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UCITS IV: risk management gap analysis - Being ready for new requirements | Brochure


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UCITS IV implies significant amendments to the measurement and management of risks

UCITS IV: risk management gap analysisAs a result of a constantly growing concern about investor protection and as a response to the last financial crisis, UCITS IV once again emphasises the need for effective risk management.

CSSF Circular 11/512 implies a significant number of changes to risk management for investment funds.

In this context, the following compilation provides only a brief overview:

  • The scope of the risk management is extended to liquidity and operational risks
  • The distinction between ’sophisticated’ and ’nonsophisticated’ UCITS is removed
  • The requirements for the use of internal models are tightened: internal models now have to be validated by an independent party. Moreover, a regulatory limit has been set for the acceptable number of backtesting exceptions
  • Other changes affect the calculation of the commitment, counterparty risk, collateral management and the rules related to OTC derivatives valuation
  • Management companies need to strictly obey the comprehensive and detailed template for the structure and content of the risk management procedure

Our methodology

Deloitte’s risk management gap analysis breaks down UCITS IV requirements and best market practices into concrete control objectives.

In order to identify potential gaps, we systematically challenge our clients’ risk management process against these objectives and derive specific ’maturity scores’ for each topic.

Our comprehensive status report is complemented by a prioritisation scheme and pragmatic suggestions to fill identified gaps.

Prioritisation scheme

How can we help?

In order to comply with UCITS IV requirements, we offer the possibility of leveraging on Deloitte’s risk management gap analysis.

This assistance combines our regulatory expertise and the in-depth knowledge of risk management best market practices in the Luxembourg market place.

Our assistance will be tailored to your specific needs.

We provide reporting that covers:

  • Gap analysis: Detailed benchmarking with UCITS IV requirements and market best practices
  • Action plan: Prioritisation scheme and pragmatic suggestions to close identified gap

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