AIFMD must be transposed by Member States by 22 July 2013
We're working hard at FundApps to make sure we have the functionality in place to help alternative fund managers comply with the various aspects of the directive.
In particular we've been working on:
Leverage Calculation and monitoring
AIFMD mentions three methods for calculating leverage -
- Gross method: Which is calculated as the absolute value of all positions plus the market value of the equivalent underlying position for derivatives.
- Commitment method: Which is similar to the Gross Method but allows for some netting and hedging arrangements to reduce the exposure. This method is based on the UCITS method and calculates exposure as described in the CESR Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS.
- Advanced method: Which is more flexible and allows for further offsetting positions and the use of maximum loss measures.
We've implemented these methods as rules so that if you upload a file with your assets we can warn you if your are close to or above the leverage limits:
Calculating the "Regulatory assets under management" (RAUM)
To determine if an AIF is above the relevant thresholds for disclosure, derivatives must be converted into the absolute value of the equivalent underlying position. We've also implemented this as a rule to advise if you are close to the €100m/€500m thresholds.
Generating the report to be filed with the competent authority
ESMA has set out in Annex V of the Level 2 document a template for the information that the AIFM will need to submit for each AIF. It's a bit of a beast to be honest and includes static information (AIF Name, Inception date etc.), asset class breakdown (getting quite granular with sections such as "EU Sovereign bonds with a 0-1 year term to maturity"), turnover, currency exposure, counterparty exposures and much much more:
Rapptr calculates most of the information on the fly and will collect user input for the fields which cannot be calculated reliably via the information available. The final report is then generated with a single click.