This concerns Registered (Light) and Authorised (non-Light) funds.
A feeder must use the Sub-Asset Types in the following table (all starting with “CIU_”) to report a position in a master fund. Each position in a master fund needs a separate POSITION record.
| Sub-Asset Type Code | Sub-Asset Type |
|---|---|
| CIU_OAM_MMFC | Investment in CIU operated/managed by the AIFM - Money Market Funds and cash management CIU |
| CIU_OAM_AETF | Investment in CIU operated/managed by the AIFM - ETF |
| CIU_OAM_OTHR | Investment in CIU operated/managed by the AIFM - Other CIU |
| CIU_NAM_MMFC | Investment in CIU not operated/managed by the AIFM - Money Market Funds and cash management CIU |
| CIU_NAM_AETF | Investment in CIU not operated/managed by the AIFM - ETF |
| CIU_NAM_OTHR | Investment in CIU not operated/managed by the AIFM - Other CIU |
Please make sure that the POSITION Instrument Name (AIF Question 67) is equal to the master AIF Name (AIF Question 18). The software uses this to find the national codes for the master funds. The matching is case-insensitive. Furthermore, spaces, accents, periods and commas are ignored.
it is reported in a POSITION record with a Sub-Asset Type starting with “CIU_”.
Position records with Sub-Asset Types starting with “CIU_OAM_” are not included in the calculations for the manager report (AIFM) to avoid duplication of assets under management. See Question 71 below.
Please contact us at support@matterhorn-rs.com or +31 85 401 8256.
The software is fully backwards compatible, MASTER or MASTER_FEEDER records can still be used.
If any MASTER or MASTER_FEEDER records are present in the input, the software does not automatically determine Master-Feeder structures. This even when the MASTER or MASTER_FEEDER records belong to another fund.
(m) ‘feeder AIF’ means an AIF which:
(i) invests at least 85% of its assets in units or shares of another AIF (the ‘master AIF’);
(ii) invests at least 85% of its assets in more than one master AIFs where those master AIFs have identical investment strategies; or
(iii) has otherwise an exposure of at least 85% of its assets to such a master AIF;
According to Article 2(4) of the implementing Regulation, AIFMs may exclude investments of AIFs in other AIFs they manage for the purpose of calculating the total value of assets under management. Does ESMA expect AIFMs to exclude such investments from the calculation of the total value of assets under management?
Yes. In order to ensure the comparability of the results at an EU level, it is important that AIFMs calculate their total value of assets under management in the same manner. In situations where feeder AIFs invest in master AIFs and where these are managed by the same AIFM, it is important to ensure that there is no duplication of assets under management.
When reporting the investment strategy of a feeder AIF, should AIFMs look through the master AIF?
ESMA expects that in most instances, feeder AIFs will have the same investment strategy as the master AIF unless the investments made by the feeder AIF in other assets make the resulting strategy different.
Should AIFMs include master/feeder structures when answering questions 290 to 293 [controlled structures] of the consolidated template for AIF-specific information?
No.
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