WORKFLOW USE CASE
18f-4 Regulatory Reporting Workflow
Everysk’s modular no-code platform makes automating 18f-4 risk reporting fast and user-friendly. See how users can run multiple portfolios through the same scalable solution, controlling risk settings through editable metadata tables, storing reports daily, and configuring alerts for risk breaches.
Quickly and dynamically adapt to a changing regulatory environment
Rule 18f-4 is an SEC regulation which requires risk monitoring for 40 Act funds that make use of derivatives and short positions. The new regulation is onerous as it requires daily returns and VaR monitoring as well as backtests and stress tests.
Everysk has an easily configured, off-the-shelf solution ready to deploy. With dozens of broker and admin feeds integrated, and ETL tools to ingest custom time series, Everysk can quickly plug client’s portfolios into our workflows, satisfy regulatory requirements and get custom reports and alerts for all of their risk limit breaches.
Quick deployment, easy controls for risk limits, all results stored and easily explored back through time make Everysk’s 18f-4 reporting solution a seamless experience for fund compliance teams.
See how the following robots connect to create the workflow below.
Comprehensive Review
18f-4 Regulatory Reporting Workflow
Asset managers utilize Everysk’s automated workflows for greater cost efficiency and operational effectiveness in regulatory reporting. Keep reading to see all the robots that power the workflow.
Portfolio Retriever
The robot retrieves a set of portfolios that fall under the 18f-4 regulation. This can be a predefined list from the client or tested by the system to see which portfolios have over 10% exposure to derivatives.
Metadata Retriever
The metadata table in this workflow contains the risk limit for all funds whether it is open or closed-end, whether it uses a relative VaR limit or absolute, and what the benchmark portfolio is. This is referenced downstream when checking VaR limits.
Update Custom Index
Everysk stores custom price time series to calculate the fund performance used in backtests. Prices can be submitted by the client or taken from Everysk’s market data for publicly available funds and benchmarks.
Reference Portfolio Creator
This robot programmatically filters derivatives out of a portfolio and creates a reference portfolio for funds that use the portfolio ex-derivatives as their benchmark. Clients can view and edit the list of asset types that are filtered.
Risk Calculations
The system calculates portfolio VaR and stress tests using the SEC’s suggested lookback settings and stores it on a daily basis to be explored over time. This is done for client portfolios as well as their reference portfolios.
VaR Limit Compliance
The compliance robot accepts a dynamic value as the limit for each fund based on the metadata. The calculated VaR is then compared to the limit to determine if a fund is in breach.
VaR Backtest
Per SEC guidelines, daily VaR calculations are explored over time and compared to the actual fund performance to monitor the number of exceedances over a period of time and measure the accuracy of the VaR model.
Report Generator
The risk calculations and backtest are fed into a configurable report template to produce a daily report. These reports are stored in the system and tagged with portfolio ids and dates for easy retrieval.
Distribution
Links to the reports are sent out via email or a messaging app. Everysk specializes in configuring warnings and holistic reports to raise alerts if risk limit breaches occur.
Key Workflow Benefits
Regulatory Compliance
Check the box for regulatory compliance with minimal hassle and manual intervention.
Configurable Risk and Limits
Users have easy access to control the risk limits used across multiple funds, making managing different accounts straightforward.
Low Overhead
All reports and data are all stored on the Everysk system, and all the processes are automated. Once clients are set up, the reports run seamlessly with minimal overhead required.
