ESMA_QA_1198

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1198

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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

Could UCITS using the VaR approach to calculate global exposure disclose leverage based on the Commitment Approach?

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ESMA Answer

Answer Date: 01-07-2012

[ESMA 34-43-392 UCITS Q&A, section 5, Q&A 2b] Yes. However, the leverage should be disclosed based on both the ‘sum of the notionals’ as provided by CESR’s guidelines and the Commitment Approach.

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