ESMA provides clarification on the reporting of risk measures under AIFMD

The CSSF draws attention to the publications dated 28 May 2021 concerning new ESMA Q&As and an updated Opinion “Collection of information for the effective monitoring of systemic risk under Article24(5), first subparagraph, of the AIFMD, in order to provide clarifications on the risk measures included in the AIFMD reporting (data fields 138 to 147 of the AIFMD reporting template). These publications aim at harmonising the calculation of these measures and ensure that they are consistent and comparable across the EU by defining notably the measurement unit, time reference and scope and by providing illustrative examples.

The risk measures (Net DV01, NET CS01, Net Equity Delta) that were explicitly mentioned in the Commission Delegated Regulation (EU) No 231/2013 supplementing the AIFMD are clarified via the three new Q&As 84-86 in section III of the ESMA Q&A on the application of the AIFMD.

The other risk measures (Value-at-Risk, Net FX delta and Net commodity delta) that were introduced in 2013 via the Opinion ESMA/2013/1340 in accordance with Article 24(5) of the AIFMD are clarified via an update of the same Opinion, and more specifically by complementing section “Information on risk measures”. The other parts of the updated Opinion ESMA50-164-4575 remain unchanged compared to the original ESMA opinion.