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 3(2) of Directive 2011/61/EU)
Article 2
Calculation of the total value of assets under management
Article 3
Ongoing monitoring of assets under management
Article 4
Occasional breach of the threshold
Article 5
Information to be provided as part of registration
SECTION 2
Calculation of leverage
(Article 4(3) of Directive 2011/61/EU)
Article 6
General provisions on the calculation of leverage
Article 7
Gross method for calculating the exposure of the AIF
Article 8
Commitment method for calculating the exposure of an AIF
Article 9
Methods of increasing the exposure of an AIF
Article 10
Conversion methodologies for derivative instruments
Article 11
Duration netting rules
SECTION 3
Additional own funds and professional indemnity insurance
(Article 9(7) and Article 15 of Directive 2011/61/EU)
Article 12
Professional liability risks
Article 13
Qualitative requirements addressing professional liability risks
Article 14
Additional own funds
Article 15
Professional indemnity insurance
CHAPTER III
OPERATING CONDITIONS FOR AIFMs
SECTION 1
General principles
(Article 12(1) of Directive 2011/61/EU)
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 18
Due diligence
Article 19
Due diligence when investing in assets of limited liquidity
Article 20
Due diligence in the selection and appointment of counterparties and prime brokers
Article 21
Acting honestly, fairly and with due skills
Article 22
Resources
Article 23
Fair treatment of investors in the AIF
Article 24
Inducements
Article 25
Effective employment of resources and procedures — handling of orders
Article 26
Reporting obligations in respect of execution of subscription and redemption orders
Article 27
Execution of decisions to deal on behalf of the managed AIF
Article 28
Placing orders to deal on behalf of AIFs with other entities for execution
Article 29
Aggregation and allocation of trading orders
SECTION 2
Conflicts of interest
(Article 14 of Directive 2011/61/EU)
Article 30
Types of conflicts of interest
Article 31
Conflicts of interest policy
Article 32
Conflicts of interest related to the redemption of investments
Article 33
Procedures and measures preventing or managing conflicts of interest
Article 34
Managing conflicts of interest
Article 35
Monitoring conflicts of interest
Article 36
Disclosure of conflicts of interest
Article 37
Strategies for the exercise of voting rights
SECTION 3
Risk management
(Article 15 of Directive 2011/61/EU)
Article 38
Risk management systems
Article 39
Permanent risk management function
Article 40
Risk management policy
Article 41
Assessment, monitoring and review of the risk management systems
Article 42
Functional and hierarchical separation of the risk management function
Article 43
Safeguards against conflicts of interest
Article 44
Risk limits
Article 45
Risk measurement and management
SECTION 4
Liquidity management
(Article 16 of Directive 2011/61/EU)
Article 46
Liquidity management system and procedures
Article 47
Monitoring and managing liquidity risk
Article 48
Liquidity management limits and stress tests
Article 49
Alignment of investment strategy, liquidity profile and redemption policy
SECTION 5
Investment in securitisation positions
(Article 17 of Directive 2011/61/EU)
Article 50
Definitions
Article 51
Requirements for retained interest
Article 52
Qualitative requirements concerning sponsors and originators
Article 53
Qualitative requirements concerning AIFMs exposed to securitisations
Article 54
Corrective action
Article 55
Grandfathering clause
Article 56
Interpretation
SECTION 6
Organisational requirements — general principles
(Articles 12 and 18 of Directive 2011/61/EU)
Article 57
General requirements
Article 58
Electronic data processing
Article 59
Accounting procedures
Article 60
Control by the governing body, senior management and supervisory function
Article 61
Permanent compliance function
Article 62
Permanent internal audit function
Article 63
Personal transactions
Article 64
Recording of portfolio transactions
Article 65
Recording of subscription and redemption orders
Article 66
Recordkeeping requirements
SECTION 7
Valuation
(Article 19 of Directive 2011/61/EU)
Article 67
Policies and procedures for the valuation of the assets of the AIF
Article 68
Use of models to value assets
Article 69
Consistent application of valuation policies and procedures
Article 70
Periodic review of valuation policies and procedures
Article 71
Review of individual values of assets
Article 72
Calculation of the net asset value per unit or share
Article 73
Professional guarantees
Article 74
Frequency of valuation of assets held by open-ended AIFs
SECTION 8
Delegation of AIFM functions
(Article 20(1), (2), (4) and (5) of Directive 2011/61/EU)
Article 75
General principles
Article 76
Objective reasons for delegation
Article 77
Features of the delegate
Article 78
Delegation of portfolio or risk management
Article 79
Effective supervision
Article 80
Conflicts of interest
Article 81
Consent and notification of sub-delegation
Article 82
Letter-box entity and AIFM no longer considered to be managing an AIF
CHAPTER IV
DEPOSITARY
SECTION 1
Particulars of the written contract
(Article 21(2) of Directive 2011/61/EU)
Article 83
Contractual particulars
SECTION 2
General criteria for assessing the prudential regulation and supervision applicable to depositaries in third countries
(Article 21(6)(b) of Directive 2011/61/EU)
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
(Articles 21(7)-(9) and 21(11)(c) and (d)(iii) of Directive 2011/61/EU)
Article 85
Cash monitoring — general requirements
Article 86
Monitoring of the AIF’s cash flows
Article 87
Duties regarding subscriptions
Article 88
Financial instruments to be held in custody
Article 89
Safekeeping duties with regard to assets held in custody
Article 90
Safekeeping duties regarding ownership verification and record keeping
Article 91
Reporting obligations for prime brokers
Article 92
Oversight duties — general requirements
Article 93
Duties regarding subscription and redemptions
Article 94
Duties regarding the valuation of shares/units
Article 95
Duties regarding the carrying out of the AIFM’s instructions
Article 96
Duties regarding the timely settlement of transactions
Article 97
Duties related to the AIF’s income distribution
Article 98
Due diligence
Article 99
Segregation obligation
SECTION 4
Loss of financial instruments, liability discharge and objective reasons
(Article 21(12) and (13) of Directive 2011/61/EU)
Article 100
Loss of a financial instrument held in custody
Article 101
Liability discharge under Article 21(12) of Directive 2011/61/EU
Article 102
Objective reasons for the depositary to contract a discharge of liability
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 22(2)(a) to (e) and Articles 23(4) and 24(1)of Directive 2011/61/EU)
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 105
Report on the activities of the financial year
Article 106
Material changes
Article 107
Remuneration disclosure
Article 108
Periodic disclosure to investors
Article 109
Regular disclosure to investors
Article 110
Reporting to competent authorities
Article 111
Use of leverage on a ‘substantial basis’
SECTION 2
AIFMs managing leveraged AIFs
(Article 25(3) of Directive 2011/61/EU)
Article 112
Restrictions on the management of AIFs
SECTION 3
Specific rules relating to third countries
(Articles 34(1), 35(2) 36(1), Articles 37(7)(d), 40(2)(a) and Article 42(1) of Directive 2011/61/EU)
Article 113
General requirements
Article 114
Mechanisms, instruments and procedures
Article 115
Data protection
SECTION 4
Exchange of information on the potential systemic consequences of AIFM activity
(Article 53(1) of Directive 2011/61/EU)
Article 116
Exchange of information on the potential systemic consequences of AIFM activity
CHAPTER VI
FINAL PROVISIONS
Article 117
Entry into force
ANNEX I
Methods of increasing the exposure of an AIF
ANNEX II
Conversion methodologies for derivative instruments
ANNEX III
Duration netting rules
ANNEX IV
Reporting Templates: AIFM
(Articles 3(3)(d) and 24 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 |
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 |
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reporting Templates: AIF
(Articles 3(3)(d) and 24 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 |
||||||||||||||||
|
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 |
||||||||||||||||
|
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 |
||||||||||||||||
|
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 |
||||||||||||||||
|
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 |
||||||||||||||||
|
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: |
|||||||||||
|
|
|
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 |
|
|
||||||||
|
|
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: |
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
Precious metals |
|
|
||||||||
|
|
Of which: Gold |
|
|
||||||||
|
|
Other commodities |
|
|
||||||||
|
|
Of which: |
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
Other derivatives |
|
|
|||||||||
|
|
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 |
|
|
|||||||||
|
|
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 |
|
|
||||||||
|
|
|
Long Value |
Short Value |
||||||||
|
Total Other |
|
|
|
||||||||
9 |
Value of turnover in each asset class over the reporting months |
|
|
|
||||||||
|
|
|
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 |
|
|
|
||||||||
|
|
|
Notional Value |
Market Value |
||||||||
|
Equity derivatives |
|
|
|
||||||||
|
Fixed income derivatives |
|
|
|
||||||||
|
CDS |
|
|
|
||||||||
|
Foreign exchange (for investment purposes) |
|
|
|
||||||||
|
Interest rate derivatives |
|
|
|
||||||||
|
Commodity derivatives |
|
|
|
||||||||
|
Other derivatives |
|
|
|
||||||||
|
|
|
Market Value |
|
||||||||
|
Physical: Commodities |
|
|
|
||||||||
|
Physical: Real estate |
|
|
|
||||||||
|
Physical: Timber |
|
|
|
||||||||
|
Physical: Art and collectables |
|
|
|
||||||||
|
Physical: Transportation assets |
|
|
|
||||||||
|
Physical: Other |
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
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 |
|
|
|
||||||||
|
|
% |
|
|||||||||
|
On a regulated exchange |
|
|
|
||||||||
|
OTC |
|
|
|
||||||||
|
|
% |
|
|||||||||
|
On a regulated exchange |
|
|
|
||||||||
|
OTC |
|
|
|
||||||||
|
|
% |
|
|||||||||
|
By a CCP |
|
|
|
||||||||
|
Bilaterally |
|
|
|
||||||||
|
|
% |
|
|||||||||
|
By a CCP |
|
|
|
||||||||
|
Bilaterally |
|
|
|
||||||||
|
Tri-party |
|
|
|
||||||||
15 |
Value of collateral and other credit support that the AIF has posted to all counterparties |
|
|
|||||||||
|
|
|
|
|||||||||
|
|
|
|
|||||||||
|
|
|
|
|||||||||
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) |
|
|
|||||||||
|
|
Name |
Total Exposure |
|||||||||
|
Counterparty 1 |
|
|
|
||||||||
|
Counterparty 2 |
|
|
|
||||||||
|
Counterparty 3 |
|
|
|
||||||||
|
Counterparty 4 |
|
|
|
||||||||
|
Counterparty 5 |
|
|
|
||||||||
|
|
Name |
Total Exposure |
|||||||||
|
Counterparty 1 |
|
|
|
||||||||
|
Counterparty 2 |
|
|
|
||||||||
|
Counterparty 3 |
|
|
|
||||||||
|
Counterparty 4 |
|
|
|
||||||||
|
Counterparty 5 |
|
|
|
||||||||
18 |
Direct clearing through central clearing counterparties (CCPs) |
|
|
|||||||||
|
|
Yes No (if no, skip remainder of the question and go to question 21) |
|
|||||||||
|
|
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 |
|
|
|
||||||||
|
|
Yes |
No |
|||||||||
|
|
|
|
|||||||||
|
|
[Select one] Daily Weekly Fortnightly Monthly Quarterly Half-yearly Annual Other N/A |
|
|||||||||
|
|
|
|
|||||||||
|
|
|
|
|||||||||
23 |
Special arrangements and preferential treatment |
|
|
|||||||||
|
|
% of NAV |
|
|||||||||
|
Side pockets |
|
|
|
||||||||
|
Gates |
|
|
|
||||||||
|
Suspension of dealing |
|
|
|
||||||||
|
Other arrangements for managing illiquid assets (please specify) |
|
[Type] |
[%] |
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|||||||||
|
Special arrangements as a % of NAV |
|
|
|
||||||||
|
|
(Yes or no) |
|
|||||||||
|
|
|
|
|||||||||
|
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 |
|
|
|||||||||
|
|
|
|
|||||||||
|
|
|
|
|||||||||
|
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 |
|
|
|
||||||||
|
|
|
|
|
||||||||
|
|
|
|
|
||||||||
5. Operational and Other Risk Aspects |
||||||||||||
31 |
Total number of open positions |
|
|
|
||||||||
32 |
Historical risk profile |
|||||||||||
|
|
|
|
|||||||||
|
1st Month of Reporting Period |
|
|
|
||||||||
|
2nd Month of Reporting Period |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
Last Month of Reporting Period |
|
|
|
||||||||
|
|
|
|
|||||||||
|
1st Month of Reporting Period |
|
|
|
||||||||
|
2nd Month of Reporting Period |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
Last Month of Reporting Period |
|
|
|
||||||||
|
|
|
|
|||||||||
|
1st Month of Reporting Period |
|
|
|
||||||||
|
2nd Month of Reporting Period |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
Last Month of Reporting Period |
|
|
|
||||||||
|
|
|
|
|||||||||
|
1st Month of Reporting Period |
|
|
|
||||||||
|
2nd Month of Reporting Period |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
Last Month of Reporting Period |
|
|
|
||||||||
|
|
|
|
|||||||||
|
1st Month of Reporting Period |
|
|
|
||||||||
|
2nd Month of Reporting Period |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
… |
|
|
|
||||||||
|
Last Month of Reporting Period |
|
|
|
Results of stress tests
|
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: |
|
|
||
|
|
|
|
||
|
|
|
|