| NAV | DERIVATIVE EXPOSURE | |
|---|---|---|
| CASH | 0 | 0 |
| EQUITIES | 10,000 | |
| DERIVATIVES | -1,000 | 9,000 |
| NAV | 9,000 |
The portfolio has £10,000 Equities and has taken an additional £10,000 leverage through derivatives.
However, the price of the underlying of the derivatives has fallen by 10% leaving the derivative exposure at £9,000 and with an unrealised loss of -£1,000
AIFMD COMMITMENT EXPOSURE
The fund has total exposure of £19,000 (10,000 equities and 9,000 derivatives). The NAV is £9,000.
Therefore, the AIFMD commitment exposure is 211.11% (111.11% incremental exposure).
UCITS GLOBAL EXPOSURE
The UCITS Global Exposure is 100%, being £9,000 derivative exposure / £9,000 NAV. This 100% is in compliance with the Regulations.
FUNDS-AXIS VIEW
The AIFMD Commitment Exposure calculation is preferable. The UCITS Global Exposure calculation as 100% is not an appropriate calculation of leverage.
The fund has total exposure of £19,000 and the NAV is £9,000, therefore £10,000 leverage. All of that leverage stems directly from the use of derivatives. Therefore, it makes sense that the UCITS Global Exposure should be 111.11% which is non-compliant.
