Reporting of holdings

Is the reporting of holdings mandatory?

Yes.

When must the report be submitted to FI?

Fund managers are required to submit a report on a quarterly basis, as of the last business day of each quarter. For UCITS and certain special funds, the report must be submitted to FI no later than the fourteenth day of the following month. For special funds that have received FI's approval pursuant to Chapter 12, section 6 of the Alternative Investment Fund Managers Act (2013:561), the report must be submitted to FI no later than the twentieth day of the following month. All dates are shown in the reporting calendar.

How should the standard deviation be calculated? Which formula should be used?

The standard deviation should be calculated in accordance with the Swedish Investment Fund Association's "Guidelines for key ratio accounting of Swedish UCITS and special funds".

Does the field "Röstvärde" (voting rights) refer to the fund or the fund manager?

The field refers to the voting rights in the portfolio company on behalf of the fund, stated as a percentage of the total number of votes in the portfolio company. In other words, it is not the voting rights of the fund manager that should be reported.

How should an exposure to a group be reported?

The fund manager should report details about the fund's exposures to companies and groups in accordance with Chapter 5, section 21 and section 22 of the Swedish UCITS Act (2004:46). Exposures to companies and groups must be reported as exposures to a group.
Holdings in transferable securities or money market instruments issued by Kommuninvest i Sverige AB and subject to Chapter 5, section 6, second paragraph, point 1 of the Swedish UCITS Act, must be reported as an exposure to a group (Kommuninvest i Sverige AB) pursuant to Chapter 5, section 22 of the Swedish UCITS Act.

Fund units should not be included in the reporting of exposures to groups.

Should instruments issued by states and state-owned enterprises be reported as an exposure to a group?

Instruments issued by states should not be reported as an exposure to a group. However, an instrument issued by a state-owned enterprise should be included as an exposure to a group, provided that Chapter 5, section 21 and/or section 22 of the Swedish UCITS Act is applicable to the instrument.

Does exposure to groups apply only when the fund has exposures to several companies within a group? In other words, does exposures to groups not apply to exposures to a single company?

No, the fund manager must also report exposures to a single company. Please refer to Chapter 5, sections 21 and 22 of the Swedish UCITS Act. The rule refers to exposures to a company and to companies in the same group.

How should type of fund be reported?

In accordance with the instructions, reporting of the fund type should be based on the specification sin the fund rules and the name of the fund. There are fifteen different fund types that may be selected, of which there are four main types and eleven secondary types. One main type must be selected for each fund. It is possible to select one or several secondary fund types, and these should be selected to the extent they are applicable. Below is a guideline for reporting the fund type.

1. The reporting of the fund type should primarily be based on the fund's investment strategy. One of the following main types must be selected:

• Equity fund
• Fixed income fund
• Mixed fund
• Hedge fund

The other categories should be viewed as supplementary information to the main fund types.

2. If the fund has one or several particular focuses, such as SME fund, index fund, index-tracking fund, or corporate bond fund, select the applicable fund type or types:

• SME fund
• Index fund
• Index-tracking fund
• Corporate bond fund

3. If the fund is a money market fund and is authorised pursuant to Regulation (EU) 2017/1131 of the European Parliament and of the Council on money market funds, select the following fund type:

• Money market fund

4. If the fund is a fund of funds, select the following fund type:

• Fund of funds

5. If the fund considers sustainability aspects and/or is marketed as sustainable, select the applicable fund type or types:

• Considers sustainability aspects
• Is marketed as sustainable

6. If the fund is an ETF, select the following fund type:

• ETF

7. If the fund is a feeder fund or master fund, select the applicable fund type:

• Feeder fund
• Master fund
  
  

Which main fund type should be selected for a hedge fund when an additional main fund type is also applicable (e.g. equity fund or fixed income fund)?

If the fund is a hedge fund, then hedge fund should be selected as the main fund type.

How should the threshold be reported for funds applying a performance fee?

If the fund applies a performance fee, the threshold (benchmark) should be reported. The name of the threshold should be reported together with any applicable hurdle, for example "OMRX Treasury Bill + 2%". The fund manager should not report "Benchmark index + 2%". Longer explanations or definitions of the threshold should be avoided.

The performance fee rate should not be reported in this field.

When should a benchmark index be reported?

If the key investor information document (KIID) shows the fund's performance in relation to a benchmark index, the fund manager must report this benchmark index. Please see Section 2, question 8 of the European Securities and Markets Authority Questions and answers on the application of the UCITS Directive (ESMA34-43-392), which clarifies when the KIID must show the fund's performance in relation to a benchmark index.

If the fund manager must report a benchmark index, the name of the benchmark index must be specified.

If the benchmark index is a composite index comprised of more than one index, the name of all indices that are included in the composite index must be provided along with the weight of each index in per cent.

If the KIID does not need to show the fund's performance in relation to a benchmark index, the fund manager should report "Jämförelseindex saknas".

When should tracking error be reported?

In accordance with the instructions, the fund manager must report tracking error as the standard deviation for the variations in the difference in return between the fund and its benchmark index. The figure should be based on monthly data and refer to the past 24 months.

The fund manager must report tracking error if the fund, in accordance with the above, has applied the same benchmark index for 24 months or longer.

How should tracking error be reported for funds that do not apply a benchmark index or have applied a benchmark index for less than 24 months?

If the fund does not apply a benchmark index or the fund has applied it for less than 24 months and therefore cannot specify tracking error, the field should be left blank. "0.00" should only be entered if this is the calculated tracking error for the fund.

How should counterparty risk for OTC derivatives be reported?

In accordance with the instructions, the fund manager should report the fund's risk exposure to a counterparty in OTC derivative transactions. The name of the counterparty must be provided. Counterparty risk for OTC derivatives cannot be reported as a negative figure.

How should deposits with credit institutions be reported?

In accordance with the instructions, the fund manager should report the fund's deposits with credit institutions. The name of the credit institution must be provided in its entirety and consistently for all managed funds.

How should "Ägarandel" (ownership interest) be reported?

"Ägarandel" (ownership interest) should be reported for each fund. The fund manager should not report the combined holding of all funds under its management.

What should be reported under "Ägarandel" (ownership interest) if the instrument is a derivative instrument?

"Ägarandel" (ownership interest) should be reported in accordance with Chapter 5, section 19 of the Swedish UCITS Act. If ownership has not been transferred to the fund, the ownership should not be reported.

What should be reported in the "Emission" (issue) field for an individual instrument?

This field is for situations where two or more instruments belong to the same issue of instruments but have different ISIN codes. In such cases, the fund manager should report the ISIN code for the main issue for all instruments that belong to the same issue, even if they have a different ISIN code.

Only funds that are authorised in accordance with Chapter 5, section 8 of the Swedish UCITS Act need to report the ISIN code for the main issue.

How should an ISIN code for a fund that has several unit classes be reported?

Use the same principle as in the reporting of Quarterly Report for UCITS and special funds.

Is the information published on fi.se?

Information about UCITS' holdings is published every quarter with a two-month delay. The information is published here: Fund holdings.

Information about holdings of special funds is not published.