AIFMD Reporting Consultation Document - 06/06/2013
AIFMD reporting guidelines
Reporting, how to organise it , what to report and to whom is one of the issues on which the industry needs clarification for implementation to move ahead smoothly.
The first round of regulatory reporting under AIFMD will need to be filed with local EU regulators by 31 January 2014. This clarification from ESMA came in draft guidelines which were issued for consultation on 24 May 2013. ESMA’s draft reporting guidelines also provide a wide range of detail on the data requirements, format and logistics of the new AIFMD reporting regime. Comments on the consultation are requested by 1 July 2013. Some of the key aspects are highlighted below.
All existing AIFMs as of 23 July 2013 and any AIFMs authorised or registered after this date should file their first report by 31 January 2014. This first round of reporting should cover the period 23 July 2013 to 31 December 2013. After this first cycle of reporting, existing AIFMs or newly-authorised or registered AIFMs will report according to the frequency required of them under the Directive.
Authorised AIFMs must report information on all AIFs they manage, including those that are not marketed in the EU. ESMA confirms that AIFMs marketing under private placement are only required to report on AIFs marketed in the EU. However, it appears that non-EU AIFMs marketing under private placement will have to provide the results of stress tests in the regulatory reporting, thereby drawing such managers into the risk and liquidity provisions of the Directive.
For ease of reference, the ESMA paper provides a diagram which summarises the reporting obligations of AIFMs, as determined by the total value of assets under management and the nature of the AIFs managed or marketed.
ESMA clarifies that AIFs with different share classes denominated in different currencies should choose one base currency for the purpose of the reporting obligations and this base currency should be used across the reporting.
ESMA recommends that, where relevant, AIFMs should indicate whether the AIF is using high frequency trading (HFT) together with an estimate of the percentage in terms of the NAV of the AIF.
In relation to the risk profile, ESMA believes that AIFMs should report the VaR of the AIF as an additional measure of market profile.
Further clarifications and examples are also provided with respect to information to be provided on principal markets and instruments, the breakdown of investment strategies, principal exposures and most important concentrations, instruments traded and individual exposures.
Standardisation of the format of information
Since the information provided will need to be shared efficiently and be easily comparable across European regulatory authorities, ESMA has provided detailed codes, typologies and classifications which are set out in Annex V of the paper. Detailed IT guidance for XML filing is also provided in Annex VI.
Change in reporting frequency
AIFMs may need to alter their reporting frequency due to a shift in AuM. ESMA has identified seven different scenarios and provided guidance on how the shift to a different frequency should be managed.
It should be remembered that although issued only now, this is still a consultation paper. It illustrates the way in which the Level I requirements are currently being interpreted but remains subject to change.
Deloitte will be feeding back its own comments and suggestions through the industry groups in which it participates as our specialists analyse the details and implications of the consultation. We are also available to work with you in defining the framework and context of your reporting project.
Click here to read the draft reporting guidelines
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