Sun, May 24, 2015
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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  5. Opalesque Exclusive: Ovation Partners targets opportunities where few "natural lenders" participate[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Changes in financial regulations post-2008 (Dodd-Frank and Basel III) are forcing banks to significantly alter their core lending businesses. And as mid-sized

 

banner