DOC-2011-15 Calculation Methods for the Global Risk of Approved UCITS and AIFs

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II - Investment Products
II. 1 - Collective Investments
II. 1.1. Provisions common to UCITS and AIFs
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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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Reference texts

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)

Download the doctrine
Keywords

AIFM
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