+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 supervision (Text with EEA relevance)
---+CHAPTER I DEFINITIONS
------+Article 1 Definitions
---+CHAPTER II GENERAL PROVISIONS
------+SECTION 1 Calculation of assets under management
---------+Article 2 Calculation of the total value of assets under management
------------+Article 2 1.
------------+Article 2 2.
------------+Article 2 3.
------------+Article 2 4.
------------+Article 2 5.
------------+Article 2 6.
---------+Article 3 Ongoing monitoring of assets under management
---------+Article 4 Occasional breach of the threshold
------------+Article 4 1.
------------+Article 4 2.
------------+Article 4 3.
------------+Article 4 4.
------------+Article 4 5.
---------+Article 5 Information to be provided as part of registration
------------+Article 5 1.
------------+Article 5 2.
------------+Article 5 3.
------------+Article 5 4.
------------+Article 5 5.
------+SECTION 2 Calculation of leverage
---------+Article 6 General provisions on the calculation of leverage
------------+Article 6 1.
------------+Article 6 2.
------------+Article 6 3.
------------+Article 6 4.
------------+Article 6 5.
---------+Article 7 Gross method for calculating the exposure of the AIF
---------+Article 8 Commitment method for calculating the exposure of an AIF
------------+Article 8 1.
------------+Article 8 2.
------------+Article 8 3.
------------+Article 8 4.
------------+Article 8 5.
------------+Article 8 6.
------------+Article 8 7.
------------+Article 8 8.
------------+Article 8 9.
---------+Article 9 Methods of increasing the exposure of an AIF
---------+Article 10 Conversion methodologies for derivative instruments
---------+Article 11 Duration netting rules
------------+Article 11 1.
------------+Article 11 2.
------------+Article 11 3.
------------+Article 11 4.
------------+Article 11 5.
------+SECTION 3 Additional own funds and professional indemnity insurance
---------+Article 12 Professional liability risks
------------+Article 12 1.
------------+Article 12 2.
------------+Article 12 3.
---------+Article 13 Qualitative requirements addressing professional liability risks
------------+Article 13 1.
------------+Article 13 2.
------------+Article 13 3.
------------+Article 13 4.
------------+Article 13 5.
------------+Article 13 6.
------------+Article 13 7.
---------+Article 14 Additional own funds
------------+Article 14 1.
------------+Article 14 2.
------------+Article 14 3.
------------+Article 14 4.
------------+Article 14 5.
---------+Article 15 Professional indemnity insurance
------------+Article 15 1.
------------+Article 15 2.
------------+Article 15 3.
------------+Article 15 4.
------------+Article 15 5.
---+CHAPTER III OPERATING CONDITIONS FOR AIFMs
------+SECTION 1 General principles
---------+Article 16 General obligations for competent authorities
---------+Article 17 Duty to act in the best interests of the AIF or the investors in the AIF and the integrity of the market
------------+Article 17 1.
------------+Article 17 2.
---------+Article 18 Due diligence
------------+Article 18 1.
------------+Article 18 2.
------------+Article 18 3.
------------+Article 18 4.
------------+Article 18 5.
------------+Article 18 6.
---------+Article 19 Due diligence when investing in assets of limited liquidity
------------+Article 19 1.
------------+Article 19 2.
---------+Article 20 Due diligence in the selection and appointment of counterparties and prime brokers
------------+Article 20 1.
------------+Article 20 2.
------------+Article 20 3.
------------+Article 20 4.
---------+Article 21 Acting honestly, fairly and with due skills
---------+Article 22 Resources
------------+Article 22 1.
------------+Article 22 2.
------------+Article 22 3.
---------+Article 23 Fair treatment of investors in the AIF
------------+Article 23 1.
------------+Article 23 2.
---------+Article 24 Inducements
------------+Article 24 1.
------------+Article 24 2.
---------+Article 25 Effective employment of resources and procedures — handling of orders
------------+Article 25 1.
------------+Article 25 2.
------------+Article 25 3.
------------+Article 25 4.
---------+Article 26 Reporting obligations in respect of execution of subscription and redemption orders
------------+Article 26 1.
------------+Article 26 2.
------------+Article 26 3.
------------+Article 26 4.
---------+Article 27 Execution of decisions to deal on behalf of the managed AIF
------------+Article 27 1.
------------+Article 27 2.
------------+Article 27 3.
------------+Article 27 4.
------------+Article 27 5.
------------+Article 27 6.
------------+Article 27 7.
---------+Article 28 Placing orders to deal on behalf of AIFs with other entities for execution
------------+Article 28 1.
------------+Article 28 2.
------------+Article 28 3.
------------+Article 28 4.
------------+Article 28 5.
---------+Article 29 Aggregation and allocation of trading orders
------------+Article 29 1.
------------+Article 29 2.
------------+Article 29 3.
------------+Article 29 4.
------+SECTION 2 Conflicts of interest
---------+Article 30 Types of conflicts of interest
---------+Article 31 Conflicts of interest policy
------------+Article 31 1.
------------+Article 31 2.
---------+Article 32 Conflicts of interest related to the redemption of investments
---------+Article 33 Procedures and measures preventing or managing conflicts of interest
------------+Article 33 1.
------------+Article 33 2.
---------+Article 34 Managing conflicts of interest
---------+Article 35 Monitoring conflicts of interest
------------+Article 35 1.
------------+Article 35 2.
---------+Article 36 Disclosure of conflicts of interest
------------+Article 36 1.
------------+Article 36 2.
---------+Article 37 Strategies for the exercise of voting rights
------------+Article 37 1.
------------+Article 37 2.
------------+Article 37 3.
------+SECTION 3 Risk management
---------+Article 38 Risk management systems
---------+Article 39 Permanent risk management function
------------+Article 39 1.
------------+Article 39 2.
---------+Article 40 Risk management policy
------------+Article 40 1.
------------+Article 40 2.
------------+Article 40 3.
------------+Article 40 4.
------------+Article 40 5.
---------+Article 41 Assessment, monitoring and review of the risk management systems
------------+Article 41 1.
------------+Article 41 2.
------------+Article 41 3.
------------+Article 41 4.
---------+Article 42 Functional and hierarchical separation of the risk management function
------------+Article 42 1.
------------+Article 42 2.
------------+Article 42 3.
---------+Article 43 Safeguards against conflicts of interest
------------+Article 43 1.
------------+Article 43 2.
------------+Article 43 3.
---------+Article 44 Risk limits
------------+Article 44 1.
------------+Article 44 2.
------------+Article 44 3.
---------+Article 45 Risk measurement and management
------------+Article 45 1.
------------+Article 45 2.
------------+Article 45 3.
------+SECTION 4 Liquidity management
---------+Article 46 Liquidity management system and procedures
---------+Article 47 Monitoring and managing liquidity risk
------------+Article 47 1.
------------+Article 47 2.
------------+Article 47 3.
------------+Article 47 4.
---------+Article 48 Liquidity management limits and stress tests
------------+Article 48 1.
------------+Article 48 2.
------------+Article 48 3.
---------+Article 49 Alignment of investment strategy, liquidity profile and redemption policy
------------+Article 49 1.
------------+Article 49 2.
------+SECTION 5 Investment in securitisation positions
---------+Article 50 Definitions
---------+Article 51 Requirements for retained interest
------------+Article 51 1.
------------+Article 51 2.
---------+Article 52 Qualitative requirements concerning sponsors and originators
---------+Article 53 Qualitative requirements concerning AIFMs exposed to securitisations
------------+Article 53 1.
------------+Article 53 2.
------------+Article 53 3.
------------+Article 53 4.
------------+Article 53 5.
---------+Article 54 Corrective action
------------+Article 54 1.
------------+Article 54 2.
---------+Article 55 Grandfathering clause
---------+Article 56 Interpretation
------+SECTION 6 Organisational requirements — general principles
---------+Article 57 General requirements
------------+Article 57 1.
------------+Article 57 2.
------------+Article 57 3.
------------+Article 57 4.
------------+Article 57 5.
------------+Article 57 6.
---------+Article 58 Electronic data processing
------------+Article 58 1.
------------+Article 58 2.
---------+Article 59 Accounting procedures
------------+Article 59 1.
------------+Article 59 2.
---------+Article 60 Control by the governing body, senior management and supervisory function
------------+Article 60 1.
------------+Article 60 2.
------------+Article 60 3.
------------+Article 60 4.
------------+Article 60 5.
------------+Article 60 6.
---------+Article 61 Permanent compliance function
------------+Article 61 1.
------------+Article 61 2.
------------+Article 61 3.
---------+Article 62 Permanent internal audit function
------------+Article 62 1.
------------+Article 62 2.
---------+Article 63 Personal transactions
------------+Article 63 1.
------------+Article 63 2.
------------+Article 63 3.
------------+Article 63 4.
---------+Article 64 Recording of portfolio transactions
------------+Article 64 1.
------------+Article 64 2.
------------+Article 64 3.
------------+Article 64 4.
---------+Article 65 Recording of subscription and redemption orders
------------+Article 65 1.
------------+Article 65 2.
---------+Article 66 Recordkeeping requirements
------------+Article 66 1.
------------+Article 66 2.
------------+Article 66 3.
------+SECTION 7 Valuation
---------+Article 67 Policies and procedures for the valuation of the assets of the AIF
------------+Article 67 1.
------------+Article 67 2.
------------+Article 67 3.
------------+Article 67 4.
---------+Article 68 Use of models to value assets
------------+Article 68 1.
------------+Article 68 2.
------------+Article 68 3.
---------+Article 69 Consistent application of valuation policies and procedures
------------+Article 69 1.
------------+Article 69 2.
------------+Article 69 3.
------------+Article 69 4.
---------+Article 70 Periodic review of valuation policies and procedures
------------+Article 70 1.
------------+Article 70 2.
------------+Article 70 3.
---------+Article 71 Review of individual values of assets
------------+Article 71 1.
------------+Article 71 2.
------------+Article 71 3.
------------+Article 71 4.
---------+Article 72 Calculation of the net asset value per unit or share
------------+Article 72 1.
------------+Article 72 2.
------------+Article 72 3.
------------+Article 72 4.
---------+Article 73 Professional guarantees
------------+Article 73 1.
------------+Article 73 2.
------------+Article 73 3.
---------+Article 74 Frequency of valuation of assets held by open-ended AIFs
------------+Article 74 1.
------------+Article 74 2.
------+SECTION 8 Delegation of AIFM functions
---------+Article 75 General principles
---------+Article 76 Objective reasons for delegation
------------+Article 76 1.
------------+Article 76 2.
---------+Article 77 Features of the delegate
------------+Article 77 1.
------------+Article 77 2.
------------+Article 77 3.
---------+Article 78 Delegation of portfolio or risk management
------------+Article 78 1.
------------+Article 78 2.
------------+Article 78 3.
---------+Article 79 Effective supervision
---------+Article 80 Conflicts of interest
------------+Article 80 1.
------------+Article 80 2.
------------+Article 80 3.
---------+Article 81 Consent and notification of sub-delegation
------------+Article 81 1.
------------+Article 81 2.
---------+Article 82 Letter-box entity and AIFM no longer considered to be managing an AIF
------------+Article 82 1.
------------+Article 82 2.
------------+Article 82 3.
---+CHAPTER IV DEPOSITARY
------+SECTION 1 Particulars of the written contract
---------+Article 83 Contractual particulars
------------+Article 83 1.
------------+Article 83 2.
------------+Article 83 3.
------------+Article 83 4.
------------+Article 83 5.
------------+Article 83 6.
------+SECTION 2 General criteria for assessing the prudential regulation and supervision applicable to depositaries in third countries
---------+Article 84 Criteria for assessing prudential regulation and supervision applicable to a depositary in a third country
------+SECTION 3 Depositary functions, due diligence duties and segregation obligation
---------+Article 85 Cash monitoring — general requirements
------------+Article 85 1.
------------+Article 85 2.
---------+Article 86 Monitoring of the AIF’s cash flows
---------+Article 87 Duties regarding subscriptions
---------+Article 88 Financial instruments to be held in custody
------------+Article 88 1.
------------+Article 88 2.
------------+Article 88 3.
---------+Article 89 Safekeeping duties with regard to assets held in custody
------------+Article 89 1.
------------+Article 89 2.
------------+Article 89 3.
---------+Article 90 Safekeeping duties regarding ownership verification and record keeping
------------+Article 90 1.
------------+Article 90 2.
------------+Article 90 3.
------------+Article 90 4.
------------+Article 90 5.
---------+Article 91 Reporting obligations for prime brokers
------------+Article 91 1.
------------+Article 91 2.
------------+Article 91 3.
---------+Article 92 Oversight duties — general requirements
------------+Article 92 1.
------------+Article 92 2.
------------+Article 92 3.
------------+Article 92 4.
---------+Article 93 Duties regarding subscription and redemptions
---------+Article 94 Duties regarding the valuation of shares/units
------------+Article 94 1.
------------+Article 94 2.
------------+Article 94 3.
------------+Article 94 4.
---------+Article 95 Duties regarding the carrying out of the AIFM’s instructions
---------+Article 96 Duties regarding the timely settlement of transactions
------------+Article 96 1.
------------+Article 96 2.
---------+Article 97 Duties related to the AIF’s income distribution
------------+Article 97 1.
------------+Article 97 2.
---------+Article 98 Due diligence
------------+Article 98 1.
------------+Article 98 2.
------------+Article 98 2a.
------------+Article 98 3.
------------+Article 98 4.
------------+Article 98 5.
------------+Article 98 6.
------------+Article 98 7.
---------+Article 99 Segregation obligation
------------+Article 99 1.
------------+Article 99 2.
------------+Article 99 2a.
------------+Article 99 3.
------+SECTION 4 Loss of financial instruments, liability discharge and objective reasons
---------+Article 100 Loss of a financial instrument held in custody
------------+Article 100 1.
------------+Article 100 2.
------------+Article 100 3.
------------+Article 100 4.
------------+Article 100 5.
---------+Article 101 Liability discharge under Article 21(12) of Directive 2011/61/EU
------------+Article 101 1.
------------+Article 101 2.
------------+Article 101 3.
------------+Article 101 4.
---------+Article 102 Objective reasons for the depositary to contract a discharge of liability
------------+Article 102 1.
------------+Article 102 2.
------------+Article 102 3.
---+CHAPTER V TRANSPARENCY REQUIREMENTS, LEVERAGE, RULES RELATING TO THIRD COUNTRIES AND EXCHANGE OF INFORMATION ON THE POTENTIAL CONSEQUENCES OF AIFM ACTIVITY
------+SECTION 1 Annual report, disclosure to investors and reporting to competent authorities
---------+Article 103 General principles for the annual report
---------+Article 104 Content and format of the balance sheet or statement of assets and liabilities and of the income and expenditure account
------------+Article 104 1.
------------+Article 104 2.
------------+Article 104 3.
------------+Article 104 4.
------------+Article 104 5.
------------+Article 104 6.
------------+Article 104 7.
---------+Article 105 Report on the activities of the financial year
------------+Article 105 1.
------------+Article 105 2.
------------+Article 105 3.
------------+Article 105 4.
---------+Article 106 Material changes
------------+Article 106 1.
------------+Article 106 2.
------------+Article 106 3.
------------+Article 106 4.
---------+Article 107 Remuneration disclosure
------------+Article 107 1.
------------+Article 107 2.
------------+Article 107 3.
------------+Article 107 4.
---------+Article 108 Periodic disclosure to investors
------------+Article 108 1.
------------+Article 108 2.
------------+Article 108 3.
------------+Article 108 4.
------------+Article 108 5.
---------+Article 109 Regular disclosure to investors
------------+Article 109 1.
------------+Article 109 2.
------------+Article 109 3.
---------+Article 110 Reporting to competent authorities
------------+Article 110 1.
------------+Article 110 2.
------------+Article 110 3.
------------+Article 110 4.
------------+Article 110 5.
------------+Article 110 6.
------------+Article 110 7.
---------+Article 111 Use of leverage on a ‘substantial basis’
------------+Article 111 1.
------------+Article 111 2.
------+SECTION 2 AIFMs managing leveraged AIFs
---------+Article 112 Restrictions on the management of AIFs
------------+Article 112 1.
------------+Article 112 2.
------------+Article 112 3.
------+SECTION 3 Specific rules relating to third countries
---------+Article 113 General requirements
------------+Article 113 1.
------------+Article 113 2.
------------+Article 113 3.
------------+Article 113 4.
---------+Article 114 Mechanisms, instruments and procedures
------------+Article 114 1.
------------+Article 114 2.
------------+Article 114 3.
---------+Article 115 Data protection
------+SECTION 4 Exchange of information on the potential systemic consequences of AIFM activity
---------+Article 116 Exchange of information on the potential systemic consequences of AIFM activity
---+CHAPTER VI FINAL PROVISIONS
------+Article 117 Entry into force
---+ANNEX I
---+ANNEX II
---+ANNEX III
---+ANNEX IV
 English - European Union - Financial Industry -

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 supervision (Text with EEA relevance)

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 supervision

(Text with EEA relevance)

This Regulation shall be binding in its entirety and directly applicable in all Member States.

1. Przegląd

,
CHAPTER I DEFINITIONS CHAPTER I DEFINITIONS
CHAPTER II GENERAL PROVISIONS CHAPTER II GENERAL PROVISIONS
CHAPTER III OPERATING CONDITIONS FOR AIFMs CHAPTER III OPERATING CONDITIONS FOR AIFMs
CHAPTER IV DEPOSITARY CHAPTER IV DEPOSITARY
CHAPTER V TRANSPARENCY REQUIREMENTS, LEVERAGE, RULES RELATING TO THIRD COUNTRIES AND EXCHANGE OF INFORMATION ON THE POTENTIAL CONSEQUENCES OF AIFM ACTIVITY CHAPTER V TRANSPARENCY REQUIREMENTS, LEVERAGE, RULES RELATING TO THIRD COUNTRIES AND EXCHANGE OF INFORMATION ON THE POTENTIAL CONSEQUENCES OF AIFM ACTIVITY
CHAPTER VI FINAL PROVISIONS CHAPTER VI FINAL PROVISIONS
ANNEX I



ANNEX I

Methods of increasing the exposure of an AIF

1. Unsecured cash borrowings: When cash borrowings are invested they have the propensity to increase the exposure of the AIF by the total amount of those borrowings. Therefore, the minimum exposure is always the amount of the borrowing. It might be higher if the value of the investment realised with the borrowing is greater than the borrowed amount. To avoid double counting, cash borrowings that are used to finance the exposure shall not be included within the calculation. If the cash borrowings are not invested but remain in cash or cash equivalent as defined in Article 7(a) they will not increase the exposure of the AIF.

2. Secured cash borrowings: Secured cash borrowings are similar to unsecured cash borrowings but the loan may be secured by a pool of assets or a single asset. If the cash borrowings are not invested but remain in cash or cash equivalent as defined in Article 7(a) they will not increase the exposure of the AIF.

3. Convertible borrowings: Convertible borrowings are purchased debt which has the ability, under certain circumstances, to enable the holder or issuer to convert that debt into another asset. The exposure of the AIF is the market value of such borrowings.

4. Interest rate swaps: An interest rate swap is an agreement to exchange interest rate cash flows, calculated on a notional principal amount, at specified intervals (payment dates) during the life of the agreement. Each party’s payment obligation is computed using a different interest rate based on the notional exposures.

5. Contracts for differences: A contract for differences (CFD) is an agreement between two parties — the investor and the CFD provider — to pay the other the change in the price of an underlying asset. Depending on which way the price moves, one party pays the other the difference from the time the contract was agreed to the point in time where it ends. Exposure is the market value of the underlying asset. The same treatment must be applied to financial spread bets.

6. Futures contracts: A futures contract is an agreement to buy or sell a stated amount of a security, currency, commodity, index or other asset at a specific future date and at a pre-agreed price. The exposure is the market value of the equivalent underlying asset.

7. Total return swaps: A total return swap is an agreement in which one party (total return payer) transfers the total economic performance of a reference obligation to the other party (total return receiver). Total economic performance includes income from interest and fees, gains or losses from market movements, and credit losses. The exposure of the AIF is the market value of the equivalent reference assets which have a bearing on the economic performance of the swap.

8. Forward agreements: A forward agreement is a customised, bilateral agreement to exchange an asset or cash flows at a specified future settlement date at a forward price agreed on the trade date. One party to the forward is the buyer (long), who agrees to pay the forward price on the settlement date; the other is the seller (short), who agrees to receive the forward price. Entering into a forward contract typically does not require the payment of a fee. The exposure of the AIF is the market value of the equivalent underlying asset. This may be replaced by the notional value of the contract where this is more conservative.

9. Options: An option is an agreement that gives the buyer, who pays a fee (premium), the right — but not the obligation — to buy or sell a specified amount of an underlying asset at an agreed price (strike or exercise price) on or until the expiration of the contract (expiry). A call option is an option to buy, and a put option an option to sell. The bounds of the exposure of the fund will be on the one side a potential unlimited exposure and on the other side an exposure that is limited to the higher of the premium paid or the market value of that option. The exposure between these two bounds is determined as the delta (an options delta measures the sensitivity of an option’s price solely to a change in the price of the underlying asset) adjusted equivalent of the underlying position. The same approach must be adopted for embedded derivatives, e.g. in structured products. The structure should be broken down into its component parts and the effect of layers of derivative exposures must be adequately captured.

10. Repurchase agreements: The repurchase agreement normally occurs where an AIF ‘sells’ securities to a reverse-repo counterparty and agrees to buy them back at an agreed price in the future. The AIF will incur a financing cost from engaging in this transaction and will therefore need to re-invest the cash proceeds (effectively cash collateral) in order to generate a return greater than the financing cost incurred. This reinvestment of ‘cash collateral’ means that incremental market risk will be carried by the AIF and consequently must be taken into account in the global exposure calculation. The economic risks and rewards of the ‘sold’ securities remain with the AIF. Also, a repo transaction will almost always give rise to leverage as the cash collateral will be reinvested. In the event that non-cash collateral is received as part of the transaction and this collateral is further used as part of another repo, or stock-loan agreement, the full market value of the collateral must be included in the global exposure amount. The exposure of the AIF is increased by the reinvested part of the cash collateral.

11. Reverse repurchase agreements: This transaction occurs where an AIF ‘purchases’ securities from a repo counterparty and agrees to sell them back at an agreed price in the future. AIFs normally engage in these transactions to generate a low-risk money-market type return, and the ‘purchased’ securities act as collateral. Therefore no global exposure is generated; nor does the AIF take on the risks and rewards of the ‘purchased’ securities, i.e. there is no incremental market risk. However, it is possible for the ‘purchased’ securities to be further used as part of a repo or security-loan transaction, as described above, and in that case the full market value of the securities must be included in the global exposure amount. The economic risks and rewards of the purchased securities remain with the counterparty and therefore this does not increase the exposure of the AIF.

12. Securities lending arrangements: An AIF engaging in a securities lending transaction will lend a security to a security-borrowing counterparty (who will normally borrow the security to cover a physical short sale transaction) for an agreed fee. The security borrower will deliver either cash or non-cash collateral to the AIF. Only where cash collateral is reinvested in instruments other than those defined in Article 7 point (a) will global exposure be created. If the non-cash collateral is further used as part of a repo or another security lending transaction, the full market value of the securities must be included in the global exposure amount as described above. Exposure is created to the extent that the cash collateral has been reinvested.

13. Securities borrowing arrangements: An AIF engaging in the borrowing of securities will borrow a security from a security-lending counterparty for an agreed fee. The AIF will then sell the security in the market. The AIF is now short that security. To the extent that the cash proceeds from the sale are reinvested this will also increase the exposure of the AIF. Exposure is the market value of the shorted securities; additional exposure is created to the extent that the cash received is reinvested.

14. Credit default swaps: A credit default swap (CDS) is a credit derivative agreement that gives the buyer protection, usually the full recovery, in case the reference entity defaults or suffers a credit event. In return the seller of the CDS receives from the buyer a regular fee, called the spread. For the protection seller, the exposure is the higher of the market value of the underlying reference assets or the notional value of the credit default swap. For the protection buyer, the exposure is the market value of the underlying reference asset.
ANNEX II



ANNEX II

Conversion methodologies for derivative instruments

1. The following conversion methods shall be applied to the non-exhaustive list below of standard derivatives:

(a) 

Futures

—

Bond future : Number of contracts * notional contract size * market price of the cheapest-to-deliver reference bond

—

Interest rate future : Number of contracts * notional contract size

—

Currency future : Number of contracts * notional contract size

—

Equity future : Number of contracts * notional contract size * market price of underlying equity share

—

Index futures : Number of contracts * notional contract size * index level
(b) 

Plain vanilla options (bought/sold puts and calls)

—

Plain vanilla bond option : Notional contract value * market value of underlying reference bond * delta

—

Plain vanilla equity option : Number of contracts * notional contract size* market value of underlying equity share * delta

—

Plain vanilla interest rate option : Notional contract value * delta

—

Plain vanilla currency option : Notional contract value of currency leg(s) * delta

—

Plain vanilla index options : Number of contracts * notional contract size * index level * delta

—

Plain vanilla options on futures : Number of contracts * notional contract size * market value of underlying asset * delta

—

Plain vanilla swaptions : Reference swap commitment conversion amount * delta

—

Warrants and rights : Number of shares/bonds * market value of underlying referenced instrument * delta
(c) 

Swaps

—

Plain vanilla fixed/floating rate interest rate and inflation swaps : notional contract value

—

Currency swaps : Notional value of currency leg(s)

—

Cross currency interest rate swaps : Notional value of currency leg(s)

—

Basic total return swap : Underlying market value of reference asset(s)

—

Non-basic total return swap : Cumulative underlying market value of both legs of the TRS

—

 Single name credit default swap :

Protection seller — The higher of the market value of the underlying reference asset or the notional value of the Credit Default Swap.

Protection buyer — Market value of the underlying reference asset

—

Contract for differences : Number of shares/bonds * market value of underlying referenced instrument
(d) 

Forwards

—

FX forward : notional value of currency leg(s)

—

Forward rate agreement : notional value
(e) 

Leveraged exposure to indices with embedded leverage

A derivative providing leveraged exposure to an underlying index, or indices that embed leveraged exposure to their portfolio, must apply the standard applicable commitment approach to the assets in question.

2. The following conversion methods shall be applied to the non-exhaustive list below of financial instruments which embed derivatives:

—

Convertible bonds : Number of referenced shares * market value of underlying referenced shares * delta

—

Credit linked notes : Market value of underlying reference asset(s)

—

Partly paid securities : Number of shares/bonds * market value of underlying referenced instruments

—

Warrants and rights : Number of shares/bonds * market value of underlying referenced instrument * delta

3. List of examples of non-standard derivatives with the related commitment methodology being used:

— 
Variance swaps: Variance swaps are contracts that allow investors to gain exposure to the variance (squared volatility) of an underlying asset and, in particular, to trade future realised (or historical) volatility against current implied volatility. According to market practice, the strike and the variance notional are expressed in terms of volatility. For the variance notional, this gives:

image

The vega notional provides a theoretical measure of the profit or loss resulting from a 1 % change in volatility.
As realised volatility cannot be less than zero, a long swap position has a known maximum loss. The maximum loss on a short swap is often limited by the inclusion of a cap on volatility. However without a cap, a short swap’s potential losses are unlimited.
The conversion methodology to be used for a given contract at time t is:
Variance notional * (current) variancet (without volatility cap)
Variance notional * min [(current) variancet volatility cap2] (with volatility cap)
whereby: (current) variancet is a function of the squared realised and implied volatility, more precisely:

image

— 
Volatility swaps
By analogy with the variance swaps, the following conversion formulae should be applied to volatility swaps:
— 
Vega notional * (current) volatilityt (without volatility cap)
— 
Vega notional * min [(current) volatilityt; volatility cap] (with volatility cap)
whereby the (current) volatility t is a function of the realised and implied volatility.

4. Barrier (knock-in knock-out) options

Number of contracts * notional contract size * market value of underlying equity share * delta
ANNEX III



ANNEX III

Duration netting rules

1. An interest rate derivative shall be converted into its equivalent underlying asset position in accordance with the following methodology:

The equivalent underlying asset position of each interest rate derivative instrument shall be calculated as its duration divided by the target duration of the AIF and multiplied by the equivalent underlying asset position:

image

where:

— 
duration FDI is the duration (sensitivity of the market value of the financial derivative instrument to interest rate movements) of the interest rate derivative instrument,
— 
duration target is in line with the investment strategy, the directional positions and the expected level of risk at any time and will be regularised otherwise. It is also in line with the portfolio duration under normal market conditions,
— 
CVderivative is the converted value of the derivative position as defined by the Annex II.

2. The equivalent underlying asset positions calculated in accordance with to paragraph 1 shall be netted as follows:

(a) 

Each interest rate derivative instrument shall be allocated to the appropriate maturity range of the following maturity-based ladder:

Maturities ranges

1. 

0-2 years

2. 

2-7 years

3. 

7-15 years

4. 

> 15 years

(b) 

The long and short equivalent underlying asset positions shall be netted within each maturity range. The amount of the former which is netted with the latter is the netted amount for that maturity range.

(c) 

Starting with the shortest maturity range, the netted amounts between two adjoining maturity ranges shall be calculated by netting the amount of the remaining unnetted long (or short) position in the maturity range (i) with the amount of the remaining unnetted short (long) position in the maturity range (i + 1).

(d) 

Starting with the shortest maturity range, the netted amounts between two remote maturity ranges separated by another one shall be calculated by netting the amount of the remaining unnetted long (or short) position in the maturity range (i) with the amount of the remaining unnetted short (long) position in the maturity range (i + 2).

(e) 

The netted amount shall be calculated between the remaining unnetted long and short positions of the two most remote maturity ranges.

3. The AIF shall calculate its exposures as the sum of absolute values:

— 
0 % of the netted amount for each maturity range,
— 
40 % of the netted amounts between two adjoining maturity ranges (i) and (i + 1),
— 
75 % of the netted amounts between two remote maturity ranges separated by another one, meaning maturity ranges (i) and (i + 2),
— 
100 % of the netted amounts between the two most remote maturity ranges, and
— 
100 % of the remaining unnetted positions.
ANNEX IV



ANNEX IV

Reporting Templates: AIFM

(Articles 3(3)(d) and 24 of Directive 2011/61/EU)



AIFM-specific information to be reported

(Articles 3(3)(d) and 24(1) of Directive 2011/61/EU)

 

 

Most important market/instrument

Second most important market/instrument

Third most important market/instrument

Fourth most important market/instrument

Fifth most important market/instrument

1

Principal markets in which it trades on behalf of the AIFs it manages

 

 

 

 

 

2

Principal instruments in which it trades on behalf of the AIFs it manages

 

 

 

 

 

3

Values of assets under management for all AIFs managed, calculated as set out in Article 2

In base currency (if the same for all AIFs)

In EUR

 

Please provide official name, location and jurisdiction of markets



Detailed list of all AIFs which the AIFM manages

to be provided on request for the end of each quarter

(Article 24(3) of Directive 2011/61/EU)

Name of the AIF

Fund identification code

Inception date

AIF type

(Hedge Fund, Private Equity, Real Estate, Fund of Funds, Other (*1))

NAV

EU AIF: Yes/No

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
(*1)   

If Other please indicate the strategy that best describes the AIF type.

Monetary values should be reported in the base currency of the AIF.

Reporting Templates: AIF

(Articles 3(3)(d) and 24 of Directive 2011/61/EU)



AIF-specific information to be provided

(Articles 3(3)(d) and 24(1) of Directive 2011/61/EU)

Data Type

Reported Data

Identification of the AIF

1

AIF name

 

EU AIF: yes/no

2

Fund manager

(Legal name and standard code, where available)

 

EU AIFM: yes/no

3

Fund identification codes,

as applicable

 

 

4

Inception date of the AIF

 

 

5

Domicile of the AIF

 

 

6

Identification of prime broker(s) of the AIF

(Legal name and standard code, where available)

 

 

7

Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2

Currency

Total AuM

8

Jurisdictions of the three main funding sources (excluding units or shares of the AIF bought by investors)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

Predominant AIF type (select one)

Hedge Fund

Private Equity Fund

Real Estate Fund

Fund of Funds

Other

None

 

10

Breakdown of investment strategies

(Provide a breakdown of the investment strategies of the AIF depending on the predominant AIF type selected in question 1. See guidance notes for further information on how to complete this question.)

 

 

Indicate the strategy that best describe the AIF’s strategy

Share in NAV

(%)

a)  Hedge Fund Strategies

(Complete this question if you selected ‘Hedge Fund’ as the predominant AIF type in question 1.)

 

Indicate the hedge fund strategies that best describe the AIFs strategies

Equity: Long Bias

Equity: Long/Short

Equity: Market Neutral

Equity: Short Bias

Relative Value: Fixed Income Arbitrage

Relative Value: Convertible Bond Arbitrage

Relative Value: Volatility Arbitrage

Event Driven: Distressed/Restructuring

Event Driven: Risk Arbitrage/Merger Arbitrage

Event Driven: Equity Special Situations

Credit Long/Short

Credit Asset Based Lending

Macro

Managed Futures/CTA: Fundamental

Managed Futures/CTA: Quantitative

Multi-strategy hedge fund

Other hedge fund strategy

 

 

b)  Private Equity Strategies

(Complete this question if you selected ‘Private Equity’ as the predominant AIF type in question 1.)

 

Indicate the private equity strategies that best describe the AIFs strategies

Venture Capital

Growth Capital

Mezzanine Capital

Multi-strategy private equity fund

Other private equity fund strategy

 

 

c)  Real Estate Strategies

(Complete this question if you selected ‘Real Estate’ as the predominant AIF type in question 1.)

 

Indicate the real estate strategies that best describe the AIFs strategies

Residential real estate

Commercial real estate

Industrial real estate

Multi-strategy real estate fund

Other real estate strategy

 

 

d)  Fund of Fund Strategies

(Complete this question if you selected ‘Fund of Funds’ as the predominant AIF type in question 1.)

 

Indicate the ‘fund of fund’ strategy that best describe the AIFs strategies

Fund of hedge funds

Fund of private equity

Other fund of funds

 

 

e)  Other Strategies

(Complete this question if you selected ‘Other’ as the predominant AIF type in question 1.)

 

Indicate the ‘other’ strategy that best describe the AIFs’ strategies

Commodity fund

Equity fund

Fixed income fund

Infrastructure fund

Other fund

 

 

Principal exposures and most important concentration

11

Main instruments in which the AIF is trading

 

 

 

 

Type of instrument/instrument code

Value (as calculated under Article 3 AIFMD)

Long/short position

 

Most important instrument

 

 

 

 

2nd most important instrument

 

 

 

 

3rd most important instrument

 

 

 

 

4th most important instrument

 

 

 

 

5th most important instrument

 

 

 

12

Geographical focus

 

 

 

Provide a geographical breakdown of the investments held by the AIF by percentage of the total net asset value of the AIF

% of NAV

 

 

Africa

 

 

 

Asia and Pacific (other than Middle East)

 

 

 

Europe (EEA)

 

 

 

Europe (other than EEA)

 

 

 

Middle East

 

 

 

North America

 

 

 

South America

 

 

 

Supranational/multiple region

 

 

13

10 principal exposures of the AIF at the reporting date (most valuable in absolute terms):

 

 

Type of asset/liability

Name/description of the asset/liability

Value (as calculated under Article 3)

% of gross market value

Long/short position

Counterparty (where relevant)

 

1st

 

 

 

 

 

 

 

2nd

 

 

 

 

 

 

 

3rd

 

 

 

 

 

 

 

4th

 

 

 

 

 

 

 

5th

 

 

 

 

 

 

 

6th

 

 

 

 

 

 

 

7th

 

 

 

 

 

 

 

8th

 

 

 

 

 

 

 

9th

 

 

 

 

 

 

 

10th

 

 

 

 

 

 

14

5 most important portfolio concentrations:

 

 

Type of asset/liability

Name/description of the market

Value of aggregate exposure (as calculated under Article 3)

% of gross market value

Long/short position

Counterparty (where relevant)

 

1st

 

 

 

 

 

 

 

2nd

 

 

 

 

 

 

 

3rd

 

 

 

 

 

 

 

4th

 

 

 

 

 

 

 

5th

 

 

 

 

 

 

15

Typical deal/position size

(Complete this question if you selected as your predominant AIF type ‘private equity fund’ in question 1)

[Select one]

Very small

Small

Lower mid market

Upper mid market

Large cap

Mega cap

 

16

Principal markets in which AIF trades

 

 

 

Please enter name and identifier (e.g. MIC code) where available, of market with greatest exposure

 

 

 

Please enter name and identifier (e.g. MIC code) where available, of market with second greatest exposure

 

 

 

Please enter name and identifier (e.g. MIC code) where available, of market with third greatest exposure

 

 

17

Investor Concentration

 

 

 

Specify the approximate percentage of the AIF’s equity that is beneficially owned by the five beneficial owners that have the largest equity interest in the AIF (as a percentage of outstanding units/shares of the AIF; look-through to the beneficial owners where known or possible)

 

 

 

Breakdown of investor concentration by status of investors (estimate if no precise information available):

%

 

 

— Professional clients (as defined in Directive 2004/39/EC (MiFID):

— Retail investors:

 

 

Monetary values should be reported in the base currency of the AIF.



AIF-specific information to be provided to competent authorities

(Article 24(2) of Directive 2011/61/EU)

 

Data Type

Reported Data

Identification of the AIF

1

AIF name

 

EU AIF: yes/no

2

Fund manager

 

EU AIFM: yes/no

1

AIF name

 

 

 

2

Fund manager

 

 

 

3

Fund identification codes, as applicable

 

 

 

4

Inception date of the AIF

 

 

 

5

Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2

Currency

Total AuM

6

Identification of prime broker(s) of the AIF

 

 

 

7

Jurisdictions of the three main funding sources

 

 

 

Instruments Traded and Individual Exposures

8

Individual Exposures in which it is trading and the main categories of assets in which the AIF invested as at the reporting date:

 

a)  Securities

 

Long Value

Short Value

 

Cash and cash equivalents

 

 

 

Of which are:

Certificates of deposit

 

 

 

 

Commercial papers

 

 

 

 

Other deposits

 

 

 

 

Other cash and cash equivalents (excluding government securities)

 

 

 

Listed equities

 

 

 

Of which are:

Issued by financial institutions

 

 

 

 

Other listed equity

 

 

 

Unlisted equities

 

 

 

Corporate bonds not issued by financial institutions

 

 

 

Of which are:

Investment grade

 

 

 

 

Non-investment grade

 

 

 

Corporate bonds issued by financial institutions

 

 

 

Of which are:

Investment grade

 

 

 

 

Non-investment grade

 

 

 

Sovereign bonds

 

 

 

Of which are:

EU bonds with a 0-1 year term to maturity

 

 

 

 

EU bonds with a 1 + year term to maturity

 

 

 

 

Non-G10 bonds with a 0-1 year term to maturity

 

 

 

 

Non-G10 bonds with a 1 + year term to maturity

 

 

 

Convertible bonds not issued by financial institutions

 

 

 

Of which are:

Investment grade

 

 

 

 

Non-investment grade

 

 

 

Convertible bonds issued by financial institutions

 

 

 

Of which are:

Investment grade

 

 

 

 

Non-investment grade

 

 

 

Loans

 

 

 

Of which are:

Leveraged loans

 

 

 

 

Other loans

 

 

 

Structured/securitised products

 

 

 

Of which are:

ABS

 

 

 

 

RMBS

 

 

 

 

CMBS

 

 

 

 

Agency MBS

 

 

 

 

ABCP

 

 

 

 

CDO/CLO

 

 

 

 

Structured certificates

 

 

 

 

ETP

 

 

 

 

Other

 

 

 

b)  Derivatives

Long Value

Short Value

 

Equity derivatives

 

 

 

Of which are:

Related to financial institutions

 

 

 

 

Other equity derivatives

 

 

 

Fixed income derivatives

 

 

 

CDS

 

 

 

Of which are:

Single name financial CDS

 

 

 

 

Single name sovereign CDS

 

 

 

 

Single name other CDS

 

 

 

 

Index CDS

 

 

 

 

Exotic (incl. credit default tranche)

 

 

 

 

Gross Value

 

 

Foreign exchange (for investment purposes)

 

 

 

Interest rate derivatives

 

 

 

 

Long Value

Short Value

 

Commodity derivatives

 

 

 

Of which are:

Energy

 

 

 

 

Of which:

 

 

 

 

—  Crude oil

 

 

 

 

—  Natural gas

 

 

 

 

—  Power

 

 

 

 

Precious metals

 

 

 

 

Of which: Gold

 

 

 

 

Other commodities

 

 

 

 

Of which:

 

 

 

 

—  Industrial metals

 

 

 

 

—  Livestock

 

 

 

 

—  Agricultural products

 

 

 

Other derivatives

 

 

 

c)  Physical (Real/Tangible) Assets

Long Value

 

 

Physical: Real estate

 

 

 

Of which are:

Residential real estate

 

 

 

 

Commercial real estate

 

 

 

Physical: Commodities

 

 

 

Physical: Timber

 

 

 

Physical: Art and collectables

 

 

 

Physical: Transportation assets

 

 

 

Physical: Other

 

 

 

d)  Collective Investment Undertakings

Long Value

 

 

Investments in CIU operated/managed by the AIFM

 

 

 

Of which are:

Money Market Funds and Cash management CIU

 

 

 

 

ETF

 

 

 

 

Other CIU

 

 

 

Investments in CIU not operated/managed by the AIFM

 

 

 

Of which are:

Money Market Funds and Cash management CIU

 

 

 

 

ETF

 

 

 

 

Other CIU

 

 

 

e)  Investments in other asset classes

 

Long Value

Short Value

 

Total Other

 

 

 

9

Value of turnover in each asset class over the reporting months

 

 

 

 

a)  Securities

 

Market Value

 

 

Cash and cash equivalents

 

 

 

 

Listed equities

 

 

 

 

Unlisted equities

 

 

 

 

Corporate bonds not issued by financial institutions

 

 

 

 

Of which are:

Investment grade

 

 

 

 

Non-investment grade

 

 

 

Corporate bonds issued by financial institutions

 

 

 

 

Sovereign bonds

 

 

 

 

Of which are:

EU Member State bonds

 

 

 

 

Non-EU Member State bonds

 

 

 

Convertible bonds

 

 

 

 

Loans

 

 

 

 

Structured/securitised products

 

 

 

 

b)  Derivatives

 

Notional Value

Market Value

 

Equity derivatives

 

 

 

 

Fixed income derivatives

 

 

 

 

CDS

 

 

 

 

Foreign exchange (for investment purposes)

 

 

 

 

Interest rate derivatives

 

 

 

 

Commodity derivatives

 

 

 

 

Other derivatives

 

 

 

 

c)  Physical (Real/Tangible) Assets

 

Market Value

 

 

Physical: Commodities

 

 

 

 

Physical: Real estate

 

 

 

 

Physical: Timber

 

 

 

 

Physical: Art and collectables

 

 

 

 

Physical: Transportation assets

 

 

 

 

Physical: Other

 

 

 

 

d)  Collective investment undertakings

 

 

 

 

e)  Other asset classes

 

 

 

 

Currency of Exposures

 

 

 

10

Total long and short value of exposures (before currency hedging) by the following currency groups:

Long Value

Short Value

 

AUD

 

 

 

 

CAD

 

 

 

 

CHF

 

 

 

 

EUR

 

 

 

 

GBP

 

 

 

 

HKD

 

 

 

 

JPY

 

 

 

 

USD

 

 

 

 

Other

 

 

 

11

Typical deal/position size

(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above)

[Select one]

Very small

(< EUR 5 m)

Small

(EUR 5 m to < EUR 25 m)

Low/mid market

(EUR 25 m to < EUR 150 m)

Upper mid market (EUR 150 m to EUR 500 m)

Large cap

(EUR 500 m to EUR 1 bn)

Mega cap

(EUR 1 bn and greater)

 

12

Dominant Influence (see Article 1 of Council Directive 83/349/EEC (OJ L 193, 18.7.1983, p. 1))

(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above; please complete for each company over which the AIF has a dominant influence (leave blank if none) as defined in Article 1 of Directive 83/349/EEC)

Name

% Voting Rights

Transaction Type

 

 

 

 

 

 

 

 

 

 

Risk Profile of the AIF

1.  Market Risk Profile

13

Expected annual investment return/IRR in normal market conditions (in %)

 

 

 

Net Equity Delta

 

 

 

 

Net DV01:

 

 

 

 

Net CS01:

 

 

 

2.  Counterparty Risk Profile

14

Trading and clearing mechanisms

 

 

 

 

a)  Estimated % (in terms of market value) of securities traded:

(leave blank if no securities traded)

%

 

 

On a regulated exchange

 

 

 

 

OTC

 

 

 

 

b)  Estimated % (in terms of trade volumes) of derivatives that are traded:

(leave blank if no derivatives traded)

%

 

 

On a regulated exchange

 

 

 

 

OTC

 

 

 

 

c)  Estimated % (in terms of trade volumes) of derivatives transactions cleared:

(leave blank if no derivatives traded)

%

 

 

By a CCP

 

 

 

 

Bilaterally

 

 

 

 

d)  Estimated % (in terms of market value) of repo trades cleared:

(leave blank if no repos traded)

%

 

 

By a CCP

 

 

 

 

Bilaterally

 

 

 

 

Tri-party

 

 

 

15

Value of collateral and other credit support that the AIF has posted to all counterparties

 

 

 

a)  Value of collateral posited in the form of cash and cash equivalents

 

 

 

b)  Value of collateral posited in the form of other securities (excluding cash and cash equivalents)

 

 

 

c)  Value of other collateral and credit support posted (including face amount of letters of credit and similar third party credit support)

 

 

16

Of the amount of collateral and other credit support that the reporting fund has posted to counterparties: what percentage has been re-hypothecated by counterparties?

 

 

17

Top Five Counterparty Exposures (excluding CCPs)

 

 

 

a)  Identify the top five counterparties to which the AIF has the greatest mark-to-market net counterparty credit exposure, measured as a % of the NAV of the AIF

Name

Total Exposure

 

Counterparty 1

 

 

 

 

Counterparty 2

 

 

 

 

Counterparty 3

 

 

 

 

Counterparty 4

 

 

 

 

Counterparty 5

 

 

 

 

b)  Identify the top five counterparties that have the greatest mark-to-market net counterparty credit exposure to the AIF, measured as a percentage of the NAV of the AIF.

Name

Total Exposure

 

Counterparty 1

 

 

 

 

Counterparty 2

 

 

 

 

Counterparty 3

 

 

 

 

Counterparty 4

 

 

 

 

Counterparty 5

 

 

 

18

Direct clearing through central clearing counterparties (CCPs)

 

 

 

a)  During the reporting period, did the AIF clear any transactions directly through a CCP?

Yes

No (if no, skip remainder of the question and go to question 21)

 

 

b)  If you answered ‘yes’ in 18(a), identify the top three central clearing counterparties (CCPs) in terms of net credit exposure

Name

Value held

 

CCP 1 (leave blank if not applicable)

 

 

 

 

CCP 2 (leave blank if not applicable)

 

 

 

 

CCP 3 (leave blank if not applicable)

 

 

 

3.  Liquidity Profile

Portfolio Liquidity Profile

19

Investor Liquidity Profile

Percentage of portfolio capable of being liquidated within:

 

1 day or less

2-7 days

8-30 days

31-90 days

91-180 days

181-365 days

more than 365 days

 

 

 

 

 

 

 

 

20

Value of unencumbered cash

 

 

Investor Liquidity Profile

21

Investor Liquidity Profile

Percentage of investor equity that can be redeemed within (as % of AIF’s NAV)

 

 

 

1 day or less

2-7 days

8-30 days

31-90 days

91-180 days

181-365 days

more than 365 days

 

 

 

 

 

 

 

 

22

Investor redemptions

 

 

 

 

a)  Does the AIF provide investors with withdrawal/redemption rights in the ordinary course?

Yes

No

 

 

 

 

 

b)  What is the frequency of investor redemptions (if multiple classes of shares or units, report for the largest share class by NAV)

[Select one]

Daily

Weekly

Fortnightly

Monthly

Quarterly

Half-yearly

Annual

Other

N/A

 

 

c)  What is the notice period required by investors for redemptions in days

(report asset weighted notice period if multiple classes or shares or units)

 

 

 

d)  What is the investor ‘lock-up’ period in days (report asset weighted notice period if multiple classes or shares or units)

 

 

23

Special arrangements and preferential treatment

 

 

 

a)  As at the reporting date, what percentage of the AIFs NAV is subject to the following arrangements:

% of NAV

 

 

Side pockets

 

 

 

 

Gates

 

 

 

 

Suspension of dealing

 

 

 

 

Other arrangements for managing illiquid assets (please specify)

 

[Type]

[%]

 

 

 

 

 

 

 

 

 

 

 

b)  Indicate the percentage of net asset value of AIF’s assets that are currently subject to the special arrangements arising from their illiquid nature under Article 23(4)(a) of the AIFMD including those in question 25(a)?

 

 

 

Special arrangements as a % of NAV

 

 

 

 

c)  Are there any investors who obtain preferential treatment or the right to preferential treatment (e.g. through a side letter) and therefore are subject to disclosure to the investors in the AIF in accordance with Article 23(1)(j) of the AIFMD?

(Yes or no)

 

 

d)  If ‘yes’ to letter c) then please indicate all relevant preferential treatment:

 

 

 

Concerning different disclosure/reporting to investors

 

 

 

 

Concerning different investor liquidity terms

 

 

 

 

Concerning different fee terms for investors

 

 

 

 

Preferential treatment other than that specified above

 

 

 

24

Provide the breakdown of the ownership of units in the AIF by investor group (as % of NAV of AIF assets; look-through to the beneficial owners where known or possible)

 

 

25

Financing liquidity

 

 

 

a)  Provide the aggregate amount of borrowing by and cash financing available to the AIF (including all drawn and undrawn, committed and uncommitted lines of credit as well as any term financing)

 

 

 

b)  Divide the amount reported in letter a) among the periods specified below depending on the longest period for which the creditor is contractually committed to provide such financing:

 

 

 

1 day or less

2-7 days

8-30 days

31-90 days

91-180 days

181-365 days

longer than 365 days

 

 

 

 

 

 

 

 

4.  Borrowing and Exposure Risk

26

Value of borrowings of cash or securities represented by:

 

 

 

Unsecured cash borrowing:

 

 

 

 

Collateralised/secured cash borrowing — Via Prime Broker:

 

 

 

 

Collateralised/secured cash borrowing — Via (reverse) repo:

 

 

 

 

Collateralised/secured cash borrowing — Via Other:

 

 

 

27

Value of borrowing embedded in financial instruments

 

 

 

Exchange-traded Derivatives: Gross Exposure less margin posted

 

 

 

 

OTC Derivatives: Gross Exposure less margin posted

 

 

 

28

Value of securities borrowed for short positions

 

 

 

29

Gross exposure of financial and, as the case may be, or legal structures controlled by the AIF as defined in Recital 78 of the AIFMD

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

 

…

 

 

 

30

Leverage of the AIF

 

 

 

 

a)  as calculated under the Gross Method

 

 

 

 

b)  as calculated under the Commitment Method

 

 

 

5.  Operational and Other Risk Aspects

31

Total number of open positions

 

 

 

32

Historical risk profile

 

a)  Gross Investment returns or IRR of the AIF over the reporting period (in %, gross of management and performance fees)

 

 

 

1st Month of Reporting Period

 

 

 

 

2nd Month of Reporting Period

 

 

 

 

…

 

 

 

 

…

 

 

 

 

Last Month of Reporting Period

 

 

 

 

b)  Net Investment returns or IRR of the AIF over the reporting period (in %, net of management and performance fees)

 

 

 

1st Month of Reporting Period

 

 

 

 

2nd Month of Reporting Period

 

 

 

 

…

 

 

 

 

…

 

 

 

 

Last Month of Reporting Period

 

 

 

 

c)  Change in Net Asset Value of the AIF over the reporting period (in %, including the impact of subscriptions and redemptions)

 

 

 

1st Month of Reporting Period

 

 

 

 

2nd Month of Reporting Period

 

 

 

 

…

 

 

 

 

…

 

 

 

 

Last Month of Reporting Period

 

 

 

 

d)  Subscriptions over the reporting period

 

 

 

1st Month of Reporting Period

 

 

 

 

2nd Month of Reporting Period

 

 

 

 

…

 

 

 

 

…

 

 

 

 

Last Month of Reporting Period

 

 

 

 

e)  Redemptions over the reported period

 

 

 

1st Month of Reporting Period

 

 

 

 

2nd Month of Reporting Period

 

 

 

 

…

 

 

 

 

…

 

 

 

 

Last Month of Reporting Period

 

 

 

Monetary values should be reported in the base currency of the AIF.

Results of stress tests

Please provide the results of the stress tests performed in accordance with point (b) of Article 15(3) of Directive 2011/61/EU [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;] (free text)

Monetary values should be reported in the base currency of the AIF.

Please provide the results of the stress tests performed in accordance with the second subparagraph of Article 16(1) of Directive 2011/61/EU. [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.] (free text)

Monetary values should be reported in the base currency of the AIF.



AIF-specific information to be made available to the competent authorities

(Article 24(4) of Directive 2011/61/EU)

 

Data Type

Reported Data

1

Of the amount of collateral and other credit support that the reporting AIF has posted to counterparties: what percentage has been re-hypothecated by counterparties?

 

 

Borrowing and Exposure Risk

2

Value of borrowings of cash or securities represented by:

 

 

 

Unsecured cash borrowing:

 

 

 

Collateralised/secured cash borrowing — Via Prime Broker:

 

 

 

Collateralised/secured cash borrowing — Via (reverse) repo:

 

 

 

Collateralised/secured cash borrowing — Via Other:

 

 

3

Value of borrowing embedded in financial instruments

 

 

 

Exchange-traded Derivatives: Gross Exposure less margin posted

 

 

 

OTC Derivatives: Gross Exposure less margin posted

 

 

4

Five largest sources of borrowed cash or securities (short positions):

 

 

 

Largest:

 

 

 

2nd largest:

 

 

 

3rd largest:

 

 

 

4th largest:

 

 

 

5th largest:

 

 

5

Value of securities borrowed for short positions

 

 

6

Gross exposure of financial and, as the case may be, or legal structures controlled by the AIF as defined in Recital 78 of the AIFMD

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

Financial and, as the case may be, or legal structure

 

 

 

…

 

 

7

Leverage of the AIF:

 

 

 

a)  Gross Method

 

 

 

b)  Commitment Method

 

 

Monetary values should be reported in the base currency of the AIF.

1.1 Odwołania

1.2 Zidentyfikowane wymagania

1.3 Powiązane normy

2. Zidentyfikowane wymagania

Wymagania

3. Powiązane normy

Normy

Powiązane zgłoszenia

Powiązania
is related to Imported: Delegierte Verordnung (EU) Nr. 231/2013 (AIFMD Durchführungsbestimmungen) (CELEX:02013R0231-20240212)