ESMA launched a consultation (closing on 22 October 2014) on the calculation of counterparty risk by UCITS which enter into OTC derivative transactions which need to be centrally cleared under the European Markets Infrastructure Regulation (EMIR). UCITS may invest in both exchange-traded derivatives (ETDs) and OTC derivatives and 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.