IVP Regulatory Reporting News Bulletin

Issue – January 2021

Welcome to the January 2021 issue of Indus Valley Partners’ regulatory reporting news bulletin.

This overview is intended to arm managers with the tools and knowledge necessary to support the ongoing compliance of regulatory requirements and updates across the greater part of the alternative investment industry in the United States and Europe.

European Securities and Markets Authority (ESMA)

Latest updates


On December 4th, 2020, ESMA updated its validation rules regarding the Money Market Fund Regulation (MMFR). This relates to the requirements listed in Article 37 of the MMFR, which require MMF managers to send data to National Competent Authorities, who shall subsequently transmit it to ESMA.

  • ESMA has decided to implement amendments stemming from the feedback it received from market participants on published validation rules.
  • The changes provide clarifications on existing validation rules in order to amend inconsistencies or ease the understanding of the rules. It also extends the CFI codes for eligible assets. These changes, however, are not applicable to published XML schemas.

On December 17th, 2020, ESMA published its final guidance on leverage risks that are currently present in the AIF sector.

  • The criteria set out by the ESMA aims to encourage integration with the way National Competent Authorities:
    1. Evaluate the extent to which the use of leverage in the AIF sector leads to the build-up of the financial system's systemic risk
    2. Design, calibrate and implement leverage limits.
  • The guidance provides a set of measures that NCAs should consider when carrying out their risk evaluation and a set of principles that NCAs should take into account when calibrating and enforcing leverage limits.
  • The translated version of the guidelines into the official EU languages will become applicable after the publication on ESMA’s website.

On December 16th, 2020, the 2020 update of guidelines on MMF stress tests were published by ESMA under the Money Market Funds Regulation (MMFR), considering their experience in regard to redemption scenarios during March 2020.

  • Considering the challenges of COVID-19, ESMA reassessed the guidelines imposed in 2019 to MMFs and money market Instruments which lead to the absolute levels of stress.
  • The intense market movements observed during the COVID-19 crisis have surpassed the 2019 scenarios for some parameters, and the related factors will be revised accordingly in the case where some funds surpassed the 25 percent redemption rate stated in the guidelines for skilled investors.
  • The new 2020 parameters set out in the updated guidelines will have to be used for the purpose of the first reporting period following the start of the application of the updated guidelines.


On December 7th, 2020, the Joint Committee of the European Supervisory Authorities highlighted the impact in the change of status of ‘Simple, Transparent and Standardised’ (STS) securitisation transactions after the end of the Transition Period.

  • In order to qualify any securitisation transaction as an STS securitisation, the regulator requires the establishment of the originator, sponsor and the securitisation special purpose vehicle (SSPE) in the Union. Any transaction will lose its STS status if any securitisation party is registered in the UK after the transition period.
  • The implication of loss of STS status is that the preferential capital treatment will end for investments in this type of securitisation, which will affect EU institutional investors.


On December 21st, 2020, Questions and Answers were updated by ESMA relating to OTC requirements and reporting issues under the European Markets Infrastructure Regulation (EMIR).

  • The Q&A clarifies the status of legacy derivative transactions carried out on UK markets after the post-Brexit transition period and is relevant to EU counterparties for the purpose of assessing applicable EMIR criteria, and for position calculations against clearing thresholds.
  • In order to clarify the reporting technique for derivatives executed on a third country venue and cleared on the same day, Parts IV and V were modified.
  • The document seeks to ensure and promote effective and common supervisory approaches in the application of EMIR.

On January 7th, 2021, the Commodity Futures Trading Commission (CFTC) and the European Securities and Markets Authority (ESMA) signed a new Memorandum of Understanding (MOU) relating to registered derivatives clearing organizations established in the United States that are CCPs recognized by ESMA under the European Market Infrastructure Regulation (EMIR).

  • ESMA and the CFTC aim to enhance cooperation as to the larger U.S. CCPs operating in the European Union with provisions that expand upon the collaboration set out in 2016 CFTC-ESMA MOU related to recognized CCPs.


On January 4th, 2021, registrations were withdrawn for the following UK-based credit rating agencies (CRAs) by ESMA:

  • AM Best Europe-Rating Services Ltd
  • DBRS Ratings Ltd
  • Fitch Ratings Ltd
  • Fitch Ratings CIS Ltd
  • Moody’s Investors Service Ltd
  • The Economist Intelligence Unit Ltd

The ratings issued by the aforementioned CRAs cannot be used for regulatory purposes in the EU unless endorsed by an EU CRA. Also, the registrations for the following UK-based trade repositories (TRs) were withdrawn:

  • DTCC Derivatives Repository Plc
  • UnaVista Limited
  • CME Trade Repository Ltd
  • ICE Trade Vault Europe Ltd

As a result of the withdrawals, EU derivatives and securities financing transactions, subject to the reporting obligation under EMIR and SFTR, can no longer be reported to any of the TRs above but need to be reported to an EU-established TR.


On December 17th, 2020, ESMA announced that it had renewed its decision requiring the traders of net short positions in a EU-regulated market to notify the NCAs if their shares breach the threshold, fall below or reach 0.1% of the issued share capital. This became applicable on December 19th, 2020 and will expire on March 19th, 2021.

  • Considering the uncertain outlook affiliated with COVID-19, ESMA has decided to support NCAs to deal with the threats associated with the markets, their functioning and financial stability.
  • Impact:
    1. Applies to any natural or legal person, irrespective of their country of residence.
    2. Does not apply to shares whose trading venue is in a third country and are traded on a regulated market.

* ESMA’s register can be accessed here.

U.S. Securities and Exchange Commission (SEC)

Latest updates

Financial markets and fund investment practices have changed substantially since the US Securities and Exchange Commission (SEC) last addressed fund valuation comprehensively 50 years ago. In adopting Rule 2a-5 on December 3rd, 2020, the SEC has attempted to modernize the regulatory framework of fund valuation while rescinding much of the current existing fair valuation guidance.

  • Under Rule 2a-5, determining fair value in good faith will require assessing and managing material risks associated with fair value determinations, selecting, applying, and testing fair value methodologies, and overseeing and evaluating any pricing services used.

Commodity Futures Trading Commission (CFTC)

Latest updates

In its October meeting, the CFTC approved a final rule adopting amendments to Form CPO-PQR for commodity pool operators (CPOs).

The amendments are as follows:

  • Eliminates certain schedules and questions from its Form CPO-PQR
  • Adds new questions to its Form CPO-PQR seeking Legal Entity Identifiers (LEI) for the CPO and the pools it operates, to the extent that they have LEIs
  • Adopts a uniform quarterly reporting schedule for CFTC Form CPO-PQR for all CPOs, regardless of assets under management
  • Eliminates substituted compliance for dually registered CPO investment advisers filing joint Form PF in lieu of CFTC Form CPO-PQR
  • Permits CPOs to file NFA Form PQR in lieu of the revised CFTC Form CPO-PQR.

*NOTE: NFA Member CPOs are required to submit the December 31st, 2020 NFA Form PQR to NFA via EasyFile (Quarterly Reports) by March 31st, 2021. The updated PDF and XSD were also published by NFA on December 22nd, 2020.

Form MiFID

Latest Updates

The European Securities and Markets Authority (ESMA) launched a consultation seeking input from market participants on the impact of requirements under MiFID II/MiFIR regarding algorithmic trading, including high-frequency algorithmic trading.

  • The consultation paper specifically seeks opinions on the following:
    1. The authorisation regime
    2. Guidelines for algorithmic and high frequency traders
    3. Guidelines applicable to trading venues allowing these market participants
  • ESMA is conducting this consultation to address issues like circuit breakers and contemporary issues linked with algorithmic trading, which includes the deployment of speedbumps and the sequence of trade confirmations to sole participants in opposition to the public disclosure of transactions.
  • The final report will be prepared by ESMA on the basis of the opinions received from respondents for submission to the European Commission by July 2021, whereas the consultation closes on March 12th, 2021.

On December 7th, 2020, ESMA updated its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

  • The update includes DVC data and calculations for the period of November 1st, 2019 to October 31st, 2020 as well as updates to already published DVC periods.
  • The DVC was introduced to limit the dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.

On December 23rd, 2020, ESMA published an updated opinion providing guidance on pre-trade transparency waivers for equity and non-equity instruments.

  • It covers guidance related to request for quote systems, guidance on how trading venues should apply for the waiver to their national component authority, and updates on frequently encountered issues when assessing waiver notifications.
  • If any further issues are experienced in assessing waiver notifications, ESMA will continue to update this opinion.

Filing Calendar and Deadlines

Regulatory Reporting Filing Calendar: Q4 2020
Form Name Type Due Date
AIFMD** Direct Investment AIFs FoFs & AIFMs 30 days from period-end
N-PORT All registered management investment companies, other than money market funds & small business investment companies, & unit investment trust that operate as exchange-traded funds February 1st, 2021
BE-577 U.S. Entity with their Foreign Affiliates January 30th, 2021
(Within 30 days after the end of the calendar or fiscal quarter and within 45 days when reporting for the final quarter of the financial reporting year)
13F Institutional Investment Managers February 16th, 2021
PF Large Hedge Funds March 1st, 2021

Annual Filers: April 30th, 2021
CPO-PQR Large Commodity Pools
Small & Mid-Sized Pools
March 31st, 2021
BE-185 Affiliated & Unaffiliated U.S.
Financial Services Providers
March 31st, 2021

**As per ESMA guidelines for AIFMD, every AIFM needs to file within 30 days of the period’s end. Since the due date for AIFMD Q4/H2/Y2020 falls on a weekend, the deadlines for different jurisdictions are as follows:

AIFMD Deadlines
Jurisdiction Quarterly/ Half-Yearly/ Annually
Netherlands Direct Investment AIFs: January 29th, 2021 | FoFs & AIFMs: February 15th, 2021
Denmark January 29th, 2021
Norway January 30th, 2021
Luxembourg Direct Investment AIFs: January 30th, 2021 | FoFs & AIFMs: February 15th, 2021
Germany January 31st, 2021
Sweden February 1st, 2021
Cyprus February 1st, 2021
United Kingdom February 1st, 2021
Finland Direct Investment AIFs: February 1st, 2021 | FoFs & AIFMs: February 15th, 2021

Brexit: TPR and TMPR Updates for a Post-Transition Period

With the end of the Brexit transition period on December 31st, 2020, EU law no longer applies in the UK, meaning that many firms and funds operating in the financial services sector will now begin to face changes across their existing systems and offerings.

For starters, according to the Financial Conduct Authority (FCA), “EEA-based firms can no longer passport into the UK and EEA-based investment funds can no longer be marketed under a passport in the UK.” However, in an effort to mitigate the impacts of these changes, the UK government has put the temporary permissions regime (TPR) and the temporary marketing permissions regime (TMPR) into place.

Through TPR, “EEA-based firms that were passporting into the UK at the end of the transition period [can] continue operating in the UK within the scope of their previous passport permission for a limited period after the end of the transition period,” according to the FCA. Additionally, the TMPR allows the marketing of EEA-based funds in the UK, as they had been prior to the end of the transition period.

When joining the TPR or TMPR, firms and funds were required to notify the regulator before the transition period end date. If firms and funds did not opt for TPR or TMPR, they must continue utilizing the National Private Placement Regime (NPPR) to market their AIFs in EU member states or the UK, as the passporting system will not apply to them.

For more information on the temporary permissions regime (TPR) and the temporary marketing permissions regime (TMPR),
visit: https://www.fca.org.uk/brexit/temporary-permissions-regime-tpr

Expert Insights

Indus Valley Partners subject matter experts provide their latest analysis on key regulatory reporting updates and requirements

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