Article 422-59 into force since
- Version into force since
Aggregate risk for a formula-based retail investment fund shall be measured using either the commitment approach or the value at risk approach.
The formula-based retail investment fund may apply specific rules, defined in an AMF instruction, for calculating aggregate risk using the commitment approach, if it fulfills all the following conditions:
Returns for investors rely on a calculation formula for which the predefined possible results may be divided into a finite number of scenarios that depend on the value of the underlying assets.
Each scenario provides a different result for investors.
Investors shall be exposed to only one result at a time at any point in the lifespan of the retail investment fund;
Use of the commitment approach to measure aggregate risk for each individual scenario is appropriate, pursuant to Article 422-52;
The final maturity of the retail investment fund is no more than nine years after the end of the marketing period;
The retail investment fund does not accept new public subscriptions after the initial marketing period;
The maximum loss that may be sustained by the retail investment fund transitioning from one scenario to another does not exceed 100 per cent of the net asset value at the end of the marketing period;
The impact of each underlying asset on the remuneration profile to be provided to investors on any given date following transition from one scenario to another observes the diversification rules specified in Article R. 214-32-29 of the Monetary and Financial Code on the basis of the net asset value at the end of the marketing period.
Head of publications: The Executive Director of AMF Communication Directorate. Contact: Communication Directorate – Autorité des marches financiers 17 place de la Bourse – 75082 Paris cedex 02