For these assets, the full holding on the fund, goes into a single day liquidity, based on the contractual settlement period. Whilst the Manager may specify the settlement timeframes on a case by case basis, the following defaults are used.
To override, the defaults, please utilise the fields in security Master:
| Assets | Normal Basis (Days) | Stressed Basis (Days) |
|---|---|---|
| Spot FX | 1 | 7 |
| Forward FX | 1 | 7 |
| Cash (positive balances) | 1 | 7 |
| Deposits * | 1 | 7 |
| Structured Products | (based on contract) | (based on contract) |
| Standard Derivatives with unrealised gain | 7 | |
| Margin posted | 7 | 7 |
| Loan Investment | 365 | 366 |
| Physical Property | 365 | 366 |
| Direct Commodities | 365 | 366 |
| Receivables | 7 | 7 |
| Liabilities | Normal Basis (Days) | Stressed Basis (Days) |
| Borrowing / overdraft | 90 | 1 |
| Loans | 365 | 1 |
| Mortgage | 365 | 365 days |
| Physical short selling | 30 | 1 |
| Derivatives with unrealised losses | 7 | 1 |
| Payables | 7 | 1 |
If a deposit has a minimum contractual period of 20 days (notice period for withdrawal), the entirety of it goes into that bucket. Where no default is provided, we assume that the deposits are repayable on demand.
Payables: Payables are cash amounts that need to be paid out in coming days. These will be negative amounts. The default 1 day minimum contractual basis means that it is assumed that these will be paid tomorrow. Hence, it reduces the 1 day liquidity amount.
Receivables: Receivables are cash amounts that are due to come in in coming days, e.g. through the sales proceeds on settlement of equity sell trades etc. These will be positive amounts. The default is 7 day contractual basis. This is, therefore, conservative given European listed equities settle T+2. Accordingly, for AIFMD they will go into the 2-7 buckets. Managers can choose a shorter default if they wish.
The Fund has Physical property – Real estate / infrastructure, Commodities, Loans invested into. For these, by default the full holding on the fund, goes into a single day liquidity of 365 days. The Manager can override this for each account line.