UCITS IV and AIFMD Derivatives and Risk Management

Training

Blended learning in London

£ 400 + VAT

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

London
See map
31 Southampton Row, WC1B 5HJ

Start date

Different dates availableEnrolment now open

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

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Reviews

Subjects

  • Regulatory Compliance
  • Investment Management
  • Risk Management

Teachers and trainers (1)

Darren Burrows

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

£ 400 + VAT