National Instrument 81-102 Investment Funds
Part 1 Definitions and Application
Section 1.1 Definitions

underlying market exposure

“underlying market exposure” means, for a position of an investment fund in

(a) an option, the quantity of the underlying interest of the option position multiplied by the market value of one unit of the underlying interest, multiplied, in turn, by the delta of the option,

(b) a standardized future or forward contract, the quantity of the underlying interest of the position multiplied by the current market value of one unit of the underlying interest; or

(c) a swap, the underlying market exposure, as calculated under paragraph

(b), for the long position of the investment fund in the swap.