United States: VaR Funds Vs. Limited Derivatives Users – Programs vs. Procedures
To print this article, all you need is to be registered or login on Mondaq.com.
Our last post explained the
two basic alternatives for managing derivatives risks under
new Rule 18f-4 by
qualifying either as a Limited Derivatives User or a VaR Fund. This
post outlines the essential differences between VaR Funds and
Limited Derivatives Users, primarily that the former must adopt a
derivatives risk management program (a “DRM Program”)
while the latter need only have policies and procedures.
Elements of a DRM Program
As indicated in our last post, VaR Testing is an essential
requirement of a DRM Program. But this is
only one of the elements required by Rule
18f-4(c). At its core, a DRM Program must identify and assess a VaR
Fund’s derivatives risks that arise from all of its derivatives
transactions, taking into account its other investments. Rule 18f-4
also requires a DRM Program to include the following.
Continue reading the full blog post at
The Asset Management ADVocate
The content of this article is intended to provide a general
guide to the subject matter. Specialist advice should be sought
about your specific circumstances.
POPULAR ARTICLES ON: Finance and Banking from United States
