Methodology note
Leverage methodologies: gross exposure, notional and borrowing ratios
Leverage is exposure divided by NAV, and the number depends on how exposure is counted. The registry offers three named methodologies: gross exposure, notional and cash borrowing. None of them is the AIFMD commitment method, so a leverage limit must name its methodology rather than just say "leverage".
leverage_limit · Gross exposure limitgross_exposure · Gross and net exposure limitsgross_net_exposureThe three methodologies
- Gross exposure ratio: the sum of absolute signed exposures, over NAV.
- Notional ratio: the sum of absolute notionals over NAV, falling back to market value where no notional is stated, and disclosing it.
- Borrowing ratio: the negative balances in the named cash classes, over NAV.
A borrowing ratio needs its cash classes named. Without them there is nothing to measure, and the result is not applicable.
How they compare with AIFMD
AIFMD measures leverage two ways. The gross method converts derivatives into equivalent positions and excludes certain cash, and the commitment method lets qualifying hedging and netting offset.
The registry's gross ratio does not apply the gross method's cash exclusions, and its notional ratio does not apply the commitment method's netting. Treat them as named internal measures; see the gross method and the commitment method.
Pitfall: a notional on every position
The notional ratio is only proven when every position states a notional. A holding that falls back to market value leaves the measure unproven, and the rule reads not evaluated.
So a feed for a notional limit should carry a notional for cash securities too, usually their market value. The example does that, and the result is a proven 248%.
Pitfall: overdrafts shrink NAV
A borrowing ratio divides by NAV, which the overdraft itself reduces. An overdraft of 200 against stocks of 1,200 is 20% of a NAV of 1,000, not 16.7% of the stocks.
Worked example
With a notional stated on both positions, the future's 1,500 and the shares' 980 total 2,480 on a 1,000 NAV: 248%, over a 200% cap.
Rule template:leverage_limit methodology: notional_ratio
Bounds: hard max 200%
| Holding | Class | Market value | Notional |
|---|---|---|---|
| Equity index future | Derivatives | 20 | 1,500 |
| Listed equities | Stocks | 980 | 980 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Leverage | Breach | 248% | ≤ 200% | -48% | ABOVE_HARD_MAXIMUM |
ABOVE_HARD_MAXIMUM: The measured value exceeds the approved hard maximum, beyond any stated tolerance.
Largest contributors: Leverage → Equity index future 150%, Listed equities 98%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
Questions
Is the registry's gross ratio the same as AIFMD gross leverage?
No. It does not apply the AIFMD gross method's cash exclusions, so treat it as a named internal measure.
What does a 10% borrowing limit measure?
Negative cash balances as a share of NAV. Overdrafts in classes not named as cash are not counted, so name every cash class.
Sources
- Commission Delegated Regulation (EU) No 231/2013, Art 7 (gross method), UK version on legislation.gov.uk · OGL v3.0 · Read on12 October 2026
- Commission Delegated Regulation (EU) No 231/2013, Art 8 (commitment method), UK version on legislation.gov.uk · OGL v3.0 · Read on12 October 2026