Print

Policy II - Investment products Calculation of global exposure for authorised UCITS and AIFs

Segment information

Instruction DOC-2011-15

Relevant on January 10, 2014

Abstract

This instruction presents the methods for calculating global exposure of authorised UCITS and AIFs. After going over the scope of application, perimeter and definition of the global risk of an authorised UCITS or AIF, the instruction explains the commitment calculation approach (conversion methods, netting and hedging rules, specific provisions for interest rate derivative instruments and structured funds, etc.) and the Value at Risk (VaR) method.

Annex I - Methods for the conversion of standard derivatives into the market value of an equivalent position in the underlying asset

Annex II - Methods for conversion of embedded derivatives into the market value of an equivalent position in the underlying asset

Annex III - Methods for calculating the commitment of non-standard derivatives

AMF completes the incorporation of ESMA guidelines on risk measurement and the calculation of global exposure for certain types of structured UCITS

Final Report - Guidelines to competent authorities and UCITS management companies on risk measurement (ESMA/2011/112)

Guidelines for competent authorities and UCITS management companies - Guidelines on risk measurement and the calculation of global exposure for certain types of structured UCITS (ESMA/2012/197)

Calculation of global exposure for collective investment schemes (CIS)

Instruction DOC-2011-15 Applicable from November 3, 2011 to May 24, 2012

Calculation of global exposure for collective investment schemes (CIS)

Instruction DOC-2011-15 Applicable from May 25, 2012 to January 9, 2014

This Instruction deals with the methods for calculating global exposure for CIS. It sets out the scope of application and the perimeter and definition of global exposure for a CIS, then outlines the method for calculating the leverage with the commitment method (conversion, netting and hedging rules, specific provisions for interest rate derivative instruments and structured funds, etc.) and the value at risk (VaR).

Link to the document

Table des matières de la doctrine

Legal information
Head of publications: Florence Gaubert, Executive Director of AMF Communication Directorate.
Contact: Communication Directorate – Autorité des marches financiers 17 place de la Bourse – 75082 Paris cedex 02