Implement an end-to-end 18f-4 compliance program leveraging FactSet’s leading multi-asset class risk models and portfolio analytics suite of products
Funds must adopt a written DRMP with risk guidelines and appoint a derivatives risk manager (DRM). DRMP must include stress testing, backtesting, internal reporting and escalation, and program review.
“Relative VaR Test” – fund VaR limited to less than or equal to 200% of the VaR of an unleveraged designated index or “Absolute VaR Test” – fund VaR limited to less than or equal to 20% of the fund’s NAV exclusive of derivative transactions.
Funds with derivatives exposure of less than or equal to 10% of NAV (LDU test) must have a written policy but are exempt from most program requirements.
Broad recordkeeping requirements for all backtesting and stress testing results, breaches, reports, etc.
Direct reporting by DRM to Board on program implementation, stress testing effectiveness, and breaches.
Leveraged/inverse funds in operation as of October 28, 2020, are not subject to new leverage limits.
Utilize FactSet’s multi-asset class risk models and portfolio analytics tools to implement an 18f-4 compliance operating model. FactSet enables relative and absolute VaR tests, stress testing, and backtesting, with associated monitoring and reporting capabilities on a single platform, supported by risk and regulatory subject matter experts.
Benefit from our catalog of multi-asset class risk models to drive your risk calculations and analysis including VaR, with the option to include your own custom models. Have the ability to backtest and stress test each fund in your program as demanded by the new regulation from a list of pre-set options or customize your own.
Highlight key changes in leverage and risk profiles using the heatmap feature on your dashboard view. Drill into individual funds’ underlying positions using our Portfolio Analysis tool to see contributions, risk, stress, P&L, and more on the portfolio, group, and security level.
Meet the increased requirement of weekly reports with our flexile reporting options from a PDF for each fund for a high-level overview of the fund’s risk profile to our upgraded N-PORT flat file including all calculations required by 18f4.
Optimize your workflow by utilizing FactSet’s managed services to perform data quality checks on your portfolio and resolve time-sensitive issues.