Experts find holes in funds’ argument for higher US VAR caps

Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users


An influential body representing regulated funds has urged the US Securities and Exchange Commission to raise its proposed value-at-risk limits, citing in part the market volatility caused by Covid-19. But a number of risk experts, including a former SEC regulator, are unconvinced by the industry’s arguments.

Last November, the SEC laid out a plan for introducing VAR-based leverage limits on funds that use derivatives. The VAR of a fund’s entire portfolio would be capped at 150% of the VAR of

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