AIFMD FAQ

How should AIFMs report Turnover?

This only concerns Authorised (non-Light) funds.

AIF Questions 125-127: Value of turnover in each asset class over the reporting months

The value of the turnover in the reporting period should be the sum of the absolute values of buys and sells that occur during the reporting period.

ESMA Guidelines on reporting obligations - Page 27:

- Value of turnover in each asset class over the reporting months

104. AIFMs should report the information only at the sub-asset type level (see sub-asset type category in Annex II of the guidelines – Table 2 ). The value of the turnover in the reporting period should be the sum of the absolute values of buys and sells that occur during the reporting period. For example, an AIF that has bought assets for €15,000,000 and sold assets for €10,000,000 over the reporting period would report a turnover of €25,000,000.

105. For derivatives, notional values should be calculated in accordance with Article 10 of the Regulation. For the purpose of this information, packages such as call-spreads, put spreads, straddles, strangles, butterfly, collar and synthetic forward may be treated as a single position (rather than as a long position and a short position).

Relevant questions from the ESMA AIFMD Q&A:

Question 25 [last update 21 July 2014]:

AIFMs have to report value of turnover in each asset class over the reporting period (questions 125 to 127 of the consolidated reporting template for AIF-specific information). What information should AIFMs report for these questions when no trades took place during the reporting period?

Answer 25:

AIFMs should use the field ‘total other’ with the sub-asset type code ‘OTH_OTH_OTH’ and report ‘0’.

The Matterhorn software automatically takes care of this. When using our software, it is not necessary to add an OTH_OTH_OTH record.

Question 45 [last update 30 September 2014]:

Should AIFMs report information on turnover of financial derivative instruments based on both market values and notional values (questions 126 and 127 of the consolidated reporting template for AIF-specific information)?

Answer 45:

Yes.

Question 48 [last update 11 November 2014]:

How should AIFMs calculate the turnover expressed in notional value for derivative instruments (question 127 of the consolidated reporting template)?

Answer 48:

AIFMs should convert the derivative positions into an equivalent position in the underlying assets as prescribed in Article 10 and Annex II of the implementing Regulation using the value at the date of the trade and not at the reporting date.

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