On 28th May 2021, ESMA published an update on its FAQ on the application of the Alternative Investment Fund Managers Directive (AIFMD).
Three new questions related to Annex IV reporting were added to the document. In the Section III question number 84, 85 and 86, ESMA provided detailed explanations and examples on the reporting obligation of NET DV01, NET CS01 and NET Equity Delta of the AIF. AIFMs should report the market risk values of the AIFs managed. If the risk is not applicable to the AIFs, AIFMs should report value zero and provide explanations in the „Risk Measure Description“ field, using the example text provided in the FAQ, i.e. „no exposure to this risk“.
In addtion to the above, amendment to three questions were updated in section XV, related to the performance cost of UCITS and certain types of AIFs.
More details of the FAQ can be found in ESMA’s website.
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