AIFMD Annex IV – 2 solutions for Efficient Reporting

The AIFMD reports contain detailed information about the AIFM and the alternative investment funds (AIFs) it manages. This includes information about the AIFM’s operations, and details about the AIFs, such as their investment strategies, portfolio holdings, stress tests, and leverages.

The report is intended to provide regulators with a comprehensive overview of the AIFM and the AIFs it manages to ensure that they are operating transparently and responsibly.

It is an important tool for regulators to monitor the activities of AIFMs and ensure that they comply with relevant regulations.

What are the reporting periods for the AIFMD Annex IV reporting?

The Annex iv reporting frequency is annually, semi-annually, or quarterly, depending on various factors such as assets under management (AuM), leverage levels, asset types, and the registration or authorisation status of the AIFM. The initial filing deadline is set at 30 days following the conclusion of the first reporting period after the authorisation of the AIFM. Fund-of-Funds, however, are granted an additional 15 days to comply with the deadline.

• Yearly reporting: 30 or 45 days after the 31st of December.
• Half-yearly reporting: 30 or 45 days after the 30th of June and the 31st of December.
• Quarterly reporting: 30 or 45 days after the end of March, June, September and December.

Click on the image below to determine your reporting frequency:

Reporting obligation diagrams

What data fields and information need to be reported in the AIFMD Annex IV?

• AIF Information:
  • • Details of each AIF managed, including its name, type, assets under management (AUM), and domicile.
    • Information on the AIF’s investment strategy and objectives.
• Investor Information:
  • • Information about the AIF’s investors, including their categorisation (e.g., professional or retail), and the number of investors in each category.
    • Information on the AIF’s largest investors.

• Asset Information:
  • • Information on the AIF’s assets, including the asset classes in which it invests and their geographical distribution.
    • Information on the use of leverage within the AIF.

• Portfolio Information:
  • • Details of the AIF’s portfolio, including financial instruments and derivatives positions.

• Risk Metrics:
  • • Risk-related data, include value-at-risk (VaR), stress testing results, and concentration risk.

• Liquidity Information:
  • • Information on the liquidity profile of the AIF, including the liquidity of its assets and redemption terms for investors.
• Counterparty Information:
  • • Details of significant counterparties, including prime brokers and custodians.

AIFMD 2

Full text: https://www.consilium.europa.eu/media/67845/st14932-en23.pdf

The Article 24 is amended as follow (hashed =cancelled, bold=new):

Reporting obligations to competent authorities

1.   An AIFM shall regularly report to the competent authorities of its home Member State on the principal markets and instruments in which it trades on behalf of the AIFs it manages. It shall provide information on the main instruments in which it is trading, on markets of which it is a member or where it actively trades, and on the principal exposures and most important concentrations of each of the AIFs it manages.

It shall, in respect of each AIF it manages, provide information on the instruments in which it is trading, on markets of which it is a member or where it actively trades, and on the exposures and assets of the AIF. That information shall include the identifiers that are necessary to connect the data provided on assets, AIFs and AIFMs to other supervisory or publicly available data sources.’;

• The addition of identifiers (likely such as Legal Entity Identifiers – LEIs or other specific codes) enables better integration of AIF data with other supervisory or public data sources. This allows regulators to connect different datasets for a more detailed and traceable view of the AIF’s positions and risk exposures.
• AIFMs will need to report detailed data for each AIF, rather than aggregate data.

2.   An AIFM shall, for each of the EU AIFs it manages and for each of the AIFs it markets in the Union, provide the following to the competent authorities of its home Member State:

(a) the percentage of the AIF’s assets which are subject to special arrangements arising from their illiquid nature;

(b) any new arrangements for managing the liquidity of the AIF;

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

(d) information on the main categories of assets in which the AIF invested; and information regarding delegation arrangements concerning portfolio management or risk management functions as follows:

1. information on the delegates, specifying the delegates’ name and domicile, whether they have any close links with the AIFM, whether they are authorised or regulated entities for the purpose of asset management and where relevant, their supervisory authority, including the identifiers of the delegates that are necessary to connect the information provided to other supervisory or publicly available data sources;
2. the number of full-time equivalent human resources employed by the AIFM for performing day-to-day portfolio or risk management tasks within the AIFM; 2a) a list and description of the activities concerning risk management and portfolio management functions which are delegated;
3. where the portfolio management function is delegated, the amount and percentage of the AIF’s assets which are subject to delegation arrangements concerning the portfolio management function;
4. the number of full-time equivalent human resources employed by the AIFM to monitor the delegation arrangements;
5. the number and dates of periodic due diligence reviews carried out by the AIFM to monitor the delegated activity, a list of issues identified and, where relevant, the measures adopted to address those issues and the date by which those measures are to be implemented
6. where sub-delegation arrangements are in place, information required in points (1), (2a) and (3) in respect of the sub-delegates and the activities related to the portfolio and risk management functions that are sub-delegated;
7. the commencement and expiry dates of the delegation and sub-delegation arrangements.;

(e) the results of the stress tests performed in accordance with point (b) of Article 15(3) and the second subparagraph of Article 16(1).

(f) the list of Member States in which the units or shares of the AIF are actually marketed by the AIFM or by a distributor which is acting on behalf of that AIFM.;

• Information on delegates: This ensures greater transparency regarding the entities handling critical functions for the AIF, facilitating regulatory oversight of delegated functions.
• Human Resources (HR) Data: AIFMs will need to track and report their internal resource allocation, providing insight into whether the AIFM is adequately staffed for its oversight role.
  
• Due Diligence Reviews: AIFMs need to document their monitoring processes more thoroughly, including maintaining records of due diligence and follow-up actions.
  
• Member States in which ther shares are actually marketed

FCA AIFMD reporting

AIFMD Annex IV – Useful links

• ESMA AIFMD Annex IV Guidelines
• ESMA FAQ
• AIFMD Annex IV IT technical guidance (rev 6)
• ESMA Guidelines on Article 25 (Risk / Leverage)
• ESMA Final Report on Guidelines on Article 25
• ESMA Opinion on Risk Metrics
• Guidelines on liquidity stress testing in UCITS and AIFs per jurisdiction
• CSSF AIFM Reporting – Technical Guidance
• CSSF Circular 14/581
• CSSF Circular 23/844
• CSSF AIFMD webpage
• CSSF AIFMD FAQ
• CSSF AIFMD Annex IV identifiers list

CSSF S3

The CSSF deploys the S3 (Simple Storage Service) solution, an object storage system accessible via a web service interface for secure file exchanges.

In the CSSF S3 system, data is stored as objects organised within buckets. An object represents a file and includes associated metadata.

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Learn more about our CSSF S3 Bucket Explorer:

CSSF S3