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ESMA consults on counterparty risk calculation methods for UCITS subject to central clearing 

July 29, 2014

The European Securities and Markets Authority (ESMA) has launched a consultation on the calculation of counterparty risk by UCITS which enter into OTC derivative transactions that need to be centrally cleared under the European Markets Infrastructure Regulation (EMIR).

The UCITS Directive allows UCITS to invest in both exchange-traded derivatives (ETDs) and OTC derivatives. However, only investments in OTC derivatives are subject to counterparty risk exposure limits. 
The discussion paper is seeking stakeholders’ views on how the limits on counterparty risk in OTC derivative transactions that are centrally cleared should be calculated by UCITS, and whether the same rules should be applied by UCITS for both centrally cleared OTC transactions and ETDs. 

Read more: HedgeWeek

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