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Page last published: 9 April 2010

Funds-Axis
COURSE
UCITS III - DERIVATIVES & ELIGIBLE ASSETS
London, 22nd and 23rd April 2010

UCITS III - DERIVATIVES & ELIGIBLE ASSETS

LONDON, THURSDAY 22ND and FRIDAY 23RD APRIL 2010

Venue: Central London, TBC

Cost: Each Day: £650 + VAT Both Days: £1,000 + VAT

To reserve your place on this course, please email events@funds-axis.com.

This is a comprehensive two-day course at which delegates will gain
a thorough understanding of the Eligible Assets Directive and
of the calculation of derivatives exposures under UCITS III -
including CESR's recent Advice on global exposure and counterparty risk calculations!

Delegates will gain a full understanding of the instruments and techniques
now being used by UCITS, including how UCITS can now run 130/30 strategies
and take exposure to hedge funds, commodities and property

The event is in a workshop format and numbers are strictly limited
in order to ensure maximum participation and take-away of knowledge by delegates.

The training will be led by Darren Burrows,
but with other industry experts also attending as Guest Speakers.

Day 1 - The Eligible Assets Directive

Day 2 - Understanding UCITS III Derivatives Exposure

Both Days may also be booked separately.

Who Should Attend?

· Fund Managers

· Risk Analysts

· Compliance Managers

· Product Development

· Lawyers

· Trustees

The Course

A unique event at which attendees will gain a thorough understanding of the UCITS Eligible Assets Directive (EAD) and the use of derivatives under UCITS Ill, including the exposures arising from derivatives transactions, derivative risk management processes, regulatory reporting requirements and best practice.

· Comprehensive regulatory analysis

· Interactive work-sessions

· Reference to real UCITS portfolios and investment opportunities

· Supported by industry experts

· Attendance is strictly limited to 16 persons

· "Take-home" templates and processes

Relevant Regulation

Throughout the sessions reference will be had to the UCITS Directive and national UCITS regulations and also to the following documents

Europe

EC recommendations on use of derivatives by UCITS, 2005

EC Eligible Assets Directive - March 2007

CESR's Final Guidelines on Eligible Assets - March 2007

CESR's Guidelines on UCITS and Hedge Fund Indices - July 2007

Luxembourg

CSSF Circular 07/308 on UCITS, Derivatives and the Risk Management Process - August 2007

Grand Ducal Regulation of 8 Feb 2008 implementing Eligible Assets Directive and CSSF Circulaire 08/339

CSSF Circulaire 08/356 on efficient portfolio management techniques, June 2008

Ireland

Guidance Note 07/2 on Financial Indices - July 2007

Guidance Note 07/3 on UCITS, Structured Products and Complex Trading Strategies - July 2007

Revised UCITS Notices and Guidance Notes (2/03, 3/03, 1/05 and 2/07) on eligible assets, derivatives and EPM - April 2008

United Kingdom

UK IMA / DATA I FOA Revised Risk Management Process Document - 2008

FSA Handbook Notice 73 - implementation of Eligible Assets Directive - Feb 2007

Day 1-The Eligible Assets Directive

8.45 AM Registration

9.15 AM An introduction to the Eligible Assets Directive

By 23 July 2008, all UCITS must comply with the Eligible Assets Directive. Here we consider the key provisions of the Directive and of the related Guidance published by the Committee of European Securities Regulators (CESR).

This includes the provisions in respect of transferable securities and money market instruments, structured products including those embedding derivatives, open and closed ended funds, OTC derivatives, credit derivatives, derivatives on financial indices and index tracking funds.

10.40 AM Break

11.00 AM Workshop Case Studies

In this session, we commence our more detailed analysis of the Eligible Assets Directive requirements. Reviewing prospectus, terms sheets and other documentation we consider in detail a range of asset types and their UCITS eligibility.

This will include consideration of real financial products such as exchange traded funds, structured notes and certificates.

1.00PM Lunch

2.00 PM Implementing an effective derivatives risk and control framework.

Here we identify the key features of an effective Derivatives Risk Management process including the requirements for an independent risk management department to measure, monitor and control the risks related to the portfolio and the requirements for reliable and verifiable valuation of OTC derivatives.

We also consider the implications of the Eligible Assets Directive as regard the need to consider the risks encompassed within all the assets of the portfolio - not just derivatives - and how Managers should be responding to this.

3.00 PM Break

3.20 PM Efficient Portfolio Management

Here we consider the opportunities afforded to UCITS by the EPM provisions, including in respect of:

· Short selling

· Stock lending

· Purchase and Repurchase (REPO) agreements

· Collateralisation

As well as considering the practical issues involved, we consider the counterparty and investment limits that apply.

We also consider the ability of UCITS to physically short-sell and the differing approaches of Member States since the Irish Financial Regulator's Policy Change in October 2007.

4.20 PM Commodities, Property and Hedge Fund Exposure for UCITS

Continuing our detailed analysis of the Eligible Assets Directive, we here consider how UCITS can gain exposure to Commodities, Property and Hedge Funds and other asset classes.

With reference to real financial products including structured products em bedding derivatives and derivatives on financial indices we consider where the requirements of the Eligible Assets Directive and the requirements to "look through" to the underlying of such instruments arises when considering the UCITS investment limits.

5.20 PM Close

Day 2 - Understanding UCITS III Derivatives' Exposures

9.15 AM Refresher overview of UCITS III derivative rule

In this session, we have an introductory overview of the UCITS III derivative rules, exposure limits and cover requirements as well as the criteria for assessing whether derivatives usage is sophisticated on non-sophisticated and the implications which follow from this assessment.

This session covers:

· Position (issuer-concentration) exposure

· Market risk

· Counterparty exposure

· Global exposure and leverage

· Cover Requirements

10.40 AM Break

11.00 AM Workshop Case Studies

With reference to real UCITS portfolios, we here attempt to consider and calculate the various derivatives exposures arising in each case.

This includes portfolios with a range of futures, options and swaps used for both hedging and investment purposes and including long/short funds and 130/30.

For counterparty exposure, we will consider the 3 step calculation process referred to in the European Commission Recommendations on UCITS Derivatives Usage and how it has been applied differently indifferent Member States. We also consider the impact of netting and collateralisation.

1.00PM Lunch

2.00 PM VaR Analysis, Stress Testing and Back Testing

"Sophisticated" UCITS should be using advanced measurement techniques such as Value-at-Risk when considering the global exposure and leverage of the UCITS.

Here we reflect on the distinction between sophisticated and non-sophisticated UCITS and consider, with regard to Regulation, Guidance and Industry Best Practice:

· The choice between VaR models

· Setting of confidence intervals, time horizons and loss-levels

· Selection of stress testing scenarios

· Meeting back-testing challenges

· Management and Regulatory reporting

3.20 PM Break

3.40 PM Workshop Case Studies

In this session we once again attempt to calculate the derivatives exposures arising and the relevant cover requirements arising with regard to a set of illustrative UCITS portfolios.

Our attention here is given to real examples of credit derivative portfolios and various options strategies, to de-composition of indices and baskets, to transferable securities embedding derivatives, and total return swaps and where there is use of short selling

5.00 PM Close

Booking Details

Attendance is limited to a maximum of 16 persons.

If you would like any further details, or to reserve a place at the event, please email events@funds-axis.com or call +44 (0)800 783 67 91

Funds-Axis provide extensive consultancy and training services, including in respect of derivatives, operational risk and counterparty risk. For details of our Governance, Risk and Compliance software, click here. Click here for details of our recent assignments or contact info@funds-axis.com

Funds-Axis Limited
31 Southampton Row
London, WC1B 5HJ

info@funds-axis.com

Tel: +44 (0)800 783 67 91

Contents

Funds-Axis COURSE UCITS III - DERIVATIVES & ELIGIBLE ASSETS London, 22nd and 23rd April 2010

Funds-Axis
COURSE
UCITS III - DERIVATIVES & ELIGIBLE ASSETS
London, 22nd and 23rd April 2010