Alternative Investment Funds (AIFs) and hedge funds are seeing increasing disclosure and reporting requirements from both investors and their local regulators. The reports include exposure calculations, country of risk and currency allocations, top ten holdings, as well as information about trades and existing investors, along with many other risk calculations.
We provide end-to-end support to our clients with data collection, calculations, production of AIF001 and AIF002 reports, and filing to the local regulators.
We integrate all required data sources (including valuations, positions, and investor data) to fully automate calculations as well as the production of the Open Protocol (OP) Template.
Similar to AIFMD reporting, we offer a fully integrated solution including data collection from various sources, data management and validation, calculation, report production as well as the SEC filing.
The requirements for better risk disclosure by AIFs and hedge funds have been a priority
for both investors
and regulators, and this trend is likely to develop further. Regulators collect data to assess
potential systemic risk concerns,
while investors are seeking to aggregate risk information about their alternative investments to
improve overall portfolio
Obliged by the local regulators, AIFs and hedge funds have to produce standard risk reports such as Alternative Investment Fund Managers Directive (AIFMD) Annex IV in Europe and Form PF in the United States. Additionally, investors are also seeking transparency on the risk-return profile of their investments through global reporting standards such as the OP Template that discloses aggregate risk exposures, stress testing, and risk calculations.
The three reporting templates (AIFMD Annex IV, Form PF, and OP Template) are often compared to one another given the similar input data requirements and the nature of the aggregation and risk disclosure are similar. iQuant Solutions offers a reporting bundle to cover all three requirements, within the same technical setup for analytics and reporting.
As required by the Alternative Investment Fund Managers Directive
(AIFMD), alternative asset managers marketing into the EU or EEA are required to report to the local
regulator in their relevant jurisdictions. iQuant Solutions provides end-to-end service to AIFs to
meet the reporting requirements laid out in Annex IV.
Utilising synergies from our dynamic data management services, we connect directly with our clients' fund accountants to source raw NAV and position data. The input data first goes through a robust validation process and is then used as a basis for the calculations.
The output is produced in both Excel and XML formats which are fully tested prior to
submission to the relevant local regulators.
Our comprehensive service also includes support with the submission, either via upload to the relevant portals or sFTP servers, in the respective format of the jurisdiction.
iQuant Solutions has been recognized as one of the official third-party providers of the
Open Protocol (OP) Template Report
by the Standards Board for Alternative Investments (SBAI). The OP Template (formerly known as OPERA
- Open Protocol Enabling Risk Aggregation)
standardises the collection, collation, and representation of risk information of alternative
investment funds and other types of investment
This provides a uniform framework with consistent data inputs, standard calculation methodologies, and regular and timely reporting. The template was developed by the Open Protocol (OP) Working Group that comprises a number of leading participants in the alternative investments sector of the financial services industry. Further information on the OP Template is available on the website of the SBAI (Standard Board for Alternative Investments).
Our OP-compliant solution includes exposure calculations as well as risk analytics. The
OP Template provides transparency on an
aggregate level giving investors an overview of the fund's exposures into a range of asset classes
such as equities, sovereign interest rates,
credit, convertible bonds, real assets, commodities, and currencies. We calculate IR exposure
according to the DV01 methodology as prescribed
by the OP Template.
For non-linear derivative instruments, a full remodelling approach is used to calculate the exposure, VaR, and sensitivities. Our derivative pricing competencies cover a wide range of exchange traded and OTC products including forwards, futures, CFDs, vanilla and exotic options, swaps, swaptions, and CDS.
iQuant Solutions is in close dialogue with Albourne regarding best practice modelling
and the OP Template standard definition.
This is critical to ensure consistent modelling with other funds houses especially with respect to
the more complex derivative exposures.
Capturing the precise terms of OTC derivatives is similarly important to ensure compliant risk calculations. We use Monte Carlo simulations for VaR and cVaR calculations, and apply a full revaluation of positions for stress testing and sensitivity calculations.
Clients can choose to provide their own internal risk and stress testing figures or to subscribe to our integrated models for risk disclosure. The output is produced in both Excel and XML formats, which are fully tested prior to dissemination to the relevant investors.
Form PF (Private Fund) is the US equivalent of the European AIFMD reporting and imposed
by the U.S. Securities and Exchange Commission (SEC) under the Dodd-Frank Wall Street Reform and
Consumer Protection Act. Designed to enhance systemic risk monitoring, this regulation imposes
specific reporting obligations on private fund managers.
The Form PF regulation primarily applies to investment advisers and fund managers who oversee private funds. Private funds encompass a wide range of investment vehicles, including hedge funds, private equity funds, real estate funds, venture capital funds, and certain commodity pools. Investment advisers who manage private funds and meet the reporting thresholds outlined by the SEC must comply with the Form PF requirements.
The reporting thresholds are as follows:
Advisers with at least $1.5 billion in hedge fund AUM must file Form PF. This threshold includes both U.S. and non-U.S. advisers.
Advisers with at least $1 billion in combined AUM attributable to liquidity funds must file Form PF.
Advisers with at least $2 billion in private equity fund AUM must file Form PF.
The reporting frequency varies based on the type and size of the adviser's private funds. Generally, larger advisers with greater AUM have more frequent reporting obligations, while smaller advisers may report less frequently. The reporting periods are typically classified as quarterly or annually.
The report can be filed electronically by using two types of formats: through a fillable
form or through XML submission.
iQuant clients benefit from a fully automated reporting and data management solution. All data is acquired from various relevant sources and processed and validated in the iQuant system. The final reports are provided via the iQuant platform for review. Once our client has approved the report, the XML files are automatically uploaded for filing. At all times, the user has full oversight of the process and the status of the report. As soon as the report is filed, the user automatically receives a notification.
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