IRELAND: IFSRA Updates Guidance Notes on VaR use in UCITS

Wednesday October 29 2008

The Irish Financial Services Regulatory Authority (IFSRA) has today issued guidance ((Guidance Note 3/03, section 1.4) in relation to the calculation methodology on the use Value at Risk (`VaR`) in UCITS.

The Guidance Note now specifies that the permitted level of VaR for a UCITS is 20% with a 99% confidence level and a holding period of 20 days. This brings the wording of Guidance Note 3/03 in line with the CSSF Circular 07/308 and the footnote to the new IFSRA Guidance clarifies the 20% VaR level over 20 days holding period corresponds to the 5% VaR over 1 day holding period that was referred to in the previous versions of Guidance Note 3/03.

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Related Links:

* FSRA Guidance Note 3/03-October 2008 – http://www.ifsra.ie/data/in_fds_files/Guide303.pdf

* CSSF publishes Circular 07/308 on New Risk Management Guidelines