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:
|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)|
|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.|
|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|
|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.|
|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|
|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.|
|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|
|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|
|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.|
|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.
|Description||% investment return in gross %s and net %s.||Form PF requires the same information for hedge funds.|
|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.|
|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|
|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.
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