The European Securities and Markets Authority (ESMA) has published a questions and answers paper on risk measurement and calculation of global exposure and counterparty risk for UCITS.
The questions and answers are set out under the following headings:
- hedging strategies;
- disclosure of leverage by UCITS;
- concentration rules;
- calculation of global exposure for fund of funds; and
- calculation of counterparty risk for exchange-traded derivatives and centrally-cleared over-the-counter transactions.