AIFMs: Reporting Guidelines Issued by MFSA

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The Alternative Investment Fund Managers Directive (‘AIFMD’) was transposed into Maltese Law in July 2013. The AIFMD sets rules for the authorisation, ongoing operation and transparency of the Alternative Investment Fund Managers (‘AIFMs’) which manage and/or market Alternative Investment Funds (‘AIFs’).

An AIF is a collective investment scheme, including sub-funds thereof, which raises capital from a number of investors, with a view to investing it in accordance with a defined investment policy for the benefit of those investors, and which does not qualify as a UCITS Scheme in terms of the UCITS Directive.

The Malta Financial Services Authority (‘MFSA’) has published guidelines for AIFMs. In terms of Articles 3(3)(d) and 24 of the AIFMD, AIFMs are required to report to the MFSA information on the main instruments in which they are trading and on the principal exposures and most important concentrations of the AIFs that they manage. This reporting is intended for the MFSA to effectively monitor systemic risk. The MFSA provides for the transmission of such information to the European Securities and Markets Authority (‘ESMA’).

Reporting Period Deadlines

The reporting frequency depends on the licence status of the AIFM, and the calculation of the assets under management (‘AUM’). AIFMs subject to annual reporting obligations will report once a year on the last business day of December, and AIFMs subject to semi-annual reporting obligations will report twice a year on the last business days of June and of December. AIFMs subject to quarterly reporting obligations will report four times a year on the last business days of March, June, September and December. In any case, reports must be submitted to the MFSA within one month from the end of the reporting period.

AIFMs subject to quarterly or half-yearly reporting obligations must submit the information prescribed in Article 24(5) of the AIFMD

Liquidation/Merger of an AIF

Immediately following the AIF’s liquidation/merger, the MFSA must be provided with the AIFM’s latest report.

Extensible Mark-Up Language (‘XML’) Reporting Format

AIFMs shall only submit their returns in XML format as expressed by ESMA. It is advised that specific files are reported for each AIF.

The returns will be rejected if the National Codes are not filed correctly.

Moroever, each share class has to be disclosed separately. The submission of the ISIN Code of the respective share class is optional depending on whether the class has an ISIN Code. AIFs with different share classes denominated in different currencies shall choose one base currency for the purpose of the reporting obligations and such currency shall be used throughout the reporting.

AIFMs Employing Leverage on a Substantial Basis

These AIFMs are also required to report to the MFSA the information prescribed in article 24(4) of the AIFMD. AIFMs managing AIFs that employ leverage on a substantial basis shall report the following information to the MFSA:

  • The overall level of leverage employed by the AIF;
  • A breakdown of leverage arising from borrowing of cash or securities and leverage embedded in financial derivatives;
  • The extent to which the AIF’s assets have been reused under leveraging arrangements; and
  • The identity of the five largest sources of borrowed cash or securities for the AIF, and the amounts of leverage received from each of those sources.

 

AIFMs which are in possession of a licence issued by the MFSA, and are subject to either quarterly or annual reporting obligations, are required to report the following additional information provided in the ESMA Opinion:

  • Information on high frequency trading, including the total number of transactions and the corresponding market value of buys and sells over the reporting period;
  • Whether a short position is used to hedge a position with similar exposure and, if so, the extent of the hedging expressed as a percentage of the position hedged;
  • A geographical breakdown of the AIF’s investments;
  • Information on risk measures including vega exposure, value-at-risk13, net FX delta as well as net commodity delta; and
  • Information on non-EU master AIFs not marketed in the EU.

Submission of AIFM Return Files

AIFM Reports shall be submitted through the MFSA’s dedicated Licence Holder Portal. This portal will allow the user to upload files and to monitor and track their submission history in a secure and highly confidential manner. The IP address or addresses which will be used for the reporting of files must have been originally registered. If the files are rejected, the AIFMs will be required to amend the files and submit an updated version in a timely manner.