ESMA · ESMA_QA_1197 Answer Published

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

Regulation
Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC
Topic
Leverage
Submitted
2012-07-01
Answered
2012-07-01
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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?

Answer

[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 Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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