ESMA · ESMA_QA_1141 Answer Published

KIID Collateral management

Regulation
Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC
Topic
UCITS global exposure
Submitted
2016-10-01
Answered
2016-10-01
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Question

Do the ESMA guidelines require that counterparty risk exposures be aggregated across both financial derivative instruments and efficient portfolio management techniques?

Answer

[ESMA 34-43-392 UCITS Q&A, section 3, Q&A 6h] Yes. According to paragraph 41 of the ESMA guidelines, both exposures should be combined when calculating the counterparty risk limits of Article 52 of the UCITS Directive.
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