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Version date: 2 June 2016 - onwards
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ID 1064 (Last update: 02/06/2016)

Q. The Central Bank's guidance - UCITS and AIF Share Class Hedging - provides inter alia that over-hedged positions should be included in calculations of global exposure. Should over-hedged positions be included when leverage is calculated: as the sum of the notionals (where a UCITS uses a VaR approach to calculate global exposure); in calculations of counterparty risk; and, in calculations of concentration exposures?

A. Yes, over-hedged positions should be included in these calculations.

Comparing proposed amendment...