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Version status: In force | Document consolidation status: Updated to reflect all known changes
Version date: 27 May 2019 - onwards
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Schedule 4 Calculation of Global Exposure using the Value at Risk (VaR) Approach

Regulation 19

1. The responsible person shall calculate global exposure under the relative VaR approach, as follows:

(a) calculate the VaR of the UCITS current portfolio, including derivatives;

(b) calculate the VaR of a reference portfolio;

(c) verify that the VaR of the UCITS portfolio is not greater than twice the VaR of the reference portfolio in order to ensure a limitation of the global leverage ratio of the UCITS to 2. This limit shall be presented as follows:

2. The UCITS responsible person shall ensure that the reference portfolio and the related processes comply with the following criteria:

(a) The reference portfolio should be unleveraged and should, in particular, not contain any FDI or embedded FDI, except that -

(i) a UCITS engaging in a long/short strategy may select a reference portfolio which uses FDI to gain the short exposure, and

(ii) a UCITS which intends to have a currency hedged portfolio may select a hedged index as a reference portfolio;

(b) The risk profile o

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