(1) A responsible person that calculates the global exposure of a UCITS using the VaR approach shall consider all of the positions of the UCITS portfolio.
(2) A responsible person shall at all times set the maximum VaR limit of a UCITS according to its defined risk profile.
(3) A responsible person shall ensure that a UCITS that uses the VaR approach uses -
(a) the relative VaR approach, or
(b) the absolute VaR approach,
whichever is the most appropriate methodology given the risk profile and investment strategy of the UCITS to calculate global exposure as set out in Schedule 4.
(4) For the purposes of paragraph (3) -
(a) a responsible person shall ensure that there is consistency in the choice of the type of VaR used by the UCITS, and
(b) the decision as to whether to use the relative VaR approach or the absolute VaR approach, and the assumptions underlying that decision, must be documented fully by the responsible person.
(5) A responsible person shall ensure that -
(a) the VaR appro
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