ESMA_QA_1196

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1196

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Regulatory Context

Regulation : UCITS

Level 1 Regulation: Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC

Level 2 Regulation: No information available

Level 3 Regulation: No information available

Topic: UCITS global exposure

Subject Matter: Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS - Hedging strategies

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Question

Submission Date: 01 July 2012

When calculating the global exposure according to the Commitment Approach, can UCITS that invest in other funds make use of hedging arrangements?

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ESMA Answer

Answer Date: 01-07-2012

[ESMA 34-43-392 UCITS Q&A, section 5, Q&A 1c] According to Box 8 of CESR’s guidelines, for the purpose of calculating global exposure under the Commitment Approach, hedging arrangements may only be taken into account if they relate to the same asset class. Therefore, hedging arrangements for UCITS funds of funds are possible provided that the management company of the investing UCITS has full knowledge of the underlying investments of the target funds.

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This document was automatically extracted from the ESMA EMIR Q&A database.