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2022 | OriginalPaper | Buchkapitel

6. Risk Management Tools in AIFs: The Case of AIFMD

verfasst von : Promitheas Peridis

Erschienen in: Alternative Lending

Verlag: Springer International Publishing

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Abstract

In the aftermath of the GFC of 2007–2009, the AIFs were considered to be one of the main causes of systemic risk and one of the reasons behind the rapid transmission of risks in the whole financial system.

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Vorheriges Kapitel Regulatory Tools to Deal with the Banking Lending Risks

Nächstes Kapitel Need for a New Regulation or Supervision and Resolution Regimes?

FSA, “The Turner Review: A Regulatory Response to the Global Banking Crisis,” March 2009, 21.; EU Commission, “Grenn Paper: Shadow Banking,” March 2012, 2.

Phoebus Athanassiou, ed., Research Handbook on Hedge Funds, Private Equity and Alternative Investments, Research Handbooks in Financial Law (Cheltenham: Elgar, 2012), 312f.

Eddy Wymeersch, “The Regulation of Private Equity, Hedge Funds and State Funds,” SSRN Scholarly Paper (Rochester, NY: Social Science Research Network, 30 April 2010), 15f., https://papers.ssrn.com/abstract=1685202.

“Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and Amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010,” https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:02011L0061-20140702&qid=1491838864981&from=EN (accessed 6 May 2019).

For more about the different risk categories, see risk chapter.

Legal500, “Germany: Alternative Investment Funds – Country Comparative Guides,” https://www.legal500.com/guides/chapter/germany-alternative-investment-funds/ (accessed 13 June 2022); Global Legal Group, “International Comparative Legal Guides,” Text, International Comparative Legal Guides International Business Reports-Germany (Global Legal Group), United Kingdom, https://iclg.com/practice-areas/alternative-investment-funds-laws-and-regulations/germany (accessed 13 June 2022). Carlo de Vito Piscicelli, Fabio Saccone, Amélie Champsaur, and Robin Barriere, Manuel Metzner, and Valentin Pfisterer, “Direct-Lending-by-Funds-Transformation-of-the-Legal-Regimes-in-Europe.Pdf,” 476f., https://www.clearygottlieb.com/~/media/organize-archive/cgsh/files/direct-lending-by-funds-transformation-of-the-legal-regimes-in-europe.pdf (accessed 13 June 2022).

KPMG/ALFI, “Private Debt Fund Survey 2021,”; EY, “Investment Funds in Luxembourg - EY Luxembourg | EY Luxembourg,” https://www.ey.com/en_lu/wealth-asset-management/investment-funds-in-luxembourg (accessed June 14, 2022).

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 3.12f.

AMF, “General Regulation of the AMF into Force since 17/03/2022,” Art. 421–425; The Legal 500, “France: Alternative Investment Funds – Country Comparative Guides,” https://www.legal500.com/guides/chapter/france-alternative-investment-funds/ (accessed 13 June 2022); Carlo de Vito Piscicelli, Fabio Saccone, Amélie Champsaur, and Robin Barriere, Manuel Metzner, and Valentin Pfisterer, “Direct-Lending-by-Funds-Transformation-of-the-Legal-Regimes-in-Europe.Pdf,” https://www.clearygottlieb.com/~/media/organize-archive/cgsh/files/direct-lending-by-funds-transformation-of-the-legal-regimes-in-europe.pdf (accessed 13 June 2022)., 473f.

Central Bank of Ireland, “AIF Rulebook,” March 2018, chaps. 1, 2 and chap. 2, Part II, 4, https://www.centralbank.ie/docs/default-source/regulation/industry-market-sectors/funds/aifs/guidance/aif-rulebook-march-2018.pdf?sfvrsn=4; Central Bank of Ireland, “AIFs | Central Bank of Ireland | Central Bank of Ireland,” https://www.centralbank.ie/regulation/industry-market-sectors/funds/aifs (accessed 13 June 2022).

Hooghiemstra, Sebastiaan Niels, “Towards a European Legal Framework for Loan-Originating Funds (June 25, 2019),” n.d., 3, https://ssrn.com/abstract=3492968.

Ibid., 9–10, PricewaterhouseCoopers, “An Update on the Regulatory Requirements for Originating Debt from Luxembourg,” PwC, https://www.pwc.lu/en/alternative-investments/update-regulatory-requirements-debt-luxembourg.html (accessed 13 June 2022). More on the various national regimes and how the mentioned countries deal with loan origination AIFs can be found in this chapter.

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.191.

“DIRECTIVE 2006/49/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 14 June 2006 on the Capital Adequacy of Investment Firms and Credit Institutions (Recast)”; “Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on Prudential Requirements for Credit Institutions and Investment Firms and Amending Regulation (EU) No 648/2012”.

“Commission Delegated Regulation (EU) No 231/2013 of 19 December 2012 Supplementing Directive 2011/61/EU of the European Parliament and of the Council with Regard to Exemptions, General Operating Conditions, Depositaries, Leverage, Transparency and SupervisionText with EEA Relevance,” n.d., 95.

“Regulation (EU) 2015/760 of the European Parliament and of the Council of 29 April 2015 on European Long-Term Investment Funds (Text with EEA Relevance),” Pub. L. No. 32015R0760, 123 OJ L (2015), http://data.europa.eu/eli/reg/2015/760/oj/eng.

“Register of Authorised European Long-Term Investment Funds (ELTIFs),” https://www.esma.europa.eu/document/register-authorised-european-long-term-investment-funds-eltifs (accessed 20 March 2022); “THE EU AIF LABELLING - A Practical Guide,” https://www.alterdomus.com/infomedia/market-news/detail/2018/03/the-eu-aif-labelling-a-practical-guide (accessed March 2022); “European Commission - PRESS RELEASES - Press Release - European Long-Term Investment Funds - Frequently Asked Questions,” http://europa.eu/rapid/press-release_MEMO-15-4423_el.htm (accessed March 2022).

Art. 18 ELTIF Regulation (EU/2015/760).

Central Bank of Ireland, “AIF Rulebook,” March 2018, https://www.centralbank.ie/docs/default-source/regulation/industry-market-sectors/funds/aifs/guidance/aif-rulebook-march-2018.pdf?sfvrsn = 4; “Germany: Seminal Changes to Loan Originating Funds Now in Force,” https://www.ashurst.com/en/news-and-insights/legal-updates/germany-seminal-changes-to-loanloan-originating-funds-now-in-force/ (accessed 21 May 2019); Autorite des marches financiers (AMF), “AMF Instruction: Organisation of Asset Management Companies for Managing Loan-Granting AIFs,” AMF, February 2016, https://www.amf-france.org/en_US/Reglementation/Doctrine/Doctrine-list/Doctrine?docId%3Dworkspace%253A%252F%252FSpacesStore%252F3b67ccaf-b96e-4bb9-a2c1-e7109ded838b%26category%3DIII%2B-%2BProviders%26docVersion%3D1.0.

Ireland is one of the most popular locations in EU to set up an AIF. More than 2.200 AIFs with €435 billion value of assets are domiciled in Ireland. For more see: KPMG, “QIAIFs – Ireland’s Regulated Alternative Fund Product,” November 2015, 14, https://assets.kpmg/content/dam/kpmg/pdf/2016/05/ie-qiaif-nov-2015-2.pdf.

AMF, “Sect. 1 - Authorisation Requirements (Articles 317–1 à 317–6) - GR into Force since 23/09/2021,” AMF, https://www.amf-france.org/en/eli/fr/aai/amf/rg/book/3/title/1_1/chapter/2/section/1/20210923/notes (accessed 20 March 2022); L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 3.41.

Autorite des marches financiers (AMF), “AMF Instruction: Organisation of Asset Management Companies for Managing Loan-Granting AIFs,” 2ff.

BaFin, “Alternative Investment Fund Managers (AIFMs): Authorised versus Registered – What Should Consumers Know about the Differences?” BaFin, https://www.bafin.de/SharedDocs/Veroeffentlichungen/EN/Fachartikel/2015/fa_bj_1507_kapitalverwaltungsgesellschaften_en.html (accessed 20 March 2022).

CSSF, “Circular CSSF 18/698 – CSSF,” https://www.cssf.lu/en/Document/circular-cssf-18-698/ (accessed 20 March 2022).

Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 200.

Claus Huber and Daniel Imfeld, “Operational Risk Management in Practice: Implementation, Success Factors and Pitfalls: Efficient Implementation for Midsize and Small Asset Managers, Hedge Funds, Private Equity Funds, Family Offices,” SSRN Scholarly Paper (Rochester, NY: Social Science Research Network, 3 November 2012), 9ff., https://papers.ssrn.com/abstract=2170784.

Capco, “Understanding and Mitigating Operational Risk in Hedge Fund Investments,” March 2003, 5.

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.290.

Fire sales is the forced sale of assets in lower prices than their actual value, because the sellers need to raise fast cash in order to pay their liabilities and the borrowers do not have the mandatory information or expertise to evaluate the assets correctly. For more see: Shleifer and Vishny, “Fire Sales in Finance and Macroeconomics,” 30.

“Recommendation of the European Systemic Risk Board of 7 December 2017 on Liquidity and Leverage Risks in Investment Funds (ESRB/2017/6),” n.d., 52, Recital 2–4.

“Liquidity Stress Tests for Investment Funds: A Practical Guide,” IMF, 22ff., https://www.imf.org/en/Publications/WP/Issues/2017/10/31/Liquidity-Stress-Tests-for-Investment-Funds-A-Practical-Guide-45332 (accessed 10 May 2019).

For more see the Liquidity Coverage part in Basel III chapter.

“Commission Delegated Regulation (EU) No 231/2013,” Art 47 and 48 (1).

“Commission Delegated Regulation (EU) No 231/2013,” Recital 61–63.

“Liquidity Stress Tests for Investment Funds,” 6.

“Recommendation of the European Systemic Risk Board of 7 December 2017 on Liquidity and Leverage Risks in Investment Funds (ESRB/2017/6),” pt. II.3.

ESMA, “Consultation Paper: Guidelines on Liquidity Stress Testing in UCITS and AIFs,” ESMA34-39–784, February 2019, 5, https://www.esma.europa.eu/sites/default/files/library/esma34-39-784_esma_guidelines_on_liquidity_stress_testing_in_ucits_and_aifs.pdf.

ESMA, “Consultation Paper: Guidelines on Liquidity Stress Testing in UCITS and AIFs,” 28ff.

The stress tests on the assets side of the AIFs’ balance sheets evaluate the asset liquidity risk and they simulate the worsening of asset liquidity due to worse market conditions, independently of other factors such as redemption requests. These tests will help the AIMFs to measure the cost of liquidation and the time to liquidity, to employ historical (e.g. internet/dotcom crisis 2000/2001, terrorist attacks and the Crisis of 2007–2009) and hypothetical scenarios (e.g. increase of interest rates or market volatility) and to overcome limitations on data availability. On the other hand, stress tests on the liabilities side of the balance sheet require the simulation of reduced liquidity because of redemption requests. The testing should simulate normal (e.g. average redemption requests and long time to meet the requests) and stressed scenarios (e.g. massive redemption demands, unpredicted historical events, politics, and other hypothetical extreme scenarios) and it should incorporate investor behavior analyses. For more see: ESMA, “Consultation Paper: Guidelines on Liquidity Stress Testing in UCITS and AIFs,” 31ff.

“Liquidity Stress Tests for Investment Funds: A Practical Guide,” IMF, 7, https://www.imf.org/en/Publications/WP/Issues/2017/10/31/Liquidity-Stress-Tests-for-Investment-Funds-A-Practical-Guide-45332 (accessed 10 May 2019); “Commission Delegated Regulation (EU) No 231/2013,” Recital 59.

Swing Pricing is the process of adjusting the Net Asset Value (NAV) of a fund in order to transfer an estimate of the trading cost to investors who are buying shares of the fund and redeem out of the fund on a regular basis, generating trading costs and impacting negatively the fund’s performance. Thus, long-term investors are protected. For more see: Goldman Sachs: Asset Management, “Swing Pricing,” https://www.gsam.com/content/gsam/esp/en/advisors/resources/investor-education/swing-pricing-overview.html (accessed 15 May 2019); David Dierking, “What Is Swing Pricing for Mutual Funds?” MutualFunds.com (accessed 15 May 2019).

Side pockets are created when illiquid assets of the AIF are placed into segregated accounts, creating a ring-fence from the rest of the AIF’s liquid assets. Only investors who entered the AIF at the time the side pockets were created have the right to benefit from the sale of the asset at a future stage. For more see: IOSCO, “Good Practices for the Termination of Investment Funds,” August 2016, 17; Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 254.

“Policy Recommendations to Address Structural Vulnerabilities from Asset Management Activities - Financial Stability Board,” 13f, http://www.fsb.org/2017/01/policy-recommendations-to-address-structural-vulnerabilities-from-asset-management-activities/ (accessed 3 September 2017).

‘Guide of European Long-Term Investment Fund (ELTIF),” AMF, 7, https://www.amf-france.org/en_US/Publications/Guides/Professionnels?docId%3Dworkspace%253A%252F%252FSpacesStore%252Fe6e03aea-7b41-463a-a01d-23a2b22805c3 (accessed 21 May 2019); Regulation (EU) 2015/760 of the European Parliament and of the Council of 29 April 2015 on European long-term investment funds (Text with EEA relevance); “ELTIF | Alfi,” 8, http://www.alfi.lu/setting-luxembourg/alternative-investment-funds/eltif (accessed 21 May 2019).

IOSCO, “Liquidity Management Tools in Collective Investment Schemes: Results from an IOSCO Committee 5 Survey to Members,’ December 2015, 3f.

IOSCO, “Liquidity Management Tools in Collective Investment Schemes,” 3ff.

FSB, “Thematic Review on the Implementation of the FSB Policy Framework for Shadow Banking Entities – Jurisdiction Summaries - Financial Stability Board,” 7ff., http://www.fsb.org/2016/05/thematic-review-on-the-implementation-of-the-fsb-policy-framework-for-shadow-banking-entities-jurisdiction-summaries/ (accessed 15 May 2019).

FSB, “Thematic Review on the Implementation of the FSB Policy Framework for Shadow Banking Entities - Financial Stability Board,”, 32, http://www.fsb.org/2016/05/thematic-review-on-the-implementation-of-the-fsb-policy-framework-for-shadow-banking-entities/ (accessed 15 May 2019).

Wolfgang Breuer and Claudia Nadler, Real Estate Finance (Springer Science & Business Media, 2013), 88.

Ashurst, “Credit Funds Insight - Spotlight: Direct Lending: The Domino Effect,” Credit Funds Insight - Spotlight: Direct Lending: The Domino Effect, May 2016, 7ff., https://www.ashurst.com/en/news-and-insights/insights/credit-funds-insight-may-2016/; “Direct Lending by Funds: A Comparison of the Key EU Jurisdictions,” Debevoise, https://www.debevoise.com (accessed 11 October 2017); “Direct Lending in the EU: New Regulations on Loan Origination Create High-Return Opportunities for Asset Managers,” Kramer Levin, https://www.kramerlevin.com/en/perspectives-search/direct-lending-in-the-eu-new-regulations-on-loan-origination-create-high-return-opportunities-for-asset-managers.html (accessed 20 May 2019).

“Irish Loan Origination Funds - Rules Update February 2018,” KB Associates (blog), 20 February 2018, https://kbassociates.ie/irish-loan-origination-funds-rules-update-february-2018/.

Central Bank of Ireland, “AIF Rulebook,” 148–149.

European Central Bank, “Macroprudential Liquidity Tools for Investment Funds - A Preliminary Discussion,” European Central Bank, 3, https://www.ecb.europa.eu/pub/financial-stability/macroprudential-bulletin/html/ecb.mpbu201810_03.en.html (accessed 10 May 2019).

ESRB, “Recommendation of the European Systemic Risk Board of 7 December 2017 on Liquidity and Leverage Risks in Investment Funds (ESRB/2017/6),” Annex I.

FSB, “Policy Recommendations to Address Structural Vulnerabilities from Asset Management Activities - Financial Stability Board,” 40; European Central Bank, “Macroprudential Stress-Tests and Tools for the Non-Bank Sector,” European Central Bank, https://www.ecb.europa.eu/press/key/date/2017/html/ecb.sp170922_3.en.html (accessed 17 May 2019).

IMF-FSB-BIS, “Elements of Effective Macroprudential Policies - Financial Stability Board,” https://www.imf.org/en/News/Articles/2016/08/30/PR16386-IMF-FSB-BIS-publish-Elements-of-Effective-Macroprudential-Policies, 5; ECB, “Macroprudential Liquidity Tools for Investment Funds - A Preliminary Discussion,” https://www.ecb.europa.eu/pub/financial-stability/macroprudential-bulletin/html/ecb.mpbu201810_03.en.html, 6f.; Barbara Novick et al., “Macroprudential Policies and Asset Management,” n.d., 13; ESRB, “Macroprudential Policy beyond Banking: An ESRB Strategy Paper,” 2016, 6 and 16f.

ECB, “Macroprudential Liquidity Tools for Investment Funds - A Preliminary Discussion,” 6.

FSB, “Macroprudential Policy Tools and Frameworks – Progress Report to G20 - Financial Stability Board,” 12.

OECD, “The OECD’s approach to capital flow management measures used with a macro-prudential intent,” 2015, 10.

ECB, “Macroprudential Liquidity Tools for Investment Funds - A Preliminary Discussion,”6.

ESRB, “Macroprudential Policy beyond Banking: An ESRB Strategy Paper,” 18.

In times of prosperity, low volatility, and risk aversion result in lower margins and haircuts and increased leverage. In case of a distressed period, higher volatility and risk aversion lead to higher margins and haircuts and to faster deleveraging, causing a pro-cyclical phenomenon. For more see: David Longworth, Bank for International Settlements, and Committee on the Global Financial System, The Role of Margin Requirements and Haircuts in Procyclicality: Report Submitted by a Study Group Established by the Committee on the Global Financial System (Basel: Bank for International Settlements, 2010), 8ff.; European Central Bank, “Margins and Haircuts as a Macroprudential Tool,” European Central Bank, https://www.ecb.europa.eu/press/key/date/2016/html/sp160606.en.html (accessed 18 May 2019).

Blackrock - Novick et al., “Macroprudential Policies and Asset Management,” n.d., https://www.ecb.europa.eu/pub/conferences/shared/pdf/20170511_2nd_mp_policy/Novick-Macroprudential_Policies_and_Asset_Management.en.pdf,

Barbara Novick et al., “Macroprudential Policies and Asset Management,” 3ff.

SEC and Blackrock, “High Yield Case Study: Post Closing of Third Avenue Focused Credit Fund,”, January 2016, https://www.sec.gov/comments/s7-16-15/s71615-86.pdf.

Novick et al., “Macroprudential Policies and Asset Management,” n.d., 14.

Novick et al., “Macroprudential Policies and Asset Management,” 14f.

Jennifer Johnson, “Collateralized Loan Obligations (CLOs) Primer,” n.d., 14; “Fed’s Powell: Business Debt No Subprime Crisis, but Still Merits…,” Reuters, 21 May 2019, https://www.reuters.com/article/us-usa-fed-powell-idUSKCN1SQ2FJ; Sam Fleming, “Fed Chair Tempers Fears over Corporate Debt Meltdown,” Financial Times, 20 May 2019, https://www.ft.com/content/8872ec0e-7b49-11e9-81d2-f785092ab560.

Andrew Bloomenthal, “The Top 5 Asset Management Firms for 2019,” Investopedia, https://www.investopedia.com/articles/investing/022316/top-5-asset-management-firms-portfolios-2016-pimco-blk.asp (accessed 18 May 2019).

ESRB, “Macroprudential Policy beyond Banking: An ESRB Strategy Paper,” 11ff.; FSB, “Macroprudential Policy Tools and Frameworks – Progress Report to G20 - Financial Stability Board,” 19.

Scott W. Bauguess, Acting Director and Acting Chief Economist, DERA, “Market Fragility and Interconnectedness in the Asset Management Industry,” June 2017, https://www.sec.gov/news/speech/bauguess-keynote-buy-side-risk-usa-2017-062017.

IOSCO, “IOSCO Report: Leverage Consultation Paper,” November 2018, 2; Art. 6 (1) “Commission Delegated Regulation (EU) No 231/2013 of 19 December 2012 Supplementing Directive 2011/61/EU of the European Parliament and of the Council with Regard to Exemptions, General Operating Conditions, Depositaries, Leverage, Transparency and SupervisionText with EEA Relevance.”

Claude Lopez, Donald Markwardt, and Keith Savard, “The Asset Management Industry and Systemic Risk: Is There a Connection?” SSRN Electronic Journal, 2016, 1 and 21ff., https://doi.org/10.2139/ssrn.2801358.

ESMA, “Annual Statistical Report: EU Alternative Investment Funds 2019,” ESMA50-165–748, March 2019, 6ff.

Philippe Molitor et al., “Shadow Banking in the Euro Area: Risks and Vulnerabilities in the Investment Fund Sector,” Occasional Paper Series (European Central Bank, June 2016), 26f., https://ideas.repec.org/p/ecb/ecbops/2016174.html.

ECB, “Developing Macroprudential Policy for Alternative Investment Funds,” no. 202 (2017): https://www.ecb.europa.eu/pub/pdf/scpops/ecb.op202.en.pdf., 8.

For more about the leverage ratio see the Basel III leverage ratio chapter/part.

Art. 111 Commission Delegated Regulation (EU) No 231/2013.

ESMA, “Questions and Answers Application of the AIFMD,” ESMA34-32-352, March 2019, 35, https://www.esma.europa.eu/sites/default/files/library/esma34-32-352_qa_aifmd.pdf.

Art. 7 and 8 Commission Delegated Regulation (EU) No 231/2013.

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.288.

Molitor et al., “Shadow Banking in the Euro Area,” 27.

Art. 16 ELTIF Regulation (EU/2015/760).

Central Bank of Ireland, “AIF Rulebook,” 149.

“(2) Die AIF-Kapitalverwaltungsgesellschaft darf für Rechnung eines geschlossenen Spezial-AIF Gelddarlehen nur unter den folgenden Bedingungen gewähren:1.für den geschlossenen Spezial-AIF werden Kredite nur bis zur Höhe von 30 Prozent des aggregierten eingebrachten Kapitals und noch nicht eingeforderten zugesagten Kapitals aufgenommen.” For more see: “§ 285 KAGB - Einzelnorm,” https://www.gesetze-im-internet.de/kagb/__285.html (accessed 20 May 2019); Ashurst, “Credit Funds Insight - Spotlight: Direct Lending: The Domino Effect,” Credit Funds Insight - Spotlight: Direct Lending: The Domino Effect, May 2016, 11, https://www.ashurst.com/en/news-and-insights/insights/credit-funds-insight-may-2016/.

ESMA, “Opinion: Key Principles for a European Framework on Loan Origination by Funds,” April 2016, 11f., https://www.esma.europa.eu/press-news/esma-news/esma-publishes-opinion-eu-framework-loan-origination-investment-funds.

Ashurst, “Credit Funds Insight - Spotlight: Direct Lending: The Domino Effect,” 8.

ESRB, “Macroprudential Policy beyond Banking: An ESRB Strategy Paper,” 10.

Fleming, “Fed Chair Tempers Fears over Corporate Debt Meltdown”; “Fed’s Powell”.

IOSCO, “IOSCO Report: Leverage Consultation Paper,” 1; “Policy Recommendations to Address Structural Vulnerabilities from Asset Management Activities - Financial Stability Board,” 27.

ESRB,“Recommendation of the European Systemic Risk Board of 7 December 2017 on Liquidity and Leverage Risks in Investment Funds (ESRB/2017/6)”, Section 1, Recommendation E.

AMIC/EFAMA, “Use of Leverage in Investment Funds in Europe AMIC/EFAMA Joint Paper,” July 2017, 18, https://www.efama.org/Pages/EFAMA-and-AMIC-publish-joint-report-on-the-use-of-leverage-in-investment-funds-in-Europe.aspx.

ECB, “Developing Macroprudential Policy for Alternative Investment Funds,” 32.

AMIC/EFAMA, “Use of Leverage in Investment Funds in Europe AMIC/EFAMA Joint Paper,” 18; ECB, “Developing Macroprudential Policy for Alternative Investment Funds,” 32.

IOSCO, “IOSCO Report: Leverage Consultation Paper,” 5ff.

AMIC/EFAMA, “Use of Leverage in Investment Funds in Europe AMIC/EFAMA Joint Paper,” 18; ESRB, “Macroprudential Policy beyond Banking: An ESRB Strategy Paper,” 23.

100

ECB, “Developing Macroprudential Policy for Alternative Investment Funds,” 32; ESMA, “Opinion: Key Principles for a European Framework on Loan Origination by Funds,” 8–9.

101

ECB, “Developing Macroprudential Policy for Alternative Investment Funds,” 34.

102

van der Veer, Koen et. al., “Towards a Framework for Calibrating Macroprudential Leverage Limits for Alternative Investment Funds,” 2016, 131ff.

103

Global Association of Risk Professionals (GARP), “GARP Leverage Letter in Response to Referenced Consultative Document,” September 2016, 18ff., https://www.fsb.org/wp-content/uploads/Global-Association-of-Risk-Professionals-GARP.pdf; Novick et al., “Macroprudential Policies and Asset Management,” n.d., 15.

104

Recommendation 12, “The High-Level Group on Financial Supervision in the EU (Larosiere Report),” February 2009, 32.

105

Art. 15 (1) and (2), “Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and Amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010.”

106

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.283.

107

Art. 42 (1) and (2), “Commission Delegated Regulation (EU) No 231/2013.”

108

Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 297.

109

Art. 43 (1), “Commission Delegated Regulation (EU) No 231/2013.”

110

Art. 38, “Commission Delegated Regulation (EU) No 231/2013.”

111

Art. 39, “Commission Delegated Regulation (EU) No 231/2013.”

112

Art. 40 (1) and (2), “Commission Delegated Regulation (EU) No 231/2013.”

113

Art. 40 (3), 43, 45, “Commission Delegated Regulation (EU) No 231/2013.”

114

Art. 44, “Commission Delegated Regulation (EU) No 231/2013.”

115

Art. 45, “Commission Delegated Regulation (EU) No 231/2013.”

116

KPMG, “Report on the Operation of the Alternative Investment Fund Managers Directive (AIFMD) – Directive 2011/61/EU,” Final Report, 2018, 195.

117

ALFI, “ALFI Q&A ‘RM for AIF under AIFMD,” July 2016, 15, http://www.alfi.lu/sites/alfi.lu/files/files/Publications_Statements/Publications/Q&A-Risk-Management-for-AIFs-Update-July-2016-final.pdf.

118

Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 302f.

119

ALFI, “ALFI Q&A ‘RM for AIF under AIFMD,” 16.

120

KPMG, “Report on the Operation of the Alternative Investment Fund Managers Directive (AIFMD) – Directive 2011/61/EU,” 195.

121

Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, “Trends in Quantitative Asset Management in Europe,” The Journal of Portfolio Management 30, no. 4 (31 July 2004): 1ff., https://doi.org/10.3905/jpm.2004.125.

122

Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 317.

123

Recommendation 12, “The High-Level Group on Financial Supervision in the EU (Larosiere Report).”

124

Central Bank of Ireland, “AIF Rulebook,” 145.

125

ALFI, “ALFI Q&A ‘RM for AIF under AIFMD’,” 17.

126

KPMG, “Report on the Operation of the Alternative Investment Fund Managers Directive (AIFMD) – Directive 2011/61/EU,” 211; Zetzsche, The Alternative Investment Fund Managers Directive, 2012, 316.

127

Art. 5 (2) (b) and (c) ELTIF Regulation.

128

“§ 29 (5a) KAGB - Einzelnorm,” https://www.gesetze-im-internet.de/kagb/__29.html (accessed 18 June 2019).

129

BaFin, “Rundschreiben 09/2017 (BA) - Mindestanforderungen an das Risikomanagement – MaRisk,” BaFin, September 2017, https://www.bafin.de/SharedDocs/Veroeffentlichungen/DE/Rundschreiben/2017/rs_1709_marisk_ba.html.

130

“Germany: Seminal Changes to Loan Originating Funds Now in Force.”

131

BaFin, “Rundschreiben 09/2017 (BA) - Mindestanforderungen an das Risikomanagement – MaRisk,” para. BTO 1ff.

132

Autorite des marches financiers (AMF), “AMF Instruction: Organisation of Asset Management Companies for Managing Loan-Granting AIFs,” 2ff.

133

Central Bank of Ireland, “AIF Rulebook,” 144f.

134

Art. 14, 15, 16, 18, 22–24 and Annex II, “Directive 2011/61/EU (AIFMD)”.

135

Art. 12 AIFMD.

136

Art. 17, AIFMD Delegated Regulation.

137

Art. 18 and 20, AIFMD Delegated Regulation.

138

Art. 19, AIFMD Delegated Regulation.

139

Art. 21–23, AIFMD Delegated Regulation.

140

Art. 24, AIFMD Delegated Regulation.

141

Art. 60, AIFMD Delegated Regulation.

142

Art. 61, AIFMD Delegated Regulation.

143

Art. 62–66, AIFMD Delegated Regulation.

144

See also: L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.318ff.

145

Chambers et al., Alternative Investments, 388; Chris Flood, “Private Equity Clings to ‘2 and 20’ Fee Model,” Financial Times, 12 August 2016, https://www.ft.com/content/f7dc242c-58a9-11e6-9f70-badea1b336d4.

146

Krishnan Sharma, “Financial Sector Compensation and Excess Risk-Taking—a Consideration of the Issues and Policy Lessons,” n.d., 19; Orie Shelef, “Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds,” 2012, 15ff.

147

Claire Coe Smith, “Fee Structures Move for Private Debt Funds,” October 2014, http://www.azla-advisors.com/pub/Feestructuresmoveforprivatedebtfunds.pdf.

148

Recital 24 and Art. 13, AIFMD.

149

Annex II, AIFMD.

150

ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” https://www.esma.europa.eu/document/guidelines-sound-remuneration-policies-under-aifmd-2 (accessed 31 May 2019); ESMA, “Final Report: Guidelines on Sound Remuneration Policies under the UCITS Directive and AIFMD,” ESMA/2016/411, March 2016.

151

ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” 7–9.

152

For example, see Recital 94, where it says that the principle of proportionately applies in the whole AIFMD and that AIFMD does not go beyond what is necessary in order to achieve its objectives. Also see: Art. 15 (1) of AIFMD on the application of the principle of proportionality to the functional and hierarchical separation of the risk management function.

153

Matheson, “AIFMD Factsheet on Remuneration,” May 2016, 3, https://www.matheson.com/images/uploads/publications/AIFMD_Factsheet_Remuneration.pdf.

154

ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” 13.

155

Annex II, (3) AIFMD; ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” 15ff.

156

ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” 21ff.

157

ESMA, “Guidelines on Sound Remuneration Policies under the AIFMD,” 32ff.

158

Central Bank of Ireland, “AIF Rulebook,” 155.

159

KPMG/ALFI, “Private Debt Fund Survey 2021,” 19.

160

“Loan Origination by Investment Funds: Publication of an AMF Instruction on the Organisation of Management Companies,” AMF, 3, https://www.amf-france.org/en/news-publications/news/loan-origination-investment-funds-publication-amf-instruction-organisation-management-companies (accessed 12 April 2022).

161

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.469.

162

Art. 22 (1) and (2) AIFMD; Art.103 AIFMD Delegated Regulation.

163

Art.104 (1) AIFMD Delegated Regulation.

164

Art.104 (2) AIFMD Delegated Regulation.

165

Art.105 and 106 AIFMD Delegated Regulation.

166

Art.107 AIFMD Delegated Regulation.

167

Art. 23 (5) ELTIF Regulation.

168

Central Bank of Ireland, “AIF Rulebook,” 150.

169

“Submit Annual Reports to the AMF,” AMF, https://www.amf-france.org/en/professionals/management-companies/my-relations-amf/submit-annual-reports-amf (accessed 17 April 2022).

170

L. D. van Setten and Danny Busch, eds., Alternative Investment Funds in Europe: Law and Practice (Oxford, UK: Oxford University Press, 2014), sec. 1.476f.

171

Art. 23 AIFMD.

172

Art. 108 and 109 AIFMD Delegated Regulation.

173

For example, the information may be disclosed via the AIFM’s website, a set of written documents sent to the investors, a prospectus, or a Key Information Document (KIID). For more see: Zetzsche, The Alternative Investment Fund Managers Directive, 335ff.

174

Art. 23 (2), (3), (4) ELTIF Regulation.

175

ALFI, “ALFI Q&A ‘RM for AIF under AIFMD’,” 7 and 17; Central Bank of Ireland, “AIF Rulebook,” 118ff.; ICLG, “International Comparative Legal Guides,” Text, International Comparative Legal Guides International Business Reports, https://iclg.com/compare/alternative-investment-funds (accessed 21 May 2019).

176

Central Bank of Ireland, “AIF Rulebook,” 149f.

177

Art. 24 (1) AIFMD and Art. 110 (1) AIFMD Delegated Regulation.

178

Art. 24 (2) AIFMD and Art. 110 (2) AIFMD Delegated Regulation.

179

Art. 110 (3) AIFMD Delegated Regulation.

180

Zetzsche, The Alternative Investment Fund Managers Directive, 351; Art. 24 (3) and (5) AIFMD and Art. 110 (3) AIFMD Delegated Regulation.

181

The information should also include the name, the LEI or IEI and, if neither is available, the BIC of the entity as well as the leverage amount in the base currency of the AIF. For more see: ESMA, “Guidelines on Reporting Obligations under Articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD” ESMA/2014/869EN (August 2014): 31, https://www.esma.europa.eu/sites/default/files/library/2015/11/2014-869.pdf; Art 24 (4) AIFMD.

182

ICLG, “International Comparative Legal Guides.”

183

Commission de Surveillance du Secteur Financier (CSSF), “Law of 12 July 2013 on Alternative Investment Fund Managers,” 2013, 30f., http://www.cssf.lu/fileadmin/files/Lois_reglements/Legislation/Lois/L_120713_AIFM_eng_upd_060618.pdf.

184

Central Bank of Ireland, “AIF Rulebook,” 150.

185

Autorite des marches financiers (AMF), “AMF Instruction: Organisation of Asset Management Companies for Managing Loan-Granting AIFs,” 5.

186

Ibid.

187

KPMG, “Report on the Operation of the Alternative Investment Fund Managers Directive (AIFMD) – Directive 2011/61/EU,” 40ff.

188

KPMG, 82ff.

189

KPMG, 157ff.

190

KPMG, 96ff. and 217ff.

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Titel: Risk Management Tools in AIFs: The Case of AIFMD
verfasst von: Promitheas Peridis
Verlag: Springer International Publishing
Buch: Alternative Lending
Print ISBN: 978-3-031-13470-8

Electronic ISBN: 978-3-031-13471-5

Copyright-Jahr: 2022
DOI: https://doi.org/10.1007/978-3-031-13471-5_6