PortfolioScience SEC 18F-4 Reporting

SEC 18F-4 Risk Monitoring of Derivative Portfolios

SEC 18F-4 VaR Risk Reporting

For funds required to apply SEC 18F-4 “Use of Derivatives for Registered Funds”, the PortfolioScience RiskAPI service can be used to easily produce the required VaR and Stress Testing calculations required to monitor risk limits for derivative portfolios.

The RiskAPI Reporting service includes pre-configured, automated reports that cover required calculations as well as both daily and weekly risk monitoring as defined by the rule.

RiskAPI offers automated and rapid access to a whole library of multi-asset VaR models, allowing seamless calculation and monitoring of required risk limits for derivative positions. All Parameters are easily configurable to match the model requirements of the SEC rule: time horizon, historical data, and more.

Features

Absolute VaR

Reporting on portfolio VaR as a percent of fund Net Asset Value (NAV). Available across multiple funds and sub-entities. Utilization any of several available models and included extensive data & valuation.

Relative VaR

VaR as compared to a Reference Portfolio, to produce the required VaR Ratio, based on a wide selection of thousands of available domestic and global indexes, or a model portfolio of securities.

VaR Backtesting

As required by the rule, backtesting of fund P&L against calculated VaR to monitor and tabulate any VaR breaches.

Stress-Testing

Multiple methods and approaches to portfolio shocks and scenario analysis, all flexible and configurable.

Benefits:

Automated Daily Reporting

Configurable Stress-Testing

Monitoring of Multiple Funds

Email Delivery

Highly Customizable

Included Data and Computing

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