ESMA · ESMA_QA_1198 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

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

Answer

[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 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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