United States: The Derivatives Exposure Equation
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Our last post provided a big
picture summary of the steps required to calculate a Fund’s “derivatives exposure” for purposes of new Rule 18f-4. The post may have
left an impression that this process should not be that difficult.
To provide additional perspective, we offer the following equation
for calculating derivatives exposure.
If interest rate and currency hedges satisfy the following
condition:
Then a Fund will be a limited derivatives user when:
Where: Continue reading the
full blog post at The Asset Management ADVocate
The content of this article is intended to provide a general
guide to the subject matter. Specialist advice should be sought
about your specific circumstances.
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