the exposures of the Investment Objects that are denominated in said Currency, in
the following manner:
Where:
Is the sum of the exposures through Financial Derivative Instruments
denominated in the j-th Currency of the Asset Managed by the Investment Society.
Is the sum of the exposures through investments in Investment Objects
different from Financial Derivative Instruments denominated in the j-th Currency, of the Asset Managed by
the Investment Society.
Formula (E3) shows that long and short positions in Derivative instruments, in
cash and in Investment Objects other than Derivatives are netted.
In turn, the first term of this expression is calculated as follows:
Where:
j : Denotes the j-th Currency in which the Asset Managed by the Investment Society is invested;
i : Denotes the i-th Counterparty with which the Investment Society maintains open operations with
Derivative instruments, denominated in Currencies.
Is the total number of Counterparties with which the Investment Society has contracted
operations with Derivative instruments.
Is the sum of the market value of each Derivative instrument operation exposed to the
j-th Currency contracted with the i-th Counterparty, of the Asset Managed by the Investment Society.
For the computation of the Market Value of Derivative instruments, denominated in the Currency "j", in the
formulas above, the following shall be considered.
i.
Derivative instruments known as call, futures and forwards will be computed by summing the
market value (MTM), provided by the price provider, when the position in said
instruments is Long. When the position is short, the market value will be subtracted.
ii.
For the Derivative instrument known as Put, when the position is short, it will be computed
by summing the market value (MTM), provided by the Price Provider. The market value will be subtracted when said position is long.
iii.
Derivative instruments known as Swaps, denominated in the j-th Currency, will be
computed according to the following:
1.1.
When Investment Societies are short in the Currency, the market value will be subtracted;
2.2.
When Investment Societies are long in the Currency, the market value will be added.
Formula (E4) shows that long and short positions in Derivative instruments are netted.
Both cash and Investment Objects other than Derivatives denominated in Currencies,
that form part of the Asset Managed by the Investment Society, must be computed as follows:
Where:
Is the market value of the i-th position in cash or in Investment Objects
different from Financial Derivative Instruments, denominated in the j-th Currency.
Is the total of Investment Objects different from Financial Derivative Instruments, as well
as cash positions, denominated in the j-th Currency.
Regarding Investment Objects other than Financial Derivative Instruments such as
Equity Components, Debt Instruments, Foreign Debt Securities, Structures
Linked to Underlyings and Commodities, the settlement Currency will be considered for the computation of the formula
(E5).
b) The exposure in Investment Objects of the Asset Managed by the Society
of Investment, in which there is reference to at least two Currencies, must be calculated in the
following manner:
Where:
Denotes the market value of the k-th position in the Investment Object in which there is
reference to at least two Currencies.
Is the number of positions in Investment Objects in which there is reference to
at least two Currencies.
Formula (E6) shows that long and short positions referenced to at least two Currencies are not
netted.
III.- Net Currency Exposure of the Asset Managed by the Mandataries
Consider the second term contained in the numerator of formula (E1), which is indicated
below:
It should be noted that in formula (E7) Currency exposures across Assets Managed by different
Mandataries are not netted, so each term of the previous sum represents the absolute value of the net position in Currency of each Mandatary. In turn, for the computation of each of these
terms, , the methodology described in fraction II of this Annex is replicated, using the
positions of the Assets Managed by each Mandatary.
In the event that the investment object of the mandate is to make investments exclusively with Foreign
Securities, the consumption of the limit will be made with the total amount outsourced to said Mandatary. The criteria
provided in this paragraph must adhere to the guidelines approved by the Governing Bodies of
this Commission in this matter.
ANNEX F
Methodology for verifying compliance with limits regarding Foreign Securities.
For the purpose of the limits regarding positions in Foreign Securities established in the
General Provisions issued by the Commission, the following criteria must be observed:
I.
The sum of the positions of the Asset Managed by the Society of
Investment and the Asset Managed by each of the Mandataries will be considered, so the computation
must be performed as follows:
Where: The position in Foreign Securities of the Total Asset of the Investment Society,
as a percentage of the Total Asset of the Investment Society.
The market value of the position in Foreign Securities of the Asset Managed by the
Society of Investment.
The market value of the position in Foreign Securities of the Asset Managed by the
i-th Mandatary contracted by the Investment Society.
Is the total number of Mandataries that the Investment Society has contracted.
Total Asset of the Investment Society.
Each of the terms of formula (F1) is explained in detail below.
The position in Foreign Securities of the Total Asset of the Investment Society, as a percentage of the
Total Asset of the Investment Society, must be less than or equal to the limits provided in the General Provisions
that establish the investment regime to which Investment Societies must be subject.
For the purpose of the limits regarding positions in Foreign Securities established in the
General Provisions issued by the Commission, the following operations will be considered at market value:
a)
Operations with Derivatives whose underlyings are Foreign Equity Securities,
regardless of the nationality of the Counterparty;
b)
Positions in Foreign Debt Securities and Foreign Equity Securities, and
c)
Bank deposits in foreign financial institutions authorized for such purposes.
Positions with Derivatives that have an underlying other than Foreign Equity Securities are not considered for the purpose of this computation.
II.
Limit Consumption of Foreign Securities through the Asset Managed by the Society of
Investment
To perform the calculation of the market value of the position in Foreign Securities of the Asset
Managed by the Investment Society, the following must be adhered to:
Where:
The market value of the position in Foreign Securities of the Asset Managed
by the Investment Society.
The market value of the p-th position in Foreign Debt Securities,
Structures Linked to Underlyings of Foreign Issuers, Repos contracted with
Foreign Counterparties and Securities Lending contracted with Foreign Counterparties of the
Assets Managed by the Investment Company.
The total number of positions in Foreign Debt Securities, Structures Linked to Underlyings of Foreign Issuers, Repos entered into with Foreign Counterparties, and Securities Lending transactions entered into with Foreign Counterparties of the Assets Managed by the Investment Company.
The total number of Foreign Equity Components to which exposure has been taken with the Assets Managed by the Investment Company, through Investment Assets.
The market value of operations managed with the Assets Managed by the Investment Company through Derivatives contracted with the c-th Counterparty, regardless of whether it is a National or Foreign Counterparty, and through which exposure has been taken to the k-th Foreign Equity Component.
The total number of Counterparties, regardless of whether they are National or Foreign, with which the Investment Company has contracted Derivative operations and through which exposure has been taken to the k-th Foreign Equity Component.
The market value of the d-th direct position of the Assets Managed by the Investment Company, and through which exposure has been taken to the k-th Foreign Equity Component.
The total number of direct positions of the Assets Managed by the Investment Company, through which exposure has been taken to the k-th Foreign Equity Component.
The market value of the v-th vehicle in which the Assets Managed by the Investment Company are invested, through which exposure has been taken to the k-th Foreign Equity Component.
The total number of vehicles in which the Assets Managed by the Investment Company are invested, through which exposure has been taken to the k-th Foreign Equity Component.
The valuation price of the b-th bank deposit made with the Assets Managed by the Investment Company with Foreign Counterparties.
The total number of bank deposits made with the Assets Managed by the Investment Company with Foreign Counterparties.
As seen in formula (F2), the positions of the Assets Managed by the Investment Company with exposure to the same Foreign Equity Component are netted against each other, regardless of which authorized policy is used to acquire such exposure.
III.
Consumption of Limit of Foreign Securities through Management by Mandatarios
To calculate the market value of the position in Foreign Securities of the Assets Managed by the Mandatarios, the amount that the Investment Company has delegated to each Mandatario will be considered and these amounts will be summed. Thus, the value of the following expression is obtained, which is part of formula (F1):
It should be noted that in formula (F3), the consumption of the limit of Foreign Securities of the different Mandatarios is not netted, so each term of the previous sum represents the absolute market value of the net position in Foreign Securities of each Mandatario. Likewise, for the computation of each of these terms, the methodology described in fraction II of this Annex is replicated, using the positions of the Assets Managed by each Mandatario.
In the event that the investment object of the mandate is to make investments exclusively with Foreign Securities, the consumption of the limit will be carried out with the total amount outsourced to said Mandatario. The criteria provided in this paragraph must adhere to the guidelines approved by the Government Bodies of this Commission in this matter.
ANNEX G
Methodology to calculate the market value of operations that must be considered within the limits of Issuers or Counterparties
I.
Total Exposure to an Authorized Issuer or Counterparty.
The exposure to an Authorized Issuer or Counterparty of the Total Assets of the Investment Company, derived from the investment in the Investment Assets, both by the Investment Company and by its Mandatarios, will be calculated considering the following criteria and formulas.
The exposure to an Authorized Issuer or Counterparty of the Total Assets of the Investment Company as a percentage of the Total Assets of the Investment Company must be less than or equal to the limits provided in the General Provisions that establish the investment regime to which Investment Companies must be subject.
For these purposes, the level of concentration at each Counterparty and Issuer observed in the Total Assets of the Investment Company will be computed, for which the weighted average of the concentration observed in the operations carried out with the Assets Managed by the Investment Company and the Assets Managed by each Mandatario will be used. Said average will be calculated using the Assets Managed by the Investment Company and those corresponding to each Mandatario.
II. Consumption of Limit of Issuer or Counterparty through Management by the Investment Company.
To calculate the market value of the concentration maintained by the Assets Managed by the Investment Company, in securities and operations of the same issuer or Counterparty, the following must be adhered to:
For the purpose of verifying the concentration limits applicable to Counterparties or Issuers established in the General Provisions issued by the Commission, the compensated market values of operations with Derivatives carried out in over-the-counter markets with each Counterparty, the market values of repo and Securities Lending operations, carried out with each Counterparty, net of the guarantees received for this purpose, the value of cash deposits made with each Counterparty, as well as the instruments issued by said Counterparty or issuer, must be considered, according to the following formula:
Where:
= Market value of the operations, authorized in accordance with the rules applicable to each Investment Company, that must be computed within the limits for Counterparties or Issuer, denoting the Issuer or Counterparty with the subscript k. This value is obtained by considering the operations and investments made with the Assets Managed by the Investment Company.
n= Denotes the total number of issuances in which the Investment Company invests part of the asset it administers in Structures Linked to Underlyings or Debt Instruments or Foreign Debt Securities issued by the same issuer or well, the total number of operations or bank deposits that the Investment Company makes with the same Counterparty.
m= Denotes the total number of Derivative operations that the Investment Company agrees with the same Counterparty.
q= Denotes the total number of operations with the same Counterparty with which the Investment Company agrees Securities Lending or Repo operations with the Assets Managed by the Investment Company.
k= Denotes the k-th Counterparty or Issuer.
= The market value of the i-th instrument of the k-th Issuer. These instruments may be Debt Instruments, Foreign Debt Securities, or bank deposits.
= The market value of the j-th authorized Derivative operation, carried out with the k-th Counterparty.
= The market value of the p-th Repo or Securities Lending operation, carried out with the k-th Counterparty.
= Total guarantees provided by the k-th Counterparty in Derivative Financial Instrument operations.
= Total guarantees provided by the k-th Counterparty in the p-th Repo or Securities Lending operation.
Note that for the calculations described in this Annex, the market value of the corresponding operations will be considered.
Formula (G1) will be used to determine compliance with the concentration limits provided in the General Provisions that establish the investment regime to which Investment Companies must be subject. Therefore, only the Investment Assets and the Counterparties corresponding to the credit rating limits to be evaluated will be considered.
In the case of operations with Local Counterparties that settle in currencies other than the national currency or the UDI, the credit rating level provided in the General Provisions that establish the investment regime to which Investment Companies must be subject for Foreign Securities and for Foreign Counterparties will apply.
To determine compliance with concentration limits by Counterparty when it involves more than one credit rating, after applying formula (G1) to each rating level, the totals of each level will be added to verify compliance with the consolidated limits provided in the regulations.
The concentration limits to each Counterparty or Issuer will be expressed as a percentage of the Assets Managed by the Investment Company. This factor will be one of the terms that make up the weighted average, mentioned in the previous fraction, with which compliance with the concentration limits provided in the General Provisions that establish the investment regime to which Investment Companies must be subject will be verified.
III. Consumption of Limit of Issuer or Counterparty through Assets Managed by Mandatarios
To calculate the market value of the concentration maintained by the Assets Managed by each Mandatario, in securities and operations of the same issuer or Counterparty, the following must be adhered to:
Formula (G1) will be applied to the operations carried out with the Assets Managed by each Mandatario that the Investment Companies contract, as applicable.
The percentages derived from the computation provided in the previous paragraph must observe the limits provided in the General Provisions that establish the investment regime to which Investment Companies must be subject.
IV. Consumption of Limit of Issuer or Counterparty through the Total Assets of the Investment Company
The concentration amount in each Counterparty or issuer obtained from operations with Assets Managed by each Mandatario will be expressed as a percentage of the Assets Managed corresponding to each Mandatario. Each of these percentages will make up the elements to define the weighted average, mentioned in the previous fraction, with which compliance with the concentration limits provided in the General Provisions that establish the investment regime to which Investment Companies must be subject will be verified.
ANNEX H
Methodology to calculate the exposure of the Investment Company to Investment Assets denominated in Investment Units (UDI) or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index
The following criteria will be applied for the purpose of verifying compliance with the limits referred to the positions that Investment Companies must maintain in Investment Assets that are denominated in Investment Units (UDI) or in those whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index.
I.
The sum of the positions maintained by the Assets Managed by the Investment Company plus the positions maintained by the Assets Managed by each of the Mandatarios will be considered. The aforementioned positions will be considered independently, that is, without making offsets between the positions maintained with the Assets Managed by each Mandatario nor with the positions of the Assets Managed by the Investment Company.
The computation will be carried out as follows:
Where:
The total percentage of Investment Assets denominated in Investment Units (UDI) or those whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index, with respect to the Total Assets of the Investment Company.
The value of the position of Investment Assets that are denominated in Investment Units (UDI) or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index that form part of the Assets Managed by the Investment Company. This value cannot be negative when it comes to the Basic 1 Investment Company's Managed Assets, that is, the Assets Managed by said Investment Company cannot maintain a net short position in the underlyings described in this definition. It should be noted that to determine the exposure of the Assets Managed by the Investment Company in question, to the underlyings referred to in this definition, short and long positions will be netted.
The value of the position of Investment Assets that are denominated in Investment Units (UDI) or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index that form part of the Assets Managed by the i-th Mandatario contracted by the Investment Company. This value cannot be negative when it comes to the Basic 1 Investment Company's Managed Assets, that is, the Assets Managed by the i-th Mandatario on behalf of said Investment Company cannot maintain a net short position in the underlyings described in this definition. It should be noted that to determine the exposure of the Assets Managed by the i-th Mandatario to the underlyings referred to in this definition, short and long positions will be netted.
Is the total number of Mandatarios that the Investment Company has contracted.
Total Assets of the Investment Company.
II.
For securities, the market value of the Investment Assets other than Derivatives must be computed directly; while in the case of Derivatives, the following criteria must be observed:
a)
For Derivative instruments known in practice as call, future, and forward, whose underlying is denominated in UDIs or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index, their market value will be added when the position in the aforementioned Derivative Instruments is long, and subtracted when it is short;
b)
For the Derivative instrument known as put whose underlying is denominated in UDIs or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index, the market value will be added when the position is short and subtracted when the position is long;
c)
For Derivative instruments known as swaps that have at least one underlying that is denominated in UDIs or whose interests guarantee a yield equal to or greater than the UDI or to the National Consumer Price Index, they will be computed as follows:
i.
If in the operation there is a long position with respect to a rate linked to a notional amount denominated in Investment Units, with respect to instruments referenced to Investment Units, or with respect to instruments referenced to the National Consumer Price Index, their market value will be added, and
ii.
If in the operation there is a short position with respect to a rate linked to a notional amount denominated in Investment Units, with respect to instruments referenced to Investment Units, or with respect to instruments referenced to the National Consumer Price Index, their market value will be subtracted.
ANNEX I
Methodology to calculate exposure to Commodities
Exposure to Commodities must be calculated through the following authorized investment instruments: Structures Linked to Underlyings, Vehicles, Debt Instruments backed by Commodities, as well as Derivatives, through the procedure described in this Annex. Structured Instruments linked to Commodities will not count for the purposes of this Annex.
For the purposes of this Annex, Structures Linked to Underlyings refer to Debt Instruments or Foreign Debt Securities whose returns are linked to Commodities. For the computation of the exposure referred to in this Annex, the debt component of the Structures Linked to Underlyings whose underlyings are Commodities will not be considered.
I.
Exposure to Commodities through authorized investment mechanisms:
To determine the exposure to Commodities of the Assets Managed by the Investment Company, and in its case, of the Assets Managed by the Mandatarios that it has contracted, the 'Deltas' of all authorized investment mechanisms referred to Commodities directly or through the Vehicles containing them will be used.
The 'Delta' will be:
a)
In the case of Vehicles that confer rights on Commodities, Debt Instruments and Foreign Securities, as well as futures, forwards, and swaps referred to such underlyings, equal to one, and
b)
In the case of options contracts, they will be calculated by the Price Provider that the Investment Company has contracted. Such Delta will be calculated per contract unit and assuming a long position.
The amount exposed to each Commodity "i" that forms part of the investment portfolio through the authorized investment mechanisms j, will be calculated as follows:
Where:
i= Denotes the i-th Commodity, with i=1 ... I.
j= Denotes the j-th authorized investment mechanism (generic), with j=1 ... J.
Is the amount exposed in the i-th Commodity due to the authorized investment mechanism j that makes up the investment portfolio in question.
Is the total number of instruments of the authorized investment mechanism j, referred to the i-th Commodity.
Is the investment instrument that contains the i-th Commodity categorized as investment mechanism j.
Is the Delta of the investment instrument of the investment mechanism j that contains the i-th Commodity.
Is the number of titles of each security that will be:
a)
In the case of Derivatives: the number of contracts of the authorized investment mechanism j that contains the i-th Commodity will be used, multiplied by the size of the corresponding contracts, and
b)
In the case of any investment mechanism other than Derivatives: the number of titles of the authorized investment mechanism j that contain the i-th Commodity will be used.
For short positions through Derivatives, the number of contracts is expressed with a negative sign.
Is the Market Value of each investment instrument, which will be:
a)
In the case of Derivatives: the closing points of the underlying or underlying index of the Derivative, multiplied by the weighter or relative weight associated with the i-th Commodity, and
b)
In the case of any investment mechanism other than Derivatives: it is the Market Value of the authorized investment mechanism "j" that contains the i-th Commodity multiplied by the weighter or relative weight associated with the i-th Commodity within each mechanism.
In the event that the exposure amount is denominated in Foreign Currencies, it must be converted into national currency using the exchange rate to value operations with Foreign Currencies.
The description in this fraction applies to the Assets Managed by the Investment Company and the corresponding Assets Managed by each Mandatario that the Investment Company may have contracted.
II. Exposure to a Commodity of the Assets Managed by the Investment Company or in its case of the Assets Managed by each Mandatario that it has contracted:
The portfolio's exposure to Commodities due to the authorized investment mechanisms will be calculated as follows:
a) The amount exposed in absolute terms in the i-th Commodity in the portfolio is calculated by summing over all exposed amounts of the authorized investment mechanisms that are referenced to the same i-th Commodity and obtaining the absolute value of said sum. The foregoing implies that compensation is made between exposures on the same Commodity to which the Assets Managed by the Investment Company is exposed. Similarly, the exposure corresponding to the Assets Managed by each Mandatario is calculated. The positions of the Assets Managed by the Investment Company and the positions of the Assets Managed by each Mandatario are not compensated.
Where:
Is the amount exposed, in absolute value, to the i-th Commodity of the Assets Managed by the Investment Company or in its case of the Assets Managed by the Mandatario in question. Formula (I2) shows that exposures to the same commodity are netted in the Assets Managed by the Investment Company or in its case Assets Managed by the Mandatario in question.
Is the amount exposed in the i-th Commodity due to the authorized investment mechanism "j" that makes up the Assets Managed by the Investment Company or in its case that make up the Assets Managed by the Mandatario in question.
b) The exposure of the Assets Managed by the Investment Company or in its case of the Assets Managed by each Mandatario contracted by the Investment Company to Commodities is calculated by summing the exposed amounts of each of the Commodities that make up the Assets Managed by the Investment Company or well of the Assets Managed by the corresponding Mandatario, according to the following formula:
Where:
Is the exposure to Commodities of the Assets Managed by the Investment Company or well of the Assets Managed by the Mandatario in question.
Is the amount exposed, in absolute value, to the i-th Commodity.
Is the total number of distinct Commodities that make up the Assets Managed by the Investment Company or well of the Assets Managed by the Mandatario in question.
III. Exposure to Commodities of the Total Assets of the Investment Company.
The exposure to Commodities of the Total Assets of the Investment Company due to the authorized investment mechanisms will be calculated by summing the exposure of the Assets Managed by the Investment Company with the exposures of the Assets Managed by each Mandatario contracted by the Investment Company, according to the following formula:
Where:
ExpTotPort
Is the exposure to Commodities of the Total Assets of the Investment Company.
Activo
Is the Total Assets of the Investment Company
S K
Is the number of distinct Commodities that make up the Assets Managed by the K-th Mandatario contracted by the Investment Company
S 0
Is the number of distinct Commodities that make up the Assets Managed by the Investment Company
M
It is the number of Mandatories contracted by the Investment Company.
It is the amount exposed, in absolute value, to the j-th Commodity of the Managed Asset of the Investment Company or, in its case, of the Managed Asset of the Mandatory in question.
The exposure to Commodities of the Total Asset of the Investment Company, derived from the investment of said portfolio through the authorized investment mechanisms, as a percentage of the Total Asset of the Investment Company that corresponds, must be less than or equal to the limits established in the General Provisions that establish the investment regime to which Investment Companies must be subject.
ANNEX J
Of the certification of Officials with activities in the management of resources of Investment Companies
The validity of the certifications referred to in these Provisions must comply with what is established in the following scheme.
- General certification in financial matters.
Certification / Area
Investments
Risks
Comptrollership
Regulatory
Confirmation,
Liquidation,
Assignment, and
Accounting
Validity: 2 years
Generic certification in investment matters (Published on the Commission's website)
Validity: 4 years
Chartered Financial Analyst (CFA) Level 1
Financial Risk Manager (FRM-GARP) Level 1
Professional Risk Manager (PRM-PRMIA) 2 Exams
Associate of the Society of Actuaries (ASA) 3 Exams
Validity: 4 years
Chartered Financial Analyst (CFA) Level 2
Professional Risk Manager (PRM-PRMIA) 3 Exams
Associate of the Society of Actuaries (ASA)
Validity: Permanent from the completion of certifications
Chartered Financial Analyst (CFA)
Financial Risk Manager (FRM-GARP)
n.a.
Professional Risk Manager (PRM-PRMIA)
n.a.
Fellow of the Society of Actuaries (FSA): Specialization in Quantitative Finance and Investment (QFI)
n.a.
Claritas Investment Certificate (applied by CFA Institute)
n.a.
n.a.
- Certification for Derivatives Operations
Certification / Area
Investments
Risks
Comptrollership
Regulatory
Confirmation,
Liquidation,
Assignment, and
Accounting
Validity: 3 years
Derivatives Certification (Published on the Commission's website)
Validity: 4 years
Chartered Financial Analyst (CFA) Level 1
Financial Risk Manager (FRM-GARP) Level 1
Professional Risk Manager (PRM-PRMIA) 2 Exams
Associate of the Society of Actuaries (ASA) 3 Exams
Validity: 4 years
Chartered Financial Analyst (CFA) Level 2
Professional Risk Manager (PRM-PRMIA) 3 Exams
Associate of the Society of Actuaries (ASA)
Validity: Permanent from the completion of certifications
Chartered Financial Analyst (CFA)
Financial Risk Manager (FRM-GARP)
n.a.
Fellow of the Society of Actuaries (FSA): Specialization in Quantitative Finance and Investment (QFI)
n.a.
- Certification of Officials for Structured Instruments
Certification / Area
Investments
Risks
Comptrollership
Regulatory
Confirmation,
Liquidation,
Assignment, and
Accounting
Validity: 3 years
Certification in Structured Instruments (Published on the website of the Commission)
Not required
Validity: 4 years
Chartered Financial Analyst (CFA) Level 1
Not required
Chartered Alternative Investment Analyst (CAIA) Level 1
Not required
Validity: 4 years
Chartered Financial Analyst (CFA) Level 2
Not required
Validity: Permanent from the completion of certifications
Chartered Financial Analyst (CFA)
Not required
Chartered Alternative Investment Analyst (CAIA)
n.a.
Not required
In all the above cases, the validity of the certifications will count from the moment the Administrator, through the general rules established by the Commission for the delivery of information, sends the information related to the aforementioned certifications of the Officials concerned. This is independent of the Administrator to which the Official is assigned. In the event that the Official temporarily suspends their employment relationship with any Administrator, the validity of the exams and certifications, in case of resuming activities with any Administrator, will be counted for the remaining period.
The exams and certifications referred to in the above tables count simultaneously for the activities provided for in said tables.
The validity of the exams referred to in the above tables will be added according to the accredited exams.
ANNEX K
Disclosure of reference portfolios and the deviation policy with the investment portfolio
For the purpose of revealing the general characteristics of the reference portfolios applicable to the investment portfolio of the Total Asset of the Investment Company, Administrators may publish the following elements on their website:
Reference Portfolio % Fixed Income Equity Others Total
The Managed Assets by the Mandatories may be excluded for the purposes of this annex.
Likewise, regarding the information on the deviation policy authorized by the Investment Committee of the corresponding Investment Company, the Administrator may disclose the following elements:
Tracking Error Limit Siefore Basis points
ANNEX L
Requirements that the Automated Integrated System for the acquisition, alienation, and online registration of Assets Subject to Investment of the Automated Integrated System must meet
The Automated Integrated System referred to in this Annex must allow the Administrator to comply with the following procedures, among others:
I.
Keep the historical record of the acquisition, alienation, repo, and loan operations of securities of each Investment Company, by number of titles, series, value, settlement term, identifier, folio number, negotiation prices, negotiation rates, means of negotiation, Counterparties, nominal values, underlyings, market types, date, time, and operator of the transaction and other criteria determined by the Investment Committee;
II.
Keep the historical record of the position of each Investment Company, by number of titles, series, value, identifier, folio number, issuers, nominal values, market values, Equivalent Delta Value for positions in Derivatives, underlyings and other criteria determined by the Investment Committee;
III.
Keep a record of exposure by Asset Class and by instrument as a percentage of the Total Asset of the Investment Company;
IV.
Establish security mechanisms and passwords at different levels for the joint authorization of: a) The assignment of operations, and b) Operations that trigger any excess in the Prudential Limits;
V.
Have Early Warning Alarms parameterized online to anticipate possible excesses in regulatory limits and Prudential Limits. These alarms may come from the Automated Integrated System in the risk management activity;
VI.
Identify pending operations to be assigned and operations that underwent changes in the negotiated terms, identifying the reason for such changes;
VII. Generate the following daily and historical reports: a) Report of the acquisition, alienation, repo, and loan operations of securities of each Investment Company, which may include the concepts related in the previous subsection I, at the beginning or at the end of the day of operation, but observing consistency in the generation of said information; b) Report of the position in each of the Assets Subject to Investment, which may include the concepts related in subsection II above, at the beginning or at the end of the day of operation, but observing consistency in the generation of said information; c) Report of available cash at the beginning or at the end of the day of operation, but observing consistency in the generation of said information. This report must include all expected flows, specifying which of these are known flows and which are estimated, disaggregated by type of Currency; d) Compliance report for each of the regulatory limits and Prudential Limits detailing the level of consumption relative to the reference defined by the Financial Risk Committee itself, such as Net Asset, regulatory limit, and Prudential Limit; e) Total exposure report in Equity Instruments and Foreign Equity Securities in accordance with the exposure measure provided in Annex N of the General Provisions that establish the investment regime to which Investment Companies must be subject. These reports must be able to be disaggregated by stock index, type of instrument or Vehicle, Eligible Country for Investments and Currency; f) Report of positions in Derivatives expressed in notionals, market values and exposure in positions in Derivatives in equity and Commodities, the latter in accordance with these Provisions and the General Provisions that establish the investment regime to which Investment Companies must be subject and the Equivalent Delta Value for the rest of the positions in Derivatives, identifying the main characteristics, such as Asset Class of the underlying, Counterparty, market type; g) Report of guarantees, at market value and applying the discount, known in practice and in the English language as 'haircut', received and delivered disaggregated by Counterparty including clearing houses, by type of operation that gave rise to them, such as repo, loan of securities, and Derivatives; h) Report of exposure by issuer or Counterparty that includes the different types of Asset Classes, as well as credit ratings and additional credit assessment applicable in its case; i) Report of breaches of regulatory limits and Prudential Limits; j) Report of assigned and pending operations to be assigned, and k) Report for the general director of the Administrator with a summary of the most important aspects of daily operation. The daily report may contain only the aspects that the general director determines, among those provided for in this Annex, for which the Investment Committee must take knowledge and this definition by the general director must be recorded in the Detailed Minutes of the Investment Committee of the corresponding Investment Company.
VIII.
Have the capacity to restrict access by users and profiles. Security policies in access must be documented and subject to audit;
ANNEX M
Of Operations with Derivatives on Derivatives
In accordance with articles 2 subsections XXXII, XXXIII, and XXXIV and 122 of these Provisions, as well as the General Provisions that establish the investment regime to which Investment Companies must be subject, and Circular 6/2013, The Rules to which specialized investment companies for retirement funds must be subject in carrying out derivative operations, the latter issued by the Bank of Mexico, it is established that Investment Companies may carry out the following permitted operations:
Permitted derivative operations and underlyings:
I.
Future Operations on Interest Rate Swap Contracts. The Currencies will be only from Group 1 defined by the Risk Analysis Committee and in accordance with Annex D of these Provisions;
II.
Option Operations on Future Operations of Stock Indices, of interest rates in different Currencies. The Currencies will be only from Group 1 defined by the Risk Analysis Committee and in accordance with Annex D of these Provisions, and
III.
Option Operations on Interest Rate Swap Contracts in different Currencies. The Currencies will be only from Group 1 defined by the Risk Analysis Committee and in accordance with Annex D of these Provisions.
Administrators may carry out the operations listed above provided they meet at least the requirements described below:
I.
Have the non-objection of the Commission to carry out operations with the Derivatives and underlyings described in this Annex;
II.
Have policies and procedures authorized by their Committees to carry out these operations, including reports for the members of their Committees;
III.
Have the capacity to value this type of operation through its own Automated Integrated System and independently of the Price Provider;
IV.
Have Prudential Limits regarding this type of operation;
V.
Analyze through its own Automated Integrated System the effect of incorporating these operations, and
VI.
The Derivatives Operator must be certified by an independent third party designated by the Commission for this purpose.
ANNEX N
Methodology to calculate the Liquidity Coefficient
Investment Companies must comply daily with the following level of Liquidity Coefficient (CL):
The numerator of the liquidity coefficient "PID" corresponds to the value of the Provision for exposure in Derivative Instruments and the denominator "AAC" corresponds to the value of High-Quality Assets.
In particular, the numerator of the CL coefficient is defined as follows and all summands must be in the same Currency:
Where:
represents the market value of the n-th OTC derivatives operation, which lacks a collateral management agreement also known as "Credit Support Annex" (CSA), and that is allowed within the m-th Master Contract approved by the "International Swaps and Derivatives Association, Inc.", ISDA, by its acronym in the English language and translated in the Spanish language as the International Swaps Association or its equivalent (hereinafter the "contract" in this Annex) for OTC derivatives operation (each counterparty may maintain only one OTC derivatives contract with the Investment Company in question or have more than one and therefore consider the contracts and not the counterparties). It should be noted that this sum allows netting the debtor and creditor positions of the Investment Company, provided for in the same contract. The net balance of a contract that is computed is non-positive. Netting balances between different contracts is not allowed.
represents the market value of the n-th OTC derivative with CSA, for the m-th OTC derivatives contract with CSA.
represents the value of the guarantees delivered under the m-th contract of derivatives with CSA.
It should be noted that in the second sum it is allowed to net the debtor positions, the creditor positions and the guarantees delivered by the Investment Company, resulting from OTC derivatives operations with CSA provided for in the same contract. The net balance of a contract that is computed is non-positive. Netting balances between different contracts is not allowed.
represents the market value of the n-th listed derivative, for the m-th clearing member in the respective listed market.
represents the value of the guarantees delivered under the m-th contract of listed derivatives (clearing member of said market).
It should be noted that in the third sum it is allowed to net the debtor positions, the creditor positions and the guarantees delivered by the Investment Company, resulting from listed derivatives operations in the same market carried out with the same clearing member. The net balance of a contract that is computed is non-positive. Netting balances between different contracts is not allowed.
represents the Conditional Value at Risk (calculated in accordance with the Provisions issued by the Commission) of all operations carried out with the m-th counterparty, when in said operations the margin calls are allowed to be netted regardless of the underlying or other characteristic of the derivatives.
represents the Conditional Value at Risk (calculated in accordance with the Provisions issued by the Commission) of the n-th derivative with the m-th counterparty, when in said operations the margin calls are not allowed to be netted.
Regarding the denominator of the CL, "AAC" corresponds to the following, assuming that margin calls and the value of the operations at maturity are settled in national currency:
The discount, known in practice and in the English language as "haircut", with respect to the market valuation, to all those national government values both of real and nominal rate as well as Government Securities of the governments of Eligible Countries for Investments, both of real and nominal rate, which have a credit rating of at least AA+ or its equivalent, defined according to the following table, is included in the weights of the previous formula:
Term to maturity Discount or haircut Less than or equal to 1 year No discount Issued by the federal government and with maturity greater than 1 year 10% Issued by governments of eligible countries and with maturity greater than 1 year 15%
Understanding High-Quality Assets (AAC) as the following:
I. Debt Instruments issued or guaranteed by the Federal Government and those issued by the Bank of Mexico;
II. Foreign Debt Securities issued by governments of Eligible Countries for Investments that have a credit rating of at least equivalent to AA+ on a global scale according to Standard & Poor's Ratings, or in its case, to the equivalent scales of the other securities rating institutions recognized in the General Provisions that establish the investment regime to which Investment Companies must be subject;
III. Cash deposits in banks, custodians or trading partners in the currency in question;
IV. Amounts of repo operations with a term of one day (currently only counts for the liquidity requirement in national currency, according to what is provided in the Law on this type of operation);
V. Excess Minimum Initial Contributions (known by the acronym AIMS), and
VI. Those assets that are already in guarantee are not allowed, for example cash deposits with clearing partners or Debt Instruments or Foreign Debt Securities that are committed (explicitly or implicitly) as guarantee or credit enhancement in any transaction.
Administrators may demonstrate that they have liquidity policies not provided for in this Annex for which the relevance of considering them within the calculation of the Liquidity Coefficient will be evaluated.
ANNEX O
Valuation criteria that will be used to determine the amount of the shortfall of assets with which the Investment Regime is breached
Based on the valuation policies adopted by Price Providers, to determine the amount of the shortfall of assets with which the investment regime is breached, the following valuation prices will be used:
I.
For the case of the maximum investment limits provided for in these Provisions, the negotiation prices of the operations carried out with the asset or assets with which the investment regime is breached and the closing prices of said assets on the date of breach will be used. In this case, the shortfall of each asset will be computed as the difference, when it is positive, between the negotiation price of the asset in question minus the price of said asset at the close of the day on which the investment regime is breached.
For the case of minimum limits, the shortfall will be calculated based on the difference, when it is positive, of the closing price minus the acquisition price, or in its case the valuation price of the previous day.
II.
The exchange rates of the currency operations carried out by the Investment Company, which in its case are associated with the transaction of the asset that breaches the Investment Regime and the Exchange Rate determined on the date on which the Investment Regime is breached. When the exchange rates of the currency operations carried out that are associated with the transaction of the asset that breaches the Investment Regime are not available, the Exchange Rate corresponding to the date of computation of the shortfall will be used.
The clean prices of the negotiated instruments, with which the investment regime is breached, or in its case to determine the shortfall of the fund, of the assets that make up the portfolio of the Investment Company.
The Administrator must compensate for the shortfalls attributable to it, which impact the Total Asset of the Investment Companies it operates, due to breaches of the investment regime through the Managed Asset of the Investment Companies, the Managed Asset by Mandatories or a combination of the aforementioned.
In the event of shortfalls attributable to violations of the investment regime through the management of the Managed Asset by some Mandatory, the Commission will determine the amount to be compensated based on the information from the Price Provider contracted to value said investment portfolio.
The Administrator must contractually provide that the Price Provider facilitates the necessary information to the Commission to determine the amount to be compensated for shortfalls attributable to the Administrator, which may consist of information with different periodicity and detail than those that the Commission has established in the general rules that the Commission establishes for the delivery of information for this purpose.
ANNEX P
Model of Information Prospectus
I. DEFINITIONS
- For the purposes of this prospectus, it will be understood by:
In this section, the definitions necessary for the understanding of the information prospectus must be included.
II. GENERAL DATA
- Data of the Investment Company.
1.1. Corporate name. ________________________________________________________
1.2. Type of Investment Company. ________________________________________________
1.2.1. Type of Worker who can invest in the Investment Company.
1.3. Constitution.
On the day __________________ before the notary public No. _________, Lic. __________________ of ______________________, through the notarial instrument No. ______________ the society was constituted, same which was registered in the Public Registry of Commerce on the day ______________ under folio number __________________.
1.4. Date and number of authorization.
___ of ___________ of ______ through office number ______________ of the National Commission of the Retirement Savings System.
1.5. Corporate Address. ____________________________________________________________
- General Data of the Administrator that operates the Investment Company.
2.1. Corporate name. _______________________________ _______________________
2.2. Constitution.
On the day __________________ before the notary public No. _________, Lic. __________________ of
________________________, through notarial instrument No. ______________ the company was constituted,
which was registered in the Public Registry of Commerce on the day ______________ under folio number
__________________.
2.3. Date and number of authorization:
___ of ___________ of ______ through official document number ______________ from the National Commission for the Retirement Savings System.
2.4. Corporate Domicile. ___________________________________________________________
2.5 Patrimonial Links and Related Societies Among Themselves of the Administrator that operates the Investment Society.
The Patrimonial Links of the Administrator operating the Investment Society must be identified in accordance with the General Provisions for the operation of Investment Assets acquired by Investment Societies, issued by the Commission.
The Related Societies Among Themselves must be identified in accordance with the General Provisions that establish the investment regime to which Investment Societies must adhere, issued by the Commission.
2.6
Disclose whether the Administrator complies with any Socially Responsible Enterprise (ESR) certification.
2.7 Conflicts of Interest.
The following must be stated verbatim:
" The Administrator has taken the necessary measures to avoid conflicts of interest "
- Investment Committee.
The provisions established in the Law and in these General Provisions regarding the object and composition of the Investment Committees must be indicated.
- Financial Risk Committee.
The provisions established in these General Provisions and in the Prudential Rules on risk management to which Administrators must adhere with respect to the Investment Societies they operate, regarding the object and composition of the Financial Risk Committees, must be indicated.
Additionally, the general policies defined by the Financial Risk Committee of the Investment Society regarding the credit risk analysis of the securities portfolio must be indicated.
III.- INVESTMENT POLICIES
a) Investment objectives.
Depending on the type of Investment Society, the investment objectives in Investment Assets will be included, including the investment policy and risk, in accordance with what is provided in article 43 of the Law.
b) Investment policies, comprehensive risk management, liquidity, acquisition, selection and diversification of securities.
The Administrator must indicate the general criteria regarding the risk management and investment policy that the Investment Society in question will follow, which shall contain:
i.
A description of the Asset Classes in which it will invest, including a comparative chart relative to all Asset Classes authorized in the investment regime;
ii.
Portfolio sensitivity measures such as the weighted average maturity of the investments that the Administrator considers appropriate for the investment portfolio in question, stating that this will not have a binding character, but only informative. For the definition of the weighted average maturity, they must adhere to standard rules, for example by accounting only for securities that have a specific maturity date in their offering document, considering the next Coupon cut-off for assets with Variable Coupons, using as weights the amount of investments made in each asset relative to the Total Asset of the Investment Society;
iii.
Include risk measures such as the Conditional Value at Risk Differential, and
iv.
Investments made through Mandated Agents, the general criteria used to select them, as well as the value added to the worker derived from this policy.
The Administrator must indicate in the information prospectus the Internet address where the worker can know in greater detail and depth the aforementioned characteristics regarding the management of the investment portfolio of the Investment Society and of the Assets Managed by the Mandated Agents that have been hired.
The Administrator may indicate the general criteria that the Investment Society follows regarding risk management, indicating the various types of risks to which the Investment Society is exposed and the Administrator's policies to mitigate them. The Administrator must indicate in the information prospectus the Internet address where the worker can know in greater detail about the comprehensive risk management of the investment portfolio of the Investment Society.
Likewise, Investment Societies must include a general description of the Reference Portfolio applicable to the investment portfolio of the Total Asset of the Investment Society.
c) Investment in Derivatives.
In the event that the Investment Society has the non-objection of the Commission to carry out operations with Derivatives in accordance with the Prudential Rules on risk management and these General Provisions for the celebration of operations with Derivatives, the Investment Strategy for these operations will be described, the types of Derivatives it will operate and, in the case of standardized markets, the markets in which it will operate. Additionally, they must indicate the following:
i.
The non-objections of the Commission to operate Derivatives and a comparison with the total of operations with Derivatives that can be certified;
ii.
The non-objections of the Commission that it has obtained in the last 12 months to operate Derivatives, and
iii.
The non-objections of the Commission that have been withdrawn in the last 12 months to operate Derivatives.
d) Investment in Structured Instruments, FIBRAS and Real Estate Investment Vehicles
In the event that the Administrator, through its committees, decides to invest in Structured Instruments, FIBRAS or Real Estate Investment Vehicles, they must explain the following regarding the investment criteria approved by the Investment Committee regarding investments in this Asset Class:
i.
The investment percentages they expect to maintain in accordance with their Investment Strategy;
ii.
For Structured Instruments and Real Estate Investment Vehicles, the weighted average maturities to maturity;
iii.
The economic sectors they will finance and those they consider should not be financed, and
iv.
The criteria for selecting administrators of funds and trusts;
Additionally, they must include a conceptual explanation of the characteristics of this type of investment, regarding risks and diversification in these investments, as well as a reference to the Administrator's Internet page where the worker can know the profitability of these instruments.
e) Investment in Commodities
In the event that the Administrator, through its Committees, decides to invest in Commodities, the Investment Strategy will be described.
Additionally, they must include a conceptual explanation of the characteristics of this type of investment, regarding risks and diversification in these investments.
f) Investment in Currencies
In the event that the Administrator, through its Committees, decides to invest in Currencies, they must explain:
i.
Why these investments are relevant in the realization of the Investment Strategy authorized by the Investment Committee of the Investment Society;
ii.
The types of Currencies it will operate and in which markets it will operate, and
iii.
What percentage of the portfolio and in what horizon it is authorized by its Investment Committee to maintain invested.
Additionally, they must include a conceptual explanation of the characteristics of this type of investment, regarding risks and diversification in these investments.
g) Investment in Mutual Funds
In the event that the Administrator, through its Committees, decides to invest in Mutual Funds, they must explain:
i.
Why these investments are relevant in the realization of the Investment Strategy authorized by the Investment Committee of the Investment Society;
ii.
The types of Mutual Funds in which it will invest;
iii.
The amounts and, if applicable, the terms that it will maintain on average invested in these funds;
iv.
The markets, regions and types of assets that these funds will invest in, and
v.
The general criteria used to select the administrators of these funds, among which they must include the years of experience in this task, the amount of assets they manage, the costs, the performance.
Additionally, they must include a conceptual explanation of the characteristics of this type of investment, regarding risks and diversification in these investments.
h) Investment through Mandated Agents
In the event that the Administrator, through its Committees, decides to enter into intermediation contracts in which an investment mandate is granted, the characteristics of the investment it intends to outsource will be described. Among other aspects, it must indicate the following:
i.
An explanation of why these investments are relevant in the realization of the Investment Strategy authorized by the Investment Committee of the Investment Society;
ii.
The types of mandates it will hire, in terms of Asset Classes;
iii.
A description of the markets, regions and Asset Classes that the Mandated Agents will invest in;
iv.
The amounts that will be maintained on average in these investments with respect to the previous item, and
v.
The general criteria approved by its Investment Committee to select the Mandated Agents, among which they must include the years of experience in this task, the amount of assets they manage, the costs, the performance.
Likewise, they must communicate to the general public the address of the Administrator's Internet page where detailed information about these and other investment policies can be found.
IV. INVESTMENT REGIME
Taking into account what is established in the General Provisions that establish the investment regime to which Investment Societies must adhere, the investment limits, risk limits, and their calculation mechanics will be described in detail, which may be more restrictive than those established in said General Provisions, if the Investment Society so decides.
A qualitative description of the Prudential Limits defined by the Financial Risk Committee that the Investment Society will observe for the complete investment portfolio in an aggregated manner must be included, among which they must establish at least the following:
i.
The limits applicable to each of the Financial Risks to which they are exposed; and,
ii.
Limits for securities lending and repo operations disaggregated by Asset Class;
Likewise, the quantitative limits defined by the Financial Risk Committee that are part of the investment regime of the Investment Societies must be explicitly informed in the information prospectus, which include, among others, concentration limits by issuer and by type of Counterparty, in accordance with the additional credit assessment defined by the Financial Risk Committee.
In its case, in accordance with the General Provisions that establish the investment regime to which Investment Societies must adhere and these General Provisions, provisions regarding investments in Foreign Securities will be included.
V. OPERATING POLICIES
a) Types of resources that can be invested in the Investment Society:
The subaccounts whose resources can be invested in the Investment Society will be mentioned.
b) Price and term of settlement of the Investment Society's shares:
The following must be stated verbatim:
" The purchase and sale operations of shares representing the social capital of the Investment Society will be settled on the same day they are ordered, in accordance with the General Provisions on the registration of the accounting, preparation and presentation of financial statements to which Investment Societies must adhere, as well as the General Provisions on financial matters of the Retirement Savings Systems, issued by the Commission, provided that the instruction is issued within the operating hours (____ to ____ hours, time of Mexico City, Federal District). Operations requested outside the aforementioned schedule will be made on the next business day and will be settled at the prevailing price of the society's shares on the day the sale of the shares is made. "
c) Fund holding policy:
The following must be stated verbatim:
" The resources of the worker's individual account will remain invested in shares of the Investment Society for at least one year, except in the following cases: a) That the worker requests the transfer of their individual account to another Administrator, given compliance with the regulations in this matter, or their resources are transferred to another Investment Society operated by the same Administrator that operates their individual account, as a consequence of the change in the commission regime, due to their age or the investment policies contained in this information prospectus, or when the Commission has designated the Administrator in accordance with article 76 of the Law; b) When the worker, due to their age, is required to change Investment Societies, requests that the resources accumulated in the Investment Society in which they were, remain invested in said Society so that in the new Investment Society corresponding to them by age only new cash flows of contributions and payments are received; c) When the Administrator enters a state of dissolution or merges with another Administrator having the status of merged entity, and d) When the entire resources of the individual account are withdrawn due to the contracting of a life annuity or, if applicable, the resources are exhausted due to having made scheduled withdrawals or the worker has the right to withdraw partially or entirely their resources in a single payment. "
(Also, in the event that the object of the Investment Society includes the voluntary contributions subaccount, the term in which withdrawals can be made must be indicated, complying at least with the terms established by the Law)
The worker may make withdrawals from their voluntary contributions subaccount every _______ months after the first contribution or the last withdrawal. "
Investment Societies whose object is the investment of the resources referred to in articles 74 bis, 74 ter and 74 quinquies of the Law, will indicate in the information prospectus, the circumstances in which said resources can be withdrawn or transferred, as well as the rights and obligations of their holders.
d) Commission regime.
The commission regime applicable to the Investment Society, authorized to the Administrator, will be described, detailing amounts and percentages to be applied by the Investment Society, as well as the concepts of application.
Likewise, the following must be stated verbatim:
" Commissions, as well as discounts, will be applied uniformly for all registered workers, without discrimination among them.
Balance commissions will only be charged when the resources are effectively invested in the Investment Society and the necessary daily provisions have been registered in the accounting of the Investment Society.
Special service commissions will be paid directly by the worker who requested the service and under no circumstances can they be charged to the worker's individual account.
Without prejudice to the foregoing, complete and visible information on the commission structure and, if applicable, the discount scheme will be permanently maintained on the internet page defined by the Administrator.
As a consequence of the change in the commission regime, the worker may transfer their individual account to another Administrator. "
e) Valuation mechanics.
The following must be stated verbatim:
" The Investment Assets that make up the securities portfolio of the Investment Society must be valued daily by a Price Provider in accordance with the General Provisions on financial matters of the Retirement Savings Systems.
The accounting registration procedure for the valuation will be subject to what is established in the General Provisions on the registration of accounting, preparation and presentation of financial statements to which Investment Societies must adhere, issued by the Commission, which state that accounting records will be analytical and allow the identification and sequence of operations, with accounting movements registered on the same day the operation is carried out. "
f) Repurchase regime.
The circumstances in which the worker will have the right to have the Investment Society, through the Administrator that operates it, repurchase up to 100% of their shareholding will be indicated, in accordance with what is provided in the legal provisions applicable to the Investment Society in question.
VI. TAX REGIME
The Administrator will make known to the worker that the Investment Society in which their resources are invested must comply with the tax provisions applicable to it.
VII. PUBLIC INFORMATION ON THE SECURITIES PORTFOLIO
a) Securities Portfolio.
The following must be stated verbatim:
" The composition of the aggregated investment portfolio by Asset Classes will be available in the offices of the Administrator that operates the Investment Society on a monthly basis with a cutoff on the last business day of the month. Likewise, the investment portfolio will be reported in the terms previously mentioned through at least one newspaper of national circulation or on the Administrator's Internet page. The respective publications will be made within the first 10 business days of the month following the one to which the information corresponds. "
Historical returns and the Net Performance Indicator of the Investment Society will be available on the Internet page that the Administrator dedicates to this purpose. Both indicators referred to in this paragraph will be expressed in annual terms, in nominal and real rates. The following legend must be added:
" Past returns do not guarantee future returns. These statistics are provided solely for informational purposes "
These returns must be updated within the first 12 business days of each month. "
VIII. GENERAL WARNINGS TO WORKERS
a) Investment risks.
A description of the different types of risk to which the investment portfolio of the Investment Society is exposed will be made.
Likewise, the following must be stated verbatim:
" The Investment Society seeks to offer workers adequate returns in accordance with market conditions, strictly adhering to the Authorized Investment Regime, without this implying a guaranteed return.
The credit ratings granted to Debt Instruments and Foreign Debt Securities by specialized agencies do not represent a guarantee of repayment of initial investments, but only an opinion on the issuer's ability to comply with the terms provided in the corresponding offering documents.
Registration in the National Securities Registry that is applicable to certain Instruments does not imply certification of the guarantee of returns of the Instrument or the solvency of each issuer " .
b) Losses caused by the responsibility of the Administrator and Investment Society.
The following must be stated verbatim:
" In order to protect workers' resources, when losses occur derived from non-compliance with the Authorized Investment Regime, the Commission has provided in the General Provisions on financial matters of the retirement savings systems, provisions regarding the portfolio reconstruction of Investment Societies, in which the cases are described in which the Administrator operating the Investment Society is obliged to cover said losses from the Administrator's special reserve, and in case that this is insufficient, it will cover them from its social capital. "
c) Inspection and surveillance by the Commission
The following must be stated verbatim:
" The Commission is the competent authority to regulate, inspect and supervise the operation of the Investment Society, as well as the Administrator that operates it. "
d) Custody of titles
The Financial Intermediaries to whom the Administrator has hired to deposit the Investment Assets, as well as the shares of the Investment Society for safekeeping, will be indicated.
e) Acceptance of the information prospectus by the worker
The following must be stated verbatim:
" In order to comply with what is provided in article 47 bis, penultimate paragraph, of the Law, the Administrator that operates the Investment Society will have in its offices and branches or through the Administrator's Internet page, this information prospectus, available to registered workers. "
f) Rating of the Investment Society
The Administrator may disclose on its Internet page and in the information board of its offices and branches the current credit rating granted to the Investment Society by a securities rating agency, as well as its meaning. In its case, this credit rating must be modified within a maximum of 10 business days after the date on which it suffers any modification.
g) Inquiries, complaints and claims
The following must be stated verbatim:
" The National Commission for the Protection and Defense of Users of Financial Services (CONDUSEF) has activated a public attention service via telephone, free of charge from anywhere in the country, to receive inquiries, complaints and claims about irregularities in the operation and provision of services by the Administrators, at the phone number (include CONDUSEF phone number). "
ANNEX Q
Model of Explanatory Brochure
GENERAL DATA
1.1.
Data of the Investment Society.
1.2.
Corporate Name.
1.3.
Type of Investment Society (Basic or Additional Investment Society).
1.4.
Type of Worker who can invest in the Investment Society and, if applicable, subaccount.
1.5.
Corporate Name of the Administrator that operates the Investment Society.
INVESTMENT REGIME
2.1.
A comparative table of all Asset Classes regarding the Asset Classes that the Investment Societies are authorized to invest in by their committees and within the limits established in current regulation, as well as the different types of vehicles provided for.
OPERATING POLICIES
3.1.
Commission Regime.
The commission regime applicable to the Investment Society, authorized to the Administrator, will be described.
PUBLIC INFORMATION ON THE SECURITIES PORTFOLIO
4.1.
The following must be stated verbatim:
" Available at the offices of the Administrator operating the Investment Society or through the Administrator's Internet page:
a)
The composition of the aggregated investment portfolio by Asset Classes on a monthly basis as of the last business day of the month.
b)
The Net Performance Indicator of the Investment Society determined by the Commission.
Past returns do not guarantee future returns. These statistics are provided solely for informational purposes.
c)
Financial Risk Limits "
GENERAL WARNINGS TO WORKERS
5.1.
Damages caused by the responsibility of the Administrator and Investment Society.
The following must be stated verbatim:
" In order to protect workers' resources, when damages arise from non-compliance with the Authorized Investment Regime, the Commission has provided in the General Provisions on financial matters of the Retirement Savings Systems, regarding the portfolio reconstruction of Investment Societies, in which the cases are described in which the Administrator operating the Investment Society is obliged to cover such damages from the Administrator's special reserve, and in case this is insufficient, it will cover them from its share capital. "
5.2.
Inspection and surveillance by the Commission
The following must be stated verbatim:
" The Commission is the competent authority to regulate, inspect, and supervise the operation of the Investment Society, as well as the Administrator that operates it. "
5.3.
Information Prospectus of the Investment Society
The following must be stated verbatim:
" More information regarding the information prospectus of the Investment Society can be obtained at the offices and branches or through the Administrator's Internet page " .
5.4.
Inquiries, complaints, and claims
The following must be stated verbatim:
" The Administrator's telephone number for public attention (include the Administrator's public attention telephone number) and the toll-free telephone number available by the Commission for public attention: SARTEL 01800-50-00-747.
The National Commission for the Protection and Defense of Financial Services Users (CONDUSEF) has enabled a free public attention service via telephone, from anywhere in the country, to receive inquiries, complaints, and claims regarding irregularities in the operation and provision of services by the Administrators, at the telephone number (include CONDUSEF's telephone number). "
ANNEX R
Criteria that Securitised Instruments must meet to be considered
as issued by an independent issuer
I.
General criteria that Securitised Instruments held by Investment Societies must meet to be considered as issued by an independent issuer:
a)
The prospectus must clearly indicate the eligibility criteria for the portfolio subject to securitisation;
b)
There must be a transfer of the collection rights of the portfolio subject to securitisation to an irrevocable trust;
c)
Clear rules must be in place to, if applicable, replace the administrator of the portfolio subject to securitisation. Among other reasons, for the replacement, the possible conflicts of interest of the latter with the holders, the common representative, or with entities related to the payment of the obligations of the collection rights or with the originator must be disclosed, the lack of experience in the administration and collection of rights over the assets subject to securitisation, or a breach of its mandate as administrator;
d)
The authorized securities rating agency must consider and value all cash flows of the Securitised Instrument (both principal and interest) for the purpose of issuing a rating;
e)
Minimum standards must be respected for disclosing information about the Securitised Instrument in compliance with the regulations issued for such purposes by the National Banking and Securities Commission;
f)
The valuation of the Securitised Instrument must be carried out by a price provider, using a public methodology;
g)
There must be no repurchase mechanisms for the portfolio subject to securitisation by the settlor or the originator, except when the portfolio in question is mortgage or of another nature specified by the Risk Analysis Committee, in which cases they will be subject to the specific rules established. Nor shall there be mechanisms for the substitution of part or all of the assets affected in the irrevocable trust, except to comply with the eligibility criteria referred to in the previous letter a), and
h)
Possess the enhancers defined by the Commission. Mortgage Securitised Instruments will meet this requirement when they satisfy what is provided in section II of this Annex.
II.
Additional criteria that Securitised Instruments held by Investment Societies must meet to be considered as issued by an independent issuer when the underlying portfolio is mortgage:
a)
The settlor or, if applicable, the originator may repurchase the portfolio subject to securitisation from the trust when its value is equal to or less than 10% of what it would have been at the start of the issuance.
In the case of reopenings of issuances, the same rule will be followed considering the total amount issued in the different reopenings carried out with the same issuance. It will be considered that two Securitised Instruments correspond to the same reopened issuance when the above is supported by the legal opinion of an expert independent of the issuer;
b)
The Securitised Instruments must achieve a rating equivalent to any of those provided in Annex A of the General Provisions that establish the investment regime to which Investment Societies must be subject. For these purposes, the Securitised Instruments must have a combination of security mechanisms among which are the following:
i.
Determination of a maximum level applicable to the average value of the relationships between the value of the credits and the value of the mortgage guarantees of the portfolio subject to securitisation;
ii.
Issuance of a subordinated series;
iii.
Guarantee granted by an internationally renowned insurance company, and
iv.
Minimum level of retention or capital held by the settlor, understood by this variable as the percentage of the portfolio that is entrusted in excess of the value of the Securitised Instrument at the time of issuance;
c)
At the time of issuance of the Securitised Instrument, the total value of the sum of the amounts of the subordinated series, the guarantee, and the retention or capital held by the settlor, as a percentage of the issued amount, must be equal to or higher than the values shown in the following table:
Retention Requirement or capital held by the originator, subordinated series and financial guarantee (percentage of the original issuance)
Value of credit / Value of guarantee
SCV*
95%
90%
85%
80%
75%
70%
60%
50%
0%
22.36%
18.34%
11.90%
9.66%
7.86%
5.96%
2.70%
0.24%
*SCV: Home credit insurance
d)
At the time of issuance of the Securitised Instrument, the originator must retain a level of retention or capital of the Securitised Instrument, as a percentage of the issued amount, equal to or higher than the values shown in the following table. The value of the Retention or capital held by the originator indicated in this section will also count towards the total required in the previous section:
Value of credit / Value of guarantee
SCV*
95%
90%
85%
80%
75%
70%
60%
50%
0%
7.22%
5.75%
3.43%
2.71%
2.16%
1.67%
0.74%
0.06%
*SCV: Home credit insurance.
ANNEX S
Guidelines applicable to independent experts dedicated to evaluating and issuing opinions on Debt Vehicles, Variable Income Components, Real Estate Investment Vehicles and FIBRAS,
Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments and Debt Indices of Eligible Countries for Investments
I. Of the eligibility of the independent expert:
- Experience
a)
It must be constituted in accordance with the regulation of an Eligible Country for Investments.
b)
It must enjoy international prestige and have proven experience of at least five years for the company and three years for the officials in the provision of evaluation services or issuing opinions on regulatory compliance of indices or Investment Vehicles, such as: Mutual Funds, pension funds, Vehicles known as ETFs (Exchange Traded Funds), among others.
c)
It must not have criminal records or pending investigations before courts or supervisory entities of Eligible Countries for Investments due to damages caused by issuing incorrect opinions, or by omitting information that contravenes the full compliance of the indices or Investment Vehicles with the applicable regulations.
- Conflicts of interest
a)
The independent expert must have policies to detect, avoid, and resolve real and potential conflicts of interest in which it may incur when providing services to Investment Societies.
b)
The independent expert must not have Property Links or be a Related Company With Each Other with any Administrator.
c)
The independent expert must demonstrate the following:
·
That there is independence in the evaluation and opinion process regarding index providers, as well as the sponsor, administrator, and investment advisor of the Investment Vehicles, Mutual Funds, or with any entity dedicated to resource management whose Vehicles are audited by said company.
·
That the evaluation and opinion of compliance with the Criteria for the selection of stock, debt, and real estate indices allowed in the Investment Regime of SIEFORES and the Criteria applicable to Investment Vehicles known as ETFs (Exchange Traded Funds) issued and approved by the Risk Analysis Committee are auditable.
d)
In case the independent expert has property links or is a related company of the index provider or the sponsor, administrator, and investment advisor of the index or Investment Vehicle to be audited, the following must be demonstrated:
·
That there is operational separation between activities related to the study, analysis, opinion, evaluation, and opinion of the index or Investment Vehicle, from the other business or commercial areas, such as: promotion and sales areas of Vehicles to be audited, where a conflict of interest might arise.
·
That it has policies and procedures that include reporting lines, supervision, and remuneration structures among the various areas of the company, which must be designed to eliminate possible conflicts of interest.
- Corporate governance of the company
a)
Have clear and robust policies regarding the opinion and evaluation process of indices and Investment Vehicles. Such policies must be available to the Administrators to which it provides service. The Commission may request these policies from the Administrators at any time.
b)
The independent expert must maintain confidentiality of the information that the Administrators or the Commission provide to it with that character at all times.
II. Of the functions that the independent expert must perform:
Evaluate and periodically follow up on the compliance of the Criteria for the selection of stock, debt, and real estate indices allowed in the Investment Regime of SIEFORES and the Criteria applicable to Investment Vehicles known as ETFs (Exchange Traded Funds) issued and approved by the Risk Analysis Committee, based on publicly available information, as well as that provided by index providers and sponsors of Investment Vehicles, for which it must:
a)
Cross-check, at least in the initial review, public documents, such as prospectuses, brochures, and periodic reports required by the applicable regulatory entity, with the information provided by index providers and sponsors of Investment Vehicles.
b)
Have policies and procedures to carry out the functions for which it was hired. Such policies and procedures must be transparent to the Administrators to which it provides service.
c)
In case the Risk Analysis Committee modifies the Criteria for the selection of stock, debt, and real estate indices allowed in the Investment Regime of SIEFORES and the Criteria applicable to Investment Vehicles known as ETFs (Exchange Traded Funds), policies and procedures must be in place to re-evaluate and follow up on the authorized indices and Investment Vehicles. If applicable, the Commission will inform of such modifications in advance of the entry into force of said changes.
d)
In case the index methodology, or the prospectus, brochure, or any other legal document of the Investment Vehicle, presents any change, the compliance with the Criteria for the selection of stock, debt, and real estate indices allowed in the Investment Regime of SIEFORES and the Criteria applicable to Investment Vehicles known as ETFs (Exchange Traded Funds) must be re-evaluated. The independent expert may evaluate only what concerns the modifications made.
The independent expert must not issue an opinion, judgment of value, or investment recommendation on the evaluated indices or Investment Vehicles.
III. Of the information and auditing of Vehicles and indices:
The Administrators, and if applicable, the person whom they authorize, must send to the Commission, on behalf of the Administrator operating each Investment Society, the list of indices and Investment Vehicles that have obtained an approving opinion from the independent expert as well as the breakdown of said indices and Investment Vehicles in accordance with the characteristics established in the General Rules that the Commission establishes for the delivery of information. Without prejudice to the above, the Administrators, and if applicable, those whom they authorize, must allow the Commission to have access to the list of indices and Investment Vehicles in question, which will have a binding character for supervision purposes.
The Administrators, and if applicable, the person whom they authorize, are responsible for the safeguarding of documentary evidence supporting the evaluation of the indices and Investment Vehicles, both for those that received an approving opinion and those that had a negative opinion, both by the independent expert. The documentary evidence must be available to the Commission at all times.
Likewise, the Administrators, and if applicable, the person whom they authorize, must inform in writing to the Commission any change or deviation observed in the evaluation and follow-up of the indices and Investment Vehicles by the independent expert.
IV. Procedure for selecting the independent expert
The Administrators are responsible for verifying the compliance with the contents provided in this Annex of the independent experts they hire to evaluate and issue opinions on the indices and Investment Vehicles referred to in this Annex.
The Administrators, or whom they define, will make available to the Commission the documentation that the latter requests from them with which the Administrators support compliance with these guidelines as well as the process of selecting the independent expert.
The contract with the independent expert must be signed under the jurisdiction of an Eligible Country for Investments and must be available to the Commission.
In case the contract is not signed directly by the Administrator, the Administrators must be part of the contract as witnesses. Likewise, the Administrator must deliver in writing to the Commission the designations of the person responsible for signing the contract with the independent expert and the person responsible for accepting the obligation to follow up on said contract, both on behalf of the Administrator, and the acceptance of the Administrator to submit to the evaluation and auditing that is carried out by the independent expert of the Debt Vehicles, Variable Income Components, Real Estate Investment Vehicles, FIBRAS, Stock Indices of Eligible Countries for Investments, Real Estate Indices of Eligible Countries for Investments and Debt Indices of Eligible Countries for Investments.
The Administrators must deliver in writing to the Commission the designation of the person whom they authorize, if applicable, to carry out the functions described in the previous section III of this annex.
The classification of indices as stock or real estate will be determined by the Commission, hearing the opinion of the Administrators, and if applicable, those whom they authorize.
Therefore, the Vehicles will not be disaggregated for the purpose of supervising the applicable concentration limits, in accordance with what is provided in Annex N of the General Provisions that establish the investment regime to which Investment Societies must be subject; the exposure of investments in said Vehicles and indices will be computed considering integrally the Equivalent Delta Value of the Acquired or Structured Note, Underlying-Linked Structure, Variable Income Component, Financial Derivative Instrument, or any other permitted Vehicle that replicates the behavior of the index favorably audited by the independent experts.
ANNEX T
Methodology to verify compliance with limits regarding Structured Instruments.
For the purposes of the limits regarding positions in Structured Instruments established in the General Provisions that establish the Investment Regime to which Investment Societies must be subject, the following criterion must be observed:
I.
The sum of (i) the market value of the Structured Instruments issued without the capital call mechanism, (ii) the market value of the capital calls already made of the Structured Instruments issued under the capital call mechanism, and (iii) the peso equivalent of the minimum between 35% of the notional value of the issuance or the notional value of the pending capital calls of the Structured Instrument issued under the capital call mechanism, with respect to the Total Asset of the Investment Society, will be considered, that is, for each Investment Society to compute investments in Structured Instruments, the sum of i) the market value of the total amount invested by said investment society and, ii) 35% of the amount initially committed by the investment society is calculated. The sum of the above factors will not exceed 100% of the amount initially committed by the investment society; therefore, the computation must be carried out as follows:
For the purposes of computing the capital calls provided in this annex, pending capital calls will not be considered when the Investment Committee has determined, notified the Commission, and initiated the relevant procedures for the Structured Instruments that are in the present scenario to cease being part of the investment portfolios of the Investment Societies, prior to the call, not to participate in the capital calls of any previously acquired Structured Instrument.
Likewise, when the Investment Committee has determined to participate in voluntary participation schemes referred to in article 30 section V, it will be computed within the limit of Structured Instruments until the capital call has been made.
ANNEX U
Methodology to calculate the maximum investment limits for the set of Investment Societies operated by the same Administrator, in Structured Instruments.
Investment Societies operated by the same Administrator will be eligible to invest in Structured Instruments when their investment regime so provides.
The set of Investment Societies, eligible for investments in Structured Instruments, that are operated by the same Administrator, may acquire more than 35% of the same issuance of Structured Instruments when the conditions provided in the Twenty-Fourth Provision, section IV of the General Provisions that establish the Investment Regime to which Investment Societies must be subject are verified. In this case, the maximum amount to be invested must obey the following criteria:
a)
, always
must be less than 2% of the Total Asset of the Investment Societies eligible for investments in Structured Instruments, operated by the same Administrator or that percentage determined by the Investment Committee in accordance with what is established in section XVIII of article 30 of these Provisions.
b)
For Structured Instruments referred to in the Second Provision, section LI, subsection a) of the General Provisions that establish the investment regime to which Investment Societies must be subject:
, may take up to 80% of the value of each project financed through the Structured Instrument in question, provided that the value of the Structured Instrument is lower than the Threshold defined in this Annex and in accordance with the criteria provided in the General Provisions that establish the investment regime to which Investment Societies must be subject.
c)
For Structured Instruments referred to in the Second Provision, section LI, subsection b) of the
General Provisions Establishing the Investment Regime to which Investment Companies must adhere:
, may take up to 70% of the value of each project financed through the Structured Instrument in question, provided that the value of the Structured Instrument is less than the Threshold defined in this Annex and that the participation of a group of co-investors in the financed projects is verified in accordance with these provisions.
d)
When the value of the Structured Instrument is equal to or greater than the Threshold defined in this Annex,
the equivalent to 35% of the value of each project financed may not be exceeded.
Where:
Is the maximum amount in which Investment Companies, eligible for
investments in Structured Instruments, operated by the same
Administrator, can invest in each Structured Instrument.
The Total Asset considered is the Total Asset corresponding to the set of
Basic Investment Companies eligible for investments in Structured
Instruments, operated by the same Administrator;
is equivalent to 4,000 million pesos. This threshold will be updated in the same
proportion as the increase in the value of the investment units (UDIs). The value
initially corresponds to that of the date of entry into force of these
dispositions and will be updated once every calendar year.
The Commission may periodically inform the Administrators of the value
of the Threshold, as well as the value of the Total Asset.
The exception provided for in the second paragraph of this annex will not be applicable to those
Administrators who decide to invest in Structured Instruments in the following cases:
When the administrator of the Structured Instrument has another Structured Instrument of the
same nature in force in the Mexican financial market and in which said Administrator has
investment;
When the project financed by said Structured Instrument is financed by another Instrument
Structured administered by another administrator to which the Administrator in question has
investment;
Administrators must ensure that the investment does not exceed 35% of the value of a project
financed through the Structured Instruments that have as their object the financing of the
same project regardless of the administrator;
When the Administrator participates in other Structured Instruments with the same administrator
regardless of the nature of the Structured Instruments, and
When the co-investor and the Administrator have a Financial Nexus together they may not
exceed 35% of the value of each project financed.
In the case of primary offerings of Structured Instruments and for the purposes of complying with the limits
provided for in this annex and in the General Provisions establishing the investment regime
of Investment Companies, Administrators must request from the administrator of said
instruments in writing and leave evidence thereof, that they commit to diversifying the investor base
so that Investment Companies do not fail to comply with the limits referred to in this paragraph.
Administrators must inform the administrator of the absolute amount and the range to be invested, the latter
as a percentage of the total notional value of the Structured Instrument in question, which must be recorded
in the Detailed Minutes of the corresponding session. For these purposes, the policy must
provide for adjustments that the administrator may apply for the purposes of: i) compliance with the limits provided for in
these Provisions and ii) defining the allocation of amounts of Structured Instruments that may
present variations with respect to the bids of the Administrators as long as they are based on policies provided for
in the offering prospectus, within which there may be pro-rata adjustments.
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