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

Global Fund Valuation Briefing HOTEL LE ROYAL, LUXEMBOURG, 20 TH APRIL 2016

Agenda 2  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

3 IAN BLANCE Introduction MANAGING DIRECTOR VOLTAIRE ADVISORS LLP

4 “ In many respects, the current crisis is about valuation. ” C HRISTIAN N OYER , G OVERNER , B ANQUE DE F RANCE , 2008

Introduction 5  Valuation of assets held in investment funds a ‘mission critical’ responsibility  Impacts: o NAV calculations o Performance reporting o Financial reporting o Manager compensation o Fees paid to service providers o 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?

Use of Valuation Data Within Firm 6 Voltaire Advisors AIFMD Survey, 2016

Fund Valuation Regulatory Landscape 7 Regulations • No global regime • Supranational – AIFMD, UCITS • National Law – SEC, FCA, etc. Standards • IFRS • GAAP • Other national accounting regimes Principles • IOSCO – CIS & Hedge Funds • Hedge Funds – HFSB, AIMA, MFA • Local Guidance

IOSCO 8  Global organisation of Securities Regulators (inc. CSSF)  Principles for the Valuation of Collective Investment Schemes (2013) o 11 Principles o https://www.iosco.org/library/pubdocs/pdf/IOSCOPD413.pdf  Principles for the Valuation of Hedge Fund Portfolios (2009) o 9 Principles o http://www.iosco.org/library/pubdocs/pdf/IOSCOPD253.pdf o Many transposed directly in AIFMD

AIFMD 9  Level 1 text - Article 19 covers valuation o 11 clauses – very high level o Importantly defines role of External Valuer  Level 2 Delegated Acts (ESMA) – Articles 67-74 o Much more detailed and prescriptive, eg. o Article 68 on use of models o Article 71 on factors to consider if a valuation is fair and appropriate  Not always transposed consistently into national law …

US SEC 10  ‘40 Act’ rules for US Mutual Funds o Developed and refined over last 75 years o Most comprehensive standards for fund valuation  Dodd-Frank extended SEC regulation to Private Funds o Investment Advisers, not Investment Companies o But SEC approaches valuation from mutual fund mindset  Regular enforcement ‘pour encourager les autres ’

Five Areas of Agreement 11  Conflicts of Interest  Documentation & Disclosure  Consistency of Application  Periodic Review  Due Diligence

Five Areas of Conflict? 12  Public vs Private Funds  Responsibility for Valuation  External vs Internal Valuation  Documentation Detail  Due Diligence Requirements

Valuation Data & Reporting Challenges 13  Regulatory Reporting o Private Funds – AIFMD / Dodd-Frank o Public Funds – UCITS / 40 Act  Financial Reporting o IFRS o GAAP  Major data challenge!

Regulations by Cost/Time to Implement 14 Voltaire Advisors AIFMD Survey, 2016

Conclusions 15  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

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

Speakers 17 Benjamin Gauthier Ian Blance Director Managing Director PwC Voltaire Advisors Jayme Fagas, Jason Poonoosamy Global Head of Valuations & Risk Director Transparency, Pricing and Reference DMS Offshore Investment Services Services Thomson Reuters

Panel Discussion Topics 18  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?

Questions 19 Benjamin Gauthier Ian Blance Director Managing Director PwC Voltaire Advisors Jayme Fagas, Jason Poonoosamy Global Head of Valuations & Risk Director Transparency, Pricing and Reference DMS Offshore Investment Services Services Thomson Reuters

To learn more download our White Paper or listen to our Webinars at … http://voltaireadvisors.com/global-fund-valuation-briefings-micro-site.html

21 JAYME FAGAS Evaluated Pricing & Global Head of Valuations & Transparency, Due Diligence Thomson Reuters Developments

Thomson Reuters Pricing Service (TRPS) 22 OUR GLOBAL COVERAGE INCLUDES:  Thomson Reuters Pricing Service (TRPS) provides independent evaluated pricing of all major fixed income Government & Corporate bonds  and derivative asset classes Money Markets  Pricing is performed using leading EJV fixed income  analytics, and drawing on extensive real time market Municipal bonds  data and contributed broker information to ensure the Bank Loans  most up to date market information is driving our valuations  Convertible Bonds  Valuations are performed by 175+ experienced fixed  MBS & Securitized Products income professionals Agency CMOs, RMBS, CMBS  Data team of 4500+ in 7 global locations (New York, Consumer ABS   London, Paris, Gdynia, Tokyo, Sydney, Singapore) European ABS  CLOs   Full range of vanilla and complex credit, equity, interest rate and currency derivatives

Thomson Reuters Valuation Navigator 23 View Video: http://voltaireadvisors.com/global-fund-valuation-briefings-micro-site.html

Questions 24 To find out more about Thomson Reuters visit prdcommunity.com