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Reporting Under Form PF vs. AIFMD

By February 7, 2020 No Comments

A practical comparison of data requisites

Form PF must be filed by private fund investment advisers that are registered with the SEC and have at least $150 million in assets under management (AUM). Depending on the size of the reporting fund and fund type, various sections of Form PF are required to be filed.

AIFMD was released by ESMA in the form of an Excel template for reporting by alternative investment fund managers (AIFMs) to the competent authorities of each country in which their fund is being marketed.

The table below compares different filed sections of Form PF by hedge funds along with the AIFM reporting information required by ESMA. The concept and questions being compared have been provided for ease of reference below:

AIFMD Form PF
Concept AUM
Question/Box 33-38 Q3
Description AUM across funds is reported in Euros as well as base currency along with the FX rates’ gross value. Notional values (not Market Value) are used for calculating AUM.

AUM = Gross Assets + Absolute Liabilities + any converted exposure for derivatives.

Regulatory gross and net AUM across different fund types are answered in USD. Advisors need to report the current market value of the assets held in their securities’ portfolios and not the notional value of derivatives that are used for calculating the AUM value.
Concept Breakdown of Investment Strategies
Question/Box 57-61 Q19 & Q20
Description Investment strategies are classified based on fund types (hedge fund, PE Fund, etc.) and % NAV across a single/multi strategy is reported. Investment strategies along with and the % NAV capital are supposed to be reported for hedge funds only.
Concept High Frequency Trading (HFT)
Question/Box 62-63 Q21
Description The reporting fund’s number of HFT transactions and corresponding market value are required to be reported. The approximate % of reporting a fund’s NAV that’s managed using high frequency trading strategies is required.
Concept Investor Concentrations
Question/Box 118-120 Q15 & Q16
Description The reporting fund’s % of equity owned by Top five beneficial owners is reported along with the breakdown of professional and retail investors. The reporting of a fund’s % of equity owned by its top five beneficial owners is reported along with the detailed distribution across investor groups like brokers, insurance firms, banks, etc.
Concept Value of Turnover
Question/Box 125-127 Q27
Description The reporting of a fund’s turnover in different sub-asset classes is reported in the form of market value (settlement amount) and notional value across all three months of the reporting period. Reported for all filing funds together. Turnover in different asset classes is reported separately for each month. Notional value is used for futures whereas market value (settlement amount) is used for other asset classes.
Concept Risk Measures
Question/Box 138-147 Q40-Q42
Description An AIF must report the following risk measures: (1) Net Equity Delta; (2) Net DV01 and (3) Net CS01 in three buckets, which are each defined by maturity of the security (i.e. <5yrs, 5-15yrs and >15yrs) Form PF requires the manager to report whether it uses any risk metrics (other than VaR) that it considers important to the fund’s risk management, but does not require reporting of the results of the risk measures.
Concept Trading and Clearing Mechanism
Question/Box 148-156 Q24
Description The reporting of a fund’s breakdown of securities and derivatives traded on regulated exchange/OTC is reported along with the breakdown of derivatives and repos being bilaterally cleared/CCP cleared. The reporting of a hedge fund’s trading and clearing mechanism are filed in a similar way as in AIFMD with the % of market value reported for securities and repos and the % of volume reported for derivatives.
Concept Value of Collateral Posted
Question/Box 157-159 Q36 & Q37
Description The collateral posted by the AIF to the counterparties needs to be reported and specified in terms of whether the collateral was in the form of cash, cash equivalents, securities or other forms. The collateral posted by reporting fund to the counterparties (Q37) and the collateral posted by counterparties to the reporting fund (Q36) both are required to be reported in terms of cash, cash equivalents, securities and others.
Concept Counterparty Exposure
Question/Box 160-171 Q22 & Q23
Description Top five counterparties to which the reporting fund has the greatest mark-to-market net counterparty credit exposure and vice versa. Both are required to be reported as a % of the NAV. Form PF requires the same information.
Concept Portfolio Liquidity Profile
Question/Box 178-185 Q32
Description The reporting fund reports the % of its portfolio that is reasonably capable of being liquidated at its “carrying value” within each of the liquidity periods specified and the value of the unencumbered cash. Form PF requires the same information.
Concept Investor Liquidity Profile
Question/Box 186-192 Q50
Description The reporting fund reports the % of its NAV that investors are entitled to redeem within each of the liquidity periods specified. Form PF requires the same information.
Concept Special Arrangements and Preferential Treatment
Question/Box 197-207 Q48 & Q49
Description The reporting fund’s % of the NAV that is subject to special arrangements like side pockets, gates, suspension of dealings and other arrangements is reported. In Form PF, focus is on side pockets and additional side pockets as a % of NAV, investors redemption rights under normal course & the breakdown % of the NAV suspended or materially restricted from redemptions.
Concept Total Borrowings
Question/Box 210-217 Q12 & Q43
Description The reporting fund’s total amount of borrowing, drawn and undrawn, is reported along with the liquidity profile. The reporting fund’s total amount of borrowing along with %s borrowed from financial/non-financial/US and non-US are reported for non-qualifying hedge funds.

 

For qualifying hedge funds, further breakdown in terms of unsecured/secured and furthermore in secured, breakdown of borrowing via prime brokers, reverse repos and other are reported.

Concept Investment Returns
Question/Box 219-242 Q17
Description % investment return in gross %s and net %s. Form PF requires the same information for hedge funds.
Concept Rehypothecation
Question/Box 281-282 Q38
Description The AIF must report the % of collateral rehypothecated by counterparties as a ratio of the market value of the collateral rehypothecated over the aggregate market value of all collateral posted. Form PF only requires reporting of the % of collateral that may be rehypothecated.
Concept Fund Exposure
Question/Box 94-102, 121-124, 128-130 Q26 & Q30
Description An AIF must report various items relating to the fund’s long and short exposures (10 principal exposures by sub-asset type; all exposures by sub-asset type as of reporting end date).

 

Derivatives are valued at their gross notional value and options are valued at their delta adjusted notional value.

 

ESMA has stated that cash should be included and that loans held by the fund as assets should be included at their notional value.

Private equity and real estate funds will calculate exposure as of the last calculated value of their assets.

The asset types listed in Form PF correspond in some, but not all respects, with the asset types listed in the AIFMD reporting form.

 

Form PF requires this information as of the last day of each month of the reporting period aggregated for all filing funds (Q26) and separately for each qualifying hedge fund (Q30).

 

As for the AIFMD Reporting Form, Form PF is less prescriptive than the AIFMD Reporting Form in terms of the conversion methodology used, so firms will need to consider whether each conversion methodology used under Form PF complies with the AIFMD methodologies.

Concept Value of Exposures by Currency Groups
Question/Box 128-130 Q26
Description An AIFM must report the total long and short values of exposures by each currency, which is converted into the AIF’s base currency (before any currency hedging). Form PF requires the total long and short value of exposures to all non-US currency holdings at the last day of each month of the reporting period.

Our expert analysts have identified the common overlap between the top four periodic filings, including AIFMD, Form PF, OPERA & CPO-PQR. IVP’s regulatory reporting solution, IVP Raptor, employs the use of the Universal Templates module, enabling hedge funds to streamline the submission of their filing data. From here, Raptor can create a golden source of information to be used across all four filings, thereby reducing clients’ data collation efforts and saving a considerable amount of time.

For more information, please contact us at sales@ivp.in.

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