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Announcement No. 12 [2017] of the China Securities Regulatory Commission—Provisions on the Administration of Liquidity Risk of Publicly Offered Open-End Securities Investment Funds [Effective]
中国证券监督管理委员会公告[2017]12号――公开募集开放式证券投资基金流动性风险管理规定 [现行有效]
【法宝引证码】

Announcement of the China Securities Regulatory Commission 

中国证券监督管理委员会公告

(No. 12 [2017]) (〔2017〕12号)

The Provisions on the Administration of Liquidity Risk of Publicly Offered Open-End Securities Investment Funds are hereby issued, and shall come into force on October 1, 2017. 现公布《公开募集开放式证券投资基金流动性风险管理规定》,自2017年10月1日起施行。
China Securities Regulatory Commission 中国证监会
August 31, 2017 2017年8月31日
Annex: 附件:
Provisions on the Administration of Liquidity Risk of Publicly Offered Open-End Securities Investment Funds 公开募集开放式证券投资基金流动性风险管理规定
Chapter I General Provisions 

第一章 总则

Article 1 For the purposes of strengthening the management and control of liquidity risk of publicly offered open-end securities investment funds (hereinafter referred to as “open-end funds”), further regulating the investment operation of open-end funds, improving the internal control of fund management institutions, and protecting the lawful rights and interests of investors, these Provisions are developed in accordance with the Securities Investment Fund Law, the Measures for the Administration of the Operation of Publicly Offered Securities Investment Funds, the Measures for the Supervision and Administration of Money Market Funds and other relevant laws and regulations.   第一条 为加强对公开募集开放式证券投资基金(以下简称开放式基金)流动性风险的管控,进一步规范开放式基金的投资运作活动,完善基金管理人的内部控制,保护投资者的合法权益,根据《证券投资基金法》《公开募集证券投资基金运作管理办法》《货币市场基金监督管理办法》及其他有关法律法规,制定本规定。
Article 2 For the purposes of these Provisions, “open-end fund” means a fund of which the total amount of fund shares is unfixed within the period of the fund contract, and fund shares may be purchased or redeemed at the time and place agreed upon in the fund contract. The funds that are operated in an open-end manner on a periodical basis shall be governed by these Provisions in their opening period.   第二条 本规定所称开放式基金是指基金份额总额在基金合同期限内不固定,基金份额可以在基金合同约定的时间和场所进行申购或者赎回的基金。采取定期开放方式运作的基金在开放期内适用本规定。
Article 3 For the purposes of these Provisions, “liquidity risk” means the risk that the fund management institution fails to convert fund assets into cash in a timely manner at a reasonable price to pay redemption proceeds to investors. The objective of risk management is to match and balance the cashability of fund portfolio assets and investors' redemption demand.   第三条 本规定所称流动性风险是指基金管理人未能以合理价格及时变现基金资产以支付投资者赎回款项的风险,风险管理的目标是确保基金组合资产的变现能力与投资者赎回需求的匹配与平衡。
Article 4 The fund management institution shall manage and control the liquidity risk of funds in a professional, prudential, diligent and responsible manner, promote the stable investment operation of funds and the fair pricing of net asset value of funds, and ensure that the lawful rights and interests of investors are not damaged and are treated equitably.   第四条 基金管理人应当专业审慎、勤勉尽责地管控基金的流动性风险,促使基金稳健投资运作以及基金净值公允计价,确保投资者的合法权益不受损害并得到公平对待。
Chapter II Internal Control of the Management Institution 

第二章 管理人内部控制

Article 5 The fund management institution shall establish and improve an internal control system in respect of the management of liquidity risk of open-end funds, including but not limited to strict and complete management rules, scientific and standard business control flow, clear and specific organizational structure and division of functions, independent and strict supervision, check and balance and assessment mechanism, and flexible and efficient emergency response plan.   第五条 基金管理人应当建立健全开放式基金流动性风险管理的内部控制体系,包括但不限于:严密完备的管理制度、科学规范的业务控制流程、清晰明确的组织架构与职责分工、独立严格的监督制衡与评估机制、灵活有效的应急处置计划等。
Article 6 The fund management institution shall, when managing the liquidity risk of open-end funds, analyze in details multiple factors including fund investment strategies, valuation methods, historical subscription and redemption data, sales channels, investor types, investor structure, investors' risk preferences and potential liquidity requirements, and basic market environment, categorize portfolio assets held by funds in an appropriate manner according to the cashability, prudentially assess the liquidity of all kinds of assets, and formulate liquidity risk management measures in a pertinent manner.   第六条 基金管理人在实施开放式基金的流动性风险管理时,应当详细分析基金的投资策略、估值方法、历史申购与赎回数据、销售渠道、投资者类型、投资者结构、投资者风险偏好与潜在的流动性要求、基础市场环境等多种因素,按照变现能力对基金所持有的组合资产进行适当分类,审慎评估各类资产的流动性,针对性制定流动性风险管理措施。
Article 7 The fund management institution shall establish rules for the monitoring and early warning of liquidity risk of open-end funds centering on stress testing in a full-coverage and multi-dimensional manner, develop a sound and effective liquidity risk indicator warning and monitoring system for different types of open-end funds, and establish a normal stress testing work mechanism in light of its risk management level and market conditions. The stress testing shall satisfy the following requirements:   第七条 基金管理人应当全覆盖、多维度建立以压力测试为核心的开放式基金流动性风险监测与预警制度,区分不同类型开放式基金制定健全有效的流动性风险指标预警监测体系,结合自身风险管理水平与市场情况建立常态化的压力测试工作机制。压力测试应当符合以下要求:
(1) Different stress testing scenarios and relevant models shall be set based on individual funds, full consideration shall be given to fund size, investment strategies, investment subject matter, investor types, market risks and other factors, and the data basis of stress testing shall be reliable and updated in a timely manner. (一)基于个体基金层面,设置不同的压力测试情景及相关模型,充分考虑基金规模、投资策略、投资标的、投资者类型以及市场风险等因素,压力测试的数据基础应当可靠且及时更新;
(2) The reporting and feedback mechanism of stress testing results shall be established, and the testing result shall be applied in such links as the specific investment operation of funds and management of liquidity risk. (二)建立压力测试结果的报告反馈机制,测试结果应当运用到基金的具体投资运作及流动性风险管理等环节;
(3) Specific and feasible response plans shall be made with respect to the liquidity risk recognized through stress testing, which shall include but not be limited to scenarios triggering the response plan, emergency procedures and measures, sources of emergency funds, functions and power of the board of directors, the management and all departments of the company. (三)针对压力测试识别出的流动性风险,制定具体可行的应对预案,预案包括但不限于:预案触发情景、应急程序与措施、应急资金来源、公司董事会、管理层及各部门的职责与权限等;
(4) A special department shall be designated to be responsible for the implementation and assessment of stress testing, which shall be independent from the investment management department. (四)由专门部门负责压力测试的实施与评估,该部门应当独立于投资管理部门;
(5) The working sheets of stress testing and risk response plan shall be retained for future reference. (五)压力测试工作底稿与风险应对预案应当留存备查。
Article 8 The organizational structure system for the management of liquidity risk of open-end funds shall be sound and effective, clearly define power and responsibility, and be coordinated and balanced. The board of directors of the fund management institution shall assume ultimate responsibility for establishing the internal control system in respect of the management of liquidity risk of open-end funds and for maintaining the effectiveness thereof, the management of the fund management institution shall assume primary responsibility for the effective implementation thereof, and the chief compliance officer of the fund management institution shall oversee and inspect the compliance of the management of liquidity risk of open-end funds and the company's internal control.   第八条 开放式基金流动性风险管理的组织架构体系应当健全有效、权责分明、协调制衡。基金管理人董事会对建立开放式基金流动性风险管理内部控制系统和维持其有效性承担最终责任,基金管理人管理层对其有效执行承担主要责任,基金管理人的合规负责人应当监督检查开放式基金流动性风险管理的合法合规情况及公司内部控制情况。
Article 9 The fund management institution shall set special posts and assign sufficient personnel to be responsible for the assessment and monitoring of liquidity risk of the fund and to oversee the implementation of liquidity risk management rules. The relevant posts and personnel shall be independent from the investment management department, and have specific and independent reporting channels.   第九条 基金管理人应当设立专门的岗位并配备足够的人员负责基金的流动性风险评估与监测,监督流动性风险管理制度的执行情况;相关岗位与人员应当独立于投资管理部门,并具有明确且独立的报告路径。
Article 10 The fund manager shall assume direct responsibility for the liquidity risk of the fund he manages. The fund manager who conducts open-end fund investment management activities shall adhere to the basic principles of portfolio management and diversified investment, and conduct investment management in strict accordance with the investment scope and ratio limit prescribed by the relevant provisions of laws and regulations and agreed upon in the fund contract.   第十条 基金经理应当对所管理基金的流动性风险承担直接责任。基金经理从事开放式基金投资管理活动,应当坚持组合管理、分散投资的基本原则,严格按照法律法规的有关规定和基金合同约定的投资范围与比例限制实施投资管理。
Article 11 The fund management institution shall establish a strict accountability mechanism with respect to the management of liquidity risk, include the management of liquidity risk in the standards for annual assessment and evaluation of fund managers, and link it with the remuneration and rewards of fund managers.   第十一条 基金管理人应当针对流动性风险管理建立严格的考核问责机制,将流动性风险管理状况纳入基金经理的年度考核评价标准,并与其薪酬奖励挂钩。
Chapter III Product Design 

第三章 产品设计

Article 12 The fund management institution shall, at the preliminary design stage of the fund product, comprehensively assess and analyze such factors as the liquidity of the investment subject matter, investment strategies, investment limit, sales channels, the types and risk preferences of potential investors, and investor structure, and prudentially decide whether to conduct open-end operation.   第十二条 基金管理人应当在基金产品的初始设计阶段,综合评估分析投资标的流动性、投资策略、投资限制、销售渠道、潜在投资者类型与风险偏好、投资者结构等因素,审慎决定是否采取开放式运作。
Where the fund management institution plans to conduct open-end operation, the liquidity of portfolio assets shall match the subscription and redemption arrangement agreed upon in the fund contract, the investment strategy shall be able to support investors' redemption requests under different market circumstances, and the arrangements in such aspects as the fund investor structure and fund valuation and pricing shall enable investors to receive equitable treatment. 拟实施开放式运作的,组合资产的流动性应当与基金合同约定的申购赎回安排相匹配,投资策略应当能够支持不同市场情形下投资者的赎回要求,基金投资者结构、基金估值计价等方面安排能够使投资者得到公平对待。
The fund management institution shall form the fund liquidity risk assessment report according to aforesaid requirements, which shall, after being reviewed and signed by the senior executive in charge and the fund manager at least, be submitted when the fund registration application is filed. 基金管理人应当针对前述要求形成基金流动性风险评估报告,至少经分管高级管理人员及基金经理评估签字后,在基金注册申请时予以提交。
Article 13 The funds that mainly invest in unlisted stocks, bonds and the investment varieties without an active market of which the fair value needs to be determined by the valuation technique shall be operated in a close-end or periodical open-end manner.   第十三条 对主要投资于非上市交易的股票、债券及不存在活跃市场需要采用估值技术确定公允价值的投资品种的基金,应当采用封闭或定期开放运作方式。
Article 14 Where the fund management institution sets up a new fund and intends to permit a single investor to hold fund shares exceeding 50% of total fund shares, the close-end or periodical open-end operation mode shall be adopted and the periodical opening period shall not be less than three months (excluding money market funds), the form of seed funds shall be adopted, full disclosure shall be made and indication given in the fund contract, prospectus and other documents, and the fund shall not be publicly offered to individual investors.   第十四条 基金管理人新设基金,拟允许单一投资者持有基金份额超过基金总份额50%的,应当采用封闭或定期开放运作方式且定期开放周期不得低于3个月(货币市场基金除外),并采用发起式基金形式,在基金合同、招募说明书等文件中进行充分披露及标识,且不得向个人投资者公开发售。
Exchange traded funds (“ETFs”) and their feeder funds are not subject to the provision of the preceding paragraph. 交易型开放式指数基金及其联接基金可不受前款规定的限制。
Chapter IV Investment Trading Limit 

第四章 投资交易限制

Article 15 Tradable shares held in a listed company by all open-end funds managed by the same fund management institution shall not exceed 15% of tradable shares of the listed company. Tradable shares held in a listed company by all investment portfolios managed by the same fund management institution shall not exceed 30% of tradable shares of the listed company.   第十五条 同一基金管理人管理的全部开放式基金持有一家上市公司发行的可流通股票,不得超过该上市公司可流通股票的15%;同一基金管理人管理的全部投资组合持有一家上市公司发行的可流通股票,不得超过该上市公司可流通股票的30%。
Open-end funds that make securities investment entirely according to the composition ratio of relevant indexes and particular investment portfolios determined by the China Securities Regulatory Commission (“CSRC”) are not subject to the aforesaid ratio limit. 完全按照有关指数的构成比例进行证券投资的开放式基金以及中国证监会认定的特殊投资组合可不受前述比例限制。
Article 16 The total market value of active investment in illiquid assets by a single open-end fund shall not exceed 15% of the net asset value of the fund.   第十六条 单只开放式基金主动投资于流动性受限资产的市值合计不得超过该基金资产净值的15%。
Where the fund fails to comply with the ratio limit prescribed in the preceding paragraph for any reason not attributable to the fund management institution such as the fluctuation of the securities market, the suspension of trading in stocks of the listed company, and the change in fund size, the fund management institution shall not actively increase the investment in illiquid assets. 因证券市场波动、上市公司股票停牌、基金规模变动等基金管理人之外的因素致使基金不符合前款所规定比例限制的,基金管理人不得主动新增流动性受限资产的投资。
Article 17 The fund management institution shall strengthen the management of liquidity risk and counterparty risk regarding reverse repurchase transactions of open-end funds, rationally disperse the maturity date of reverse repurchase transactions and concentration of counterparties and, according to the penetration principle, conduct necessary due diligence of counterparties' financial conditions, solvency and leverage ratio, among others, implement strict access management, and subject different counterparties to trading quota management and make dynamic adjustments thereto.   第十七条 基金管理人应当加强开放式基金从事逆回购交易的流动性风险和交易对手风险的管理,合理分散逆回购交易的到期日与交易对手的集中度,按照穿透原则对交易对手的财务状况、偿付能力及杠杆水平等进行必要的尽职调查与严格的准入管理,对不同的交易对手实施交易额度管理并进行动态调整。
The fund management institution shall establish and improve the management rules for collaterals of reverse repurchase transactions, prudentially determine the pledge ratio according to the qualification of collaterals, continuously monitor the risk status and value change of collaterals, and the full-amount fair value of collaterals shall be calculated. If funds conduct reverse repurchase transactions, with privately offered securities asset management products and other subjects determined by the CSRC as the counterparties, the requirements for the qualification of acceptable collaterals shall be consistent with the investment scope agreed upon in the fund contract. 基金管理人应当建立健全逆回购交易质押品管理制度,根据质押品资质审慎确定质押率水平,持续监测质押品的风险状况与价值变动,质押品按公允价值计算应当足额。基金与私募类证券资管产品及中国证监会认定的其他主体为交易对手开展逆回购交易的,可接受质押品的资质要求应当与基金合同约定的投资范围保持一致。
Article 18 The fund management institution shall strictly implement the provisions on the management of position of open-end funds, and shall not include the deposit reservation for balance, refundable deposits and receivable subscription fund, among others, in the scope of cash assets prescribed in Article 28 of the Measures for the Administration of the Operation of Publicly Offered Securities Investment Funds.
......
   第十八条 基金管理人应当严格执行有关开放式基金资金头寸管理的相关规定,不得将结算备付金、存出保证金、应收申购款等计入《公开募集证券投资基金运作管理办法》第二十八条所规定的现金类资产范围。
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