All authorised fund managers who manage UCITS funds are required to submit a Derivatives Use Report to the FCA. This includes UK UCITS management companies who manage EEA UCITS schemes. For fund managers and management companies who are domiciled in other jurisdictions such as Ireland and Luxembourg they will be required to submit a report to their respective regulator based in that country rather than the FCA.
OUR FULLY AUTOMATED SOLUTION CONTAINS THE FOLLOWING FEATURES:
- DATA COLLECTION
- DERIVATIVE EXPOSURE CALCULATIONS COMPLETED
- REVIEW AND LOGIC VALIDATION
- REPORT GENERATION
- XML CONVERSION
- GABRIEL UPLOAD SUPPORT
The report contains detailed information for each UCITS scheme, or sub-fund where applicable, that uses derivatives and is managed by the AFM, including:
- Gross long and short derivatives positions;
- Details of risk measures used;
- Information on fund leverage including average leverage, maximum expected level, usually expected level and internal maximum level; and
- Confirmation as to whether derivatives are being used for EPM purposes.
AFMs should submit additional reports at any time during the year if there has been a significant change to a fund’s risk profile since its last report.
The Derivative Use Report is applicable to UCITS funds only and sub-funds where applicable. Other types of funds such as NURS and QIS are not required to complete this report.
The following information is required to complete the Derivatives Use Report:
- The name and scheme (or, if applicable sub-fund) product reference number (PRN) of the relevant fund;
- The fund’s assets under management (AUM) and its gross long and short derivative positions (%);
- Confirmation as to whether the derivatives are used for investment purposes (as opposed to efficient portfolio management) purposes;
- Details of the risk measures used (commitment approach, absolute or relative Value at Risk);
- Information on the fund’s leverage, calculated according to EU guidelines, and the relevant fund leverage limits if defined in the prospectus, and
- Information on the types of derivative used by the investment manager
Further guidance notes on derivatives use reports can be found in the FCA Handbook COLL 6 Annex 3.
The FCA also recommends that managers review CESR’s Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS (CESR/10-788) before completing the report.
The Derivatives Use Report should be submitted to the FCA via its GABRIEL system.
The deadline for submission in 2020 is 11 December.