(1) "capital commitment" means the contractual commitment of an investor to provide the alternative investment fund (AIF) with an agreed amount of investment on request by the AIFM; (2) "relevant person" in relation to an AIFM means any of the following: (a) a director, partner or equivalent, or manager of the AIFM; (b) an employee of the AIFM, or any other natural person whose services are placed at the disposal and under the control of the AIFM and who is involved in the provision of collective portfolio management services by the AIFM; (c) a natural or legal person who is directly involved in the provision of services to the AIFM under a delegation arrangement to third parties for the purpose of the provision of collective portfolio management by the AIFM;
(3) "senior management" means the person or persons who effectively conduct the business of an AIFM in accordance with Article 8(1)(c) of Directive 2011/61/EU and, as the case may be, the executive member or members of the governing body; (4) "governing body" means the body with ultimate decision making authority in an AIFM, comprising the supervisory and the managerial functions, or only the managerial function if the two functions are separated; (5) "special arrangement" means an arrangement that arises as a direct consequence of the illiquid nature of the assets of an AIF which impacts the specific redemption rights of investors in a type of units or shares of the AIF and which is a bespoke or separate arrangement from the general redemption rights of investors; (6) "sustainability risk" means sustainability risk as defined in Article 2, point (22), of Regulation (EU) 2019/2088 of the European Parliament and of the Council Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on sustainability-related disclosures in the financial services sector (OJ L 317, 9.12.2019, p. 1 ).(7) "sustainability factors" means sustainability factors as defined in Article 2, point (24), of Regulation (EU) 2019/2088.
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
Modified by
- Commission Delegated Regulation (EU) 2018/1618of 12 July 2018amending Delegated Regulation (EU) No 231/2013 as regards safe-keeping duties of depositaries(Text with EEA relevance), 32018R1618, October 30, 2018
- Commission Delegated Regulation (EU) 2021/1255of 21 April 2021amending Delegated Regulation (EU) No 231/2013 as regards the sustainability risks and sustainability factors to be taken into account by Alternative Investment Fund Managers(Text with EEA relevance)Corrigendum to Commission Delegated Regulation (EU) 2021/1255 of 21 April 2021 amending Delegated Regulation (EU) No 231/2013 as regards the sustainability risks and sustainability factors to be taken into account by Alternative Investment Fund Managers(Official Journal of the European Union L 277 of 2 August 2021), 32021R125532021R1255R(01), August 2, 2021
- Commission Delegated Regulation (EU) 2024/382of 18 October 2023correcting the Swedish language version of Delegated Regulation (EU) No 231/2013 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), 32024R0382, January 23, 2024
Corrected by
- Corrigendum to Commission Delegated Regulation (EU) 2021/1255 of 21 April 2021 amending Delegated Regulation (EU) No 231/2013 as regards the sustainability risks and sustainability factors to be taken into account by Alternative Investment Fund Managers, 32021R1255R(01), September 23, 2021
(a) identify all AIFs for which it is appointed as the external AIFM or the AIF for which it is the AIFM, where the legal form of the AIF permits internal management, in accordance with Article 5 of Directive 2011/61/EU; (b) identify for each managed AIF the portfolio of assets and determine in accordance with the valuation rules laid down in the law of the country where the AIF is established and, as the case may be, or in the AIF rules or instruments of incorporation the corresponding value of assets under management, including all assets acquired through use of leverage; (c) aggregate the determined values of assets under management for all AIFs managed and compare the resulting total value of assets under management to the relevant threshold laid down in Article 3(2) of Directive 2011/61/EU.
(a) the main categories of assets in which the AIF may invest; (b) any industrial, geographic or other market sectors or specific classes of assets which are the focus of the investment strategy; (c) a description of the AIF’s borrowing or leverage policy.
(a) exclude the value of any cash and cash equivalents which are highly liquid investments held in the base currency of the AIF, that are readily convertible to a known amount of cash, are subject to an insignificant risk of change in value and provide a return no greater than the rate of a three-month high quality government bond; (b) convert derivative instruments into the equivalent position in their underlying assets using the conversion methodologies set out in Article 10 and the methods set out in paragraphs (4) to (9) and (14) of Annex I; (c) exclude cash borrowings that remain in cash or cash equivalent as referred to in point (a) and where the amounts of that payable are known; (d) include exposure resulting from the reinvestment of cash borrowings, expressed as the higher of the market value of the investment realised or the total amount of the cash borrowed as referred to in paragraphs (1) and (2) of Annex I; (e) include positions within repurchase or reverse repurchase agreements and securities lending or borrowing or other arrangements in accordance with paragraphs (3) and (10) to (13) of Annex I.
(a) convert each derivative instrument position into an equivalent position in the underlying asset of that derivative using the conversion methodologies set out in Article 10 and paragraphs (4) to (9) and (14) of Annex II; (b) apply netting and hedging arrangements; (c) calculate the exposure created through the reinvestment of borrowings where such reinvestment increases the exposure of the AIF as defined in paragraphs (1) and (2) of Annex I; (d) include other arrangements in the calculation in accordance with paragraphs (3) and (10) to (13) of Annex I.
(a) netting arrangements shall include combinations of trades on derivative instruments or security positions which refer to the same underlying asset, irrespective — in the case of derivative instruments — of the maturity date of the derivative instruments and where those trades on derivative instruments or security positions are concluded with the sole aim of eliminating the risks linked to positions taken through the other derivative instruments or security positions; (b) hedging arrangements shall include combinations of trades on derivative instruments or security positions which do not necessarily refer to the same underlying asset and where those trades on derivative instruments or security positions are concluded with the sole aim of offsetting risks linked to positions taken through the other derivative instruments or security positions.
(a) it swaps the performance of financial assets held in the AIF’s portfolio for the performance of other reference financial assets; (b) it totally offsets the risks of the swapped assets held in the AIF’s portfolio so that the AIF’s performance does not depend on the performance of the swapped assets; (c) it includes neither additional optional features, nor leverage clauses nor other additional risks as compared to a direct holding of the reference financial assets.
(a) the combined holding by the AIF of a derivative instrument relating to a financial asset and cash which is invested in cash equivalent as defined in Article 7(a) is equivalent to holding a long position in the given financial asset; (b) the derivative instrument shall not generate any incremental exposure and leverage or risk.
(a) the positions involved within the hedging relationship do not aim to generate a return and general and specific risks are offset; (b) there is a verifiable reduction of market risk at the level of the AIF; (c) the risks linked to derivative instruments, general and specific, if any, are offset; (d) the hedging arrangements relate to the same asset class; (e) they are efficient in stressed market conditions.
(a) between derivative instruments, provided they refer to the same underlying asset, even if the maturity date of the derivative instruments is different; (b) between a derivative instrument whose underlying asset is a transferable security, money market instrument or units in a collective investment undertaking as referred to in points 1 to 3 of Section C of Annex I to Directive 2004/39/EC, and that same corresponding underlying asset.
(a) loss of documents evidencing title of assets of the AIF; (b) misrepresentations or misleading statements made to the AIF or its investors; (c) acts, errors or omissions resulting in a breach of: (i) legal and regulatory obligations; (ii) duty of skill and care towards the AIF and its investors; (iii) fiduciary duties; (iv) obligations of confidentiality; (v) AIF rules or instruments of incorporation; (vi) terms of appointment of the AIFM by the AIF;
(d) failure to establish, implement and maintain appropriate procedures to prevent dishonest, fraudulent or malicious acts; (e) improperly carried out valuation of assets or calculation of unit/share prices; (f) losses arising from business disruption, system failures, failure of transaction processing or process management.
(a) shall have an initial term of no less than one year; (b) shall have a notice period for cancellation of at least 90 days; (c) shall cover professional liability risks as defined in Article 12(1) and (2); (d) is taken out from an EU or non-EU undertaking authorised to provide professional indemnity insurance, in accordance with Union law or national law; (e) is provided by a third party entity.
(a) set out and regularly update a business plan consistent with the duration of the AIF and market conditions; (b) seek and select possible transactions consistent with the business plan referred to in point (a); (c) assess the selected transactions in consideration of opportunities, if any, and overall related risks, all relevant legal, tax-related, financial or other value affecting factors, human and material resources, and strategies, including exit strategies; (d) perform due diligence activities related to the transactions prior to arranging execution; (e) monitor the performance of the AIF with respect to the business plan referred to in point (a).
(a) they are subject to ongoing supervision by a public authority; (b) they are financially sound; (c) they have the necessary organisational structure and resources for performing the services which are to be provided by them to the AIFM or the AIF.
(a) the governing body of the AIFM possesses adequate collective knowledge, skills and experience to be able to understand the AIFM’s activities, in particular the main risks involved in those activities and the assets in which the AIF is invested; (b) the members of the governing body commit sufficient time to properly perform their functions in the AIFM; (c) each member of the governing body acts with honesty, integrity and independence of mind; (d) the AIFM devotes adequate resources to the induction and training of members of the governing body.
(a) a fee, commission or non-monetary benefit paid or provided to or by the AIF or a person on behalf of the AIF; (b) a fee, commission or non-monetary benefit paid or provided to or by a third party or a person acting on behalf of a third party, where the AIFM can demonstrate that the following conditions are satisfied: (i) the existence, nature and amount of the fee, commission or benefit, or, where the amount cannot be ascertained, the method of calculating that amount, is clearly disclosed to the investors in the AIF in a manner that is comprehensive, accurate and understandable, prior to the provision of the relevant service; (ii) the payment of the fee or commission, or the provision of the non-monetary benefit are designed to enhance the quality of the relevant service and not impair compliance with the AIFM’s duty to act in the best interests of the AIF it manages or the investors in the AIF;
(c) proper fees which enable or are necessary for the provision of the relevant service, including custody costs, settlement and exchange fees, regulatory levies or legal fees, and which, by their nature, do not give rise to conflicts with the AIFM’s duties to act honestly, fairly and in accordance with the best interests of the AIF it manages or the investors of the AIF.
(a) they shall ensure that orders executed on behalf of AIFs are promptly and accurately recorded and allocated; (b) they shall execute otherwise comparable AIF orders sequentially and promptly unless the characteristics of the order or prevailing market conditions make this impracticable, or the interests of the AIF or of the investors in the AIF require otherwise.
(a) the identification of the AIFM; (b) the identification of the investor; (c) the date and time of receipt of the order; (d) the date of execution; (e) the identification of the AIF; (f) the gross value of the order including charges for subscription or the net amount after charges for redemptions.
(a) the objectives, investment policy and risks specific to the AIF, as indicated in the AIF’s rules or articles of association, prospectus or offering documents of the AIF; (b) the characteristics of the order; (c) the characteristics of the financial instruments or other assets that are the subject of that order; (d) the characteristics of the execution venues to which that order can be directed.
(a) it can be reasonably expected that the aggregation of orders will not work overall to the disadvantage of any AIF, UCITS or clients whose order is to be aggregated; (b) an order allocation policy is established and implemented, providing in sufficiently precise terms for the fair allocation of aggregated orders, including how the volume and price of orders determines allocations and the treatment of partial executions.
(a) is likely to make a financial gain, or avoid a financial loss, at the expense of the AIF or its investors; (b) has an interest in the outcome of a service or an activity provided to the AIF or its investors or to a client or of a transaction carried out on behalf of the AIF or a client, which is distinct from the AIF’s interest in that outcome; (c) has a financial or other incentive to favour: the interest of a UCITS, a client or group of clients or another AIF over the interest of the AIF, the interest of one investor over the interest of another investor or group of investors in the same AIF;
(d) carries out the same activities for the AIF and for another AIF, a UCITS or client; or (e) receives or will receive from a person other than the AIF or its investors an inducement in relation to collective portfolio management activities provided to the AIF, in the form of monies, goods or services other than the standard commission or fee for that service.
(a) with reference to the activities carried out by or on behalf of the AIFM, including activities carried out by a delegate, sub-delegate, external valuer or counterparty, identification of the circumstances which constitute or may give rise to a conflict of interest entailing a material risk of damage to the interests of the AIF or its investors; (b) procedures to be followed and measures to be adopted in order to prevent, manage and monitor such conflicts.
(a) effective procedures to prevent or control the exchange of information between relevant persons engaged in collective portfolio management activities or other activities pursuant to Article 6(2) and (4) of Directive 2011/61/EU involving a risk of conflict of interest where the exchange of information may harm the interest of one or more AIFs or their investors; (b) the separate supervision of relevant persons, whose principal functions involve carrying out collective portfolio management activities on behalf of, or providing services to, clients or investors, whose interests may conflict, or who otherwise represent different interests that may conflict, including those of the AIFM; (c) the removal of any direct link between the remuneration of relevant persons principally engaged in one activity and the remuneration of, or revenues generated by, different relevant persons principally engaged in another activity, where a conflict of interest may arise in relation to those activities; (d) measures to prevent or restrain any person from exercising inappropriate influence over the way in which a relevant person carries out collective portfolio management activities; (e) measures to prevent or control the simultaneous or sequential involvement of a relevant person in separate collective portfolio management activities or other activities pursuant to Article 6(2) and (4) of Directive 2011/61/EU where such involvement may impair the proper management of conflicts of interest.
(a) the investor has been notified of the address of the website, and the place on the website where the information may be accessed, and has consented to the provision of the information by such means; (b) the information must be up to date; (c) the information must be accessible continuously by means of that website for such period of time as the investor may reasonably need to inspect it.
(a) monitoring relevant corporate actions; (b) ensuring that the exercise of voting rights is in accordance with the investment objectives and policy of the relevant AIF; (c) preventing or managing any conflicts of interest arising from the exercise of voting rights.
(a) implement effective risk management policies and procedures in order to identify, measure, manage and monitor on an ongoing basis all risks relevant to each AIF’s investment strategy to which each AIF is or may be exposed; (b) ensure that the risk profile of the AIF disclosed to investors in accordance with point (c) of Article 23(4) of Directive 2011/61/EU is consistent with the risk limits that have been set in accordance with Article 44 of this Regulation; (c) monitor compliance with the risk limits set in accordance with Article 44 and notify the AIFM’s governing body and, where it exists, the AIFM’s supervisory function in a timely manner when it considers the AIF’s risk profile inconsistent with these limits or sees a material risk that the risk profile will become inconsistent with these limits; (d) provide the following regular updates to the governing body of the AIFM and where it exists the AIFM’s supervisory function at a frequency which is in accordance with the nature, scale and complexity of the AIF or the AIFM’s activities: (i) the consistency between and compliance with the risk limits set in accordance with Article 44 and the risk profile of the AIF as disclosed to investors in accordance with Article 23(4)(c) of Directive 2011/61/EU; (ii) the adequacy and effectiveness of the risk management process, indicating in particular whether appropriate remedial measures have been or will be taken in the event of any actual or anticipated deficiencies;
(e) provide regular updates to the senior management outlining the current level of risk incurred by each managed AIF and any actual or foreseeable breaches of any risk limits set in accordance with Article 44, so as to ensure that prompt and appropriate action can be taken.
(a) the techniques, tools and arrangements that enable it to comply with Article 45; (b) the techniques, tools and arrangements that enable liquidity risk of the AIF to be assessed and monitored under normal and exceptional liquidity conditions including through the use of regularly conducted stress tests in accordance with Article 48; (c) the allocation of responsibilities within the AIFM pertaining to risk management; (d) the limits set in accordance with Article 44 of this Regulation and a justification of how these are aligned with the risk profile of the AIF disclosed to investors in accordance with Article 23(4)(c) of Directive 2011/61/EU; (e) the terms, contents, frequency and addressees of reporting by the permanent risk management function referred to in Article 39.
(a) the nature of the potential conflicts of interest; (b) the remedial measures put in place; (c) the reasons why these measures should be reasonably expected to result in independent performance of the risk management function; (d) how the AIFM expects to ensure that the safeguards are consistently effective.
(a) the adequacy and effectiveness of the risk management policy and of the arrangements, processes and techniques referred to in Article 45; (b) the degree of compliance by the AIFM with the risk management policy and with the arrangements, processes and techniques referred to in Article 45; (c) the adequacy and effectiveness of measures taken to address any deficiencies in the performance of the risk management process; (d) the performance of the risk management function; (e) the adequacy and effectiveness of measures aiming to ensure the functional and hierarchical separation of the risk management function in accordance with Article 42.
(a) material changes are made to the risk management policies and procedures and to the arrangements, processes and techniques referred to in Article 45; (b) internal or external events indicate that an additional review is required; (c) material changes are made to the investment strategy and objectives of an AIF that the AIFM manages.
(a) persons engaged in the performance of the risk management function are not supervised by those responsible for the performance of the operating units, including the portfolio management function, of the AIFM; (b) persons engaged in the performance of the risk management function are not engaged in the performance of activities within the operating units, including the portfolio management function; (c) persons engaged in the performance of the risk management function are compensated in accordance with the achievement of the objectives linked to that function, independently of the performance of the operating units, including the portfolio management function; (d) the remuneration of senior officers in the risk management function is directly overseen by the remuneration committee, where such a committee has been established.
(a) decisions taken by the risk management function are based on reliable data, which are subject to an appropriate degree of control by the risk management function; (b) the remuneration of those engaged in the performance of the risk management function reflects the achievement of the objectives linked to the risk management function, independently of the performance of the business areas in which they are engaged; (c) the risk management function is subject to an appropriate independent review to ensure that decisions are being arrived at independently; (d) the risk management function is represented in the governing body or the supervisory function, where it has been established, at least with the same authority as the portfolio management function; (e) any conflicting duties are properly segregated.
(a) the performance of the risk management function is reviewed regularly by the internal audit function, or, if the latter has not been established, by an external party appointed by the governing body; (b) where a risk committee has been established, it is appropriately resourced and its non-independent members do not have undue influence over the performance of the risk management function.
(a) market risks; (b) credit risks; (c) liquidity risks; (d) counterparty risks; (e) operational risks.
(a) identify, measure, manage and monitor at any time the risks to which the AIFs under their management are or might be exposed; (b) ensure compliance with the limits set in accordance with Article 44.
(a) put in place such risk measurement arrangements, processes and techniques as are necessary to ensure that the risks of positions taken and their contribution to the overall risk profile are accurately measured on the basis of sound and reliable data and that the risk measurement arrangements, processes and techniques are adequately documented; (b) conduct periodic back-tests in order to review the validity of risk measurement arrangements which include model-based forecasts and estimates; (c) conduct, periodic appropriate stress tests and scenario analyses to address risks arising from potential changes in market conditions that might adversely impact the AIF; (d) ensure that the current level of risk complies with the risk limits set in accordance with Article 44; (e) establish, implement and maintain adequate procedures that, in the event of actual or anticipated breaches of the risk limits of the AIF, result in timely remedial actions in the best interest of investors; (f) ensure that there are appropriate liquidity management systems and procedures for each AIF in line with the requirements laid down in Article 46.
(a) the AIFM maintains a level of liquidity in the AIF appropriate to its underlying obligations, based on an assessment of the relative liquidity of the AIF’s assets in the market, taking account of the time required for liquidation and the price or value at which those assets can be liquidated, and their sensitivity to other market risks or factors; (b) the AIFM monitors the liquidity profile of the AIF’s portfolio of assets, having regard to the marginal contribution of individual assets which may have a material impact on liquidity, and the material liabilities and commitments, contingent or otherwise, which the AIF may have in relation to its underlying obligations. For these purposes the AIFM shall take into account the profile of the investor base of the AIF, including the type of investors, the relative size of investments and the redemption terms to which these investments are subject; (c) the AIFM, where the AIF invests in other collective investment undertakings, monitors the approach adopted by the managers of those other collective investment undertakings to the management of liquidity, including through conducting periodic reviews to monitor changes to the redemption provisions of the underlying collective investment undertakings in which the AIF invests. Subject to Article 16(1) of Directive 2011/61/EU, this obligation shall not apply where the other collective investment undertakings in which the AIF invests are actively traded on a regulated market within the meaning of point (14) of Article 4(1) of Directive 2004/39/EC or an equivalent third country market; (d) the AIFM implements and maintains appropriate liquidity measurement arrangements and procedures to assess the quantitative and qualitative risks of positions and of intended investments which have a material impact on the liquidity profile of the portfolio of the AIF’s assets to enable their effects on the overall liquidity profile to be appropriately measured. The procedures employed shall ensure that the AIFM has the appropriate knowledge and understanding of the liquidity of the assets in which the AIF has invested or intends to invest including, where applicable, the trading volume and sensitivity of prices and, as the case may be, or spreads of individual assets in normal and exceptional liquidity conditions; (e) the AIFM considers and puts into effect the tools and arrangements, including special arrangements, necessary to manage the liquidity risk of each AIF under its management. The AIFM shall identify the types of circumstances where these tools and arrangements may be used in both normal and exceptional circumstances, taking into account the fair treatment of all AIF investors in relation to each AIF under management. The AIFM may use such tools and arrangements only in these circumstances and if appropriate disclosures have been made in accordance with Article 108.
(a) be conducted on the basis of reliable and up-to-date information in quantitative terms or, where this is not appropriate, in qualitative terms; (b) where appropriate, simulate a shortage of liquidity of the assets in the AIF and atypical redemption requests; (c) cover market risks and any resulting impact, including on margin calls, collateral requirements or credit lines; (d) account for valuation sensitivities under stressed conditions; (e) be conducted at a frequency which is appropriate to the nature of the AIF, taking in to account the investment strategy, liquidity profile, type of investor and redemption policy of the AIF, and at least once a year.
(a) "securitisation" means a securitisation within the meaning of Article 4(36) of Directive 2006/48/EC; (b) "securitisation position" means a securitisation position within the meaning of Article 4(40) of Directive 2006/48/EC; (c) "sponsor" means a sponsor within the meaning of Article 4(42) of Directive 2006/48/EC; (d) "tranche" means a tranche within the meaning of Article 4(39) of Directive 2006/48/EC.
(a) retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors; (b) in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures; (c) retention of randomly selected exposures, equivalent to not less than 5 % of the nominal value of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is not less than 100 at origination; (d) retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total not less than 5 % of the nominal value of the securitised exposures; (e) retention of a first loss exposure of not less than 5 % of every securitised exposure in the securitisation.
(a) grant credit based on sound and well-defined criteria and clearly establish the process for approving, amending, renewing and re-financing loans to exposures to be securitised as they apply to exposures they hold; (b) have in place and operate effective systems to manage the ongoing administration and monitoring of their credit risk-bearing portfolios and exposures, including for identifying and managing problem loans and for making adequate value adjustments and provisions; (c) adequately diversify each credit portfolio based on the target market and overall credit strategy; (d) have a written policy on credit risk that includes their risk tolerance limits and provisioning policy and describes how it measures, monitors and controls that risk; (e) grant readily available access to all materially relevant data on the credit quality and performance of the individual underlying exposures, cash flows and collateral supporting a securitisation exposure and such information that is necessary to conduct comprehensive and well informed stress tests on the cash flows and collateral values supporting the underlying exposures. For that purpose, materially relevant data shall be determined as at the date of the securitisation and where appropriate due to the nature of the securitisation thereafter; (f) grant readily available access to all other relevant data necessary for the AIFM to comply with the requirements laid down in Article 53; (g) disclose the level of their retained net economic interest as referred to in Article 51, as well as any matters that could undermine the maintenance of the minimum required net economic interest as referred to in that Article.
(a) information disclosed under Article 51, by originators or sponsors to specify the net economic interest that they maintain, on an ongoing basis, in the securitisation; (b) the risk characteristics of the individual securitisation position; (c) the risk characteristics of the exposures underlying the securitisation position; (d) the reputation and loss experience in earlier securitisations of the originators or sponsors in the relevant exposure classes underlying the securitisation position; (e) the statements and disclosures made by the originators or sponsors, or their agents or advisors, about their due diligence on the securitised exposures and, where applicable, on the quality of the collateral supporting the securitised exposures; (f) where applicable, the methodologies and concepts on which the valuation of collateral supporting the securitised exposures is based and the policies adopted by the originator or sponsor to ensure the independence of the valuer; (g) all the structural features of the securitisation that can materially impact the performance of the institution’s securitisation position, such as the contractual waterfall and waterfall related triggers, credit enhancements, liquidity enhancements, market value triggers, and deal-specific definitions of default.
(a) establish, implement and maintain decision-making procedures and an organisational structure which specifies reporting lines and allocates functions and responsibilities clearly and in a documented manner; (b) ensure that their relevant persons are aware of the procedures to be followed for the proper discharge of their responsibilities; (c) establish, implement and maintain adequate internal control mechanisms designed to secure compliance with decisions and procedures at all levels of the AIFM; (d) establish, implement and maintain effective internal reporting and communication of information at all relevant levels of the AIFM and effective information flows with any third party involved; (e) maintain adequate and orderly records of their business and internal organisation.
(a) is responsible for the implementation of the general investment policy for each managed AIF, as defined, where relevant, in the fund rules, the instruments of incorporation, the prospectus or the offering documents; (b) oversees the approval of the investment strategies for each managed AIF; (c) is responsible for ensuring that valuation policies and procedures in accordance with Article 19 of Directive 2011/61/EU are established and implemented; (d) is responsible for ensuring that the AIFM has a permanent and effective compliance function, even if this function is performed by a third party; (e) ensures and verifies on a periodic basis that the general investment policy, the investment strategies and the risk limits of each managed AIF are properly and effectively implemented and complied with, even if the risk management function is performed by third parties; (f) approves and reviews on a periodic basis the adequacy of the internal procedures for undertaking investment decisions for each managed AIF, so as to ensure that such decisions are consistent with the approved investment strategies; (g) approves and reviews on a periodic basis the risk management policy and the arrangements, processes and techniques for implementing that policy, including the risk limit system for each AIF it manages; (h) is responsible for establishing and applying a remuneration policy in line with Annex II to Directive 2011/61/EU; (i) is responsible for the integration of sustainability risks in activities referred to in points (a) to (h).
(a) assess and periodically review the effectiveness of the policies, arrangements and procedures put in place to comply with the obligations laid down in Directive 2011/61/EU; (b) take appropriate measures to address any deficiencies.
(a) monitoring and, on a regular basis, evaluating the adequacy and effectiveness of the measures, policies and procedures put in place in accordance with paragraph 1 and the actions taken to address any deficiencies in the AIFM’s compliance with its obligations; (b) advising the relevant persons responsible for carrying out services and activities and assisting them in complying with the AIFM’s obligations under Directive 2011/61/EU.
(a) the compliance function has the necessary authority, resources, expertise and access to all relevant information; (b) a compliance officer is appointed and is responsible for the compliance function and for reporting on a frequent basis, and at least annually, to the senior management on matters of compliance, indicating in particular whether appropriate remedial measures have been taken in the event of any deficiencies; (c) persons in the compliance function are not involved in the performance of services or activities they monitor; (d) the method of determining the remuneration of a compliance officer and other persons in the compliance function do not affect their objectivity and are not likely to do so.
(a) establish, implement and maintain an audit plan to examine and evaluate the adequacy and effectiveness of the AIFM’s systems, internal control mechanisms and arrangements; (b) issue recommendations based on the results of work carried out in accordance with point (a); (c) verify compliance with the recommendations referred to in point (b); (d) report internal audit matters.
(a) entering into a personal transaction in financial instruments or other assets which fulfils one of the following criteria: (i) the transaction is subject to Article 2(1) of Directive 2003/6/EC; (ii) the transaction involves the misuse or improper disclosure of confidential information; (iii) the transaction conflicts or is likely to conflict with an obligation of the AIFM under Directive 2011/61/EU;
(b) advising or inducing, other than in the proper course of his employment or contract for services, any other person to enter into a personal transaction referred to in point (a)(i) and (ii), or that would otherwise constitute a misuse of information relating to pending orders; (c) disclosing, other than in the normal course of his employment or contract for services and without prejudice to Article 3(a) of Directive 2003/6/EC, any information or opinion to any other person if the relevant person knows, or reasonably ought to know, that as a result of that disclosure that other person would or would be likely to take either of the following steps: (i) entering into a personal transaction referred to in point (a)(i) and (ii) in financial instruments or other assets or that would otherwise constitute a misuse of information relating to pending orders; (ii) advising or inducing another person to enter into such a personal transaction.
(a) each relevant person is aware of the restrictions on personal transactions referred to in paragraph 1, and of the measures established by the AIFM in connection with personal transactions and disclosure, pursuant to paragraph 1; (b) the AIFM is informed promptly of any personal transaction entered into by a relevant person covered by paragraph 1, either by notification of that transaction or by other procedures enabling the AIFM to identify such transactions; (c) a record is kept of the personal transaction notified to the AIFM or identified by it, including any authorisation or prohibition in connection with such a transaction.
(a) effected under a discretionary portfolio management service where there is no prior communication in connection with the transaction between the portfolio manager and the relevant person or other person for whose account the transaction is executed; (b) in UCITS or AIFs that are subject to supervision under the law of a Member State which requires an equivalent level of risk spreading in their assets, where the relevant person and any other person for whose account the transactions are effected are not involved in the management of that undertaking.
(a) a relevant person; (b) any person with whom the relevant person has a family relationship or with whom the relevant person has close links; (c) a person whose relationship with the relevant person is such that the relevant person has a direct or indirect material interest in the outcome of the trade, other than a fee or commission for the execution of the trade.
(a) the name or other designation of the AIF and of the person acting for the account of the AIF; (b) the asset; (c) where relevant, the quantity; (d) the type of the order or transaction; (e) the price; (f) for orders, the date and exact time of the transmission of the order and the name or other designation of the person to whom the order was transmitted, or for transactions, the date and exact time of the decision to deal and the execution of the transaction; (g) where applicable, the name of the person transmitting the order or executing the transaction; (h) where applicable, the reasons for the revocation of an order; (i) for executed transactions the counterparty and execution venue identification.
(a) the name or other designation of the AIF; (b) the legal and other documentation that forms the basis of the portfolio transaction, including in particular the agreement as executed; (c) the price.
(a) the relevant AIF; (b) the person giving or transmitting the order; (c) the person receiving the order; (d) the date and time of the order; (e) the terms and means of payment; (f) the type of the order; (g) the date of execution of the order; (h) the number of units or shares or equivalent amounts subscribed or redeemed; (i) the subscription or, where relevant, redemption price for each unit or share or, where relevant, the amount of capital committed and paid; (j) the total subscription or redemption value of the units or shares; (k) the gross value of the order including charges for subscription, or the net amount after charges for redemption.
(a) the competent authorities are able to access them readily and to reconstitute each key stage of the processing of each portfolio transaction; (b) corrections or other amendments, and the contents of the records prior to such corrections or amendments, may be easily ascertained; (c) no other manipulation or alteration is possible.
(a) the competence and independence of personnel who are effectively carrying out the valuation of assets; (b) the specific investment strategies of the AIF and the assets the AIF might invest in; (c) the controls over the selection of valuation inputs, sources and methodologies; (d) the escalation channels for resolving differences in values for assets; (e) the valuation of any adjustments related to the size and liquidity of positions, or to changes in the market conditions, as appropriate; (f) the appropriate time for closing the books for valuation purposes; (g) the appropriate frequency for valuing assets.
(a) the valuation is based on prices only available from a single counterparty or broker source; (b) the valuation is based on illiquid exchange prices; (c) the valuation is influenced by parties related to the AIFM; (d) the valuation is influenced by other entities that may have a financial interest in the AIF’s performance; (e) the valuation is based on prices supplied by the counterparty who originated an instrument, in particular where the originator is also financing the AIF’s position in the instrument; (f) the valuation is influenced by one or more individuals within the AIFM.
(a) verifying values by a comparison amongst counterparty-sourced pricings and over time; (b) validating values by comparison of realised prices with recent carrying values; (c) considering the reputation, consistency and quality of the valuation source; (d) a comparison with values generated by a third party; (e) an examination and documentation of exemptions; (f) highlighting and researching any differences that appear unusual or vary by valuation benchmark established for the type of asset; (g) testing for stale prices and implied parameters; (h) a comparison with the prices of any related assets or their hedges; (i) a review of the inputs used in model-based pricing, in particular of those to which the model’s price exhibits significant sensitivity.
(a) sufficient personnel and technical resources; (b) adequate procedures safeguarding proper and independent valuation; (c) adequate knowledge and understanding of the investment strategy of the AIF and of the assets the external valuer is appointed to value; (d) a sufficiently good reputation and sufficient experience with valuation.
(a) the delegation structure does not allow for the circumvention of the AIFM’s responsibilities or liability; (b) the obligations of the AIFM towards the AIF and its investors are not altered as a result of the delegation; (c) the conditions with which the AIFM must comply in order to be authorised and carry out activities in accordance with Directive 2011/61/EU are not undermined; (d) the delegation arrangement takes the form of a written agreement concluded between the AIFM and the delegate; (e) the AIFM ensures that the delegate carries out the delegated functions effectively and in compliance with applicable law and regulatory requirements and must establish methods and procedures for reviewing on an ongoing basis the services provided by the delegate. The AIFM shall take appropriate action if it appears that the delegate cannot carry out the functions effectively or in compliance with applicable laws and regulatory requirements; (f) the AIFM supervises effectively the delegated functions and manages the risks associated with the delegation. For this purpose the AIFM shall have at all times the necessary expertise and resources to supervise the delegated functions. The AIFM shall set out in the agreement its right of information, inspection, admittance and access, and its instruction and monitoring rights against the delegate. The AIFM shall also ensure that the delegate properly supervises the performance of the delegated functions, and adequately manages the risks associated with the delegation; (g) the AIFM ensures that the continuity and quality of the delegated functions or of the delegated task of carrying out functions are maintained also in the event of termination of the delegation either by transferring the delegated functions or the delegated task of carrying out functions to another third party or by performing them itself; (h) the respective rights and obligations of the AIFM and the delegate are clearly allocated and set out in the agreement. In particular, the AIFM shall contractually ensure its instruction and termination rights, its rights of information, and its right to inspections and access to books and premises. The agreement shall make sure that sub-delegation can take place only with the consent of the AIFM; (i) where it concerns portfolio management, the delegation is in accordance with the investment policy of the AIF. The delegate shall be instructed by the AIFM how to implement the investment policy and the AIFM shall monitor whether the delegate complies with it on an ongoing basis; (j) the AIFM ensures that the delegate discloses to the AIFM any development that may have a material impact on the delegate’s ability to carry out the delegated functions effectively and in compliance with applicable laws and regulatory requirements; (k) the AIFM ensures that the delegate protects any confidential information relating to the AIFM, the AIF affected by the delegation and the investors in that AIF; (l) the AIFM ensures that the delegate establishes, implements and maintains a contingency plan for disaster recovery and periodic testing of backup facilities while taking into account the types of delegated functions.
(a) optimising of business functions and processes; (b) cost saving; (c) expertise of the delegate in administration or in specific markets or investments; (d) access of the delegate to global trading capabilities.
(a) management companies authorised under Directive 2009/65/EC; (b) investment firms authorised under Directive 2004/39/EC to perform portfolio management; (c) credit institutions authorised under Directive 2006/48/EC having the authorisation to perform portfolio management under Directive 2004/39/EC; (d) external AIFMs authorised under Directive 2011/61/EU; (e) third country entities authorised or registered for the purpose of asset management and effectively supervised by a competent authority in those countries.
(a) a written arrangement shall exist between the competent authorities of the home Member State of the AIFM and the supervisory authorities of the undertaking to which delegation is conferred; (b) with respect to the undertaking to which delegation is conferred, the arrangement referred to in point (a) allows the competent authorities to: (i) obtain on request the relevant information necessary to carry out their supervisory tasks as provided for in Directive 2011/61/EU; (ii) obtain access to the documents relevant for the performance of their supervisory duties maintained in the third country; (iii) carry out on-site inspections on the premises of the undertaking to which functions were delegated. The practical procedures for on-site inspections shall be detailed in the written arrangement; (iv) receive as soon as possible information from the supervisory authority in the third country for the purpose of investigating apparent breaches of the requirements of Directive 2011/61/EU and its implementing measures; (v) cooperate in enforcement in accordance with the national and international law applicable to the supervisory authority of the third country and the EU competent authorities in cases of breach of the requirements of Directive 2011/61/EU and its implementing measures and relevant national law.
(a) the AIFM, its auditors and the competent authorities do not have effective access to data related to the delegated functions and to the business premises of the delegate, or the competent authorities are not able to exercise those rights of access; (b) the delegate does not cooperate with the competent authorities of the AIFM in connection with the delegated functions; (c) the AIFM does not make available on request to the competent authorities all information necessary to enable authorities to supervise the compliance of the performance of the delegated functions with the requirements of Directive 2011/61/EU and its implementing measures.
(a) where the AIFM and the delegate are members of the same group or have any other contractual relationship, the extent to which the delegate controls the AIFM or has the ability to influence its actions; (b) where the delegate and an investor in the relevant AIF are members of the same group or have any other contractual relationship, the extent to which this investor controls the delegate or has the ability to influence its actions; (c) the likelihood that the delegate makes a financial gain, or avoids a financial loss, at the expense of the AIF or the investors in the AIF; (d) the likelihood that the delegate has an interest in the outcome of a service or an activity provided to the AIFM or the AIF; (e) the likelihood that the delegate has a financial or other incentive to favour the interest of another client over the interests of the AIF or the investors in the AIF; (f) the likelihood that the delegate receives or will receive from a person other than the AIFM an inducement in relation to the collective portfolio management activities provided to the AIFM and the AIFs it manages in the form of monies, goods or services other than the standard commission or fee for that service.
(a) persons engaged in portfolio management tasks are not engaged in the performance of potentially conflicting tasks such as controlling tasks; (b) persons engaged in risk management tasks are not engaged in the performance of potentially conflicting tasks such as operating tasks; (c) persons engaged in risk management functions are not supervised by those responsible for the performance of operating tasks; (d) the separation is ensured throughout the whole hierarchical structure of the delegate up to its governing body and is reviewed by the governing body and, where it exists, the supervisory function of the delegate.
(a) the AIFM ensures that the delegate takes all reasonable steps to identify, manage and monitor potential conflicts of interest that may arise between itself and the AIFM, the AIF or the investors in the AIF. The AIFM shall ensure that the delegate has procedures in place corresponding to those required under Articles 31 to 34; (b) the AIFM ensures that the delegate discloses potential conflicts of interest as well as the procedures and measures to be adopted by it in order to manage such conflicts of interest to the AIFM which shall disclose them to the AIF and the investors in the AIF in accordance with Article 36.
(a) the AIFM no longer retains the necessary expertise and resources to supervise the delegated tasks effectively and manage the risks associated with the delegation; (b) the AIFM no longer has the power to take decisions in key areas which fall under the responsibility of the senior management or no longer has the power to perform senior management functions in particular in relation to the implementation of the general investment policy and investment strategies; (c) the AIFM loses its contractual rights to inquire, inspect, have access or give instructions to its delegates or the exercise of such rights becomes impossible in practice; (d) the AIFM delegates the performance of investment management functions to an extent that exceeds by a substantial margin the investment management functions performed by the AIFM itself. When assessing the extent of delegation, competent authorities shall assess the entire delegation structure taking into account not only the assets managed under delegation but also the following qualitative criteria: (i) the types of assets the AIF or the AIFM acting on behalf of the AIF is invested in, and the importance of the assets managed under delegation for the risk and return profile of the AIF; (ii) the importance of the assets under delegation for the achievement of the investment goals of the AIF; (iii) the geographical and sectoral spread of the AIF’s investments; (iv) the risk profile of the AIF; (v) the type of investment strategies pursued by the AIF or the AIFM acting on behalf of the AIF; (vi) the types of tasks delegated in relation to those retained; and (vii) the configuration of delegates and their sub-delegates, their geographical sphere of operation and their corporate structure, including whether the delegation is conferred on an entity belonging to the same corporate group as the AIFM.
(a) a description of the services to be provided by the depositary and the procedures to be adopted for each type of asset in which the AIF may invest and which shall then be entrusted to the depositary; (b) a description of the way in which the safe-keeping and oversight function is to be performed depending on the types of assets and the geographical regions in which the AIF plans to invest. With respect to the custody duties this description shall include country lists and procedures for adding and, as the case may be, or withdrawing countries from that list. This shall be consistent with the information provided in the AIF rules, instruments of incorporation and offering documents regarding the assets in which the AIF may invest; (c) a statement that the depositary’s liability shall not be affected by any delegation of its custody functions unless it has discharged itself of its liability in accordance with Article 21(13) or (14) of Directive 2011/61/EU; (d) the period of validity and the conditions for amendment and termination of the contract including the situations which could lead to the termination of the contract and details regarding the termination procedure and, if applicable, the procedures by which the depositary should send all relevant information to its successor; (e) the confidentiality obligations applicable to the parties in accordance with relevant laws and regulations. These obligations shall not impair the ability of competent authorities to have access to the relevant documents and information; (f) the means and procedures by which the depositary transmits to the AIFM or the AIF all relevant information that it needs to perform its duties including the exercise of any rights attached to assets, and in order to allow the AIFM and the AIF to have a timely and accurate overview of the accounts of the AIF; (g) the means and procedures by which the AIFM or the AIF transmits all relevant information or ensures the depositary has access to all the information it needs to fulfil its duties, including the procedures ensuring that the depositary will receive information from other parties appointed by the AIF or the AIFM; (h) information on whether or not the depositary, or a third party to whom safe-keeping functions are delegated in accordance with Article 21(11) of Directive 2011/61/EU may re-use the assets it has been entrusted with and, if any, the conditions attached to any such re-use; (i) the procedures to be followed when an amendment to the AIF rules, instruments of incorporation or offering documents is being considered, detailing the situations in which the depositary is to be informed, or where the prior agreement of the depositary is needed to proceed with the amendment; (j) all necessary information that needs to be exchanged between the AIF, the AIFM, a third party acting on behalf of the AIF or the AIFM, on the one hand, and the depositary, on the other hand, related to the sale, subscription, redemption, issue, cancellation and re-purchase of units or shares of the AIF; (k) all necessary information that needs to be exchanged between the AIF, the AIFM, a third party acting on behalf of the AIF or the AIFM and the depositary related to the performance of the depositary’s oversight and control function; (l) where the parties to the contract envisage appointing third parties to carry out parts of their respective duties, a commitment to provide, on a regular basis, details of any third party appointed and, upon request, information on the criteria used to select the third party and the steps envisaged to monitor the activities carried out by the selected third party; (m) information on the tasks and responsibilities of the parties to the contract in respect of obligations relating to the prevention of money laundering and the financing of terrorism; (n) information on all cash accounts opened in the name of the AIF or in the name of the AIFM acting on behalf of the AIF and the procedures ensuring that the depositary will be informed when any new account is opened in the name of the AIF or in the name of the AIFM acting on behalf of the AIF; (o) details regarding the depositary’s escalation procedures, including the identification of the persons to be contacted within the AIF and, as the case may be, or the AIFM by the depositary when it launches such a procedure; (p) a commitment by the depositary to notify the AIFM when it becomes aware that the segregation of assets is not, or is no longer sufficient to ensure protection from insolvency of a third party, to whom safe-keeping functions are delegated in accordance with Article 21(11) of Directive 2011/61/EU in a specific jurisdiction; (q) the procedures ensuring that the depositary, in respect of its duties, has the ability to enquire into the conduct of the AIFM and, as the case may be, or the AIF and to assess the quality of information transmitted including by way of having access to the books of the AIF and, as the case may be, or AIFM or by way of on-site visits; (r) the procedures ensuring that the AIFM and, as the case may be, or the AIF can review the performance of the depositary in respect of the depositary’s contractual obligations.
(a) the depositary is subject to authorisation and ongoing supervision by a public competent authority with adequate resources to fulfil its tasks; (b) the law of the third country lay down criteria for authorisation as a depositary that have the same effect as those laid down for access to the business of credit institutions or investment firms within the Union; (c) the capital requirements imposed on the depositary in the third country have the same effect as those applicable in the Union depending on whether the depositary is of the same nature as an Union credit institution or investment firm; (d) the operating conditions applicable to a depositary in the third country have the same effect as those laid down for credit institutions or investment firms within the Union depending on the nature of the depositary; (e) the requirements regarding the performance of the specific duties as AIF depositary established in the law of the third country have the same effect as those provided for in Article 21(7) to (15) of Directive 2011/61/EU and its implementing measures and the relevant national law; (f) the law of the third country provides for the application of sufficiently dissuasive enforcement actions in the event of breach by the depositary of the requirements and conditions referred to points (a) to (e).
(a) be informed, upon its appointment, of all existing cash accounts opened in the name of the AIF, or in the name of the AIFM acting on behalf of the AIF; (b) be informed at the opening of any new cash account by the AIF or by the AIFM acting on behalf of the AIF; (c) be provided with all information related to the cash accounts opened at a third party entity, directly by those third parties.
(a) ensure that all cash of the AIF is booked in accounts opened with entities referred to in points (a), (b) and (c) of Article 18(1) of Directive 2006/73/EC in the relevant markets where cash accounts are required for the purposes of the AIF’s operations and which are subject to prudential regulation and supervision that has the same effect as Union law, is effectively enforced and is in accordance with the principles laid down in Article 16 of Directive 2006/73/EC; (b) implement effective and proper procedures to reconcile all cash flow movements and perform such reconciliations on a daily basis or, in case of infrequent cash movements, when such cash flow movements occur; (c) implement appropriate procedures to identify at the close of business day significant cash flows and in particular those which could be inconsistent with the AIF’s operations; (d) review periodically the adequacy of those procedures including through a full review of the reconciliation process at least once a year and ensuring that the cash accounts opened in the name of the AIF, in the name of the AIFM acting on behalf of the AIF or in the name of the depositary acting on behalf of the AIF are included in the reconciliation process; (e) monitor on an ongoing basis the outcomes of the reconciliations and actions taken as a result of any discrepancies identified by the reconciliation procedures and notify the AIFM if an irregularity has not been rectified without undue delay and also the competent authorities if the situation cannot be clarified and, as the case may be, or corrected; (f) check the consistency of its own records of cash positions with those of the AIFM. The AIFM shall ensure that all instructions and information related to a cash account opened with a third party are sent to the depositary, so that the depositary is able to perform its own reconciliation procedure.
(a) they are transferable securities including those which embed derivatives as referred to in the last subparagraph of Article 51(3) of Directive 2009/65/EC and Article 10 of Commission Directive 2007/16/EC OJ L 79, 20.3.2007, p. 11 .(b) they are capable of being registered or held in an account directly or indirectly in the name of the depositary.
(a) the financial instruments are properly registered in accordance with Article 21(8)(a)(ii) of Directive 2011/61/EU; (b) records and segregated accounts are maintained in a way that ensures their accuracy, and in particular record the correspondence with the financial instruments and cash held for AIFs; (c) reconciliations are conducted as often as necessary between the depositary's internal accounts and records and those of any third party to whom custody functions are delegated in accordance with Article 21(11) of Directive 2011/61/EU; (d) due care is exercised in relation to the financial instruments held in custody in order to ensure a high standard of investor protection; (e) all relevant custody risks throughout the custody chain are assessed and monitored and the AIFM is informed of any material risk identified; (f) adequate organisational arrangements are introduced to minimise the risk of loss or diminution of the financial instruments, or of rights in connection with those financial instruments as a result of fraud, poor administration, inadequate registering or negligence; (g) the AIF’s ownership right or the ownership right of the AIFM acting on behalf of the AIF over the assets is verified.
(a) the normal trading activity of the AIF; (b) any trade occurring outside the normal trading activity; (c) any trade occurring on behalf of any other client whose assets are held by the third party in the same financial instruments account as the assets of the AIF.
(a) have access without undue delay to all relevant information it needs in order to perform its ownership verification and record-keeping duties, including relevant information to be provided to the depositary by third parties; (b) possess sufficient and reliable information for it to be satisfied of the AIF’s ownership right or of the ownership right of the AIFM acting on behalf of the AIF over the assets; (c) maintain a record of those assets for which it is satisfied that the AIF or the AIFM acting on behalf of the AIF holds the ownership. In order to comply with this obligation, the depositary shall: (i) register in its record, in the name of the AIF, assets, including their respective notional amounts, for which it is satisfied that the AIF or the AIFM acting on behalf of the AIF holds the ownership; (ii) be able to provide at any time a comprehensive and up-to-date inventory of the AIF’s assets, including their respective notional amounts.
(a) the values of the items listed in paragraph 3 at the close of each business day; (b) details of any other matters necessary to ensure that the depositary of the AIF has up-to-date and accurate information about the value of assets the safekeeping of which has been delegated in accordance with Article 21(11) of Directive 2011/61/EU.
(a) the total value of assets held by the prime broker for the AIF, where safe-keeping functions are delegated in accordance with Article 21(11) of Directive 2011/61/EU. The value of each of the following: (i) cash loans made to the AIF and accrued interest; (ii) securities to be redelivered by the AIF under open short positions entered into on behalf of the AIF; (iii) current settlement amounts to be paid by the AIF under any futures contracts; (iv) short sale cash proceeds held by the prime broker in respect of short positions entered into on behalf of the AIF; (v) cash margins held by the prime broker in respect of open futures contracts entered into on behalf of the AIF. This obligation is in addition to the obligations under Articles 87 and 88; (vi) mark-to-market close-out exposures of any OTC transaction entered into on behalf of the AIF; (vii) total secured obligations of the AIF against the prime broker; and (viii) all other assets relating to the AIF;
(b) the value of other assets referred to in point (b) of Article 21(8) of Directive 2011/61/EU held as collateral by the prime broker in respect of secured transactions entered into under a prime brokerage agreement; (c) the value of the assets where the prime broker has exercised a right of use in respect of the AIF’s assets; (d) a list of all the institutions at which the prime broker holds or may hold cash of the AIF in an account opened in the name of the AIF or in the name of the AIFM acting on behalf of the AIF in accordance with Article 21(7) of Directive 2011/61/EU.
(1) The depositary shall ensure that the AIF, the AIFM or the designated entity has established, implements and applies an appropriate and consistent procedure to: (i) reconcile the subscription orders with the subscription proceeds, and the number of units or shares issued with the subscription proceeds received by the AIF; (ii) reconcile the redemption orders with the redemptions paid, and the number of units or shares cancelled with the redemptions paid by the AIF; (iii) verify on a regular basis that the reconciliation procedure is appropriate.
For the purpose of points (i), (ii) and (iii), the depositary shall in particular regularly check the consistency between the total number of units or shares in the AIF’s accounts and the total number of outstanding shares or units that appear in the AIF’s register. (2) A depositary shall ensure and regularly check that the procedures regarding the sale, issue, repurchase, redemption and cancellation of shares or units of the AIF comply with the applicable national law and with the AIF rules or instruments of incorporation and verify that these procedures are effectively implemented. (3) The frequency of the depositary’s checks shall be consistent with the frequency of subscriptions and redemptions.
(a) verify on an ongoing basis that appropriate and consistent procedures are established and applied for the valuation of the assets of the AIF in compliance with Article 19 of Directive 2011/61/EU and its implementing measures and with the AIF rules and instruments of incorporation; and (b) ensure that the valuation policies and procedures are effectively implemented and periodically reviewed.
(a) set up and implement appropriate procedures to verify that the AIF and AIFM comply with applicable laws and regulations and with the AIF’s rules and instruments of incorporation. In particular, the depositary shall monitor the AIF’s compliance with investment restrictions and leverage limits set in the AIF’s offering documents. Those procedures shall be proportionate to the nature, scale and complexity of the AIF; (b) set up and implement an escalation procedure where the AIF has breached one of the limits or restrictions referred to in point (a).
(a) ensure that the net income calculation, once declared by the AIFM, is applied in accordance with the AIF rules, instruments of incorporation and applicable national law; (b) ensure that appropriate measures are taken where the AIF’s auditors have expressed reserves on the annual financial statements. The AIF or the AIFM acting on behalf of the AIF shall provide the depositary with all information on reserves expressed on the financial statements; and (c) check the completeness and accuracy of dividend payments, once they are declared by the AIFM, and, where relevant, of the carried interest.
(a) assess the regulatory and legal framework, including country risk, custody risk and the enforceability of the third party’s contracts. That assessment shall in particular enable the depositary to determine the potential implication of an insolvency of the third party for the assets and rights of the AIF. If a depositary becomes aware that the segregation of assets is not sufficient to ensure protection from insolvency because of the law of the country where the third party is located, it shall immediately inform the AIFM; (b) assess whether the third party’s practice, procedures and internal controls are adequate to ensure that the financial instruments of the AIF or of the AIFM acting on behalf of the AIF are subject to a high standard of care and protection; (c) assess whether the third party’s financial strength and reputation are consistent with the tasks delegated. That assessment shall be based on information provided by the potential third party as well as other data and information, where available; (d) ensure that the third party has the operational and technological capabilities to perform the delegated custody tasks with a satisfactory degree of protection and security.
(a) a guarantee of the depositary's right to information, inspection, and access to the relevant records and accounts of the third party holding assets in custody to enable the depositary to fulfil its oversight and due diligence obligations and in particular allow the depositary to: (i) identify all entities within the custody chain; (ii) verify that the quantity of the identified financial instruments recorded in the financial instruments accounts opened in the depositary's books in the name of the AIF or in the name of the AIFM, acting on behalf of the AIF, matches the quantity of the identified financial instruments held in custody by the third party for that AIF as recorded in the financial instruments account opened in the third party's books; (iii) verify that the quantity of the identified financial instruments, which are registered and held in a financial instruments account opened at the issuer's Central Securities Depository (CSD) or its agent, in the name of the third party on behalf of its clients, matches the quantity of the identified financial instruments recorded in the financial instruments accounts opened in the depositary's books in the name of each of its AIF clients or in the name of the AIFM acting on behalf of the AIF;
(b) details of equivalent rights and obligations agreed between the third party and another third party, in the event of a further delegation of custody functions.
(a) monitor the third party’s performance and its compliance with the depositary’s standards; (b) ensure that the third party exercises a high standard of care, prudence and diligence in the performance of its custody tasks and in particular that it effectively segregates the financial instruments in line with the requirements of Article 99; (c) review the custody risks associated with the decision to entrust the assets to the third party and without undue delay notify the AIF or AIFM of any change in those risks. That assessment shall be based on information provided by the third party and other data and information where available. During market turmoil or when a risk has been identified, the frequency and the scope of the review shall be increased. If the depositary becomes aware that the segregation of assets is no longer sufficient to ensure protection from insolvency because of the law of the country where the third party is located, it shall immediately inform the AIFM.
(a) correctly records all identified financial instruments in the financial instruments account, which is opened in the third party's books, in order to hold in custody the financial instruments for the depositary's clients, which excludes proprietary financial instruments of the depositary and of the third party and of the third party's other clients, to enable the depositary to match the quantity of the identified financial instruments recorded in the accounts opened in the depositary's books in the name of each of its AIF clients or in the name of the AIFM acting on behalf of the AIF; (b) keeps all necessary records and financial instruments accounts to enable the depositary at any time and without delay to distinguish assets of the depositary's clients from the third party own assets, assets of the third party's other clients and assets held for the depositary for its own account; (c) maintains records and financial instruments accounts in a way that ensures their accuracy, and in particular their correspondence to the assets kept safe for the depositary's AIF clients and on the basis of which the depositary can at any time establish the precise nature, location and ownership status of those assets; (d) provides the depositary with a statement, on a regular basis and in any case whenever a change in circumstances occurs, detailing the assets of the depositary's AIF clients; (e) conducts reconciliations, as often as necessary, between its financial instruments accounts and internal records and those of the third party to whom it has delegated safe-keeping functions in accordance with Article 21(11) of Directive 2011/61/EU. The frequency of the reconciliation shall be determined in accordance with Article 89(1); (f) introduces adequate organisational arrangements to minimise the risk of loss or diminution of financial instruments or of rights in connection with those financial instruments as a result of misuse of the financial instruments, fraud poor administration, inadequate record-keeping or negligence; (g) where the third party is an entity referred to in points (a), (b) and (c) of Article 18(1) of Directive 2006/73/EC, which is subject to effective prudential regulation and supervision that has the same effect as Union law and is effectively enforced, the depositary shall take the necessary steps to ensure that the AIF's cash is held in an account or accounts in accordance with Article 21(7) of Directive 2011/61/EU.
(a) the depositary receives legal advice from an independent natural or legal person confirming that the applicable insolvency law recognises the following: (i) the segregation of the assets of the depositary's clients from the third party's own assets, from the assets of the third party's other clients and from the assets held by the third party for the depositary's own account; (ii) the assets of the depositary's AIF clients do not form part of the third party's estate in case of insolvency; (iii) the assets of the depositary's AIF clients are unavailable for distribution among, or realisation for the benefit of, creditors of the third party to whom custody functions have been delegated in accordance with Article 21(11) of Directive 2011/61/EU;
(b) the third party takes the following steps: (i) it ensures that the conditions laid down in point (a) are met when concluding the delegation agreement with the depositary and on an ongoing basis for the entire duration of the delegation; (ii) it immediately informs the depositary whenever any of the conditions referred to in point (i) are no longer met; (iii) it informs the depositary about any changes to applicable insolvency law and its effective application.
(a) a stated right of ownership of the AIF is demonstrated not to be valid because it either ceased to exist or never existed; (b) the AIF has been definitively deprived of its right of ownership over the financial instrument; (c) the AIF is definitively unable to directly or indirectly dispose of the financial instrument.
(a) the event which led to the loss is not the result of any act or omission of the depositary or of a third party to whom the custody of financial instruments held in custody in accordance with point (a) of Article 21(8) of Directive 2011/61/EU has been delegated; (b) the depositary could not have reasonably prevented the occurrence of the event which led to the loss despite adopting all precautions incumbent on a diligent depositary as reflected in common industry practice; (c) despite rigorous and comprehensive due diligence, the depositary could not have prevented the loss.
(i) establishing, implementing, applying and maintaining structures and procedures and insuring expertise that are adequate and proportionate to the nature and complexity of the assets of the AIF in order to identify in a timely manner and monitor on an ongoing basis external events which may result in loss of a financial instrument held in custody; (ii) assessing on an ongoing basis whether any of the events identified under point (i) presents a significant risk of loss of a financial instrument held in custody; (iii) informing the AIFM of the significant risks identified and taking appropriate actions, if any, to prevent or mitigate the loss of financial instruments held in custody, where actual or potential external events have been identified which are believed to present a significant risk of loss of a financial instrument held in custody.
(a) natural events beyond human control or influence; (b) the adoption of any law, decree, regulation, decision or order by any government or governmental body, including any court or tribunal, which impacts the financial instruments held in custody; (c) war, riots or other major upheavals.
(a) limited to precise and concrete circumstances characterising a given activity; (b) consistent with the depositary’s policies and decisions.
(a) the law of a third country requires that certain financial instruments be held in custody by a local entity and local entities exist that satisfy the delegation criteria laid down in Article 21(11) of Directive 2011/61/EU; or (b) the AIFM insists on maintaining an investment in a particular jurisdiction despite warnings by the depositary as to the increased risk this presents.
(a) "assets" comprising the resources controlled by the AIF as a result of past events and from which future economic benefits are expected to flow to the AIF. Assets shall be sub-classified according to the following line items: (i) "investments", including, but not limited to, debt and equity securities, real estate and property and derivatives; (ii) "cash and cash equivalents", including, but not limited to, cash-in-hand, demand deposits and qualifying short-term liquid investments; (iii) "receivables", including, but not limited to, amounts receivable in relation to dividends and interest, investments sold, amounts due from brokers and "prepayments", including, but not limited to, amounts paid in advance in relation to expenses of the AIF;
(b) "liabilities", comprising present obligations of the AIF arising from past events, the settlement of which is expected to result in an outflow from the AIF of resources embodying economic benefits. Liabilities shall be sub-classified according to the following line items: (i) "payables", including, but not limited to, amounts payable in relation to the purchase of investments or redemption of units or shares in the AIF and amounts due to brokers and "accrued expenses", including, but not limited to, liabilities for management fees, advisory fees, performance fees, interest and other expenses incurred in the course of operations of the AIF; (ii) "borrowings", including, but not limited to, amounts payable to banks and other counterparties; (iii) "other liabilities", including, but not limited to, amounts due to counterparties for collateral on return of securities loaned, deferred income and dividends and distributions payable;
(c) "net assets", representing the residual interest in the assets of the AIF after deducting all its liabilities.
(a) "income", representing any increases in economic benefits during the accounting period in the form of inflows or enhancements of assets or decreases of liabilities that result in increases in net assets other than those relating to contributions from investors. Income shall be sub-classified according to the following line items: (i) "investment income", which can be further sub-classified as follows: "dividend income", relating to dividends on equity investments to which the AIF is entitled, "interest income", relating to interest on debt investments and on cash to which the AIF is entitled, "rental income", relating to rental income from property investments to which the AIF is entitled;
(ii) "realised gains on investments", representing gains on the disposal of investments; (iii) "unrealised gains on investments", representing gains on the revaluation of investments; and (iv) "other income" including, but not limited to, fee income from securities loaned and from miscellaneous sources.
(b) "expenses", representing decreases in economic benefits during the accounting period in the form of outflows or depletions of assets or incurrences of liabilities that result in decreases in net assets, other than those relating to distributions to investors. Expenses shall, be sub-classified according to the following line items: "investment advisory or management fees", representing contractual fees due to the advisor or AIFM, "other expenses", including, but not limited to, administration fees, professional fees, custodian fees and interest. Individual items, if material in nature, should be disclosed separately, "realised loss on investments", representing loss on the disposal of investments, "unrealised loss on investments", representing loss on the revaluation of investments;
(c) "net income or expenditure", representing the excess of income over expenditure or expenditure over income, as applicable.
(a) an overview of investment activities during the year or period, and an overview of the AIF’s portfolio at year-end or period end; (b) an overview of AIF performance over the year or period; (c) material changes as defined below in the information listed in Article 23 of Directive 2011/61/EU not already present in the financial statements.
(a) the total remuneration of the entire staff of the AIFM, indicating the number of beneficiaries; (b) the total remuneration of those staff of the AIFM who are fully or partly involved in the activities of the AIF, indicating the number of beneficiaries; (c) the proportion of the total remuneration of the staff of the AIFM attributable to the AIF, indicating the number of beneficiaries.
(a) provide an overview of any special arrangements in place including whether they relate to side pockets, gates or other similar arrangements, the valuation methodology applied to assets which are subject to such arrangements and how management and performance fees apply to these assets; (b) disclose this information as part of the AIF’s periodic reporting to investors, as required by the AIF’s rules or instruments of incorporation, or at the same time as the prospectus and offering document and — as a minimum — at the same time as the annual report is made available in accordance with Article 22(1) of Directive 2011/61/EU.
(a) for each AIF that they manage which is not an unleveraged closed-ended AIF, notify to investors whenever they make changes to the liquidity management systems and procedures referred to in Article 16(1) of Directive 2011/61/EU which are material in accordance with Article 106(1); (b) immediately notify investors where they activate gates, side pockets or similar special arrangements or where they decide to suspend redemptions; (c) provide an overview of the changes to arrangements concerning liquidity, whether or not these are special arrangements. Where relevant, the terms under which redemption is permitted and circumstances determining when management discretion applies shall be included. Also any voting or other restrictions exercisable, the length of any lock-up or any provision concerning "first in line" or "pro-rating" on gates and suspensions shall be included.
(a) measures to assess the sensitivity of the AIF’s portfolio to the most relevant risks to which the AIF is or could be exposed; (b) if risk limits set by the AIFM have been or are likely to be exceeded and where these risk limits have been exceeded a description of the circumstances and, the remedial measures taken.
(a) the original and revised maximum level of leverage calculated in accordance with Articles 7 and 8, whereby the level of leverage shall be calculated as the relevant exposure divided by the net asset value of the AIF; (b) the nature of the rights granted for the reuse of collateral; (c) the nature of guarantees granted; and (d) details of changes in any service providers which relating to one of the items above.
(a) the main instruments in which it is trading, including a break-down of financial instruments and other assets, including the AIF’s investment strategies and their geographical and sectoral investment focus; (b) the markets of which it is a member or where it actively trades; (c) the diversification of the AIF’s portfolio, including, but not limited to, its principal exposures and most important concentrations.
(a) the percentage of the AIF’s assets which are subject to special arrangements as defined in Article 1(5) of this Regulation arising from their illiquid nature as referred to in point (a) of Article 23(4) of Directive 2011/61/EU; (b) any new arrangements for managing the liquidity of the AIF; (c) the risk management systems employed by the AIFM to manage the market risk, liquidity risk, counterparty risk and other risks including operational risk; (d) the current risk profile of the AIF, including: (i) the market risk profile of the investments of the AIF, including the expected return and volatility of the AIF in normal market conditions; (ii) the liquidity profile of the investments of the AIF, including the liquidity profile of the AIF’s assets, the profile of redemption terms and the terms of financing provided by counterparties to the AIF;
(e) information on the main categories of assets in which the AIF invested including the corresponding short market value and long market value, the turnover and performance during the reporting period; and (f) the results of periodic stress tests, under normal and exceptional circumstances, performed in accordance with point (b) of Article 15(3) and the second subparagraph of Article 16(1) of Directive 2011/61/EU.
(a) on a half-yearly basis by AIFMs managing portfolios of AIFs whose assets under management calculated in accordance with Article 2 in total exceed the threshold of either EUR 100 million or EUR 500 million laid down in points (a) and (b) respectively of Article 3(2) of Directive 2011/61/EU but do not exceed EUR 1 billion, for each of the EU AIFs they manage and for each of the AIFs they market in the Union; (b) on a quarterly basis by AIFMs managing portfolios of AIFs whose assets under management calculated in accordance with Article 2 in total exceed EUR 1 billion, for each of the EU AIFs they manage, and for each of the AIFs they market in the Union; (c) on a quarterly basis by AIFMs which are subject to the requirements referred to in point (a) of this paragraph, for each AIF whose assets under management, including any assets acquired through use of leverage, in total exceed EUR 500 million, in respect of that AIF; (d) on an annual basis by AIFMs in respect of each unleveraged AIF under their management which, in accordance with its core investment policy, invests in non-listed companies and issuers in order to acquire control.
(a) the circumstances in which the exposure of an AIF or several AIFs including those exposures resulting from financing or investment positions entered into by the AIFM for its own account or on behalf of the AIFs could constitute an important source of market, liquidity or counterparty risk to a financial institution; (b) the circumstances in which the activities of an AIFM or its interaction with, for example, a group of AIFMs or other financial institutions, in particular with respect to the types of assets in which the AIF invests and the techniques employed by the AIFM through the use of leverage, contribute or could contribute to a downward spiral in the prices of financial instruments or other assets in a manner that threatens the viability of such financial instruments or other assets; (c) criteria such as the type of AIF, the investment strategy of the AIFM with respect to the AIFs concerned, the market conditions in which the AIFM and the AIF operate and any likely pro-cyclical effects that could result from the imposition by the competent authorities of limits or other restrictions on the use of leverage by the AIFM concerned; (d) criteria, such as the size of an AIF or several AIFs and any related impact in a particular market sector, concentrations of risks in particular markets in which the AIF or several AIFs are investing, any contagion risk to other markets from a market where risks have been identified, liquidity issues in particular markets at a given time, the scale of asset/liability mismatch in a particular AIFM investment strategy or irregular movements in the prices of assets in which an AIF may invest.
(a) the information received pursuant to Article 110, whenever such information may be relevant for monitoring and responding to the potential implications of the activities of individual AIFMs or several AIFMs collectively for the stability of systemically relevant financial institutions and the orderly functioning of markets on which the AIFMs are active; (b) the information received from third country authorities whenever this is necessary for the monitoring of systemic risks; (c) the analysis of the information referred to in points (a) and (b) and the assessment of any situation in which the activities of one or more supervised AIFMs or of one or more AIFs under their management are considered to contribute to the build-up of systemic risk in the financial system, to the risk of disorderly markets or to risks for the long-term growth of the economy; (d) the measures taken, when the activity of one or more supervised AIFMs or of one or more AIFs under their management present systemic risk or jeopardise the orderly functioning of the markets on which they are active.
(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.
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) variance t (without volatility cap)Variance notional * min [(current) variance t volatility cap2 ] (with volatility cap)whereby: (current) variance t 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) volatility t (without volatility cap)Vega notional * min [(current) volatility t ; volatility cap] (with volatility cap)
whereby the (current) volatility t is a function of the realised and implied volatility.
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,CV derivative is the converted value of the derivative position as defined by the Annex II.
(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.
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.
| 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 | |||||||
| 2 | |||||||
| 3 | |||||||
| Please provide official name, location and jurisdiction of markets | |||||||
| Name of the AIF | Fund identification code | Inception date | NAV | EU AIF: Yes/No | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Data Type | Reported Data | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | EU AIF: yes/no | |||||||||||
| 2 | EU AIFM: yes/no | |||||||||||
| 3 | ||||||||||||
| 4 | ||||||||||||
| 5 | ||||||||||||
| 6 | ||||||||||||
| 7 | Currency | Total AuM | ||||||||||
| 8 | ||||||||||||
| 9 | ||||||||||||
| 10 | ||||||||||||
| Indicate the strategy that best describe the AIF’s strategy | ||||||||||||
| 11 | ||||||||||||
| 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 | ||||||||||||
| Provide a geographical breakdown of the investments held by the AIF by percentage of the total net asset value of the AIF | ||||||||||||
| Africa | ||||||||||||
| Asia and Pacific (other than Middle East) | ||||||||||||
| Europe (EEA) | ||||||||||||
| Europe (other than EEA) | ||||||||||||
| Middle East | ||||||||||||
| North America | ||||||||||||
| South America | ||||||||||||
| Supranational/multiple region | ||||||||||||
| 13 | ||||||||||||
| 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 | ||||||||||||
| 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 | ||||||||||||
| 16 | ||||||||||||
| 17 | ||||||||||||
| 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; | ||||||||||||
| Breakdown of investor concentration by status of investors (estimate if no precise information available): | % | |||||||||||
| ||||||||||||
| Data Type | Reported Data | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | EU AIF: yes/no | |||||||||
| 2 | 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 | Currency | Total AuM | |||||||
| 6 | Identification of prime broker(s) of the AIF | |||||||||
| 7 | Jurisdictions of the three main funding sources | |||||||||
| 8 | ||||||||||
| Cash and cash equivalents | ||||||||||
| Listed equities | ||||||||||
| Unlisted equities | ||||||||||
| Corporate bonds not issued by financial institutions | ||||||||||
| Corporate bonds issued by financial institutions | ||||||||||
| Sovereign bonds | ||||||||||
| Convertible bonds not issued by financial institutions | ||||||||||
| Convertible bonds issued by financial institutions | ||||||||||
| Loans | ||||||||||
| Structured/securitised products | ||||||||||
| Equity derivatives | ||||||||||
| Fixed income derivatives | ||||||||||
| CDS | ||||||||||
| Foreign exchange (for investment purposes) | ||||||||||
| Interest rate derivatives | ||||||||||
| Commodity derivatives | ||||||||||
| Other derivatives | ||||||||||
| Physical: Real estate | ||||||||||
| Physical: Commodities | ||||||||||
| Physical: Timber | ||||||||||
| Physical: Art and collectables | ||||||||||
| Physical: Transportation assets | ||||||||||
| Physical: Other | ||||||||||
| Investments in CIU operated/managed by the AIFM | ||||||||||
| Investments in CIU not operated/managed by the AIFM | ||||||||||
| Total Other | ||||||||||
| 9 | ||||||||||
| Cash and cash equivalents | ||||||||||
| Listed equities | ||||||||||
| Unlisted equities | ||||||||||
| Corporate bonds not issued by financial institutions | ||||||||||
| Corporate bonds issued by financial institutions | ||||||||||
| Sovereign bonds | ||||||||||
| Convertible bonds | ||||||||||
| Loans | ||||||||||
| Structured/securitised products | ||||||||||
| Equity derivatives | ||||||||||
| Fixed income derivatives | ||||||||||
| CDS | ||||||||||
| Foreign exchange (for investment purposes) | ||||||||||
| Interest rate derivatives | ||||||||||
| Commodity derivatives | ||||||||||
| Other derivatives | ||||||||||
| Physical: Commodities | ||||||||||
| Physical: Real estate | ||||||||||
| Physical: Timber | ||||||||||
| Physical: Art and collectables | ||||||||||
| Physical: Transportation assets | ||||||||||
| Physical: Other | ||||||||||
| 10 | ||||||||||
| AUD | ||||||||||
| CAD | ||||||||||
| CHF | ||||||||||
| EUR | ||||||||||
| GBP | ||||||||||
| HKD | ||||||||||
| JPY | ||||||||||
| USD | ||||||||||
| Other | ||||||||||
| 11 | ||||||||||
| 12 | ||||||||||
| 13 | ||||||||||
| 14 | ||||||||||
| On a regulated exchange | ||||||||||
| OTC | ||||||||||
| On a regulated exchange | ||||||||||
| OTC | ||||||||||
| By a CCP | ||||||||||
| Bilaterally | ||||||||||
| By a CCP | ||||||||||
| Bilaterally | ||||||||||
| Tri-party | ||||||||||
| 15 | ||||||||||
| 16 | ||||||||||
| 17 | ||||||||||
| Counterparty 1 | ||||||||||
| Counterparty 2 | ||||||||||
| Counterparty 3 | ||||||||||
| Counterparty 4 | ||||||||||
| Counterparty 5 | ||||||||||
| Counterparty 1 | ||||||||||
| Counterparty 2 | ||||||||||
| Counterparty 3 | ||||||||||
| Counterparty 4 | ||||||||||
| Counterparty 5 | ||||||||||
| 18 | ||||||||||
| CCP 1 | ||||||||||
| CCP 2 | ||||||||||
| CCP 3 | ||||||||||
| 19 | ||||||||||
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | more than 365 days | ||||
| 20 | ||||||||||
| 21 | ||||||||||
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | more than 365 days | ||||
| 22 | ||||||||||
| Yes | No | |||||||||
| 23 | ||||||||||
| Side pockets | ||||||||||
| Gates | ||||||||||
| Suspension of dealing | ||||||||||
| Other arrangements for managing illiquid assets | [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 | ||||||||||
| 25 | ||||||||||
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | longer than 365 days | ||||
| 26 | ||||||||||
| Unsecured cash borrowing: | ||||||||||
| Collateralised/secured cash borrowing — Via Prime Broker: | ||||||||||
| Collateralised/secured cash borrowing — Via (reverse) repo: | ||||||||||
| Collateralised/secured cash borrowing — Via Other: | ||||||||||
| 27 | ||||||||||
| Exchange-traded Derivatives: Gross Exposure less margin posted | ||||||||||
| OTC Derivatives: Gross Exposure less margin posted | ||||||||||
| 28 | ||||||||||
| 29 | ||||||||||
| … | ||||||||||
| 30 | ||||||||||
| 31 | ||||||||||
| 32 | ||||||||||
| 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 | ||||||||||
| Data Type | Reported Data | ||
|---|---|---|---|
| 1 | |||
| 2 | |||
| Unsecured cash borrowing: | |||
| Collateralised/secured cash borrowing — Via Prime Broker: | |||
| Collateralised/secured cash borrowing — Via (reverse) repo: | |||
| Collateralised/secured cash borrowing — Via Other: | |||
| 3 | |||
| Exchange-traded Derivatives: Gross Exposure less margin posted | |||
| OTC Derivatives: Gross Exposure less margin posted | |||
| 4 | |||
| Largest: | |||
| 2nd largest: | |||
| 3rd largest: | |||
| 4th largest: | |||
| 5th largest: | |||
| 5 | |||
| 6 | |||
| … | |||
| 7 | |||