UCITS IV Reporting

UCITS in particular have seen an array of regulations, at European and local levels, requiring to put in place risk management procedures and internal controls and to implement systems for measuring and managing risks.

Main Features

Methodologies and functionality

  • Global exposure is measured using the Commitment and the Value-at-Risk (VaR) approaches
  • Concentration risk for all positions carrying issuer risk can be assessed both through the commitment approach and the maximum loss approach
  • Counterparty risk is effectively addressed for all positions
  • Changes in market liquidity conditions (Assets Liquidity Risk) are managed through the calculation of liquid and non-liquid exposures
  • The terms of redemption rights by the investors (Funding Liquidity Risk) assessed via the Liquidity Coverage Ratio (LCR)
  • Very flexible and powerful stress testing module allowing users to develop appropriate stress methodologies and scenarios
  • The generation of the risk monitoring reports is based on a highly sophisticated and user friendly web-based business intelligence platform, providing features like automatic reporting delivery, detailed drill down to the lowest level of analysis, and ad-hoc creation of new reports

Interfaces and Reconciliation

  • Direct link with data vendors for time series uploading and instruments definition
  • Interface with other portfolio management and accounting systems for electronic deal and other transactions import
  • Reconciliation with administrator or custodian for daily reconciliation of portfolio valuations, cash balances and NAV

Reporting package includes:

  • Total Risk report
  • Global exposure summary and detailed (VaR approach)
  • Global exposure summary and detailed (commitment approach)
  • Marginal Risk Decomposition
  • Stress Testing Analysis
  • Back Testing
  • Derivatives exposure and PnL
  • Derivatives variation margin