This only concerns Authorised (non-Light) funds.
The indicated point (b) states: “ensure that the risks associated with each investment position of the AIF and their overall effect on the AIF’s portfolio can be properly identified, measured, managed and monitored on an ongoing basis, including through the use of appropriate stress testing procedures.”
The full text of Article 15 can be found below.
The indicated second subparagraph states: “AIFMs shall regularly conduct stress tests, under normal and exceptional liquidity conditions, which enable them to assess the liquidity risk of the AIFs and monitor the liquidity risk of the AIFs accordingly.”
The full text of Article 16 can be found below.
Question 83 below explains the exemption for closed-ended unleveraged AIFs.
Should non-EU AIFMs marketing their AIFs in the Union under Article 42 of the AIFMD report the results of stress tests under Articles 15 and 16 of the AIFMD (questions 279 and 280 of the consolidated reporting template)?
Non-EU AIFMs marketing their AIFs in the Union under Article 42 of the AIFMD should report the results of stress tests insofar as this is required by the national private placement regime of the Member States where they market their AIFs or if the non-EU AIFMs have carried out such stress tests.
How should AIFMs report results of liquidity stress tests for closed-ended unleveraged AIFs that they manage?
Article 16(1) exempts closed-ended unleveraged AIFs from implementing liquidity risk management systems and from “conducting stress tests, under normal and exceptional liquidity conditions, which enable AIFMs to assess the liquidity risk of the AIFs and monitor the liquidity risk of the AIFs accordingly” (liquidity stress tests).
However, AIFMs need to report results of liquidity stress tests for all their AIFs as part of their reporting to
competent authorities as particularly required in accordance with Article 24(2) of the AIFMD, further specified by
Article 110(2)(f) of Commission Delegated Regulation (EU) No 231/2013, and integrated in field 280 of the AIFMD
( 2013‑1359_consolidated_aifmd_reporting_template ).
For closed-ended unleveraged AIFs, given the mandatory character of the field, AIFMs should indicate the question is Not Applicable and at least report in this field the fact that the relevant fund is a closed-ended unleveraged AIF.
However, where an AIFM decides to conduct liquidity stress tests for unleveraged closed-ended AIFs, it should report the results of the liquidity stress tests in the same field.
Get started today
Secure AIFMD Annex IV reporting in three simple steps: import, inspect and report.