How should AIFMs report Unencumbered Cash?

This only concerns Authorised (non-Light) funds.

AIF Question 185: Value of unencumbered cash

A definition as found in the ESMA documentation:

EU Alternative Investment Funds - ESMA Annual Statistical Report 2022 - page 22:

Unencumbered cash, i.e. a fund’s position in cash or cash-like securities not subject to legal claims by another party (e.g. from collateral pledges or securities lending activities)

How does Matterhorn help?

Matterhorn automatically sets the Unencumbered Cash [185] field as the sum of all POSITION records with Sub-Asset Type [65] equal to “SEC_CSH_OTHC” (“Other cash and cash equivalents (excluding government securities)”).

It uses POSITION field “Net Asset Value”, so bank overdrafts are subtracted. If for a POSITION record the field “Net Asset Value” is not filled in, the POSITION field “Position value (Article 2 AIFMD)” is used.

If the sum ends up below zero, zero is reported.

What if this algorithm does not fit a fund?

Just overwrite our calculation by entering the Unencumbered Cash in our template on the PORTFOLIO_LIQUIDITY_PROFILE record (field 185).

About Matterhorn

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Our knowledgeable consultants constantly monitor the evolution of the different regulations and ensure our applications are always kept up-to-date.

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