ESMA_QA_1197

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1197

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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: Leverage

Subject Matter: Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS - Disclosure of leverage

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Question

Submission Date: 01 July 2012

For UCITS using VaR to calculate global exposure, can the required disclosure of leverage be made on a net basis i.e. leverage calculated after netting/hedging arrangements are taken into account?

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ESMA Answer

Answer Date: 01-07-2012

[ESMA 34-43-392 UCITS Q&A, section 5, Q&A 2a] No. In accordance with Boxes 24 and 25 of CESR’s guidelines, leverage should be calculated as the sum of the notionals of the derivatives used.

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