A&L Goodbody
Investment Funds News Alert
June 2009
A&L Goodbody

The Front Page News Alert

 June 2009

 

CESR consults on risk measurement in the calculation of global exposure for UCITS

On 15 June 2009, the Committee of European Securities Regulators (CESR) published a consultation paper on risk measurement in the  calculation of global exposure for UCITS. This is the first of several consultation papers CESR is scheduled to issue as part of its work in relation to UCITS IV. The consultation comprises 52 questions and is an interim step giving stakeholders  an early opportunity to give feedback on CESR's approach. CESR plans to consult again in July 2009 in relation to its proposed approach to risk management. CESR has invited responses by 15 July 2009.

 

The questions examine the methodologies and concepts used in the measurement and calculation of risks as they apply to UCITS under the following areas: 

  • Calculation of global exposure using the commitment approach
  • Calculation of global exposure using VaR (Value at Risk) models relating to both relative and absolute VaR limits
  • Calculation of OTC counterparty risk exposure and the treatment of collateral
  • Sophisticated vs. Non-sophisticated UCITS



Comment. We welcome the objective of ensuring consistent implementation throughout the EU of the methodologies and concepts used in the measurement and calculation of risks . The Irish Financial Regulator's requirements in this regard are well documented but are under continuing review to ensure they are appropriate, measured and take account of market practice.We believe that the use of VAR should continue to be permitted . We invite our clients and contacts to review the consultation and, where required, to respond to it, whether directly or indirectly, through industry associations, such as the Irish Funds Industry Association or through ourselves. 

 

Please click here to view the consultation paper.


Please contact your usual contact at A&L Goodbody if you require any assistance in this regard.



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