Because it replicates (anticipates in the case of intraday activity) the accounting treatment of assets, and because it possesses customisable simulation functions (stock and markets), Tracker PM is a decision-making help tool that is perfectly in tune with the Solvency II-driven precaution rules

1. TRANSPARENCY OF ASSETS HELD

   In UCITS (based on retrieved and imported inventories), derivatives (underlyings) and structured products.
2. 
   

   CALCULATION OF EXPOSURE AND SENSITIVITY

   Of assets, segments and the portfolio to the equity, interest rate and forex markets (taking into account the transparencies above) and of securities in the balance sheet and off-balance sheet.
3. 
   

   CALCULATION OF THE COMMITMENT RATIO

4. The portfolio’s commitment ratio (aggregation of the risks by standard underlying).
5. 
   

   STOCK SIMULATION

   Impact of a disposal, a disposal programme or an arbitrage transaction in terms of realised P&L, Premium/Discount amortisation, capitalisation reserve provisions (adherence to FIFO commitments) and risk exposure (equities, interest rates, forex).

    

   MARKET SIMULATION (STRESS)

   Impact of a distortion in yield curves, credit margins, exchange rates and economic sectors on the:
   1. • Unrealised P&L (impairment)
      • Capitalisation reserve
      • Exposure and sensitivity of the portfolio and its segments and assets

      COMPLIANCE WITH IFRS

   2. Presentation of the portfolio according to accounting standards

• Incorporation of impairment provisions,
• Calculation of SD amortisation on a linear or actuarial basis (according to asset type, according to future local or European regulations),
• Taking into account of calls.

UCITS IV goals

The main UCITS IV goals are the 2 following:

• Increase the free spread of UCITS IV in the EU
• Improve the understanding of investors by providing greater transparency in the information transmitted 

Measures to implement

Since july 1^st, 2011, five new major measures must allow fund sponsors to streamline their products portfolio and to organize themselves more effectively, while helping to improve the protection and information given to investors:

• The possibility for a management company to manage investment funds domiciled in other Member States (“the management company passport”)
• Replacing the current simplified prospectus, which usefulness and effectiveness are more than challenged today, by a summarised and harmonized document for all European UCITS that provides investors with essential information about their investments in terms of objectives, risks, performance and cost (the “Key Information Document” or “KID”)
• Simplifying the registration of UCITS in another Member State while ensuring adequate investor protection
• The introduction of a harmonized European regulation and still unpublished to merge mutual funds both locally and across borders
• The possibility for UCITS to adopt investment strategies based on master funds and feeder funds (“Master-Feeder”) border 

Nexfi’s specific answer

Nexfi was deeply involved to respond in a timely manner to the challenges raised by the measures required by this directive. The main solutions we offer:

• Management and analysis tools integrating natively underlying risks of an asset, and thereby accurately reflect market risks faced by funds (interest rate risk, equity and foreign exchange)
• A range of indicators to characterize and control the risk profile of portfolios, with input line by line
• Simulations functions (stress test) to place predetermined scenarios applicable to current market conditions
• Structures and processes that support all “Master-Feeder” combinations glimpsed by this directive, enabling the automation of investment strategies
• A motor of constraints to monitor and certify the compliance of the allocation constraints
• Tailored services and tools to disseminate the information produced for the generation of internal reporting and the production of KIDS