| NAV | DERIVATIVE EXPOSURE | |
|---|---|---|
| FUTURE 1 | 10,000 | 110,000 |
| FUTURE 2 | 10,000 | |
| EQUITIES | 100,000 | |
| NAV | 110,000 | 220,000 |
The portfolio has £100,000 Equities. It has taken another £100,000 of exposure through Future 1.
However, the price of the underlying of Future 1 has increased by 10% giving derivative exposure at £110,000 and with an unrealised gain of £10,000. There is also a second future of 10,000 exposure with 0 unrealised gain/loss.
AIFMD COMMITMENT EXPOSURE
The AIFMD Commitment Exposure is 200% (100% incremental leverage), being £220,000 portfolio exposure over £110,000 NAV.
UCITS GLOBAL EXPOSURE
Whilst the AIFMD calculation of 100% incremental leverage would be in keeping with the regulatory limits, the UCITS Global Exposure is 109%, which is not in compliance with the regulatory limits. This is calculated as the derivative exposure of £120,000 / £110,000 NAV.
FUNDS-AXIS VIEW
The AIFMD Commitment Exposure calculation is preferable. It is a more accurate expression of the total leverage of the fund.
The fund has total exposure of £220,000 and the NAV is £110,000. There is therefore £110,000 leverage (100%). All of that leverage stems directly from the use of derivatives.
