CMFAS RES5 Collective Investment Schemes Code question: global exposure to financial derivatives using the Commitment Approach or, subject

CMFAS RES5Collective Investment Schemes Code

A scheme may measure its global exposure to financial derivatives using the Commitment Approach or, subject to prior consultation with MAS, the:

A Net-asset-value averaging method
B Value-at-Risk (VaR) Approach
C Fulcrum-fee method
D High-water-mark method

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Answer: B. Value-at-Risk (VaR) Approach

Global exposure to financial derivatives (capped at 100% of NAV) may be measured using the Commitment Approach or the Value-at-Risk (VaR) Approach. The fulcrum-fee and high-water-mark methods relate to performance fees, not exposure measurement.

Common mistake

The two exposure methodologies are Commitment and VaR; fulcrum-fee/high-water-mark are performance-fee concepts, not exposure measures.

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Original study material mapped to the public CMFAS RES5 syllabus. Unofficial, not endorsed by MAS or SCI. Verify figures and rules against current guidance before relying on them.