Full Portfolio Holdings

This white paper addresses the following openfunds fields:

OFIDopenfundsIDValueTypeRisk
OFST010020Legal Fund Name Including Umbrella    
OFST010410Fund Currency    
OFST020000ISIN    
OFST020010Valor    
OFST020015WKN    
OFST020040SEDOL    
OFPH000010Holding as at Date    
OFPH000020Portfolio Currency    
OFPH000030Holding Level    
OFPH000050Portfolio Duration    
OFPH000100Holding ISIN    
OFPH000110Holding WKN    
OFPH000120Holding VALOR    
OFPH000130Holding Ticker    
OFPH000135Holding MIC    
OFPH000140Holding SEDOL    
OFPH000145Holding CUSIP    
OFPH000150Holding APIR Code    
OFPH000155Holding Bloomberg Ticker    
OFPH000170Holding FIGI    
OFPH000190Holding Other Identifier    
OFPH000195Holding Other Identifier Type    
OFPH000200Holding Name    
OFPH000205Holding Grouping Code    
OFPH000210Holding Instrument Type    
OFPH000215Holding CIC    
OFPH000250Holding Market Value in Portfolio Currency    
OFPH000255Holding Market Value in Holding Currency    
OFPH000260Holding Clean Market Value in Portfolio Currency    
OFPH000270Holding Market Exposure in Portfolio Currency    
OFPH000275Holding Market Exposure in Holding Currency    
OFPH000280Holding Market Exposure in Weight    
OFPH000290Holding Contract Size    
OFPH000300Holding Net Weight as Percentage    
OFPH000400Holding Currency   
OFPH000410Holding NACE Code    
OFPH000420Holding Risk Country    
OFPH000430Holding Asset Class    
OFPH000435Holding GICS Sector    
OFPH000440Holding Credit Rating    
OFPH000445Holding Credit Rating Agency    
OFPH000450Holding Number of Shares    
OFPH000455Holding Price in Holding Currency    
OFPH000460Holding Coupon Rate    
OFPH000465Holding Modified Duration    
OFPH000470Holding Nominal Amount    
OFPH000480Holding Maturity Date    
OFPH000485Holding Yield to Maturity    
OFPH000490Holding Bond Floor    
OFPH000495Holding Option Premium    
OFPH000500Holding Delta Adjusted Exposure    
OFPH000600Holding Interest Rate Type    
OFPH000605Holding Interest Rate Reference ID    
OFPH000610Holding Interest Rate Index ID Type    
OFPH000615Holding Interest Rate Index Name   
OFPH000620Holding Interest Rate Margin    
OFPH000625Holding Coupon Payment Frequency    
OFPH000630Holding Redemption Type    
OFPH000635Holding Redemption Rate    
OFPH000640Holding Callable Putable    
OFPH000645Holding Call Put Date    
OFPH000650Holding Issuer Bearer Option Exercise    
OFPH000655Holding Strike Price for Embedded Options    
OFPH000700Holding Issuer Name    
OFPH000710Holding Issuer LEI    
OFPH000715Holding Subordinated Debt    
OFPH000720Holding Nature of Tranche    
OFPH000725Holding Credit Quality Step    
OFPH000730Holding Strike Price    
OFPH000735Holding Effective Date    
OFPH000740Holding Exercise Type    
OFPH000800Holding Underlying Asset CIC    
OFPH000805Holding Underlying Asset ISIN   
OFPH000810Holding Underlying Asset WKN    
OFPH000815Holding Underlying Asset Ticker    
OFPH000850Holding Underlying Asset Name    
OFPH000855Holding Underlying Asset Currency    
OFPH000860Holding Underlying Asset Coupon Rate    
OFPH000865Holding Underlying Asset Coupon Payment Frequency    
OFPH000870Holding Underlying Asset Maturity Date    
OFPH000900Holding Original Portfolio ID    

Introduction

While most openfunds fields describe specific attributes of a fund, these ‘Full Portfolio Holding’ (FPH) fields investigate the fund and provide information on a more granular level, the fund’s investments.

Apart from ‘Fund Ratios and Exposures’ there are only few relations into other openfunds field categories. Therefore, openfunds introduces a new set of fields, which can be recognized by the ‘OFPH’ prefix.

There is another difference to other openfunds field areas. While others, like portfolio managers (OFPM), dynamic data (OFDY) or regulatory data (OFEM, OFEP) usually intend for a clearly defined purpose and therefore ask for a quite fixed set of fields, the need for full portfolio holding data depends on the purpose.

Different purposes for Full Portfolio Holdings

The following chart shows three exemplary use cases for full portfolio holdings. There might be more however, these three scenarios were those considered by the openfunds FPH working group.

Look through

Assume a portfolio consisting of stocks, bonds, cash, and funds. There might be a need to look through the fund into its single investments as they might complement or overlap with the portfolio’s direct investments. Private banks might want to provide that look through to their clients to provide an improved transparency.

ESG, ‘Environmental, Social, and Governance’ purposes might also require that information as an investor might want to know the ultimate investment for his own ESG analysis. (However, fund companies usually provide ESG data for their funds, which gives a good, but summarized ESG insight of their single funds.)

For the purpose of a look-through the minimum requirement is no more than an identifier. The recipient of a FPH file then can match the constituents’ identifier with his own instrument database. Although the ISIN represents the broadest acceptance amongst fund industry participants, openfunds also provides additional identifying fields as there are countries where different identifiers are the norm.

Calculation of Fund Ratios and Exposures

The white paper “Fund Ratios and Exposures” lists the most used ratios for funds evaluation and comparisons. All these ratios can be found on the periodically distributed fact sheets which provide an update to the investors.

The calculation of these numbers is based on the fund constituents’ numbers, which usually include values, weights and additional information like currencies, number of shares etc., which can be used for checks and foreign currency translations.

If derivatives are used by the fund, delta-adjusted values of the market exposure instead of the instrument’s market value should be used for this purpose. Other derivatives like swaps should be split up into two lines (two legs).

If the purpose of the full portfolio holding delivery is to provide the underlying data for fund ratios and exposures calculation only, it might be worth to consider a data delivery of the calculated data as described in the above mentioned white paper “Fund Ratios and Exposures”.

Risk analysis

There are a variety of different risk analysis that can be run on a fund portfolio. Normally the asset manager will buy some specialized software or even develop his own proprietary software to solve this task. Also, the size of necessary input data is closely linked to the kind of risk analysis but can be huge. Therefore, it seems impossible to provide a dataset that can be used for all kind of risk analysis on the recipient’s side.

The suggested set of fields for risk analysis follow two rules:

  1. The number of fields should be kept to a reasonable minimum.
  2. It should use existing data fields from acknowledged data standards instead of creating new ones. Therefore, fields from the Tripartite Template version 6.0 that can be found on FinDatEx’s webpage (www.findatex.eu) was used whenever possible. For further explanation please see below in “Difference to other FPH datasets and limitations”.

Therefore, the approach of openfunds was to suggest a practical set of data fields that was developed by fund experts in a working group in 2021/22. The intention of the dataset is a best-practice approach, and it is based on files that are used at the time the working group was discussing the fields.

Link between purpose and necessary fields

Figure 1: The purpose of FPH delivery and the associated data types
The size of the circles represents the number of fields necessary to fulfil the purpose.

It is a good idea to get a mutual understanding of the FPH’s delivery purpose between data sender and data recipient as not only the number of fields may increase, but also the complexity of the needed data fields will increase substantially.

While the number of required fields and the complexity already are good reasons to decide whether a reduced number of fields might be sufficient for the required purpose, data confidentiality is another one. For the professional management of big portfolios data confidentiality can be crucial especially if the portfolio includes positions with a reduced market liquidity or with a high price sensitivity. Therefore, full portfolio data information usually is distributed not before the end of an embargo period or only after the recipient has agreed to a non-disclosure agreement (NDA) or both.

Common embargo periods depend on the holdings held within the portfolio. While for a traditional bond, equity, or mixed portfolio an embargo of 30 days seems reasonable, this period can be prolonged to 3 or even 6 months if the portfolio contains illiquid positions or big positions in narrow markets.

The colour coding of fields at the beginning of this paper helps to give an indication which fields are needed for any of the three listed purposes.

Difference to other FPH datasets and limitations

With the EU solvency regulation which entered into force in 2016 a European working group created the tripartite template (TPT). In 2022 TPT version 6 was introduced. It includes 143 fields, which are used to perform calculations of risk exposures that are required by European insurance companies for their investments. The TPT standard contains direction on which fields must be provided for each instrument and contains 93 fields that are mandatory or conditional for at least one instrument type. Considering the depth of information asset managers usually ask for NDA’s and insist on longer embargo periods for this information. The intent of the openfunds FPH dataset is to be more lightweight and flexible, to be used for other use cases outside of Solvency II reporting.

However, the TPT is common to European asset managers if their funds are bought by insurance companies, so the openfunds FPH solution uses existing TPT fields when it is appropriate and adopts naming and values to its own standards in order to offer direct mapping between the two wherever possible.

The main differences to the TPT are:

  • Reduced set of fields
  • Field name and value adoption to openfunds conventions
  • Multipurpose approach
  • Individual field descriptions

Derivatives and Swaps

For a deep risk analysis, a good understanding of the derivatives’ behaviour within the portfolio is crucial. While for look-through purposes the market value of the derivative (the amount of money one would receive when selling the derivative, also called the total amount invested in that derivative) might be sufficient, this might not be the case for the risk analysis where the market exposure, also called notional value, is more appropriate. Usually, the market exposure or notional value for options, futures and forwards is much higher than the derivative’s market value. Put in other words, the derivative’s market value equals the total amount invested into that derivative, while the market exposure or notional value of the same derivative represents the total amount associated with that investment.

Even more, a third value called “Holding Delta Adjusted Exposure” (OPFH000505) might be the one that is most appropriate for doing some risk analysis. This value considers that the ‘Delta’ or the price sensitivity of the derivative on changes of the underlying asset usually is less than 1. Hence, the market exposure/ notional values of the holding (OFPH000270, OFPH000275, OFPH000280) shall be multiplied by the ‘Delta’.

Like most ‘Full Portfolio Data’ file as well as the TPT each asset or instrument of a portfolio is listed in a separate line. However, there are instruments such as various types of ‘Swaps’ that are a combination of two underlying agreements. As those two agreements are usually based on different underlying assets the question is represent the Swap holding in one line of the Full Portfolio Holding file (one leg approach) or in two lines (two leg approach).

The advantage of the one leg approach is the reduced number of columns needed compared to the two legs approach. What makes it even worse is that in most portfolios the number of this type of derivatives is very small to none, but this approach would create blank columns for all holding positions in the file.

On the other hand, if one puts the two agreements within a Swap into two separate lines (two legs approach) an additional field is needed that links those two lines together. This is the only purpose of the OFPH000205 Holding Grouping Code, which should only be used for this type of derivatives.

Please note that, like the TPT, the openfunds FPH field definitions do not support the one leg approach as this would mean to enlarge the field set quite substantially with fields that needed to be included in the file but would be left empty in the vast majority of transmitted files.

FPH template

An FPH template recommendation can be found here, giving examples of both a “full” template, including all 81 fields for maximum detail, and a more lightweight “basic” template, using a more minimal set of 24 fields.

Document Information

Title:Full Portfolio Holdings
Language:English
Confidentiality:Public
Authors:Michael Partin, Charlie Duffin

Revision History

Version    DateStatusNotice
1.02022-09-16DraftFirst version.

Implementation

If you have any questions about the new data type or difficulties with implementation, please contact us at businessoffice@openfunds.org.

Joining openfunds

If your firm has a need to reliably send or receive fund data, you are more than welcome to use the openfunds fields and definitions free-of-charge. Interested parties can contact the openfunds association by sending an email to: businessoffice@openfunds.org

openfunds.org
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Tel.: +41 44 286 80 20
Email: businessoffice@openfunds.org

If you wish to read or download this white paper as PDF, please click here.