The AIFMD Level 2 Regulation specifies the frequency and type of reporting, which may be required on a quarterly, semi-annual or annual basis depending on various characteristics of the AIFM and the complexity of the AIFs under management, including:

• The status of the manager, i.e. whether it has a passport to market its product in the EU, or if it is EU-domiciled;

• The value of AuM in portfolios of AIFs managed by a given AIFM;

• Whether an AIF employs leverage on a substantial basis;

• The type of assets in which an AIF invests.

See below for more on the concepts of AuM and Leverage.

There are 9 different AIFM Reporting codes and 45 different AIF Reporting codes. You can work out the reporting codes using the Funds-Axis’ decision tree for AIFMD Annex IV Reporting“.

For further information on small AIFMs, see the following page: AIFMD Small and Registered AIFM.

AIFMs that have been authorised by an EEA member state are required to submit “transparency returns” (‘Annex IV reporting’) to the National Competent Authority (NCA) of the member state that authorised them to manage an AIF.

The situation is more complex for non-EEA AIFMs. AIFMs from outside the EEA that market their AIFs into any EEA state, using the National Private Placement Regime (NPPR), must submit transparency returns to the NCA of each member state where they market those AIFs. This means that there is a need to have an awareness of the jurisdictional subtleties applying in each Member State.

For further information on the implementation of the AIFMD Annex IV reporting requirements in each EEA member state, see the AIFMD Annex IV Country Comparison Portal.

Annex IV Reporting is a significant reporting challenge, consisting of more than 40 detailed questions and 300 data fields.

The Annex IV reporting requirements break down between 24(1), 24(2) and 24(4) Reporting. This naming reflects the relevant Articles of the AIFMD Directive in which the requirements are found. Article 24(1) has AIFM level reporting requirements and AIF level reporting, whereas 24(2) and (4) only have AIF level reporting requirements.

Whilst the above reporting is mandatory where applicable, Article 24(3) provides for additional reporting at the request of the NCA.

Under Article 24(1) of the AIFMD, for each EU AIF managed or each AIF marketed in the Union, managers are required to report on:

• The breakdown of investment strategies,

• The concentration of investors,

• The main categories of assets held by the AIF, including principal exposures and concentration, and the regional investment focus.

Under Article 24(2) affected AIFs are subject to more extensive disclosure of:

• The percentage of the AIF’s assets which are illiquid;

• Any new arrangements for managing the liquidity of the AIF;

• The risk management systems employed by the AIFM to manage the market risk, liquidity risk, counterparty risk and other risks including operational risk;

• The current risk profile of the AIF, including:
  o The market risk profile of the investments of the AIF, including the expected return and volatility of the AIF in normal market conditions;
  o The liquidity profile of the investments of the AIF, including the liquidity profile of the AIF’s assets, the profile of redemption terms and the terms of financing provided by counterparties to the AIF;

• Information on the main categories of assets in which the AIF invested including the corresponding short market value and long market value, the turnover and performance during the reporting period; and

• The results of periodic stress tests, under normal and exceptional circumstances

Under Article 24(4), AIFs that employ substantial leverage are required to report:

• The extent of reuse (rehypothecation) of AIF assets;

• The value of cash and securities borrowing;

• The breakdown of leverage from cash, securities and derivatives;

• The total leverage under Gross and Commitment methods; and

• The 5 largest sources of leverage from borrowed cash or securities.

The majority of the calculations in the Annex IV Report are based on analysis of the calculated “AUM”, whilst some reporting is also required based on market value. The rules for computation of the AUM (asset under management) are set out in Art.2 of the Level II Regulation.

There is also a requirement to calculate the leverage of the AIF under the commitment method and under the gross method. The calculation methodology for commitment exposure is detailed in Art.8 of the Level 2 Regulation.

As set out above, the reporting required depends upon whether the AIF is leveraged on a substantial basis. According to Art.111 of the Level 2 Regulation, leverage shall be considered to be employed on a substantial basis when the exposure of an AIF calculated according to the Commitment Method exceeds three times the fund’s net asset value.

For full analysis of these calculations, see the
Funds-Axis Guide to UCITS and AIFMD Exposure calculations. and the specific guide on the treatment of borrowing for the purposes of calculating exposure for AIFMD.

Notwithstanding all the Guidance and FAQs, there remains lack of clarification on a number of issues, including the treatment of share class hedges.

In making the reporting, there are detailed data taxonomies that need to be followed, including in respect of the AIFM and AIF Reporting Codes, AIF Strategy, typical position size, transaction type, redemption frequency and investor group.

There are also required taxonomies for asset types for holdings and asset types for turnover, countries and regions etc.

For an overview of these different requirements, see the Funds-Axis Guide to AIFMD data taxonomies.

The reporting must be submitted to regulators in an XML format. ESMA has published sample xml / xsd documents and AIFMD IT Technical Guidance (now on version 4).

Whilst there is large consistency between the filings required by each regulator, there are some differences between the jurisdictions and some gold-plating. This includes differences in the treatment of optional fields and also reporting differences.

Additionally, ESMA has issued an opinion on 1st October 2013 advising EU authorities to collect certain additional information in AIFMD Annex IV reports to assist them in monitoring systemic risk. This has led to further inconsistencies between jurisdictions. Click here for further details. Specific details on the UK’s implementation of the AIFMD can be found here. For more on the difference of treatment of non-EU master AIFs, see further here.

This is particularly a challenge for firms continuing to use the National Private Placement Regime as they need to stay abreast of the Annex IV requirements in all of the jurisdictions in which they are fundraising. In reporting to each jurisdiction, they will also need to use their AIF reporting code for that particular jurisdiction.

Click here for our AIFMD Annex IV – Country Comparison Portal.

Funds-Axis AIFMD Annex IV Portal tracks up to date information on all these jurisdictional differences.

According to Article 110 of the Level 2 Regulation, AIFM reporting information shall be provided to the home National Competent Authority as soon as possible and no later than one month after the end of the reporting period.

Where the AIF is a fund of funds this period may be extended by 15 days.

As above, the requirements are found at:

• AIFMD Directive –the reporting requirements are set out Article 24

• AIFMD Level 2 Regulation – the Reporting Template and data taxonomies are set out at Annex IV

Additionally, ESMA has published the ESMA Guidelines on reporting obligations complement Annex IV of the Level 2 Regulation by providing technical definitions and concrete filing instructions.

The purpose of the ESMA Guidelines is to ensure common, uniform and consistent application of the reporting obligations to national competent authorities (NCAs) stemming from Art.3(3)(d) and 24(1), (2) and (4) of the AIFMD. They provide clarification on the information that AIFMs must report to NCAs, the timing of the reports and the procedures to be followed when AIFMs move from one reporting obligation to another.

The Guidelines have applied since 8 October 2014.

• ESMA AIFMD REPORTING IT TECHNICAL GUIDANCE (REV 4) [UPDATED] 23 September 2014. (See ESMA 2013/1358)

This includes the sample xml / xsd documents and AIFMD IT Technical Guidance (now on version 4) and also the “Table 3” with the data taxonomy for countries and regions.

• ESMA AIFMD REPORTING – ANNEX 2 -TABLES 1-7 (ESMA 2013/1586, 15 November 2013)

• ESMA TABLES 8-9-10 OF ANNEX 2 OF ESMA GUIDELINES ON AIFMD REPORTING OBLIGATION (REVISED) (ESMA 2013/1360, 15 November 2013)

• ESMA 2014-869, Guidelines on reporting obligations under Articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD

This includes further detail on the calculations required for a number of the sections. This also includes helpful decision Trees on filing obligations and restates the above tables.

• ESMA’s Questions and Answers Application of the AIFMD. – last updated 23 July 2018

For details of how AIFMD Annex IV requirements have been transposed in different jurisdictions and for details of guidance issued by national authorities, see the AIFMD Annex IV – Country Comparison Portal.

ESMA has issued an opinion on 1st October 2013 advising EU authorities to collect certain additional information in AIFMD Annex IV reports to assist them in monitoring systemic risk.

Click here for further information.

Whilst an AIFM must provide the required information on behalf of the AIFs it manages to its home NCA, Article 53 of AIFM Directive also requires NCAs to cooperate and exchange information on the AIFMs under their supervision. ESMA and the European Systemic Risk Board should also be informed.

In this regard, ESMA has been receiving the data from the individual jurisdictions and has built out a large data warehouse to enable them to perform systematic analysis of the reported information.

On April 4, 2018 ESMA issued its first analysis based on the Annex IV reporting requirements – April 2018, ESMA Report on Trends, Risks and Vulnerabilities No. 1, 2018”. According to the report, “not all of the data reports showed an adequate level of quality.” In addition, the report confirms that ESMA is working continuously with National Competent Authorities to improve the coverage and quality of the AIFMD data.

ESMA intends to adopt a routine program of review and will “continue to develop descriptive market statistics, trend indicators, and risk metrics on an EU-wide basis to support NCAs supervisory activities and inform policy-making processes.”

The Funds-Axis Cloud Platform performs all the relevant calculations, automatically applies all the relevant data taxonomies and enables one-click generation of the required regulatory reports.

Features include:

• AUM & Leverage Calculations

• ESMA classification mapping




• Automated data importing, calculations, recording, transformation and control

• Validation, population and submission




• Ability to meet the technical filing requirements of multiple jurisdictions

• Automated audit trail

We also provide a full managed service in respect of all regulatory reporting, including Annex IV. Our consultants have extensive knowledge of the AIFMD Annex IV regulation and of filing to the different regulators.