The European Securities and Markets Authority (ESMA) has published an updated opinion (ESMA50-164-4575) on the collection of information for the effective monitoring of systemic risk under Article 24(5) of the Alternative Investment Fund Managers Directive (2011/61/EU) (AIFMD).
In its opinion, ESMA provides details of a set of additional information that national competent authorities (NCAs) could require alternative investment fund managers (AIFMs) to report on a periodic basis pursuant to Article 24(5) of the AIFMD. In particular, ESMA aims to provide clarification on three risk measures (value-at-risk, net FX delta and net commodity delta) that are already included in its 2013 opinion, by providing definitions of each measure and practice examples to aid reporting. The remainder of the opinion that does not relate to these matters is unchanged.
ESMA explains that its October 2013 final report on guidelines on reporting obligations, under Articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD, clarify the content of the information that AIFMs should provide to their NCAs when complying with those provisions of the AIFMD. However, ESMA believes that the effective monitoring of systemic risk potentially caused by one AIFM, or a group of AIFMs, would be improved by NCAs adopting a common approach when making use of their power to require additional information under Article 24(5) of the AIFMD. This would allow for a more comprehensive oversight of AIFMs’ activities by supplementing the reporting currently required in areas such as risk measures and short positions.
Opinion: Collection of information for the effective monitoring of systemic risk under Article 24(5), first subparagraph, of the AIFMD (ESMA50-164-4575)
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