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22.3.2013 Official
Journal
of
the
European
Union
L
83/1
II
(Non-legislative acts)
REGULATIONS
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)
THE EUROPEAN COMMISSION,
since they deal with the authorisation, ongoing operation
and transparency of AIFMs which manage and, as the
case may be, or market AIFs in the Union, which are
inextricably linked aspects inherent to the taking up and
Having regard to the Treaty on the Functioning of the European
pursuit of the asset management business. To ensure
Union,
coherence between those provisions, which should
enter into force at the same time, and to facilitate a
comprehensive view and compact access to them by
persons subject to those obligations, including investors
Having regard to Directive 2011/61/EU of the European
that are non-Union residents, it is desirable to include all
Parliament and of the Council of 8 June 2011 on Alternative
delegated acts required by Directive 2011/61/EU in a
Investment Fund Managers and amending Directives
single Regulation.
2003/41/EC and 2009/65/EC and Regulations (EC) No
1060/2009 and (EU) No 1095/2010 ( 1 ), and in particular
Article 3(6), Article 4(3), Article 9(9), Article 12(3),
Article 14(4), Article 15(5), Article 16(3), Article 17,
Article 18(2), Article 19(11), Article 20(7), Article 21(17),
(2)
It is important to ensure that the objectives of Directive
Article 22(4), Article 23(6), Article 24(6), Article 25(9),
2011/61/EU are achieved uniformly throughout the
Article 34(2), Article 35(11), Article 36(3), Article 37(15),
Member States, to enhance the integrity of the internal
Article 40(11), Article 42(3) and Article 53(3) thereof,
market and offer legal certainty for its participants,
including institutional investors, competent authorities
and other stakeholders, by adopting a Regulation. The
form of a Regulation ensures a coherent framework for
Having regard to the opinion of the European Central Bank,
all market operators and is the best possible guarantee
for a level playing field, uniform conditions of
competition and the common appropriate standard of
investor protection. Furthermore it ensures the direct
Whereas:
applicability of detailed uniform rules concerning the
operation of AIFMs, which by their nature are directly
applicable and therefore require no further transposition
at national level. The recourse to a regulation allows, in
(1) Directive
2011/61/EU
empowers
the
Commission
to
adopt delegated acts specifying, in particular, the rules
addition, to avoid a delayed application of Directive
relating to calculation of the threshold, leverage,
2011/61/EU in the Member States.
operating conditions for Alternative Investment Fund
Managers (hereinafter ‘AIFMs’), including risk and
liquidity management, valuation and delegation,
requirements detailing the functions and duties of deposi
(3) As the Delegated Regulation specifies the tasks and
taries of Alternative Investment Funds (hereinafter ‘AIFs’),
responsibilities of the ‘governing body’ and of the
rules on transparency and specific requirements relating
‘senior management’ it is important to clarify the
to third countries. It is important that all these supple
meaning of these terms, in particular the fact that a
menting rules begin to apply at the same time as
governing body may be comprised of senior managers.
Directive 2011/61/EU so that the new requirements
Furthermore, as this Regulation introduces also the term
imposed on AIFMs can be effectively put into operation.
‘supervisory function’ the definition of the governing
The provisions in this Regulation are closely interrelated,
body should make clear that it is the body which
comprises the managerial function in case the super
( 1 ) OJ L 174, 1.7.2011, p. 1.
visory and the managerial functions are separated in

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L 83/2
EN
Official Journal of the European Union
22.3.2013
accordance with national company law. Directive
(8)
Data used by AIFMs to calculate the total value of assets
2011/61/EU requires AIFMs to provide certain
under management do not need to be available to the
information to competent authorities, including the
public or to investors. However, competent authorities
percentage of the AIF’s assets which are subject to
must be able to verify that the AIFM is correctly calcu
special arrangements arising from their illiquid nature.
lating and monitoring the total value of assets under
This Regulation clarifies the meaning of special
management, including the assessment of occasions
arrangements so that AIFMs know exactly what
when the total value of assets under management
information they should provide to competent auth
temporarily exceeds the relevant threshold and should
orities.
therefore have access to these data on request.
(4) Directive
2011/61/EU
provides
for
a
lighter
regime
applicable to those AIFMs who manage portfolios of
(9)
It is important that AIFMs benefiting from the provisions
AIFs whose total assets under management do not
of the lighter regime in Directive 2011/61/EU provide
exceed the relevant thresholds. It is necessary to specify
the competent authorities with up-to-date information
clearly how the total value of assets under management
at the time of registration. Not all types of AIFMs may
should be calculated. In this context it is essential to
have updated offering documents reflecting the latest
define the steps necessary for calculating the total value
developments related to the AIFs they manage and
of assets, to determine clearly which assets are not
such AIFMs may find it more practical to specify the
included in the calculation, to clarify how the assets
required information in a separate document describing
acquired through the use of leverage should be valued
the funds’ investment strategy. This could be the case of
and to provide rules for handling of cases of cross-
private equity or venture capital funds which often raise
holding among AIFs managed by an AIFM.
money through negotiations with potential investors.

(5) The
total
value
of
assets
under
management
needs
to
be (10) An AIF which holds only equity shares in listed
calculated at least annually and using up-to-date
companies should not be regarded as being leveraged
information. The value of assets should therefore be
as long as the equity shares are not acquired through
determined in the 12 months preceding the date of
borrowing. Where the same AIF purchases options on
calculation of the total value of assets under management
an equity index, it should be regarded as being leveraged,
and as close as possible to such a date.
since it has increased the exposure of the AIF to a given
investment.
(6) To
ensure
that
an
AIFM
remains
eligible
to
benefit
from
the lighter regime provided for in Directive 2011/61/EU,
it should put in place a procedure making it possible to
(11) In order
to ensure a uniform application of AIFM
observe on an ongoing basis the total value of assets
obligations to grant an objective overview of the
under management. The AIFM may consider the types
leverage used, it is necessary to provide two methods
of AIFs under management and the different classes of
to calculate the leverage. As it results from market
assets invested in order to assess the likelihood of
studies, the best results can be achieved by combining
breaching the threshold or the need for an additional
the so-called ‘gross’ and ‘commitment’ methods.
calculation.
(12) In
order
to
receive
appropriate
information
for
moni
(7)
Where an AIFM no longer meets the conditions related
toring systemic risks and to gain a complete picture of
to the thresholds it should notify its competent authority
the use of leverage by the AIFM, information about the
and apply for an authorisation within 30 calendar days.
exposure of an AIF should be provided to competent
However, where exceeding or falling below the
authorities and investors both on a gross and on a
thresholds occurs only occasionally within a given
commitment method basis and all AIFMs should
calendar year and such situations are considered as
therefore calculate exposure using both the gross and
temporary the AIFM should not be obliged to make an
the commitment method. The gross method gives the
application for authorisation. In those cases, the AIFM
overall exposure of the AIF whereas the commitment
should inform the competent authority of the breach
method gives insight in the hedging and netting tech
of the threshold, and explain why it considers such
niques used by the manager; therefore both methods
breach to be of a temporary nature. A situation lasting
shall be seen in conjunction. Specifically, the degree to
for more than three months cannot be considered as
which overall exposure differs between the gross method
being temporary. When assessing the likelihood of a
and the commitment method may provide useful
situation to be temporary, the AIFM should consider
information. If necessary to ensure that any increase of
anticipated subscription and redemption activity or,
the exposure of AIFs is adequately reflected the
where applicable, capital draw-downs and distribution.
Commission may adopt additional delegated acts on an
The AIFM should not use anticipated market
additional and optional method for the calculation of
movements as part of this assessment.
leverage.

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EN
22.3.2013 Official
Journal
of
the
European
Union
L
83/3
(13) When calculating the exposure, all positions of the AIF
reducing some risks while keeping others should not be
should initially be included, including short and long
considered as netting arrangements, as with arbitrage
assets and liabilities, borrowings, derivative instruments
investment strategies which aim to generate a return by
and any other method increasing the exposure where the
taking advantage of pricing discrepancies between
risks and rewards of assets or liabilities are with the AIF,
derivative instruments with the same underlying but
and all other positions that make up the net asset value.
different maturities.
(14) Borrowing
arrangements
entered
into
by
the
AIF
should
(19) A
portfolio
management
practice
which
aims
to
reduce
be excluded if they are temporary in nature and relate to
the duration risk by combining an investment in a long-
and are fully covered by capital commitments from
dated bond with an interest rate swap or to reduce the
investors. Revolving credit facilities should not be
duration of an AIF bond portfolio by concluding a short
considered being temporary in nature.
position on bond future contracts representative of the
interest rate risk of the portfolio (duration hedging)
should be considered as a hedging arrangement
provided that it complies with the hedging criteria.
(15) In addition to calculating
exposure using the gross
method, all AIFMs should calculate exposure using the
commitment method. According to the commitment
method financial derivative instruments should be
(20) A
portfolio
management
practice,
which
aims
to
offset
converted into equivalent positions in the underlying
the significant risks linked to an investment in a well
asset. However, if an AIF invests in certain derivatives
diversified portfolio of shares by taking a short position
in order to off-set the market risk of other assets in
on a stock market index future, where the composition
which the AIF is invested, under certain conditions,
of the equity portfolio is very close to that of the stock
those derivatives should not be converted into an
market index and its return highly correlated to that of
equivalent position in the underlying assets as the
the stock market index and where the short position on
exposures of the two investments balance one another.
the stock market index future allows an unquestionable
That should be the case where, for instance, an AIF
reduction of the general market risk related to the equity
portfolio invests in a certain index and holds a derivative
portfolio and the specific risk is insignificant, such as a
instrument which swaps the performance of that index
beta-hedging of a well-diversified equity portfolio where
with the performance of a different index, that should be
the specific risk is considered to be insignificant, should
equivalent to holding exposure to the second index in
be considered as complying with the hedging criteria.
the portfolio and therefore the AIF’s net asset value
would not depend on the performance of the first index.
(21) A
portfolio
management
practice
which
aims
to
offset
the risk linked to an investment in a fixed interest rate
(16) When
calculating
exposure
according
to
the
commitment
bond by combining a long position on a credit default
method, derivatives which fulfil the criteria set out in this
swap and an interest rate swap which swaps that fixed
Regulation do not provide any incremental exposure.
interest rate with an interest rate equal to an appropriate
Thus, if the AIF invests in index future contracts and
money market reference rate plus a spread should be
holds a cash position equal to the total underlying
considered as a hedging arrangement where all the
market value of future contracts, this would be equivalent
hedging criteria of the commitment method are in
to directly investing in index shares and therefore the
principle complied with.
index future contract should not be taken into account
for the purpose of calculating the exposure of the AIF.
(22) A
portfolio
management
practice
which
aims
to
offset
the risk of a given share by taking a short position
(17) When
calculating
exposure
according
to
the
commitment
through a derivative contract on a share that is
method, AIFMs should be allowed to consider hedging
different to but strongly correlated with that first share
and netting arrangements provided they fulfil the criteria
should not be considered as complying with the hedging
relating to the commitment method.
criteria. Although such a strategy relies on taking
opposite positions on the same asset class, it does not
hedge the specific risk linked to the investment in a
certain share. Therefore, it should not be considered as
(18) The
requirement
that
netting
arrangements
refer
to
the
a hedging arrangement as laid down in the criteria
same underlying asset should be interpreted strictly so
related to the commitment method.
that assets which the AIFM considers as equivalent or
highly correlated, such as different share classes or
bonds issued by the same issuer, should not be
considered as identical for the purposes of netting
(23) A
portfolio
management
practice
which
aims
to
keep
the
arrangements. The definition of netting arrangements
alpha of a basket of shares (comprising a limited number
aims to ensure that only those trades which offset the
of shares) by combining the investment in that basket of
risks linked to other trades, leaving no material residual
shares with a beta-adjusted short position on a future on
risk, are taken into account. Combinations of trades
a stock market index should not be considered as
which aim to generate a return, however small, by
complying with the hedging criteria. Such a strategy

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L 83/4
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Official Journal of the European Union
22.3.2013
does not aim to offset the significant risks linked to the
different interest rates. The maturities serving as the
investment in that basket of shares but to offset the beta
thresholds of the maturity ranges are two years, seven
(market risk) of that investment and keep the alpha. The
years and 15 years. Within each maturity range, netting
alpha component of the basket of shares may dominate
positions should be allowed.
over the beta component and as such lead to losses at
the level of the AIF. For that reason, it should not be
considered as a hedging arrangement.
(29) Netting
positions
between
two
different
maturity
ranges
should be partially allowed. Penalties have to be applied
to the netted positions to allow only partial netting. They
(24) A
merger
arbitrage
strategy
is
a
strategy
that
combines
a
short position on a stock with a long position on
should be expressed by means of percentages relying on
another stock. Such a strategy aims to hedge the beta
the average correlations between the maturity ranges for
(market risk) of the positions and generate a return
two years, five years, 10 years and 30 years of the
linked to the relative performance of both stocks. Simi
interest rate curve. The longer the difference between
larly, the alpha component of the basket of shares may
the maturities of the positions, the more their netting
dominate over the beta component and as such lead to
must be subject to a penalty, and therefore the
losses at the level of the AIF. It should not be considered
percentages must increase.
as a hedging arrangement as laid down in the criteria
related to the commitment method.
(30) Positions whose modified duration is much longer than
the whole portfolio’s modified duration are not in line
(25) A
strategy,
which
aims
to
hedge
a
long
position
in
a
with the investment strategy of the AIF and fully
stock or bond with purchased credit protection on the
matching them should not be allowed. Thus, it should
same issuer, relates to two different asset classes and
not be acceptable to match an 18 months maturity short
therefore should not be considered as a hedging
position (set in maturity range 1) with a 10 years
arrangement.
maturity long position (set in maturity range 3), if the
target duration of the AIF is around two years.
(26) When using methods which increase the exposure of an
AIF, the AIFM should observe general principles such as
considering the substance of the transaction in addition
(31) When
calculating
the
exposure,
AIFs
can
firstly
identify
to its legal form. Specifically with respect to repurchase
the hedging arrangements. The derivatives involved in
transactions, the AIFM should consider whether the risks
these arrangements are then excluded from the global
and rewards of the assets involved are passed or retained
exposure calculation. AIFs should use an exact calculation
by the AIF. The AIFM should also look through
in hedging arrangements. AIFs should not use duration
derivative instruments or other contractual arrangements
netting rules in the hedging calculation. The duration-
to the underlying assets to determine the possible future
netting rules may be used to convert the remaining
commitments of the AIF resulting from those trans
interest rate derivatives into their equivalent underlying
actions.
asset positions.
(27) As
the
commitment
method
leads
to
interest
rates
with
(32) Pursuant
to Directive 2011/61/EU, an AIFM has to
different maturities being considered as different
ensure that the potential professional liability risks
underlying assets, AIFs that according to their core
resulting from its activities are appropriately covered
investment policy primarily invest in interest rate
either by way of additional own funds or by way of
derivatives may use specific duration netting rules in
professional indemnity insurance. Uniform application
order to take into account the correlation between the
of this provision requires a common understanding of
maturity segments of the interest rate curve. When
the potential professional liability risks to be covered.
setting out its investment policy and risk profile, an
The general specification of the risks arising from an
AIF should be able to define the level of the interest
AIFM’s professional negligence should determine the
rate risk and consequently to determine its target
features of the relevant risk events and identify the
duration. The AIF should take into account the
scope of potential professional liability, including
predefined target duration when making its investment
damage or loss caused by persons who are directly
choices. When the portfolio duration diverges from the
performing activities for which the AIFM has legal
target duration, the strategy should not be considered as
responsibility, such as the AIFM’s directors, officers or
a duration netting arrangement as laid down in the
staff, and persons performing activities under a
criteria related to the commitment method.
delegation arrangement with the AIFM. In line with the
provisions of Directive 2011/61/EU, the liability of the
AIFM should not be affected by delegation or sub-
delegation and the AIFM should provide adequate
(28) The
duration
netting
rules
allow
long
positions
to
be
coverage for professional risks related to such third
netted with short positions whose underlying assets are
parties for whom it is legally liable.

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EN
22.3.2013 Official
Journal
of
the
European
Union
L
83/5
(33) To ensure a common understanding of the general spec
(36) To ensure that professional indemnity insurance is
ification, a list of examples should serve as benchmark
effective in covering losses that result from insured
for identifying potential professional liability risk events.
events, it should be taken out from an insurance under
That list should include a wide range of events resulting
taking which is authorised to provide professional
from negligent actions, errors or omissions, such as the
indemnity insurance. This includes EU insurance under
loss of documents evidencing title to investments,
takings and non-EU undertakings to the extent that they
misrepresentations, or breach of the various obligations
are permitted to provide such insurance service by Union
or duties incumbent on the AIFM. It should also include
law or by national law.
the failure to prevent, by means of adequate internal
control systems, fraudulent behaviour within the AIFM’s
organisation. Damage resulting from failure to carry out
sufficient due diligence on an investment that turned out
to be fraudulent would trigger the AIFM’s liability for
professional liability and should be appropriately
covered. However, losses incurred because an investment
has lost value as a result of adverse market conditions
should not be covered. The list should also include valu
ations that are improperly carried out, which should be
(37) In
order
to
allow
some
flexibility
when
devising
appro
understood as a valuation failure breaching Article 19 of
priate professional indemnity insurance, it should be
Directive 2011/61/EU and the corresponding delegated
possible for the AIFM and the insurance undertaking to
acts.
agree on a clause providing that a defined amount will be

borne by the AIFM as the first part of any loss (defined
excess). Where such a defined excess is agreed, the AIFM
should provide own funds corresponding to the defined
amount of loss to be borne by the AIFM. Such own
funds should be in addition to the initial capital of the
AIFM and to the own funds to be provided by the AIFM
pursuant to Article 9(3) of Directive 2011/61/EU.
(34) In
line
with
their
risk
management
obligations,
AIFMs
should have appropriate qualitative internal control
mechanisms to avoid or mitigate operational failures,
including professional liability risks. Therefore, an AIFM
should have, as part of its risk management policy,
adequate policies and procedures for operational risk
management, appropriate to the nature, scale and
(38) As a matter of principle, the adequacy of coverage
complexity of its business. Such procedures and
through additional own funds or professional
policies should in any event enable an internal loss
indemnity insurance should be reviewed at least once a
database to be built up to serve for the purpose of
year. However, the AIFM should have procedures in place
assessing the operational risk profile.
that ensure ongoing monitoring of the total value of AIF
portfolios managed and ongoing adjustments to the
amount of coverage of professional liability risks
should there be significant mismatches identified.
Furthermore, the competent authority of the home
Member State of an AIFM may lower or increase the
minimum requirement for additional own funds, after
taking into account the risk profile of the AIFM, its
loss history and the adequacy of its additional own
funds or professional indemnity insurance.
(35) To
ensure
that
additional
own
funds
and
professional
liability insurance appropriately cover potential profes
sional liability risks, quantitative minimum benchmarks
should be established for determining the proper level of
coverage. Such quantitative benchmarks should be
determined by the AIFM as a specific percentage of the
value of portfolios of AIFs managed, calculated as the
sum of the absolute value of all assets of all AIFs
managed, irrespective of whether they are acquired
through use of leverage or with investors’ money. In
(39) Directive
2011/61/EU
requires
AIFMs
to
act
in
the
best
this context, derivative instruments should be valued at
interests of AIFs, the investors in the AIFs and the
their market price as they could be replaced at that price.
integrity of the market. AIFMs should therefore apply
As coverage through professional indemnity insurance is
appropriate policies and procedures which allow them
by nature more uncertain than coverage provided
to prevent malpractices such as market timing or late
through additional own funds, different percentages
trading. Market timers take advantage of out of date or
should apply to the two different instruments used for
stale prices for portfolio securities that impact the calcu
covering professional liability risk.
lation of AIF’s net asset value (NAV) or buy and redeem

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L 83/6
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Official Journal of the European Union
22.3.2013
units of the AIF within a few days, thereby exploiting the
management, in the case of entities which do not have a
way the AIF calculates its NAV. Late trading involves
governing body, should possess sufficient knowledge,
placing of orders to buy or redeem units of AIFs after
skills and experience to exercise their tasks, in particular
a designated cut off point but the price received is the
to understand the risks associated with the activity of the
one of the cut off point. Both malpractices harm the
AIFM. In line with the Commission’s Green Paper on
interests of long term investors as they dilute their
corporate governance in the financial sector ( 1 ), persons
return and have detrimental effects on AIF’s returns as
who effectively direct the business of the AIFM should
they increase transaction costs and disrupt portfolio
also commit sufficient time to perform their functions in
management. AIFMs should also establish appropriate
the AIFM and act with honesty, integrity and inde
procedures to ensure that the AIF is managed efficiently
pendence of mind to, inter alia, effectively assess and
and should act in such a way as to prevent undue costs
challenge the decisions of the senior management.
being charged to the AIF and its investors.
(43) To
ensure that the relevant activities are performed
(40) In
line
with
the
approach
applied
to
UCITS
managers,
properly, AIFMs should employ personnel with the
AIFMs should ensure a high standard of diligence in the
necessary skills, knowledge and expertise to carry out
selection and monitoring of investments. They should
tasks assigned to them.
have appropriate professional expertise and knowledge
of the assets in which AIFs are invested. In order to
ensure that investment decisions are carried out in
compliance with the investment strategy and, where
applicable, risk limits of the AIFs managed, AIFMs
(44) AIFMs
that
provide
the
service
of
individual
portfolio
should establish and implement written policies and
management have to comply with inducement rules
procedures on due diligence. These policies and
laid down in Commission Directive 2006/73/EC of
procedures should be reviewed and updated on a
10 August 2006 implementing Directive 2004/39/EC
regular basis. When AIFMs invest in specific types of
of the European Parliament and of the Council as
assets for a long duration, less liquid assets such as real
regards organisational requirements and operating
estate or partnership interests, due diligence requirements
conditions for investment firms and defined terms for
should apply also to the negotiation phase. The activities
the purposes of that Directive
( 2 ). For reasons of
performed by the AIFM before closing an agreement
consistency, those principles should extend to AIFMs
should be well documented in order to demonstrate
that provide the service of collective portfolio
that they are consistent with the economic and
management, and marketing. The existence, nature and
financial plan and therefore with the duration of the
amount of the fee, commission or benefit, or, where the
AIF. AIFMs should maintain minutes of the relevant
amount cannot be ascertained, the method of calculating
meetings, the preparatory documentation and the
the amount, should be disclosed in the AIFM’s annual
economic and financial analysis conducted for assessing
report.
the feasibility of the project and the contractual
commitment.
(45) Investors
in
AIFs
should
benefit
from
protection
similar
to that of AIFM clients to whom AIFMs provide the
(41) The
requirement
that
AIFMs
act
with
due
skill,
care
and
service of individual portfolio management, as in such
diligence should also apply where the AIFM appoints a
a case they have to comply with the best execution
prime broker or counterparty. The AIFM should select
rules laid down in Directive 2004/39/EC of the
and appoint only those prime brokers and counter
European Parliament and of the Council of 21 April
parties, which are subject to ongoing supervision, are
2004 on markets in financial instruments amending
financially sound and have the necessary organisational
Council Directives 85/611/EEC and 93/6/EEC and
structure appropriate to the services to be provided to
Directive 2000/12/EC of the European Parliament and
the AIFM or the AIF. In order to ensure that investors’
of the Council and repealing Council Directive
interests are adequately protected, it is important to
93/22/EEC ( 3 ) and Directive 2006/73/EC. However, the
clarify that one of the criteria against which financial
differences between the various types of assets in which
soundness should be assessed is whether or not prime
AIFs are invested should be taken into account, since best
brokers or counterparties are subject to relevant
execution is not relevant, for instance, when the AIFM
prudential regulation, including adequate capital require
invests in real estate or partnership interests and the
ments, and effective supervision.
investment is made after extensive negotiations on the
terms of the agreement. Where there is no choice of
different execution venues, the AIFM should be able to
demonstrate to the competent authorities and auditors
that there is no choice of different execution venues.
(42) In
line
with
Directive
2011/61/EU,
which
requires
AIFMs
to act honestly, fairly and with due skill, persons who
( 1 ) COM(2010) 284.
effectively direct the business of the AIFM, who are
( 2 ) OJ L 241, 2.9.2006, p. 26.
members of the governing body or of the senior
( 3 ) OJ L 145, 30.4.2004, p. 1.

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EN
22.3.2013 Official
Journal
of
the
European
Union
L
83/7
(46) For
reasons
of
consistency
with
requirements
applying
to
(51) One
of
the
central
components
of
a
risk
management
UCITS managers, rules on handling of orders and on
system is a permanent risk management function. In the
aggregation and allocation of trading orders should
interest of consistency, its tasks and responsibilities
apply to AIFMs when providing collective portfolio
should be similar in nature to those assigned by
management. However, such rules should not apply
Commission Directive 2010/43/EU of 1 July 2010
where the investment in assets is made after extensive
implementing Directive 2009/65/EC of the European
negotiations on the terms of the agreement, such as
Parliament and of the Council as regards organisational
investment in real estate, partnership interests or non-
requirements, conflicts of interest, conduct of business,
listed companies as in such cases no order is executed.
risk management and content of the agreement between
a depositary and a management company ( 2 ) to the
permanent risk management function in UCITS
management companies. This function should have a
primary role in shaping the risk policy of the AIF, risk
monitoring and risk measuring in order to ensure that
(47) It is important to specify the situations where conflicting
the risk level complies on an ongoing basis with the
interests are likely to occur, in particular where there is a
AIF’s risk profile. The permanent risk management
prospect of financial gain or avoidance of financial loss
function should have the necessary authority, access to
or where financial or other incentives are provided to
all relevant information and regular contacts with the
steer the behaviour of the AIFM in such a way that it
senior management and the governing body of the
favours particular interests at the expense of interests of
AIFM in order to provide them with updates so that
other parties, such as another AIF, its clients, under
they can take prompt remedial action where needed.
takings for collective investments in transferable
securities (UCITS) or other clients of the AIFM.
(52) The
risk
management
policy
forms
another
pillar
of
the
(48) The
conflicts
of
interest
policy
established
by
the
AIFM
risk management system. That policy should be appro
should identify situations in which activities carried out
priately documented and should explain, in particular,
by the AIFM could constitute conflicts of interest that do
measures and procedures employed to measure and
or do not lead to potential risks of damage to the AIF’s
manage risks, the safeguards for independent
interests or the interests of its investors. To identify them
performance of the risk management function, the tech
the AIFM should take into account not only the activity
niques used to manage risks and the details of the allo
of collective portfolio management but also other
cation of responsibilities within the AIFM for risk
activities it is authorised to carry out, including activities
management and operating procedures. In order to
of its delegates, sub-delegates, external valuer or counter
ensure its effectiveness, the risk management policy
party.
should be reviewed at least annually by the senior
management.
(49) In line with the approach considered in Directive
2009/65/EC of the European Parliament and of the
(53) As
required
by
Directive
2011/61/EU,
the
function
of
Council of 13 July 2009 on the coordination of laws,
risk management should be functionally and hier
regulations and administrative provisions relating to
archically separated from the operating units. It should
undertakings for collective investment in transferable
thus be clarified that such separation should be ensured
securities (UCITS) ( 1 ) for UCITS management companies
up to the governing body of the AIFM and that those in
and in Directive 2004/39/EC for investment firms, AIFMs
the risk management function should not carry out any
should adopt procedures and measures to ensure that
conflicting tasks or be supervised by someone who is in
relevant persons engaged in different business activities
charge of conflicting functions.
that could involve conflicts of interest carry out these
activities at an independent level, appropriate to the
size and activities of the AIFM.
(54) It is essential to specify the safeguards to be employed by
the AIFM in any event in order to ensure the inde
pendent performance of the risk management function,
(50) It is essential to provide for a general framework
and in particular, that those performing the risk
according to which conflicts of interest, if they occur,
management function should not be entrusted with
should be managed and disclosed. The detailed steps
conflicting duties, that they should make decisions on
and procedures to be followed in such situations
the basis of the data which they can appropriately
should be clarified in the conflicts of interest policy to
assess and that the decision making process should be
be established by the AIFM.
capable of being reviewed.
( 1 ) OJ L 302, 17.11.2009, p. 32.
( 2 ) OJ L 176, 10.7.2010, p. 42.

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L 83/8
EN
Official Journal of the European Union
22.3.2013
(55) Although
Directive
2011/61/EU
does
not
impose
any
as ‘special arrangements’ as they impact the specific
investment restrictions on AIFs, the risks incurred by
redemption rights of investors in the AIF. The suspension
each AIF cannot be managed effectively if the risk
of an AIF should not be considered as a special
limits have not been set in advance by AIFMs. The risk
arrangement as this applies to all of the AIF’s assets
limits should be in line with the risk profile of the AIF,
and all of the AIF’s investors. The use of tools and
and should be disclosed to investors in accordance with
special arrangements to manage liquidity should be
Directive 2011/61/EU.
made dependent on concrete circumstances and should
vary according to the nature, scale and investment
strategy of the AIF.
(56) For consistency reasons, the requirements relating to
identification, measuring and monitoring of risk are
built on similar provisions of Directive 2010/43/EU.
AIFMs should deal appropriately with the possible
(60) The
requirement
to
monitor
the
liquidity
management
of
vulnerability of their risk measurement techniques and
underlying collective investment undertakings in which
models by carrying out stress tests, back tests and
AIFs invest, along with the requirements to put in
scenario analysis. Where stress tests and scenario
place tools and arrangements to manage liquidity risk
analysis reveal particular vulnerability to a given set of
and identify, manage and monitor conflicts of interest
circumstances, AIFMs should take prompt steps and
between investors should not apply to AIFMs managing
corrective actions.
AIFs of the closed-ended type regardless of whether they
are deemed to be employing leverage. The exemption
from those redemption-related liquidity management
requirements should reflect the differences in the
general redemption terms of investors in a closed-
ended AIF compared to those in an open-ended AIF.
(57) Directive 2011/61/EU requires the Commission to
specify the liquidity management systems and procedures
enabling the AIFM to monitor the liquidity risk of the
AIF, except where the AIF is an un-leveraged closed-
ended AIF, and ensure that the liquidity profile of the
AIF’s investments complies with its underlying
(61) The
use
of
minimum
limits
regarding
the
liquidity
or
obligations. Therefore, it is important to set out funda
illiquidity of the AIF could provide an effective moni
mental general requirements addressed to all AIFMs, the
toring tool for certain types of AIFMs. Exceeding a
application of which should be adapted to the size,
limit may not of itself require action by the AIFM as
structure and nature of the AIFs managed by the AIFM
this depends on the facts and circumstances and the
concerned.
tolerances set by the AIFM. Limits could thus be used
in practice in relation to monitoring average daily
redemption versus fund liquidity in terms of days over
the same period. That could also be used to monitor
investor concentration to support stress testing scenarios.
Those limits could provide triggers for continued moni
(58) AIFMs should be able to demonstrate to their competent
toring or remedial action depending on the circum
authorities that appropriate and effective liquidity
stances.
management policies and procedures are in place. That
requires due consideration to be given to the nature of
the AIF, including the type of underlying assets and the
amount of liquidity risk to which the AIF is exposed, the
scale and complexity of the AIF or the complexity of the
process to liquidate or sell assets.
(62) The stress tests should, where appropriate,
simulate
shortage of liquidity of the assets as well as atypical
redemption requests. Recent and expected future
subscriptions and redemptions should be taken into
consideration together with the impact of anticipated
(59) Liquidity
management
systems
and
procedures
can
allow
AIF performance relative to peers on such activity. The
AIFMs to apply the tools and arrangements necessary to
AIFM should analyse the period of time required to meet
cope with illiquid assets and related valuation problems
redemption requests in the stress scenarios simulated.
in order to respond to redemption requests. Such tools
The AIFM should also conduct stress tests on market
and arrangements may include, where allowed under
factors such as foreign exchange movements which
national law, gates, partial redemptions, temporary
could materially impact the credit profile of the AIFM
borrowings, notice periods and pools of liquid assets.
or that of the AIF and as a result collateral requirements.
‘Side pockets’ and other mechanisms where certain
The AIFM should account for valuation sensitivities
assets of the AIF are subject to similar arrangements
under stressed conditions in its approach to stress
between the AIF and its investors should be regarded
testing or scenario analysis.

---

EN
22.3.2013 Official
Journal
of
the
European
Union
L
83/9
(63) The frequency with which stress tests should be
(66) It is important that transactions that re-package loans
conducted should depend on the nature of the AIF, the
into tradable securities are not structured in such a
investment strategy, liquidity profile, type of investor and
way as to avoid the application of the requirements
redemption policy of the AIF. However, it is expected
relating to investments in securitisation positions.
that those tests will be conducted at least on an annual
Therefore, the reference to an investment in tradable
basis. Where stress tests suggest significantly higher than
securities or other financial instruments based on
expected liquidity risk, the AIFM should act in the best
repackaged loans should not be interpreted strictly as a
interest of all AIF investors taking into consideration the
legally valid and binding transfer of title with respect to
liquidity profile of the AIF’s assets, the level of
such instruments, but as an investment made in a
redemption requests and where appropriate the
material economic sense so that any other forms of
adequacy of the liquidity management policies and
synthetic investments should be covered and subject to
procedures.
the specific requirements. To avoid misunderstandings
and align the language with that used in the banking
legislation, the terms ‘assumption of exposure to the
credit risk of a securitisation’ should be used instead of
‘investment in tradable securities or other financial
instruments based on repackaged loans’.
(64) Directive 2011/61/EU requires the Commission to
specify how the investment strategy, liquidity profile
and redemption policy are to be aligned. The consistency
between those three elements is ensured if investors are
able to redeem their investments in accordance with the
AIF redemption policy, which should cover conditions
for redemption in both normal and exceptional circum
stances, and in a manner consistent with the fair
(67) The
requirements
that
need
to
be
met
by
institutions
treatment of investors.
acting as originators, sponsors or original lenders of a
securitisation are directly imposed on them by way of
Directive 2006/48/EC. It is therefore important to
prescribe the corresponding duties of an AIFM
assuming exposure to securitisations. Consequently, the
AIFM should assume exposure to securitisations only if
the originator, sponsor or original lender has explicitly
disclosed to the AIFM the retention of a significant
(65) Directive
2011/61/EU
requires
cross-sectoral
consistency
economic interest in the underlying asset, known as
and the removal of misalignment between the interests of
retention requirement. Furthermore, the AIFM should
originators that repackage loans into tradable securities
ensure that various qualitative requirements imposed on
and AIFMs that invest in those securities or other
the sponsor and originator through Directive
financial instruments on behalf of AIFs. To achieve that
2006/48/EC are met. In addition, the AIFM should
aim, the relevant provisions of Directive 2006/48/EC of
itself meet qualitative requirements in order to have a
the European Parliament and of the Council of 14 June
comprehensive and thorough understanding of the secu
2006 relating to the taking up and pursuit of the
ritisation investment and its underlying exposure. To
business of credit institutions ( 1 ) that lay down the
achieve that, AIFMs should make their investment
quantitative and qualitative requirements to be met by
decision only after having conducted careful due
investors exposed to the credit risk of a securitisation,
diligence from which they should have adequate
by originators and by sponsors have been taken into
information on and knowledge of the securitisations
account. As the same objective of aligning the interests
concerned.
of the originator or sponsor and the interests of investors
are pursued by this Regulation and the relevant
provisions of Directive 2006/48/EC it is essential that
the terminology is used consistently in both legal acts,
therefore the definitions given in Directive 2006/48/EC
are taken as reference. Given that the Committee of
European Banking Supervisors, the predecessor of the
European Banking Authority, has provided detailed
Guidelines for interpreting the relevant provisions of
(68) There
are
circumstances
in
which
entities
meet
the
defi
Directive 2006/48/EC
( 2 ), achieving cross-sectoral
nition of originator or sponsor, or fulfil the role of
consistency requires the current provisions seeking to
original lender; however, another entity that neither
align interests between originators, sponsors and AIFMs
meets the definition of sponsor or originator, nor
to be interpreted in light of those Guidelines.
fulfils the role of original lender — but whose interests
are most optimally aligned with those of investors —
( 1 ) OJ L 177, 30.6.2006, p. 1.
may seek to fulfil the retention requirement. For the
( 2 ) Committee of European Banking Supervisors, Guidelines to
sake of legal certainty, such other entity should not be
Article 122a of the Capital Requirements Directive of 31 December
required to fulfil the retention requirement if the
2010, http://www.eba.europa.eu/cebs/media/Publications/
Standards%20and%20Guidelines/2010/Application%20of%20Art.
retention requirement is fulfilled by the originator,
%20122a%20of%20the%20CRD/Guidelines.pdf
sponsor or original lender.

---

L 83/10
EN
Official Journal of the European Union
22.3.2013
(69) In case of a breach of the retention requirement or the
(73) In
order
to
ensure
consistency
with
the
requirements
qualitative requirements the AIFM should consider taking
imposed on UCITS managers by Directive 2009/65/EC,
some corrective action, such as hedging, selling or
the governing body, the senior management, or, where
reducing the exposure or approaching the party in
relevant the supervisory function of the AIFM should be
breach of the retention requirement with a view to
entrusted with similar types of tasks to which adequate
reinstating compliance. Such corrective action should
responsibilities should be allocated. However, such allo
always be in the interest of the investors and should
cation of responsibilities should be consistent with the
not involve any direct obligation to sell the assets
role and responsibilities of the governing body, the
immediately after the breach has become apparent,
senior management and the supervisory function under
therefore avoiding a ‘fire sale’. The AIFM should take
applicable national law. Senior management may include
the breach into account when considering making
some or all of the members of the governing body.
another investment in a further transaction in which
the party in breach of the requirement is involved.
(74) The
requirement
to
establish
a
permanent
and
effective
compliance function should always be fulfilled by the
AIFM, irrespective of the size and complexity of its
(70) In
order
to
comply
with
the
requirements
of
Directive
business. However, details of the technical and
2011/61/EU to specify internal procedures and organisa
personnel organisation of the compliance function
tional arrangements, which each AIFM should apply,
should be calibrated to the nature, scale and complexity
AIFMs should be required to establish a well-documented
of the AIFM’s business and the nature and range of its
organisational structure that clearly assigns responsibil
services and activities. The AIFM should not have to
ities, defines control mechanisms and ensures a good
establish an independent compliance unit if such a
flow of information between all parties involved. AIFMs
requirement would be disproportionate in view of the
should also establish systems to safeguard information
size of the AIFM or the nature, scale and complexity of
and ensure business continuity. When establishing
its business.
those procedures and structures, AIFMs should take
into account the principle of proportionality which
allows procedures, mechanisms and organisational
structure to be calibrated to the nature, scale and
(75) Valuation
standards
differ
across
jurisdictions
and
asset
complexity of the AIFM’s business and to the nature
classes. This Regulation should supplement the common
and range of activities carried out in the course of its
general rules and establish benchmarks for AIFMs when
business.
developing and implementing appropriate and consistent
policies and procedures for the proper and independent
valuation of the assets of AIFs. The policies and
procedures should describe the obligations, roles and
responsibilities pertaining to all parties involved in the
(71) Disclosure
to
investors
is
of
paramount
importance
to
valuation, including external valuers.
protect those investors, so AIFMs should implement
appropriate policies and procedures to ensure that the
redemption terms applicable to a particular AIF are
disclosed in sufficient detail and with sufficient
(76) The
value
of
assets
can
be
determined,
in
different
ways,
prominence to investors before they invest and in the
such as by reference to observable prices in an active
event of material changes. That could include disclosure
market or by an estimate using other valuation method
of notice periods in relation to redemptions, details of
ologies according to national law, the AIF rules or its
lock-up periods, an indication of circumstances in which
instruments of incorporation. As the value of individual
normal redemption mechanisms might not apply or may
assets and liabilities can be determined by different
be suspended, and details of any measures that may be
methodologies and can be taken from different sources,
considered by the governing body, such as gates, side
the AIFM should determine and describe the valuation
pocketing, as they have an impact on the specific
methodologies it uses.
redemption rights of investors in the particular AIF.
(77) Where a model is used for valuing assets, the valuation
procedures and policies should indicate the main features
(72) To
ensure that the relevant activities are performed
of the model. Before it is used, that model should be
properly, AIFMs, in particular, should use suitable elec
subject to a validation process conducted by an internal
tronic systems in order to fulfil the recording
or external individual who was not involved in the
requirements with regard to portfolio transactions or
process of building the model. A person should be
subscription and redemption orders and establish,
considered qualified to conduct a validation process in
implement and maintain accounting policies and
respect of the model used to value assets if he is in
procedures to ensure that the calculation of the net
possession of adequate competence and experience in
asset value is carried out as required in Directive
the valuation of assets using such models; such person
2011/61/EU and this Regulation.
could be an auditor.

---

EN
22.3.2013 Official
Journal
of
the
European
Union L
83/11
(78) Since
AIFs
operate
in
a
dynamic
environment
where
tasks and their compliance with Directive 2011/61/EU
investment strategies may change over time, valuation
and its implementing measures. The AIFM should
policies and procedures should be reviewed at least
therefore ensure that the delegate performs and applies
yearly and in any event before AIFs engage with a new
the quality standards which would be applied by the
investment strategy or a new type of asset. Any change
AIFM itself. Also, if necessary to ensure that delegated
in the valuation policies and procedures, including the
functions are performed to a consistently high standard,
valuation methodologies, should follow a predetermined
the AIFM has to be able to terminate the delegation and
process.
the delegation arrangement should therefore confer
flexible termination rights on the AIFM. The delegation
limitations and requirements should apply to the
management functions set out in Annex I to Directive
2011/61/EU, whereas supporting tasks like adminis
trative or technical functions assisting the management
(79) The
AIFM
has
to
ensure
that
the
individual
assets
of
an
tasks such as logistical support in the form of cleaning,
AIF have been valued properly, in line with the valuation
catering and procurement of basic services or products,
policies and procedures. For some assets, especially
should not be deemed to constitute delegation of AIFM
complex and illiquid financial instruments, there is a
functions. Other examples of technical or administrative
higher risk of inappropriate valuation. To address this
functions are buying standard software ‘off-the-shelf’ and
type of situation, the AIFM should put in place sufficient
relying on software providers for ad hoc operational
controls to ensure that an appropriate degree of objec
assistance in relation to off-the-shelf systems or
tivity can be attached to the value of the AIF’s assets.
providing human resources support such as sourcing of
temporary employees or processing of payroll.
(80) Calculation
of
the
net
asset
value
per
unit
or
share
is
subject to national law and, as the case may be, or the
fund rules or instruments of incorporation. This Regu
(83) To ensure a high level of investor protection in addition
lation covers only the procedure for the calculation, and
to the increase of the efficiency of the conduct of the
not the methodology of the calculation. The AIFM may
business of the AIFM the entire delegation should be
itself carry out the calculation of the net asset value per
based on objective reasons. When assessing these
unit or share as part of the administration functions it
reasons, competent authorities should consider the
performs for the AIF. Alternatively, a third party may be
structure of the delegation and its impact on the
appointed to perform administration, including calcu
structure of the AIFM and the interaction of the
lation of the net asset value. A third party that carries
delegated activities with the activities remaining with
out the calculation of the net asset value for an AIF
the AIFM.
should not be considered an external valuer for the
purposes of Directive 2011/61/EU, as long as it does
not provide valuations for individual assets, including
those requiring subjective judgement, but incorporates
into the calculation process values which are obtained
from the AIFM, pricing sources or an external valuer.
(84) In order to assess whether the person who effectively
conducts the business of the delegate is of sufficiently
good repute, the person’s conduct of business should
be verified as well as whether he has committed
offences regarding financial activities. Any other
relevant information concerning personal qualities
(81) There
are
valuation
procedures
that
can
be
performed
on
which might adversely affect the person’s conduct of
a daily basis such as the valuation of financial instru
business such as doubts in relation to his honesty and
ments, but there are also valuation procedures that
integrity should be considered when assessing the
cannot be carried out with the same frequency as
requirement of sufficient good repute.
issues, subscriptions, redemptions and cancellations take

place, for instance the valuation of real estate. The
frequency of valuation of the assets held by an open-
ended fund should take into account the differences in
the valuation procedures with respect to the types of
assets held by the AIF.
(85) Investment companies authorised under Directive
2009/65/EC are not deemed to be undertakings which
are authorised or registered for the purposes of asset
management and subject to supervision because they
are not allowed to engage in activities other than
(82) The
strict
requirements
and
limitations
which
have
to
be
collective portfolio management under that Directive.
complied with when an AIFM intends to delegate the
Similarly, an internally managed AIF should not be
task of carrying out functions are set out in Directive
deemed to be classified as such an undertaking because
2011/61/EU. The AIFM remains at all times fully
it should not engage in activities other than the internal
responsible for the proper performance of the delegated
management of the AIF.

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L 83/12
EN
Official Journal of the European Union
22.3.2013
(86) Where
the
delegation
concerns
portfolio
management
or
it can no longer be considered to be the manager of the
risk management, which are the core business of the
AIF and to the extent that it becomes a letter-box entity.
AIFM and therefore of high relevance with respect to
The AIFM should at all times keep sufficient resources to
investor protection and systemic risk, in addition to the
supervise the delegated functions efficiently. The AIFM
requirements of Article 20(1)(c) of Directive 2011/61/EU
has to perform itself investment management functions,
the competent authority of the home Member State of
to have the necessary expertise and resources, to keep the
the AIFM and the supervisory authority of the third
power to take decisions which fall under senior
country undertaking should have concluded a
management responsibility and to perform senior
cooperation arrangement based on a written agreement.
management functions, which could include implemen
The arrangement should be in place prior to the
tation of the general investment policy and investment
delegation. The details of this agreement should take
strategies.
international standards into consideration.
(92) The assessment of a delegation structure is a complex
(87) Written
arrangements
should
confer
on
competent
auth
exercise that has to be based on a series of criteria in
orities the right to carry out on-site inspections, including
order for the competent authorities to form their
where they request the third-country supervisory
judgement. The combination is necessary to take into
authority of the undertaking, to which functions were
account the variety of fund structures and investment
delegated, to carry out on-site inspections and where
strategies across the Union. ESMA may develop
they request permission from the third-country super
guidelines to ensure a consistent assessment of delegation
visory authority to carry out the inspection themselves,
structures across the Union.
or to accompany staff of the third-country supervisory
authority in order to assist them in carrying out on-site
inspections.
(93) The
Commission shall
monitor how the criteria
are
applied and their impact on the markets. The
Commission shall review the situation after two years
(88) Based on the obligations laid down in Directive
and, should it prove necessary, shall take appropriate
2011/61/EU, AIFMs should always act in the best
measures to further specify the conditions under which
interests of the AIFs or the investors in the AIFs they
the AIFM shall be deemed to have delegated its functions
manage. Therefore, delegation should be admissible only
to such an extent that it becomes a letter box entity and
if it does not prevent the AIFM from acting or managing
can no longer be considered to be the manager of the
the AIF in the best interests of the investors.
AIF.
(89) To
maintain a high standard of investor protection
(94) Directive
2011/61/EU
lays
down
an
extensive
set
of
possible conflicts of interest have to be taken into
requirements regarding the depositary of an AIF in
account for any delegation. Several criteria should set
order to ensure a high standard of investor protection.
benchmarks for identifying situations which would
The respective concrete rights and obligations of the
result in a material conflict of interest. Those criteria
depositary, the AIFM and, as the case may be, or the
should be understood as non-exhaustive and meaning
AIF and third parties should therefore be set out
that non-material conflicts of interest are also relevant
clearly. The written contract should comprise all details
for the purposes of Directive 2011/61/EU. Thus, the
necessary for the appropriate safe-keeping of all the AIF’s
carrying out of compliance or audit functions should
assets by the depositary or a third party to whom safe-
be deemed as conflicting with portfolio management
keeping functions are delegated in accordance with
tasks, whereas market making or underwriting should
Directive 2011/61/EU and for the depositary to
be understood as conflicting with portfolio or risk
properly fulfil its oversight and control functions. In
management. That obligation is without prejudice to
order to allow the depositary to assess and monitor
the obligation of the delegate to separate functionally
custody risk, the contract should provide sufficient
and hierarchically the tasks of portfolio and risk
detail on the categories of assets in which the AIF may
management from each other according to the provisions
invest and cover the geographical regions in which the
of Article 15 of Directive 2011/61/EU.
AIF plans to invest. The contract should also contain
details of an escalation procedure. Thus, the depositary
should alert the AIFM to any material risk identified in a
(90) The requirements applying to the delegation of the task
particular market’s settlement system. With respect to the
of carrying out functions on behalf of the AIFM should
termination of the contract, it should reflect the fact that
apply mutatis mutandis where the delegate sub-delegates
the termination of the contract is the depositary’s last
any of the functions delegated to it and also in the case
resort if it is not satisfied that the assets are sufficiently
of any further sub-delegation.
protected. It should also prevent moral hazard whereby
the AIFM would make investment decisions irrespective
of custody risks on the basis that the depositary would
be liable in most cases. In order to maintain a high
(91) To ensure that in any event the AIFM performs
standard of investor protection, the requirement laying
investment management functions, the AIFM should
down the details for the monitoring of third parties
not delegate its functions to the extent that, in essence,
should be applied in relation to the whole custody chain.

---

EN
22.3.2013 Official
Journal
of
the
European
Union L
83/13
(95) A
depositary
established
in
a
third
country
should
be
flows recorded in the AIF’s accounts. Where reconcili
subject to public prudential regulation and to prudential
ations are performed on a daily basis as for most
supervision performed by a supervisory authority which
open-ended AIFs, the depositary should perform its
is competent for ongoing supervision, undertaking inves
reconciliation also on a daily basis. The depositary
tigations and imposing sanctions. Where that supervision
should in particular monitor the discrepancies high
of the depositary involves multiple supervisory auth
lighted by the reconciliation procedures and the
orities, one supervisory authority should act as the
corrective measures taken in order to notify without
contact point for the purposes of Directive 2011/61/EU
undue delay the AIFM of any anomaly which has not
and all delegated and implementing measures adopted
been remedied and to conduct a full review of the recon
pursuant to it.
ciliation procedures. Such a review should be performed
at least once a year. The depositary should also identify
on a timely basis significant cash flows and in particular
those which could be inconsistent with the AIF’s oper
ations, such as changes in positions in AIF’s assets or
subscriptions and redemptions, and it should receive
periodically cash account statements and check the
(96) The assessment of the law of the third country according
consistency of its own records of cash positions with
to Article 21(6) last subparagraph of Directive
those of the AIFM. The depositary should keep its
2011/61/EU should be made by the European
record up to date in accordance with Article 21(8)(b)
Commission by comparing the authorisation criteria
of Directive 2011/61/EU.
and the ongoing operating conditions applicable to the
depositary in the third country with the corresponding
requirements applicable under Union law to credit insti
tutions and, as the case may be, or to investment firms
for access to the depositary business and performance of
the depositary functions, with a view to ascertaining
whether the local criteria have the same effect as those
(99) The
depositary
has
to
ensure
that
all
payments
made
by
established under Union law. A depositary which is
or on behalf of investors upon the subscription of shares
subject to prudential oversight and licensed in the third
or units of an AIF have been received and booked in one
country under a local category other than a credit insti
or more cash accounts in accordance with Directive
tution or an investment firm may be assessed by the
2011/61/EU. The AIFM should therefore ensure that
European Commission with a view to ascertaining
the depositary is provided with the relevant information
whether the relevant provisions of the law of the third
it needs to properly monitor the receipt of investors’
country have the same effect as those established by the
payments. The AIFM has to ensure that the depositary
law of the Union for credit institutions and, as the case
obtains this information without undue delay when the
may be, or for investment firms.
third party receives an order to redeem or issue shares or
units of an AIF. The information should therefore be
transmitted at the close of the business day from the
entity which is responsible for the subscription and
redemption of shares or units of an AIF to the depositary
in order to avoid any misuse of investors’ payments.
(97) In order for the depositary to have a clear overview of all
inflows and outflows of cash of the AIF in all instances,
the AIFM should ensure that the depositary receives
without undue delay accurate information related to all
cash flows, including from any third party with which an
AIF’s cash account is opened.
(100) Depending on the type of assets to be safe-kept, assets
are either to be held in custody, as with financial
instruments which can be registered in a financial
instruments account, or which can be physically
delivered to the depositary in accordance with Directive
2011/61/EU, or to be subject to ownership verification
and record-keeping. The depositary should hold in
(98) In order for the AIF’s cash flows to be properly
custody all financial instruments of the AIF or of the
monitored the depositary’s obligation consists of
AIFM acting on behalf of the AIF that could be registered
making sure that there are procedures in place and effec
or held in an account directly or indirectly in the name
tively implemented to appropriately monitor the AIF’s
of the depositary or a third party to whom custody
cash flows and that these procedures are periodically
functions are delegated, notably at the level of the
reviewed. In particular, the depositary should look into
central securities depositary. In addition to these situ
the reconciliation procedure to satisfy itself that the
ations those financial instruments are to be held in
procedure is suitable for the AIF and performed at appro
custody that are only directly registered with the issuer
priate intervals taking into account the nature, scale and
itself or its agent in the name of the depositary or a third
complexity of the AIF. Such a procedure should for
party to whom custody functions are delegated. Those
example compare one by one each cash flow as
financial instruments that in accordance with applicable
reported in the bank account statements with the cash
national law are only registered in the name of the AIF

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L 83/14
EN
Official Journal of the European Union
22.3.2013
with the issuer or its agent, such as investments in non-
of the assets, the depositary should make sure it receives
listed companies by private equity and venture capital
all information it deems necessary to be satisfied that the
funds, should not be held in custody. All financial
AIF or the AIFM acting on behalf of the AIF holds the
instruments which could be physically delivered to the
ownership right over the asset. That information could
depositary should be held in custody. Provided that the
be a copy of an official document evidencing that the AIF
conditions on which financial instruments are to be held
or the AIFM acting on behalf of the AIF is the owner of
in custody are fulfilled, financial instruments which are
the asset or any formal and reliable evidence that the
provided as collateral to a third party or are provided by
depositary considers appropriate. If necessary, the
a third party for the benefit of the AIF have to be held in
depositary should request additional evidence from the
custody too by the depositary itself or by a third party to
AIF or the AIFM or as the case may be from a third
whom custody functions are delegated as long as they are
party.
owned by the AIF or the AIFM acting on behalf of the
AIF. Also, financial instruments owned by the AIF or by
the AIFM on behalf of the AIF, for which the AIF, or the
AIFM on behalf of the AIF, has given its consent to re-
use by the depositary, remain in custody as long as the
(105) The depositary should keep a record of all assets for
right of re-use has not been exercised.
which it is satisfied that the AIF holds ownership. It
may set up a procedure to receive information from
third parties, whereby procedures which ensure that the
assets could not be transferred without the depositary or
the third party to whom safe-keeping functions are
(101) Financial instruments which are held in custody should
delegated having been informed of such transactions
be subject to due care and protection at all times. To
may be feasible in the case of AIFs with infrequent trans
ensure that the custody risk is properly assessed, in
actions and, as the case may be, or transactions which
exercising due care, the depositary should in particular
are subject to pre-settlement negotiation. The
know which third parties constitute the custody chain,
requirement to have access to documentary evidence of
ensure that the due-diligence and segregation obligations
each transaction from a third party could be appropriate
have been maintained throughout the whole custody
for AIFs with more frequent portfolio trading, such as
chain, ensure that it has an appropriate right of access
investments in listed derivatives.
to the books and records of third parties to whom
custody functions are delegated, ensure compliance
with these requirements, document all of these duties
and make these documents available to and report to
the AIFM.
(106) In order to ensure that the depositary is able to conduct
its duties, it is necessary to clarify the tasks provided for
in Article 21(9) of Directive 2011/61/EU, and in
particular the second layer controls to be undertaken
by the depositary. Such tasks should not prevent the
(102) In order to avoid circumvention of the requirements of
depositary from conducting ex-ante verifications where
Directive 2011/61/EU, the depositary should apply the
it deems appropriate, and in agreement with the AIFM.
safe-keeping duties to the underlying assets of financial
In order to ensure that it is able to conduct its duties, the
structures and, as the case may be, or legal structures
depositary should establish its own escalation procedure
controlled directly or indirectly by the AIF or by the
to address situations where irregularities have been
AIFM acting on behalf of the AIF. That look-through
detected. That procedure should ensure the notification
provision should not apply to funds of funds or
of competent authorities of any material breaches. The
master-feeder structures provided they have a depositary
oversight responsibilities of the depositary towards third
which safe-keeps the fund’s assets appropriately.
parties specified by this Regulation are without prejudice
to the responsibilities incumbent on the AIFM under
Directive 2011/61/EU.
(103) The depositary should at all times have a comprehensive
overview of all assets that are not financial instruments
to be held in custody. Those assets would be subject to
the obligation to verify the ownership and maintain a
(107) The depositary should check the consistency between the
record under Directive 2011/61/EU. Examples of such
number of units or shares issued and the subscription
assets are physical assets which do not qualify as
proceeds received. Moreover, to ensure that payments
financial instruments under Directive 2011/61/EU or
made by investors upon subscription have been
could not be physically delivered to the depositary,
received, the depositary should further ensure that
financial contracts such as derivatives, cash deposits or
another reconciliation is conducted between the
investments in privately held companies and interests in
subscription orders and the subscription proceeds. The
partnerships.
same reconciliation should be performed with regard to
redemption orders. The depositary should also verify that
the number of units or shares in the AIF’s accounts
matches the number of outstanding units or shares in
the AIF’s register. The depositary should adapt its
(104) To achieve a sufficient degree of certainty that the AIF or
procedures accordingly, taking into account the
the AIFM acting on behalf of the AIF is indeed the owner
frequency of subscriptions and redemptions.

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/15
(108) The depositary should take all necessary steps to ensure
an appropriate and documented procedure to ensure that
that appropriate valuation policies and procedures for the
the delegate complies with the requirements of
assets of the AIF are effectively implemented, through the
Article 21(11)(d) of Directive 2011/61/EU at all times.
performance of sample checks or by comparing the
In order to ensure a sufficient level of protection of
consistency of the change in the NAV calculation over
assets, it is necessary to set out certain principles that
time with that of a benchmark. When setting up its
should be applied in relation to the delegation of safek
procedures, the depositary should have a clear under
eeping. For the delegation of custody duties it is
standing of the valuation methodologies used by the
important to set out some key principles which have
AIFM or the external valuer to value the AIF’s assets.
to be effectively applied throughout the delegation
The frequency of such checks should be consistent
process. Those principles should not be taken to be
with the frequency of the AIF’s asset valuation.
exhaustive, either in terms of setting out all details of
the depositary’s exercise of due skill care and diligence,
or in terms of setting out all the steps that a depositary
should take in relation to these principles themselves.
The obligation to monitor on an ongoing basis the
third party, to whom safekeeping functions have been
delegated should consist of verifying that this third
party correctly performs all the delegated functions and
complies with the delegation contract. The third party
(109) By virtue of its obligation of oversight under Directive
2011/61/EU, the depositary should set up a procedure to
should act honestly, in good faith with a view to the
verify on an ex-post basis the AIF’s compliance with
best interests of the AIF and its investors, in compliance
applicable law and regulations and its rules and
with regulatory and supervisory requirements, and should
instruments of incorporation. This covers areas such as
exercise care, diligence and skill that are normally
checking that the AIF’s investments are consistent with
expected from a highly prudent operator of that
its investment strategies as described in the AIF’s rules
financial profession in comparable circumstances. The
and offering documents and ensuring that the AIF does
depositary should review, inter alia, elements assessed
not breach its investment restrictions, if any. The
during the selection and appointment process and put
depositary should monitor the AIF’s transactions and
these elements into perspective by comparing them
investigate any unusual transactions. If the limits or
with the development of the market. The form of the
restrictions set out in the applicable national law or
regular review should reflect circumstances, so that the
regulations or the AIF rules and instruments of incor
depositary is in a position to appropriately assess the
poration are breached, the depositary should, for
risks related to the decision to entrust assets to the
example, obtain an instruction from the AIFM to
third party. The frequency of the review should be
reverse the transaction that was in breach at its own
adapted so as to always remain consistent with market
costs. This Regulation does not prevent the depositary
conditions and associated risks. For the depositary to
from adopting an ex ante approach where it deems it
effectively respond to a possible insolvency of the third
appropriate and in agreement with the AIFM.
party, it should undertake contingency planning,

including the design of alternative strategies and the
possible selection of alternative providers as may be
relevant. While such measures may reduce the custody
risk faced by a depositary, they do not alter the
obligation to return the financial instruments or pay
the corresponding amount should they be lost, which
depends on whether or not the requirements of
Article 21(12) of Directive 2011/61/EU are fulfilled.
(110) The depositary should ensure that the income is
calculated accurately in accordance with Directive
2011/61/EU. In order to achieve this the depositary
has to ensure that the income distribution is appropriate
and, where it identifies an error, that the AIFM takes
appropriate remedial action. Once the depositary has
ensured this, it should verify the completeness and
accuracy of the income distribution and in particular of
the dividend payments.
(112) When delegating safe-keeping functions, the depositary

should ensure that the requirements of
Article 21(11)(d)(iii) of Directive 2011/61/EU are
fulfilled and that the assets of the AIF clients of the
depositary are properly segregated. This obligation
should particularly ensure that assets of the AIF are not
lost due to insolvency of the third party to whom safek
eeping functions are delegated. In order to minimise that
risk in countries where the effects of segregation are not
(111) When delegating safe-keeping functions related to other
recognised by insolvency law, the depositary should take
assets according to Directive 2011/61/EU, delegation is
further steps. The depositary could make a disclosure to
likely to concern administrative functions in most cases.
the AIF and the AIFM acting on behalf of the AIF so that
Where the depositary delegates record-keeping functions,
such aspects of the custody risk are properly taken into
it would therefore be required to implement and apply
account in the investment decision or take such measures

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L 83/16
EN
Official Journal of the European Union
22.3.2013
as are possible in the local jurisdictions to make the
distinction between the legal ownership and the
assets as insolvency-proof as possible according to local
beneficial ownership of the assets, the definition of loss
law. Furthermore, the depositary could prohibit
should refer to loss of the beneficial ownership right.
temporary deficits in client assets, use buffers or put in
place arrangements prohibiting the use of a debit balance
for one client to offset a credit balance for another.
While such measures may reduce the custody risk faced
by a depositary when delegating custody functions, they
(117) Only in the case of an external event beyond the
do not alter the obligation to return the financial
reasonable control of the depositary, the consequences
instruments or pay the corresponding amount where
of which are unavoidable despite all reasonable efforts
these are lost, which depends on whether or not the
to the contrary, could the depositary avoid to be held
requirements of Directive 2011/61/EU are fulfilled.
liable under Article 21(12) of Directive 2011/61/EU. The

cumulative fulfilment of these conditions should be
proven by the depositary in order for it to be discharged
of liability.
(113) The depositary’s liability under Article 21(12) second
subparagraph of Directive 2011/61/EU is triggered in
the event of the loss of a financial instrument held in
custody by the depositary itself or by a third party to
(118) It should first be determined whether the event which led
whom the custody has been delegated, provided that the
to the loss was external. The depositary’s liability should
depositary does not demonstrate that the loss results
not be affected by delegation and therefore an event
from an external event beyond reasonable control, the
should be deemed external if it does not occur as a
consequences of which would have been unavoidable
result of any act or omission of the depositary or the
despite all reasonable efforts to the contrary. That loss
third party to whom the custody of financial instruments
should be distinguished from an investment loss for
held in custody has been delegated. Then, it should be
investors resulting from a decrease in the value of
assessed whether the event is beyond the reasonable
assets as a consequence of an investment decision.
control, by verifying that there was nothing a prudent
depositary could reasonably have done to prevent the
occurrence of the event. Under these steps both natural
events and acts of a public authority may be considered
(114) To be ascertained as such, it is important that the loss is
as external events beyond reasonable control. Thus, in
definitive, and there is no prospect of recovering the
the context of the insolvency of a third party to whom
financial asset. Thus, situations where a financial
custody was delegated, the law of the country where the
instrument is only temporarily unavailable or frozen
instruments are held in custody, which does not
should not count as losses within the meaning of
recognise the effects of an appropriately implemented
Article 21(12) of Directive 2011/61/EU. In contrast,
segregation, is deemed to be an external event beyond
three types of situations can be identified where the
reasonable control. In contrast, a loss caused by failure to
loss should be deemed to be definitive: where the
apply the segregation requirements laid down in
financial instrument no longer exists or never did exist;
Article 21(11)(d) (iii) of Directive 2011/61/EU or the
where the financial instrument exists but the AIF has
loss of assets because of disruption in the third party’s
definitively lost its right of ownership over it; and
activity in relation to its insolvency cannot be seen as
where the AIF has the ownership right but can no
being external events beyond reasonable control.
longer transfer title of or create limited property rights
in the financial instrument on a permanent basis.
(119) Finally, the depositary should prove that the loss could
not have been avoided despite all reasonable efforts to
(115) A financial instrument is deemed no longer to exist for
the contrary. In this context, the depositary should
instance when it has disappeared following an accounting
inform the AIFM and take appropriate action
error that cannot be corrected, or if it never existed,
depending on the circumstances. For instance, in a
when the AIF’s ownership was registered on the basis
situation where the depositary believes the only appro
of falsified documents. Situations where the loss of
priate action is to dispose of the financial instruments,
financial instruments is caused by fraudulent conduct
the depositary should duly inform the AIFM, which must
should be deemed a loss.
in turn instruct the depositary in writing whether to
continue holding the financial instruments or to
dispose of them. Any instruction to the depositary to
continue holding the assets should be reported to the
(116) No loss can be ascertained when the financial instrument
AIF’s investors without undue delay. The AIFM or the
has been substituted by or converted into another
AIF should give due consideration to the depositary’s
financial instrument, for example in situations where
recommendations. Depending on the circumstances, if
shares are cancelled and replaced by the issue of new
the depositary remains concerned that the standard of
shares in a company reorganisation. An AIF should not
protection of the financial instrument is not sufficient,
be considered as permanently deprived of its right of
despite repeated warnings, it should consider further
ownership over the financial instrument if the AIF or
possible action, such as termination of the contract
the AIFM acting on behalf of the AIF has legitimately
provided the AIF is given a period of time to find
transferred ownership to a third party. Where there is a
another depositary in accordance with national law.

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/17
(120) To ensure the same standard of investor protection, the
(124) It is essential for investors to obtain the minimum
same considerations should also apply to the delegate to
information necessary with respect to particular AIFMs
whom a depositary has contractually transferred its
and AIFs and their structure in order to be able to take
liability. Therefore, in order to be discharged of liability
the right investment decision tailored to their needs and
under Article 21(12) of Directive 2011/61/EU the
risk appetite. That information should be clear, reliable,
delegate should prove that it fulfils cumulatively the
readily understandable and clearly presented, whereas the
same conditions.
usefulness of the information is enhanced when it is
comparable from AIFM to AIFM and AIF to AIF and
from one period to the next. An AIFM should not
engage in activities which might be detrimental to the
objective understanding and practical use of the
information to investors prior to its disclosure such as
window dressing.
(121) A depositary is allowed under certain circumstances to
discharge itself of liability for the loss of financial
instruments held in custody by a third party to which
custody was delegated. For such liability discharge to be
permitted there must be an objective reason for
contracting such discharge that is accepted by both the
(125) It is necessary to set out a framework which provides for
depositary and the AIF or the AIFM acting on behalf of
minimum standards with respect to annual reporting
the AIF. An objective reason should be established for
requirements, including key elements and a non-
each discharge of liability taking into account the
exhaustive list of items. Material changes in the
concrete circumstances in which custody has been
information as referred to in Article 22(2)(d) of
delegated.
Directive 2011/61/EU should be disclosed in the
annual report within the financial statements. In
addition to the non-exhaustive list of underlying line
items additional line items, headings and sub totals
may be included where the presentation of these items
is relevant for the understanding of an AIF’s overall
(122) When considering an objective reason, the right balance
financial position or performance. Items of a dissimilar
should be established to ensure that the contractual
nature or function could be aggregated provided such
discharge can be effectively relied upon if needed and
items are individually not materially relevant. Those
that sufficient safeguards are put in place to avoid any
items could be aggregated under ‘other category’ such
misuse of the contractual discharge of liability by the
as ‘other assets’ or ‘other liabilities’. Where line items
depositary. The contractual discharge of liability should
do not apply to a particular AIF at all, they do not
under no circumstances be used to circumvent the
need to be presented. Regardless of the accounting
depositary’s liability requirements under Directive
standards followed in accordance with Directive
2011/61/EU. The depositary should demonstrate that it
2011/61/EU, all assets should be valued at least once a
was forced by the specific circumstances to delegate
year. The balance sheet or the statement of assets and
custody to a third party. Contracting a discharge
liabilities under Directive 2011/61/EU should include,
should be always in the best interest of the AIF or its
inter alia, cash and cash equivalents. Thus, cash equiv
investors, and the AIF or the AIFM acting on behalf of
alents should be considered highly liquid investments for
the AIF should make it explicit that they act in such best
the purpose of calculating the exposure of an AIF.
interest. Examples of scenarios should indicate the situ
ations where a depositary may be considered as not
having other options but to delegate custody to third
parties.
(126) With respect to the content and format of the report on
activities for the financial year which has to be part of
the annual report under Directive 2011/61/EU, the
report should include a fair and balanced review of the
activities of the AIF with a description of the principal
(123) It is important for competent authorities to obtain
risks and investments or economic uncertainties that it
appropriate and sufficient information in order to
faces. That disclosure should not result in the publication
supervise activities of AIFMs and the risks related to
of proprietary information of the AIF which would be to
them appropriately and consistently. Also, since the
the detriment of the AIF and its investors. Therefore, if
activities of AIFMs could have effects across borders
the publication of particular proprietary information
and on the financial markets, competent authorities
would have such effect, it could be aggregated to a
should monitor AIFMs and AIFs closely in order to
level that would avoid the detrimental effect and would
take appropriate action to avoid the build-up of
not need to capture, for example, the performance or
systemic risks. The increased transparency and
statistics of an individual portfolio company or
consistency through provisions on reporting and
investment that could lead to the disclosure of
disclosing relevant information as outlined in the imple
proprietary information of the AIF. This information
menting measures should make it possible for competent
should form part of the management report in so far
authorities to detect and respond to risks in the financial
as this is usually presented alongside the financial state
markets.
ments.

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L 83/18
EN
Official Journal of the European Union
22.3.2013
(127) With respect to the content and format of the disclosure
authority of their home Member State for each EU AIFs
of remuneration where information is presented at the
they manage and for each of the AIF they market in the
level of the AIFM, further information should be
Union. It is therefore important to further specify the
provided by disclosing an allocation or breakdown of
information to be provided and the frequency of the
the total remuneration as it relates to the relevant AIF.
reporting which depend on the value of assets under
This could be achieved through disclosure of the total
management in portfolios of AIFs managed by a given
AIFM remuneration data split into fixed and variable
AIFM. Pro-forma reporting templates should be provided
components, a statement that these data relate to the
for and should be completed by the AIFM for the AIFs it
entire AIFM, and not to the AIF, the number of AIFs
manages. Where an entity which is authorised as an
and UCITS funds managed by the AIFM and the total
AIFM markets AIFs which are managed by other
assets under management of such AIFs and UCITS with
AIFMs, it does not act as the manager of those AIFs
an overview of the remuneration policy and a reference
but as an intermediary as any investment firm covered
to where the full remuneration policy of the AIFM is
by Directive 2004/39/EC. It therefore should not have to
available at the request of investors. Further details may
report for these AIFs, as this would lead to double- or
be provided by disclosure of the total variable remun
multiple reporting. This reporting requirement should
eration funded by the AIF through payment by it of
nevertheless apply to non-EU AIFMs that manage AIFs
performance fees or carried interest, as the case may
which are marketed in the Union.
be. In addition to the remuneration disclosure, it may
be appropriate for AIFMs to provide information
relating to the financial and non-financial criteria of the
remuneration policies and practices for relevant
categories of staff to enable investors to assess existing
incentives created.
(132) The threshold provided in this Regulation triggers only
reporting requirements laid down in Article 24(4) of
Directive 2011/61/EU. An AIF with a leverage ratio
calculated in accordance with the commitment method
of less than three times its net asset value would not be
(128) Where the AIF issues units, transfers of any assets to side
considered as employing leverage on a substantial basis.
pockets should be calculated, at the time of transfer,
However, competent authorities may request additional
based on the number of units allocated on transfer of
information where necessary for the effective monitoring
assets multiplied by the price per unit. The valuation
of systemic risks. Setting a reporting threshold also
basis should be clearly disclosed in all circumstances
ensures that information relating to the build-up of
and include the date at which the valuation was
systemic risk is collected throughout the Union in a
performed.
consistent way and provides certainty to AIFMs.
(129) In order to manage liquidity AIFMs should be permitted
to enter into borrowing arrangements on behalf of AIFs
they manage. Those arrangements can be short term or
(133) A competent authority’s supervisory powers under
more permanent. In the latter case it is more likely that
Article 25(3) of Directive 2011/61/EU are exercised
such an arrangement would be a special arrangement for
within the new supervisory system, forming part of
the purpose of managing illiquid assets.
what are ongoing supervisory processes and systemic
risk assessments of AIFMs by competent authorities
and the European supervisory authorities, with
reference to the stability and integrity of the financial
system. Competent authorities should make appropriate
use of the information they receive and should impose
limits to leverage employed by an AIFM or other
(130) In line with the principle of differentiation, and recog
restrictions on the management of the AIF with respect
nising the diversity of types of AIFs, the disclosure to
to the AIFs managed where they deem this necessary in
investors required of an AIFM should vary according to
order to ensure the stability and integrity of the financial
the type of AIF and would depend on other factors such
system. The assessment of systemic risk is likely to vary
as investment strategy and the portfolio composition.
depending on the economic environment, whereby any
AIFM, with respect to the AIFs it manages, has the
potential to be systemically relevant. It is therefore a
basic requirement that competent authorities obtain all
the information necessary to assess those situations
appropriately in order to avoid the build-up of
systemic risk. Competent authorities should then assess
(131) Directive 2011/61/EU requires AIFMs to provide certain
the information thoroughly and take appropriate
information on a regular basis to the competent
measures.

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/19
(134) To allow EU AIFMs to manage and market non-EU AIFs
control of the AIFM and who is involved in the
and non-EU AIFMs to manage and market AIFs in the
provision of collective portfolio management services
Union, Directive 2011/61/EU requires appropriate
by the AIFM;
cooperation arrangements to be put in place with the
relevant supervisory authorities of the third country
where the non-EU AIF and, as the case may be, or the
non-EU AIFM is established. Such cooperation
(c) a natural or legal person who is directly involved in the
arrangements should ensure at least an efficient
provision of services to the AIFM under a delegation
exchange of information that allows Union competent
arrangement to third parties for the purpose of the
authorities to carry out their duties in accordance with
provision of collective portfolio management by the
Directive 2011/61/EU.
AIFM;
(135) Cooperation arrangements should allow competent auth
(3) ‘senior management’ means the person or persons who
orities to carry out their supervisory and enforcement
effectively conduct the business of an AIFM in accordance
duties in respect of third country entities. Cooperation
with Article 8(1)(c) of Directive 2011/61/EU and, as the
arrangements should therefore set out a clear concrete
case may be, the executive member or members of the
framework for access to information, for the carrying out
governing body;
of on-site inspections, and for assistance to be provided
by the third country authorities. The cooperation
arrangements should make sure that information
received may be shared with other competent authorities
(4) ‘governing body’ means the body with ultimate decision
concerned as well as with ESMA and the ESRB.
making authority in an AIFM, comprising the supervisory
and the managerial functions, or only the managerial
function if the two functions are separated;
(136) In order to allow competent authorities, AIFMs and
depositaries to adapt to the new requirements
contained in this Regulation so that they can be
applied in an efficient and effective manner, the
(5) ‘special arrangement’ means an arrangement that arises as a
starting date of application of this Regulation should be
direct consequence of the illiquid nature of the assets of an
aligned with the transposition date of Directive
AIF which impacts the specific redemption rights of
2011/61/EU,
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.
HAS ADOPTED THIS REGULATION:
CHAPTER II
CHAPTER I
GENERAL PROVISIONS
DEFINITIONS
SECTION 1
Article 1
Calculation of assets under management
Definitions
(Article 3(2) of Directive 2011/61/EU)
In addition to the definitions laid down in Article 2 of Directive
Article 2
2011/61/EU, the following definitions apply for the purposes of
this Regulation:
Calculation of the total value of assets under management
1. In order to qualify for the exemption provided for in
Article 3(2) of Directive 2011/61/EU an AIFM shall:
(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;
(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
(2) ‘relevant person’ in relation to an AIFM means any of the
accordance with Article 5 of Directive 2011/61/EU;
following:
(b) identify for each managed AIF the portfolio of assets and
(a) a director, partner or equivalent, or manager of the
determine in accordance with the valuation rules laid down
AIFM;
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
(b) an employee of the AIFM, or any other natural person
management, including all assets acquired through use of
whose services are placed at the disposal and under the
leverage;

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(c) aggregate the determined values of assets under
of subscription and redemption activity or, where applicable,
management for all AIFs managed and compare the
capital draw downs, capital distributions and the value of the
resulting total value of assets under management to the
assets invested in for each AIF.
relevant threshold laid down in Article 3(2) of Directive
2011/61/EU.
The proximity of the total value of assets under management to
the threshold set in Article 3(2) of Directive 2011/61/EU and
2. For
the
purposes
of
paragraph
1,
undertakings
for the anticipated subscription and redemption activity shall be
collective investment in transferable securities (UCITS) for
taken into account in order to assess the need for more
which the AIFM acts as the designated management company
frequent calculations of the total value of assets under
under Directive 2009/65/EC shall not be included in the calcu
management.
lation.
Article 4
For the purposes of paragraph 1, AIFs managed by the AIFM for
which the AIFM has delegated functions in accordance with
Occasional breach of the threshold
Article 20 of Directive 2011/61/EU shall be included in the
1. The
AIFM
shall
assess
situations
where
the
total
value
of
calculation. However, portfolios of AIFs that the AIFM is
assets under management exceeds the relevant threshold in
managing under delegation shall be excluded from the calcu
order to determine whether or not they are of a temporary
lation.
nature.
3. For the purpose of calculating the total value of assets
under management, each derivative instrument position,
2. Where
the
total
value
of
assets
under
management
including any derivative embedded in transferable securities
exceeds the relevant threshold and the AIFM considers that
shall be converted into its equivalent position in the underlying
the situation is not of a temporary nature, the AIFM shall
assets of that derivative using the conversion methodologies set
notify the competent authority without delay stating that the
out in Article 10. The absolute value of that equivalent position
situation is considered not to be of a temporary nature and
shall then be used for the calculation of the total value of assets
shall seek authorisation within 30 calendar days in accordance
under management.
with Article 7 of Directive 2011/61/EU.
4. Where
an
AIF
invests
in
other
AIFs
managed
by
the
same 3. Where
the
total
value
of
assets
under
management
externally appointed AIFM, that investment may be excluded
exceeds the relevant threshold and the AIFM considers that
from the calculation of the AIFM’s assets under management.
the situation is of a temporary nature, the AIFM shall notify
the competent authority without delay, stating that the situation
is considered to be of a temporary nature. The notification shall
include supporting information to justify the AIFM’s assessment
5. Where
one
compartment
within
an
internally
or
externally of the temporary nature of the situation, including a description
managed AIF invests in another compartment of that AIF, that
of the situation and an explanation of the reasons for
investment may be excluded from the calculation of the AIFMs
considering it temporary.
assets under management.
4. A
situation
shall
not
be
considered
of
a
temporary
nature
6. The
total
value
of
assets
under
management
shall
be if it is likely to continue for a period in excess of three months.
calculated in accordance with paragraphs 1 to 4 at least
annually and using the latest available asset values. The latest
available asset value for each AIF shall be produced during the
12 months preceding the date of the calculation of the
5. Three months after the date on which the total value of
threshold in accordance with the first sentence of this para
assets under management exceeds the relevant threshold the
graph. The AIFM shall determine a threshold calculation date
AIFM shall recalculate the total value of assets under
and apply it in a consistent manner. Any subsequent change to
management in order to demonstrate that it is below the
the date chosen must be justified to the competent authority. In
relevant threshold or demonstrate to the competent authority
selecting the threshold calculation date, the AIFM shall take into
that the situation which resulted in the assets under
account the time and frequency of the valuation of the assets
management exceeding the threshold has been resolved and
under management.
an application for authorisation of the AIFM is not required.
Article 3
Article 5
Ongoing monitoring of assets under management
Information to be provided as part of registration
AIFMs shall establish, implement and apply procedures to
1. As part of the requirement in Article 3(3)(b) of Directive
monitor on an ongoing basis the total value of assets under
2011/61/EU, AIFMs shall communicate to the competent auth
management. Monitoring shall reflect an up-to-date overview of
orities the total value of assets under management calculated in
the assets under management and shall include the observation
accordance with the procedure set out in Article 2.

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2. As part of the requirement in Article 3(3)(c) of Directive
The Commission shall review, in the light of market devel
2011/61/EU AIFMs shall provide for each AIF the offering
opments and no later than 21 July 2015, the calculation
document or a relevant extract from the offering document
methods referred to in the first subparagraph in order to
or a general description of the investment strategy. The
decide whether these methods are sufficient and appropriate
relevant extract from the offering document and the description
for all types of AIFs, or an additional and optional method
of the investment strategy shall include at least the following
for calculating leverage should be developed.
information:
(a) the main categories of assets in which the AIF may invest;
3. Exposure
contained
in
any
financial
or
legal
structures
involving third parties controlled by the relevant AIF shall be
included in the calculation of the exposure where the structures
referred to are specifically set up to directly or indirectly
(b) any industrial, geographic or other market sectors or
increase the exposure at the level of the AIF. For AIFs whose
specific classes of assets which are the focus of the
core investment policy is to acquire control of non-listed
investment strategy;
companies or issuers, the AIFM shall not include in the calcu
lation of the leverage any exposure that exists at the level of
those non-listed companies and issuers provided that the AIF or
the AIFM acting on behalf of the AIF does not have to bear
(c) a description of the AIF’s borrowing or leverage policy.
potential losses beyond its investment in the respective
company or issuer.
3. Information
to
be
provided
by
the
AIFM
under
point
(d)
of Article 3(3) of Directive 2011/61/EU is listed in
Article 110(1) of this Regulation. It shall be provided in
4. AIFMs
shall
exclude
borrowing
arrangements
entered
into
accordance with the pro-forma reporting template as set out
if these are temporary in nature and are fully covered by
in the Annex IV.
contractual capital commitments from investors in the AIF.
4. Information
collected
in
accordance
with
Article
3(3)(d)
of
Directive 2011/61/EU shall be shared between competent auth
5. An
AIFM
shall
have
appropriately
documented
procedures
orities in the Union, with the European Securities and Markets
to calculate the exposure of each AIF under its management in
Authority (ESMA) and the European Systemic Risk Board (ESRB)
accordance with the gross method and the commitment
where necessary for the fulfilment of their duties.
method. The calculation shall be applied consistently over time.
5.
The information required for registration purposes shall be
updated and provided on an annual basis. For reasons relating
Article 7
to the exercise of their powers under Article 46 of Directive
2011/61/EU, the competent authorities may require an AIFM to
Gross method for calculating the exposure of the AIF
provide the information referred to in Article 3 of Directive
2011/61/EU on a more frequent basis.
The exposure of an AIF calculated in accordance with the gross
method shall be the sum of the absolute values of all positions
valued in accordance with Article 19 of Directive 2011/61/EU
and all delegated acts adopted pursuant to it.
SECTION 2
Calculation of leverage
(Article 4(3) of Directive 2011/61/EU)
For the calculation of the exposure of an AIF in accordance
Article 6
with the gross method an AIFM shall:
General provisions on the calculation of leverage
1. Leverage
of
an
AIF
shall
be
expressed
as
the
ratio
between
the exposure of an AIF and its net asset value.
(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
2. AIFMs
shall
calculate
the
exposure
of
the
AIFs
managed
in
cash, are subject to an insignificant risk of change in value
accordance with the gross method as set out in Article 7 and
and provide a return no greater than the rate of a three-
the commitment method as set out in Article 8.
month high quality government bond;

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(b) convert derivative instruments into the equivalent position
to the same underlying asset, irrespective — in the case of
in their underlying assets using the conversion method
derivative instruments — of the maturity date of the
ologies set out in Article 10 and the methods set out in
derivative instruments and where those trades on derivative
paragraphs (4) to (9) and (14) of Annex I;
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 posi
(c) exclude cash borrowings that remain in cash or cash
tions;
equivalent as referred to in point (a) and where the
amounts of that payable are known;
(b) hedging arrangements shall include combinations of trades
on derivative instruments or security positions which do not
(d) include exposure resulting from the reinvestment of cash
necessarily refer to the same underlying asset and where
borrowings, expressed as the higher of the market value
those trades on derivative instruments or security
of the investment realised or the total amount of the cash
positions are concluded with the sole aim of offsetting
borrowed as referred to in paragraphs (1) and (2) of
risks linked to positions taken through the other derivative
Annex I;
instruments or security positions.
(e) include positions within repurchase or reverse repurchase
4. By
way
of
derogation
from
paragraph
2,
a
derivative
agreements and securities lending or borrowing or other
instrument shall not be converted into an equivalent position
arrangements in accordance with paragraphs (3) and (10)
in the underlying asset if it has all of the following character
to (13) of Annex I.
istics:
Article 8
(a) it swaps the performance of financial assets held in the AIF’s
portfolio for the performance of other reference financial
Commitment method for calculating the exposure of an
assets;
AIF
1. The
exposure
of
an
AIF
calculated
in
accordance
with
the
commitment method shall be the sum of the absolute values of
(b) it totally offsets the risks of the swapped assets held in the
all positions valued in accordance with Article 19 of Directive
AIF’s portfolio so that the AIF’s performance does not
2011/61/EU and its corresponding delegated acts, subject to the
depend on the performance of the swapped assets;
criteria provided for in paragraphs 2 to 9.
(c) it includes neither additional optional features, nor leverage
2. For the calculation of the exposure of an AIF in
clauses nor other additional risks as compared to a direct
accordance with the commitment method an AIFM shall:
holding of the reference financial assets.
(a) convert each derivative instrument position into an
5. By
way
of
derogation
from
paragraph
2,
a
derivative
equivalent position in the underlying asset of that derivative
instrument shall not be converted into an equivalent position
using the conversion methodologies set out in Article 10
in the underlying asset when calculating the exposure according
and paragraphs (4) to (9) and (14) of Annex II;
to the commitment method if it meets both of the following
conditions:
(b) apply netting and hedging arrangements;
(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
(c) calculate the exposure created through the reinvestment of
holding a long position in the given financial asset;
borrowings where such reinvestment increases the exposure
of the AIF as defined in paragraphs (1) and (2) of Annex I;
(b) the derivative instrument shall not generate any incremental
exposure and leverage or risk.
(d) include other arrangements in the calculation in accordance
with paragraphs (3) and (10) to (13) of Annex I.
6. Hedging
arrangements
shall
be
taken
into
account
when
calculating the exposure of an AIF only if they comply with all
3. For
the
purposes
of
calculating
the
exposure
of
an
AIF the following conditions:
according to the commitment method:
(a) the positions involved within the hedging relationship do
(a) netting arrangements shall include combinations of trades
not aim to generate a return and general and specific risks
on derivative instruments or security positions which refer
are offset;

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(b) there is a verifiable reduction of market risk at the level of
AIFMs availing themselves of those netting rules shall not
the AIF;
include other sources of risk such as volatility in their interest
rate strategy. Consequently, interest rate arbitrage strategies shall
not apply those netting rules.
(c) the risks linked to derivative instruments, general and
specific, if any, are offset;
3. The
use
of
those
duration-netting
rules
shall
not
generate
any unjustified level of leverage through investment in short-
(d) the hedging arrangements relate to the same asset class;
term positions. Short-dated interest rate derivatives shall not be
the main source of performance for an AIF with medium
duration which uses the duration netting rules.
(e) they are efficient in stressed market conditions.
4. Interest
rate
derivatives
shall
be
converted
into
their
7. Subject
to
paragraph
6,
derivative
instruments
used
for equivalent underlying asset position and netted in accordance
currency hedging purposes and that do not add any incremental
with Annex III.
exposure, leverage or other risks shall not be included in the
calculation.
5. An
AIF
making
use
of
the
duration-netting
rules
may
still
8. An
AIFM
shall
net
positions
in
any
of
the
following
cases:
make use of the hedging framework. Duration netting rules may
be applied only to the interest rate derivatives which are not
included in hedging arrangements.
(a) between derivative instruments, provided they refer to the
same underlying asset, even if the maturity date of the
derivative instruments is different;
SECTION 3
Additional own funds and professional indemnity insurance
(b) between a derivative instrument whose underlying asset is a
(Article 9(7) and Article 15 of Directive 2011/61/EU)
transferable security, money market instrument or units in a
Article 12
collective investment undertaking as referred to in points 1
to 3 of Section C of Annex I to Directive 2004/39/EC, and
Professional liability risks
that same corresponding underlying asset.
1. The
professional
liability
risks
to
be
covered
pursuant
to
Article 9(7) of Directive 2011/61/EU shall be risks of loss or
9. AIFMs managing AIFs that, in accordance with their core
damage caused by a relevant person through the negligent
investment policy, primarily invest in interest rate derivatives
performance of activities for which the AIFM has legal respon
shall make use of specific duration netting rules in order to
sibility.
take into account the correlation between the maturity
segments of the interest rate curve as set out in Article 11.
2. Professional
liability
risks
as
defined
in
paragraph
1
shall
include, without being limited to, risks of:
Article 9
Methods of increasing the exposure of an AIF
(a) loss of documents evidencing title of assets of the AIF;
When calculating exposure AIFMs shall use the methods set out
in Annex I for the situations referred to therein.
(b) misrepresentations or misleading statements made to the
AIF or its investors;
Article 10
Conversion methodologies for derivative instruments
(c) acts, errors or omissions resulting in a breach of:
AIFMs shall use the conversion methodologies set out in Annex
II for the derivative instruments referred to therein.
(i) legal and regulatory obligations;
Article 11
Duration netting rules
(ii) duty of skill and care towards the AIF and its investors;
1. Duration
netting
rules
shall
be
applied
by
AIFMs
when
calculating the exposure of AIFs according to Article 8(9).
(iii) fiduciary duties;
2. The
duration-netting
rules
shall
not
be
used
where
they
would lead to a misrepresentation of the risk profile of the AIF.
(iv) obligations of confidentiality;

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(v) AIF rules or instruments of incorporation;
treatment of non-compliance with these policies. An AIFM shall
have procedures in place for taking appropriate corrective
action.
(vi) terms of appointment of the AIFM by the AIF;
6. The
operational
risk
management
policies
and
procedures
(d) failure to establish, implement and maintain appropriate
and measurement systems shall be subject to regular review, at
procedures to prevent dishonest, fraudulent or malicious
least on an annual basis.
acts;
7. An
AIFM
shall
maintain
financial
resources
adequate
to
its
(e) improperly carried out valuation of assets or calculation of
assessed risk profile.
unit/share prices;
(f) losses arising from business disruption, system failures,
Article 14
failure of transaction processing or process management.
Additional own funds
1. This
Article
shall
apply
to
AIFMs
that
choose
to
cover
professional liability risks through additional own funds.
3. Professional
liability
risks
shall
be
covered
at
all
times
either through appropriate additional own funds determined
in accordance with Article 14 or through appropriate
coverage of professional indemnity insurance determined in
2. The
AIFM
shall
provide
additional
own
funds
for
covering
accordance with Article 15.
liability risks arising from professional negligence at least equal
to 0,01 % of the value of the portfolios of AIFs managed.
Article 13
Qualitative requirements addressing professional liability
The value of the portfolios of AIFs managed shall be the sum of
risks
the absolute value of all assets of all AIFs managed by the AIFM,
including assets acquired through use of leverage, whereby
1. An
AIFM
shall
implement
effective
internal
operational derivative instruments shall be valued at their market value.
risk management policies and procedures in order to identify,
measure, manage and monitor appropriately operational risks
including professional liability risks to which the AIFM is or
could be reasonably exposed. The operational risk management
3. The
additional
own
funds
requirement
referred
to
in
activities shall be performed independently as part of the risk
paragraph 2 shall be recalculated at the end of each financial
management policy.
year and the amount of additional own funds shall be adjusted
accordingly.
2. An AIFM shall set up a historical loss database, in which
any operational failures, loss and damage experience shall be
recorded. This database shall record, without being limited to,
The AIFM shall establish, implement and apply procedures to
any professional liability risks as referred to in Article 12(2) that
monitor on an ongoing basis the value of the portfolios of AIFs
have materialised.
managed, calculated in accordance with the second
subparagraph of paragraph 2. Where, before the annual recal
culation referred to in the first subparagraph, the value of the
portfolios of AIFs managed increases significantly, the AIFM
3. Within the risk management framework the AIFM shall
shall without undue delay recalculate the additional own
make use of its internal historical loss data and where appro
funds requirement and shall adjust the additional own funds
priate of external data, scenario analysis and factors reflecting
accordingly.
the business environment and internal control systems.
4. Operational
risk
exposures
and
loss
experience
shall
be
4. The
competent
authority
of
the
home
Member
State
of
monitored on an ongoing basis and shall be subject to
the AIFM may authorise the AIFM to provide additional own
regular internal reporting.
funds lower than the amount referred to in paragraph 2 only if
it is satisfied — on the basis of the historical loss data of the
AIFM as recorded over an observation period of at least three
years prior to the assessment — that the AIFM provides
5. An
AIFM’s
operational
risk
management
policies
and sufficient additional own funds to appropriately cover profes
procedures shall be well documented. An AIFM shall have
sional liability risks. The authorised lower amount of additional
arrangements in place for ensuring compliance with its oper
own funds shall be not less than 0,008 % of the value of the
ational risk management policies and effective measures for the
portfolios of AIFs managed by the AIFM.

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5. The
competent
authority
of
the
home
Member
State
of laid down in this Article at least once a year and in the event of
the AIFM may request the AIFM to provide additional own
any change which affects the policy’s compliance with the
funds higher than the amount referred to in paragraph 2 if it
requirements in this Article.
is not satisfied that the AIFM has sufficient additional own
funds to appropriately cover professional liability risks. The
competent authority shall give reasons why it considers that
the AIFM’s additional own funds are insufficient.
CHAPTER III
OPERATING CONDITIONS FOR AIFMs
Article 15
SECTION 1
Professional indemnity insurance
General principles
1. This Article shall apply to AIFMs that choose to cover
(Article 12(1) of Directive 2011/61/EU)
professional liability risks through professional indemnity
insurance.
Article 16
General obligations for competent authorities
When assessing the AIFM’s compliance with Article 12(1) of
2. The
AIFM
shall
take
out
and
maintain
at
all
times
profes
Directive 2011/61/EU, the competent authorities shall use at
sional indemnity insurance that:
least the criteria laid down in this Section.
(a) shall have an initial term of no less than one year;
Article 17
Duty to act in the best interests of the AIF or the investors
(b) shall have a notice period for cancellation of at least 90
in the AIF and the integrity of the market
days;
1. AIFMs
shall
apply
policies
and
procedures
for
preventing
malpractices, including those that might reasonably be expected
to affect adversely the stability and integrity of the market.
(c) shall cover professional liability risks as defined in
Article 12(1) and (2);
2. AIFMs
shall
ensure
that
the
AIFs
they
manage
or
the
(d) is taken out from an EU or non-EU undertaking authorised
investors in these AIFs are not charged undue costs.
to provide professional indemnity insurance, in accordance
with Union law or national law;
Article 18
(e) is provided by a third party entity.
Due diligence
1. AIFMs
shall
apply
a
high
standard
of
diligence
in
the
selection and ongoing monitoring of investments.
Any agreed defined excess shall be fully covered by own funds
which are in addition to the own funds to be provided in
accordance with Article 9(1) and (3) of Directive 2011/61/EU.
2. AIFMs
shall
ensure
that
they
have
adequate
knowledge
and understanding of the assets in which the AIF is invested.
3. The
coverage
of
the
insurance
for
an
individual
claim
shall
be equal to at least 0,7 % of the value of the portfolios of AIFs
managed by the AIFM calculated as set out in the second
subparagraph of Article 14(2).
3. AIFMs
shall
establish,
implement
and
apply
written
policies and procedures on due diligence and implement
effective arrangements for ensuring that investment decisions
4. The
coverage
of
the
insurance
for
claims
in
aggregate
per on behalf of the AIFs are carried out in compliance with the
year shall be equal to at least 0,9 % of the value of the port
objectives, the investment strategy and, where applicable, the
folios of AIFs managed by the AIFM calculated as set out in the
risk limits of the AIF.
second subparagraph of Article 14(2).
5. The
AIFM
shall
review
the
professional
indemnity 4. The policies and procedures on due diligence referred to
insurance policy and its compliance with the requirements
in paragraph 3 shall be regularly reviewed and updated.

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Article 19
(c) they have the necessary organisational structure and
resources for performing the services which are to be
Due diligence when investing in assets of limited liquidity
provided by them to the AIFM or the AIF.
1. Where
AIFMs
invest
in
assets
of
limited
liquidity
and
where such investment is preceded by a negotiation phase,
they shall, in relation to the negotiation phase, in addition to
the requirements laid down in Article 18:
3. When
appraising
the
financial
soundness
referred
to
in
paragraph 2(b), the AIFM shall take into account whether or
not the prime broker or counterparty is subject to prudential
regulation, including sufficient capital requirements, and
(a) set out and regularly update a business plan consistent with
effective supervision.
the duration of the AIF and market conditions;
(b) seek and select possible transactions consistent with the
4.
The list of selected prime brokers shall be approved by the
business plan referred to in point (a);
AIFM’s senior management. In exceptional cases prime brokers
not included in the list may be appointed provided that they
fulfil the requirements laid down in paragraph 2 and subject to
approval by senior management. The AIFM shall be able to
(c) assess the selected transactions in consideration of oppor
demonstrate the reasons for such a choice and the due
tunities, if any, and overall related risks, all relevant legal,
diligence that it exercised in selecting and monitoring the
tax-related, financial or other value affecting factors, human
prime brokers which had not been listed.
and material resources, and strategies, including exit strat
egies;
Article 21
(d) perform due diligence activities related to the transactions
Acting honestly, fairly and with due skills
prior to arranging execution;
In order to establish whether an AIFM conducts its activities
honestly, fairly and with due skills, competent authorities shall
assess, at least, whether the following conditions are met:
(e) monitor the performance of the AIF with respect to the
business plan referred to in point (a).
(a) the governing body of the AIFM possesses adequate
2. AIFMs
shall
retain
records
of
the
activities
carried
out
collective knowledge, skills and experience to be able to
pursuant to paragraph 1 for at least five years.
understand the AIFM’s activities, in particular the main
risks involved in those activities and the assets in which
the AIF is invested;
Article 20
Due diligence in the selection and appointment of
counterparties and prime brokers
(b) the members of the governing body commit sufficient time
to properly perform their functions in the AIFM;
1. When
selecting
and
appointing
counterparties
and
prime
brokers, AIFMs shall exercise due skill, care and diligence before
entering into an agreement and on an ongoing basis thereafter
taking into account the full range and quality of their services.
(c) each member of the governing body acts with honesty,
integrity and independence of mind;
2. When
selecting
prime
brokers
or
counterparties
of
an
AIFM or an AIF in an OTC derivatives transaction, in a
securities lending or in a repurchase agreement, AIFMs shall
(d) the AIFM devotes adequate resources to the induction and
ensure that those prime brokers and counterparties fulfil all of
training of members of the governing body.
the following conditions:
(a) they are subject to ongoing supervision by a public auth
Article 22
ority;
Resources
1. AIFMs
shall
employ
sufficient
personnel
with
the
skills,
knowledge and expertise necessary for discharging the respon
(b) they are financially sound;
sibilities allocated to them.

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2. For
the
purposes
of
paragraph
1,
AIFMs
shall
take
into
by their nature, do not give rise to conflicts with the AIFM’s
account the nature, scale and complexity of their business and
duties to act honestly, fairly and in accordance with the best
the nature and range of services and activities undertaken in the
interests of the AIF it manages or the investors of the AIF.
course of that business.
2. The disclosure of the essential terms of the arrangements
Article 23
relating to the fee, commission or non-monetary benefit in
Fair treatment of investors in the AIF
summary form shall be considered as satisfactory for the
purposes of point (i) of paragraph 1(b), provided that the
1. The
AIFM
shall
ensure
that
its
decision-making
procedures AIFM commits to disclose further details at the request of the
and its organisational structure, referred to in Article 57, ensure
investor in the AIF it manages and provided that it fulfils this
fair treatment of investors.
commitment.
2. Any
preferential
treatment
accorded
by
an
AIFM
to
one
or
Article 25
more investors shall not result in an overall material
disadvantage to other investors.
Effective employment of resources and procedures —
handling of orders
1. AIFMs
shall
establish,
implement
and
apply
procedures
Article 24
and arrangements which provide for the prompt, fair and
expeditious execution of orders on behalf of the AIF.
Inducements
1. AIFMs
shall
not
be
regarded
as
acting
honestly,
fairly
and
in accordance with the best interests of the AIFs they manage or
2. The
procedures
and
arrangements
referred
to
in
paragraph
the investors in these AIFs if, in relation to the activities
1 shall satisfy the following requirements:
performed when carrying out the functions referred to in
Annex I to Directive 2011/61/EU, they pay or are paid any
fee or commission, or provide or are provided with any non-
monetary benefit, other than the following:
(a) they shall ensure that orders executed on behalf of AIFs are
promptly and accurately recorded and allocated;
(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) they shall execute otherwise comparable AIF orders sequen
tially 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
(b) a fee, commission or non-monetary benefit paid or
otherwise.
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:
3. The
financial
instruments,
sums
of
money
or
other
assets
received in settlement of the executed orders shall be promptly
(i) the existence, nature and amount of the fee, commission
and correctly delivered to or registered in the account of the
or benefit, or, where the amount cannot be ascertained,
relevant AIF.
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
4. AIFMs
shall
not
misuse
information
related
to
pending
the provision of the relevant service;
AIF orders, and shall take all reasonable steps to prevent the
misuse of such information by any of their relevant persons.
(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
Article 26
compliance with the AIFM’s duty to act in the best
Reporting obligations in respect of execution of
interests of the AIF it manages or the investors in the
subscription and redemption orders
AIF;
1. Where
AIFMs
have
carried
out
a
subscription
or,
where
relevant, a redemption order from an investor, they shall
promptly provide the investor, by means of a durable
(c) proper fees which enable or are necessary for the provision
medium, with the essential information concerning the
of the relevant service, including custody costs, settlement
execution of that order or the acceptance of the subscription
and exchange fees, regulatory levies or legal fees, and which,
offer, as the case may be.

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2. Paragraph 1 shall not apply where a third person is
(c) the characteristics of the financial instruments or other
required to provide the investor with a confirmation concerning
assets that are the subject of that order;
the execution of the order and where the confirmation contains
the essential information.
(d) the characteristics of the execution venues to which that
AIFMs shall ensure that the third person complies with its
order can be directed.
obligations.
3. The
essential
information
referred
to
in
paragraphs
1
and
3. AIFMs shall establish and implement effective
2 shall include the following information:
arrangements for complying with the obligations referred to
in paragraphs 1 and 2. In particular, the AIFM shall establish
in writing and implement an execution policy to allow AIFs and
(a) the identification of the AIFM;
their investors to obtain, for AIF orders, the best possible result
in accordance with paragraph 2.
(b) the identification of the investor;
4. AIFMs
shall
monitor
on
a
regular
basis
the
effectiveness
of
(c) the date and time of receipt of the order;
their arrangements and policy for the execution of orders with a
view to identifying and, where appropriate, correcting any defi
ciencies.
(d) the date of execution;
(e) the identification of the AIF;
5. AIFMs
shall
review
their
execution
policy
on
an
annual
basis. A review shall also be carried out whenever a material
change occurs that affects the AIFM’s ability to continue to
(f) the gross value of the order including charges for
obtain the best possible result for the managed AIFs.
subscription or the net amount after charges for redemp
tions.
6. AIFMs
shall
be
able
to
demonstrate
that
they
have
4. AIFMs
shall
supply
the
investor,
upon
request,
with executed orders on behalf of the AIF in accordance with their
information about the status of the order or the acceptance
execution policy.
of the subscription offer, or both as the case may be.
Article 27
7. Whenever
there
is
no
choice
of
different
execution
venues
paragraphs 2 to 5 shall not apply. However, AIFMs shall be able
Execution of decisions to deal on behalf of the managed
to demonstrate that there is no choice of different execution
AIF
venues.
1. AIFMs shall act in the best interests of the AIFs or the
investors in the AIFs they manage when executing decisions to
deal on behalf of the managed AIF in the context of the
management of their portfolio.
Article 28
Placing orders to deal on behalf of AIFs with other entities
for execution
2. Whenever
AIFMs
buy
or
sell
financial
instruments
or
other assets for which best execution is relevant, and for the
1. Whenever
the
AIFM
buys
or
sells
financial
instruments
or
purposes of paragraph 1, they shall take all reasonable steps to
other assets for which best execution is relevant, it shall act in
obtain the best possible result for the AIFs they manage or the
the best interest of the AIFs it manages or the investors in the
investors in these AIFs, taking into account price, costs, speed,
AIFs when placing orders to deal on behalf of the managed AIFs
likelihood of execution and settlement, size, nature or any other
with other entities for execution, in the context of the
consideration relevant to the execution of the order. The relative
management of their portfolio.
importance of such factors shall be determined by reference to
the following criteria:
2. AIFMs
shall
take
all
reasonable
steps
to
obtain
the
best
(a) the objectives, investment policy and risks specific to the
possible result for the AIF or the investors in the AIF taking into
AIF, as indicated in the AIF’s rules or articles of association,
account price, costs, speed, likelihood of execution and
prospectus or offering documents of the AIF;
settlement, size, nature or any other consideration relevant to
the execution of the order. The relative importance of such
factors shall be determined by reference to the criteria laid
(b) the characteristics of the order;
down in Article 27(2).

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European
Union L
83/29
AIFMs shall establish, implement and apply a policy to enable
of aggregated orders, including how the volume and price of
them to comply with the obligation referred to in the first
orders determines allocations and the treatment of partial
subparagraph. The policy shall identify, in respect of each
executions.
class of instruments, the entities with which the orders may
be placed. The AIFM shall only enter into arrangements for
execution where such arrangements are consistent with the
obligations laid down in this Article. The AIFM shall make
available to investors in the AIFs it manages appropriate
2.
Where an AIFM aggregates an AIF order with one or more
information on the policy established in accordance with this
orders of other AIFs, UCITS or clients and the aggregated order
paragraph and on any material changes to that policy.
is partially executed, it shall allocate the related trades in
accordance with its order allocation policy.
3. AIFMs
shall
monitor
on
a
regular
basis
the
effectiveness
of
3. Where
an
AIFM
aggregates
transactions
for
its
own
the policy established in accordance with paragraph 2 and, in
account with one or more orders of AIFs, UCITS or clients, it
particular, the quality of the execution by the entities identified
shall not allocate the related trades in a way that is detrimental
in that policy and, where appropriate, correct any deficiencies.
to the AIF, UCITS or a client.
4. Where an AIFM aggregates an order of an AIF, UCITS or
In addition, AIFMs shall review the policy on an annual basis.
another client with a transaction for its own account and the
Such a review shall also be carried out whenever a material
aggregated order is partially executed, it shall allocate the related
change occurs that affects the AIFM’s ability to continue to
trades to the AIF, UCITS or to clients in priority over those for
obtain the best possible result for the managed AIFs.
own account.
4. AIFMs
shall
be
able
to
demonstrate
that
they
have
placed However, if the AIFM is able to demonstrate to the AIF or to
orders on behalf of the AIF in accordance with the policy
the client on reasonable grounds that it would not have been
established pursuant to paragraph 2.
able to carry out the order on such advantageous terms without
aggregation, or at all, it may allocate the transaction for its own
account proportionally, in accordance with the policy referred
to in point (b) of paragraph 1.
5. Whenever
there
is
no
choice
of
different
execution
venues
paragraphs 2 to 5 shall not apply. However, AIFMs shall be able
to demonstrate that there is no choice of different execution
SECTION 2
venues.
Conflicts of interest
(Article 14 of Directive 2011/61/EU)
Article 30
Article 29
Types of conflicts of interest
Aggregation and allocation of trading orders
For the purpose of identifying the types of conflicts of interest
that arise in the course of managing an AIF, AIFMs shall take
1. AIFMs can only carry out an AIF order in aggregate with
into account, in particular, whether the AIFM, a relevant person
an order of another AIF, a UCITS or a client or with an order
or a person directly or indirectly linked by way of control to the
made when investing their own funds where:
AIFM:
(a) it can be reasonably expected that the aggregation of orders
(a) is likely to make a financial gain, or avoid a financial loss, at
will not work overall to the disadvantage of any AIF, UCITS
the expense of the AIF or its investors;
or clients whose order is to be aggregated;
(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
(b) an order allocation policy is established and implemented,
transaction carried out on behalf of the AIF or a client,
providing in sufficiently precise terms for the fair allocation
which is distinct from the AIF’s interest in that outcome;

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(c) has a financial or other incentive to favour:
conflicts between the AIFM’s incentive to invest in illiquid assets
and the AIF’s redemption policy in accordance with its
obligations under Article 14(1) of Directive 2011/61/EU.
— the interest of a UCITS, a client or group of clients or
another AIF over the interest of the AIF,
Article 33
— the interest of one investor over the interest of another
Procedures and measures preventing or managing conflicts
investor or group of investors in the same AIF;
of interest
1. The procedures and measures established for the
prevention or management of conflicts of interest shall be
(d) carries out the same activities for the AIF and for another
designed to ensure that the relevant persons engaged in
AIF, a UCITS or client; or
different business activities involving a risk of conflict of
interest carry out these activities having a degree of inde
pendence which is appropriate to the size and activities of the
(e) receives or will receive from a person other than the AIF or
AIFM and of the group to which it belongs, and to the
its investors an inducement in relation to collective portfolio
materiality of the risk of damage to the interests of the AIF
management activities provided to the AIF, in the form of
or its investors.
monies, goods or services other than the standard
commission or fee for that service.
2. Where
necessary
and
appropriate
for
the
AIFM
to
ensure
the requisite degree of independence, the procedures to be
Article 31
followed and measures to be adopted in accordance with
point (b) of Article 31(2) shall include the following:
Conflicts of interest policy
1. The
AIFM
shall
establish,
implement
and
apply
an
effective conflicts of interest policy. That policy shall be set
(a) effective procedures to prevent or control the exchange of
out in writing and shall be appropriate to the size and organi
information between relevant persons engaged in collective
sation of the AIFM and the nature, scale and complexity of its
portfolio management activities or other activities pursuant
business.
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
Where the AIFM is a member of a group, the policy shall also
or their investors;
take into account any circumstances of which the AIFM is or
should be aware which may give rise to a conflict of interest
resulting from the structure and business activities of other
members of the group.
(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
2. The
conflicts
of
interest
policy
established
in
accordance
who otherwise represent different interests that may
with paragraph 1 shall include the following:
conflict, including those of the AIFM;
(a) with reference to the activities carried out by or on behalf of
the AIFM, including activities carried out by a delegate, sub-
(c) the removal of any direct link between the remuneration of
delegate, external valuer or counterparty, identification of
relevant persons principally engaged in one activity and the
the circumstances which constitute or may give rise to a
remuneration of, or revenues generated by, different relevant
conflict of interest entailing a material risk of damage to the
persons principally engaged in another activity, where a
interests of the AIF or its investors;
conflict of interest may arise in relation to those activities;
(b) procedures to be followed and measures to be adopted in
(d) measures to prevent or restrain any person from exercising
order to prevent, manage and monitor such conflicts.
inappropriate influence over the way in which a relevant
person carries out collective portfolio management activ
ities;
Article 32
Conflicts of interest related to the redemption of
investments
(e) measures to prevent or control the simultaneous or
sequential involvement of a relevant person in separate
The AIFM that manages an open-ended AIF shall identify,
collective portfolio management activities or other activities
manage and monitor conflicts of interest arising between
pursuant to Article 6(2) and (4) of Directive 2011/61/EU
investors wishing to redeem their investments and investors
where such involvement may impair the proper
wishing to maintain their investments in the AIF, and any
management of conflicts of interest.

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Where the adoption or the application of one or more of those
AIF portfolios it manages are to be exercised, to the exclusive
measures and procedures does not ensure the requisite degree of
benefit of the AIF concerned and its investors.
independence, the AIFM shall adopt such alternative or
additional measures and procedures as are necessary and appro
priate for those purposes.
2. The
strategy
referred
to
in
paragraph
1
shall
determine
measures and procedures for:
Article 34
Managing conflicts of interest
(a) monitoring relevant corporate actions;
Where the organisational or administrative arrangements made
by the AIFM are not sufficient to ensure, with reasonable
confidence, that risks of damage to the interests of the AIF or
investors in the AIF are prevented, the senior management or
(b) ensuring that the exercise of voting rights is in accordance
other competent internal body of the AIFM shall be promptly
with the investment objectives and policy of the relevant
informed in order to take any necessary decision or action to
AIF;
ensure that the AIFM acts in the best interests of the AIF or the
investors in that AIF.
(c) preventing or managing any conflicts of interest arising
Article 35
from the exercise of voting rights.
Monitoring conflicts of interest
1. The AIFM shall keep and regularly update a record of the
3. A
summary
description
of
the
strategies
and
details
of
the
types of activities undertaken by or on behalf of the AIFM in
actions taken on the basis of those strategies shall be made
which a conflict of interest entailing a material risk of damage
available to the investors on their request.
to the interests of one or more AIFs or its investors has arisen
or, in the case of an ongoing activity, may arise.
SECTION 3
2. Senior
management
shall
receive
on
a
frequent
basis,
and
at least annually, written reports on activities referred to in
Risk management
paragraph 1.
(Article 15 of Directive 2011/61/EU)
Article 38
Article 36
Risk management systems
Disclosure of conflicts of interest
For the purposes of this Section, risk management systems shall
1.
The information to be disclosed to investors in accordance
be understood as systems comprised of relevant elements of the
with Article 14(1) and (2) of Directive 2011/61/EU shall be
organisational structure of the AIFM, with a central role for a
provided to investors in a durable medium or by means of a
permanent risk management function, policies and procedures
website.
related to the management of risk relevant to each AIF’s
investment strategy, and arrangements, processes and tech
niques related to risk measurement and management
2. Where
information
referred
to
in
paragraph
1
is
provided employed by the AIFM in relation to each AIF it manages.
by means of a website and is not addressed personally to the
investor, the following conditions shall be satisfied:
Article 39
(a) the investor has been notified of the address of the website,
and the place on the website where the information may be
Permanent risk management function
accessed, and has consented to the provision of the
1. An AIFM shall establish and maintain a permanent risk
information by such means;
management function that shall:
(b) the information must be up to date;
(a) implement effective risk management policies and
procedures in order to identify, measure, manage and
(c) the information must be accessible continuously by means
monitor on an ongoing basis all risks relevant to each
of that website for such period of time as the investor may
AIF’s investment strategy to which each AIF is or may be
reasonably need to inspect it.
exposed;
Article 37
Strategies for the exercise of voting rights
(b) ensure that the risk profile of the AIF disclosed to investors
in accordance with point (c) of Article 23(4) of Directive
1. An
AIFM
shall
develop
adequate
and
effective
strategies
2011/61/EU is consistent with the risk limits that have been
for determining when and how any voting rights held in the
set in accordance with Article 44 of this Regulation;

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L 83/32
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(c) monitor compliance with the risk limits set in accordance
(b) the techniques, tools and arrangements that enable liquidity
with Article 44 and notify the AIFM’s governing body and,
risk of the AIF to be assessed and monitored under normal
where it exists, the AIFM’s supervisory function in a timely
and exceptional liquidity conditions including through the
manner when it considers the AIF’s risk profile inconsistent
use of regularly conducted stress tests in accordance with
with these limits or sees a material risk that the risk profile
Article 48;
will become inconsistent with these limits;
(c) the allocation of responsibilities within the AIFM pertaining
(d) provide the following regular updates to the governing body
to risk management;
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 activ
(d) the limits set in accordance with Article 44 of this Regu
ities:
lation 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;
(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
(e) the terms, contents, frequency and addressees of reporting
with Article 23(4)(c) of Directive 2011/61/EU;
by the permanent risk management function referred to in
Article 39.
(ii) the adequacy and effectiveness of the risk management
process, indicating in particular whether appropriate
4. The
risk
management
policy
shall
include
a
description
of
remedial measures have been or will be taken in the
the safeguards referred to in Article 43, in particular:
event of any actual or anticipated deficiencies;
(a) the nature of the potential conflicts of interest;
(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
(b) the remedial measures put in place;
accordance with Article 44, so as to ensure that prompt and
appropriate action can be taken.
(c) the reasons why these measures should be reasonably
expected to result in independent performance of the risk
2. The
risk
management
function
shall
have
the
necessary
management function;
authority and access to all relevant information necessary to
fulfil the tasks set out in paragraph 1.
(d) how the AIFM expects to ensure that the safeguards are
consistently effective.
Article 40
Risk management policy
5. The
risk
management
policy
referred
to
in
paragraph
1
1. An
AIFM
shall
establish,
implement
and
maintain
an shall be appropriate to the nature, scale and complexity of the
adequate and documented risk management policy which
business of the AIFM and of the AIF it manages.
identifies all the relevant risks to which the AIFs it manages
are or may be exposed.
Article 41
2. The risk management policy shall comprise such Assessment, monitoring and review of the risk
procedures as are necessary to enable the AIFM to assess for
management systems
each AIF it manages the exposure of that AIF to market,
1. AIFMs
shall
assess,
monitor
and
periodically,
at
least
once
liquidity and counterparty risks, and the exposure of the AIF
a year, review:
to all other relevant risks, including operational risks, which
may be material for each AIF it manages.
(a) the adequacy and effectiveness of the risk management
policy and of the arrangements, processes and techniques
3. The
AIFM
shall
address
at
least
the
following
elements
in
referred to in Article 45;
the risk management policy:
(b) the degree of compliance by the AIFM with the risk
(a) the techniques, tools and arrangements that enable it to
management policy and with the arrangements, processes
comply with Article 45;
and techniques referred to in Article 45;

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Union L
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(c) the adequacy and effectiveness of measures taken to address
independently of the performance of the operating units,
any deficiencies in the performance of the risk management
including the portfolio management function;
process;
(d) the remuneration of senior officers in the risk management
(d) the performance of the risk management function;
function is directly overseen by the remuneration
committee, where such a committee has been established.
(e) the adequacy and effectiveness of measures aiming to ensure
the functional and hierarchical separation of the risk
2. The
functional
and
hierarchical
separation
of
the
risk
management function in accordance with Article 42.
management function in accordance with paragraph 1 shall
be ensured throughout the whole hierarchical structure of the
The frequency of the periodic review referred to in the first
AIFM, up to its governing body. It shall be reviewed by the
subparagraph shall be decided by the senior management in
governing body and, where it exists, the supervisory function of
accordance with the principle of proportionality given the
the AIFM.
nature, scale and complexity of the AIFM’s business and the
AIF it manages.
3. The
competent
authorities
of
the
home
Member
State
of
the AIFM shall review the way in which the AIFM has applied
2. In addition to the periodic review referred to in paragraph
paragraphs 1 and 2 on the basis of the criteria laid down in the
1, the risk management systems shall be reviewed where:
second subparagraph of Article 15(1) of Directive 2011/61/EU.
(a) material changes are made to the risk management policies
Article 43
and procedures and to the arrangements, processes and
Safeguards against conflicts of interest
techniques referred to in Article 45;
1. The
safeguards
against
conflicts
of
interest
referred
to
in
Article 15(1) of Directive 2011/61/EU shall ensure, at least,
(b) internal or external events indicate that an additional review
that:
is required;
(a) decisions taken by the risk management function are based
(c) material changes are made to the investment strategy and
on reliable data, which are subject to an appropriate degree
objectives of an AIF that the AIFM manages.
of control by the risk management function;
3. The
AIFM
shall
update
the
risk
management
systems
on
the basis of the outcome of the review referred to in paragraphs
(b) the remuneration of those engaged in the performance of
1 and 2.
the risk management function reflects the achievement of
the objectives linked to the risk management function, inde
pendently of the performance of the business areas in which
4. The
AIFM
shall
notify
the
competent
authority
of
its
they are engaged;
home Member State of any material changes to the risk
management policy and of the arrangements, processes and
techniques referred to in Article 45.
(c) the risk management function is subject to an appropriate
independent review to ensure that decisions are being
arrived at independently;
Article 42
Functional and hierarchical separation of the risk
(d) the risk management function is represented in the
management function
governing body or the supervisory function, where it has
been established, at least with the same authority as the
1. The
risk
management
function
shall
be
considered
as
portfolio management function;
functionally and hierarchically separated from the operating
units, including the portfolio management function, only
where all the following conditions are satisfied:
(e) any conflicting duties are properly segregated.
(a) persons engaged in the performance of the risk
2. Where
proportionate,
taking
into
account
the
nature,
scale
management function are not supervised by those
and complexity of the AIFM, the safeguards referred to in
responsible for the performance of the operating units,
paragraph 1 shall also ensure that:
including the portfolio management function, of the AIFM;
(a) the performance of the risk management function is
(b) persons engaged in the performance of the risk
reviewed regularly by the internal audit function, or, if the
management function are not engaged in the performance
latter has not been established, by an external party
of activities within the operating units, including the
appointed by the governing body;
portfolio management function;
(b) where a risk committee has been established, it is appro
(c) persons engaged in the performance of the risk
priately resourced and its non-independent members do not
management function are compensated in accordance with
have undue influence over the performance of the risk
the achievement of the objectives linked to that function,
management function.

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L 83/34
EN
Official Journal of the European Union
22.3.2013
3. The governing body of the AIFM and, where it exists, the
(a) put in place such risk measurement arrangements, processes
supervisory function shall establish the safeguards against
and techniques as are necessary to ensure that the risks of
conflicts of interest laid down in paragraphs 1 and 2,
positions taken and their contribution to the overall risk
regularly review their effectiveness and take timely remedial
profile are accurately measured on the basis of sound and
action to address any deficiencies.
reliable data and that the risk measurement arrangements,
processes and techniques are adequately documented;
Article 44
Risk limits
(b) conduct periodic back-tests in order to review the validity of
1. An
AIFM
shall
establish
and
implement
quantitative
or
risk measurement arrangements which include model-based
qualitative risk limits, or both, for each AIF it manages,
forecasts and estimates;
taking into account all relevant risks. Where only qualitative
limits are set, the AIFM shall be able to justify this approach
to the competent authority.
(c) conduct, periodic appropriate stress tests and scenario
analyses to address risks arising from potential changes in
2. The
qualitative
and
quantitative
risk
limits
for
each
AIF
market conditions that might adversely impact the AIF;
shall, at least, cover the following risks:
(a) market risks;
(d) ensure that the current level of risk complies with the risk
limits set in accordance with Article 44;
(b) credit risks;
(e) establish, implement and maintain adequate procedures that,
(c) liquidity risks;
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;
(d) counterparty risks;
(e) operational risks.
(f) ensure that there are appropriate liquidity management
systems and procedures for each AIF in line with the
3. When
setting
risk
limits,
the
AIFM
shall
take
into
account
requirements laid down in Article 46.
the strategies and assets employed in respect of each AIF it
manages as well as the national rules applicable to each of
those AIFs. Those risk limits shall be aligned with the risk
SECTION 4
profile of the AIF as disclosed to investors in accordance with
point (c) of Article 23(4) of Directive 2011/61/EU and
Liquidity management
approved by the governing body.
(Article 16 of Directive 2011/61/EU)
Article 46
Article 45
Liquidity management system and procedures
Risk measurement and management
AIFMs shall be able to demonstrate to the competent authorities
1. AIFMs
shall
adopt
adequate
and
effective
arrangements, of their home Member State that an appropriate liquidity
processes and techniques in order to:
management system and effective procedures referred to in
Article 16(1) of Directive 2011/61/EU are in place taking into
(a) identify, measure, manage and monitor at any time the risks
account the investment strategy, the liquidity profile and the
to which the AIFs under their management are or might be
redemption policy of each AIF.
exposed;
(b) ensure compliance with the limits set in accordance with
Article 47
Article 44.
Monitoring and managing liquidity risk
1. The
liquidity
management
system
and
procedures
referred
2. The
arrangements,
processes
and
techniques
referred
to
in to in Article 46 shall at least, ensure that:
paragraph 1 shall be proportionate to the nature, scale and
complexity of the business of the AIFM and of each AIF it
manages and shall be consistent with the AIF’s risk profile as
disclosed to investors in accordance with point (c) of
(a) the AIFM maintains a level of liquidity in the AIF appro
Article 23(4) of Directive 2011/61/EU.
priate 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
3. For
the
purposes
of
paragraph
1,
the
AIFM
shall
take
the
price or value at which those assets can be liquidated, and
following actions for each AIF it manages:
their sensitivity to other market risks or factors;

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EN
22.3.2013 Official
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European
Union L
83/35
(b) the AIFM monitors the liquidity profile of the AIF’s portfolio
to in paragraph 1, to address anticipated or actual liquidity
of assets, having regard to the marginal contribution of
shortages or other distressed situations of the AIF.
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
4. Where the AIFM manages an AIF which is a leveraged
the AIFM shall take into account the profile of the
closed-ended AIF, point (e) of paragraph 1 shall not apply.
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;
Article 48
Liquidity management limits and stress tests
(c) the AIFM, where the AIF invests in other collective
investment undertakings, monitors the approach adopted
1. AIFMs
shall,
where
appropriate,
considering
the
nature,
by the managers of those other collective investment under
scale and complexity of each AIF they manage, implement
takings to the management of liquidity, including through
and maintain adequate limits for the liquidity or illiquidity of
conducting periodic reviews to monitor changes to the
the AIF consistent with its underlying obligations and
redemption provisions of the underlying collective
redemption policy and in accordance with the requirements
investment undertakings in which the AIF invests. Subject
laid down in Article 44 relating to quantitative and qualitative
to Article 16(1) of Directive 2011/61/EU, this obligation
risk limits.
shall not apply where the other collective investment under
takings 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
AIFMs shall monitor compliance with those limits and where
third country market;
limits are exceeded or likely to be exceeded, they shall
determine the required (or necessary) course of action. In deter
mining appropriate action, AIFMs shall consider the adequacy of
the liquidity management policies and procedures, the appropri
(d) the AIFM implements and maintains appropriate liquidity
ateness of the liquidity profile of the AIF’s assets and the effect
measurement arrangements and procedures to assess the
of atypical levels of redemption requests.
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 appro
2. AIFMs
shall
regularly
conduct
stress
tests,
under
normal
priately measured. The procedures employed shall ensure
and exceptional liquidity conditions, which enable them to
that the AIFM has the appropriate knowledge and under
assess the liquidity risk of each AIF under their management.
standing of the liquidity of the assets in which the AIF has
The stress tests shall:
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;
(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;
(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
(b) where appropriate, simulate a shortage of liquidity of the
these tools and arrangements may be used in both normal
assets in the AIF and atypical redemption requests;
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
(c) cover market risks and any resulting impact, including on
disclosures have been made in accordance with Article 108.
margin calls, collateral requirements or credit lines;
2. AIFMs
shall
document
their
liquidity
management
policies
and procedures, as referred to in paragraph 1, review them on
(d) account for valuation sensitivities under stressed conditions;
at least an annual basis and update them for any changes or
new arrangements.
(e) be conducted at a frequency which is appropriate to the
nature of the AIF, taking in to account the investment
3. AIFMs shall include appropriate escalation measures in
strategy, liquidity profile, type of investor and redemption
their liquidity management system and procedures, as referred
policy of the AIF, and at least once a year.

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L 83/36
EN
Official Journal of the European Union
22.3.2013
3. AIFMs shall act in the best interest of investors in relation
(a) retention of no less than 5 % of the nominal value of each
to the outcome of any stress tests.
of the tranches sold or transferred to the investors;
Article 49
(b) in the case of securitisations of revolving exposures,
retention of the originator’s interest of no less than 5 %
Alignment of investment strategy, liquidity profile and
of the nominal value of the securitised exposures;
redemption policy
1. For the purposes of Article 16(2) of Directive
2011/61/EU, the investment strategy, liquidity profile and
(c) retention of randomly selected exposures, equivalent to not
redemption policy of each AIF managed by an AIFM shall be
less than 5 % of the nominal value of the securitised
considered to be aligned when investors have the ability to
exposures, where such exposures would otherwise have
redeem their investments in a manner consistent with the fair
been securitised in the securitisation, provided that the
treatment of all AIF investors and in accordance with the AIF’s
number of potentially securitised exposures is not less
redemption policy and its obligations.
than 100 at origination;
2. In assessing the alignment of the investment strategy,
(d) retention of the first loss tranche and, if necessary, other
liquidity profile and redemption policy the AIFM shall also
tranches having the same or a more severe risk profile than
have regard to the impact that redemptions may have on the
those transferred or sold to investors and not maturing any
underlying prices or spreads of the individual assets of the AIF.
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;
SECTION 5
Investment in securitisation positions
(e) retention of a first loss exposure of not less than 5 % of
(Article 17 of Directive 2011/61/EU)
every securitised exposure in the securitisation.
Article 50
Definitions
Net economic interest shall be measured at the origination and
shall be maintained on an ongoing basis. The net economic
For the purposes of this Section:
interest, including retained positions, interest or exposures,
shall not be subject to any credit risk mitigation or any short
positions or any other hedge and shall not be sold. The net
(a) ‘securitisation’ means a securitisation within the meaning of
economic interest shall be determined by the notional value for
Article 4(36) of Directive 2006/48/EC;
off-balance sheet items.
(b) ‘securitisation position’ means a securitisation position
There shall be no multiple applications of the retention
within the meaning of Article 4(40) of Directive
requirements for any given securitisation.
2006/48/EC;
2. Paragraph
1
shall
not
apply
where
the
securitised
(c) ‘sponsor’ means a sponsor within the meaning of
exposures are claims or contingent claims on or fully, uncon
Article 4(42) of Directive 2006/48/EC;
ditionally and irrevocably guaranteed by the institutions listed in
the first subparagraph of Article 122a(3) of Directive
2006/48/EC, and shall not apply to those transactions listed
(d) ‘tranche’ means a tranche within the meaning of
in the second subparagraph of Article 122a(3) of Directive
Article 4(39) of Directive 2006/48/EC.
2006/48/EC.
Article 51
Article 52
Requirements for retained interest
Qualitative requirements concerning sponsors and
originators
1. AIFMs shall assume exposure to the credit risk of a secu
ritisation on behalf of one or more AIFs it manages only if the
Prior to an AIFM assuming exposure to the credit risk of a
originator, sponsor or original lender has explicitly disclosed to
securitisation on behalf of one or more AIFs, it shall ensure
the AIFM that it retains, on an ongoing basis, a material net
that the sponsor and originator:
economic interest, which in any event shall not be less than
5 %.
(a) grant credit based on sound and well-defined criteria and
clearly establish the process for approving, amending,
Only any of the following shall qualify as retention of a material
renewing and re-financing loans to exposures to be
net economic interest of not less than 5 %:
securitised as they apply to exposures they hold;

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EN
22.3.2013 Official
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of
the
European
Union L
83/37
(b) have in place and operate effective systems to manage the
(d) the reputation and loss experience in earlier securitisations
ongoing administration and monitoring of their credit risk-
of the originators or sponsors in the relevant exposure
bearing portfolios and exposures, including for identifying
classes underlying the securitisation position;
and managing problem loans and for making adequate
value adjustments and provisions;
(e) the statements and disclosures made by the originators or
(c) adequately diversify each credit portfolio based on the target
sponsors, or their agents or advisors, about their due
market and overall credit strategy;
diligence on the securitised exposures and, where applicable,
on the quality of the collateral supporting the securitised
exposures;
(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;
(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 orig
(e) grant readily available access to all materially relevant data
inator or sponsor to ensure the independence of the valuer;
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
(g) all the structural features of the securitisation that can
stress tests on the cash flows and collateral values
materially impact the performance of the institution’s secu
supporting the underlying exposures. For that purpose,
ritisation position, such as the contractual waterfall and
materially relevant data shall be determined as at the date
waterfall related triggers, credit enhancements, liquidity
of the securitisation and where appropriate due to the
enhancements, market value triggers, and deal-specific defi
nature of the securitisation thereafter;
nitions of default.
(f) grant readily available access to all other relevant data
2. Where an AIFM has assumed exposure to a material value
necessary for the AIFM to comply with the requirements
of the credit risk of a securitisation on behalf of one or more
laid down in Article 53;
AIFs, it shall regularly perform stress tests appropriate to such
securitisation positions in accordance with point (b) of
Article 15(3) of Directive 2011/61/EU. The stress test shall be
(g) disclose the level of their retained net economic interest as
commensurate with the nature, scale and complexity of the risk
referred to in Article 51, as well as any matters that could
inherent in the securitisation positions.
undermine the maintenance of the minimum required net
economic interest as referred to in that Article.
AIFMs shall establish formal monitoring procedures in line with
the principles laid down in Article 15 of Directive 2011/61/EU
Article 53
commensurate with the risk profile of the relevant AIF in
Qualitative requirements concerning AIFMs exposed to
relation to the credit risk of a securitisation position in order
securitisations
to monitor on an ongoing basis and in a timely manner
performance information on the exposures underlying such
1. Before
becoming
exposed
to
the
credit
risk
of
a
securiti
securitisation positions. Such information shall include (if
sation on behalf of one or more AIFs, and as appropriate there
relevant to the specific type of securitisation and not limited
after, AIFMs shall be able to demonstrate to the competent
to such types of information further described herein), the
authorities for each of their individual securitisation positions
exposure type, the percentage of loans more than 30, 60 and
that they have a comprehensive and thorough understanding of
90 days past due, default rates, prepayment rates, loans in fore
those positions and have implemented formal policies and
closure, collateral type and occupancy, frequency distribution of
procedures appropriate to the risk profile of the relevant AIF’s
credit scores or other measures of credit worthiness across
investments in securitised positions for analysing and recording:
underlying exposures, industry and geographical diversification
and frequency distribution of loan to value ratios with band
widths that facilitate adequate sensitivity analysis. Where the
(a) information disclosed under Article 51, by originators or
underlying exposures are themselves securitisation positions,
sponsors to specify the net economic interest that they
AIFMs shall have the information set out in this subparagraph
maintain, on an ongoing basis, in the securitisation;
not only on the underlying securitisation tranches, such as the
issuer name and credit quality, but also on the characteristics
and performance of the pools underlying those securitisation
(b) the risk characteristics of the individual securitisation
tranches.
position;
AIFMs shall apply the same standards of analysis to partici
(c) the risk characteristics of the exposures underlying the secu
pations or underwritings in securitisation issues purchased
ritisation position;
from third parties.

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L 83/38
EN
Official Journal of the European Union
22.3.2013
3. For
the
purposes
of
appropriate
risk
and
liquidity the provisions of this Section shall be interpreted in a consistent
management, AIFMs assuming exposure to the credit risk of a
manner with the corresponding provisions of Directive
securitisation on behalf of one or more AIFs shall properly
2006/48/EC and with the Guidelines to Article 122a of the
identify, measure, monitor, manage, control and report the
Capital Requirements Directive of 31 December 2010 ( 1 )
risks that arise because of mismatches between the assets and
issued by the Committee of European Banking Supervisors
liabilities of the relevant AIF, concentration risk or investment
and their subsequent amendments.
risk arising from these instruments. The AIFM shall ensure that
the risk profile of such securitisation positions corresponds to
the size, overall portfolio structure, investment strategies and
objectives of the relevant AIF as laid down in the AIF rules
SECTION 6
or instruments of incorporation, prospectus and offering docu
Organisational requirements — general principles
ments.
(Articles 12 and 18 of Directive 2011/61/EU)
Article 57
4. AIFMs
shall
ensure,
in
line
with
the
requirements
laid
General requirements
down in Article 18 of Directive 2011/61/EU, that there is an
adequate degree of internal reporting to the senior management
1. AIFMs
shall:
so that senior management is fully aware of any material
assumption of exposure to securitisations and that the risks
arising from those exposures are adequately managed.
(a) establish, implement and maintain decision-making
procedures and an organisational structure which specifies
reporting lines and allocates functions and responsibilities
5. AIFMs
shall
include
appropriate
information
on
their
clearly and in a documented manner;
exposures to the credit risk of securitisation and their risk
management procedures in this area in the reports and
disclosures to be submitted in accordance with Articles 22,
23 and 24 of Directive 2011/61/EU.
(b) ensure that their relevant persons are aware of the
procedures to be followed for the proper discharge of
their responsibilities;
Article 54
Corrective action
(c) establish, implement and maintain adequate internal control
1. AIFMs shall take such corrective action as is in the best
mechanisms designed to secure compliance with decisions
interest of the investors in the relevant AIF where they discover,
and procedures at all levels of the AIFM;
after the assumption of an exposure to a securitisation, that the
determination and disclosure of the retained interest did not
meet the requirements laid down in this Regulation.
(d) establish, implement and maintain effective internal
reporting and communication of information at all
relevant levels of the AIFM and effective information flows
2. AIFMs shall take such corrective action as is in the best
with any third party involved;
interest of the investors in the relevant AIF, where the retained
interest becomes less than 5 % at a given moment after the
assumption of the exposure and this is not due to the natural
payment mechanism of the transaction.
(e) maintain adequate and orderly records of their business and
internal organisation.
Article 55
AIFMs shall take into account the nature, scale and complexity
Grandfathering clause
of their business and the nature and range of services and
Articles 51 to 54 shall apply in relation to new securitisations
activities undertaken in the course of that business.
issued on or after 1 January 2011. Articles 51 to 54 shall, after
31 December 2014, apply in relation to existing securitisations
where new underlying exposures are added or substituted after
2. AIFMs
shall
establish,
implement
and
maintain
systems
that date.
and procedures that are adequate to safeguard the security,
integrity and confidentiality of information, taking into
account the nature of the information in question.
Article 56
( 1 ) Committee of European Banking Supervisors, Guidelines to
Interpretation
Article 122a of the Capital Requirements Directive of 31 December
2010, http://www.eba.europa.eu/cebs/media/Publications/
In the absence of specific interpretation given by ESMA or by
Standards%20and%20Guidelines/2010/Application%20of%20Art.
the Joint Committee of the European Supervisory Authorities,
%20122a%20of%20the%20CRD/Guidelines.pdf

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/39
3. AIFMs
shall
establish,
implement
and
maintain
an net asset value of each AIF is accurately calculated on the basis
adequate business continuity policy aimed at ensuring, in the
of the applicable accounting rules and standards.
event of an interruption to their systems and procedures, the
preservation of essential data and functions, and the main
tenance of services and activities, or, where that is not
possible, the timely recovery of such data and functions and
Article 60
the timely resumption of their services and activities.
Control by the governing body, senior management and
supervisory function
1. When
allocating
functions
internally,
AIFMs
shall
ensure
4. AIFMs
shall
establish,
implement
and
maintain
accounting that the governing body, the senior management and, where it
policies and procedures and valuation rules that enable them, at
exists, the supervisory function are responsible for the AIFM’s
the request of the competent authority, to deliver in a timely
compliance with its obligations under Directive 2011/61/EU.
manner to the competent authority financial reports which
reflect a true and fair view of their financial position and
which comply with all applicable accounting standards and
rules.
2. An
AIFM
shall
ensure
that
its
senior
management:
(a) is responsible for the implementation of the general
5. AIFMs shall implement appropriate policies and
investment policy for each managed AIF, as defined,
procedures to ensure that the redemption policies of the AIF
where relevant, in the fund rules, the instruments of incor
are disclosed to investors, in sufficient detail, before they invest
poration, the prospectus or the offering documents;
in the AIF and in the event of material changes.
(b) oversees the approval of the investment strategies for each
6. AIFMs
shall
monitor
and,
on
a
regular
basis,
evaluate
the
managed AIF;
adequacy and effectiveness of their systems, internal control
mechanisms and arrangements established in accordance with
paragraphs 1 to 5, and take appropriate measures to address
(c) is responsible for ensuring that valuation policies and
any deficiencies.
procedures in accordance with Article 19 of Directive
2011/61/EU are established and implemented;
Article 58
(d) is responsible for ensuring that the AIFM has a permanent
Electronic data processing
and effective compliance function, even if this function is
1. AIFMs
shall
make
appropriate
and
sufficient
arrangements
performed by a third party;
for suitable electronic systems so as to permit the timely and
proper recording of each portfolio transaction or subscription
or, where relevant, redemption order.
(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
2. AIFMs
shall
ensure
a
high
standard
of
security
during
the
management function is performed by third parties;
electronic data processing and integrity and confidentiality of
the recorded information, as appropriate.
(f) approves and reviews on a periodic basis the adequacy of
the internal procedures for undertaking investment
Article 59
decisions for each managed AIF, so as to ensure that such
decisions are consistent with the approved investment strat
Accounting procedures
egies;
1. AIFMs
shall
employ
accounting
policies
and
procedures
as
referred to in Article 57(4) so as to ensure the protection of
investors. The accounting records shall be kept in such a way
(g) approves and reviews on a periodic basis the risk
that all assets and liabilities of the AIF can be directly identified
management policy and the arrangements, processes and
at all times. If an AIF has different investment compartments,
techniques for implementing that policy, including the risk
separate accounts shall be maintained for those compartments.
limit system for each AIF it manages;
2. AIFMs
shall
establish,
implement
and
maintain
accounting (h) is responsible for establishing and applying a remuneration
and valuation policies and procedures so as to ensure that the
policy in line with Annex II to Directive 2011/61/EU.

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L 83/40
EN
Official Journal of the European Union
22.3.2013
3. An
AIFM
shall
also
ensure
that
its
senior
management
(b) advising the relevant persons responsible for carrying out
and, where appropriate, its governing body or supervisory
services and activities and assisting them in complying with
function:
the AIFM’s obligations under Directive 2011/61/EU.
(a) assess and periodically review the effectiveness of the
3. In order to enable the compliance function referred to in
policies, arrangements and procedures put in place to
paragraph 2 to perform its responsibilities properly and inde
comply with the obligations laid down in Directive
pendently, the AIFM shall ensure that:
2011/61/EU;
(a) the compliance function has the necessary authority,
(b) take appropriate measures to address any deficiencies.
resources, expertise and access to all relevant information;
4. An
AIFM
shall
ensure
that
its
senior
management
receives (b) a compliance officer is appointed and is responsible for the
on a frequent basis, and at least annually, written reports on
compliance function and for reporting on a frequent basis,
matters of compliance, internal audit and risk management
and at least annually, to the senior management on matters
indicating in particular whether appropriate remedial measures
of compliance, indicating in particular whether appropriate
have been taken in the event of any deficiencies.
remedial measures have been taken in the event of any
deficiencies;
5. An
AIFM
shall
ensure
that
its
senior
management
receives
on a regular basis reports on the implementation of investment
(c) persons in the compliance function are not involved in the
strategies and of the internal procedures for taking investment
performance of services or activities they monitor;
decisions referred to in points (b) to (e) of paragraph 2.
6. An
AIFM
shall
ensure
that
the
governing
body
or
the (d) the method of determining the remuneration of a
supervisory function, if any, receives on a regular basis
compliance officer and other persons in the compliance
written reports on the matters referred to in paragraph 4.
function do not affect their objectivity and are not likely
to do so.
Article 61
However, the AIFM shall not be required to comply with point
Permanent compliance function
(c) or (d) of the first subparagraph where it is able to demon
1. AIFMs
shall
establish,
implement
and
maintain
adequate strate that in view of the nature, scale and complexity of its
policies and procedures designed to detect any risk of failure by
business, and the nature and range of its services and activities,
the AIFM to comply with its obligations under Directive
that the requirement is not proportionate and that its
2011/61/EU, and the associated risks, and put in place
compliance function continues to be effective.
adequate measures and procedures designed to minimise such
risk and to enable the competent authorities to exercise their
powers effectively under that Directive.
Article 62
Permanent internal audit function
The AIFM shall take into account the nature, scale and
1. AIFMs
shall,
where
appropriate
and
proportionate
in
view
complexity of its business, and the nature and range of
of the nature, scale and complexity of their business and the
services and activities undertaken in the course of that business.
nature and range of collective portfolio management activities
undertaken in the course of that business, establish and
maintain an internal audit function which is separate and inde
pendent from the other functions and activities of the AIFM.
2. An
AIFM
shall
establish
and
maintain
a
permanent
and
effective compliance function which operates independently and
has the following responsibilities:
2. The
internal
audit
function
referred
to
in
paragraph
1
shall:
(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
(a) establish, implement and maintain an audit plan to examine
taken to address any deficiencies in the AIFM’s compliance
and evaluate the adequacy and effectiveness of the AIFM’s
with its obligations;
systems, internal control mechanisms and arrangements;

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EN
22.3.2013 Official
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Union L
83/41
(b) issue recommendations based on the results of work carried
2. The
arrangements
referred
to
in
paragraph
1
shall
in
out in accordance with point (a);
particular be designed to ensure that:
(c) verify compliance with the recommendations referred to in
(a) each relevant person is aware of the restrictions on personal
point (b);
transactions referred to in paragraph 1, and of the measures
established by the AIFM in connection with personal trans
actions and disclosure, pursuant to paragraph 1;
(d) report internal audit matters.
Article 63
(b) the AIFM is informed promptly of any personal transaction
entered into by a relevant person covered by paragraph 1,
Personal transactions
either by notification of that transaction or by other
procedures enabling the AIFM to identify such transactions;
1. For
any
relevant
person
who
is
involved
in
activities
that
may give rise to a conflict of interest, or who has access to
inside information within the meaning of Article 1(1) of
(c) a record is kept of the personal transaction notified to the
Directive 2003/6/EC of the European Parliament and of the
AIFM or identified by it, including any authorisation or
Council of 28 January 2003 on insider dealing and market
prohibition in connection with such a transaction.
manipulation (market abuse)
( 1 ) or to other confidential
information relating to an AIF or transactions with or for an
AIF, an AIFM shall establish, implement and maintain adequate
arrangements aimed at preventing such relevant persons from:
For the purposes of point (b) of the first subparagraph, where
certain activities of the AIFM are performed by third parties, the
AIFM shall ensure that the entity performing the activity
(a) entering into a personal transaction in financial instruments
maintains a record of personal transactions entered into by
or other assets which fulfils one of the following criteria:
any relevant person covered by paragraph 1 and provides that
information to the AIFM promptly on request.
(i) the transaction is subject to Article 2(1) of Directive
2003/6/EC;
3. Paragraphs 1 and 2 shall not apply to personal trans
actions:
(ii) the transaction involves the misuse or improper
disclosure of confidential information;
(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
(iii) the transaction conflicts or is likely to conflict with an
relevant person or other person for whose account the
obligation of the AIFM under Directive 2011/61/EU;
transaction is executed;
(b) advising or inducing, other than in the proper course of his
(b) in UCITS or AIFs that are subject to supervision under the
employment or contract for services, any other person to
law of a Member State which requires an equivalent level of
enter into a personal transaction referred to in point (a)(i)
risk spreading in their assets, where the relevant person and
and (ii), or that would otherwise constitute a misuse of
any other person for whose account the transactions are
information relating to pending orders;
effected are not involved in the management of that under
taking.
(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
4. For
the
purpose
of
paragraph
1,
a
personal
transaction
opinion to any other person if the relevant person knows,
shall also include a transaction in a financial instrument or
or reasonably ought to know, that as a result of that
other asset effected on behalf or for the account of:
disclosure that other person would or would be likely to
take either of the following steps:
(a) a relevant person;
(i) entering into a personal transaction referred to in point
(a)(i) and (ii) in financial instruments or other assets or
(b) any person with whom the relevant person has a family
that would otherwise constitute a misuse of information
relationship or with whom the relevant person has close
relating to pending orders;
links;
(ii) advising or inducing another person to enter into such a
(c) a person whose relationship with the relevant person is such
personal transaction.
that the relevant person has a direct or indirect material
interest in the outcome of the trade, other than a fee or
( 1 ) OJ L 96, 12.4.2003, p. 16.
commission for the execution of the trade.

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L 83/42
EN
Official Journal of the European Union
22.3.2013
Article 64
Article 65
Recording of portfolio transactions
Recording of subscription and redemption orders
1. AIFMs
shall
make
without
delay
for
each
portfolio
trans
1. AIFMs
shall
take
all
reasonable
steps
to
ensure
that
action relating to AIFs it manages a record of information
received AIF subscriptions and, where relevant, redemption
which is sufficient to reconstruct the details of the order and
orders are recorded without undue delay after receipt of any
the executed transaction or of the agreement.
such order.
2. With
regard
to
portfolio
transactions
on
an
execution 2. That record shall include information on the following:
venue, the record referred to in paragraph 1 shall include the
following information:
(a) the relevant AIF;
(a) the name or other designation of the AIF and of the person
(b) the person giving or transmitting the order;
acting for the account of the AIF;
(c) the person receiving the order;
(b) the asset;
(d) the date and time of the order;
(c) where relevant, the quantity;
(e) the terms and means of payment;
(d) the type of the order or transaction;
(f) the type of the order;
(e) the price;
(g) the date of execution of the order;
(f) for orders, the date and exact time of the transmission of
the order and the name or other designation of the person
(h) the number of units or shares or equivalent amounts
to whom the order was transmitted, or for transactions, the
subscribed or redeemed;
date and exact time of the decision to deal and the
execution of the transaction;
(i) the subscription or, where relevant, redemption price for
each unit or share or, where relevant, the amount of
(g) where applicable, the name of the person transmitting the
capital committed and paid;
order or executing the transaction;
(j) the total subscription or redemption value of the units or
(h) where applicable, the reasons for the revocation of an order;
shares;
(i) for executed transactions the counterparty and execution
(k) the gross value of the order including charges for
venue identification.
subscription, or the net amount after charges for
redemption.
3. With regard to portfolio transactions by the AIF outside
an execution venue, the record referred to in paragraph 1 shall
Information under points (i), (j) and (k) shall be recorded as
include the following information:
soon as available.
(a) the name or other designation of the AIF;
Article 66
Recordkeeping requirements
(b) the legal and other documentation that forms the basis of
1. AIFMs
shall
ensure
that
all
required
records
referred
to
in
the portfolio transaction, including in particular the
Articles 64 and 65 are retained for a period of at least five
agreement as executed;
years.
(c) the price.
However, competent authorities may require AIFMs to ensure
that any or all of those records are retained for a longer period,
4. For
the
purposes
of
paragraphs
2
and
3,
an
execution taking into account the nature of the asset or portfolio trans
venue shall include a systematic internaliser as referred to in
action, where it is necessary to enable the authority to exercise
point (7) of Article 4(1) of Directive 2004/39/EC, a regulated
its supervisory functions under Directive 2011/61/EU.
market as referred to in point (14) of Article 4(1) of that
Directive, a multilateral trading facility as referred to in point
2. Following the termination of the authorisation of an
(15) of Article 4(1) of that Directive, a market maker as referred
AIFM, the records are to be retained at least for the outstanding
to in point (8) of Article 4(1) of that Directive or other liquidity
term of the five-year period referred to in paragraph 1.
provider or an entity that performs a similar function in a third
Competent authorities may require retention for a longer
country to the functions performed by any of the foregoing.
period.

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Where the AIFM transfers its responsibilities in relation to the
variables and how specific strategies determine the relative value
AIF to another AIFM, it shall ensure that the records referred to
of the assets in the portfolio.
in paragraph 1 are accessible to that AIFM.
2. The
valuation
policies
shall
set
out
the
obligations,
roles
3. The
records
shall
be
retained
on
a
medium
that
allows
the and responsibilities of all parties involved in the valuation
storage of information in a way accessible for future reference
process, including the senior management of the AIFM. The
by the competent authorities, and in such a form and manner
procedures shall reflect the organisational structure as set out
that:
in the valuation policies.
The valuation policies and procedures shall address at least the
(a) the competent authorities are able to access them readily
following:
and to reconstitute each key stage of the processing of each
portfolio transaction;
(a) the competence and independence of personnel who are
effectively carrying out the valuation of assets;
(b) corrections or other amendments, and the contents of the
records prior to such corrections or amendments, may be
easily ascertained;
(b) the specific investment strategies of the AIF and the assets
the AIF might invest in;
(c) no other manipulation or alteration is possible.
(c) the controls over the selection of valuation inputs, sources
and methodologies;
SECTION 7
Valuation
(d) the escalation channels for resolving differences in values for
assets;
(Article 19 of Directive 2011/61/EU)
Article 67
(e) the valuation of any adjustments related to the size and
Policies and procedures for the valuation of the assets of
liquidity of positions, or to changes in the market
the AIF
conditions, as appropriate;
1. AIFMs
shall
establish,
maintain,
implement
and
review,
for
each AIF they manage, written policies and procedures that
ensure a sound, transparent, comprehensive and appropriately
(f) the appropriate time for closing the books for valuation
documented valuation process. The valuation policy and
purposes;
procedures shall cover all material aspects of the valuation
process and valuation procedures and controls in respect of
the relevant AIF.
(g) the appropriate frequency for valuing assets.
Without prejudice to requirements under national law and the
3. Where an external valuer is appointed, the valuation
AIF rules and instruments of incorporation, the AIFM shall
policies and procedures shall set out a process for the
ensure that fair, appropriate and transparent valuation method
exchange of information between the AIFM and the external
ologies are applied for the AIFs it manages. The valuation
valuer to ensure that all necessary information required for
policies shall identify and the procedures shall implement the
the purpose of performing the valuation task is provided.
valuation methodologies used for each type of asset in which
the AIF may invest in accordance with applicable national law,
the AIF rules and the instruments of incorporation. The AIFM
The valuation policies and procedures shall ensure that the
shall not invest in a particular type of asset for the first time
AIFM conducts initial and periodic due diligence on third
unless an appropriate valuation methodology or methodologies
parties that are appointed to perform valuation services.
have been identified for that specific type of asset.
4. Where the valuation is performed by the AIFM itself, the
The policies and procedures setting out valuation methodologies
policies shall include a description of the safeguards for the
shall include inputs, models and the selection criteria for pricing
functionally independent performance of the valuation task in
and market data sources. They shall provide that prices shall be
accordance with point (b) of Article 19(4) of Directive
obtained from independent sources whenever possible and
2011/61/EU. Such safeguards shall include measures to
appropriate. The selection process of a particular methodology
prevent or restrain any person from exercising inappropriate
shall include an assessment of the available relevant methodol
influence over the way in which a person carries out
ogies, taking into account their sensitivity to changes in
valuation activities.

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L 83/44
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Official Journal of the European Union
22.3.2013
Article 68
before the AIF engages with a new investment strategy or a new
type of asset that is not covered by the actual valuation policy.
Use of models to value assets
1. If a model is used to value the assets of an AIF, the model
and its main features shall be explained and justified in the
valuation policies and procedures. The reason for the choice
2. The valuation policies and procedures shall outline how a
of the model, the underlying data, the assumptions used in
change to the valuation policy, including a methodology, may
the model and the rationale for using them, and the limitations
be effected and in what circumstances this would be appro
of the model-based valuation shall be appropriately docu
priate. Recommendations for changes to the policies and
mented.
procedures shall be made to the senior management, which
shall review and approve any changes.
2. The
valuation
policies
and
procedures
shall
ensure
that
before being used a model is validated by a person with
3. The
risk
management
function
referred
to
in
Article
38
sufficient expertise who has not been involved in the process
shall review and, if needed, provide appropriate support
of building that model. The validation process shall be appro
concerning the policies and procedures adopted for the
priately documented.
valuation of assets.
3. The
model
shall
be
subject
to
prior
approval
by
the
senior
Article 71
management of the AIFM. Where the model is used by an AIFM
that performs the valuation function itself, the approval by the
Review of individual values of assets
senior management shall be without prejudice to the competent
1. An
AIFM
shall
ensure
that
all
assets
held
by
the
AIF
are
authority’s right to require under Article 19(9) of Directive
fairly and appropriately valued. The AIFM shall document by
2011/61/EU that the model be verified by an external valuer
type of asset the way the appropriateness and fairness of the
or an auditor.
individual values is assessed. The AIFM shall at all times be able
to demonstrate that the portfolios of AIFs it manages are
properly valued.
Article 69
Consistent application of valuation policies and procedures
2. The
valuation
policies
and
procedures
shall
set
out
a
1. An
AIFM
shall
ensure
that
the
valuation
policies
and review process for the individual values of assets, where a
procedures and the designated valuation methodologies are
material risk of an inappropriate valuation exists, such as in
applied consistently.
the following cases:
2. The valuation policies and procedures and the designated
(a) the valuation is based on prices only available from a single
methodologies shall be applied to all assets within an AIF taking
counterparty or broker source;
into account the investment strategy, the type of asset and, if
applicable, the existence of different external valuers.
(b) the valuation is based on illiquid exchange prices;
3. Where no update is required, the policies and procedures
shall be applied consistently over time and valuation sources
and rules shall remain consistent over time.
(c) the valuation is influenced by parties related to the AIFM;
4. The
valuation
procedures
and
the
designated
valuation (d) the valuation is influenced by other entities that may have a
methodologies shall be applied consistently across all AIFs
financial interest in the AIF’s performance;
managed by the same AIFM, taking into account the investment
strategies and the types of asset held by the AIFs, and, if appli
cable, the existence of different external valuers.
(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
Article 70
the instrument;
Periodic review of valuation policies and procedures
1. Valuation policies shall provide for a periodic review of
the policies and procedures, including of the valuation method
(f) the valuation is influenced by one or more individuals
ologies. The review shall be carried out at least annually and
within the AIFM.

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3. The
valuation
policies
and
procedures
shall
describe
the
Article 73
review process including sufficient and appropriate checks and
controls on the reasonableness of individual values. Reason
Professional guarantees
ableness shall be assessed in terms of the existence of an appro
1. External
valuers
shall
provide
upon
request
professional
priate degree of objectivity. Such checks and controls shall
guarantees to demonstrate their ability to perform the
include at least:
valuation function. Professional guarantees to be furnished by
external valuers shall be in written form.
(a) verifying values by a comparison amongst counterparty-
sourced pricings and over time;
2. The
professional
guarantees
shall
contain
evidence
of
the
external valuer’s qualification and capability to perform proper
(b) validating values by comparison of realised prices with
and independent valuation, including, at least, evidence of:
recent carrying values;
(c) considering the reputation, consistency and quality of the
(a) sufficient personnel and technical resources;
valuation source;
(d) a comparison with values generated by a third party;
(b) adequate procedures safeguarding proper and independent
valuation;
(e) an examination and documentation of exemptions;
(c) adequate knowledge and understanding of the investment
(f) highlighting and researching any differences that appear
strategy of the AIF and of the assets the external valuer is
unusual or vary by valuation benchmark established for
appointed to value;
the type of asset;
(d) a sufficiently good reputation and sufficient experience with
(g) testing for stale prices and implied parameters;
valuation.
(h) a comparison with the prices of any related assets or their
hedges;
3. Where
the
external
valuer
is
subject
to
mandatory
profes
sional registration with the competent authority or another
entity of the state where it is established, the professional
(i) a review of the inputs used in model-based pricing, in
guarantee shall contain the name of this authority or entity,
particular of those to which the model’s price exhibits
including the relevant contact information. The professional
significant sensitivity.
guarantee shall indicate clearly the legal or regulatory provisions
or rules of professional conduct to which the external valuer is
4. The
valuation
policies
and
procedures
shall
include
appro
subject.
priate escalation measures to address differences or other
problems in the valuation of assets.
Article 74
Article 72
Frequency of valuation of assets held by open-ended AIFs
Calculation of the net asset value per unit or share
1. The
valuation
of
financial
instruments
held
by
open-ended
AIFs shall take place every time the net asset value per unit or
1. An
AIFM
shall
ensure
that
for
each
AIF
it
manages
the
net share is calculated pursuant to Article 72(1).
asset value per unit or share is calculated on the occasion of
each issue or subscription or redemption or cancellation of
units or shares, but at least once a year.
2. The
valuation
of
other
assets
held
by
open-ended
AIFs
shall take place at least once a year, and every time there is
2. An
AIFM
shall
ensure
that
the
procedures
and
the evidence that the last determined value is no longer fair or
methodology for calculating the net asset value per unit or
proper.
share are fully documented. The calculation procedures and
methodologies and their application shall be subject to regular
verification by the AIFM, and the documentation shall be
SECTION 8
amended accordingly.
Delegation of AIFM functions
3. An
AIFM
shall
ensure
that
remedial
procedures
are
in
(Article 20(1), (2), (4) and (5) of Directive 2011/61/EU)
place in the event of an incorrect calculation of the net asset
Article 75
value.
General principles
4. An
AIFM
shall
ensure
that
the
number
of
units
or
shares When delegating the task of carrying out one or more functions
in issue is subject to regular verification, at least as often as the
on their behalf, AIFMs shall comply, in particular, with the
unit or share price is calculated.
following general principles:

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L 83/46
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Official Journal of the European Union
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(a) the delegation structure does not allow for the circum
delegate shall be instructed by the AIFM how to implement
vention of the AIFM’s responsibilities or liability;
the investment policy and the AIFM shall monitor whether
the delegate complies with it on an ongoing basis;
(b) the obligations of the AIFM towards the AIF and its
investors are not altered as a result of the delegation;
(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 effec
tively and in compliance with applicable laws and regulatory
(c) the conditions with which the AIFM must comply in order
requirements;
to be authorised and carry out activities in accordance with
Directive 2011/61/EU are not undermined;
(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;
(d) the delegation arrangement takes the form of a written
agreement concluded between the AIFM and the delegate;
(l) the AIFM ensures that the delegate establishes, implements
and maintains a contingency plan for disaster recovery and
(e) the AIFM ensures that the delegate carries out the delegated
periodic testing of backup facilities while taking into
functions effectively and in compliance with applicable law
account the types of delegated functions.
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
Article 76
appropriate action if it appears that the delegate cannot
carry out the functions effectively or in compliance with
Objective reasons for delegation
applicable laws and regulatory requirements;
1. The
AIFM
shall
provide
the
competent
authorities
with
a
detailed description, explanation and evidence of the objective
reasons for delegation. When assessing whether the entire
(f) the AIFM supervises effectively the delegated functions and
delegation structure is based on objective reasons within the
manages the risks associated with the delegation. For this
meaning of Article 20(1)(a) of Directive 2011/61/EU the
purpose the AIFM shall have at all times the necessary
following criteria shall be considered:
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
(a) optimising of business functions and processes;
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;
(b) cost saving;
(c) expertise of the delegate in administration or in specific
(g) the AIFM ensures that the continuity and quality of the
markets or investments;
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
(d) access of the delegate to global trading capabilities.
functions to another third party or by performing them
itself;
2. Upon
request
by
the
competent
authorities,
an
AIFM
shall
provide further explanations and provide documents proving
that the entire delegation structure is based on objective
(h) the respective rights and obligations of the AIFM and the
reasons.
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
Article 77
premises. The agreement shall make sure that sub-delegation
Features of the delegate
can take place only with the consent of the AIFM;
1.
A delegate shall have sufficient resources and shall employ
sufficient personnel with the skills, knowledge and expertise
necessary for the proper discharge of the tasks delegated to it
(i) where it concerns portfolio management, the delegation is
and have an appropriate organisational structure supporting the
in accordance with the investment policy of the AIF. The
performance of the delegated tasks.

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2. Persons
who
effectively
conduct
the
activities
delegated
by accordance with point (d) of Article 20(1) of Directive
the AIFM shall have sufficient experience, appropriate theoretical
2011/61/EU:
knowledge and appropriate practical experience in the relevant
functions. Their professional training and the nature of the
functions they have performed in the past shall be appropriate
(a) a written arrangement shall exist between the competent
for the conduct of the business.
authorities of the home Member State of the AIFM and
the supervisory authorities of the undertaking to which
delegation is conferred;
3. Persons
who
effectively
conduct
the
business
of
the
delegate shall not be deemed of sufficiently good repute if
they have any negative records relevant both for the assessment
(b) with respect to the undertaking to which delegation is
of good repute and for the proper performance of the delegated
conferred, the arrangement referred to in point (a) allows
tasks or if there is other relevant information which affects their
the competent authorities to:
good reputation. Such negative records shall include but shall
not be limited to criminal offences, judicial proceedings or
administrative sanctions relevant for the performance of the
(i) obtain on request the relevant information necessary to
delegated tasks. Special attention shall be given to any
carry out their supervisory tasks as provided for in
offences related to financial activities, including but not
Directive 2011/61/EU;
limited to obligations relating to the prevention of money laun
dering, dishonesty, fraud or financial crime, bankruptcy or
(ii) obtain access to the documents relevant for the
insolvency. Other relevant information shall include information
performance of their supervisory duties maintained in
such as that indicating that the person is not trustworthy or
the third country;
honest.
(iii) carry out on-site inspections on the premises of the
Where the delegate is regulated in respect of its professional
undertaking to which functions were delegated. The
services within the Union, factors referred to in the first
practical procedures for on-site inspections shall be
subparagraph shall be deemed to be satisfied when the
detailed in the written arrangement;
relevant supervisory authority has reviewed the criterion of
‘good repute’ within the authorisation procedure unless there
is evidence to the contrary.
(iv) receive as soon as possible information from the super
visory authority in the third country for the purpose of
investigating apparent breaches of the requirements of
Article 78
Directive 2011/61/EU and its implementing measures;
Delegation of portfolio or risk management
1. This
Article
shall
apply
where
the
delegation
of
portfolio
(v) cooperate in enforcement in accordance with the
management or risk management is concerned.
national and international law applicable to the super
visory authority of the third country and the EU
competent authorities in cases of breach of the
2. The following entities shall be deemed to be authorised or
requirements of Directive 2011/61/EU and its imple
registered for the purpose of asset management and subject to
menting measures and relevant national law.
supervision in accordance with point (c) of Article 20(1) of
Directive 2011/61/EU:
Article 79
(a) management companies authorised under Directive
Effective supervision
2009/65/EC;
A delegation shall be deemed to prevent the effective super
vision of the AIFM where:
(b) investment firms authorised under Directive 2004/39/EC to
perform portfolio management;
(a) the AIFM, its auditors and the competent authorities do not
have effective access to data related to the delegated
(c) credit institutions authorised under Directive 2006/48/EC
functions and to the business premises of the delegate, or
having the authorisation to perform portfolio management
the competent authorities are not able to exercise those
under Directive 2004/39/EC;
rights of access;
(d) external AIFMs authorised under Directive 2011/61/EU;
(b) the delegate does not cooperate with the competent auth
orities of the AIFM in connection with the delegated func
tions;
(e) third country entities authorised or registered for the
purpose of asset management and effectively supervised
by a competent authority in those countries.
(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
3. Where
the
delegation
is
conferred
on
a
third-country
of the delegated functions with the requirements of
undertaking the following conditions shall be fulfilled in
Directive 2011/61/EU and its implementing measures.

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L 83/48
EN
Official Journal of the European Union
22.3.2013
Article 80
(d) the separation is ensured throughout the whole hierarchical
structure of the delegate up to its governing body and is
Conflicts of interest
reviewed by the governing body and, where it exists, the
1. In
accordance
with
point
(b)
of
Article
20(2)
of
Directive
supervisory function of the delegate.
2011/61/EU, the criteria to assess whether a delegation conflicts
with the interests of the AIFM or the investor in the AIF shall at
least include:
3. Potential
conflicts
of
interest
shall
be
deemed
properly
identified, managed, monitored and disclosed to the investors
of the AIF only if:
(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;
(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
(b) where the delegate and an investor in the relevant AIF are
AIF or the investors in the AIF. The AIFM shall ensure
members of the same group or have any other contractual
that the delegate has procedures in place corresponding to
relationship, the extent to which this investor controls the
those required under Articles 31 to 34;
delegate or has the ability to influence its actions;
(b) the AIFM ensures that the delegate discloses potential
(c) the likelihood that the delegate makes a financial gain, or
conflicts of interest as well as the procedures and
avoids a financial loss, at the expense of the AIF or the
measures to be adopted by it in order to manage such
investors in the AIF;
conflicts of interest to the AIFM which shall disclose them
to the AIF and the investors in the AIF in accordance with
Article 36.
(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;
Article 81
Consent and notification of sub-delegation
(e) the likelihood that the delegate has a financial or other
1. A
subdelegation
shall
become
effective
where
the
AIFM
incentive to favour the interest of another client over the
demonstrates its consent to it in writing.
interests of the AIF or the investors in the AIF;
(f) the likelihood that the delegate receives or will receive from
A general consent given in advance by the AIFM shall not be
a person other than the AIFM an inducement in relation to
deemed consent in accordance with point (a) of Article 20(4) of
the collective portfolio management activities provided to
Directive 2011/61/EU.
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.
2. Pursuant
to
point
(b)
of
Article
20(4)
of
Directive
2011/61/EU, the notification shall contain details of the
delegate, the name of the competent authority where the sub-
2. The
portfolio
or
risk
management
function
may
be delegate is authorised or registered, the delegated functions, the
considered to be functionally and hierarchically separated
AIFs affected by the sub-delegation, a copy of the written
from other potentially conflicting tasks only where the
consent by the AIFM and the intended effective date of the
following conditions are satisfied:
sub-delegation.
(a) persons engaged in portfolio management tasks are not
engaged in the performance of potentially conflicting tasks
Article 82
such as controlling tasks;
Letter-box entity and AIFM no longer considered to be
managing an AIF
(b) persons engaged in risk management tasks are not engaged
1. An AIFM shall be deemed a letter-box entity and shall no
in the performance of potentially conflicting tasks such as
longer be considered to be the manager of the AIF at least in
operating tasks;
any of the following situations:
(c) persons engaged in risk management functions are not
(a) the AIFM no longer retains the necessary expertise and
supervised by those responsible for the performance of
resources to supervise the delegated tasks effectively and
operating tasks;
manage the risks associated with the delegation;

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/49
(b) the AIFM no longer has the power to take decisions in key
CHAPTER IV
areas which fall under the responsibility of the senior
management or no longer has the power to perform
DEPOSITARY
senior management functions in particular in relation to
SECTION 1
the implementation of the general investment policy and
investment strategies;
Particulars of the written contract
(Article 21(2) of Directive 2011/61/EU)
(c) the AIFM loses its contractual rights to inquire, inspect, have
Article 83
access or give instructions to its delegates or the exercise of
such rights becomes impossible in practice;
Contractual particulars
1. A
contract
by
which
the
depositary
is
appointed
in
accordance with Article 21(2) of Directive 2011/61/EU shall
(d) the AIFM delegates the performance of investment
be drawn up between the depositary on the one hand and
management functions to an extent that exceeds by a
the AIFM and, as the case may be, or the AIF on the other
substantial margin the investment management functions
hand and shall include at least the following elements:
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
(a) a description of the services to be provided by the
criteria:
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;
(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
(b) a description of the way in which the safe-keeping and
return profile of the AIF;
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
(ii) the importance of the assets under delegation for the
description shall include country lists and procedures for
achievement of the investment goals of the AIF;
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
(iii) the geographical and sectoral spread of the AIF’s invest
offering documents regarding the assets in which the AIF
ments;
may invest;
(iv) the risk profile of the AIF;
(c) a statement that the depositary’s liability shall not be
affected by any delegation of its custody functions unless
(v) the type of investment strategies pursued by the AIF or
it has discharged itself of its liability in accordance with
the AIFM acting on behalf of the AIF;
Article 21(13) or (14) of Directive 2011/61/EU;
(vi) the types of tasks delegated in relation to those
(d) the period of validity and the conditions for amendment
retained; and
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 appli
(vii) the configuration of delegates and their sub-delegates,
cable, the procedures by which the depositary should send
their geographical sphere of operation and their
all relevant information to its successor;
corporate structure, including whether the delegation
is conferred on an entity belonging to the same
corporate group as the AIFM.
(e) the confidentiality obligations applicable to the parties in
accordance with relevant laws and regulations. These
2. The
Commission
shall
monitor,
in
the
light
of
market
obligations shall not impair the ability of competent auth
developments, the application of this Article. The Commission
orities to have access to the relevant documents and
shall review the situation after two years and shall, if necessary,
information;
take appropriate measures to further specify the conditions
under which the AIFM shall be deemed to have delegated its
functions to the extent that it becomes a letter box entity and
(f) the means and procedures by which the depositary
can no longer be considered to be manager of the AIF.
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
3. ESMA
may
issue
guidelines
to
ensure
a
consistent
AIFM and the AIF to have a timely and accurate
assessment of delegation structures across the Union.
overview of the accounts of the AIF;

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L 83/50
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Official Journal of the European Union
22.3.2013
(g) the means and procedures by which the AIFM or the AIF
informed when any new account is opened in the name of
transmits all relevant information or ensures the depositary
the AIF or in the name of the AIFM acting on behalf of the
has access to all the information it needs to fulfil its duties,
AIF;
including the procedures ensuring that the depositary will
receive information from other parties appointed by the
AIF or the AIFM;
(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
(h) information on whether or not the depositary, or a third
AIFM by the depositary when it launches such a procedure;
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;
(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
(i) the
procedures
to
be
followed
when
an
amendment
to
the
2011/61/EU in a specific jurisdiction;
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;
(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
(j) all necessary information that needs to be exchanged
may be, or AIFM or by way of on-site visits;
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-
(r) the procedures ensuring that the AIFM and, as the case may
purchase of units or shares of the AIF;
be, or the AIF can review the performance of the depositary
in respect of the depositary’s contractual obligations.
(k) all necessary information that needs to be exchanged
between the AIF, the AIFM, a third party acting on
2. The
details
of
the
means
and
procedures
set
out
in
points
behalf of the AIF or the AIFM and the depositary related
(a) to (r) shall be described in the contract appointing the
to the performance of the depositary’s oversight and
depositary or any subsequent amendment to the contract.
control function;
3. The contract appointing the depositary or the subsequent
(l) where
the
parties
to
the
contract
envisage
appointing
third
amendment to the contract referred to in paragraph 2 shall be
parties to carry out parts of their respective duties, a
done in writing.
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
4. The
parties
may
agree
to
transmit
all
or
part
of
the
selected third party;
information that flows between them electronically provided
that proper recording of such information is ensured.
(m) information on the tasks and responsibilities of the parties
5. Unless
otherwise
provided
by
national
law,
there
shall
be
to the contract in respect of obligations relating to the
no obligation to enter into a specific written agreement for each
prevention of money laundering and the financing of
AIF; it shall be possible for the AIFM and the depositary to enter
terrorism;
into a framework agreement listing the AIFs managed by that
AIFM to which the agreement applies.
(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
6. The
national
law
applicable
to
the
contract
appointing
the
AIF and the procedures ensuring that the depositary will be
depositary and any subsequent agreement shall be specified.

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/51
SECTION 2
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
General criteria for assessing the prudential regulation and
the AIF, an AIFM shall ensure that the depositary is provided,
supervision applicable to depositaries in third countries
upon commencement of its duties and on an ongoing basis,
(Article 21(6)(b) of Directive 2011/61/EU)
with all relevant information it needs to comply with its
obligations.
Article 84
Criteria for assessing prudential regulation and supervision
applicable to a depositary in a third country
2. In order to have access to all information regarding the
AIF’s cash accounts and have a clear overview of all the AIF’s
For the purposes of point (b) of Article 21(6) of Directive
cash flows, a depositary shall at least:
2011/61/EU, the effectiveness of prudential regulation and
supervision applicable to a depositary in a third country
whether it has the same effect as that provided for under
Union law and its effective enforcement shall be assessed
(a) be informed, upon its appointment, of all existing cash
against the following criteria:
accounts opened in the name of the AIF, or in the name
of the AIFM acting on behalf of the AIF;
(a) the depositary is subject to authorisation and ongoing
supervision by a public competent authority with adequate
(b) be informed at the opening of any new cash account by the
resources to fulfil its tasks;
AIF or by the AIFM acting on behalf of the AIF;
(b) the law of the third country lay down criteria for authori
(c) be provided with all information related to the cash
sation as a depositary that have the same effect as those laid
accounts opened at a third party entity, directly by those
down for access to the business of credit institutions or
third parties.
investment firms within the Union;
(c) the capital requirements imposed on the depositary in the
Article 86
third country have the same effect as those applicable in the
Monitoring of the AIF’s cash flows
Union depending on whether the depositary is of the same
nature as an Union credit institution or investment firm;
A depositary shall ensure effective and proper monitoring of the
AIF’s cash flows and in particular it shall at least:
(d) the operating conditions applicable to a depositary in the
third country have the same effect as those laid down for
(a) ensure that all cash of the AIF is booked in accounts opened
credit institutions or investment firms within the Union
with entities referred to in points (a), (b) and (c) of
depending on the nature of the depositary;
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
(e) the requirements regarding the performance of the specific
prudential regulation and supervision that has the same
duties as AIF depositary established in the law of the third
effect as Union law, is effectively enforced and is in
country have the same effect as those provided for in
accordance with the principles laid down in Article 16 of
Article 21(7) to (15) of Directive 2011/61/EU and its imple
Directive 2006/73/EC;
menting measures and the relevant national law;
(b) implement effective and proper procedures to reconcile all
(f) the law of the third country provides for the application of
cash flow movements and perform such reconciliations on a
sufficiently dissuasive enforcement actions in the event of
daily basis or, in case of infrequent cash movements, when
breach by the depositary of the requirements and conditions
such cash flow movements occur;
referred to points (a) to (e).
SECTION 3
(c) implement appropriate procedures to identify at the close of
business day significant cash flows and in particular those
Depositary functions, due diligence duties and segregation
which could be inconsistent with the AIF’s operations;
obligation
(Articles 21(7)-(9) and 21(11)(c) and (d)(iii) of Directive
2011/61/EU)
(d) review periodically the adequacy of those procedures
including through a full review of the reconciliation
Article 85
process at least once a year and ensuring that the cash
Cash monitoring — general requirements
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
1. Where
a
cash
account
is
maintained
or
opened
at
an
depositary acting on behalf of the AIF are included in the
entity referred to in Article 21(7) of Directive 2011/61/EU in
reconciliation process;

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L 83/52
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Official Journal of the European Union
22.3.2013
(e) monitor on an ongoing basis the outcomes of the recon
3. Financial instruments belonging to the AIF or the AIFM
ciliations and actions taken as a result of any discrepancies
acting on behalf of the AIF which are able to be physically
identified by the reconciliation procedures and notify the
delivered to the depositary shall always be included in the
AIFM if an irregularity has not been rectified without
scope of the custody duties of the depositary.
undue delay and also the competent authorities if the
situation cannot be clarified and, as the case may be, or
corrected;
Article 89
Safekeeping duties with regard to assets held in custody
(f) check the consistency of its own records of cash positions
1. In
order
to
comply
with
the
obligations
laid
down
in
with those of the AIFM. The AIFM shall ensure that all
point (a) of Article 21(8) of Directive 2011/61/EU with
instructions and information related to a cash account
respect to financial instruments to be held in custody, a
opened with a third party are sent to the depositary, so
depositary shall ensure at least that:
that the depositary is able to perform its own reconciliation
procedure.
(a) the financial instruments are properly registered in
accordance with Article 21(8)(a)(ii) of Directive
Article 87
2011/61/EU;
Duties regarding subscriptions
An AIFM shall ensure that the depositary is provided with
(b) records and segregated accounts are maintained in a way
information about payments made by or on behalf of
that ensures their accuracy, and in particular record the
investors upon the subscription of units or shares of an AIF
correspondence with the financial instruments and cash
at the close of each business day when the AIFM, the AIF or a
held for AIFs;
party acting on behalf of it, such as a transfer agent receives
such payments or an order from the investor. The AIFM shall
ensure that the depositary receives all other relevant information
it needs to make sure that the payments are then booked in
(c) reconciliations are conducted on a regular basis between the
cash accounts opened in the name of the AIF or in the name of
depositary’s internal accounts and records and those of any
the AIFM acting on behalf of the AIF or in the name of the
third party to whom custody functions are delegated in
depositary in accordance with the provisions of Article 21(7) of
accordance with Article 21(11) of Directive 2011/61/EU;
Directive 2011/61/EU.
(d) due care is exercised in relation to the financial instruments
Article 88
held in custody in order to ensure a high standard of
investor protection;
Financial instruments to be held in custody
1. Financial instruments belonging to the AIF or to the AIFM
acting on behalf of the AIF which are not able to be physically
delivered to the depositary shall be included in the scope of the
(e) all relevant custody risks throughout the custody chain are
custody duties of the depositary where all of the following
assessed and monitored and the AIFM is informed of any
requirements are met:
material risk identified;
(f) adequate organisational arrangements are introduced to
(a) they are transferable securities including those which embed
minimise the risk of loss or diminution of the financial
derivatives as referred to in the last subparagraph of
instruments, or of rights in connection with those
Article 51(3) of Directive 2009/65/EC and Article 10 of
financial instruments as a result of fraud, poor adminis
Commission Directive 2007/16/EC
( 1 ), money market
tration, inadequate registering or negligence;
instruments or units of collective investment undertakings;
(g) the AIF’s ownership right or the ownership right of the
(b) they are capable of being registered or held in an account
AIFM acting on behalf of the AIF over the assets is verified.
directly or indirectly in the name of the depositary.
2. Where
a
depositary
has
delegated
its
custody
functions
to
2. Financial instruments which, in accordance with a third party in accordance with Article 21(11) of Directive
applicable national law, are only directly registered in the
2011/61/EU, it shall remain subject to the requirements of
name of the AIF with the issuer itself or its agent, such as a
points (b) to (e) of paragraph 1 of this Article. It shall also
registrar or a transfer agent, shall not be held in custody.
ensure that the third party complies with the requirements of
points (b) to (g) of paragraph 1 of this Article and the segre
( 1 ) OJ L 79, 20.3.2007, p. 11.
gation obligations laid down in Article 99.

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EN
22.3.2013 Official
Journal
of
the
European
Union L
83/53
3. A
depositary’s
safe-keeping
duties
as
referred
to
in
para
undue delay to documentary evidence of each transaction and
graphs 1 and 2 shall apply on a look-through basis to
position from the relevant third party. The AIFM shall ensure
underlying assets held by financial and, as the case may be,
that the relevant third party provides the depositary without
or legal structures controlled directly or indirectly by the AIF
undue delay with certificates or other documentary evidence
or the AIFM acting on behalf of the AIF.
every time there is a sale or acquisition of assets or a
corporate action resulting in the issue of financial instruments
and at least once a year.
The requirement referred to in the first subparagraph shall not
apply to fund of funds structures or master-feeder structures
where the underlying funds have a depositary which keeps in
3. In
any
event,
a
depositary
shall
ensure
that
the
AIFM
has
custody the assets of these funds.
and implements appropriate procedures to verify that the assets
acquired by the AIF it manages are appropriately registered in
the name of the AIF or in the name of the AIFM acting on
Article 90
behalf of the AIF, and to check the consistency between the
positions in the AIFMs records and the assets for which the
Safekeeping duties regarding ownership verification and
depositary is satisfied that the AIF or the AIFM acting on
record keeping
behalf of the AIF holds the ownership. The AIFM shall ensure
1. An AIFM shall provide the depositary, upon that all instructions and relevant information related to the AIF’s
commencement of its duties and on an ongoing basis, with
assets are sent to the depositary, so that the depositary is able to
all relevant information the depositary needs in order to
perform its own verification or reconciliation procedure.
comply with its obligations pursuant to point (b) of Article 21(8)
of Directive 2011/61/EU, and ensure that the depositary is
provided with all relevant information by third parties.
4. A
depositary
shall
set
up
and
implement
an
escalation
procedure for situations where an anomaly is detected
including notification of the AIFM and of the competent auth
2. In order to comply with the obligations referred to in
orities if the situation cannot be clarified and, as the case may
point (b) of Article 21(8) of Directive 2011/61/EU, a depositary
be, or corrected.
shall at least:
5. A
depositary’s
safe-keeping
duties
referred
to
in
para
(a) have access without undue delay to all relevant information
graphs 1 to 4 shall apply on a look-through basis to underlying
it needs in order to perform its ownership verification and
assets held by financial and, as the case may be, or legal
record-keeping duties, including relevant information to be
structures established by the AIF or by the AIFM acting on
provided to the depositary by third parties;
behalf of the AIF for the purposes of investing in the underlying
assets and which are controlled directly or indirectly by the AIF
or by the AIFM acting on behalf of the AIF.
(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
The requirement referred to in the first subparagraph shall not
assets;
apply to fund of funds structures and master-feeder structures
where the underlying funds have a depositary which provides
ownership verification and record-keeping functions for this
(c) maintain a record of those assets for which it is satisfied
fund’s assets.
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:
Article 91
Reporting obligations for prime brokers
(i) register in its record, in the name of the AIF, assets,
1. Where
a
prime
broker
has
been
appointed,
the
AIFM
shall
including their respective notional amounts, for which
ensure that from the date of that appointment an agreement is
it is satisfied that the AIF or the AIFM acting on behalf
in place pursuant to which the prime broker is required to
of the AIF holds the ownership;
make available to the depositary in particular a statement in a
durable medium which contains the following information:
(ii) be able to provide at any time a comprehensive and up-
to-date inventory of the AIF’s assets, including their
(a) the values of the items listed in paragraph 3 at the close of
respective notional amounts.
each business day;
For the purpose of point (c)(ii) of paragraph 2, the depositary
(b) details of any other matters necessary to ensure that the
shall ensure that there are procedures in place so that registered
depositary of the AIF has up-to-date and accurate
assets cannot be assigned, transferred, exchanged or delivered
information about the value of assets the safekeeping of
without the depositary or its delegate having been informed of
which has been delegated in accordance with Article 21(11)
such transactions and the depositary shall have access without
of Directive 2011/61/EU.

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2. The
statement
referred
to
in
paragraph
1
shall
be
made
Article 92
available to the depositary of the AIF no later than the close of
the next business day to which it relates.
Oversight duties — general requirements
1. At
the
time
of
its
appointment,
the
depositary
shall
assess
the risks associated with the nature, scale and complexity of the
3. The
items
referred
to
in
point
(a)
of
paragraph
1
shall AIF’s strategy and the AIFM’s organisation in order to devise
include:
oversight procedures which are appropriate to the AIF and the
assets in which it invests and which are then implemented and
applied. Such procedures shall be regularly updated.
(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.
2. In performing its oversight duties under Article 21(9) of
The value of each of the following:
Directive 2011/61/EU, a depositary shall perform ex-post
controls and verifications of processes and procedures that are
under the responsibility of the AIFM, the AIF or an appointed
(i) cash loans made to the AIF and accrued interest;
third party. The depositary shall in all circumstances ensure that
an appropriate verification and reconciliation procedure exists
which is implemented and applied and frequently reviewed. The
(ii) securities to be redelivered by the AIF under open
AIFM shall ensure that all instructions related to the AIF’s assets
short positions entered into on behalf of the AIF;
and operations are sent to the depositary, so that the depositary
is able to perform its own verification or reconciliation
procedure.
(iii) current settlement amounts to be paid by the AIF
under any futures contracts;
3. A depositary shall establish a clear and comprehensive
escalation procedure to deal with situations where potential
(iv) short sale cash proceeds held by the prime broker in
irregularities are detected in the course of its oversight duties,
respect of short positions entered into on behalf of the
the details of which shall be made available to the competent
AIF;
authorities of the AIFM upon request.
(v) cash margins held by the prime broker in respect of
4. An AIFM shall provide the depositary, upon
open futures contracts entered into on behalf of the
commencement of its duties and on an ongoing basis, with
AIF. This obligation is in addition to the obligations
all relevant information it needs in order to comply with its
under Articles 87 and 88;
obligations pursuant to Article 21(9) of Directive 2011/61/EU
including information to be provided to the depositary by third
parties. The AIFM shall particularly ensure that the depositary is
(vi) mark-to-market close-out exposures of any OTC trans
able to have access to the books and perform on-site visits on
action entered into on behalf of the AIF;
premises of the AIFM and of those of any service provider
appointed by the AIF or the AIFM, such as administrators or
external valuers and, as the case may be, or to review reports
(vii) total secured obligations of the AIF against the prime
and statements of recognised external certifications by qualified
broker; and
independent auditors or other experts in order to ensure the
adequacy and relevance of the procedures in place.
(viii) all other assets relating to the AIF;
Article 93
(b) the value of other assets referred to in point (b) of
Duties regarding subscription and redemptions
Article 21(8) of Directive 2011/61/EU held as collateral
In order to comply with point (a) of Article 21(9) of Directive
by the prime broker in respect of secured transactions
2011/61/EU the depositary shall meet the following require
entered into under a prime brokerage agreement;
ments:
(c) the value of the assets where the prime broker has exercised
a right of use in respect of the AIF’s assets;
(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:
(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
(i) reconcile the subscription orders with the subscription
behalf of the AIF in accordance with Article 21(7) of
proceeds, and the number of units or shares issued with
Directive 2011/61/EU.
the subscription proceeds received by the AIF;

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(ii) reconcile the redemption orders with the redemptions
Article 95
paid, and the number of units or shares cancelled with
the redemptions paid by the AIF;
Duties regarding the carrying out of the AIFM’s
instructions
In order to comply with point (c) of Article 21(9) of Directive
(iii) verify on a regular basis that the reconciliation
2011/61/EU the depositary shall at least:
procedure is appropriate.
For the purpose of points (i), (ii) and (iii), the depositary
(a) set up and implement appropriate procedures to verify that
shall in particular regularly check the consistency between
the AIF and AIFM comply with applicable laws and regu
the total number of units or shares in the AIF’s accounts
lations and with the AIF’s rules and instruments of incor
and the total number of outstanding shares or units that
poration. In particular, the depositary shall monitor the
appear in the AIF’s register.
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
(2) A depositary shall ensure and regularly check that the
the AIF;
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
(b) set up and implement an escalation procedure where the
procedures are effectively implemented.
AIF has breached one of the limits or restrictions referred to
in point (a).
(3) The frequency of the depositary’s checks shall be consistent
with the frequency of subscriptions and redemptions.
Article 96
Duties regarding the timely settlement of transactions
Article 94
1. In
order
to
comply
with
point
(d)
of
Article
21(9)(of
Duties regarding the valuation of shares/units
Directive 2011/61/EU the depositary shall set up a procedure
to detect any situation where a consideration related to the
1. In
order
to
comply
with
point
(b)
of
Article
21(9)
of operations involving the assets of the AIF or of the AIFM
Directive 2011/61/EU the depositary shall:
acting on behalf of the AIF is not remitted to the AIF within
the usual time limits, notify the AIFM and, where the situation
has not been remedied, request the restitution of the financial
(a) verify on an ongoing basis that appropriate and consistent
instruments from the counterparty where possible.
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
2. Where
transactions
do
not
take
place
on
a
regulated
market, the usual time limits shall be assessed with regard to
the conditions attached to the transactions (OTC derivative
(b) ensure that the valuation policies and procedures are effec
contracts or investments in real estate assets or in privately
tively implemented and periodically reviewed.
held companies).
2. A
depositary’s
procedures
shall
be
conducted
at
a
Article 97
frequency consistent with the frequency of the AIF’s valuation
policy as defined in Article 19 of Directive 2011/61/EU and its
Duties related to the AIF’s income distribution
implementing measures.
1. In
order
to
comply
with
point
(e)
of
Article
21(9)(of
Directive 2011/61/EU the depositary shall:
3. Where
a
depositary
considers
that
the
calculation
of
the
value of the shares or units of the AIF has not been performed
in compliance with applicable law or the AIF rules or with
(a) ensure that the net income calculation, once declared by the
Article 19 of Directive 2011/61/EU, it shall notify the AIFM
AIFM, is applied in accordance with the AIF rules,
and, as the case may be, or the AIF and ensure that timely
instruments of incorporation and applicable national law;
remedial action is taken in the best interest of the investors
in the AIF.
(b) ensure that appropriate measures are taken where the AIF’s
4. Where
an
external
valuer
has
been
appointed,
a
depositary
auditors have expressed reserves on the annual financial
shall check that the external valuer’s appointment is in
statements. The AIF or the AIFM acting on behalf of the
accordance with Article 19 of Directive 2011/61/EU and its
AIF shall provide the depositary with all information on
implementing measures.
reserves expressed on the financial statements; and

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(c) check the completeness and accuracy of dividend payments,
the third party continues to comply with the criteria provided
once they are declared by the AIFM, and, where relevant, of
for in paragraph 1 of this Article and the conditions set out in
the carried interest.
point (d) of Article 21(11) of Directive 2011/61/EU. To this end
the depositary shall at least:
2. Where
a
depositary
considers
that
the
income
calculation
has not been performed in compliance with applicable law or
(a) monitor the third party’s performance and its compliance
with the AIF rules or instruments of incorporation, it shall
with the depositary’s standards;
notify the AIFM and, as the case may be, or the AIF and
ensure that timely remedial action has been taken in the best
interest of the AIF’s investors.
(b) ensure that the third party exercises a high standard of care,
prudence and diligence in the performance of its custody
Article 98
tasks and in particular that it effectively segregates the
financial instruments in line with the requirements of
Due diligence
Article 99;
1. In
order
to
fulfil
the
obligations
laid
down
in
point
(c)
of
Article 21(11) of Directive 2011/61/EU a depositary shall
implement and apply an appropriate documented due
(c) review the custody risks associated with the decision to
diligence procedure for the selection and ongoing monitoring
entrust the assets to the third party and without undue
of the delegate. That procedure shall be reviewed regularly, at
delay notify the AIF or AIFM of any change in those
least once a year, and made available upon request to
risks. That assessment shall be based on information
competent authorities.
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
2. When
selecting
and
appointing
a
third
party,
to
whom
shall be increased. If the depositary becomes aware that the
safekeeping functions are delegated in accordance with
segregation of assets is no longer sufficient to ensure
Article 21(11) of Directive 2011/61/EU, a depositary shall
protection from insolvency because of the law of the
exercise all due skill, care and diligence to ensure that entrusting
country where the third party is located, it shall immediately
financial instruments to this third party provides an adequate
inform the AIFM.
standard of protection. It shall at least:
4. Where
the
third
party
further
delegates
any
of
the
(a) assess the regulatory and legal framework, including country
functions delegated to it, the conditions and criteria set out in
risk, custody risk and the enforceability of the third party’s
paragraphs 1, 2 and 3 shall apply mutatis mutandis.
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
5. A depositary shall monitor compliance with Article 21(4)
the AIF. If a depositary becomes aware that the segregation
of Directive 2011/61/EU.
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;
6. A depositary shall devise contingency plans for each
market in which it appoints a third party in accordance with
Article 21(11) of Directive 2011/61/EU to perform safekeeping
(b) assess whether the third party’s practice, procedures and
duties. Such a contingency plan shall include the identification
internal controls are adequate to ensure that the financial
of an alternative provider, if any.
instruments of the AIF or of the AIFM acting on behalf of
the AIF are subject to a high standard of care and
protection;
7. A
depositary
shall
take
measures,
including
termination
of
the contract, which are in the best interest of the AIF and its
(c) assess whether the third party’s financial strength and repu
investors where the delegate no longer complies with the
tation are consistent with the tasks delegated. That
requirements.
assessment shall be based on information provided by the
potential third party as well as other data and information,
where available;
Article 99
Segregation obligation
(d) ensure that the third party has the operational and tech
1. Where safekeeping functions have been delegated wholly
nological capabilities to perform the delegated custody tasks
or partly to a third party, a depositary shall ensure that the third
with a satisfactory degree of protection and security.
party, to whom safe-keeping functions are delegated pursuant to
Article 21(11) of Directive 2011/61/EU, acts in accordance with
the segregation obligation laid down in point (iii) of
3. A
depositary
shall
exercise
all
due
skill,
care
and
diligence Article 21(11)(d) of Directive 2011/61/EU by verifying that
in the periodic review and ongoing monitoring to ensure that
the third party:

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(a) keeps such records and accounts as are necessary to enable
SECTION 4
it at any time and without delay to distinguish assets of the
depositary’s AIF clients from its own assets, assets of its
Loss of financial instruments, liability discharge and objective
other clients, assets held by the depositary for its own
reasons
account and assets held for clients of the depositary
(Article 21(12) and (13) of Directive 2011/61/EU)
which are not AIFs;
Article 100
Loss of a financial instrument held in custody
(b) maintains records and accounts in a way that ensures their
1. A
loss
of
a
financial
instrument
held
in
custody
within
the
accuracy, and in particular their correspondence to the
meaning of Article 21(12) of Directive 2011/61/EU shall be
assets safe-kept for the depositary’s clients;
deemed to have taken place when, in relation to a financial
instrument held in custody by the depositary or by a third
party to whom the custody of financial instruments held in
custody has been delegated, any of the following conditions is
met:
(c) conducts, on a regular basis, reconciliations between its
internal accounts and records and those of the third party
to whom it has delegated safe-keeping functions in
accordance with the third subparagraph of Article 21(11)
(a) a stated right of ownership of the AIF is demonstrated not
of Directive 2011/61/EU;
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;
(d) 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 instru
(c) the AIF is definitively unable to directly or indirectly dispose
ments, fraud, poor administration, inadequate record-
of the financial instrument.
keeping or negligence;
2. The ascertainment by the AIFM of the loss of a financial
instrument shall follow a documented process readily available
(e) Where the third party is an entity referred to in points (a),
to the competent authorities. Once a loss is ascertained, it shall
(b) and (c) of Article 18(1) of Directive 2006/73/EC which
be notified immediately to investors in a durable medium.
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
3. A
financial
instrument
held
in
custody
shall
not
be
ensure that the AIF’s cash is held in an account or
deemed to be lost within the meaning of Article 21(12) of
accounts in accordance with Article 21(7) of Directive
Directive 2011/61/EU where an AIF is definitively deprived of
2011/61/EU.
its right of ownership in respect of a particular instrument, but
this instrument is substituted by or converted into another
financial instrument or instruments.
2. Where
a
depositary
has
delegated
its
custody
functions
to
a third party in accordance with Article 21(11) of Directive
4. In
the
event
of
insolvency
of
the
third
party
to
whom
the
2011/61/EU, the monitoring of the third party’s compliance
custody of financial instruments held in custody has been
with its segregation obligations shall ensure that the financial
delegated, the loss of a financial instrument held in custody
instruments belonging to its clients are protected from any
shall be ascertained by the AIFM as soon as one of the
insolvency of that third party. If, according to the applicable
conditions listed in paragraph 1 is met with certainty.
law, including in particular the law relating to property or
insolvency, the requirements laid down in paragraph 1 are
not sufficient to achieve that objective, the depositary shall
There shall be certainty as to whether any of the conditions set
assess what additional arrangements are to be made in order
out in paragraph 1 is fulfilled at the latest at the end of the
to minimise the risk of loss and maintain an adequate standard
insolvency proceedings. The AIFM and the depositary shall
of protection.
monitor closely the insolvency proceedings to determine
whether all or some of the financial instruments entrusted to
the third party to whom the custody of financial instruments
has been delegated are effectively lost.
3. Paragraphs
1,
and
2
shall
apply mutatis mutandis when the
third party, to whom safe-keeping functions are delegated in
accordance with Article 21(11) of Directive 2011/61/EU, has
5. A
loss
of
a
financial
instrument
held
in
custody
shall
be
decided to delegate all or part of its safe-keeping functions to
ascertained irrespective of whether the conditions listed in
another third party pursuant to the third subparagraph of
paragraph 1 are the result of fraud, negligence or other inten
Article 21(11) of Directive 2011/61/EU.
tional or non-intentional behaviour.

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Article 101
(a) natural events beyond human control or influence;
Liability discharge under Article 21(12) of Directive
2011/61/EU
(b) the adoption of any law, decree, regulation, decision or
1. A depositary’s liability under the second subparagraph of
order by any government or governmental body,
Article 21(12) of Directive 2011/61/EU shall not be triggered
including any court or tribunal, which impacts the
provided the depositary can prove that all the following
financial instruments held in custody;
conditions are met:
(c) war, riots or other major upheavals.
(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
3. The
requirements
referred
to
in
points
(a)
and
(b)
of
accordance with point (a) of Article 21(8) of Directive
paragraph 1 shall not be deemed to be fulfilled in cases such
2011/61/EU has been delegated;
as an accounting error, operational failure, fraud, failure to
apply the segregation requirements at the level of the depositary
or a third party to whom the custody of financial instruments
held in custody in accordance with point (a) of Article 21(8) of
(b) the depositary could not have reasonably prevented the
Directive 2011/61/EU has been delegated.
occurrence of the event which led to the loss despite
adopting all precautions incumbent on a diligent depositary
as reflected in common industry practice;
4. This
Article
shall
apply mutatis mutandis to the delegate
when the depositary has contractually transferred its liability in
accordance with Article 21(13) and (14) of Directive
(c) despite rigorous and comprehensive due diligence, the
2011/61/EU.
depositary could not have prevented the loss.
Article 102
This condition may be deemed to be fulfilled when the
Objective reasons for the depositary to contract a
depositary has ensured that the depositary and the third party
discharge of liability
to whom the custody of financial instruments held in custody
1. The
objective
reasons
for
contracting
a
discharge
pursuant
in accordance with point (a) of Article 21(8) of Directive
to Article 21(13) of Directive 2011/61/EU shall be:
2011/61/EU has been delegated have taken all of the
following actions:
(a) limited to precise and concrete circumstances characterising
a given activity;
(i) establishing, implementing, applying and maintaining
structures and procedures and insuring expertise that are
adequate and proportionate to the nature and complexity
(b) consistent with the depositary’s policies and decisions.
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
2. The
objective
reasons
shall
be
established
each
time
the
custody;
depositary intends to discharge itself of liability.
(ii) assessing on an ongoing basis whether any of the events
3. The
depositary
shall
be
deemed
to
have
objective
reasons
identified under point (i) presents a significant risk of loss
for contracting the discharge of its liability in accordance with
of a financial instrument held in custody;
Article 21(13) of Directive 2011/61/EU when the depositary
can demonstrate that it had no other option but to delegate
its custody duties to a third party. In particular, this shall be the
case where:
(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
(a) the law of a third country requires that certain financial
believed to present a significant risk of loss of a financial
instruments be held in custody by a local entity and local
instrument held in custody.
entities exist that satisfy the delegation criteria laid down in
Article 21(11) of Directive 2011/61/EU; or
2. The
requirements
referred
to
in
points
(a)
and
(b)
of
(b) the AIFM insists on maintaining an investment in a
paragraph 1 may be deemed to be fulfilled in the following
particular jurisdiction despite warnings by the depositary
circumstances:
as to the increased risk this presents.

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CHAPTER V
(i) ‘payables’, including, but not limited to, amounts
payable in relation to the purchase of investments or
TRANSPARENCY REQUIREMENTS, LEVERAGE, RULES
redemption of units or shares in the AIF and amounts
RELATING TO THIRD COUNTRIES AND EXCHANGE OF
due to brokers and ‘accrued expenses’, including, but
INFORMATION ON THE POTENTIAL CONSEQUENCES OF
not limited to, liabilities for management fees, advisory
AIFM ACTIVITY
fees, performance fees, interest and other expenses
SECTION 1
incurred in the course of operations of the AIF;
Annual report, disclosure to investors and reporting to
competent authorities
(ii) ‘borrowings’, including, but not limited to, amounts
(Article 22(2)(a) to (e) and Articles 23(4) and 24(1)of Directive
payable to banks and other counterparties;
2011/61/EU)
Article 103
(iii) ‘other liabilities’, including, but not limited to, amounts
General principles for the annual report
due to counterparties for collateral on return of
All information provided in the annual report, including the
securities loaned, deferred income and dividends and
information specified in this Section, shall be presented in a
distributions payable;
manner that provides materially relevant, reliable, comparable
and clear information. The annual report shall contain the
information investors need in relation to particular AIF struc
(c) ‘net assets’, representing the residual interest in the assets of
tures.
the AIF after deducting all its liabilities.
Article 104
2. The
income
and
expenditure
account
shall
contain
at
least
the following elements and underlying line items:
Content and format of the balance sheet or statement of
assets and liabilities and of the income and expenditure
account
(a) ‘income’, representing any increases in economic benefits
1. The
balance
sheet
or
statement
of
assets
and
liabilities
during the accounting period in the form of inflows or
shall contain at least the following elements and underlying
enhancements of assets or decreases of liabilities that
line items in accordance with point (a) of Article 22(2) of
result in increases in net assets other than those relating
Directive 2011/61/EU:
to contributions from investors. Income shall be sub-clas
sified according to the following line items:
(a) ‘assets’ comprising the resources controlled by the AIF as a
result of past events and from which future economic
(i) ‘investment income’, which can be further sub-classified
benefits are expected to flow to the AIF. Assets shall be
as follows:
sub-classified according to the following line items:
— ‘dividend income’, relating to dividends on equity
(i) ‘investments’, including, but not limited to, debt and
investments to which the AIF is entitled,
equity securities, real estate and property and deriva
tives;
— ‘interest income’, relating to interest on debt
investments and on cash to which the AIF is
(ii) ‘cash and cash equivalents’, including, but not limited
entitled,
to, cash-in-hand, demand deposits and qualifying short-
term liquid investments;
— ‘rental income’, relating to rental income from
property investments to which the AIF is entitled;
(iii) ‘receivables’, including, but not limited to, amounts
receivable in relation to dividends and interest,
investments sold, amounts due from brokers and ‘pre
(ii) ‘realised gains on investments’, representing gains on
payments’, including, but not limited to, amounts paid
the disposal of investments;
in advance in relation to expenses of the AIF;
(iii) ‘unrealised gains on investments’, representing gains on
(b) ‘liabilities’, comprising present obligations of the AIF arising
the revaluation of investments; and
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
(iv) ‘other income’ including, but not limited to, fee income
according to the following line items:
from securities loaned and from miscellaneous sources.

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(b) ‘expenses’, representing decreases in economic benefits
leads to different trading patterns, or because an accounting
during the accounting period in the form of outflows or
standard has required a change in presentation.
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
7.
With respect to the content and format of the income and
according to the following line items:
expenditure account set out to in Annex IV, all items of income
and expense shall be recognised in a given period in the income
and expenditure account unless an accounting standard adopted
— ‘investment advisory or management fees’, representing
by the AIF requires otherwise.
contractual fees due to the advisor or AIFM,
Article 105
— ‘other expenses’, including, but not limited to, adminis
tration fees, professional fees, custodian fees and interest.
Report on the activities of the financial year
Individual items, if material in nature, should be
1. The
report
on
activities
of
the
financial
year
shall
include
disclosed separately,
at least:
— ‘realised loss on investments’, representing loss on the
(a) an overview of investment activities during the year or
disposal of investments,
period, and an overview of the AIF’s portfolio at year-end
or period end;
— ‘unrealised loss on investments’, representing loss on the
revaluation of investments;
(b) an overview of AIF performance over the year or period;
(c) ‘net income or expenditure’, representing the excess of
income over expenditure or expenditure over income, as
(c) material changes as defined below in the information listed
applicable.
in Article 23 of Directive 2011/61/EU not already present
in the financial statements.
3. The
layout,
nomenclature
and
terminology
of
line
items
shall be consistent with the accounting standards applicable to
2. The
report
shall
include
a
fair
and
balanced
review
of
the
or the rules adopted by the AIF, and shall comply with legis
activities and performance of the AIF, containing also a
lation applicable where the AIF is established. Such line items
description of the principal risks and investment or economic
may be amended or extended to ensure compliance with the
uncertainties that the AIF might face.
above.
3. To the extent necessary for an understanding of the AIF’s
4. Additional
line
items,
headings
and
subtotals
shall
be investment activities or its performance, the analysis shall
presented when such presentation is relevant to the under
include both financial and non-financial key performance indi
standing of an AIF’s financial position in the balance sheet or
cators relevant to that AIF. The information provided in the
statement of assets and liabilities or an AIF’s financial
report shall be consistent with national rules where the AIF is
performance in the content and format of the income and
established.
expenditure account. Where relevant additional information
shall be presented in the notes to the financial statements.
The purpose of the notes shall be to provide narrative
4. The information in the report on the activities of the
descriptions or disaggregation of items presented in the
financial year shall form part of the directors or investment
primary statements and information about items that do not
managers report in so far as this is usually presented
qualify for recognition in these statements.
alongside the financial statements of the AIF.
5. Each
material
class
of
similar
items
shall
be
presented
Article 106
separately. Individual items, if material, shall be disclosed.
Materiality shall be assessed under the requirements of the
Material changes
accounting framework adopted.
1. Any
changes
in
information
shall
be
deemed
material
within the meaning of point (d) of Article 22(2) of Directive
2011/61/EU if there is a substantial likelihood that a reasonable
6. The
presentation
and
classification
of
items
in
the
balance investor, becoming aware of such information, would
sheet or statement of assets and liabilities shall be retained from
reconsider its investment in the AIF, including because such
one reporting or accounting period to the next unless it is
information could impact an investor’s ability to exercise its
apparent that another presentation or classification would be
rights in relation to its investment, or otherwise prejudice the
more appropriate, as when a shift in the investment strategy
interests of one or more investors in the AIF.

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EN
22.3.2013 Official
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European
Union L
83/61
2. In
order
to
comply
with
point
(d)
of
Article
22(2)
of investors to assess the incentives created. In accordance with the
Directive 2011/61/EU, AIFMs shall assess changes in the
principles set out in Annex II to Directive 2011/61/EU, AIFMs
information referred to in Article 23 of Directive 2011/61/EU
shall disclose at least the information necessary to provide an
during the financial year in accordance with paragraph 1 of this
understanding of the risk profile of the AIF and the measures it
Article.
adopts to avoid or manage conflicts of interest.
3. Information shall be disclosed in line with the
Article 108
requirements of the accounting standards and accounting
rules adopted by the AIF together with a description of any
Periodic disclosure to investors
potential or anticipated impact on the AIF and, as the case
may be, or investors in the AIF. Additional disclosures shall
1. The
information
referred
to
in
Article
23(4)
of
Directive
be made when compliance with specific requirements of the
2011/61/EU shall be presented in a clear and understandable
accounting standards and accounting rules may be insufficient
way.
to enable investors to understand the impact of the change.
2. When
disclosing
the
percentage
of
the
AIF’s
assets
which
4. Where
the
information
required
to
be
disclosed
in are subject to special arrangements arising from their illiquid
accordance with paragraph 1 is not covered by the accounting
nature in accordance with Article 23(4)(a) of Directive
standards applicable to an AIF, or its accounting rules, a
2011/61/EU the AIFM shall:
description of the material change shall be provided together
with any potential or anticipated impact on the AIF and, as the
case may be, or investors in the AIF.
(a) provide an overview of any special arrangements in place
including whether they relate to side pockets, gates or other
Article 107
similar arrangements, the valuation methodology applied to
assets which are subject to such arrangements and how
Remuneration disclosure
management and performance fees apply to these assets;
1. When
information
required
by
point
(e)
of
Article
22(2)
of Directive 2011/61/EU is given, it shall be specified whether
or not the total remuneration relates to any of the following:
(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
(a) the total remuneration of the entire staff of the AIFM, indi
prospectus and offering document and — as a minimum —
cating the number of beneficiaries;
at the same time as the annual report is made available in
accordance with Article 22(1) of Directive 2011/61/EU.
(b) the total remuneration of those staff of the AIFM who are
fully or partly involved in the activities of the AIF, indicating
The percentage of the AIF’s assets which are subject to special
the number of beneficiaries;
arrangements as defined in Article 1(5) shall be calculated as the
net value of those assets subject to special arrangements divided
by the net asset value of the AIF concerned.
(c) the proportion of the total remuneration of the staff of the
AIFM attributable to the AIF, indicating the number of
beneficiaries.
3. For
any
new
arrangements
for
managing
the
liquidity
of
the AIF in accordance with point (b) of Article 23(4) of
Directive 2011/61/EU AIFMs shall:
2. Where
relevant,
the
total
remuneration
for
the
financial
year shall also mention the carried interest paid by the AIF.
(a) for each AIF that they manage which is not an unleveraged
3. Where information is disclosed at the level of the AIFM,
closed-ended AIF, notify to investors whenever they make
an allocation or breakdown shall be provided in relation to each
changes to the liquidity management systems and
AIF, in so far as this information exists or is readily available. As
procedures referred to in Article 16(1) of Directive
part of this disclosure, a description of how the allocation or
2011/61/EU which are material in accordance with
breakdown has been provided shall be included.
Article 106(1);
4. AIFMs
shall
provide
general
information
relating
to
the (b) immediately notify investors where they activate gates, side
financial and non-financial criteria of the remuneration
pockets or similar special arrangements or where they
policies and practices for relevant categories of staff to enable
decide to suspend redemptions;

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L 83/62
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Official Journal of the European Union
22.3.2013
(c) provide an overview of the changes to arrangements
methods and any right of re-use of collateral or any guarantee
concerning liquidity, whether or not these are special
under the leveraging arrangements shall be provided without
arrangements. Where relevant, the terms under which
undue delay and shall include:
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
(a) the original and revised maximum level of leverage
line’ or ‘pro-rating’ on gates and suspensions shall be
calculated in accordance with Articles 7 and 8, whereby
included.
the level of leverage shall be calculated as the relevant
exposure divided by the net asset value of the AIF;
4. The disclosure of the risk profile of the AIF in accordance
with point (c) of Article 23(4) of Directive 2011/61/EU shall
(b) the nature of the rights granted for the reuse of collateral;
outline:
(a) measures to assess the sensitivity of the AIF’s portfolio to
(c) the nature of guarantees granted; and
the most relevant risks to which the AIF is or could be
exposed;
(d) details of changes in any service providers which relating to
one of the items above.
(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.
3. Information
on
the
total
amount
of
leverage
calculated
in
accordance with the gross and commitment methods employed
by the AIF shall be disclosed as part of the AIF’s periodic
The information shall be disclosed as part of the AIF’s periodic
reporting to investors, as required by the AIF’s rules or
reporting to investors, as required by the AIF’s rules or
instruments of incorporation, or at the same time as the
instruments of incorporation or at the same time as the
prospectus and offering document and at least at the same
prospectus and offering document and — at a minimum —
time as the annual report is made available according to
at the same time as the annual report is made available in
Article 22(1) of Directive 2011/61/EU.
accordance with Article 22(1) of Directive 2011/61/EU.
Article 110
5. The
risk
management
systems
employed
by
the
AIFM
in
accordance with point (c) of Article 23(4) of Directive
Reporting to competent authorities
2011/61/EU shall outline the main features of the risk
1. In order to comply with the requirements of the second
management systems employed by the AIFM to manage the
subparagraph of Article 24(1) and of point (d) of Article 3(3) of
risks to which each AIF it manages is or may be exposed. In
Directive 2011/61/EU, an AIFM shall provide the following
the case of a change the disclosure shall include the information
information when reporting to competent authorities:
relating to the change and its anticipated impact on the AIF and
its investors.
(a) the main instruments in which it is trading, including a
The information shall be disclosed as part of the AIF’s periodic
break-down of financial instruments and other assets,
reporting to investors, as required by the AIF’s rules or
including the AIF’s investment strategies and their
instruments of incorporation or at the same time as the
geographical and sectoral investment focus;
prospectus and offering document and — as a minimum —
at the same time as the annual report is made available or made
public in accordance with Article 22(1) of Directive
(b) the markets of which it is a member or where it actively
2011/61/EU.
trades;
Article 109
(c) the diversification of the AIF’s portfolio, including, but not
Regular disclosure to investors
limited to, its principal exposures and most important
1. The
information
referred
to
in
Article
23(5)
of
Directive
concentrations.
2011/61/EU shall be presented in a clear and understandable
way.
The information shall be provided as soon as possible and not
later than one month after the end of the period referred to in
2. Information
on
changes
to
the
maximum
level
of
leverage paragraph 3. Where the AIF is a fund of funds this period may
calculated in accordance with the gross and commitment
be extended by the AIFM by 15 days.

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EN
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Journal
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the
European
Union L
83/63
2. For each of the EU AIFs they manage and for each of the
do not exceed EUR 1 billion, for each of the EU AIFs they
AIFs they market in the Union, AIFMs shall provide to the
manage and for each of the AIFs they market in the Union;
competent authorities of their home Member State the
following information in accordance with Article 24(2) of
Directive 2011/61/EU:
(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
(a) the percentage of the AIF’s assets which are subject to
the EU AIFs they manage, and for each of the AIFs they
special arrangements as defined in Article 1(5) of this Regu
market in the Union;
lation arising from their illiquid nature as referred to in
point (a) of Article 23(4) of Directive 2011/61/EU;
(c) on a quarterly basis by AIFMs which are subject to the
requirements referred to in point (a) of this paragraph, for
(b) any new arrangements for managing the liquidity of the
each AIF whose assets under management, including any
AIF;
assets acquired through use of leverage, in total exceed
EUR 500 million, in respect of that AIF;
(c) the risk management systems employed by the AIFM to
manage the market risk, liquidity risk, counterparty risk
(d) on an annual basis by AIFMs in respect of each unleveraged
and other risks including operational risk;
AIF under their management which, in accordance with its
core investment policy, invests in non-listed companies and
issuers in order to acquire control.
(d) the current risk profile of the AIF, including:
4. By way of derogation from paragraph 3, the competent
authority of the home Member State of the AIFM may deem it
(i) the market risk profile of the investments of the AIF,
appropriate and necessary for the exercise of its function to
including the expected return and volatility of the AIF in
require all or part of the information to be reported on a
normal market conditions;
more frequent basis.
(ii) the liquidity profile of the investments of the AIF,
including the liquidity profile of the AIF’s assets, the
5. AIFMs
managing
one
or
more
AIFs
which
they
have
profile of redemption terms and the terms of
assessed to be employing leverage on a substantial basis in
financing provided by counterparties to the AIF;
accordance with Article 111 of this Regulation shall provide
the information required under Article 24(4) of Directive
2011/61/EU at the same time as that required under
paragraph 2 of this Article.
(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
6. AIFMs
shall
provide
the
information
specified
under
para
graphs 1, 2 and 5 in accordance with the pro-forma reporting
template set out in the Annex IV.
(f) the results of periodic stress tests, under normal and excep
tional circumstances, performed in accordance with point
(b) of Article 15(3) and the second subparagraph of
7. In accordance with point (a) of Article 42(1) of Directive
Article 16(1) of Directive 2011/61/EU.
2011/61/EU, for non-EU AIFMs, any reference to the competent
authorities of the home Member State shall mean the
competent authority of the Member State of reference.
3.
The information referred to in paragraphs 1 and 2 shall be
reported as follows:
Article 111
Use of leverage on a ‘substantial basis’
(a) on a half-yearly basis by AIFMs managing portfolios of AIFs
1. Leverage shall be considered to be employed on a
whose assets under management calculated in accordance
substantial basis for the purposes of Article 24(4) of Directive
with Article 2 in total exceed the threshold of either EUR
2011/61/EU when the exposure of an AIF as calculated
100 million or EUR 500 million laid down in points (a) and
according to the commitment method under Article 8 of this
(b) respectively of Article 3(2) of Directive 2011/61/EU but
Regulation exceeds three times its net asset value.

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L 83/64
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2. Where
the
requirements
referred
to
in
paragraph
1
of
this (d) criteria, such as the size of an AIF or several AIFs and any
Article are fulfilled, AIFMs shall provide information in
related impact in a particular market sector, concentrations
accordance with Article 24(4) of Directive 2011/61/EU to the
of risks in particular markets in which the AIF or several
competent authorities of their home Member States in
AIFs are investing, any contagion risk to other markets from
accordance with the principles laid down in Article 110(3) of
a market where risks have been identified, liquidity issues in
this Regulation.
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.
SECTION 2
AIFMs managing leveraged AIFs
(Article 25(3) of Directive 2011/61/EU)
SECTION 3
Article 112
Specific rules relating to third countries
Restrictions on the management of AIFs
(Articles 34(1), 35(2) 36(1), Articles 37(7)(d), 40(2)(a) and
Article 42(1) of Directive 2011/61/EU)
1. The
principles
laid
down
in
this
Article
shall
apply
in
order to specify the circumstances in which competent auth
Article 113
orities exercise their power to impose leverage limits or other
General requirements
restrictions on AIFMs.
1. Cooperation arrangements shall cover all possible situ
ations and actors envisaged in Chapter VII of Directive
2011/61/EU taking into account the location of the AIFM,
2. When
assessing
the
information
received
under
Articles the location of the AIF and the activity of the AIFM.
7(3), 15(4), 24(4) or 24(5) of Directive 2011/61/EU, a
competent authority shall take into account the extent to
which the use of leverage by an AIFM or its interaction with
a group of AIFMs or other financial institutions can contribute
2. Cooperation
arrangements
shall
take
a
written
form.
to the build-up of systemic risk in the financial system or risks
creating disorderly markets.
3. Cooperation
arrangements
shall
establish
the
specific
framework for consultation, cooperation and exchange of
information for supervisory and enforcement purposes
3. Competent
authorities
shall
take
into
account
at
least
the between EU competent authorities and third country super
following aspects in their assessment:
visory authorities.
(a) the circumstances in which the exposure of an AIF or
4. Cooperation
arrangements
shall
include
a
specific
clause
several AIFs including those exposures resulting from
providing for the transfer of information received by a Union
financing or investment positions entered into by the
competent authority from a supervisory authority in a third
AIFM for its own account or on behalf of the AIFs could
country to other Union competent authorities, to ESMA or to
constitute an important source of market, liquidity or
the ESRB as required under Directive 2011/61/EU.
counterparty risk to a financial institution;
Article 114
(b) the circumstances in which the activities of an AIFM or its
interaction with, for example, a group of AIFMs or other
Mechanisms, instruments and procedures
financial institutions, in particular with respect to the types
1. Cooperation
arrangements
shall
establish
the
mechanisms,
of assets in which the AIF invests and the techniques
instruments and procedures required for enabling Union
employed by the AIFM through the use of leverage,
competent authorities to have access to all information
contribute or could contribute to a downward spiral in
necessary for the performance of their duties under Directive
the prices of financial instruments or other assets in a
2011/61/EU.
manner that threatens the viability of such financial
instruments or other assets;
2. Cooperation
arrangements
shall
establish
the
mechanisms,
instruments and procedures required for enabling on-site
(c) criteria such as the type of AIF, the investment strategy of
inspections to be carried out where required for the exercise
the AIFM with respect to the AIFs concerned, the market
of the Union competent authority’s duties under Directive
conditions in which the AIFM and the AIF operate and any
2011/61/EU. On-site inspections shall be carried out directly
likely pro-cyclical effects that could result from the
by the Union competent authority or by the third country
imposition by the competent authorities of limits or other
competent authority with the assistance of the Union
restrictions on the use of leverage by the AIFM concerned;
competent authority.

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3. Cooperation
arrangements
shall
establish
the
mechanisms,
of individual AIFMs or several AIFMs collectively for the
instruments and procedures required for the third country
stability of systemically relevant financial institutions and
competent authority to assist the Union competent authorities
the orderly functioning of markets on which the AIFMs
where it is necessary to enforce Union legislation and national
are active;
implementing legislation breached by an entity established in
the third country, in accordance with the national and inter
(b) the information received from third country authorities
national law applicable to that authority.
whenever this is necessary for the monitoring of systemic
risks;
Article 115
Data protection
(c) the analysis of the information referred to in points (a) and
(b) and the assessment of any situation in which the
Cooperation arrangements shall ensure that the transfer to third
activities of one or more supervised AIFMs or of one or
countries of data and the analysis of data takes place only in
more AIFs under their management are considered to
accordance with Article 52 of Directive 2011/61/EU.
contribute to the build-up of systemic risk in the financial
system, to the risk of disorderly markets or to risks for the
SECTION 4
long-term growth of the economy;
Exchange of information on the potential systemic
consequences of AIFM activity
(d) the measures taken, when the activity of one or more
supervised AIFMs or of one or more AIFs under their
(Article 53(1) of Directive 2011/61/EU)
management present systemic risk or jeopardise the
orderly functioning of the markets on which they are active.
Article 116

Exchange of information on the potential systemic
CHAPTER VI
consequences of AIFM activity
FINAL PROVISIONS
For the purposes of Article 53 of Directive 2011/61/EU, the
competent authorities of the Member States responsible for the
Article 117
authorisation or supervision of AIFMs under that Directive shall
Entry into force
exchange with the competent authorities of other Member
States, and with ESMA and the ESRB at least:
This Regulation shall enter into force on the twentieth day
following that of its publication in the Official Journal of the
(a) the information received pursuant to Article 110, whenever
European Union.
such information may be relevant for monitoring and
responding to the potential implications of the activities
It shall apply from 22 July 2013.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 19 December 2012.
For the Commission
The President
José Manuel BARROSO

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L 83/66
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22.3.2013
ANNEX I
Methods of increasing the exposure of an AIF
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 circum
stances, 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.

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EN
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of
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European
Union L
83/67
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.

---

L 83/68
EN
Official Journal of the European Union
22.3.2013
ANNEX II
Conversion methodologies for derivative instruments
1. The following conversion methods shall be applied to the non-exhaustive list below of standard derivatives:
(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.

---

EN
22.3.2013 Official
Journal
of
the
European
Union L
83/69
2. The following conversion methods shall be applied to the non-exhaustive list below of financial instruments which
embed derivatives:
— Convertible bonds: Number of referenced shares * market value of underlying referenced shares * delta
— Credit linked notes: Market value of underlying reference asset(s)
— Partly paid securities: Number of shares/bonds * market value of underlying referenced instruments
— Warrants and rights: Number of shares/bonds * market value of underlying referenced instrument * delta
3. List of examples of non-standard derivatives with the related commitment methodology being used:
— 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:
vega notional
variance notional 2 strike
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 cap 2 ] (with volatility cap)
whereby: (current) variance t is a function of the squared realised and implied volatility, more precisely:
t
T – t
current variance
2
2

t

T realized volatility 0,t T implied volatility t,T
— 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.
4. Barrier (knock-in knock-out) options
Number of contracts * notional contract size * market value of underlying equity share * delta

---

L 83/70
EN
Official Journal of the European Union
22.3.2013
ANNEX III
Duration netting rules
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:
duration
Equivalent underlying asset position

FDI
duration target CV derivative
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.

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22.3.2013 Off
ANNEX IV
Reporting Templates: AIFM
(Articles 3(3)(d) and 24 of Directive 2011/61/EU)
AIFM-specific information to be reported
EN
(Articles 3(3)(d) and 24(1) of Directive 2011/61/EU)


Most important market/in
Second most important
strument
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
icial
3 Values
of
assets
under
management
for
all
In base currency (if the same for all AIFs) In
EUR
AIFs managed, calculated as set out in
Jour
Article 2
nal
Please provide official name, location and jurisdiction of markets
of
the
European
Detailed list of all AIFs which the AIFM manages
to be provided on request for the end of each quarter
Union
(Article 24(3) of Directive 2011/61/EU)
AIF type
(Hedge Fund, Private
Name of the AIF Fund
identification
code Inception
date
Equity, Real Estate,
NAV EU
AIF:
Yes/No
Fund of Funds,
Other (*))
L
(*) If Other please indicate the strategy that best describes the AIF type.
83/71
Monetary values should be reported in the base currency of the AIF.

---

L 83/72
Reporting Templates: AIF
(Articles 3(3)(d) and 24 of Directive 2011/61/EU)
AIF-specific information to be provided
(Articles 3(3)(d) and 24(1) of Directive 2011/61/EU)
Data Type
Reported Data
EN

Identification of the AIF
1 AIF
name
EU AIF: yes/no
2 Fund
manager
EU AIFM: yes/no
(Legal name and standard code, where available)
3 Fund
identification
codes,
as applicable
Off
icial
4 Inception
date
of
the
AIF
Jour
5 Domicile
of
the
AIF
nal
of
6 Identification
of
prime
broker(s)
of
the
AIF
the
(Legal name and standard code, where available)
European
7
Base currency of the AIF according to ISO 4217 and assets under management calculated as set out in Article 2 Currency Total
AuM
Union
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
22.3.2013
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.)

---

22.3.2013 Off
Data Type
Reported Data
Indicate the strategy that best
Share in NAV
describe the AIF’s strategy
(%)
EN
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
icial
Relative Value: Convertible Bond Arbitrage
Jour
Relative Value: Volatility Arbitrage
nal
Event Driven: Distressed/Restructuring
of
Event Driven: Risk Arbitrage/Merger Arbitrage
the
Event Driven: Equity Special Situations
European
Credit Long/Short
Credit Asset Based Lending
Macro
Union
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
L
83/73
Other private equity fund strategy

---

L 83/74
Data Type
Reported Data
c) Real Estate Strategies
(Complete this question if you selected ‘Real Estate’ as the predominant AIF type in question 1.)
EN

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
Off
icial
d) Fund of Fund Strategies
Jour
(Complete this question if you selected ‘Fund of Funds’ as the predominant AIF type in question 1.)
nal
of
the
European
Indicate the ‘fund of fund’ strategy that best describe the AIFs strategies
Fund of hedge funds
Fund of private equity
Union
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
22.3.2013
Infrastructure fund
Other fund

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22.3.2013 Off
Data Type
Reported Data
Principal exposures and most important concentration
11 Main
instruments
in
which
the
AIF
is
trading
EN
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
icial
Jour
5th most important instrument
nal
of
12 Geographical
focus
the
European
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
Union
Asia and Pacific (other than Middle East)
Europe (EEA)
Europe (other than EEA)
Middle East
North America
South America
L
83/75
Supranational/multiple region

---

L 83/76
Data Type
Reported Data
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
% of gross
Long/short position Counterparty
(as calculated under Article 3)
market
(where relevant)
value
EN

1st
2nd
3rd
4th
Off
5th
icial
Jour
6th
nal
7th
of
the
8th
European
9th
Union
10th
14 5
most
important
portfolio
concentrations:
Type of asset/liability Name/description
of
the
market Value
of
aggregate
exposure
% of gross
Long/short position Counterparty
(as calculated under Article 3)
market
(where relevant)
value
1st
2nd
3rd
22.3.2013
4th
5th

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22.3.2013 Off
Data Type
Reported Data
15 Typical
deal/position
size
[Select one]
(Complete this question if you selected as your predominant AIF type ‘private equity fund’ in question 1)
Very small
Small
Lower mid market
EN
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
icial
Jour
nal
Please enter name and identifier (e.g. MIC code) where available, of market with second greatest exposure
of
the
European
Please enter name and identifier (e.g. MIC code) where available, of market with third greatest exposure
Union
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:
L
83/77
Monetary values should be reported in the base currency of the AIF.

---

L 83/78
AIF-specific information to be provided to competent authorities
(Article 24(2) of Directive 2011/61/EU)
Data Type
Reported Data
Identification of the AIF
1 AIF
name
EU AIF: yes/no
EN

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
Off
5 Base
currency
of
the
AIF according to ISO 4217 and assets under management calculated as set out in Article 2 Currency Total
AuM
icial
6
Identification of prime broker(s) of the AIF
Jour
7 Jurisdictions
of
the
three
main
funding
sources
nal
of
Instruments Traded and Individual Exposures
the
8
Individual Exposures in which it is trading and the main categories of assets in which the AIF invested as at the reporting date:
European
a) Securities
Long Value Short
Value
Cash and cash equivalents
Union
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
22.3.2013
Corporate bonds not issued by financial institutions
Of which are:
Investment grade

---

22.3.2013 Off
Data Type
Reported Data
Non-investment grade
Corporate bonds issued by financial institutions
EN

Of which are:
Investment grade
Non-investment grade
Sovereign bonds
icial
Of which are:
EU bonds with a 0-1 year term to maturity
Jour
nal
EU bonds with a 1 + year term to maturity
of
the
Non-G10 bonds with a 0-1 year term to maturity
European
Non-G10 bonds with a 1 + year term to maturity
Union
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
L
83/79
Non-investment grade

---

L 83/80
Data Type
Reported Data
Loans
Of which are:
Leveraged loans
EN
Other loans

Structured/securitised products
Of which are:
ABS
RMBS
Off
icial
CMBS
Jour
nal
Agency MBS
of
the
ABCP
European
CDO/CLO
Union
Structured certificates
ETP
Other
b) Derivatives
Long Value Short
Value
Equity derivatives
Of which are:
Related to financial institutions
22.3.2013
Other equity derivatives

---

22.3.2013 Off
Data Type
Reported Data
Fixed income derivatives
CDS
Of which are:
Single name financial CDS
EN

Single name sovereign CDS
Single name other CDS
Index CDS
Exotic (incl. credit default tranche)
Gross Value
icial
Foreign exchange (for investment purposes)
Jour
Interest rate derivatives
nal
Long Value Short
Value
of
the
Commodity derivatives
European
Of which are:
Energy
Union
Of which:
— Crude oil
— Natural gas
— Power
Precious metals
Of which: Gold
Other commodities
Of which:
— Industrial metals
L
83/81
— Livestock

---

L 83/82
Data Type
Reported Data
— Agricultural products
Other derivatives
EN
c) Physical (Real/Tangible) Assets
Long Value

Physical: Real estate
Of which are:
Residential real estate
Commercial real estate
Off
Physical: Commodities
icial
Physical: Timber
Jour
nal
Physical: Art and collectables
of
the
Physical: Transportation assets
European
Physical: Other
Union
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
22.3.2013
ETF

---

22.3.2013 Off
Data Type
Reported Data
Other CIU
e) Investments in other asset classes
Long Value Short
Value
EN
Total Other

9 Value
of
turnover
in
each
asset
class
over
the
reporting
months
a) Securities
Market Value
Cash and cash equivalents
Listed equities
icial
Jour
Unlisted equities
nal
of
Corporate bonds not issued by financial institutions
the
European
Of which are:
Investment grade
Non-investment grade
Union
Corporate bonds issued by financial institutions
Sovereign bonds
Of which are:
EU Member State bonds
Non-EU Member State bonds
Convertible bonds
Loans
L
83/83
Structured/securitised products

---

L 83/84
Data Type
Reported Data
b) Derivatives
Notional Value Market
Value
Equity derivatives
EN
Fixed income derivatives

CDS
Foreign exchange (for investment purposes)
Interest rate derivatives
Off
Commodity derivatives
icial
Jour
Other derivatives
nal
of
c) Physical (Real/Tangible) Assets
Market Value
the
European
Physical: Commodities
Physical: Real estate
Union
Physical: Timber
Physical: Art and collectables
Physical: Transportation assets
Physical: Other
d) Collective investment undertakings
e) Other asset classes
22.3.2013
Currency of Exposures

---

22.3.2013 Off
Data Type
Reported Data
10 Total
long
and
short
value
of
exposures
(before
currency
hedging)
by
the
following
currency
groups: Long
Value Short
Value
AUD
EN

CAD
CHF
EUR
icial
GBP
Jour
nal
HKD
of
the
JPY
European
USD
Union
Other
11 Typical
deal/position
size
[Select one]
(Complete this question if you selected as your predominant AIF type ‘private equity fund’ above)
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)
L
Mega cap
83/85
(EUR 1 bn and greater)

---

L 83/86
Data Type
Reported Data
12 Dominant
Influence
(see
Article
1
of
Council
Directive
83/349/EEC
(OJ
L
193,
18.7.1983,
p.
1))
Name %
Voting
Rights Transaction
Type
(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)
EN

Risk Profile of the AIF
1. Market Risk Profile
Off
13 Expected
annual
investment
return/IRR
in
normal
market
conditions
(in
%)
icial
Jour
Net Equity Delta
nal
Net DV01:
of
the
European
Net CS01:
2. Counterparty Risk Profile
Union
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
22.3.2013
OTC

---

22.3.2013 Off
Data Type
Reported Data
c) Estimated % (in terms of trade volumes) of derivatives transactions cleared:
%
(leave blank if no derivatives traded)
By a CCP
EN

Bilaterally
d) Estimated % (in terms of market value) of repo trades cleared:
%
(leave blank if no repos traded)
By a CCP
icial
Bilaterally
Jour
nal
Tri-party
of
the
15 Value
of
collateral
and
other
credit
support
that
the
AIF
has
posted
to
all
counterparties
European
a) Value of collateral posited in the form of cash and cash equivalents
Union
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 %
Name Total
Exposure
of the NAV of the AIF
L
83/87
Counterparty 1

---

L 83/88
Data Type
Reported Data
Counterparty 2
Counterparty 3
Counterparty 4
EN

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
Name Total
Exposure
percentage of the NAV of the AIF.
Counterparty 1
Off
Counterparty 2
icial
Jour
Counterparty 3
nal
Counterparty 4
of
the
Counterparty 5
European
18 Direct
clearing
through
central
clearing
counterparties
(CCPs)
Union
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
22.3.2013
Portfolio Liquidity Profile

---

22.3.2013 Off
Data Type
Reported Data
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
more than 365 days
days
EN

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)
icial
Jour
1 day or less 2-7
days 8-30
days 31-90
days 91-180
days 181-365
more than 365 days
nal
days
of
the
European
22 Investor
redemptions
Union
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
L
c) What is the notice period required by investors for redemptions in days
83/89
(report asset weighted notice period if multiple classes or shares or units)

---

L 83/90
Data Type
Reported Data
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
EN
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
Off
icial
Other arrangements for managing illiquid assets (please specify)
[Type] [%]
Jour
nal
of
the
European
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)?
Union
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
(Yes or no)
are subject to disclosure to the investors in the AIF in accordance with Article 23(1)(j) of the AIFMD?
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
22.3.2013
Preferential treatment other than that specified above

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22.3.2013 Off
Data Type
Reported Data
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
EN

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
longer than 365 days
days
icial
Jour
nal
of
4. Borrowing and Exposure Risk
the
European
26 Value
of
borrowings
of
cash
or
securities
represented
by:
Union
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
L
83/91
OTC Derivatives: Gross Exposure less margin posted

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L 83/92
Data Type
Reported Data
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
EN

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
Off
icial
a) as calculated under the Gross Method
Jour
b) as calculated under the Commitment Method
nal
of
5. Operational and Other Risk Aspects
the
European
31 Total
number
of
open
positions
32 Historical
risk
profile
Union
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
22.3.2013
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

---

22.3.2013 Off
Data Type
Reported Data
2nd Month of Reporting Period
…
…
EN

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
…
icial
…
Jour
Last Month of Reporting Period
nal
d) Subscriptions over the reporting period
of
the
1st Month of Reporting Period
European
2nd Month of Reporting Period
Union
…
…
Last Month of Reporting Period
e) Redemptions over the reported period
1st Month of Reporting Period
2nd Month of Reporting Period
…
…
L
Last Month of Reporting Period
83/93
Monetary values should be reported in the base currency of the AIF.

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L 83/94
Results of stress tests
Please provide the results of the stress tests performed in accordance with point (b) of Article 15(3) of Directive 2011/61/EU [risks associated with each investment position of the AIF and their overall effect on the
AIF’s portfolio can be properly identified, measured, managed and monitored on an ongoing basis, including through the use of appropriate stress testing procedures;] (free text)
EN

Monetary values should be reported in the base currency of the AIF.
Please provide the results of the stress tests performed in accordance with the second subparagraph of Article 16(1) of Directive 2011/61/EU. [AIFMs shall regularly conduct stress tests, under normal and
exceptional liquidity conditions, which enable them to assess the liquidity risk of the AIFs and monitor the liquidity risk of the AIFs accordingly.] (free text)
Off
icial
Monetary values should be reported in the base currency of the AIF.
Jour
nal
of
the
European
AIF-specific information to be made available to the competent authorities
(Article 24(4) of Directive 2011/61/EU)
Union
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:
22.3.2013
3 Value
of
borrowing
embedded
in
financial
instruments
Exchange-traded Derivatives: Gross Exposure less margin posted

---

22.3.2013 Off
Data Type
Reported Data
OTC Derivatives: Gross Exposure less margin posted
4 Five
largest
sources
of
borrowed
cash
or
securities
(short
positions):
Largest:
EN
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
icial
Financial and, as the case may be, or legal structure
Jour
nal
Financial and, as the case may be, or legal structure
of
the
Financial and, as the case may be, or legal structure
European
…
7 Leverage
of
the
AIF:
Union
a) Gross Method
b) Commitment Method
Monetary values should be reported in the base currency of the AIF.
L
83/95

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Document Outline

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