| NAV | DERIVATIVE EXPOSURE | |
|---|---|---|
| CASH | 20,000 | |
| EQUITIES | 80,000 | |
| NAV | 100,000 |
The fund has £100,000 of NAV, but 20% has been left in cash and only 80% invested.
DAY 2
The fund has now taken an additional 20,000 exposure through derivatives. 20% has been left in cash and only 80% invested.
| NAV | DERIVATIVE EXPOSURE | |
|---|---|---|
| CASH | 20,000 | |
| EQUITIES | 80,000 | |
| DERIVATIVES | 0 | 20,000 |
| NAV | 100,000 |
Note: In this example, we also consider the AIFMD Gross Exposure.
AIFMD GROSS EXPOSURE
On Day 1, the AIFMD Gross Exposure is 80%, as the 20,000 cash and cash equivalent are not included; and
On Day 2, the AIFMD Gross Exposure has increased to 100%, being 100,000 exposure and with the 20,000 cash and cash equivalent not being included.
·
UCITS COMMITMENT EXPOSURE
On Day 1, the AIFMD Commitment Exposure is 100% – as there are no derivatives;
On Day 2, the AIFMD Commitment Exposure is still 100%. The 20,000 cash is still included along with the 80,000 equities, but the Derivative exposure is not included as it is offset by the cash.
UCITS GLOBAL EXPOSURE
On Day 1, the UCITS Global Exposure is 0% – as there are no derivatives;
On Day 2, the UCITS Global Exposure is still 0%; the Derivative exposure is not included as it is offset by the cash.
FUNDS-AXIS VIEW
The Funds-Axis view is that the AIFMD Gross Exposure is preferable to the AIFMD Commitment Exposure and to the UCITS Global Exposure. It is equally important to know where portfolios are deleveraged as this helps in understanding whether they are meeting their investment objectives
