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Aifmd iosco hedge fund reporting template 2010draft-LiteVersion

Guan Khoo
Guan Khoo

This document outlines an 11 section template for hedge funds to report general information, performance, assets under management, exposures, geographic exposure, trading activity, liquidity issues, borrowing, risk measures, credit counterparty exposure, and other issues. The template requests information on principals, service providers, recent performance, investor details, assets by class, geographic focus, turnover, liquidity, borrowing sources, risk metrics, counterparties, and position concentration.

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IOSCO/AIFMD Hedge Fund Reporting Template 1 General Partner and GGGeeennneeerrraaalll PPPaaarrrtttnnneeerrr aaannnddd aaaaddddvvvviiiisssseeeerrrr iiiinnnnffffoooorrrrmmmmaaaattttiiiioooonnnn Key principals, registered address, number of employees, number of funds, name of compliance officer, overseas offices, regulatory status, related affiliates, equity owners, relevant information about the financial health of the asset management company including, if applicable, any guarantees or agreements with parent companies Key service providers, e.g., PBs, custodians, auditor, etc. 2 PPPPeeeerrrrffffoooorrrrmmmmaaaannnncccceeee aaaannnndddd iiiinnnnvvvveeeessssttttoooorrrr iiiinnnnffffoooorrrrmmmmaaaattttiiiioooonnnn rrrreeeellllaaaatttteeeedddd ttttoooo ccccoooovvvveeeerrrreeeedddd ffffuuuunnnnddddssss Recent performance details (net and gross) Recent investor redemptions/subscriptions NAV vs. High Water Mark Investor classifications (Institutional, fund of funds, high net worth) Primary marketing channels 3 AAAAsssssssseeeettttssss uuuunnnnddddeeeerrrr mmmmaaaannnnaaaaggggeeeemmmmeeeennnntttt Group wide assets under management i.e. Total AUM and HF AUM 4 GGGGrrrroooossssssss aaaannnndddd nnnneeeetttt pppprrrroooodddduuuucccctttt eeeexxxxppppoooossssuuuurrrreeee aaaannnndddd aaaasssssssseeeetttt ccccllllaaaassssssss ccccoooonnnncccceeeennnnttttrrrraaaattttiiiioooonnnn Material positions in various asset classes (for securities: value of long and short positions in equities/unlisted equities/corporate bonds/sovereign bonds/convertible bonds/loans/securitised credit products/other structured products; for derivatives: long and short CDS positions and the gross value of FX, Interest rate and other derivatives, and the geographic split of assets within some of these asset classes 5 GGGGrrrroooossssssss aaaannnndddd nnnneeeetttt ggggeeeeooooggggrrrraaaapppphhhhiiiicccc eeeexxxxppppoooossssuuuurrrreeee High level regional investment focus: e.g. US, Europe, Asia ex-Japan, Japan, Global, Global EM Split of aggregate assets by the underlying currency of the assets held 6 TTTTrrrraaaaddddiiiinnnngggg aaaannnndddd ttttuuuurrrrnnnnoooovvvveeeerrrr iiiissssssssuuuueeeessss Turnover in various asset classes Clearing mechanisms for balance sheet instruments and derivatives 7 AAAAsssssssseeeetttt////lllliiiiaaaabbbbiiiilllliiiittttyyyy iiiissssssssuuuueeeessss Liquidity of assets Investor liquidity demands Extent of term financing Use of side pockets Ability to gate or suspend funds and any restrictions currently in place 8 BBBBoooorrrrrrrroooowwwwiiiinnnngggg Value of borrowings by source (PB, repo, stock lending, off balance sheet, unsecured) Borrowing from regulated vs unregulated entities 9 RRRRiiiisssskkkk iiiissssssssuuuueeeessss Unencumbered cash Various risk measures used by hedge fund managers, e.g DV01, CS01, Equity delta which are examples of a portfolios sensitivity to movements in interest rates, credit spreads and equity markets Description of mechanisms to assess tail risk e.g. stress tests 10 CCCCrrrreeeeddddiiiitttt ccccoooouuuunnnntttteeeerrrrppppaaaarrrrttttyyyy eeeexxxxppppoooossssuuuurrrreeee Net credit counterparty risk, identifying primary counterparties and identities and locations of those counterparties Extent of rehypothecation 11 OOOOtttthhhheeeerrrr iiiissssssssuuuueeeessss Complexity e.g. gross size of options book, Number of open positions Concentration e.g. Top 10 positions as a % of gross market value.

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Aifmd iosco hedge fund reporting template 2010draft-LiteVersion

  • 1. IOSCO/AIFMD Hedge Fund Reporting Template 1 General Partner and GGGeeennneeerrraaalll PPPaaarrrtttnnneeerrr aaannnddd aaaaddddvvvviiiisssseeeerrrr iiiinnnnffffoooorrrrmmmmaaaattttiiiioooonnnn Key principals, registered address, number of employees, number of funds, name of compliance officer, overseas offices, regulatory status, related affiliates, equity owners, relevant information about the financial health of the asset management company including, if applicable, any guarantees or agreements with parent companies Key service providers, e.g., PBs, custodians, auditor, etc. 2 PPPPeeeerrrrffffoooorrrrmmmmaaaannnncccceeee aaaannnndddd iiiinnnnvvvveeeessssttttoooorrrr iiiinnnnffffoooorrrrmmmmaaaattttiiiioooonnnn rrrreeeellllaaaatttteeeedddd ttttoooo ccccoooovvvveeeerrrreeeedddd ffffuuuunnnnddddssss Recent performance details (net and gross) Recent investor redemptions/subscriptions NAV vs. High Water Mark Investor classifications (Institutional, fund of funds, high net worth) Primary marketing channels 3 AAAAsssssssseeeettttssss uuuunnnnddddeeeerrrr mmmmaaaannnnaaaaggggeeeemmmmeeeennnntttt Group wide assets under management i.e. Total AUM and HF AUM 4 GGGGrrrroooossssssss aaaannnndddd nnnneeeetttt pppprrrroooodddduuuucccctttt eeeexxxxppppoooossssuuuurrrreeee aaaannnndddd aaaasssssssseeeetttt ccccllllaaaassssssss ccccoooonnnncccceeeennnnttttrrrraaaattttiiiioooonnnn Material positions in various asset classes (for securities: value of long and short positions in equities/unlisted equities/corporate bonds/sovereign bonds/convertible bonds/loans/securitised credit products/other structured products; for derivatives: long and short CDS positions and the gross value of FX, Interest rate and other derivatives, and the geographic split of assets within some of these asset classes 5 GGGGrrrroooossssssss aaaannnndddd nnnneeeetttt ggggeeeeooooggggrrrraaaapppphhhhiiiicccc eeeexxxxppppoooossssuuuurrrreeee High level regional investment focus: e.g. US, Europe, Asia ex-Japan, Japan, Global, Global EM Split of aggregate assets by the underlying currency of the assets held 6 TTTTrrrraaaaddddiiiinnnngggg aaaannnndddd ttttuuuurrrrnnnnoooovvvveeeerrrr iiiissssssssuuuueeeessss Turnover in various asset classes Clearing mechanisms for balance sheet instruments and derivatives 7 AAAAsssssssseeeetttt////lllliiiiaaaabbbbiiiilllliiiittttyyyy iiiissssssssuuuueeeessss Liquidity of assets Investor liquidity demands Extent of term financing Use of side pockets Ability to gate or suspend funds and any restrictions currently in place 8 BBBBoooorrrrrrrroooowwwwiiiinnnngggg Value of borrowings by source (PB, repo, stock lending, off balance sheet, unsecured) Borrowing from regulated vs unregulated entities 9 RRRRiiiisssskkkk iiiissssssssuuuueeeessss Unencumbered cash Various risk measures used by hedge fund managers, e.g DV01, CS01, Equity delta which are examples of a portfolios sensitivity to movements in interest rates, credit spreads and equity markets Description of mechanisms to assess tail risk e.g. stress tests 10 CCCCrrrreeeeddddiiiitttt ccccoooouuuunnnntttteeeerrrrppppaaaarrrrttttyyyy eeeexxxxppppoooossssuuuurrrreeee Net credit counterparty risk, identifying primary counterparties and identities and locations of those counterparties Extent of rehypothecation 11 OOOOtttthhhheeeerrrr iiiissssssssuuuueeeessss Complexity e.g. gross size of options book, Number of open positions Concentration e.g. Top 10 positions as a % of gross market value.