Division Reporting Templates: AIF (Articles 3(3)(d) and 24 of Directive 2011/61/EU)

United Kingdom

AIF-specific information to be provided

(Articles 3(3)(d) and 24(1) of Directive 2011/61/EU)

Data Type									Reported Data
Identification of the AIF
1	AIF name								EU AIF: yes/no
2	Fund manager (Legal name and standard code, where available)								EU AIFM: yes/no
3	Fund identification codes, as applicable
4	Inception date of the AIF
5	Domicile of the AIF
6	Identification of prime broker(s) of the AIF (Legal name and standard code, where available)
7	Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2								Currency		Total AuM
8	Jurisdictions of the three main funding sources (excluding units or shares of the AIF bought by investors)



9	Predominant AIF type(select one)								Hedge Fund Private Equity Fund Real Estate Fund Fund of Funds Other None
10	Breakdown of investment strategies (Provide a breakdown of the investment strategies of the AIF depending on the predominant AIF type selected in question 1. See guidance notes for further information on how to complete this question.)
									Indicate the strategy that best describe the AIF’s strategy		Share in NAV (%)
a)Hedge Fund Strategies(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 strategies Equity: Long Bias Equity: Long/Short Equity: Market Neutral Equity: Short Bias Relative Value: Fixed Income Arbitrage Relative Value: Convertible Bond Arbitrage Relative Value: Volatility Arbitrage Event Driven: Distressed/Restructuring Event Driven: Risk Arbitrage/Merger Arbitrage Event Driven: Equity Special Situations Credit Long/Short Credit Asset Based Lending Macro Managed Futures/CTA: Fundamental Managed Futures/CTA: Quantitative Multi-strategy hedge fund Other hedge fund strategy
b)Private Equity Strategies(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 strategies Venture Capital Growth Capital Mezzanine Capital Multi-strategy private equity fund Other 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 strategies Residential real estate Commercial real estate Industrial real estate Multi-strategy real estate fund Other 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 strategies Fund of hedge funds Fund of private equity Other 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’ strategies Commodity fund Equity fund Fixed income fund Infrastructure fund Other fund
Principal exposures and most important concentration
11	Main instruments in which the AIF is trading
				Type of instrument/instrument code		Value (as calculated under Article 3 AIFMD)				Long/short position
	Most important instrument
	2nd most important instrument
	3rd most important instrument
	4th most important instrument
	5th most important instrument
12	Geographical focus
	Provide a geographical breakdown of the investments held by the AIF by percentage of the total net asset value of the AIF								% of NAV
	Africa
	Asia and Pacific (other than Middle East)
	Europe (EEA)
	Europe (other than EEA)
	Middle East
	North America
	South America
	Supranational/multiple region
13	10 principal exposures of the AIF at the reporting date (most valuable in absolute terms):
		Type of asset/liability	Name/description of the asset/liability		Value (as calculated under Article 3)		% of gross market value	Long/short position		Counterparty (where relevant)
	1st
	2nd
	3rd
	4th
	5th
	6th
	7th
	8th
	9th
	10th
14	5 most important portfolio concentrations:
		Type of asset/liability	Name/description of the market		Value of aggregate exposure (as calculated under Article 3)		% of gross market value	Long/short position		Counterparty (where relevant)
	1st
	2nd
	3rd
	4th
	5th
15	Typical deal/position size (Complete this question if you selected as your predominant AIF type ‘private equity fund’ in question 1)								[Select one] Very small Small Lower mid market Upper mid market Large cap Mega cap
16	Principal markets in which AIF trades
	Please enter name and identifier (e.g. MIC code) where available, of market with greatest exposure
	Please enter name and identifier (e.g. MIC code) where available, of market with second greatest exposure
	Please enter name and identifier (e.g. MIC code) where available, of market with third greatest exposure
17	Investor Concentration
	Specify the approximate percentage of the AIF’s equity that is beneficially owned by the five beneficial owners that have the largest equity interest in the AIF (as a percentage of outstanding units/shares of the AIF; look-through to the beneficial owners where known or possible)
	Breakdown of investor concentration by status of investors (estimate if no precise information available):								%
	Professional clients (as defined in Directive 2004/39/EC (MiFID): Retail investors:

Monetary values should be reported in the base currency of the AIF.

AIF-specific information to be provided to F1the FCA

(Article 24(2) of Directive 2011/61/EU)

	Data Type							Reported Data
Identification of the AIF
1	AIF name							EU AIF: yes/no
2	Fund manager							EU AIFM: yes/no
1	AIF name
2	Fund manager
3	Fund identification codes, as applicable
4	Inception date of the AIF
5	Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2							Currency	Total AuM
6	Identification of prime broker(s) of the AIF
7	Jurisdictions of the three main funding sources
Instruments Traded and Individual Exposures
8	Individual Exposures in which it is trading and the main categories of assets in which the AIF invested as at the reporting date:
	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
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	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
Portfolio Liquidity Profile
19	Investor Liquidity Profile Percentage of portfolio capable of being liquidated within:
	1 day or less	2-7 days	8-30 days	31-90 days		91-180 days	181-365 days	more than 365 days

20	Value of unencumbered cash
Investor Liquidity Profile
21	Investor Liquidity Profile Percentage of investor equity that can be redeemed within (as % of AIF’s NAV)
	1 day or less	2-7 days	8-30 days	31-90 days		91-180 days	181-365 days	more than 365 days

22	Investor redemptions
	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
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

Monetary values should be reported in the base currency of the AIF.

Annotations

Textual amendments

F1: Words in Annex 4 table heading substituted (31.12.2020) by The Alternative Investment Fund Managers (Amendment etc.) (EU Exit) Regulations 2019 (S.I. 2019/328), regs. 1(3), 40(2) (as amended by S.I. 2019/325, regs. 1(3) , 58); 2020 c. 1, Sch. 5 para. 1(1)