On 18 November 2010, CESR published a consultation on guidelines on risk measurement and the calculation of global exposure for certain types of structured undertakings for collective investment in transferable securities (“UCITS”).

CESR published guidelines in July 2010 on risk measurement and the calculation of the global exposure and counterparty risk for UCITS and received feedback on those guidelines which requested it to develop a similar methodology for structured UCITS funds. CESR has not developed a specific regime for the calculation of the global exposure of structured UCITS however. Instead, it has created an alternative approach for the calculation of global exposure for structured UCITS. The proposed guidelines will apply to structured UCITS that meet the criteria set out in the guidelines themselves which will explain how global exposure should be calculated and include case studies.  

(When these guidelines are adopted, they will be incorporated into the July 2010 guidelines.)

The consultation period ends on 31 December 2010.