Commitment Approach

The UCITS IV regulation provides two approaches to regulatory risk management of a fund’s portfolio: the commitment approach and the Value at Risk (VaR) approach. In the commitment approach, the net exposure of derivatives cannot exceed 100% of the fund’s net asset value (NAV). There are complex rules to translate the derivatives held by the portfolio into equivalent amounts of underlying assets. Other rules concern the process of netting offsetting exposures to come up with a final exposure of derivatives, also called “global exposure” or leverage.

See how StatPro Revolution can help you employ the commitment approach to monitor your exposure, in line with UCITS and AIFMD.

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Other UCITS related terms

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