UCITS IV - Derivatives and Risk Management

Course Code:	UDR 1109
Dates:	On a date of your choice
Venue:	Central / City of London
Course Fees:	Available on application
CPD Credits:	6 hours

Course Outline & Objectives

The use of derivatives has increased considerably in UCITS funds in recent years and they now play an important role in many Managers' investment strategies. The rules governing derivatives use in UCITS present a range of technical, compliance and operations challenges and, with new provisions under UCITS IV coming into force in July 2011, it is critical authorised fund professionals are clear about when they apply and how.

This practical course will provide those attending with a thorough understanding of how derivatives can be used under UCITS, including the updated UCITS IV provisions on:

calculating global exposure
risk management processes
regulatory reporting

By means of a an interactive, workshop style approach, delegates will consider real UCITS portfolios and calculate the exposure arising in each case. This includes portfolios with a range of futures, options and swaps used for both hedging and investment purposes, including long/short funds and 130/30.

Attend both our related courses on

UCITS Eligible Assets

and

UCITS IV - Derivatives & Risk Management

for just £1,000 plus VAT for both days.

To take advantage of this special saving
Telephone 020 3170 5779 or email enquiries@ctp.uk.com

Who will benefit?

This course will be of value 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

Course Leader: Darren Burrows

Darren Burrows, Managing Director of Funds-Axis, is a law graduate and qualified chartered accountant and has over 10 years financial services and fund management experience. Prior to forming his own specialist authorised funds consultancy, was Head of Funds Compliance at a leading trustee company. Darren's areas of specialism include derivatives and eligible assets under UCITS III, fund accounting and implementation of investment restriction monitoring systems. He is also a member of the Chartered Institute for Securities and Investment.

Course Programme

Session	Content
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
Global Exposure – Commitment Approach	Understanding the UCITS leverage and global exposure limits Commitment approach calculations Long/short strategies and acceptable hedging and netting strategies Where the commitment approach will not be acceptable Changes required to Manager’s investment compliance monitoring systems Impact of CESR’s Guidelines on Manager’s operating and reporting frameworks
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. This sessions will compare UCITS IV provisions to current practice and also 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
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
Cover Requirements for Financial Derivates	Requirements to be able to cover delivery and payment obligation Monitoring requirements Illustrative examples
Structured Products	Rules applicable to transferable securities “embedding a derivative” CESR’s initial views on specific guidelines for structured UCITS CESR’s plans to perform further work

Booking

If you are interested in booking this course, or if you have any questions, please call call us on 020 3170 5779.

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