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II - Investment products
II. 1 - Collective investment schemes (CISs)
II. 1.1. Common provisions applicable to UCITS and CISs
Calculation of global exposure for authorised UCITS and AIFs
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
Annexes
- 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
Links
- 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)
Archives
From 10 January 2014 to 25 June 2018 | Instruction DOC-2011-15
Calculation of global exposure for authorised UCITS and AIFs
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.
Links
- 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)
From 25 May 2012 to 09 January 2014 | Instruction DOC-2011-15
Calculation of global exposure for collective investment schemes (CIS)
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).
Reference texts
Links
- 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
- 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)
From 03 November 2011 to 24 May 2012 | Instruction DOC-2011-15
Calculation of global exposure for collective investment schemes (CIS)
Legal information:
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
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