Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
More than 100 European Union funds are sitting on gross credit default swaps exposures that exceed their net asset value (NAV), a European Systemic Risk Board (ESRB) study shows. Seventeen funds have exposures that are five times their NAV, and 19 are over 10 times.
Out of a sample of more than 18,600 Ucits funds analysed as of end-2016, 1,337 were found to use CDS, consuming a combined €387
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