ANNEX I - Methods of increasing the exposure of an AIF
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Article 117 – Entry into force ⬅️ | ➡️ Article II – Conversion methodologies for derivative instruments
1.
Unsecured cash borrowings: When cash borrowings are invested they have the propensity to increase the exposure of the AIF by the total amount of those borrowings. Therefore, the minimum exposure is always the amount of the borrowing. It might be higher if the value of the investment realised with the borrowing is greater than the borrowed amount. To avoid double counting, cash borrowings that are used to finance the exposure shall not be included within the calculation. If the cash borrowings are not invested but remain in cash or cash equivalent as defined in Article 7(a) they will not increase the exposure of the AIF.
2.
Secured cash borrowings: Secured cash borrowings are similar to unsecured cash borrowings but the loan may be secured by a pool of assets or a single asset. If the cash borrowings are not invested but remain in cash or cash equivalent as defined in Article 7(a) they will not increase the exposure of the AIF.
3.
Convertible borrowings: Convertible borrowings are purchased debt which has the ability, under certain circumstances, to enable the holder or issuer to convert that debt into another asset. The exposure of the AIF is the market value of such borrowings.
4.
Interest rate swaps: An interest rate swap is an agreement to exchange interest rate cash flows, calculated on a notional principal amount, at specified intervals (payment dates) during the life of the agreement. Each party’s payment obligation is computed using a different interest rate based on the notional exposures.
5.
Contracts for differences: A contract for differences (CFD) is an agreement between two parties — the investor and the CFD provider — to pay the other the change in the price of an underlying asset. Depending on which way the price moves, one party pays the other the difference from the time the contract was agreed to the point in time where it ends. Exposure is the market value of the underlying asset. The same treatment must be applied to financial spread bets.
6.
Futures contracts: A futures contract is an agreement to buy or sell a stated amount of a security, currency, commodity, index or other asset at a specific future date and at a pre-agreed price. The exposure is the market value of the equivalent underlying asset.
7.
Total return swaps: A total return swap is an agreement in which one party (total return payer) transfers the total economic performance of a reference obligation to the other party (total return receiver). Total economic performance includes income from interest and fees, gains or losses from market movements, and credit losses. The exposure of the AIF is the market value of the equivalent reference assets which have a bearing on the economic performance of the swap.
8.
Forward agreements: A forward agreement is a customised, bilateral agreement to exchange an asset or cash flows at a specified future settlement date at a forward price agreed on the trade date. One party to the forward is the buyer (long), who agrees to pay the forward price on the settlement date; the other is the seller (short), who agrees to receive the forward price. Entering into a forward contract typically does not require the payment of a fee. The exposure of the AIF is the market value of the equivalent underlying asset. This may be replaced by the notional value of the contract where this is more conservative.
9.
Options: An option is an agreement that gives the buyer, who pays a fee (premium), the right — but not the obligation — to buy or sell a specified amount of an underlying asset at an agreed price (strike or exercise price) on or until the expiration of the contract (expiry). A call option is an option to buy, and a put option an option to sell. The bounds of the exposure of the fund will be on the one side a potential unlimited exposure and on the other side an exposure that is limited to the higher of the premium paid or the market value of that option. The exposure between these two bounds is determined as the delta (an options delta measures the sensitivity of an option’s price solely to a change in the price of the underlying asset) adjusted equivalent of the underlying position. The same approach must be adopted for embedded derivatives, e.g. in structured products. The structure should be broken down into its component parts and the effect of layers of derivative exposures must be adequately captured.
10.
Repurchase agreements: The repurchase agreement normally occurs where an AIF ‘sells’ securities to a reverse-repo counterparty and agrees to buy them back at an agreed price in the future. The AIF will incur a financing cost from engaging in this transaction and will therefore need to re-invest the cash proceeds (effectively cash collateral) in order to generate a return greater than the financing cost incurred. This reinvestment of ‘cash collateral’ means that incremental market risk will be carried by the AIF and consequently must be taken into account in the global exposure calculation. The economic risks and rewards of the ‘sold’ securities remain with the AIF. Also, a repo transaction will almost always give rise to leverage as the cash collateral will be reinvested. In the event that non-cash collateral is received as part of the transaction and this collateral is further used as part of another repo, or stock-loan agreement, the full market value of the collateral must be included in the global exposure amount. The exposure of the AIF is increased by the reinvested part of the cash collateral.
11.
Reverse repurchase agreements: This transaction occurs where an AIF ‘purchases’ securities from a repo counterparty and agrees to sell them back at an agreed price in the future. AIFs normally engage in these transactions to generate a low-risk money-market type return, and the ‘purchased’ securities act as collateral. Therefore no global exposure is generated; nor does the AIF take on the risks and rewards of the ‘purchased’ securities, i.e. there is no incremental market risk. However, it is possible for the ‘purchased’ securities to be further used as part of a repo or security-loan transaction, as described above, and in that case the full market value of the securities must be included in the global exposure amount. The economic risks and rewards of the purchased securities remain with the counterparty and therefore this does not increase the exposure of the AIF.
12.
Securities lending arrangements: An AIF engaging in a securities lending transaction will lend a security to a security-borrowing counterparty (who will normally borrow the security to cover a physical short sale transaction) for an agreed fee. The security borrower will deliver either cash or non-cash collateral to the AIF. Only where cash collateral is reinvested in instruments other than those defined in Article 7 point (a) will global exposure be created. If the non-cash collateral is further used as part of a repo or another security lending transaction, the full market value of the securities must be included in the global exposure amount as described above. Exposure is created to the extent that the cash collateral has been reinvested.
13.
Securities borrowing arrangements: An AIF engaging in the borrowing of securities will borrow a security from a security-lending counterparty for an agreed fee. The AIF will then sell the security in the market. The AIF is now short that security. To the extent that the cash proceeds from the sale are reinvested this will also increase the exposure of the AIF. Exposure is the market value of the shorted securities; additional exposure is created to the extent that the cash received is reinvested.
14.
Credit default swaps: A credit default swap (CDS) is a credit derivative agreement that gives the buyer protection, usually the full recovery, in case the reference entity defaults or suffers a credit event. In return the seller of the CDS receives from the buyer a regular fee, called the spread. For the protection seller, the exposure is the higher of the market value of the underlying reference assets or the notional value of the credit default swap. For the protection buyer, the exposure is the market value of the underlying reference asset.# Table 1 in anx_II
| — | Bond future : Number of contracts * notional contract size * market price of the cheapest-to-deliver reference bond |
|---|
Table 2 in anx_II
| — | Interest rate future : Number of contracts * notional contract size |
|---|
Table 3 in anx_II
| — | Currency future : Number of contracts * notional contract size |
|---|
Table 4 in anx_II
| — | Equity future : Number of contracts * notional contract size * market price of underlying equity share |
|---|
Table 5 in anx_II
| — | Index futures : Number of contracts * notional contract size * index level |
|---|
Table 6 in anx_II
| — | Plain vanilla bond option : Notional contract value * market value of underlying reference bond * delta |
|---|
Table 7 in anx_II
| — | Plain vanilla equity option : Number of contracts * notional contract size* market value of underlying equity share * delta |
|---|
Table 8 in anx_II
| — | Plain vanilla interest rate option : Notional contract value * delta |
|---|
Table 9 in anx_II
| — | Plain vanilla currency option : Notional contract value of currency leg(s) * delta |
|---|
Table 10 in anx_II
| — | Plain vanilla index options : Number of contracts * notional contract size * index level * delta |
|---|
Table 11 in anx_II
| — | Plain vanilla options on futures : Number of contracts * notional contract size * market value of underlying asset * delta |
|---|
Table 12 in anx_II
| — | Plain vanilla swaptions : Reference swap commitment conversion amount * delta |
|---|
Table 13 in anx_II
| — | Warrants and rights : Number of shares/bonds * market value of underlying referenced instrument * delta |
|---|
Table 14 in anx_II
| — | Plain vanilla fixed/floating rate interest rate and inflation swaps : notional contract value |
|---|
Table 15 in anx_II
| — | Currency swaps : Notional value of currency leg(s) |
|---|
Table 16 in anx_II
| — | Cross currency interest rate swaps : Notional value of currency leg(s) |
|---|
Table 17 in anx_II
| — | Basic total return swap : Underlying market value of reference asset(s) |
|---|
Table 18 in anx_II
| — | Non-basic total return swap : Cumulative underlying market value of both legs of the TRS |
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Table 19 in anx_II
| — | 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 |
|---|
Table 20 in anx_II
| — | Contract for differences : Number of shares/bonds * market value of underlying referenced instrument |
|---|
Table 21 in anx_II
| — | FX forward : notional value of currency leg(s) |
|---|
Table 22 in anx_II
| — | Forward rate agreement : notional value |
|---|
Table 23 in anx_II
| — | Convertible bonds : Number of referenced shares * market value of underlying referenced shares * delta |
|---|
Table 24 in anx_II
| — | Credit linked notes : Market value of underlying reference asset(s) |
|---|
Table 25 in anx_II
| — | Partly paid securities : Number of shares/bonds * market value of underlying referenced instruments |
|---|
Table 26 in anx_II
| — | Warrants and rights : Number of shares/bonds * market value of underlying referenced instrument * delta |
|---|
Table 1 in anx_IV
| Most important market/instrument | Second most important market/instrument | Third most important market/instrument | Fourth most important market/instrument | Fifth most important market/instrument | ||
|---|---|---|---|---|---|---|
| 1 | Principal markets in which it trades on behalf of the AIFs it manages | |||||
| 2 | Principal instruments in which it trades on behalf of the AIFs it manages | |||||
| 3 | Values of assets under management for all AIFs managed, calculated as set out in Article 2 | In base currency (if the same for all AIFs) | In EUR | |||
| Please provide official name, location and jurisdiction of markets |
Table 2 in anx_IV
| Name of the AIF | Fund identification code | Inception date | AIF type(Hedge Fund, Private Equity, Real Estate, Fund of Funds, Other(*1)) | NAV | EU AIF: Yes/No |
|---|---|---|---|---|---|
| (*1)If Other please indicate the strategy that best describes the AIF type. |
Table 3 in anx_IV
| Data Type | Reported Data |
|---|---|
| Identification of the AIF | |
| 1 | AIF name |
| 2 | Fund manager(Legal name and standard code, where available) |
| 3 | Fund identification codes,as applicable |
| 4 | Inception date of the AIF |
| 5 | Domicile of the AIF |
| 6 | Identification of prime broker(s) of the AIF(Legal name and standard code, where available) |
| 7 | Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2 |
| 8 | Jurisdictions of the three main funding sources(excluding units or shares of the AIF bought by investors) |
| 9 | Predominant AIF type(select one) |
| 10 | Breakdown of investment strategies(Provide a breakdown of the investment strategies of the AIF depending on the predominant AIF type selected in question 1. See guidance notes for further information on how to complete this question.) |
| a)Hedge Fund Strategies(Complete this question if you selected ‘Hedge Fund’ as the predominant AIF type in question 1.) | |
| Indicate the hedge fund strategies that best describe the AIFs strategiesEquity: Long BiasEquity: Long/ShortEquity: Market NeutralEquity: Short BiasRelative Value: Fixed Income ArbitrageRelative Value: Convertible Bond ArbitrageRelative Value: Volatility ArbitrageEvent Driven: Distressed/RestructuringEvent Driven: Risk Arbitrage/Merger ArbitrageEvent Driven: Equity Special SituationsCredit Long/ShortCredit Asset Based LendingMacroManaged Futures/CTA: FundamentalManaged Futures/CTA: QuantitativeMulti-strategy hedge fundOther hedge fund strategy | |
| b)Private Equity Strategies(Complete this question if you selected ‘Private Equity’ as the predominant AIF type in question 1.) | |
| Indicate the private equity strategies that best describe the AIFs strategiesVenture CapitalGrowth CapitalMezzanine CapitalMulti-strategy private equity fundOther private equity fund strategy | |
| c)Real Estate Strategies(Complete this question if you selected ‘Real Estate’ as the predominant AIF type in question 1.) | |
| Indicate the real estate strategies that best describe the AIFs strategiesResidential real estateCommercial real estateIndustrial real estateMulti-strategy real estate fundOther real estate strategy | |
| d)Fund of Fund Strategies(Complete this question if you selected ‘Fund of Funds’ as the predominant AIF type in question 1.) | |
| Indicate the ‘fund of fund’ strategy that best describe the AIFs strategiesFund of hedge fundsFund of private equityOther fund of funds | |
| e)Other Strategies(Complete this question if you selected ‘Other’ as the predominant AIF type in question 1.) | |
| Indicate the ‘other’ strategy that best describe the AIFs’ strategiesCommodity fundEquity fundFixed income fundInfrastructure fundOther fund | |
| Principal exposures and most important concentration | |
| 11 | Main instruments in which the AIF is trading |
| Most important instrument | |
| 2nd most important instrument | |
| 3rd most important instrument | |
| 4th most important instrument | |
| 5th most important instrument | |
| 12 | Geographical focus |
| Provide a geographical breakdown of the investments held by the AIF by percentage of the total net asset value of the AIF | |
| Africa | |
| Asia and Pacific (other than Middle East) | |
| Europe (EEA) | |
| Europe (other than EEA) | |
| Middle East | |
| North America | |
| South America | |
| Supranational/multiple region | |
| 13 | 10 principal exposures of the AIF at the reporting date(most valuable in absolute terms): |
| 1st | |
| 2nd | |
| 3rd | |
| 4th | |
| 5th | |
| 6th | |
| 7th | |
| 8th | |
| 9th | |
| 10th | |
| 14 | 5 most important portfolio concentrations: |
| 1st | |
| 2nd | |
| 3rd | |
| 4th | |
| 5th | |
| 15 | Typical deal/position size(Complete this question if you selected as your predominant AIF type ‘private equity fund’ in question 1) |
| 16 | Principal markets in which AIF trades |
| Please enter name and identifier (e.g. MIC code) where available, of market with greatest exposure | |
| Please enter name and identifier (e.g. MIC code) where available, of market with second greatest exposure | |
| Please enter name and identifier (e.g. MIC code) where available, of market with third greatest exposure | |
| 17 | Investor Concentration |
| Specify the approximate percentage of the AIF’s equity that is beneficially owned by the five beneficial owners that have the largest equity interest in the AIF (as a percentage of outstanding units/shares of the AIF;look-through to the beneficial owners where known or possible) | |
| Breakdown of investor concentration by status of investors (estimate if no precise information available): | |
| — Professional clients (as defined in Directive 2004/39/EC (MiFID):— Retail investors: |
Table 4 in anx_IV
| Data Type | Reported Data | |
|---|---|---|
| Identification of the AIF | ||
| 1 | AIF name | |
| 2 | Fund manager | |
| 1 | AIF name | |
| 2 | Fund manager | |
| 3 | Fund identification codes, as applicable | |
| 4 | Inception date of the AIF | |
| 5 | Base currency of the AIFaccording to ISO 4217 and assets under management calculated as set out in Article 2 | Currency |
| 6 | Identification of prime broker(s) of the AIF | |
| 7 | Jurisdictions of the three main funding sources | |
| Instruments Traded and Individual Exposures | ||
| 8 | Individual Exposures in which it is trading and the main categories of assets in which the AIF invested as at the reporting date: | |
| a)Securities | ||
| Cash and cash equivalents | ||
| Of which are: | Certificates of deposit | |
| Commercial papers | ||
| Other deposits | ||
| Other cash and cash equivalents (excluding government securities) | ||
| Listed equities | ||
| Of which are: | Issued by financial institutions | |
| Other listed equity | ||
| Unlisted equities | ||
| Corporate bonds not issued by financial institutions | ||
| Of which are: | Investment grade | |
| Non-investment grade | ||
| Corporate bonds issued by financial institutions | ||
| Of which are: | Investment grade | |
| Non-investment grade | ||
| Sovereign bonds | ||
| Of which are: | EU bonds with a 0-1 year term to maturity | |
| EU bonds with a 1 + year term to maturity | ||
| Non-G10 bonds with a 0-1 year term to maturity | ||
| Non-G10 bonds with a 1 + year term to maturity | ||
| Convertible bonds not issued by financial institutions | ||
| Of which are: | Investment grade | |
| Non-investment grade | ||
| Convertible bonds issued by financial institutions | ||
| Of which are: | Investment grade | |
| Non-investment grade | ||
| Loans | ||
| Of which are: | Leveraged loans | |
| Other loans | ||
| Structured/securitised products | ||
| Of which are: | ABS | |
| RMBS | ||
| CMBS | ||
| Agency MBS | ||
| ABCP | ||
| CDO/CLO | ||
| Structured certificates | ||
| ETP | ||
| Other | ||
| b)Derivatives | Long Value | |
| Equity derivatives | ||
| Of which are: | Related to financial institutions | |
| Other equity derivatives | ||
| Fixed income derivatives | ||
| CDS | ||
| Of which are: | Single name financial CDS | |
| Single name sovereign CDS | ||
| Single name other CDS | ||
| Index CDS | ||
| Exotic (incl. credit default tranche) | ||
| Gross Value | ||
| Foreign exchange (for investment purposes) | ||
| Interest rate derivatives | ||
| Long Value | ||
| Commodity derivatives | ||
| Of which are: | Energy | |
| Of which: | ||
| —Crude oil | ||
| —Natural gas | ||
| —Power | ||
| Precious metals | ||
| Of which: Gold | ||
| Other commodities | ||
| Of which: | ||
| —Industrial metals | ||
| —Livestock | ||
| —Agricultural products | ||
| Other derivatives | ||
| c)Physical (Real/Tangible) Assets | Long Value | |
| Physical: Real estate | ||
| Of which are: | Residential real estate | |
| Commercial real estate | ||
| Physical: Commodities | ||
| Physical: Timber | ||
| Physical: Art and collectables | ||
| Physical: Transportation assets | ||
| Physical: Other | ||
| d)Collective Investment Undertakings | Long Value | |
| Investments in CIU operated/managed by the AIFM | ||
| Of which are: | Money Market Funds and Cash management CIU | |
| ETF | ||
| Other CIU | ||
| Investments in CIU not operated/managed by the AIFM | ||
| Of which are: | Money Market Funds and Cash management CIU | |
| ETF | ||
| Other CIU | ||
| e)Investments in other asset classes | ||
| Total Other | ||
| 9 | Value of turnover in each asset class over the reporting months | |
| a)Securities | ||
| Cash and cash equivalents | ||
| Listed equities | ||
| Unlisted equities | ||
| Corporate bonds not issued by financial institutions | ||
| Of which are: | Investment grade | |
| Non-investment grade | ||
| Corporate bonds issued by financial institutions | ||
| Sovereign bonds | ||
| Of which are: | EU Member State bonds | |
| Non-EU Member State bonds | ||
| Convertible bonds | ||
| Loans | ||
| Structured/securitised products | ||
| b)Derivatives | ||
| Equity derivatives | ||
| Fixed income derivatives | ||
| CDS | ||
| Foreign exchange (for investment purposes) | ||
| Interest rate derivatives | ||
| Commodity derivatives | ||
| Other derivatives | ||
| c)Physical (Real/Tangible) Assets | ||
| Physical: Commodities | ||
| Physical: Real estate | ||
| Physical: Timber | ||
| Physical: Art and collectables | ||
| Physical: Transportation assets | ||
| Physical: Other | ||
| d)Collective investment undertakings | ||
| e)Other asset classes | ||
| Currency of Exposures | ||
| 10 | Total long and short value of exposures (before currency hedging) by the following currency groups: | Long Value |
| AUD | ||
| CAD | ||
| CHF | ||
| EUR | ||
| GBP | ||
| HKD | ||
| JPY | ||
| USD | ||
| Other | ||
| 11 | Typical deal/position size(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above) | [Select one]Very small(< EUR 5 m)Small(EUR 5 m to < EUR 25 m)Low/mid market(EUR 25 m to < EUR 150 m)Upper mid market (EUR 150 m to EUR 500 m)Large cap(EUR 500 m to EUR 1 bn)Mega cap(EUR 1 bn and greater) |
| 12 | Dominant Influence (see Article 1 of Council Directive 83/349/EEC (OJ L 193, 18.7.1983, p. 1))(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above; please complete for each company over which the AIF has a dominant influence (leave blank if none) as defined in Article 1 of Directive 83/349/EEC) | Name |
| Risk Profile of the AIF | ||
| 1.Market Risk Profile | ||
| 13 | Expected annual investment return/IRR in normal market conditions (in %) | |
| Net Equity Delta | ||
| Net DV01: | ||
| Net CS01: | ||
| 2.Counterparty Risk Profile | ||
| 14 | Trading and clearing mechanisms | |
| a)Estimated % (in terms of market value) of securities traded:(leave blank if no securities traded) | % | |
| On a regulated exchange | ||
| OTC | ||
| b)Estimated % (in terms of trade volumes) of derivatives that are traded:(leave blank if no derivatives traded) | % | |
| On a regulated exchange | ||
| OTC | ||
| c)Estimated % (in terms of trade volumes) of derivatives transactions cleared:(leave blank if no derivatives traded) | % | |
| By a CCP | ||
| Bilaterally | ||
| d)Estimated % (in terms of market value) of repo trades cleared:(leave blank if no repos traded) | % | |
| By a CCP | ||
| Bilaterally | ||
| Tri-party | ||
| 15 | Value of collateral and other credit support that the AIF has posted to all counterparties | |
| a)Value of collateral posited in the form of cash and cash equivalents | ||
| b)Value of collateral posited in the form of other securities (excluding cash and cash equivalents) | ||
| c)Value of other collateral and credit support posted (including face amount of letters of credit and similar third party credit support) | ||
| 16 | Of the amount of collateral and other credit support that the reporting fund has posted to counterparties: what percentage has been re-hypothecated by counterparties? | |
| 17 | Top Five Counterparty Exposures (excluding CCPs) | |
| a)Identify the top five counterparties to which the AIF has the greatest mark-to-market net counterparty credit exposure, measured as a % of the NAV of the AIF | Name | |
| Counterparty 1 | ||
| Counterparty 2 | ||
| Counterparty 3 | ||
| Counterparty 4 | ||
| Counterparty 5 | ||
| b)Identify the top five counterparties that have the greatest mark-to-market net counterparty credit exposure to the AIF, measured as a percentage of the NAV of the AIF. | Name | |
| Counterparty 1 | ||
| Counterparty 2 | ||
| Counterparty 3 | ||
| Counterparty 4 | ||
| Counterparty 5 | ||
| 18 | Direct clearing through central clearing counterparties (CCPs) | |
| a)During the reporting period, did the AIF clear any transactions directly through a CCP? | YesNo (if no, skip remainder of the question and go to question 21) | |
| b)If you answered ‘yes’ in 18(a), identify the top three central clearing counterparties (CCPs) in terms of net credit exposure | Name | |
| CCP 1(leave blank if not applicable) | ||
| CCP 2(leave blank if not applicable) | ||
| CCP 3(leave blank if not applicable) | ||
| 3.Liquidity Profile | ||
| Portfolio Liquidity Profile | ||
| 19 | Investor Liquidity ProfilePercentage of portfolio capable of being liquidated within: | |
| 1 day or less | 2-7 days | |
| 20 | Value of unencumbered cash | |
| Investor Liquidity Profile | ||
| 21 | Investor Liquidity ProfilePercentage of investor equity that can be redeemed within (as % of AIF’s NAV) | |
| 1 day or less | 2-7 days | |
| 22 | Investor redemptions | |
| a)Does the AIF provide investors with withdrawal/redemption rights in the ordinary course? | Yes | |
| b)What is the frequency of investor redemptions (if multiple classes of shares or units, report for the largest share class by NAV) | [Select one]DailyWeeklyFortnightlyMonthlyQuarterlyHalf-yearlyAnnualOtherN/A | |
| c)What is the notice period required by investors for redemptions in days(report asset weighted notice period if multiple classes or shares or units) | ||
| d)What is the investor ‘lock-up’ period in days (report asset weighted notice period if multiple classes or shares or units) | ||
| 23 | Special arrangements and preferential treatment | |
| a)As at the reporting date, what percentage of the AIFs NAV is subject to the following arrangements: | % of NAV | |
| Side pockets | ||
| Gates | ||
| Suspension of dealing | ||
| Other arrangements for managing illiquid assets(please specify) | ||
| b)Indicate the percentage of net asset value of AIF’s assets that are currently subject to the special arrangements arising from their illiquid nature under Article 23(4)(a) of the AIFMD including those in question 25(a)? | ||
| Special arrangements as a % of NAV | ||
| c)Are there any investors who obtain preferential treatment or the right to preferential treatment (e.g. through a side letter) and therefore are subject to disclosure to the investors in the AIF in accordance with Article 23(1)(j) of the AIFMD? | (Yes or no) | |
| d)If ‘yes’ to letter c) then please indicate all relevant preferential treatment: | ||
| Concerning different disclosure/reporting to investors | ||
| Concerning different investor liquidity terms | ||
| Concerning different fee terms for investors | ||
| Preferential treatment other than that specified above | ||
| 24 | Provide the breakdown of the ownership of units in the AIF by investor group (as % of NAV of AIF assets; look-through to the beneficial owners where known or possible) | |
| 25 | Financing liquidity | |
| a)Provide the aggregate amount of borrowing by and cash financing available to the AIF (including all drawn and undrawn, committed and uncommitted lines of credit as well as any term financing) | ||
| b)Divide the amount reported in letter a) among the periods specified below depending on the longest period for which the creditor is contractually committed to provide such financing: | ||
| 1 day or less | 2-7 days | |
| 4.Borrowing and Exposure Risk | ||
| 26 | Value of borrowings of cash or securities represented by: | |
| Unsecured cash borrowing: | ||
| Collateralised/secured cash borrowing — Via Prime Broker: | ||
| Collateralised/secured cash borrowing — Via (reverse) repo: | ||
| Collateralised/secured cash borrowing — Via Other: | ||
| 27 | Value of borrowing embedded in financial instruments | |
| Exchange-traded Derivatives: Gross Exposure less margin posted | ||
| OTC Derivatives: Gross Exposure less margin posted | ||
| 28 | Value of securities borrowed for short positions | |
| 29 | Gross exposure of financial and, as the case may be, or legal structures controlled by the AIF as defined in Recital 78 of the AIFMD | |
| Financial and, as the case may be, or legal structure | ||
| Financial and, as the case may be, or legal structure | ||
| Financial and, as the case may be, or legal structure | ||
| … | ||
| 30 | Leverage of the AIF | |
| a)as calculated under the Gross Method | ||
| b)as calculated under the Commitment Method | ||
| 5.Operational and Other Risk Aspects | ||
| 31 | Total number of open positions | |
| 32 | Historical risk profile | |
| a)Gross Investment returns or IRR of the AIF over the reporting period (in %, gross of management and performance fees) | ||
| 1st Month of Reporting Period | ||
| 2nd Month of Reporting Period | ||
| … | ||
| … | ||
| Last Month of Reporting Period | ||
| b)Net Investment returns or IRR of the AIF over the reporting period (in %, net of management and performance fees) | ||
| 1st Month of Reporting Period | ||
| 2nd Month of Reporting Period | ||
| … | ||
| … | ||
| Last Month of Reporting Period | ||
| c)Change in Net Asset Value of the AIF over the reporting period (in %, including the impact of subscriptions and redemptions) | ||
| 1st Month of Reporting Period | ||
| 2nd Month of Reporting Period | ||
| … | ||
| … | ||
| Last Month of Reporting Period | ||
| d)Subscriptions over the reporting period | ||
| 1st Month of Reporting Period | ||
| 2nd Month of Reporting Period | ||
| … | ||
| … | ||
| Last Month of Reporting Period | ||
| e)Redemptions over the reported period | ||
| 1st Month of Reporting Period | ||
| 2nd Month of Reporting Period | ||
| … | ||
| … | ||
| Last Month of Reporting Period |
Table 5 in anx_IV
| Data Type | Reported Data | |
|---|---|---|
| 1 | Of the amount of collateral and other credit support that the reporting AIF has posted to counterparties: what percentage has been re-hypothecated by counterparties? | |
| Borrowing and Exposure Risk | ||
| 2 | Value of borrowings of cash or securities represented by: | |
| Unsecured cash borrowing: | ||
| Collateralised/secured cash borrowing — Via Prime Broker: | ||
| Collateralised/secured cash borrowing — Via (reverse) repo: | ||
| Collateralised/secured cash borrowing — Via Other: | ||
| 3 | Value of borrowing embedded in financial instruments | |
| Exchange-traded Derivatives: Gross Exposure less margin posted | ||
| OTC Derivatives: Gross Exposure less margin posted | ||
| 4 | Five largest sources of borrowed cash or securities (short positions): | |
| Largest: | ||
| 2nd largest: | ||
| 3rd largest: | ||
| 4th largest: | ||
| 5th largest: | ||
| 5 | Value of securities borrowed for short positions | |
| 6 | Gross exposure of financial and, as the case may be, or legal structures controlled by the AIF as defined in Recital 78 of the AIFMD | |
| Financial and, as the case may be, or legal structure | ||
| Financial and, as the case may be, or legal structure | ||
| Financial and, as the case may be, or legal structure | ||
| … | ||
| 7 | Leverage of the AIF: | |
| a)Gross Method | ||
| b)Commitment Method |