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

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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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