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ESMA updates its Opinion on reporting information under the AIFMD

Last Updated on November 23, 2023 by Arnaud Collignon

The ESMA Opinion provides details on a set of additional information that, in ESMA view, NCAs could require AIFMs to report on a periodic basis pursuant to Article 24(5), first sub-paragraph of the AIFMD. In particular, the updates aim at providing clarifications to three risk measures (Value-at-Risk, Net FX delta and Net commodity delta) already included in the Opinion in the section “Information on risk measures”. This section has been amended to provide guidance to AIFMs, with definitions of the abovementioned risk measures and practical examples for the reporting. The content of the Opinion that does not refer to these measures is maintained as published in 2013.

ESMA has complemented the Opinion with three new Q&As, also published today.  The new Q&As provide clarification on the reporting of three risk measures included in the AIFMD: Net DV01, NET CS01, Net Equity Delta.

ESMA Opinion: https://www.esma.europa.eu/sites/default/files/library/esma50-164-4605_opinion_risk_metrics.pdf

ESMA FAQ: https://www.esma.europa.eu/press-news/esma-news/esma-updates-aifmd-qas-1

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