REGULATORY RISK REPORTING – N-PORT Risk Solution

Summary

Reporting of a fund’s complete portfolio holdings.

Reporting of additional information relating to derivative investments

Reporting includes certain risk metric calculations that measure a fund’s exposure and sensitivity to changing market conditions, such as changes in asset prices, interest rates, or credit spreads.

Reporting will need to be done in structured data format (i.e. XML)

Risk metrics at both portfolio level and position level is required

DV01/DV100, CS01/CS100 at portfolio level and Vega, Delta, Gamma at security level

Risk metrics reporting is applicable to funds who hold debt securities/derivatives where the funds holding in these asset classes exceeds 25% of the NAV
Frequency of filing: Monthly
Who should file?
All registered management investment companies, other than money market funds and small business investment companies (“SBICs”) and by UITs that operate as ETFs
Compliance Dates:
Funds with AUM > $1bn : June 01, 2018, Funds < $1bn : June 01, 2019 (This constitutes 67% of fund groups)

N-PORT : Asset Classes Supported

  • Fixed Rate Bond
  • Float Rate Bond
  • Step Rate Bond
  • Variable Rate Bond
  • Variable Amortized Bond
  • Fixed Amortized Bond
  • Short-Term Bond
  • Inflation Linked Bond
  • ABS/MBS *

* Requires additional data to be provided by client or acquired from AD&Co , Intex, WSO, etc  to support these asset classes.

  • All Equities/Funds
Listed Derivatives
  • Futures
  • Options
OTC Derivatives
  • CFD
  • IR Swaps
  • CD Swaps

N-PORT – Risk Analytics Requirements

Interest Rate Risk (DV01)

 For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Interest Rate Risk (DV100)

 For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Credit Spread Risk (SDV01, CR01 or CS01)

Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Similar details are required  for position level and in addition need values for ‘Delta’ and ‘Country of risk’i.e. Delta, Vega and Gamma for Option instruments

N-PORT: Dolphin Risk – Data Flow

N-PORT: Dolphin Risk – Sensitivity Analysis Examples

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