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II - Investment products
II. 1 - Collective investment schemes (CISs)
II. 1.1. Common provisions applicable to UCITS and CISs
  • Applicable from 26 June 2018
  • Instruction DOC-2011-15

Calculation of global exposure for authorised UCITS and AIFs

Document

Summary

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.

Reference texts