ESMA_QA_1198
01/07/2012
Subject Matter
Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS - Disclosure of leverage
Original question
Could UCITS using the VaR approach to calculate global exposure disclose leverage based on the Commitment Approach?
ESMA Answer
01-07-2012
Original language
[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.
Status: Answer Published
Additional Information
Level 1 Regulation
Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC
Topic
Leverage