How should AIFMs report a Master-Feeder structure?
This concerns Registered (Light) and Authorised (non-Light) funds.
Master Feeder Structure (AIF Questions 41-44)
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.
A fund is reported as a FEEDER in AIF question 41 and its masters are reported in AIF questions 42-44 when:
The fund does not have a fund-of-funds strategy (see Question 76 below) and
The fund has a sum of the Instrument position value (AIF Question 76) of all POSITIONS with Sub-Asset types starting with “CIU_” which is at least 85% of the sum of all Instrument position values. Cash (SEC_CSH_OTHC) is excluded from this calculation. The 85% is defined in “Article 4 - Definitions” below.
A fund is reported as a MASTER in AIF question 41 when:
it is reported in a POSITION record with a Sub-Asset Type starting with “CIU_”.
What is the influence on the calculation of the AIFM (Manager) report?
Sub-Asset Types “CIU_” that are found to be reported as an AIF in the current report
Are not included in the calculations for the manager report (AIFM) to avoid duplication of assets under management. See Question 71 below.
What if this algorithm does not fit a fund?
Please contact us at support@matterhorn-rs.com or +31 85 401 8256.
What if a fund uses an older template with MASTER or MASTER_FEEDER records?
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.
Relevant articles:
Explanation on feeder AIF from AIFMD Directive 2011/61/EU:
Article 4 - Definitions:
(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;
Explanation on avoiding duplication of assets under management by the ESMA AIFMD Q&A:
Question 71 [last update 02 December 2015]:
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?
Answer 71:
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.
Explanation on investment strategy of a feeder AIF by the ESMA AIFMD Q&A:
Question 76 [last update 02 December 2015]:
When reporting the investment strategy of a feeder AIF, should AIFMs look through the master AIF?
Answer 76:
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.
Explanation on master/feeder structures and controlled structures by the ESMA AIFMD Q&A:
Question 77 [last update 02 December 2015]:
Should AIFMs include master/feeder structures when answering questions 290 to 293 [controlled structures] of the consolidated template for AIF-specific information?
Answer 77:
No.
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