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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

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