Are you ready to navigate the SEC’s proposed rules on curbing RICs’ systemic risk?

The United States Securities and Exchange Commission (SEC) proposed rules that will require significant additional monitoring and disclosures from registered investment companies (RICs).1 The SEC’s proposed rules would impose restrictions on funds regarding the funds’ practices concerning liquidity and derivatives. The SEC will impose additional reporting obligations on most managers due to increased reporting frequency and required additional information. The SEC’s proposed rules may require funds and their managers to modify their behavior with regard to certain assets and strategies.

The SEC’s concern is the systemic risk in registered investment vehicles with specific concerns over RICs’ transparency, liquidity risk, derivative exposure and market risk. In a recent speech, SEC Commissioner Kara M. Stein wondered about RIC transparency when she said:

“Retail investors are being introduced to innovative ETFs that may offer attractive yield, but also feature more complex and other higher risk strategies. These may include currency hedged ETFs, smart-beta strategies, and bank-loan ETFs. While some new products are being hailed as exotic or innovative within the industry, others have been described as ‘toxic.’ I fear that the risk presented by some of these new products may not be fully understood by those who have invested in them.”2

SEC Chair Mary Jo White addressed the importance of liquidity risk management in her remarks regarding the liquidity proposed rule release when she said, “Changes in the modern asset management industry call on us to now look anew at liquidity management in funds and propose reforms that will better protect investors and maintain market integrity.”3 On August 18, 2009, the SEC staff and the Financial Industry Regulatory Authority issued an Investor Alert

because they “ … believe that individual investors may be confused about the performance objectives of leveraged and inverse exchange-traded funds (ETFs)”4 that use derivatives to create their performance. Finally, Chair White commented on the critical nature of scenario testing during her remarks to the Investment Company Institute in May 2016.5

The SEC is competing with the concerns of the Financial Stability Oversight Council (FSOC) over asset managers and RICs. The Dodd-Frank Act required the SEC to examine the systemic risks in the asset management industry. On April 18, 2016, the FSOC issued an update of its examination of the asset management industry and its products.6 The FSOC requires information about (1) liquidity and redemption; (2) leverage; (3) operational functions, in particular, service provider concentration; (4) securities lending; and (5) resolvability and transition planning.7 At present the FSOC notes, “As the SEC rulemaking process progresses, the Council intends to monitor the effects of any regulatory changes and their implications for financial stability.”8

The proposed SEC rules would address RIC systemic risk in four specific ways. N-PORT would require enhanced RIC transparency by increasing and standardizing RIC disclosure, both public and directly to the regulators, especially in relation to derivatives portfolio market risk and liquidity risk. The second SEC initiative, Liquidity, addresses liquidity risks. The third initiative, Derivatives, concerns the use of derivatives. The final area is portfolio sensitivity (e.g., stress testing) to changes in markets. In combination, these proposed rules would provide investors and the SEC with important information to examine systemic risk both across the RIC industry and by individual portfolio. RICs’ board and managers would need to provide the SEC with a more consistent flow of data in a timely and efficient manner.

1 “Investment Company Reporting Modernization, Investment Company Act Release No. 31610” (May 20, 2015) [80 FR 33590 (June 12, 2015)] (“N-PORT”); “Open-End Fund Liquidity Risk Management; Swing Pricing; Re-Opening of Comment Period for Investment Company Reporting Modernization Release No. 31835” (September 22, 2015) [80 Fed. Reg. 62274 (Oct. 15, 2015)] (“Liquidity”), and “Use of Derivatives by Registered Investment Companies and Business Development Companies Release No. 31933” (December 11, 2015) [80 Fed. Reg. 80884, (Dec. 28, 2015)] (“Derivatives”).

2 “Remarks at the ‘SEC Speaks’ Conference: What Lies Ahead? The SEC in 2016,” https://www.sec.gov/news/speech/stein-sec-speaks-2016.html.3 “Statement on Open-End Fund Liquidity Risk Management Programs and Swing Pricing,” https://www.sec.gov/news/statement/open-end-fund-liquidity-risk-management-programs--sept-22-2015.html.

4 “Leveraged and Inverse ETFs: Specialized Products with Extra Risks for Buy-and-Hold Investors,” https://www.sec.gov/investor/pubs/leveragedetfs-alert.htm.5 “Keynote Address Investment Company Institute 2016 General Meeting, ‘The Future of Investment Company Regulation,’ “https://www.sec.gov/news/speech/white-speech-keynote-address-ici-052016.html.

6 “Financial Stability Oversight Council Update on Review of Asset Management Products and Activities,” https://www.treasury.gov/initiatives/fsoc/news/Documents/FSOC%20Update%20on%20Review%20of%20Asset%20Management%20Products%20and%20Activities.pdf.

7 Ibid., p. 2.8 Ibid., p. 4.

Introduction

ContentsIntroduction .................................. 1

Transparency................................. 2

Liquidity ........................................ 4

Derivatives .................................... 5

Stress testing ................................ 8

Strategic approach to reporting .... 11

1The SEC’s proposed rules on curbing RICs’ systemic risk |

9 “Supra n. 4 and Investment Company Reporting Modernization, Investment Company Act Release No. 31610” (May 20, 2015) [80 FR 33590 (June 12, 2015)] (“N-PORT”) p. 14.

RIC managers will need better systems to comply with these rules. Presently, RICs store much of the new required information informally and on different systems. These proposal rules require more board oversight, monthly reports and new information. RIC managers must take care that the SEC’s four requests do not overwhelm them.

This article briefly summarizes each proposed rule and outlines the key points that RICs may find challenging. In addition, this article will outline broad requirements for changes in regulatory reporting. Subsequent articles will elaborate upon each proposed rule and how the industry responds. These articles will also address additional system and reporting requirements for each particular rule.

1. TransparencyThe SEC is hoping that if investors understand what they are buying, they won’t be able to complain about what they get.9 In that hope, the SEC has considerably expanded RIC risk disclosure requiring metric reporting regarding market risk, liquidity and additional derivative disclosure.

At public meetings on May 20, September 22 and December 11, 2015, the SEC proposed a new rule that would require RIC managers to:

• File a new Form N-PORT, which would replace Form N-Q. RICs will file Form N-PORT monthly, and it will include information about portfolio liquidity, derivatives, counterparties and fixed income portfolio sensitivities

• Standardize financial statement disclosures concerning derivatives by amending Regulation S-X

• File a new annual Form-CEN, which will replace Form-SAR

The proposed regulation will also permit RICs to make disclosures electronically instead of paper filings provided that the disclosures meet certain accessibility and consent criteria.

N-PORTWhoAll RICs and ETFs organized as unit investment trusts, except money market funds and small business investment companies.

The proposal particularly affects RICs that invest more than 20% of their assets in fixed income securities, including fixed income derivatives with the investment amount calculated using the notional amount.

WhatForm N-PORT requires more frequent reporting and more detailed information on liquidity, derivatives, risk, returns and counterparties.

Form N-PORT is a monthly report with a 30-day delay. N-PORT’s first- and third-quarterly reports would include an exhibit similar to the current Regulation S-X-compliant, human-readable portfolio schedules.

In addition to the detailed securities reporting required by Form N-Q, this new form requires detailed information on derivatives, including:

• Unique identification number, which is consistent across derivatives

• Description of the underlying reference instrument or index and conversion ratio, if applicable, with “… information sufficient for a user of financial information to understand the nature and terms of the investment, including as applicable, among other things, currency, payment terms, payment rates, call or put feature, exercise price ...”

• Delta, if applicable

• Vega and gamma by position when the entity is a large derivative user

The portfolio’s liquidity profile is categorized in two ways:

• The fund must categorize each investment’s liquidity profile from 0 to over 30 days.

• The fund must identify which assets are available to satisfy the fund’s projected liquidity requirements for the next three days.

If the fund invests more than 20% of its assets in fixed income, the fund must report specific risk metrics for its fixed income investments.

N-PORT requires funds to make additional disclosures concerning investor redemptions and subscriptions, investor activity and financings (repo, securities lending, etc.).

WhenMonthly with a 30-day delay. The initial filing for RICs with more than $1 billion in net assets will occur 18 months after the adoption date. Everyone else reports 30 months after the adoption date.

N-CENWhoAll RICs and ETFs organized as unit investment trusts, except face amount certificate companies.

WhatThe SEC has replaced N-SAR with another annual report, Form N-CEN. N-CEN is considerably shorter than N-SAR. It also recognizes changes such as ETFs. N-CEN does not have the repetitive information required by Form N-SAR but includes additional information. Items that were added are:

• Chief compliance officer information, which will indicate investment advisors who use independent contractors

• Information specific to ETFs and small business investment companies

• Details about lines of credit, interfund borrowing and other credit sources

• The fund’s use of swing pricing during the year.

Items that the SEC removed are:

• Semiannual reports from management investment companies

• Information concerning selling expenses and distribution channels

• Deferred fees and 12b-1

WhenAnnually with a 60-day delay. Managers will make the first report 18 months after the Rule’s adoption.

S-XWhoAll RICs and business development companies.

WhatThe SEC proposed to amend Regulation S-X to standardize disclosure in relation to derivatives. The SEC also proposed new requirements regarding derivatives disclosure and securities lending. In addition, the SEC updated disclosure about securities to be consistent with proposed Form N-PORT. In general, the SEC is attempting consistency across its reports and reporters.

Derivative disclosure would follow Form N-PORT and would move from financial statement footnotes to schedules attached to the main financials. The SEC proposed to standardize the requirements so that readers can compare one fund with another. Funds would report, among other items:

• Counterparties• Notional amount• Value• Unrealized gain or loss• Information about the paying and receiving legs and any final

payments• Information about derivatives on customized baskets of

investments or underlying indexes if not publicly availableSecurities lending disclosure requires gross income, gross expense and net income. It also requires a description of the compensation arrangements with securities lending agents, the disclosure of other fees and the monthly average value of securities on loan. Funds would also have to identify any security where a portion of the issue is on loan. In general, more light is shined on the world of securities lending.

For all investments, including derivatives, funds would be required to report each investment that is illiquid, restricted or valued using significant unobservable inputs.

The SEC enhances annual report securities disclosure. Instead of categorizing securities by type, industry or geography, funds would have to report securities categorized by all three. This is similar to the treatment for private funds.

WhenIn semiannual and annual financial statements. Managers will make the first report eight months after the Rule’s effective date.

Transparency

3The SEC’s proposed rules on curbing RICs’ systemic risk |2 | The SEC’s proposed rules on curbing RICs’ systemic risk

2. LiquidityOn September 22, 2015, the SEC proposed new rules regarding RIC liquidity management and reporting. These proposed rules would require certain RICs to:

• Adopt formal, board-approved liquidity management policies and procedures

• Maintain a certain level of assets that can be turned into cash within three business days (liquid assets)

• Limit assets with a seven-calendar-day liquidity horizon to less than 15% of the market value of the portfolio (illiquid assets)

If the RIC elects to utilize redemptions or sales at different prices during periods of high inflows or outflows (swing pricing), the RIC’s board adopts specific policies determining the appropriate redemption or purchase levels that would trigger swing pricing.

Who The new liquidity rules do not cover money market funds or unit investment trusts. The SEC requires all open-ended mutual funds, including ETFs, to adopt liquidity policies and procedures and to maintain a certain level of liquid assets, and it restricts their level of illiquid assets. Open-ended mutual funds except ETFs would be able to utilize swing pricing subject to board-approved policies and procedures.

WhatThe foundation of the liquidity rule is the board-approved liquidity risk management policies and procedures. These policies and procedures require that funds:

• Stratify the liquidity of their assets into certain maturity groups taking into consideration nine specific factors, including trading volumes and the funds’ holdings related to trading volume and total amounts outstanding

• Manage their portfolios to maintain fund-determined levels of liquid assets that are sufficient to meet three days of anticipated cash requirements, including redemptions and margin requirements

• Manage their portfolios to limit the funds’ illiquid asset investment to less than 15% of the funds’ net asset value

• Examine their potential for either large withdrawals or investments in certain market scenarios if the funds decide to utilize swing pricing

Swing pricing requires considerable analysis. Boards of funds that utilize swing pricing must analyze not only the volumes that justify the use of swing pricing but also the discounts or premiums that would apply during swing pricing periods. While the SEC is prescriptive about the factors that funds should consider, the SEC leaves the methodology up to the individual funds and their boards. Board meetings for swing pricing funds will be interesting sessions.

The new SEC rule requires significant disclosure. Funds must disclose redemption days, the existence of lines of credit, and swing pricing policies and procedures in their prospectuses. In the proposed Form N-PORT, funds must disclose on an asset-by- asset basis the liquidity profile of the asset, their amount of illiquid assets and the minimum required level of liquid assets. Finally, the SEC requires funds on Form N-CEN to disclose details over lines of credit, interfund borrowing and lending, and the use of swing pricing during the year. Finally, ETFs would be required to report posting of collateral to an authorized participant. So little time; so much to report.

WhenForm N-PORT, monthly. Form N-1A, as needed. Form N-CEN, annually. The initial filing for RICs with more than $1 billion in net assets will occur 18 months after the adoption date. Everyone else reports 30 months after the adoption date.

3. DerivativesOn December 11, 2015, the SEC proposed new rules that would formalize guidance in relation to RICs’ use of derivatives. Prior to this proposal, the SEC has used no-action letters and interpretive guidance to regulate RICs’ derivative use. The SEC’s intent set out in the rule-making is to formalize and simplify the current guidance.10 This release also covered other financial commitment transactions such as lending securities; short selling; reverse repurchase, defined as the fund giving securities and getting cash; and other financial commitments such as guarantees.

WhoThe SEC divided all funds that use derivatives into two groups: derivative dabblers and heavy derivative users. Derivative dabblers are funds where the notional amount of derivatives never exceeds 50% of net asset value, and the funds never employ complex derivatives, which are indicated as being path-dependent structures such as knock-ins or knock-outs. Heavy derivative users have a notional amount of derivatives exceeding 50% of net assets, or the fund employs complex derivatives.

WhatThe SEC requires all derivative users, dabblers and heavy, to segregate sufficient assets in order to permit the fund to liquidate its derivatives in stressed market conditions. The assets must be cash and cash equivalents or, in certain transactions, investments linked to the derivative’s performance. Funds will receive credit for cash and cash equivalents already posted to counterparties as initial and variation margin. This amount should equal the amount calculated for derivative exposure in the three-day minimum asset requirement above. Dabblers must also have systems in place that monitor derivative usage so that the notional amount remains less than 50% of net asset value. A fund’s board will have to review all the methodologies for the calculations and the determination of eligible assets.

Heavy derivative users face derivative limits and additional policies and procedures. The SEC’s proposed rule limits a fund’s notional derivative exposure generally to 150% of net asset value with an exception increasing the amount to 300% of net asset value when the fund can show that the derivatives reduce value-at-risk exposure. In addition, heavy derivative users must establish board policies and procedures regarding derivative usage, including the appointment of a derivative risk manager and quarterly board review of compliance reports and any updates to models or policies.

The SEC requires all funds to note in Form N-CEN whether they were dabblers or heavy users during the past year. Heavy derivative users must report vega and gamma for their individual positions on Form N-PORT as noted above.

When

The SEC requested but did not propose an adoption schedule. Instead, it asked for input concerning possible times between the adoption of the proposed rule and the rescission of existing no-action letters and SEC releases. Thus, the SEC will open up this proposed rule for additional comments.

10 “Open-End Fund Liquidity Risk Management; Swing Pricing; Re-Opening of Comment Period for Investment Company Reporting Modernization Release No. 31835” (September 22, 2015) [80 Fed. Reg. 62274 (Oct. 15, 2015)] pp. 48–50.

Liquidity Derivatives

5The SEC’s proposed rules on curbing RICs’ systemic risk |4 | The SEC’s proposed rules on curbing RICs’ systemic risk

WhoMost probably all RICs. Properly calculated, these calculations allow investors to identify the risks in their investment.

WhatThe tests require funds to indicate changes in investment values across a wide variety of independent changes in various market indexes. These stress tests will form some part of the disclosures on Form N-PORT. Using Form PF as an example, funds can anticipate that the stress tests might be run over the following indexes and scenarios:

Index Change

Equity levels +/– 5%

+/– 20%

Risk-free interest rates +/– 25 bps

+/– 75 bps

Credit spreads +/– 25 bps

+/– 50 bps

Currencies +/– 5%

+/– 20%

Commodity prices +/– 10%

+/– 40%

Option volatilities +/– 4%

+/– 10%

Default rates (ABS) +/– 1%

+/– 5%

Default rates (corporate and CDS)

+/– 1%

+/– 5%

The SEC may change some of these parameters or clarify some calculations in the event of negative rates. The SEC will make changes to both Form PF and the proposed disclosure so that the SEC can compare RIC and private fund risks using a common yardstick.

• Integration. This is the ability to accept data from various sources, systems and formats. All of these new reports require position reports combined with some type of risk reporting system. The eventual reporting system must accept data from a database, a spreadsheet or a PDF as you will receive it in those formats.

• Automation. The system needs to absorb the underlying base data and enhance it so that it is report ready. If derivatives have been entered as multiple legs, the system needs to avoid double counting. The system needs to understand how to calculate notional amounts by using the report’s specific calculation. Finally, the system must be able to categorize instruments according to the report’s requirements.

• Verification. Form N-PORT contains a mix of granular and aggregate information. The ultimate reporting system must have reports that analyze the data in a manner to give the reader confidence. These can be either granular reports that build the data up to the final answer so that it can be compared with internal or external reports such as investor reports or a time series report that compares one month’s answers with previous answers.

• Accountability. The system needs procedures and controls that allow for identifying the current stages of completion on each report and who made changes along the way.

• Formatting. The reporting system needs to be cognizant of the regulatory filing demands, which can have different configuration requirements for the same information. Each regulator has its own data validation checks, which can pose challenges to a successful filing.

• Quickness. Form N-PORT is a monthly filing with a 30-day window. You are starting a new filing as soon as you file the last filing. There is little room for do-overs.

• Efficiency. The system must perform many of the calculations and checks itself. Managers should spend time verifying the results, not preparing the calculations. If the system requires considerable preprocessing of data before it begins its calculations, you probably will lose efficiency and gain frustration.

• Cost-effectiveness. The care and feeding of reporting can’t starve the entire firm.

There are four important tools that managers use to construct their reporting solutions:

• Administrators

• Third-party software

• Data warehouses

• Data aggregation software

4. Stress testingThe SEC signaled through various speeches that it intends to introduce a market-based stress testing disclosure similar to that found in Form PF. The SEC’s omission of a definitive deadline for the adoption of the proposed derivatives rule indicates that there is more to come. There is considerable uncertainty about many of the calculations in Form PF’s stress testing, particularly with respect to the treatment of negative rates. The prospective release should address many of these uncertainties.

Each manager needs to construct a personalized combination of these tools to design its optimal reporting engine. The correct mix depends upon the complexity of the investments; the ability of administrators to produce required reports, including any customization; and your capabilities for employing and maintaining internally developed programs.

Eventually your reporting system should resemble the schematic in Figure 1 where information moves smoothly from multiple sources to final reporting in a highly efficient, powerful process. As you move from today’s medieval systems to the new, efficient reporting engine, there are several lessons to keep in mind.

• Invest time with your board. These proposed rules give boards formal responsibility for new topics like derivatives and liquidity risk. With formal responsibility comes uncertainty. RIC managers should start education sessions early as to what are leading practices and how the managers intend to provide the boards with the proper tools to discharge their new responsibilities.

• Learn from others. Private funds learned many lessons in the Form PF process about condensing large amounts of data and the implementation of market risk and liquidity reporting systems. These lessons will be useful in reporting on Form N-PORT. Seek out other CFOs or service providers with Form PF experience. It would be a shame to spend money repeating others’ mistakes.

• Experiment with new things. Agile ETL software is a relatively new but powerful tool. It allows users to access multiple file formats. Then using preprogrammed subroutine shells, you can combine the files to normalize and enhance your data. The end result is a process that is fed with the required data and generates reports. The process is usually mapped and documented so that it serves as a blueprint for additional development such as a data warehouse. Finally, the process is customized and easily changed if reporting requirements vary.

• Trust but verify. Verification and comfort with the answers are the goals. In all the steps of the process, from the initial data input when the data should be compared to the general ledger to the end results when answers should be drilled down to the underlying data, consistency is king. You can trust the process, but you will sleep better at night if you can verify your answers.

Stress testing

When

Given the current political landscape and the required reopening of comments on all the proposed rules, the SEC will not adopt the rules until fall 2016 at the earliest.

Why

Taken together as a body of work, these releases accomplish two main objectives. The proposed rules emphasize additional disclosures regarding liquidity, derivative and market risk. The SEC’s requirements for additional board policies and procedures are sensible given recent events and RICs’ increasing derivative use. These proposed rules allow investors to gather additional information about their investments and to have comfort that the funds’ boards have reviewed the information. This aligns with the SEC’s investor protection mandate.

RIC managers should suggest alternatives before proposing the elimination of disclosures or other facets of the proposed rules. The SEC intends to maintain regulatory control of RIC investment managers. As noted above, other regulatory bodies such as the FSOC have argued that they should have increased scrutiny over investment managers and have threatened to designate large managers as systemically important financial institutions particularly because of their importance to the repurchase market. This interregulatory competition could limit the SEC’s ability to change the rule without risking another regulator seeking additional regulatory power over asset managers.

HowThis actually is the million-dollar question. RIC managers face a barrage of regulatory and investor requests. The information to answer these requests comes from different sources and potentially untested or new sources. While many RICs conduct liquidity analyses; calculate portfolio risk statistics, such as delta and dv 01; and perform stress tests, they have not been ready to publish them. The reports are frequent, and regulators can easily cross-check reports to determine consistency. Spreadsheets and siloed reporting functions won’t work and calculating a more efficient reporting engine is required. Managers must spend their money wisely to achieve both consistency and efficiency.

A proper reporting system must have the following attributes:

• Flexibility. This is the ability to handle changes in existing reports, new reports and changing data sets.

• Reconciliation. In order to avoid garbage-in-giving-garbage-out, inputs need to be checked with original sources, such as general ledgers or counterparty statements, before generating answers.

7The SEC’s proposed rules on curbing RICs’ systemic risk |6 | The SEC’s proposed rules on curbing RICs’ systemic risk

The SEC has proposed transformative rules for RIC managers. The rules would make four requests from RICs: increased transparency, liquidity risk management, derivative risk management and market risk stress testing. Meeting these requirements will require considerable RIC effort. RIC managers need new policies and procedures, battle-tested risk calculation engines and reporting systems that bring all the information together in a consistent, efficient manner. The reports are due quickly, require integrating various sources and must be consistent with other reports. RIC managers need to transform existing systems into efficient, consistently performing systems.

Strategic approach to reporting

• Ask questions. As with Form PF, there are many uncertainties. The liquidity categorization requires the consideration of trading volumes. This works well for equities but fails for most fixed income securities where volume starts out high around issuance but quickly falls to nothing. A manager can still sell the issue, but the issue normally does not trade. Concurrent with this is the methodology that a RIC manager uses to calculate the sensitivity tests. Do you rely upon closed-end formulas or actual curve manipulations? As with Form PF, the SEC will be the definitive answer source. RIC managers should prepare themselves for conversations with the SEC. The SEC’s Form PF email address was very helpful for Form PF, and RIC managers should request the same facility for Form N-PORT.

• Align all third-party reporting. Use this opportunity to make a virtue out of a necessity. Regulators will now have numerous types of disclosure reports that a firm is producing to scan for inconsistencies. Disparate disclosures are the easiest way to score a visit or an inquiry from a regulator. Unlike Form PF, investors will also have access to much of the new N-PORT filing data and will also be able to compare it to marketing documents and other information you provide them.

• Leverage your service providers and counterparties. This new world we live in requires all of your providers to be helpful in the process. Your counterparties should be able to provide you with detailed, consistently formatted data files, and fund administrators should be able to further normalize and enrich that information at month-end. Third-party software providers that offer regulatory reporting solutions should be able to offer approaches to integrate into your work streams.

• Embrace the new world. Investors and regulators will have an extraordinarily large amount of data. RIC managers will bear the additional burden of explaining it to investors. RIC managers will eventually reap the benefits of better investor decisions and fewer regulatory inquiries as everyone can understand the potential risks and rewards of investing in a particular fund.

Stress testing

Figure 1

9The SEC’s proposed rules on curbing RICs’ systemic risk |8 | The SEC’s proposed rules on curbing RICs’ systemic risk

Elements of regulatory reporting

Service layer

Report generation

Manipulation of display

Security master Customer master Transaction/holding data

CUSIP Tax ID Trade datePricing Name Settle date

Currency Domicile PositionSecurity type Restrictions Counterparty

Issuer ... ... ...Mandates Risk data

Tran

sfor

m d

ata

Valid

ate

Rules/ procedures

library

Calendardriven

Data request

Eventdriven(rules)

Workflow Workflow

Form

Data — XML

Manualadjustments

File reports

Dataacquisition layer

(auditable)

App

rova

l pro

cess

Form N-PORT

AIFMD risk reporting

CFTCCPO-PQR

Investor reports

EMIRreporting

Section 13reporting

TICreporting

13F reports

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