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Introduction

Please click here for general information about file formats and delivery.

Note: The objective of this document is to set a baseline for the data files that we request from clients. It is common that data files will not meet all of the requirements below. We will review the files and propose solutions to deal with any issue that present themselves. These problems will often include: missing identifiers, missing counterparties, missing data on derivatives (e.g. underlying, multiplier, counterparty).

Overview of Files Required

We typically request 4 files:

  • Holdings file – a consolidated file with all the holdings of the fund
  • NAV file – with the official NAV of the fund
  • Currency rates file
  • Liquidity – To support liquidity monitoring we also ask for a simple file with high level information on subscriptions and redemptions in the month.
Frequency and timing

Files should ideally be delivered daily as soon as possible after the NAV calculation (e.g. by 5pm)

Simplified Holding File for Disclosures monitoring only

Note, for Disclosures monitoring only, a simplified version of the Data File Specifications is available. Click here for details. However, this should be used only where the client requires a Disclosures service only and not where they require any additional service such as investment compliance, risk monitoring, AIFMD Annex IV, 13F, Form PF etc.

File Contents

1. Holding File

The holding file should ideally contain the following details.

  • Asset type / category – if there is an asset type / classification available please include this within the file. More than one category / sub-category can be provided.
  • Fund code
  • Fund name
  • Instrument Identifiers (one or more – e.g. sedol or ISIN or RIC. For OTCs and cash provide a unique internal identifier)
  • Quantity*
  • Book cost local
  • Book cost base
  • Market value local
  • Market value base
  • Price local
  • Counterparty
  • Currency code (ISO 3 digit)
  • Asset type
  • FFX second leg currency code

*Note: where only Disclosures monitoring is required, then only the fields marked with an asterisk are strictly required. See further details in Part C.

For unlisted securities; as these would require a manual set-up; then please also provide:

  • Security Description
  • Issuer
  • Country Code
  • Exchange Name
  • Exchange Symbol
  • Agency
  • Agency Ratings
  • Sector

For derivatives, unless standard Tickers are being used, then please also provide:

  • Underlying identifier
  • Multiplier / Contract size
  • Strike
  • Delta
  • Exchange code – if available – for exchange traded derivatives

Where standard tickers are used, then we will not require the above derivatives data. See Appendix.

Notes:

  1. If any data element cannot be provided, then please nevertheless provide a column heading for the data element.
  2. For bonds, we suggest dirty price and values.
  3. Delta is required for some instrument such as options, swaptions and warrants. If Delta cannot be provided on this file, it can be provide on a separate file containing:
    i. Instrument identifier (consistent with the Holding file)
    ii. Delta
  4. These holdings files should include all the holdings of the scheme, including any cash, deposits, derivatives, Forward FX, margin, collateral etc. Ideally this should be consolidated into a single worksheet.
  5. Forward FX should enable us to see both legs of the forward fx – either on one line or two
  6. Counterparty should be captured against cash, deposits, margin, collateral, OTC derivatives. Ideally this should be a short counterparty code. A longer counterparty description can also be provided.
  7. Additional columns can be added – e.g. add multiple instrument identifiers.

2. NAV File

The NAV file is a simple file containing the official NAV of the fund. The following columns are required:

  • Fund Code (same as above fund code
  • NAV – this should be the official NAV value of the fund
  • Date (ideally ddmmyyyy format)

3. Currency Rates File

The Currency rates file is a simple file containing the currency rates that were used in the fund valuation. The following columns are required:

  • Scheme Base currency
  • Foreign Currency
  • Currency rate (to convert foreign currency to scheme base currency)

4. Liquidity Monitoring

To enable basic liquidity monitoring, we request that clients provide a file with the following details:

  • Fund Code (same as above fund code)
  • Subscriptions in last month (this should be a value in the base currency of the fund)
  • Redemptions in last month (this should be a value in the base currency of the fund)