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DELEGIRANA UREDBA KOMISIJE (EU) br. 231/2013 od 19. prosinca 2012. o dopuni Direktive 2011/61/EU Europskog parlamenta i Vijeća u odnosu na izuzeća, opće uvjete poslovanja, depozitare, financijsku polugu, transparentnost i nadzor (Tekst značajan za EGP)

DELEGIRANA UREDBA KOMISIJE (EU) br. 231/2013

od 19. prosinca 2012.

o dopuni Direktive 2011/61/EU Europskog parlamenta i Vijeća u odnosu na izuzeća, opće uvjete poslovanja, depozitare, financijsku polugu, transparentnost i nadzor

(Tekst značajan za EGP)

Ova je Uredba u cijelosti obvezujuća i izravno se primjenjuje u svim državama članicama.

1. Pregled

POGLAVLJE I. DEFINICIJE

POGLAVlJE II. OPĆE ODREDBE

POGLAVLJE III. UVJETI POSLOVANJA UPRAVITELJA ALTERNATIVNIM INVESTICIJSKIM FONDOVIMA

POGLAVLJE IV. DEPOZITAR

POGLAVLJE V. ZAHTJEVI U VEZI TRANSPARENTNOSTI, FINANCIJSKA POLUGA, PRAVILA KOJA SE ODNOSE NA TREĆE ZEMLJE I RAZMJENA INFORMACIJA O MOGUĆIM POSLJEDICAMA DJELATNOSTI UAIF-a

POGLAVLJE VI. ZAVRŠNE ODREDBE

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

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:

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:

—

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

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:

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

0-2 years

2-7 years

7-15 years

> 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

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

AIF name

EU AIF: yes/no

Fund manager

(Legal name and standard code, where available)

EU AIFM: yes/no

Fund identification codes,

as applicable

Inception date of the AIF

Domicile of the AIF

Identification of prime broker(s) of the AIF

(Legal name and standard code, where available)

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

Currency

Total AuM

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

Predominant AIF type (select one)

Hedge Fund

Private Equity Fund

Real Estate Fund

Fund of Funds

Other

None

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

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

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

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

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

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

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

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 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

Zahtjevi
Izvor	Zahtjev

3. Povezani standardi

Standardi
Izvor	Zahtjev

Builddate: 12.02.2024 00:00:00 -Doknr: CELEX:32013R0231
EULAW -
European Regulation published on http://eur-lex.europa.eu/