CP12/32: Implementation of the Alternative ... - BVCA admin

CP12/32
Implementation of the Alternative Investment Fund Managers Directive
8.5 Many respondents to DP12/1 asked about the nature of the professional guarantees to be
given. 95 We expect the final Level 2 Regulation will address these points.
Annex X
8.6 The AIFM remains responsible for the proper valuation of AIF assets, the calculation of
the NAV and its publication. 96 The external valuer will be liable to the AIFM for any
losses suffered as a consequence of its negligence or intentional performance failure,
notwithstanding that the contract between the AIF or the AIFM and the external valuer
might seek to exclude this liability. The Treasury regulations will set out the obligations to
be imposed on external valuers.
Calculation of the NAV
8.7 AIFMs must have appropriate and consistent procedures to calculate and disclose the
NAV per unit or share to investors. An AIFM is likely to be required by the Level 2
Regulation to ensure that, for each AIF it manages, the NAV per unit or share is calculated
on each issue, subscription, redemption or cancellation of units or shares, but in any event
at least once a year.
8.8 The Directive does not prescribe in detail how the NAV should be calculated, but states that
the calculation must be in accordance with national law and the instruments constituting the
fund. 97 We do not propose to provide further guidance on this for AIFs in general, but we
intend to retain our existing rules and guidance in relation to authorised funds.
Liquidity management
8.9 As we explained in paragraphs 5.14 to 5.26 of DP12/1, the Directive requires AIFMs to use
appropriate liquidity management systems and procedures for the AIFs they manage.
UK-authorised AIFMs will have to monitor, assess and stress-test the liquidity risk of their
AIFs and ensure that the liquidity profile of the underlying investments is consistent with the
AIF’s obligations and redemption policy. These requirements are transposed in FUND 3.6.
8.10 The Level 2 Regulation will specify what these liquidity management systems and
procedures should be, and the criteria according to which the investment strategy, liquidity
profile and redemption policy of the relevant AIFs under management will be considered to
be aligned. FUND 3.6 will contain a link to the relevant Articles and Recitals of the final
Level 2 Regulation.
8.11 FUND 3.6.3R, which transposes the liquidity management requirements in Article 16(1),
does not apply to unleveraged, closed-ended AIFs. Article 16(2) of the Directive, which
requires AIFMs to ensure that, for each AIF they manage, the investment strategy, liquidity
profile and redemption policy are consistent, is transposed by FUND 3.6.2R. We propose
95 Question 26 of DP12/1.
96 FUND 3.9.2R.
97 FUND 3.9.4R.
64 Financial Services Authority November 2012