Undertakings for Collective Investments in Transferable Securities (Ucits)
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
T+1 to increase cash drag and funding costs, investors warn
Faster settlement will create cash shortfalls for non-US asset managers
Structured products house of the year: JP Morgan
Risk Awards 2023: Tech investment propels fixed income expansion and back-to-back autocall hedges
Ucits’ clash with IM rules could cause collateral damage
Strict collateral reuse guidelines may restrict popular investment vehicles’ hedging capabilities
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
EU funds shudder at Mifid transaction reporting plan
Repeated Esma recommendations would increase costs of single portfolio management services
EU funds lack liquidity management tools – Esma
Most Ucits can only rely on temporary borrowing or gating to weather crises
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
Rent-a-fund managers rebuff ‘misguided’ Esma criticism
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model
Hedge funds eye Brexit escape from Mifid reporting
UK tipped to diverge from Europe’s proposed reforms to fund manager rules
Luxembourg regulator probes loan investments by Ucits
Lawyers say CSSF has already told a number of funds to prepare to sell their holdings
EU insurers pile into loans, funds and private equity
Fund investments make up 12% of exposures as of Q3 2019
Esma trains beam on investment fund risks
Officials look to regulatory reporting for better grasp of fund leverage and liquidity
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
Esma preps stricter stress-testing rules for EU funds
New guidance expected to be released for consultation in early 2019
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.