ESMA_QA_1197
01/07/2012
Subject Matter
Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS - Disclosure of leverage
Original question
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?
ESMA Answer
01-07-2012
Original language
[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.
Status: Answer Published
Additional Information
Level 1 Regulation
Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC
Topic
Leverage