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FUND 3.4 Reporting obligations to the FCA

Application

FUND 3.4.1 R

This section applies to a full-scope UK AIFM of:

  1. (1)

    a UK AIF;

  2. (2)

    an EEA AIF; and

  3. (3)

    a non-EEA AIF.

Reporting obligations

FUND 3.4.2 R

An AIFM must regularly report to the FCA on behalf of each AIF it manages:

  1. (1)

    the main instruments in which it is trading;

  2. (2)

    the principal markets of which it is a member or where it actively trades; and

  3. (3)

    the principal exposures and most important concentrations of each AIF it manages.

[Note: article 24(1) of AIFMD]

Content of reporting information

FUND 3.4.3 R

An AIFM must, for each UK AIF and EEA AIF it manages, and for each AIF it markets in the EEA, provide the following to the FCA:

  1. (1)

    the percentage of the AIF's assets that are subject to special arrangements arising from their illiquid nature;

  2. (2)

    any new arrangements for managing the liquidity of the AIF;

  3. (3)

    the current risk profile of the AIF and the risk management systems employed by the AIFM to manage the market risk, liquidity risk, counterparty risk and other risks, including operational risk;

  4. (4)

    information on the main categories of assets in which the AIF is invested; and

  5. (5)

    the results of the stress tests performed in accordance with FUND 3.6.3R (2) (Liquidity systems and procedures) and FUND 3.7.5R (2)(b) (Risk management systems).

[Note: article 24(2) of AIFMD]

FUND 3.4.4 R

An AIFM must, at the FCA's request, provide at the end of each quarter a detailed list of all AIFs which it manages.

[Note: article 24(3)(b) of AIFMD]

AIFs that employ leverage on a substantial basis

FUND 3.4.5 R

An AIFM managing an AIF that employs leverage on a substantial basis must make the following information available to the FCA about that AIF:

  1. (1)

    the overall level of leverage employed by the AIF;

  2. (2)

    a breakdown of leverage arising from borrowing of cash or securities and leverage embedded in financial derivatives;

  3. (3)

    the extent to which the AIF's assets have been reused under leveraging arrangements; and

  4. (4)

    the identity of the five largest sources of borrowed cash or securities for the AIF, and the amounts of leverage received from each of those sources.

[Note: article 24(4) of AIFMD]

Meaning of employing leverage on a substantial basis

FUND 3.4.6 EU

Use of leverage on a 'substantial basis'

1.

Leverage shall be considered to be employed on a substantial basis for the purposes of Article 24(4) of Directive 2011/61/EU when the exposure of an AIF as calculated according to the commitment method under Article 8 of this Regulation exceeds three times its net asset value.

[Note: article 111(1) of the AIFMD level 2 regulation]

Additional information1

FUND 3.4.6A R

1In addition to the information in FUND 3.4.2 R, an AIFM must regularly report the following information to the FCA:

  1. (1)

    on behalf of each AIF it manages:

    1. (a)

      the geographical focus of investments expressed as a percentage of the total value of assets under management;

    2. (b)

      an indication of whether a short position is used to hedge a position with a similar economic exposure;

    3. (c)

      the Value at Risk (VaR), if this is calculated for the AIF for any other purpose; and

    4. (d)

      the portfolio's sensitivity to a change in foreign exchange rates and commodity prices, if this is calculated for the AIF for any other purpose; and

  2. (2)

    the information in FUND 3.4.3 R for each non-EEA AIF it manages that is not marketed in the EEA, if that AIF is the master AIF of a feeder AIF which the AIFM also manages and that feeder AIF is:

    1. (a)

      an EEA AIF; or

    2. (b)

      a non-EEA AIF that is marketed in the EEA.

[Note: article 24(5) of AIFMD]

FUND 3.4.6B G

1Further details in relation to the additional reporting requirements in FUND 3.4.6A R can be found in ESMA's opinion on the “Collection of information for the effective monitoring of systemic risk under article 24(5), first sub-paragraph, of the AIFMD” (ESMA 2013/1340)2

(https://www.esma.europa.eu/sites/default/files/library/2015/11/2013-esma-1340_opinion_on_collection_of_information_under_aifmd_for_publication.pdf2) dated 1 October 2013.

Subordinate measures

FUND 3.4.7 G

Articles 110 and 111 of the AIFMD level 2 regulation provide detailed rules supplementing this section.

Guidelines

FUND 3.4.8 G

1 ESMA's guidelines on reporting obligations under articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD (ESMA 2013/1339)2

(https://www.esma.europa.eu/sites/default/files/library/2015/11/2013-1339_final_report_on_esma_guidelines_on_aifmd_reporting_for_publication_revised.pdf)2

provide further details in relation to the requirements in this section.

Further information

FUND 3.4.9 G

1Further information in relation to AIFMD reporting can be found in SUP 16.18 (AIFMD reporting), including information in relation to the frequency of reporting.