FMA Regulation on Risk Measurement and Reporting of Derivatives

The Austrian Financial Market Authority mandates that management companies report quarterly derivative exposures for UCITS funds, including global exposure percentages and fund identifiers. The regulation establishes detailed methodologies for calculating global exposure, requiring the use of either the commitment approach or the Value-at-Risk approach depending on the complexity of the investment strategy. It further specifies strict requirements for netting, hedging, stress testing, and back-testing to ensure accurate risk assessment and compliance with leverage limits.

Austria

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