1) Investment Fund Information - Anbima

waxspadeManagement

Nov 18, 2013 (3 years and 10 months ago)

77 views





















Third party resource manager
:









Questionnaire filled by
:










Dat
e
:












Investment Fund’s

Standard Due Diligence
Questionnaire


Section
2:

Investment Fund Information


Version:

2.0


Updated in
Ju
ly

201
2





2

Summary



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3
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4
4



1


Alterations since last update

................................
................................
...................

4


2
-

Q
ualitative Information

................................
................................
.............................

5


2.1


Profile

................................
................................
................................
...................

5


2.2
-

Fund management team

................................
................................
.......................

5


2.3
-

Strategies and Portfolios

................................
................................
.......................

5


3
-

Additional Information

................................
................................
..............................

7


4
-

Risk management

................................
................................
................................
....

7


5

Fund behavior during crisis

................................
................................
......................

8


6


Three fund’s major losses periods (
peak to valley
)

................................
.................

9


7
-

Performance attribution since fund launching or in the last five years
(inform largest period)

................................
................................
...........................

9


8


Relationship with Distributors/Allocators

................................
................................
.

9


9


Assistance to quota holders

................................
................................
..................

10


10
-

Investment abroad

................................
................................
...............................

10


11


Annexes

................................
................................
................................
..............

10


2
2
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1
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3
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1
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(To refres
h the summary, right click the text above, refresh field, refresh
page number only)



3


Introduction



The objective of this ANBIMA Investment Fund’s Standard Due Diligence
Questionnaire (“Question
ário

Due Diligence”) is to provide broader rationality to
di
ligence processes aimed at selecting and allocating resources in investment
funds, by setting a unique standard for the questionnaire to be used in these
processes. Being usually delivered by institutional investors or resource allocators
to the investment

fund manager where they want to invest, this Due Diligence
Questionnaire has been prepared and will periodically reviewed by a Working
Group of associates of ANBIMA. Its use, however, does not discourage Exchange
of additional information regarding issues

eventually not foreseen in the document
among interested parties
.


This Document has three sections:

Section 1


Information about the Company

Section 2


Information about the Investment Fund

Section 3


Professional Resumes

The Regulation and Best Prac
tices Code for Investment Funds recommends
adopting this document.















4


1)

Investment

Fund Information


1


Altera
tions since last update

1.1

N
a
me







1.2

National Register of Legal Entities







1.3

Dat
e of incorporation







1.4

CVM

Classification







1.5

ANBIMA

Classification







1.6

ANBIMA

Code







1.7

Ha
s the f
und

suffered any
altera
tion

due to loss of its own background?







1.8

Tax c
lassifica
tion

(
Short term
/L
ong term/Stock
)







1.9

Target pu
blic







1.10

Do reg
ulat
i
o
ns
explicit
ly establish
conformit
y
to some specific law
ap
p
lic
abl
e
t
o
quota
holders, such as
Resolu
tion

3.792

from the
Brazilian National Monetary Council
?







1.11

Exclusiv
ely for qualified i
nvestor?







1.12

C
u
rrent

account

(ban
k name

ag
e
nc
y
,
account
number
)







1.13

CETIP
account
number







1.14

Administra
tion

(
please mention contact person
).







1.15

Cust
ody

(please mention contact person).







1.16

E
xterna
l auditing

(please ment
ion contact person)







1.17

If applicable, in
cas
e of Credit receivable investment funds (
FIDC
)

o
r Credit
Funds
,
please
inform:

Bookkeeper







Depository a
gent (
Physical
Cust
o
d
y
)







Specialized c
onsult
ant








Counsel







Ins
ura
nce comp
a
ny







1.18

Qu
ota
tion
:
opening o
r

closing
?







1.19

R
ules for investment and
re
demp
t
ion
:

Investment

(dat
e
s,
times
,
qu
ota
tion

and settlement
)







Waitin
g

period
/lock
-
up period
,

and
eventua
l

sanctions for redemption
before ending this period
.









5

Redemption
(
dates, times, quotation and settlement
)







Mi
nim
um
initial

investment







Ma
xim
u
m

investment
p
e
r
quota holder







Minimum
ad
d
i
t
ional
investment







M
i
nim
um redemption







1.20

U
pfront fee







1.21

R
edemption fee







1.22

Administra
tion

fee







1.23

Maximum a
dministra
tion

fee







1.24

Performance

fee

%







Benchmark







Frequ
e
nc
y







Free float







1.25

What is approximate total estimated
c
o
st

o
f t
he
Fund (
in a P
E

percenta
ge
), exclu
d
in
g

Administra
tion

and

Performance

fees
?







1.26

What

a
re tax
rebate
rules for
distribu
t
ors/al
l
oca
t
ors?







1.27

Do you have any c
onsult
ant
o
r

pr
ovid
er (exce
pt for
administra
tion
, cus
t
o
d
y and
externa
l
auditing
) dire
c
t
ly hired by th
e Fund?







2
-

Qualitative
Informa
tion


2.1


Pr
o
fil
e

2.1.1

Please d
escr
ib
e
f
und

strat
e
g
y
,
r
a
te
o
f return
obje
c
tive
s and investment policy
.







2.1.2

Please describe

sig
nificant

altera
tions
in

fund’s
s瑲慴
e
g
y b慣k杲潵湤

o
r i瑳 i湶敳瑭敮t
灯licy
.







㈮ㄮ2

f
湶敳瑭敮t

摥cisio渠n
r潣敳s.







㈮ㄮ2

mle慳攠e敳cri扥

i
nv敳瑭敮琠t散isi潮⁰ 潣敳s
.




















㈮ㄮ
5

mle慳攠e敮瑩潮⁡睡w摳
Ⱐ牡Ii湧s
a湤

ra湫i湧s.







2.2
-

Fund

management team

2.2.1

Please mention the
prof
e
ssiona
l
s
i
nvolv
e
d

with the management
(
please attach
Resum
e,

acc
o
rdi
n
g to
model

sh
o
wed in

Se
c
tion

3
).







2.2.2

Please mention background of significant
altera
tion
s in

the team
.







2.3
-

S
trat
e
gi
e
s
and Portfolio
s

2.3.1

Regarding the
m
ark
e
t
s
wh
e
re your
Fund

trades, it could be
c
l
a
ss
i
fie
d

as
:



6

Trading
exclusive
ly in Brazil



T
rading mainly in Brazil


please
specif
y

Global





please specify

2.3.2

In c
as
e y
o
ur f
und

has
inv
e
st
ments abroad
,
please
descr
ib
e

m
a
in a
ss
e
ts
and
instruments
u
se
d.








2.3.3

Please describe

fund’
s r

敳Ⱐ灲潣敤
畲u
s

慮搠
s灥c
i
fic
m慮慧敭敮琠limi瑳

(
f潲o
數⸺.s瑯t
l潳sⰠI瑯t 条i測n
慳s整e
co湣敮瑲a
ti潮

r敮t敤⁡ s整
s⁥瑣⸩.








2.3.4

What is the
fund

p
o
licy regarding
day trade

operations
?








2.3.5




o

䑥aiv慴iv
e
s

㈮2⸵⸱

ti瑨tw
h慴a
o扪e
c
瑩v
e

摯⁵ 攠e敲eva瑩v敳
?



m潲瑦潬i漠
o
r

p潳i
ti潮

灲潴散瑩潮

v敳†† ††† †⁎

䍨慮来 ⁥ r湩n术g湤數

v敳†† ††† †乯

䍯C扩湥搠s瑲慴a杩敳 (fl潯rsⰠc慰sⰠc潬l慲aⰠs灲敡摳Ⱐs瑲慤摬敳I
扯xⰠ瑥rm⁦i湡湣i湧 整e⸩

v敳†† ††† †乯


v

a


v敳†† ††† †⁎

㈮2⸵⸲

j
慲a
e
t

wh敲e

d敲ev慴iv敳⁡r攠
u



䥮f敲敳琠牡t敳

v敳†† ††† †乯

c潲敩g渠nxc桡n来

v敳†† ††† †乯

p瑯tk

v敳†† ††† †乯

䍯Cm潤i瑩敳

v敳†† ††† †乯

䥮fpt潣k⁅xc桡湧敳
W

ti瑨t杵慲慮a敥

v敳†† ††† †


ti瑨t畴u杵慲慮a敥

v敳†† ††† †乯

lv敲⁴e攠e
o
畮瑥t
W

ti瑨t杵慲慮a敥

v敳†† ††† †乯

ti瑨t畴u杵慲慮a敥

v敳†† ††† †乯

㈮2⸶


m畲u桡s攠潦⁩湶敳tm敮琠t畮搠du
潴慳

㈮2⸶⸱

crom⁴ ir搠d慲ay⁦畮摳?

v敳†† ††† †乯

㈮2⸶⸲

crom m慮慧敲⁦
畮摳?

v敳†† ††† †乯



7


3
-

Additional
Informa
tion

3.1

Curre
nt
AUM

(
Asset Under Management
)









3.2

12 month
-
average
AUM








3.3

Current company under same strategy managem
ent
total
AUM








3.4

What is the estimated maximum fundraising capacity of the fund and it’s

f慭ily


t桡t
慲攠摥finiti潮

crit
e

a
?







3.5

Total number of quota holders.







3.6

What
percenta
ge of f
und

liabilities acc
o
unt for company

a
p
plica
tion
s,
and positions from
c
ontrol
ling and associated companies
, subsidi
a
ri
e
s,
partners and main
executiv
e
s?








%

3.7

Please describe

liability

concentra
tion

rules.







3.8

Please inform market share p
ercenta
ge
s
of five
to

ten
mai
n quota holders







3.9

H
ave it occur
r
ed any changes

regarding
Administra
tion

a
nd
/o
r

Cust
o
d
y providers

sinc
e
beginning of
opera
tion

o
f the

Fund?
When and w
hy
?







3.10

H
ow long is it that the External
Auditor
p
er
f
o
rms his/her work at the
Fund?







3.11

Which and when

have been the last
t
h
r
ee

voting

right
exerc
ise
s?




























4
-

Ris
k management

4.1

Please describe

fund specific credit risk exposition
rules
.







4.2

Please describe fund asset specific liquidity
rules
.



8







4.3

In c
as
e the f
und

trades unguaranteed
derivativ
e
s,

please describe
control

system
.







4.4

How are
pr
i
c
ed illiquid/exotic
a
sse
ts/derivativ
e
s?
Does the
Institu
tion

have management
capacity to do that?







4.5

What
is

risk cont
rol
met
h
odologi
e
s

u
se
d
?
(
For

ex
ample
: VaR

(value at risk)
,

Tracking
Error
and

Expected Shortfall)?







4.6

Please describe decision p
rocess u
se
d
when
limits
mentioned in
item 4.
5

are
transgressed.







4.7

What is the li
mit of
met
h
odologi
e
s
mentioned in
item 4.
5

(exce
p
t

for

stress)?







4.8

Please describe budget
rules

of methodologies mentioned in
item 4.
5
.







4.9

Did you ever reach the
limit

of methodologies mentioned in
item 4.5
?
In

what situation
?







4.10

Historica
lly
,
what is the
m
a
xim
um of methodologies mentioned in
item 4.
5

regist
e
r
e
d
by
the
Fund?
Please c
om
m
ent

it
.







4.11

What is the average
VaR o
f the
Fund
i
n

the last

3 m
onth
s?







6
months
?







12
months
?







24
months
?







4.12

Historically, what is the maximum
no
t
ional
lever
a
ge

(
gross
expos
ure
)
the fund hit and in
what assets
?







4.13

What is
limit

lo
ss in a
stress

s
cenario
?







4.14

Did you ever hit that
limit?
Why was that
?







4.15

What is fund average
stress
i
n

the
l
as
t

3
months
?







6
months
?







12
months
?







24
months
?







4.16

Please c
om
m
ent

last fund relevant
stop loss.







5

Fund

behavi
o
r during c
ris
i
s


Per
i
od

Event

Behavi
or

Reasons why


Jul
-

O
c
t/97

A
sia
n crisis














A
u
g/98

R
u
ssia
n

crisis














O
c
t/98

LTCM

bankruptcy














Jan/99

De
prec
ia
tion

o
f the
Real














Mar/00

Nasdaq

crisis














A
p
r/
01

Blackout in
Brazil














Se
p
/01

Terrorist attacks on
U
S














Mar
-
Jul/02

Accounting s
c
a
ndals














Jun/02

Mar
k
-
to
-
m
ark
e
t















9


Jul
-
O
c
t/02

Brazilian e
le
ction
s














Ma
y
/06

US

stock Exchange
c
ris
is















Jul
-
A
u
g/07

Mortgage c
ris
is














O
c
t/2008
-

Mar/20
09

US financial system
c
ris
is















Jan/10


g畮⼱/

m䥇p

摥b琠trisis













6


T
h
r
ee fund’s major losses
per
i
ods (
peak to valley
)


Per
i
od

Event

Loss

Reasons why

Rec
ov
er
y
Time

1.































2.































3.































7
-

Performance at
tribu
tion

since
fund

launching
o
r in the last five years

(inform
largest

p
er
i
od)

7.1

A
t
tribu
tion

Contribu
tion

(%)














7.2

Please c
om
m
ent

strat
e
g
y c
hanges regarding
re
so
ur
ce fl
o
w

(a
p
plica
tion
s o
r

re
demp
t
ion
s).







7.3

Has the fund ever been
temporari
ly closed for
ap
p
lica
tion
s due to manager’s
摥li扥ra
瑩潮
s

t桥渠n湤 睨y
?







8


Rela
t
ion
ship with
Distribu
t
ors/Al
l
oca
t
ors

8.1

What are available
Fund

reports
?
Please d
eta
i
l

t
he
m
.
What is the
periodici
ty
?
Data refers
to what previous months?







8.2

Mention level of
deta
i
l

and frequency that portfolio may be l
a
unched to

distribu
t
ors/al
l
oca
t
ors







8.3

With what
frequ
e
nc
y may be held
conference calls
with the

fund

manager?









10


9


A
ssis
t
a
n
c
e

to
quota holders

9.1

What reports are available to fund’s quota holders

ml敡s攠d整eil

t桡琠is 瑨t 灥ri潤icity㼠
䑡瑡⁲敦敲e⁴

睨慴 灲敶ious m潮瑨t?







9.2

Where can we have access to available
informa
tion

regarding the f
und
, and with what
periodicity its
conte
nt is updated
?







9.3

Is there any specific information ch
an
nel for
quota holders
?
How can it be
ac
c
ess
e
d

and
what are working hours
?







10
-

Investment

abroad

In c
as
e the
Fund

has any
investment
s
abroad
, p
lease fill data down here

10.1

What is the s
tru
c
tur
e of this
Fund?







10.2

What are involved
ris
k
s
?







10.3

What is the
produ
c
t?







10.4

What is /are allocation
strat
e
g
y

(
ie
s)
of assets abroad
?








10.5

What is /are
ve
hi
cl
e

(s) u
sed for these
al
l
oca
tion
s?








10.6

Please l
ist
pr
ovid
ers
of
investment
s

abroad

(administra
t
or, custodian, RTA, prime broker,
among
ot
he
r
s
)







10.7

In c
as
e investment abroad is s
ub
divided
,
please
descr
ib
e

ris
k of
contamina
tion

among
them
.







10.8

The
investment

abroad has incorporated under what
jurisdi
c
tion
?
What are
concerning
regulatory
enti
ti
es?







10.9

In case investment abroad is performed through
funds,
please describe how
was
organized

the Board
o
f the
Fund.







11


A
n
n
ex
e
s

11.1

Regulations

Yes







No







11.2

Brochure

Yes








No







11.3

Last page

Yes









No







11.4

Last portfolio profile

monthly report

(XML
file
-

CVM Standards)

Yes








No







11.5

Last portfolio extract report of fund
information (XML file
-

CVM Standards)

Yes







No







11.6

Management

reports

Yes








No










11

2)

Declara
tion



We do declare that this questionnaire has been filled, verified and signed by duly
authorized people, and that this institution cares for its accuracy, truthfulness and

integrity of all the information herein contained, as well as its attached documents
and annexes.


We bind to keep all the information of this questionnaire duly updated each
semester, sending new versions of this questionnaire to distributors and allocat
ors
in January and July, based in data from December and June, except information
contained in Item 3

Important Events, that will be updated and communicated
immediately after having occurred.



Place (City):






Date:






Name:






Position
:









Signature
: ________________________________________________



12

3)

Investment Fund
Important
Events




1


N
a
me o
f the
Fund

1.1

Altera
tion

of
pr
ovid
e
r
s
of managed funds
: Administra
t
or, Custodia
n
and

Auditor.







1.2

Altera
tion

of
conta
c
t
ing data







1.3

Altera
tion

i
n

Fund
ap
p
lica
tion

and redemption conditions








1.4

Altera
tion

of tax
classifica
tion








1.5

Altera
tion

of f
und risk
limits












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