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ESMA updates Q&A on AIFMD….Again

On 11 November 2014, ESMA published its sixth Q&A (ESMA/2014/1357) on the Alternative Fund Managers Directive (AIFMD).  The latest version provides a brief update on the reporting obligations to national competent authorities under Articles 3, 24 and 42 (Section III).  It also adds a new section on the calculation of the total value of assets under management (Section VIII).  The new clarification and additions are excerpted in full below.

Section III: Reporting to national competent authorities under Articles 3, 24 and 42

Question 27: When answering questions 148 and 149 of the consolidated reporting template, should AIFMs include repo and reverse repurchase agreements?

Answer 27: Yes, but AIFMs should only include securities received by the AIFs.

Question 47: AIFMs shall report the value of collateral and other credit support posted to all counterparties (questions 157 to 159 of the consolidated reporting template). Should AIFMs include collateral passed to a clearing member for transmission to a CCP in these questions?

Answer 47: Yes.

Question 48: How should AIFMs calculate the turnover expressed in notional value for derivative instruments (question 127 of the consolidated reporting template)?

Answer 48: AIFMs should convert the derivative positions into an equivalent position in the underlying assets as prescribed in Article 10 and Annex II of the implementing Regulation using the value at the date of the trade and not at the reporting date.

Question 49: In which categories should AIFMs allocate sovereign bonds which fall in the categories ‘Non-G10 with 0-1 year/1year+ term to maturity’ and also in the categories ‘EU bonds with 0-1 year/1 year + term to maturity’?

Answer 49: AIFMs should allocate those sovereign bonds to the categories ‘EU bonds with 0-1 year/1 year + term to maturity’.

 

Section VIII: Calculation of the total value of assets under management

Question 1: Should AIFMs include short derivative positions in the calculation of the total value of assets under management?

Answer 1: Yes. According to Article 2(3) of the implementing Regulation, AIFMs should convert derivative instrument positions (both long and short) into an equivalent position in the underlying assets and the absolute value of that equivalent position should then  be used for the calculation of the total value of assets under management.

Question 2: Should AIFMs include short non-derivative positions for the calculation of the total value of assets under management?

Answer 2: Yes. According to Article 2(1)(b) of the implementing Regulation, AIFMs have to take into account assets acquired through leverage.

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