UCITS IV and AIFMD Derivatives and Risk Management
Training
Blended learning in London
Description
-
Type
Training
-
Level
Intermediate
-
Methodology
Blended
-
Location
London
-
Class hours
7h
-
Duration
1 Day
-
Start date
Different dates available
Delegates attending this course will gain a detailed understanding of the UCITS and AIFMD derivatives and risk management rules, including:
• global exposure
• counterparty exposure; and
• cover requirements
The UCITS commitment exposure and notional leverage requirements are now closely reflected in the AIFMD commitment and gross method exposure calculations. These calculations will be fully reviewed.
There will also be a detailed review of:
• UCITS and AIFMD liquidity monitoring
• UCITS and AIFMD Risk Management Process requirements
• AIFMD Annex 4 Reporting requirements
The training course will follow an interactive, workshop style approach.
Facilities
Location
Start date
Start date
About this course
This course will be of value to people in a range of roles within authorised fund firms and their advisers, including:Fund Managers, Risk Analysts, Compliance Managers, Product Development specialists, Lawyers, Trustees
Reviews
Subjects
- Regulatory Compliance
- Investment Management
- Risk Management
Teachers and trainers (1)
Darren Burrows
Managing Director
Darren is a law graduate, qualified chartered accountant and Member of the Chartered Institute for Securities & Investment. He has 20 years financial services and fund management experience, including with Big 4 Accountancy firms and with leading depositary banks. His specialist focus is UCITS and AIFMD Fund regulation, specifically as regards investment compliance and risk management. Darren is the founder of Funds-Axis and has delivered the vision for the industry-leading FundWare solution for integrated investment compliance, regulatory reporting and risk.
Course programme
Session: Position (Issuer- Concentration Risk)
UCITS position (issuer-concentration) limit rules
The need to “look-through” derivatives
Exceptions for derivatives on financial indices
Calculations for the commitment approach for different instrument types
Converting derivatives into the equivalent position in the underlying assets–UCITS IV Guidelines
Acceptable hedging and netting strategies
Session: Global Exposure – Commitment Approach and Notional / Gross Methods Regulations
Understanding the UCITS and AIFMD leverage calculations Commitment approach calculations
Long/short strategies and acceptable hedging and netting strategies
Where the commitment approach will not be acceptable
Impact of ESMA’s Guidelines on Manager’s operating and reporting frameworks
AIFMD commitment and gross method calculations
Session: Global Exposure – VaR Approach
UCITS IV sets out provisions in respect of the use of Value-at-Risk methodologies, stress testing, back testing and the reporting of overruns to the regulatory authorities. In this session we will consider:
Where VaR must be used
Choice between Relative and Absolute VaR
Setting of confidence intervals, time horizons and loss-levels
Selection of stress testing scenarios
Meeting back-testing challenges
Management and Regulatory reporting
VaR disclosures in the Prospectus and Report and Accounts under UCITS IV
Session: Counterparty Risk
UCITS counterparty exposure limits
Changes in calculation methodology that will be required pursuant to UCITS IV
Criteria for utilizing netting and collateralization
High level principles relating to assets that may be used as collateral
The need to take account of broker exposure
Counterparty risk when OTCs are novated to central clearing
Session: Cover Requirements for Financial Derivates
Requirements to be able to cover delivery and payment obligation
Monitoring requirements
Illustrative examples
Session: Risk Management Process documentation
Following UCITS IV and AIFMD, Managers must have in place a Risk Management Function and documented Risk Management Process. These requirements apply even where only Forward FX is used or indeed where no derivatives are used. This session is a practical review of the governance and risk management requirements and of the documentation that Managers should now have in place.
We will also consider practical examples for meeting the UCITS and AIFMD Internal Risk Limit Systems requirements and liquidity risk management arrangements.
Session: AIFMD
AIFMD Calculations of NAV / AUM for threshold purposes
AIFMD Gross and Commitment method exposure calculations
AIFMD Risk Management requirements
AIFMD Annex 4 Regulatory and Investor Disclosures
UCITS IV and AIFMD Derivatives and Risk Management