34. Paragraphs 14 and 15 of this guidance provide for types of FDI which may be excluded from the global exposure calculation. A FDI which meets the criteria in paragraph 14 of this guidance should substitute the exposure of other reference financial assets for the exposure on financial assets directly held in the UCITS portfolio. Furthermore, it does not subject the UCITS to the market risk of the assets held as it totally protects the UCITS from movements in the market value of these assets.
35. As an example, if the UCITS portfolio invests in the DAX index and holds a FDI which swaps the performance of the DAX index with the performance of the NIKKEI index then it must be equivalent to holding exposure to the NIKKEI index in the portfolio. So, the UCITS net asset value does not depend on the performance of the DAX index.
36. As the FDI does not provide any incremental exposure or leverage (i.e. exposure is created on an unleveraged basis) as calculated using the commitment approach,
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