At a holdings level, we have two big types of exposure:

For Regulatory purposes, we have various calculations:

These calculations differ as regards how we can apply netting and hedging and as regards to cash and “risk-free” assets. A summary is set out in the table below.

In HighWire, economic exposure is calculated as:

Quantity * Contract Size * Price of Underlying Assets * Delta / Underlying FX Rate.

	AIFMD AUM (i)	AIFMD Gross	AIFMD Commitment	UCITS Global Exposure using Commitment Approach	UCITS Notional
Calculation Level	Portfolio	Portfolio	Portfolio	Derivatives (ii)	Derivatives
Delta Adjustment	Yes	Yes	Yes	Yes	No
Netting / hedging	No	No	Yes	Yes	No
Currency hedging (e.g. FFX)	No	No	Yes	Yes	No
Risk free assets	No	Yes	No (iii)	No(iii)	No
Liabilities	Exclude	Include (iv)	Include (iv)	Include (iv)	n/a
Shareclass hedging	Exclude	Exclude	Exclude	Exclude	Exclude

(i) Investment into other group CIS are also excluded for AUM purposes.
(ii) Whilst UCITS considers leverage from derivatives, but in practice calculations have regard to equities, bonds etc. as regards netting and cash and cash equivalents and to reinvestment of collateral.

(iii) However, long derivative exposure can be offset by “cash and cash equivalents.”

(iv) Exemptions apply for borrowing meeting criteria.

As regards the different calculations, we should expect the following:

Expectation	Explanation
AUM should be greater than NAV	AUM does not include any liabilities and hence must be greater than the NAV. Note, this does means it has to include sundry receivables.
AUM should be greater than AIFMD Commitment	AUM does not include any liabilities. It does not reduce long derivatives exposure by cash and risk free assets It does not have netting and hedging. It does not restrict currency derivative exposure to incremental exposure only. Note, one scenario where AUM may be less than NAV, AIFMD Commitment and AIFMD Gross is where there is investment into other group CIS, as these are excluded for AUM purposes.
AUM should be greater than AIFMD Gross	AUM does not include any liabilities. It does not exclude cash and risk free assets.
UCITS Commitment Exposure should not be less than zero	UCITS Commitment exposure only measures the incremental leverage. It does not measure deleverage and hence the incremental UCITS commitment exposure should not be less than 0%.
All of the above should be greater than zero.	We would expect this in all cases except where there is a negative NAV (e.g. leveraged property funds).

Note, one scenario where AUM may be less than NAV, AIFMD Commitment and AIFMD Gross is where there is investment into other group CIS, as these are excluded for AUM purposes.