FCA DERIVATIVES USE REPORTING

The UK Financial Conduct Authority (FCA) requires authorised fund managers of UCITS funds to report their use of derivatives on an annual basis. This FCA Derivatives Use Reporting also known as FSA042 must be submitted in XML format within 30 business days from the 31st October and includes information on derivatives including their underlying risks, any relevant quantitative limits and methods for estimating risks.

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THE NEXT DEADLINE IS 12TH DECEMBER 2018

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2018/12/12 17:00:00

FUNDS-AXIS PROVIDE TWO SOLUTIONS

WE OFFER A FULLY AUTOMATED REPORTING SOLUTION AS WELL AS A SIMPLE EXCEL TO XML CONVERSION SOLUTION. SEE OUR SOLUTIONS BELOW:

LITE SOLUTION

SUITABLE FOR MANAGERS SEEKING A SIMPLE EXCEL TO XML CONVERSION REPORTING TOOL

OUR LITE SOLUTION CONTAINS THE FOLLOWING FEATURES:

  • DATA COLLECTION
  • COLLATING DATA IN EXCEL TEMPLATE
  • REPORT GENERATION
  • XML CONVERSION
  • XML CONVERSION
  • XML CONVERSION

FULL SOLUTION

SUITABLE FOR MANAGERS SEEKING A FULLY AUTOMATED OUTSOURCED REPORTING SOLUTION

OUR FULLY AUTOMATED SOLUTION CONTAINS THE FOLLOWING FEATURES:

  • DATA COLLECTION
  • DERRIVATE EXPOSURE CALCULATIONS COMPLETED
  • REVIEW AND LOGIC VALIDATION
  • REPORT GENERATION
  • XML CONVERSION
  • GABRIEL UPLOAD SUPPORT

FEATURES

MAINTAIN ALL
STATIC DATA

Enabling you to re-use in other types of regulatory reporting.

AUTOMATE DERIVATIVE
EXPOSURE CALCULATION

Reducing the risk of errors and saving your team time.

FULL TIME-SERIES EXPORT REPORTING AVAILABLE

Enabling you to have a full audit trail of all calculations.

ALERTS FOR ANY CHANGES IN DERIVATIVE USE OVER TIME

Ensuring you keep up-to-date with any changes in regulation.

COLLATE ALL DATA IN EASY-TO-USE EXCEL TEMPLATE

Enabling straightforward report creation.

ONE-CLICK XML REPORT GENERATION

Making submission to the FCA simple.
FCA DERIVATIVES USE REPORTING

REPORTING TOOL OVERVIEW

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.

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FREQUENTLY ASKED QUESTIONS

Q1: WHO IS REQUIRED TO SUBMIT A DERIVATIVES USE REPORT?

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.

Q2: WHAT TYPE OF FUNDS ARE INCLUDED IN A DERIVATIVES USE 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.

Q3: WHAT INFORMATION IS REQUIRED FOR A DERIVATIVES USE 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.

Q4: WHERE DO I SUBMIT A DERIVATIVES USE REPORT?

The Derivatives Use Report should be submitted to the FCA via its GABRIEL system.

Q5: WHEN IS THE DEADLINE FOR SUBMITTING A DERIVATIVES USE REPORT?

The deadline for submission in 2018 is 12 December.

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To find out more about our FCA Derivatives Use Reporting Solution then please contact us for more information.