Thread by @jeuasommenulle

I think I have just read the most hilarious piece of regulation ever. It's called "Duration netting rules" for leverage calculation in the AIFM (alternative funds) directive. A quick thread.

This is for funds that primarily do interest rate derivatives. So you take each derivative you have and calculate its "Equivalent underlying asset position". The definition of target duration is pure gold, but that's not my point here.

THEN, you map your derivatives into maturity buckets.

THEN you have to calculate a sophisticated sum of netted values

AND THEN COMES THE MAGIC. WHAT DO YOU DO WITH THAT NUMBER ?

Yes, you've read that right. You multiply it by 0.

BY F*** ZERO.

Seriously, who writes this ???????????

@SMTuffy I think this means a LOT for FinReg, especially sanity wise.