Following the draft guidelines published in April 2011, the European Securities and Markets Authority (ESMA) has now published its finalised guidelines on risk measurement and the calculation of global exposure for certain types of structured UCITS.
The finalised guidelines enhance the requirements in the UCITS IV Directive in relation to the calculation of global exposure to derivative instruments. It was felt that the provisions in the Directive should be supplemented by additional guidelines to ensure that the calculation methods used by UCITS did not vary significantly throughout the EU.
The guidelines will apply to both regulators and UCITS management companies. Regulators have two months to notify ESMA whether they intend to follow them.