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. 

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 invites responses to this consultation paper by 31 December 2010.

Consultation paper