Funds must either be classified as Limited Derivatives Users or adopt a formal derivatives risk management program that includes:
|Designating a derivatives risk manager that reports to the board at least annually on program implementation and effectiveness and other matters|
|Calculating portfolio VaR and ensuring it is either below 200% of its designated reference portfolio (relative VaR test) or, if unavailable, below 20% of NAV (absolute VaR test)|
|Running at least weekly stress-testing that considers all market risk factors and their interdependencies, and|
|At least weekly backtesting the VaR model against actual realized PNL|
Screenshot of HVAR in ICE Portfolio Analytics (IPA) - Derivatives
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