+Artikel 11 Duration-Netting-Regelungen
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Artikel 11 Duration-Netting-Regelungen

1. Übersicht

Bezeichnung	Regulierung
Article 11 1.	Duration netting rules shall be applied by AIFMs when calculating the exposure of AIFs according to Article 8(9).
Article 11 2.	The duration-netting rules shall not be used where they would lead to a misrepresentation of the risk profile of the AIF. AIFMs availing themselves of those netting rules shall not include other sources of risk such as volatility in their interest rate strategy. Consequently, interest rate arbitrage strategies shall not apply those netting rules.
Article 11 3.	The use of those duration-netting rules shall not generate any unjustified level of leverage through investment in short-term positions. Short-dated interest rate derivatives shall not be the main source of performance for an AIF with medium duration which uses the duration netting rules.
Article 11 4.	Interest rate derivatives shall be converted into their equivalent underlying asset position and netted in accordance with Annex III.
Article 11 5.	An AIF making use of the duration-netting rules may still make use of the hedging framework. Duration netting rules may be applied only to the interest rate derivatives which are not included in hedging arrangements.

Anforderungen
Quelle	Anforderung

Standards
Quelle	Anforderung

Builddate: 12.02.2024 00:00:00 -Doknr: CELEX:32013R0231
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