Introduction to Fund Pricing and Valuation - 20/06/2017
The Training Environment For Financial Services

Introduction to Fund Pricing and Valuation

20 Jun 2017, London

9:30am to 4:30pm

Course Outline & Objectives

Fund Managers, Administrators and Depositaries all need to ensure funds are fairly and accurately priced. Today, this is a greater challenge than ever because of a wider range of assets, increased number of share classes and the challenges of market volatility. Demands for increased efficiency and robust risk management processes only add to the complexity.

This focused one day workshop will provide delegates with a thorough understanding of NAV calculation, the challenges of share class accounting, illiquid securities, fair pricing and derivatives. The course will concentrate on pricing errors with examples and the measures that could be used to identify and prevent them.

The course will give practical answers to questions such as:

  1. How can I prevent pricing errors?
  2. What controls does the depositary expect?
  3. What do I do if I have a pricing error?
  4. How much can I outsource?
  5. What oversight arrangements should I have?
  6. How do I handle derivatives?
  7. What are the challenges with volatile markets?
  8. What should be in the service level agreement?

Who will benefit?

This event will be of value to anyone seeking a practical introduction or refresher to fund accounting. This will include individuals responsible for fund accounting, valuation, taxation, oversight and operations at Fund Managers, Depositaries and Third Party Administrators.

Training Approach

This workshop uses a combination of trainer input, interactive syndicate work and case studies. Group size is kept to a maximum of 16 to ensure a high quality learning environment.

Course Tutor

Mark Seaman has worked in fund administration in London, Dublin and Luxembourg since 1982, and has occupied senior fund administration positions at Schroders and Friends Provident. For the past eighteen years he has worked as a fund administration consultant, advising over 40 UK and international firms. He has set up the fund accounting arrangements for companies such as Barclays Wealth, Towry, Close and Santander. Mark has an MA from the University of Cambridge and is a Chartered Fellow of the Chartered Institute for Securities and Investments.

Course Programme

Session Content
Introduction to fund valuation
  • How is a fund valued?
  • Key components of the NAV
  • Dual and single pricing
  • Creation and cancellation of units
  • Forward pricing
  • Valuation points
  • Role of the FCA
Share class accounting
  • Why have different share classes?
  • Apportionment of capital and income
  • Currency share class hedging
  • Controls over share class accounting
  • Apportionment of capital and income
  • Currency share class hedging
  • Controls over share class accounting
Difficult to price securities
  • What securities cause difficulty?
  • Valuation techniques
  • Asset backed securities
  • OTC derivatives
  • Key controls
Dilution levies and swinging pricing
  • How dilution occurs
  • Dilution levies -v- swinging pricing
  • Developing an effective dilution policy
  • Dealing fairly with institutional and retail investors
Fair valuation techniques
  • When Fair Valuation Pricing (FVP) is needed
  • Market timing
  • Applying FVP 
  • International best practice
  • Controls and governance over FVP
  • Avoiding FVP
Developing effective control environments
  • Controls over valuation of individual securities
  • Income and expense accruals
  • Daily fund level checks
  • Periodic checks
  • SAS70
Pricing errors
  • What is a pricing error
  • How pricing errors arise
  • Key controls for early identification
  • Process for resolution of pricing errors 
  • Compensation calculations
Performance fees
  • Calculating performance fees
  • Target benchmarks and hurdle rates
  • Internal procedures and controls
  • Why use performance fees
Effective yield
  • Effective yield -v- coupon basis  
  • Effective yield accounting  
  • Illustrative calculations  
  • Practical challenges
  • Trade capture and processing  
  • Marking to market or model  
  • Using pricing models  
  • Accounting for derivatives as capital or income
  • Taxes applicable to UK authorised funds  
  • UK -v- Ireland & Luxembourg 
  • The Investment Management Exemption  
  • Equalisation
  • What is UCITS IV?  
  • Master feeder structures  
  • Master feeder requirements and challenges
Report & Accounts
  • Contents of long and short form 
  • Risk disclosures  
  • Role of the SORP
Roles and Expectations of the Depositary
  • Review of the managers systems and controls  
  • OTC derivative valuation  
  • Pricing errors  
  • Dilution policies and FVP
Governance of fund accounting
  • Service Level Agreements  
  • Identification of key SLAs  
  • Key Risk Indicators 
  • Key Performance Indicators

This course can be delivered in-house at a time and location to suit your business and tailored to suit your people and organisation. We can also create bespoke training when something very specific is needed.Please contact us to discuss your requirements in more detail and at no obligation.

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