Undertakings for the Collective Investment of Transferable Securities (UCITS)

UCITS are a set of European Union directives under which collective investment schemes authorized in a single member state can operate throughout the EU under a common regulatory regime.

In 1985, UCITS Directive 85/611/EEC (also known as UCITS I) offered the first EU regulations governing financial services in asset management. As a single license regime for selling investment funds in the EU, UCITS I applied general criteria regarding authorization, legal structure, investment policies and disclosure. Marketing and tax regulation remained governed by individual country regimes.

The objective of the original UCITS was to allow for open-ended funds investing in transferable securities to be subject to the same regulation in every member state. It was hoped that once such legislative uniformity was established throughout Europe, funds authorized in one member state could be sold to the public in each member state without further authorization, thereby promoting the EU’s goal of a single market for financial services in Europe.

CESR’s Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS – CESR/10-788 of 28 July 2010

The guidelines accompany the level 2 implementing measures in the context of risk measurement and the calculation of global exposure and counterparty risk for UCITS.

The key purpose of these guidelines is to provide stakeholders with detailed methodologies in order to foster a level playing field among member state in the area of risk measurement and the calculation of global exposure and counterparty risk for UCITS. To achieve this objective, CESR provides a harmonized definition of global exposure. CESR stresses that the calculation of the global exposure represents only one element of the UCITS’ overall risk management process and that it remains the responsibility of the UCITS to select an appropriate methodology to calculate it. Concerning the calculation of the global exposure, CESR sets out detailed methodologies to be followed by UCITS when they use the commitment or the Value at Risk (VaR) approach…”

This paper sets out CESR’s guidelines on risk measurement and the calculation of global exposure and counterparty risk for UCITS

Enabling UCITS compliance with StatPro Revolution

StatPro’s Risk Limits Monitoring module provides an overview of each portfolio’s VaR and liquidity risk, together with stress testing, and back testing. Set your own parameters so that risk warnings appear in amber. Breaches will appear in red when you exceed your limits. Drill down into individual portfolios to produce risk reports that you can share with your clients. Add comments on warnings or breaches that have been flagged. Using the VaR methodology, this daily tool will help you maintain a documented log of activities, warnings and breaches. Conduct a comprehensive stress testing program Monitor the accuracy and performance of your VaR model, by conducting a back testing program too. Improve your overall risk awareness.

More information about StatPro Revolution and UCITS

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