We provide comprehensive UCITS & AIFMD Derivatives and Risk Management Monitoring Software to cover all the regulatory requirements.
This includes coverage for the UCITS and AIFMD Directives, FCA Derivatives Use Reporting requirements and, for example, for the SEC Liquidity Risk Monitoring requirements.
In addition to monitoring against regulatory limits, clients can also easily set their internal risk limits for each portfolio.
This includes full coverage for all assets types and full performance of all calculations including, for example, calculations in respect of delta-adjustment, netting and hedging, risk free assets etc.
Our UCITS & AIFMD Derivatives and Risk Management Monitoring Software includes:
- Leverage, including all UCITS and AIFMD calculations
- Value-at-risk Analysis
- Counterparty risk
- Liquidity risk
(including for US SEC Modernization)
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DERIVATIVES
We accurately and transparently monitor for derivatives in accordance with the UCITS and AIFMD provisions. This includes time-series reporting for:
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
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