Version date: 14 March 2018 - onwards
  Version 9 of 9    

Appendix 1 Calculation of Global Exposure using the VaR methodology

Relative VaR methodology

1. Under the relative VaR methodology the global exposure of the Retail Investor AIF is calculated as follows:

(a) Calculate the VaR of the Retail Investor AIF's current portfolio (which includes derivatives);

(b) Calculate the VaR of a reference portfolio;

(c) Check that the VaR of the Retail Investor AIF's portfolio is not greater than twice the VaR of the reference portfolio in order to ensure a limitation of the global leverage ratio of the Retail Investor AIF to 2. This limit can be presented as follows:

2. The reference portfolio and the related processes shall comply with the following criteria:

(a) The reference portfolio should be unleveraged and should, in particular, not contain any FDI or embedded FDI, except that:

a Retail Investor AIF engaging in a long/short strategy may select a reference portfolio which uses FDI to gain the short exposure; and

a Retail Investor AIF which intends to have a currency hedged portfolio may select a currency