Sun, Jul 24, 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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New