It is not very clear how to treat investment level leverage in a fixed income unleveraged AIF. The fund is private debt (loan) fund that engineers the fund by putting a "loan-on-loan" term financing on the debt originating platform level, an Irish DAC company, (as opposed to the leverage in the fund's consolidated structure). Because the bank term loan is on the SPV level, and because the fund consolidates equity, rather than full conso of its assets (US GAAP), only portfolio underlying loans equity value is appearing in look through, and his debt is not being seen neither in fund's financial statements, nor in fund's investor reporting, nor Look-through file. Fund's prospectus confirms fund being unleveraged AIF, and fund manager refers to investment level debt ("back loan"). How is this investment level to be treated in the fixed income framework from perspective of spread module, FX if any, and interest rate module: Should capital charge be calculated on the basis that can be estimated as being fund's GAV ("gross asset value") after multiplication of funds NAV by the LTV of the SPV which would approximate our true exposure of the underlying loans, rather than equity value? Or is it sufficient to put capital charge on the NAV? If it would be an equity investment , the answer would be clear. However it is not clear in a framework of fixed income fund.