| Data Type | Reported Data |
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Identification of the AIF |
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1 | AIF name | | EU AIF: yes/no |
2 | Fund manager | | EU AIFM: yes/no |
1 | AIF name | | | |
2 | Fund manager | | | |
3 | Fund identification codes, as applicable | | | |
4 | Inception date of the AIF | | | |
5 | Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2 | Currency | Total AuM |
6 | Identification of prime broker(s) of the AIF | | | |
7 | Jurisdictions of the three main funding sources | | | |
Instruments Traded and Individual Exposures |
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8 | Individual Exposures in which it is trading and the main categories of assets in which the AIF invested as at the reporting date: |
| a) Securities | | Long Value | Short Value |
| Cash and cash equivalents | | |
| Of which are: | Certificates of deposit | | |
| | Commercial papers | | |
| | Other deposits | | |
| | Other cash and cash equivalents (excluding government securities) | | |
| Listed equities | | |
| Of which are: | Issued by financial institutions | | |
| | Other listed equity | | |
| Unlisted equities | | |
| Corporate bonds not issued by financial institutions | | |
| Of which are: | Investment grade | | |
| | Non-investment grade | | |
| Corporate bonds issued by financial institutions | | |
| Of which are: | Investment grade | | |
| | Non-investment grade | | |
| Sovereign bonds | | |
| Of which are: | EU bonds with a 0-1 year term to maturity | | |
| | EU bonds with a 1 + year term to maturity | | |
| | Non-G10 bonds with a 0-1 year term to maturity | | |
| | Non-G10 bonds with a 1 + year term to maturity | | |
| Convertible bonds not issued by financial institutions | | |
| Of which are: | Investment grade | | |
| | Non-investment grade | | |
| Convertible bonds issued by financial institutions | | |
| Of which are: | Investment grade | | |
| | Non-investment grade | | |
| Loans | | |
| Of which are: | Leveraged loans | | |
| | Other loans | | |
| Structured/securitised products | | |
| Of which are: | ABS | | |
| | RMBS | | |
| | CMBS | | |
| | Agency MBS | | |
| | ABCP | | |
| | CDO/CLO | | |
| | Structured certificates | | |
| | ETP | | |
| | Other | | |
| b) Derivatives | Long Value | Short Value |
| Equity derivatives | | |
| Of which are: | Related to financial institutions | | |
| | Other equity derivatives | | |
| Fixed income derivatives | | |
| CDS | | |
| Of which are: | Single name financial CDS | | |
| | Single name sovereign CDS | | |
| | Single name other CDS | | |
| | Index CDS | | |
| | Exotic (incl. credit default tranche) | | |
| | Gross Value | |
| Foreign exchange (for investment purposes) | | |
| Interest rate derivatives | | |
| | Long Value | Short Value |
| Commodity derivatives | | |
| Of which are: | Energy | | |
| | Of which: | | |
| | — Crude oil | | |
| | — Natural gas | | |
| | — Power | | |
| | Precious metals | | |
| | Of which: Gold | | |
| | Other commodities | | |
| | Of which: | | |
| | — Industrial metals | | |
| | — Livestock | | |
| | — Agricultural products | | |
| Other derivatives | | |
| c) Physical (Real/Tangible) Assets | Long Value | |
| Physical: Real estate | | |
| Of which are: | Residential real estate | | |
| | Commercial real estate | | |
| Physical: Commodities | | |
| Physical: Timber | | |
| Physical: Art and collectables | | |
| Physical: Transportation assets | | |
| Physical: Other | | |
| d) Collective Investment Undertakings | Long Value | |
| Investments in CIU operated/managed by the AIFM | | |
| Of which are: | Money Market Funds and Cash management CIU | | |
| | ETF | | |
| | Other CIU | | |
| Investments in CIU not operated/managed by the AIFM | | |
| Of which are: | Money Market Funds and Cash management CIU | | |
| | ETF | | |
| | Other CIU | | |
| e) Investments in other asset classes | | Long Value | Short Value |
| Total Other | | | |
9 | Value of turnover in each asset class over the reporting months | | | |
| a) Securities | | Market Value | |
| Cash and cash equivalents | | | |
| Listed equities | | | |
| Unlisted equities | | | |
| Corporate bonds not issued by financial institutions | | | |
| Of which are: | Investment grade | | |
| | Non-investment grade | | |
| Corporate bonds issued by financial institutions | | | |
| Sovereign bonds | | | |
| Of which are: | EU Member State bonds | | |
| | Non-EU Member State bonds | | |
| Convertible bonds | | | |
| Loans | | | |
| Structured/securitised products | | | |
| b) Derivatives | | Notional Value | Market Value |
| Equity derivatives | | | |
| Fixed income derivatives | | | |
| CDS | | | |
| Foreign exchange (for investment purposes) | | | |
| Interest rate derivatives | | | |
| Commodity derivatives | | | |
| Other derivatives | | | |
| c) Physical (Real/Tangible) Assets | | Market Value | |
| Physical: Commodities | | | |
| Physical: Real estate | | | |
| Physical: Timber | | | |
| Physical: Art and collectables | | | |
| Physical: Transportation assets | | | |
| Physical: Other | | | |
| d) Collective investment undertakings | | | |
| e) Other asset classes | | | |
| Currency of Exposures | | | |
10 | Total long and short value of exposures (before currency hedging) by the following currency groups: | Long Value | Short Value |
| AUD | | | |
| CAD | | | |
| CHF | | | |
| EUR | | | |
| GBP | | | |
| HKD | | | |
| JPY | | | |
| USD | | | |
| Other | | | |
11 | Typical deal/position size
(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above)
| [Select one]
Very small
(< EUR 5 m)
Small
(EUR 5 m to < EUR 25 m)
Low/mid market
(EUR 25 m to < EUR 150 m)
Upper mid market (EUR 150 m to EUR 500 m)
Large cap
(EUR 500 m to EUR 1 bn)
Mega cap
(EUR 1 bn and greater)
| |
12 | Dominant Influence (see Article 1 of Council Directive 83/349/EEC (OJ L 193, 18.7.1983, p. 1))
(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above; please complete for each company over which the AIF has a dominant influence (leave blank if none) as defined in Article 1 of Directive 83/349/EEC)
| Name | % Voting Rights | Transaction Type |
| | | | |
| | | | |
Risk Profile of the AIF |
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1. Market Risk Profile |
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13 | Expected annual investment return/IRR in normal market conditions (in %) | | |
| Net Equity Delta | | | |
| Net DV01: | | | |
| Net CS01: | | | |
2. Counterparty Risk Profile |
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14 | Trading and clearing mechanisms | | | |
| a) Estimated % (in terms of market value) of securities traded: (leave blank if no securities traded)
| % | |
| On a regulated exchange | | | |
| OTC | | | |
| b) Estimated % (in terms of trade volumes) of derivatives that are traded: (leave blank if no derivatives traded)
| % | |
| On a regulated exchange | | | |
| OTC | | | |
| c) Estimated % (in terms of trade volumes) of derivatives transactions cleared: (leave blank if no derivatives traded)
| % | |
| By a CCP | | | |
| Bilaterally | | | |
| d) Estimated % (in terms of market value) of repo trades cleared: (leave blank if no repos traded)
| % | |
| By a CCP | | | |
| Bilaterally | | | |
| Tri-party | | | |
15 | Value of collateral and other credit support that the AIF has posted to all counterparties | | |
| a) Value of collateral posited in the form of cash and cash equivalents | | |
| b) Value of collateral posited in the form of other securities (excluding cash and cash equivalents) | | |
| c) Value of other collateral and credit support posted (including face amount of letters of credit and similar third party credit support) | | |
16 | Of the amount of collateral and other credit support that the reporting fund has posted to counterparties: what percentage has been re-hypothecated by counterparties? | | |
17 | Top Five Counterparty Exposures (excluding CCPs) | | |
| a) Identify the top five counterparties to which the AIF has the greatest mark-to-market net counterparty credit exposure, measured as a % of the NAV of the AIF | Name | Total Exposure |
| Counterparty 1 | | | |
| Counterparty 2 | | | |
| Counterparty 3 | | | |
| Counterparty 4 | | | |
| Counterparty 5 | | | |
| b) Identify the top five counterparties that have the greatest mark-to-market net counterparty credit exposure to the AIF, measured as a percentage of the NAV of the AIF. | Name | Total Exposure |
| Counterparty 1 | | | |
| Counterparty 2 | | | |
| Counterparty 3 | | | |
| Counterparty 4 | | | |
| Counterparty 5 | | | |
18 | Direct clearing through central clearing counterparties (CCPs) | | |
| a) During the reporting period, did the AIF clear any transactions directly through a CCP? | Yes
No (if no, skip remainder of the question and go to question 21)
| |
| b) If you answered ‘yes’ in 18(a), identify the top three central clearing counterparties (CCPs) in terms of net credit exposure | Name | Value held |
| CCP 1 (leave blank if not applicable) | | | |
| CCP 2 (leave blank if not applicable) | | | |
| CCP 3 (leave blank if not applicable) | | | |
3. Liquidity Profile |
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Portfolio Liquidity Profile |
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19 | Investor Liquidity Profile
Percentage of portfolio capable of being liquidated within:
|
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | more than 365 days |
| | | | | | | |
20 | Value of unencumbered cash | | |
Investor Liquidity Profile |
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21 | Investor Liquidity Profile
Percentage of investor equity that can be redeemed within (as % of AIF’s NAV)
| | |
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | more than 365 days |
| | | | | | | |
22 | Investor redemptions | | | |
| a) Does the AIF provide investors with withdrawal/redemption rights in the ordinary course? | Yes | No |
| | | |
| b) What is the frequency of investor redemptions (if multiple classes of shares or units, report for the largest share class by NAV) | [Select one]
Daily
Weekly
Fortnightly
Monthly
Quarterly
Half-yearly
Annual
Other
N/A
| |
| c) What is the notice period required by investors for redemptions in days (report asset weighted notice period if multiple classes or shares or units)
| | |
| d) What is the investor ‘lock-up’ period in days (report asset weighted notice period if multiple classes or shares or units) | | |
23 | Special arrangements and preferential treatment | | |
| a) As at the reporting date, what percentage of the AIFs NAV is subject to the following arrangements: | % of NAV | |
| Side pockets | | | |
| Gates | | | |
| Suspension of dealing | | | |
| Other arrangements for managing illiquid assets (please specify) | | [Type] | [%] |
| | | | |
| | | | |
| b) Indicate the percentage of net asset value of AIF’s assets that are currently subject to the special arrangements arising from their illiquid nature under Article 23(4)(a) of the AIFMD including those in question 25(a)? | | |
| Special arrangements as a % of NAV | | | |
| c) Are there any investors who obtain preferential treatment or the right to preferential treatment (e.g. through a side letter) and therefore are subject to disclosure to the investors in the AIF in accordance with Article 23(1)(j) of the AIFMD? | (Yes or no) | |
| d) If ‘yes’ to letter c) then please indicate all relevant preferential treatment: | | |
| Concerning different disclosure/reporting to investors | | | |
| Concerning different investor liquidity terms | | | |
| Concerning different fee terms for investors | | | |
| Preferential treatment other than that specified above | | | |
24 | Provide the breakdown of the ownership of units in the AIF by investor group (as % of NAV of AIF assets; look-through to the beneficial owners where known or possible) | | |
25 | Financing liquidity | | |
| a) Provide the aggregate amount of borrowing by and cash financing available to the AIF (including all drawn and undrawn, committed and uncommitted lines of credit as well as any term financing) | | |
| b) Divide the amount reported in letter a) among the periods specified below depending on the longest period for which the creditor is contractually committed to provide such financing: | | |
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | longer than 365 days |
| | | | | | | |
4. Borrowing and Exposure Risk |
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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 |
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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 | | | |