Calculation of leverage by UCITS : CSSF Press release

As announced in their annual report 2011 (see our newsletter dated July 2012) and following the release by ESMA of its Q&A relating to the Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS ("2012/ESMA/429"), the CSSF published yesterday a press release on its website. In this press release, the CSSF provides clarification in terms of the determination of leverage and its disclosure in the prospectus and the annual report for the UCITS determining the global exposure as per Article 42(3) of the Law of 17 December 2010 on undertakings for collective investment through a value-at-risk (VaR) approach. The CSSF clearly states that the sum of the notionals' approach is now the standard reference. 

An English translation of the press release is available on our website.