Fri, Jul 1, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

CESR issues consultation paper proposing guidelines on risk measurement and calculation of global exposure for some UCITS

Monday, November 22, 2010
Opalesque Industry Update - CESR’s Guidelines on Risk Measurement and the Calculation of Global Exposure for certain types of structured UCITS

Executive summary of the guidelines

This paper sets out CESR’s proposed guidelines on Risk Measurement and the Calculation of Global Exposure for certain types of structured UCITS. These guidelines supplement the guidelines on Risk Measurement and the Calculation of the Global Exposure and Counterparty Risk (Ref. CESR/10-788) published in July this year. Once adopted, they will be incorporated into the July guidelines.

This consultation paper proposes a specific approach to the application of the guidelines on the calculation of the global exposure for certain types of structured UCITS.

Structured UCITS offer investors a predefined payoff depending on different scenarios based on the value of the underlying assets. The specific approach as proposed by CESR consists of the calculation, for each scenario to which investors can be exposed at any one time, of the global exposure using the commitment approach. Under this approach, each scenario must comply at all times with the 100% global exposure limit using the existing CESR Guidelines.

CESR considers that the scope of this alternative approach must be clearly defined. Therefore, a list of criteria with which structured UCITS should comply in order to be able to benefit from this specific approach is set out in this consultation.

CESR also proposes that structured UCITS that comply with certain of the criteria set out in paragraph 2 of Box 29 and that have been authorised before 1 July 2011 are not required to comply with Boxes 1 to 25 of these Guidelines, provided they comply with any rules set by their home State competent authority for the calculation of global exposure.


Deadline for contributions: The Committee of European Securities Regulators (CESR) invites responses to this consultation paper by 31 December 2010. All contributions should be submitted online via CESR’s website under the heading ‘Consultations’ at www.cesr.eu. All contributions received will be published following the close of the consultation, unless the respondent requests their submission to be confidential.

Full consultation paper: www.cesr-eu.org/popup2.php?id=7310


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Soros, Druckenmiller among hedgies profiting in market plunge, Hedge funds were most bullish on bonds since 2004 before Brexit, Surprise Brexit vote unleashes scramble for dollars, High-yield hit on Brexit but no panic selling, Scientist turned hedge fund founder lured to pound, euro, Hedge fund avoids commodities, posts big gains[more]

    Soros, Druckenmiller among hedgies profiting in market plunge From HITC.com: Bullish positions in gold and volatility and well-timed short bets on China and emerging markets, among other areas, were some of the trades that benefited hedge funds on Friday as markets digested Britons' s

  2. Manager Profile - A 26-year old hedge fund manager called Brexit — here's what he thinks about the historic vote[more]

    From Businessinsider.com: Taylor Mann is not your typical fund manager. The twenty-six year old Texas A&M graduate manages Pine Capital in Larue, Texas (population 160), where he resides with his three-year old daughter. Also atypical compared with many of the largest funds out there, Mann makes

  3. Chesapeake Partners to liquidate hedge fund amidst 'hostile environment'[more]

    Komfie Manalo, Opalesque Asia: Chesapeake Partners Management, the hedge fund run by woman fund manager Traci Lerner said it would return investors’ money after 25 years because the market environment has become "hostile" to manage other people’s money, reported

  4. Europe - George Soros says Brexit has ‘unleashed’ a financial markets crisis, Brexit—what we know, Will the UK’s departure be a ‘soft-Brexit’ or a ‘hard-Brexit’?, Brexit: Six-point action plan for asset managers[more]

    George Soros says Brexit has ‘unleashed’ a financial markets crisis From Bloomberg.com: Britain’s decision to leave the European Union has “unleashed” a crisis in financial markets similar to the global financial crisis of 2007 and 2008, George Soros told the European Parliament in Bruss

  5. Hedge Fund Due Diligence Exchange offers complete due diligence reports at $1500[more]

    Matthias Knab, Opalesque: HFDDX is offering complete alternative investment due diligence reports at $1500 US. Industry professionals can simply go to www.hfddx.com and indicate their interest in sponsoring one or more DD Reports for $1500 each.