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Derivatives Exposure
Introduction

HighWire offers an all-encompassing solution for derivatives management. Our platform encompasses pivotal aspects such as:

  • Leverage
  • Value-at-Risk (Market Risk)
  • Counterparty risk monitoring

In this section, we’re putting the spotlight on leverage. It’s important to note that the UCITS and AIFMD Regulations present distinct concepts of:

  • UCITS Global Exposure
  • UCITS notional exposure
  • AIFMD AUM calculations
  • AIFMD Commitment Exposure
  • AIFMD Gross Exposure

For a concise comparison of these differences, please click here. Rest assured, all these calculations are seamlessly handled within our application.

Moreover, leverage calculations play a significant role in prospectus rules. For example, diversification rules require considering exposure through derivatives. Trust HighWire to guide you through these complexities with ease.

ATLAS Funds Training
Derivative Regulatory Information

Derivative Regulatory Information

Explore Derivative Regulations under the UCITS and AIFMD frameworks with ATLAS Funds Training. Our platform provides an in-depth look at each regulation, offering all the essential information you need to understand these exposure concepts.

We link directly to primary legislation as published by regulators, ensuring you have access to the most authoritative and current information. Additionally, our ATLAS portal offers:

  • Links to Regulations
  • Funds-Axis Commentary
  • White Papers
  • Worked Examples
CLICK TO EXPLORE EU EXPOSURE RULES
Derivatives e-Learning Hub

Derivatives e-Learning Hub

Enhance your expertise in UCITS Derivatives rules with our comprehensive suite of online courses. Ideal for fund management and investment banking professionals, these courses includes case studies and practical examples.

Courses include:

  • Introduction to Derivatives
  • Leverage (Commitment / Gross)
  • Counterparty Exposure
  • UCITS Derivatives Rules
  • UCITS & AIFMD Risk Management
  • Value at Risk (VAR)
CLICK TO VIEW E-LEARING COURSES
Calculations
  • Overview of derivatives exposure in FundWare
  • Currency derivatives and need to book on two legs
  • Exposure where market exposure is combined with FFX trades
  • Why we recommend use calculated NAV rather than official NAV when calculating leverage
  • Setup of Dollar Index Futures and decomposition into underlying currencies
  • Overview of Swaps and different treatment of swaps with single underlying vs. swapped assets
Standard Contracts

The system is configured to automatically recognise several hundred standard futures contracts including equity index futures, government bond futures, commodity and currency futures and to be able to calculate the exposure for them and treat them correctly for investment compliance and regulatory reporting purposes.

Click here for details of the standard contracts process.

Governance

Derivatives are complex and require a range of data, including in respect of exchange, counterparty, underlying contracts, contract sizes, underlying prices, deltas etc. Accordingly, we recommend that clients perform a range of governance in respect of derivatives, Funds-Axis perform this range of checks as part of our Managed Services for managed service clients.

For the daily derivatives checklist click here.