KOMMISSIONENS DELEGERADE FÖRORDNING (EU) nr 231/2013 av den 19 december 2012 om komplettering av Europaparlamentets och rådets direktiv 2011/61/EU vad gäller undantag, allmänna verksamhetsvillkor, förvaringsinstitut, finansiell hävstång, öppenhet och tillsyn (Text av betydelse för EES)

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

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

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):

%

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

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