Regulatory AlertsDOC-2011-15 Calculation Methods for the Global Risk of Approved UCITS and AIFs
The French Autorité des Marchés Financiers (AMF) issues this instruction to define the calculation methods for the global risk of approved Undertakings for Collective Investment in Transferable Securities (UCITS) and Alternative Investment Funds (AIFs). The document details the scope, definitions, and specific methodologies for calculating engagement and Value at Risk (VaR), including conversion formulas, netting and hedging rules, and provisions for interest rate and structured fund contracts. It references Articles 411-72 to 411-81 of the General Regulation and aligns with ESMA guidelines on risk measurement for structured products.
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II - Investment Products II. 1 - Collective Investments II. 1.1. Provisions common to UCITS and AIFs Archives
This instruction deals with the calculation methods for the global risk of approved UCITS and AIFs. After recalling the scope, perimeter, and definition of the global risk of an approved UCITS or AIF, the instruction specifies the method for calculating engagement (conversion formulas, netting and hedging rules, specific provisions for financial contracts relating to interest rates and structured funds, etc.) and Value at Risk (VaR). This document has not been updated with regard to texts transposing MiFID II and/or separating the legal regime of investment firms and portfolio management companies. This update will be carried out shortly.
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Articles 411-72 to 411-81 of the General Regulation
Articles 422-51 to 422-60 of the General Regulation
The AMF is finalizing the integration of ESMA guidelines on risk assessment and the calculation of global risk for certain types of structured UCITS
Final Report - Guidelines to competent authorities and UCITS management companies on risk measurement (ESMA/2011/112)
Guidelines to competent authorities and UCITS management companies - Guidelines on risk assessment and the calculation of global risk for certain types of structured UCITS (ESMA/2012/197)
This instruction deals with the calculation methods for the global risk of UCITS. After recalling the scope, perimeter, and definition of the global risk of a UCITS, the instruction specifies the method for calculating engagement (conversion formulas, netting and hedging rules, specific provisions for financial contracts relating to interest rates and structured funds, etc.) and Value at Risk (VaR).
Download the doctrine Reference texts
Articles 411-72 to 411-80 of the General Regulation
The AMF is finalizing the integration of ESMA guidelines on risk assessment and the calculation of global risk for certain types of structured UCITS
Final Report - Guidelines to competent authorities and UCITS management companies on risk measurement (ESMA/2011/112)
Guidelines to competent authorities and UCITS management companies - Guidelines on risk assessment and the calculation of global risk for certain types of structured UCITS (ESMA/2012/197)
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AIFM Legal notices: Publisher: The Director of the Communication Department of the AMF. Contact: Communication Department, Autorité des marchés financiers - 17, place de la Bourse - 75082 Paris Cedex 02