Investment Fund’s
Standard Due Diligence
Questionnaire – Section 2:
Investment Fund Information
Third party resource manager:
Questionnaire filled by:
Date:
Version: 2.0 – Updated in July 2012
Summary
Introduction ......................................................................................................................... 3
1) Investment Fund Information....................................................................................... 4
1 – Alterations since last update ................................................................................... 4
2 - Qualitative 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) Declaration .................................................................................................................. 11
3) Investment Fund Important Events ........................................................................... 12
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Introduction
The objective of this ANBIMA Investment Fund’s Standard Due Diligence
Questionnaire (“Questionário Due Diligence”) is to provide broader rationality to
diligence 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 Practices Code for Investment Funds recommends
adopting this document.
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1) Investment Fund Information
1 – Alterations since last update
1.1
Name
1.2
National Register of Legal Entities
1.3
Date of incorporation
1.4
CVM Classification
1.5
ANBIMA Classification
1.6
ANBIMA Code
1.7
Has the fund suffered any alteration due to loss of its own background?
1.8
Tax classification (Short term/Long term/Stock)
1.9
Target public
1.10
Do regulations explicitly establish conformity to some specific law applicable to quota
holders, such as Resolution 3.792 from the Brazilian National Monetary Council?
1.11
Exclusively for qualified investor?
1.12
Current account (bank name agency, account number)
1.13
CETIP account number
1.14
Administration (please mention contact person).
1.15
Custody (please mention contact person).
1.16
External auditing (please mention contact person)
1.17
If applicable, in case of Credit receivable investment funds (FIDC) or Credit Funds,
please inform:
Bookkeeper
Depository agent (Physical Custody)
Specialized consultant
Counsel
Insurance company
Quotation: opening or closing?
1.18
1.19
Rules for investment and redemption:
Investment (dates, times, quotation and settlement)
Waiting period/lock-up period, and eventual sanctions for redemption
before ending this period.
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Redemption (dates, times, quotation and settlement)
Minimum initial investment
Maximum investment per quota holder
Minimum additional investment
Minimum redemption
1.20
Upfront fee
1.21
Redemption fee
1.22
Administration fee
1.23
Maximum administration fee
1.24
Performance fee
%
Benchmark
Frequency
Free float
1.25
What is approximate total estimated cost of the Fund (in a PE percentage), excluding
Administration and Performance fees?
1.26
What are tax rebate rules for distributors/allocators?
1.27
Do you have any consultant or provider (except for administration, custody and external
auditing) directly hired by the Fund?
2 - Qualitative Information
2.1 – Profile
2.1.1
Please describe fund strategy, rate of return objectives and investment policy.
2.1.2
Please describe significant alterations in fund’s strategy background or its investment
policy.
2.1.3
Investment decision process.
2.1.4
Please describe investment decision process.
2.1.5
Please mention awards, ratings and rankings.
2.2 - Fund management team
2.2.1
Please mention the professionals involved with the management (please attach Resume,
according to model showed in Section 3).
2.2.2
Please mention background of significant alterations in the team.
2.3 - Strategies and Portfolios
2.3.1
Regarding the markets where your Fund trades, it could be classified as:
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Trading exclusively in Brazil
Trading mainly in Brazil
please specify
Global
please specify
2.3.2
In case your fund has investments abroad, please describe main assets and instruments
used.
2.3.3
Please describe fund’s rules, procedures and specific management limits (for ex.: stop
loss, stop gain, asset concentration, rented assets etc.).
2.3.4
What is the fund policy regarding day trade operations?
2.3.5 – Use of Derivatives
2.3.5.1
With what objectives do use derivatives?
Portfolio or position protection
Change of earning/index
Combined strategies (floors, caps, collars, spreads, straddles,
box, term financing etc.)
Leverage
2.3.5.2
Market where derivatives are used:
Interest rates
Foreign exchange
Stock
Commodities
In Stock Exchanges:
With guarantee
Without guarantee
Over the counter:
With guarantee
Without guarantee
2.3.6 – Purchase of investment fund quotas
2.3.6.1
From third party funds?
2.3.6.2
From manager funds?
Yes
No
Yes
Yes
No
No
Yes
No
Yes
Yes
Yes
Yes
No
No
No
No
Yes
Yes
No
No
Yes
Yes
No
No
Yes
Yes
No
No
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3 - Additional Information
3.1
Current AUM (Asset Under Management)
3.2
12 month-average AUM
3.3
Current company under same strategy management total AUM
3.4
What is the estimated maximum fundraising capacity of the fund and it’s “family”? What
are definition criteria?
3.5
Total number of quota holders.
3.6
3.7
What percentage of fund liabilities account for company applications, and positions from
controlling and associated companies, subsidiaries, partners and main executives?
%
Please describe liability concentration rules.
3.8
Please inform market share percentages of five to ten main quota holders
3.9
Have it occurred any changes regarding Administration and/or Custody providers since
beginning of operation of the Fund? When and why?
3.10
How long is it that the External Auditor performs his/her work at the Fund?
3.11
Which and when have been the last three voting right exercises?
4 - Risk management
4.1
Please describe fund specific credit risk exposition rules.
4.2
Please describe fund asset specific liquidity rules.
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4.3
In case the fund trades unguaranteed derivatives, please describe control system.
4.4
How are priced illiquid/exotic assets/derivatives? Does the Institution have management
capacity to do that?
4.5
What is risk control methodologies used? (For example: VaR (value at risk), Tracking
Error and Expected Shortfall)?
4.6
Please describe decision process used when limits mentioned in item 4.5 are
transgressed.
4.7
What is the limit of methodologies mentioned in item 4.5 (except 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
Historically, what is the maximum of methodologies mentioned in item 4.5 registered by
the Fund? Please comment it.
4.11
What is the average VaR of the Fund in the last
3 months?
6 months?
12 months?
24 months?
4.12
Historically, what is the maximum notional leverage (gross exposure) the fund hit and in
what assets?
4.13
What is limit loss in a stress scenario?
4.14
Did you ever hit that limit? Why was that?
4.15
What is fund average stress in the last
3 months?
6 months?
12 months?
24 months?
4.16
Please comment last fund relevant stop loss.
5 –Fund behavior during crisis
Period
Event
Jul- Oct/97
Asian crisis
Aug/98
Russian crisis
Oct/98
LTCM bankruptcy
Jan/99
Depreciation of the Real
Mar/00
Nasdaq crisis
Apr/01
Blackout in Brazil
Sep/01
Terrorist attacks on US
Mar-Jul/02
Accounting scandals
Jun/02
Mark-to-market
Behavior
Reasons why
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Jul-Oct/02
Brazilian elections
May/06
US stock Exchange crisis
Jul-Aug/07
Mortgage crisis
Oct/2008
- US financial system crisis
Mar/2009
Jan/10
– PIGS debt crisis
Jun/10
6 – Three fund’s major losses periods (peak to valley)
Period
Event
Loss
Reasons why
Recovery
Time
1.
2.
3.
7 - Performance attribution since fund launching or in the last five years (inform largest
period)
7.1
Attribution
Contribution (%)
7.2
Please comment
redemptions).
strategy
changes
regarding
resource
flow
(applications
or
7.3
Has the fund ever been temporarily closed for applications due to manager’s
deliberations? When and why?
8 – Relationship with Distributors/Allocators
8.1
What are available Fund reports? Please detail them. What is the periodicity? Data refers
to what previous months?
8.2
Mention level of detail
distributors/allocators
and
frequency
that
portfolio
may
be
8.3
With what frequency may be held conference calls with the fund manager?
launched
to
9
9 – Assistance to quota holders
9.1
What reports are available to fund’s quota holders? Please detail. What is the periodicity?
Data refers to what previous months?
9.2
Where can we have access to available information regarding the fund, and with what
periodicity its content is updated?
9.3
Is there any specific information channel for quota holders? How can it be accessed and
what are working hours?
10 - Investment abroad
In case the Fund has any investments abroad, please fill data down here
10.1
What is the structure of this Fund?
10.2
What are involved risks?
10.3
What is the product?
10.4
What is /are allocation strategy (ies) of assets abroad?
10.5
What is /are vehicle (s) used for these allocations?
10.6
Please list providers of investments abroad (administrator, custodian, RTA, prime broker,
among others)
10.7
In case investment abroad is subdivided, please describe risk of contamination among
them.
10.8
The investment abroad has incorporated under what jurisdiction? What are concerning
regulatory entities?
10.9
In case investment abroad is performed through funds, please describe how was
organized the Board of the Fund.
11 – Annexes
11.1
Regulations
11.2
Brochure
11.3
Last page
11.4
Last portfolio profile monthly report (XML
file - CVM Standards)
11.5
Last portfolio extract report of fund
information (XML file - CVM Standards)
11.6
Management reports
Yes
Yes
Yes
Yes
No
No
No
No
Yes
No
Yes
No
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2) Declaration
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 allocators
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):
Name:
Position:
Date:
Signature: ________________________________________________
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3) Investment Fund Important Events
1 – Name of the Fund
1.1
Alteration of providers of managed funds: Administrator, Custodian and Auditor.
1.2
Alteration of contacting data
1.3
Alteration in Fund application and redemption conditions
1.4
Alteration of tax classification
1.5
Alteration of fund risk limits
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