2013R0231_EN.III

ANNEX III - Duration netting rules

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🔗 Back to Summary. 🇫🇷 French Version: 2013R0231_FR.III. Back to Summary of LVL1. Link to the PDF. Direct link to EUR-LEX.

Article II – Conversion methodologies for derivative instruments ⬅️ | ➡️ Article IIII – Reporting Templates: AIFM

1.

An interest rate derivative shall be converted into its equivalent underlying asset position in accordance with the following methodology:

The equivalent underlying asset position of each interest rate derivative instrument shall be calculated as its duration divided by the target duration of the AIF and multiplied by the equivalent underlying asset position:

where:

—

duration

FDI

is the duration (sensitivity of the market value of the financial derivative instrument to interest rate movements) of the interest rate derivative instrument,

—

duration

target

is in line with the investment strategy, the directional positions and the expected level of risk at any time and will be regularised otherwise. It is also in line with the portfolio duration under normal market conditions,

—

CV

derivative

is the converted value of the derivative position as defined by the Annex II.

2.

The equivalent underlying asset positions calculated in accordance with to paragraph 1 shall be netted as follows:

(a)

Each interest rate derivative instrument shall be allocated to the appropriate maturity range of the following maturity-based ladder:

Maturities ranges

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.

3.

The AIF shall calculate its exposures as the sum of absolute values:

—

0 % of the netted amount for each maturity range,

— 40 % of the netted amounts between two adjoining maturity ranges (i) and (i + 1),

— 75 % of the netted amounts between two remote maturity ranges separated by another one, meaning maturity ranges (i) and (i + 2),

— 100 % of the netted amounts between the two most remote maturity ranges, and

— 100 % of the remaining unnetted positions.# 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

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