This only concerns Authorised (non-Light) funds.
see the Guidelines and Questions below.
Matterhorn automatically sets the Portfolio Liquidity Profile in a conservative way.
1 day or less:
Value of unencumbered cash [185],
SEC_LEQ_IFIN: “Listed equities issued by financial institutions”,
SEC_LEQ_OTHR: “Other listed equity”.
Matterhorn automatically sets this field [178] as the percentage of the sum of Value of unencumbered cash [185] plus all POSITION records with Sub-Asset Type [65] equal to one of the three listed above.
The calculation uses POSITION field “Position value (Article 2 AIFMD)”.
More than 365 days: Everything else.
Example:
| 1 day or less | 2-7 days | 8-30 days | 31-90 days | 91-180 days | 181-365 days | More than 365 days |
|---|---|---|---|---|---|---|
| 2% | 0% | 0% | 0% | 0% | 0% | 98% |
Just overwrite our defaults by entering the Portfolio Liquidity Profile in our template on the PORTFOLIO_LIQUIDITY_PROFILE record (fields 178-184).
118. AIFMs should report the percentage of the fund’s portfolio that is capable of being liquidated within each of the liquidity periods specified. Each investment should be assigned to one period only and such assignment should be based on the shortest period during which such a position could reasonably be liquidated at or near its carrying value. The total should equal 100%.
119. If individual positions are important contingent parts of the same trade, AIFMs should group all of these positions under the liquidity period of the least liquid part. For example, in a convertible bond arbitrage trade, the liquidity of the short position should be the same as the convertible bond.
How should AIFMs report the information on the portfolio liquidity when the AIF is invested in assets with no current liquidity for which it is not possible to determine the future liquidity (questions 178-184 of the consolidated reporting template)?
In that case, AIFMs should adopt a conservative approach and assign the instrument to the longest period bucket.
Should AIFMs take into account the settlement period when they report information on portfolio liquidity (questions 178 to 184 of the consolidated reporting template for AIF-specific information)?
AIFMs should adopt a conservative approach when they report information on the portfolio liquidity. As a consequence, AIFMs should take into account the time delay for having the proceeds of the sale available on a cash account if it has as a non-negligible impact on the liquidity profile of the AIF.
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