[PPT] - Global Fund Valuation Briefing HOTEL LE ROYAL, LUXEMBOURG, 20 TH PowerPoint Presentation

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Global Fund Valuation Briefing

HOTEL LE ROYAL, LUXEMBOURG, 20TH APRIL 2016

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Agenda

 09:00

Introduction and presentation of Research from Voltaire Advisors

 09:30

Experts panel and Q&A

 10:30

Evaluated Pricing & Due Diligence Developments

 11:00

Coffee & Networking

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Introduction

IAN BLANCE MANAGING DIRECTOR VOLTAIRE ADVISORS LLP

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“ ”

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In many respects, the current crisis is about valuation.

CHRISTIAN NOYER, GOVERNER, BANQUE DE FRANCE, 2008

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Introduction

 Valuation of assets held in investment funds a ‘mission critical’ responsibility  Impacts:

NAV calculations
Performance reporting
Financial reporting
Manager compensation
Fees paid to service providers
Proceeds paid to investors

 Fund valuation is focus of much regulatory and standard setting work since

financial crisis

 How much progress has been made to harmonize such standards globally?

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Use of Valuation Data Within Firm

Voltaire Advisors AIFMD Survey, 2016

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Fund Valuation Regulatory Landscape

No global regime
Supranational – AIFMD, UCITS
National Law – SEC, FCA, etc.

Regulations

IFRS
GAAP
Other national accounting regimes

Standards

IOSCO – CIS & Hedge Funds
Hedge Funds – HFSB, AIMA, MFA
Local Guidance

Principles

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IOSCO

 Global organisation of Securities Regulators (inc. CSSF)  Principles for the Valuation of Collective Investment Schemes (2013)

11 Principles
https://www.iosco.org/library/pubdocs/pdf/IOSCOPD413.pdf

 Principles for the Valuation of Hedge Fund Portfolios (2009)

9 Principles
http://www.iosco.org/library/pubdocs/pdf/IOSCOPD253.pdf
Many transposed directly in AIFMD

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AIFMD

 Level 1 text - Article 19 covers valuation

11 clauses – very high level
Importantly defines role of External Valuer

 Level 2 Delegated Acts (ESMA) – Articles 67-74

Much more detailed and prescriptive, eg.
Article 68 on use of models
Article 71 on factors to consider if a valuation is fair and appropriate

 Not always transposed consistently into national law …

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US SEC

 ‘40 Act’ rules for US Mutual Funds

Developed and refined over last 75 years
Most comprehensive standards for fund valuation

 Dodd-Frank extended SEC regulation to Private Funds

Investment Advisers, not Investment Companies
But SEC approaches valuation from mutual fund mindset

 Regular enforcement ‘pour encourager les autres’

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Five Areas of Agreement

 Conflicts of Interest  Documentation & Disclosure  Consistency of Application  Periodic Review  Due Diligence

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Five Areas of Conflict?

 Public vs Private Funds  Responsibility for Valuation  External vs Internal Valuation  Documentation Detail  Due Diligence Requirements

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Valuation Data & Reporting Challenges

 Regulatory Reporting

Private Funds – AIFMD / Dodd-Frank
Public Funds – UCITS / 40 Act

 Financial Reporting

IFRS
GAAP

 Major data challenge!

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Regulations by Cost/Time to Implement

Voltaire Advisors AIFMD Survey, 2016

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Conclusions

 Some efforts and desire to implement global standards for fund valuation  But implementation on a jurisdiction basis and some conflicts in the detail  Regulators still looking at asset management industry, so further change can be

expected

 But in the meantime we will need to live with the current varied and complex

landscape

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Panel Discussion

Moderator - IAN BLANCE JAYME FAGAS Global Head of Valuations & Transparency, Thomson Reuters BENJAMIN GAUTHIER Director, PwC JASON POONOOSAMY Risk Director, DMS Offshore Investment Services Europe

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Speakers

Ian Blance Managing Director Voltaire Advisors Jayme Fagas, Global Head of Valuations & Transparency, Pricing and Reference Services Thomson Reuters Benjamin Gauthier Director PwC Jason Poonoosamy Risk Director DMS Offshore Investment Services

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Panel Discussion Topics

 Conflicts of interest  Documenting and disclosing policies and procedures  Periodic review of valuation approach  Due diligence of third party pricing vendors  External vs internal valuation  Global Harmony or Discord?

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Questions

Ian Blance Managing Director Voltaire Advisors Jayme Fagas, Global Head of Valuations & Transparency, Pricing and Reference Services Thomson Reuters Benjamin Gauthier Director PwC Jason Poonoosamy Risk Director DMS Offshore Investment Services

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To learn more download our White Paper or listen to our Webinars at …

http://voltaireadvisors.com/global-fund-valuation-briefings-micro-site.html

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Evaluated Pricing & Due Diligence Developments

JAYME FAGAS Global Head of Valuations & Transparency, Thomson Reuters

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Thomson Reuters Pricing Service (TRPS)

OUR GLOBAL COVERAGE INCLUDES:  Government & Corporate bonds  Money Markets  Municipal bonds  Bank Loans  Convertible Bonds  MBS & Securitized Products

Agency CMOs, RMBS, CMBS
Consumer ABS
European ABS
CLOs

 Full range of vanilla and complex credit, equity, interest rate and currency derivatives  Thomson Reuters Pricing Service (TRPS) provides independent evaluated pricing of all major fixed income and derivative asset classes  Pricing is performed using leading EJV fixed income analytics, and drawing on extensive real time market data and contributed broker information to ensure the most up to date market information is driving our valuations  Valuations are performed by 175+ experienced fixed income professionals  Data team of 4500+ in 7 global locations (New York, London, Paris, Gdynia, Tokyo, Sydney, Singapore)

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Thomson Reuters Valuation Navigator

View Video: http://voltaireadvisors.com/global-fund-valuation-briefings-micro-site.html

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Questions

To find out more about Thomson Reuters visit prdcommunity.com