• Total Exposure

Total Exposure

The Investment Manager defines “Total Exposure” to be the total absolute market value of all long and short positions of the Partnership, excluding cash, cash equivalents and hedging positions that have the sole purpose of reducing the risk of loss and/or volatility within the Partnership’s portfolio. For the purpose of calculating Total Exposure:

  1. The market value of all derivative positions not treated as a hedge will be calculated using the notional value at risk of the derivative contract.
  2. The market value of rate and debt futures, not treated as a hedge will be calculated by converting the futures position to the equivalent notional position of government ten year bonds (using DV01).
  3. For options, the delta of the option will be used to convert the option position to the equivalent of the underlying.

For the purposes of concentration limits, short rate debt futures aggregated as per item (2) will be considered a government bond position.