FUND 3.4 Reporting obligations to the FCA

This section applies to a full-scope UK AIFM of:

1. (1)

   a UK AIF;

2. (2)

   an EEA AIF; and

3. (3)

   a non-EEA AIF.

An AIFM must regularly report to the FCA on behalf of each AIF it manages:

1. (1)

   the main instruments in which it is trading;

2. (2)

   the principal markets of which it is a member or where it actively trades; and

3. (3)

   the principal exposures and most important concentrations of each AIF it manages.

[Note: article 24(1) of AIFMD]

An AIFM must, for each UK AIF and EEA AIF it manages, and for each AIF it markets in the UK4, provide the following to the FCA:

1. (1)

   the percentage of the AIF's assets that are subject to special arrangements arising from their illiquid nature;

2. (2)

   any new arrangements for managing the liquidity of the AIF;

3. (3)

   the current risk profile of the AIF and the risk management systems employed by the AIFM to manage the market risk, liquidity risk, counterparty risk and other risks, including operational risk;

4. (4)

   information on the main categories of assets in which the AIF is invested; and

5. (5)

   the results of the stress tests performed in accordance with FUND 3.6.3R (2) (Liquidity systems and procedures) and FUND 3.7.5R (2)(b) (Risk management systems).

[Note: article 24(2) of AIFMD]

An AIFM must, at the FCA's request, provide at the end of each quarter a detailed list of all AIFs which it manages.

[Note: article 24(3)(b) of AIFMD]

An AIFM managing an AIF that employs leverage on a substantial basis must make the following information available to the FCA about that AIF:

1. (1)

   the overall level of leverage employed by the AIF;

2. (2)

   a breakdown of leverage arising from borrowing of cash or securities and leverage embedded in financial derivatives;

3. (3)

   the extent to which the AIF's assets have been reused under leveraging arrangements; and

4. (4)

   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.

[Note: article 24(4) of AIFMD]

1In addition to the information in FUND 3.4.2 R, an AIFM must regularly report the following information to the FCA:

1. (1)

   on behalf of each AIF it manages:

   1. (a)

      the geographical focus of investments expressed as a percentage of the total value of assets under management;

   2. (b)

      an indication of whether a short position is used to hedge a position with a similar economic exposure;

   3. (c)

      the Value at Risk (VaR), if this is calculated for the AIF for any other purpose; and

   4. (d)

      the portfolio's sensitivity to a change in foreign exchange rates and commodity prices, if this is calculated for the AIF for any other purpose; and

2. (2)

   the information in FUND 3.4.3 R for each non-EEA AIF it manages that is not marketed in the EEA or the UK4, if:3

   1. (a)

      the AIFM is subject to quarterly reporting under article 110 of the AIFMD level 2 regulation (see SUP 16.18.4EU); and3

   2. (b)

      that AIF is the master AIF of a feeder AIF which the AIFM also manages and that feeder AIF is:3

      1. (i)

         3an EEA AIF; or

      2. (ii)

         3a non-EEA AIF that is marketed in the EEA or the UK4.

3In addition to the information in FUND 3.4.2R, an AIFM must regularly report to the FCA the information in FUND 3.4.3R for each non-EEA AIF it manages that is not marketed in the UK4 if the AIFM is subject to quarterly reporting under article 110 of the AIFMD level 2 regulation (see SUP 16.18.4UK4) for that AIF.

[Note: article 24(5) of AIFMD]