Commitment Exposure – UCITS and AIFMD
Notional Exposure – UCITS
AUM calculated under Article 3 – AIFMD
Gross Exposure – AIFMD
Value-at-Risk
OUR DERIVATIVES FUNCTIONALITY CAN BE SUMMARISED AS FOLLOWS:
FUNCTIONALITY
Look through to underlying of derivative, including for UCITS position (issuer-concentration) risk
De-composition of indices and baskets (required for shareholder disclosure rules)
Global Exposure commitment approach in accordance with ESMA guidelines for UCITS and AIFMD, including for netting and hedging
Notional Leverage / Gross Method calculations in accordance with ESMA Guidelines for UCITS and AIFMD
Counterparty Exposure calculation in accordance with ESMA guidelines, including for netting and collateral
Cover monitoring for cash and physically settled derivatives
Re-calculation of derivatives valuation
Collateral monitoring
Change identification – identification of new instruments, strategies, exchanges, and counterparties used on funds