Fund Valuation Risk & Compliance Handbook

Fund Valuation Risk & Compliance Handbook 1 Voltaire ADVISORS

2019 Fund Valuation Risk & Compliance Handbook 3

INTRODUCTION

Welcome to the 2019 edition of the Fund Valuation & Compliance Handbook. Our objective in creating this directory of ﬁrms providing services to the asset management industry is to present, in one easily accessible location, as complete and representative a list of providers in this space as possible.

As befits our field of expertize, the Handbook Our handbook is divided into five sections: focuses primarily on the area of valuation and

compliance with regulations, standards and Administration & Custody – A fund’s best practice in this area. administrator invariably provides fund It may seem like an esoteric and arcane topic accounting services, calculates its NAV and to some, but the business of fund valuation typically acts as a valuation service provider. is mission critical to the survival and ultimate In this respect they fulfil a central role in the success of the industry. Asset managers – valuation process. both traditional and alternative – are now Audit & Accounting – The majority of funds firmly on the radar of global regulators, with are subject to either IFRS or US GAAP intense focus on standards of transparency, accounting standards and are audited governance, reporting, liquidity management annually under these regimes. Audit firms and fiduciary duty. This places an operational increasingly oer additional consulting burden on funds that many are unprepared for. services relating to valuation and compliance. Fund asset pricing is fundamental to the Consulting & Due Diligence – There are calculation of NAV, investor purchase and also a plethora of specialist firms (including redemption prices, manager performance ourselves) who oer services to funds and reports and subsequent fee income fund managers to help them to comply with calculations, fund market risks and exposures, their obligations. The most common of these regulatory reporting and audits and many are compliance consultants and those which other key operational functions. It is little perform operational due diligence (ODD). wonder, then, that regulators have focused heavily on this. In addition to specific Legal Services – Lawyers perform a crucial requirements for fund pricing (such as the role in the investment fund world, advising 1940 Act in the US and Article 19 of AIFMD on fund structuring and compliance and also in Europe), other regulations and standards dealing with any investigation or litigation issues. 03 Introduction relating to governance, transparency, disclosure and control of conflicts of interest Software & Data Vendors – Commercial 04 Administration & Custody also have a major impact on valuation policy vendors also play a crucial role in fund asset and procedure. pricing. In addition to pricing and market 24 Audit & Accounting Sound valuation is categorically not just an data vendors, from where values may be 50 Consulting & Due Diligence accounting issue. It encompasses a broad directly sources, there are also model and range of considerations for funds and fund analytic providers who supply pricing 76 Legal Services managers, including the organization and libraries used in-house. 96 Software & Data Vendors structure of a Board or Governing Body All of these industry segments have a part to fulfil its valuation responsibilities, the to play in the process of fund valuation and fund’s oering documentation, operational we have attempted to bring as many of them considerations such as stang and training, into one publication as we can. We hope vendor selection, SLA’s and due diligence that the standardization of the listing format and client and regulatory reporting. To meet will allow the reader to more easily identify these needs fund’s use a wide selection of exactly what each firm provides. service providers and this is where the Fund This filtering and search functionality will Valuation & Compliance Handbook comes in. be even more user friendly when our online version comes on stream in the next few weeks, so watch this space!

CONTENTS

Valuation Risk Handbook 4 Fund Valuation Risk & Compliance Handbook 5

Fund administrators typically play a central role in fund valuation – both traditional and alternative. In the course of the duties outsourced to them by the fund, especially accounting, they often perform the following functions which contain a valuation component:

• Calculate the Net asset value (“NAV”) which not surprising that they require the likes of includes the calculation of the fund’s income market data, reference data, corporate actions, and expense accruals and requires the updated evaluated pricing, indices and credit ratings, to pricing of securities perform their duties. Insofar as they produce their own valuations they also require analytics • Prepare periodic reports to shareholders and pricing models, and given the vast volumes • Maintain and file the fund’s accounts, including of data required to be processed, many deploy reconciliation of holdings with custody and data management software rather than rely on broker records spreadsheets. This topic is considered in more detail in the Handbook section devoted to • Pay fund expenses Software & Data Vendors. • Settle fund trading activity This section contains the details of all the • Prepare and file reports to regulators leading fund administrators, but also presents some of the smaller firms who specialize in the • Calculate the return and other performance peculiar needs of the likes of alternative asset measures managers and private funds. To achieve these objectives, fund administrators deploy a combination of internal resources and external vendors. As can be deduced from the range of tasks described, appropriate internal expertise is a pre-requisite for fund administrators. Sta with knowledge of investment operations, accounting, performance measurement and compliance are required, and fund administrators typically have a large body of qualified people to meet their needs. One notable feature of some of the larger administrators is the existence of specialist pricing and valuation teams. These units have been established to deal with the complexities of asset pricing and are usually composed of sta with quantitative skills, adept at interpreting pricing data or running internal pricing models. ADMINISTRATION In addition, fund administrators are heavy consumers of external vendor services, especially data and analytics. Given the & CUSTODY hugely varied investment landscape which fund administrators have to deal with it is 6 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 7

Founded in 2006, Atlas Fund Services (ATLAS) Back Oce Services BNY Mellon oers innovative services Putting Our Solutions to Work for You is a privately held, global fund service provider • Net Asset Value Calculation for monthly, developed exclusively for alternative Whether you’re executing your investment that oers specialized institutional level services weekly, daily NAVs investments. We provide a powerful platform decision, servicing your client’s portfolio, to emerging funds and seasoned mid-sized funds • Preparing portfolio valuations, ﬁnancial reports, to help clients manage the operations of analyzing and evaluating results or choosing that have assets over USD 800MM. customized P&L reports hedge fund, fund of hedge fund, private investments — we deliver the tools to • Fund Accounting equity and real estate assets. help simplify, streamline and enhance the Atlas oers a complete range of alternative investment management, administration and hedge fund service solutions including fund and • Preparing Annual Financial Statements The alternative investment sector is rapidly portfolio administrative process. Our goal is to portfolio accounting, hedge fund administration, • Partnership Accounting changing. Investors and regulators are design and deliver customized solutions that private equity and real estate fund administration • Assist with annual audit services, fund of fund administration, compliance demanding greater clarity and transparency, meet industry requirements and your priorities. • Independent Security Pricing Veriﬁcation services, risk reporting, investor services, volatile markets are changing your regulatory (Bloomberg, IDC, Markit) Registrar/Transfer Agency services, and Family industry requirements and you are facing Seamless Operational Support Oce solutions. • Automated Trade/Position/Transaction increased pressure to become more ecient, By integrating a full range of administrative capturing (FTP) all while exploring ways to grow your assets services, including custody, cash management, Key Facts about Atlas – your challenges keep evolving. At BNY accounting and administration, investor Investor Relations Services Mellon, we can help you capture your market • Full Service Fund Administrator & Registrar/ services and collateral services, we enable Transfer Agent for onshore and oshore funds • Maintenance of Shareholder Register opportunities and navigate through change. alternative investment managers to maintain • Processing subscriptions, redemption, transfers We have the solutions to allow you to focus on • SSAE COMPLIANT: ATLAS is SSAE 16 (SOC 1) their investment focus while we support fund what’s important to you. Type II Compliant; SSAE audit testing conducted • Handling wire payments and processing of operations. by Deloitte since 2009 distribution/dividend payments

• Fund Administrator incubator relations with key • Producing investor statements, contract notes, The BNY Mellon Solution Supporting Our Clients’ Hedge Funds synergistic partners and other distributions on behalf of the fund/IM As the world’s leading global investments firm, We provide an integrated hedge fund services • Front-to-Back fully integrated accounting • Investor due diligence (KYC), AML checks & we have the global scale, technology, depth of platform that manages both the middle- and platform investor compliance services and unique insights to deliver solutions back-oces of onshore and oshore hedge • Cost eective turn-key Emerging Manager to help you succeed. Whatever your investment funds. platform Compliance services & regulatory support goals, we support your success by helping Our comprehensive suite of services • Atlas-ACCESS secure online web reporting • Dedicated compliance team to manage fund you to: streamlines hedge fund operations, minimizes for Investment Managers & investors compliance with regulatory bodies • Maximize operational eciency and flexibility • Client dedication and attention to detail are administrative costs and helps investment • Statutory filings and monitoring of fund/investor • Reduce the time spent gathering and managers mitigate operational risks. Our hedge engrained in the company’s core values compliance with ongoing regulatory reporting organizing data fund services help clients service their financial • Committed team of professionals with solid such as US FATCA/ UK FATCA/ Form PF / & • Improve transparency assets throughout the entire investment backgrounds & industry experience various regional reports such as AIMFD/ LUX lifecycle by oering: • Strategic oce locations currently servicing CSFF/Canadian tax reporting • Manage compliance with regulatory bodies investment managers in the US, Europe, Brazil • Minimize counterparty risk • Support of a full range of investment and Latin America in local time zones strategies • Reduce costs • Turn-key Cayman Island fund set-up oering for • Customized client reporting

qualifying emerging managers • Global service model

Marina Lewin Mark Catalano Global Head of Sales for Alternative Investments Head of Business Development and US Asset Servicing Sales

Atlas Fund Services (USA) LLC BNY Mellon Alternative Investment Services 5550 77 Center Drive, Suite 250, Charlotte, NC 28217 101 Barclay Street, New York, NY 10286, USA t: (760) 889-1225 / (704) 322-3517 m: (631) 897-8246 t: +1 212 815 6973 e: [email protected] e: [email protected] w: www.atlasfundservices.com w: www.bnymellon.com 8 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 9 Your true partner to progress

YOUR TRUE PARTNER TO PROGRESS

Circle Partners is a global, independent fund • FATCA / CRS Reporting administrator with over 15 years of experience • AIFMD Annex IV Reporting in fund administration, fund set-up and fund structuring. We oer our services from the ◆ MIDDLE OFFICE SERVICES world’s major ﬁnancial jurisdictions to a wide range of investment funds, special purpose • Daily corporate action processing vehicles, companies and foundations. Our • Daily prime broker position, proceeds/cash clients are asset managers, banks and family and trade reconciliation oces, based in Europe, North and South • Reconciled T+1 P&L reporting America and Asia, with funds based in • Trade and position break reporting onshore and oshore jurisdictions. • Ad-hoc trades and position activity reporting

◆ FUND ADMINISTRATION SERVICES ◆ & REPORTING SERVICES INVESTOR RELATION SERVICES Our goal is to ensure that our clients can • Investor transactions processing solely concentrate on the management of their • Preparation and handling of capital calls funds’ portfolios, rather than on back-oce and distributions operations. We oer a complete range of fund • Maintenance of the unit/share register accounting and administration services for • Cash management mutual funds, including: • Eligibility, know your customer (KYC) and • Maintaining the ocial books and records anti-money laundering (AML) checks • Portfolio pricing and valuation • Communication with the investment manager, • Net Asset Value (NAV) calculation at the investors and third parties required frequency • Web-enabled reporting to unit/share holders • Performance fee calculation by using dierent equalization methods ◆ CORPORATE AND LEGAL SERVICES • Various fee (incl. carry) calculations and We assist clients in navigating through the payment services regulatory and legislative environment in • Equity multiplier and internal rate of return multiple jurisdictions by oering a full range (IRR) calculation of corporate and legal services. Our local • Distribution waterfall calculation presence and in-depth local expertise ensures • Expense calculation and payment services that clients receive services of the highest quality. In addition, we can recommend third • Partnership accounting party service providers in most jurisdictions. • Audit assistance • Incorporation services • Tailor made reporting • Legal services • Tax Reporting • Domiciliation and management services

Mr. Michel van Zanten – Global t: +41 44 286 1086 e: [email protected] Circle Partners Circle Partners is a global, independent fund administrator Utrechtseweg 31d Mr. Gerben Oldekamp - Europe providing a comprehensive range of fund administration, 3811 NA Amersfoort t: +31 33 467 3880 corporate, legal and reporting services to investment funds. e: [email protected] The Netherlands Ms. Kedi Chang - Americas w: www.circlepartners.com t: +599 (9) 738 1357 t: [email protected] www.circlepartners.com

CIRCLE6007 adv US EastCoast Report_210x297.indd 1 11-05-16 15:24 10 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 11

Citco Fund Services oers full service fund Back Oce Services administration from 19 strategic centers • Monthly independent portfolio verification across the Americas, Europe and the Far East. • Fund accounting and administration Our global presence reflects our philosophy to provide administration support wherever • Positions and balances reconciliation our clients are located. Our sta is dedicated • Daily cash reconciliation to meeting client expectations and deadlines. • Fee and expense accrual calculations We focus on building relationships and • Equalization calculations mutual trust. • Monthly financial statements • Fund and investor P&L allocation Front Oce Services • Indicative and reconciled RORs and NAVs • Real-time P&L • Investment restriction compliance monitoring • Real-time trade processing • Assist auditors with annual audit • Daily position, P&L and activity reporting • Production of monthly financial statements • Position monitoring • Fund and investor P&L allocation • Post execution trade capture • Support all incentive fee calculation • Flexible reporting: summary and detail methodology • Global security master • Review of expenses for payment • Unique client security master • Web-enabled reporting for fund managers • Master order blotter

• Ticket attribution Investor Relations Services • Process and review all subscriptions and Middle Oce Services redemptions • Trade capture • Open onshore and oshore bank accounts • Trade, position and cash reconciliations • Process capital activity • Administrator to Investment Manager • Web-enabled reporting for investors reconciliation • Disseminate NAV statements to investors • Trade Armation/Conﬁrmation • Investor veriﬁcation and KYC • Collateral Management • Shareholder registers • Treasury Management

• Daily independent listed and OTC pricing Data Warehousing Risk and Reporting • Flash P&L Services • Daily reconciled P&L As an extension of our service oering, we • Risk services – including VaR, stress testing provide multiple ways to support operational, and scenario analysis regulatory and risk reporting.

Declan Quilligan Managing Director

Citco Fund Services Customs House Plaza, Block 6, IFSC, Dublin 1, Ireland

t: +353 1 636 7300 e: [email protected] w: www.citco.com 12 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 13

KNOWLEDGE AND EXPERTISE IN THE Working with both U.S. and international FINANCIAL SERVICES IINDUSTRY: funds, GFAS leverages its extensive experience and utilizes best technology practices to Grassi & Co.’s Financial Services Practice is provide clients with ecient and eective committed to providing the highest quality administration services on a daily, weekly, assurance, accounting, tax and business quarterly, and/or annual basis. advisory services, including: Investment entities we service include: • Start-Up Services and Structuring • Hedge funds • Financial Statement Audits • Private equity funds • Investment Performance Reviews • Broker Dealers • SSAE 16 Internal Control Reviews • Oshore funds • Agreed Upon Procedure Reporting Break away from the • Venture capital funds • Tax Planning and Preparation • Family oces • Tax Estimates for Investors and Shareholders competition. • Managed accounts • Assistance with ASC 740 (FIN 48) Issues Break away from the • Commodity pools Our Team assists over 250 clients spanning investment entities of all types, including • Fund of funds investment partnerships, broker dealers and • Real Estate Investmentcompetition. Trusts registered investment advisors. We are a PCAOB registered and inspected firm and our professionals have the knowledge and ABOUT THE FIRM insight to help you navigate through the Grassi & Co. is among the Top 100 largest firms complexities of the highly regulated in the U.S. and has a dominant presence in Financial Services Industry. the New York Metropolitan area. The Firm’s Financial Services Practice is headquartered FUND ADMINISTRATION SERVICES in New York City and has a global presence through Moore Stephens International, one Grassi Fund Administration Services, Inc. of the largest associations of independent (“GFAS”) provides complete administration accounting firms in the world. of all operational fund functions. By partnering with clients, the GFAS Team assists in building Our Financial Services Team leverages the profitable and compliant funds as well as Moore Stephens network to oer domestic takes an active role in the development and international clients with a full suite of and implementation of processes and accounting, tax and consulting services — procedures that result in a more ecient providing Big 4 equivalent intellectual operational structure. capital and quality service that spans the global market.

Grassi & Co 488 Madison Ave, 21st Floor, New York, NY 10022

t: 212-661-6166 w: www.grassicpas.com

www.grassicpas.com www.grassicpas.com/gfas

www.grassicpas.com www.grassicpas.com/gfas 14 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 15

HedgeServ is a service-driven global Our growth is driven by deep relationships MUFG’s Investor Services Group seamlessly and develop fund administration solutions to administrator with unique capabilities. with our satisfied clients, who have successfully brings together a number of leading global meet client needs Investment managers of all strategies partner outsourced their risk & portfolio management, businesses across the asset servicing • Continual investment in people, technology spectrum – providing solutions from fund with us to grow, adapt, and elevate their middle oce, and back oce operations and processes to support our clients administration, custody and transfer agency throughout the trade lifecycle businesses. to HedgeServ without sacrificing quality, to FX, trustee, depository, securities lending, eciency, or controls. banking services and a broad range of Comprehensive Solutions regulatory solutions. Asset managers now compete in a dynamic HedgeServ has set the industry benchmark • Diversified client base of mutual funds, hedge environment with complex challenges and for client satisfaction by focusing on service funds, fund of funds, private equity, family operational requirements. Partnering with and continuous investment in technology. Comprehensive Fund Administration oce, and real estate across all investment the right professionals has never been more Our culture is underpinned by the most Never before has so much been expected strategies, asset types, and fund structures important. experienced client service teams in the during the fund administration process. We utilising MUFG’s comprehensive fund industry and an unmatched track record of know this because our clients face it first. administration solutions Fund managers can no longer aord to simply delivering accurate information to managers From regulatory reporting requirements • Dierentiated front, middle, and back oce “check the box” when evaluating a fund and investors. such as AIFMD, Form PF, to staying ahead services driven by a robust and scalable administrator. The experience, capabilities, of technological and product progression, if technologies platform and expertise of the fund administrator in the pressure on the managerial bandwidth is • Flexible and customized reporting capabilities supporting alternative strategies and products immense, the fund administrator is there to to meet the ever evolving needs for both - and not just their AuA - matter most. The share and lighten the load. managers and investors HedgeServ management team owns an • Comprehensive regulatory reporting unparalleled track record of innovating best Why MUFG Investor Services? capabilities including AIFMD, Form PF, CPO- practice over the past two decades and is Providing fund administration solutions for PQR, EMIR and FATCA (UK & US) collectively the most experienced, and deepest, over 1,100 funds worldwide, MUFG Investor • Strong reputation for developing customized team in the industry. Services recognizes the need for a relationship solutions and servicing the most complex manager to act as a single point of contact trading strategies The talents and commitment of our people for every client. Through our partnership

enable HedgeServ to remain flexible and driven model, we provide comprehensive fund responsive to our clients’ increasing needs for administration solutions that suits clients’ Industry Leading Platform high-quality, customized services. specific requirements, underpinned by our • Market leading combination of vendor and industry leading technology. proprietary technologies to deliver fund HedgeServ supports all alternative investment administration solutions Whether converting from an existing strategies and fund structures from a single, administrator or launching a new fund, MUFG • Common technology infrastructure and real-time technology platform with SOC 1 will partner with clients throughout the workflow management across our global certified controls. trade lifecycle, taking ownership and being service centers enabling us to provide more accountable each step of the way. frequent services, with increased eciency Our clients benefit from a collaborative and consistency solution, which extends their own capabilities, • Proven experience of successful system reduces their total costs, and delivers flexibility Client Centric integrations, with bidirectional data feeds • Single point of contact throughout the and scale to stay ahead of the curve. with clients partnership • Leveraging leading third parties, such as • Relationship manager who works with the Markit, Broadridge, Advent Geneva, Omgeo client and a highly accessible, detail-oriented and Investor Analytics to further expand fully senior management team to identify and integrated oerings. proactively address emerging industry trends

Michael Mannella Karen Cameron Manager, Business Development Global Head

HedeServ MUFG Fund Services 1271 Avenue of the Americas, 38th ﬂoor, Ormonde House, 12-13 Lower Leeson Street, New York, New York 10020, USA Dublin 2, Ireland

t: +1 212 920 3520 t: +353 1 662 0048 e: [email protected] e: [email protected] w: www.hedgeserv.com w: www.mufg-investorservices.com

16 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 17

The NAV Group, comprising of NAV • Audit/Regulatory support Consulting, Inc., NAV Fund Services (Cayman) • FATCA compliance (DD, Withholding and Ltd., and NAV Backoce Solutions Pvt. Ltd. Reporting) (“NAV”), founded in 1991, is a full service • Data feeds to external stakeholders/RIAs international global fund administrator. (DTCC/NFS/Backstop) NAV’s 400 sta service 720 clients and $54 INDEPENDENT | INNOVATIVE | INTERNATIONAL billion AUA. NAV has maintained a 99% client • Form PF retention rate over its 25 year history. Clients • CTA –PR, CPO-PQR, NFA filing include hedge funds, CTAs, private equity, • Annex IV reporting under AIFMD fund of funds, family oces and managed accounts, trading every alternative strategy. Investor services • SEC registered Transfer Agent Why NAV? • Subscription/addition/redemption processing • Highly responsive service for multi-billion dollar to startup funds • Anti-Money Laundering, OFAC, World Check, and FATF • Non conflicted, wholly focused on administration • Dual-controlled cash disbursements • Competitive, straightforward, transparent • Direct communication for transactions, pricing statements, contract notes, capital calls • Ranked within 12 largest fund administrators globally and 1st for CTAs On-line Web Portal & Reporting • ISAE 3402 (Type II) Audited by KPMG • Library of 2,000 customized reports • Proprietary technology and software platform • Risk, performance and exposure attribution • Advanced systems automation increases • Portfolio look-through eciency and lowers costs • Web archival, data warehousing and workflow • Processes identify areas of substantial cost management benefits • Fully transparent, multi-dimensional position • Comprehensive reporting suite and interactive data mining tools web-portal solutions • Dashboard aggregates multiple funds and Complete Fund Administration, Investor Services, Tax, Compliance portfolio strategies Administration and Back Office Support to the Alternative Investment Industry • Expertise with complex multi-fund, SPV and Tax Services intricate fee calculations • Schedule K-1s, PFIC and Form 1042s • Net Asset Valuations, (daily’s delivered by • Federal/State Filings OUR INDEPENDENCE OUR PEOPLE 6AM ET, subject to 3rd parties) • Prepare, file and assist with UBTI/foreign NAV is not affiliated with any bank, broker, or other services NAV’s team brings a wealth of knowledge to each client • Independent price verification entities/investors provider. Being 100% privately owned for our entire history engagement. We are proud to have remarkably low staff • Three way portfolio reconciliation has meant one thing above all: we are not bound by the need turnover. NAV’s commitment has always been to seek out the • Support IRS notices and audits for short-term investor results. We have always been free to best educated and most seasoned industry professionals. Our • Daily trade break reporting • Intra-year estimates make our priority a long-term view with continuous capable people are prepared, responsive, and led by a veteran • Annual Financial Statements investments into our infrastructure, our people, and our management team to provide the highest quality of service technology. NAV’s wholly-owned, proprietary technology, also and support to our clients. eliminates any dependence on licensing technology from competitors or other third parties. OUR RESOURCES Adam Brass OUR IT AND INFRASTRUCTURE NAV is a financially strong, debt-free business with offices in Chicago, Jaipur, and the Cayman Islands, including a 100,000 Executive Vice-President We are a forward-looking firm and we innovate, enhance, and sq. ft. of state-of-the-art Backoffice Operations Center. NAV advance our infrastructure and systems every day. We pay uses the latest core hardware technology, advanced software attention to the details of programming, accounting, data and web-based resources to ensure both our staff and our NAV Consulting integrity, cyber security, and disaster preparedness. We are clients have access to the best products and applications to 1 Trans Am Plaza Drive, Suite 400, Oakbrook Terrace constantly optimizing our control environment and core monitor client portfolios, produce accounting, investor and IL 60181, UNITED STATES software with upgrades to our processes. We focus on using compliance reports, and create efficient and customizable the most advanced technology and creating a culture of rapid, reporting and communications. t: +1.630.954.1919 effective improvement. e: [email protected]

w: www.navconsulting.net

Northern Trust Hedge Fund Services Combining specialist people, market-leading (NTHFS) is a leading provider of fund technology and a robust operational control administration and middle-oce services framework, our clients experience a highly for hedge funds and institutional investors focused, globally coordinated approach with complex portfolios. through hedge fund servicing locations in Chicago, New York, London, Dublin and NTHFS’ capabilities change the relationship Hong Kong. between managers and their administrator through a full-service, front-to-back operating Comprehensive Middle-oce and Fund model that can support any asset or Administration Services strategy with unparalleled ﬂexibility in data • Full-service integrated middle- and back- management and reporting. Our Omnium™ oce platform technology platform oers clients unsurpassed transparency into operations, interactive • One system across all products, strategies utilities to support trade activity, portfolio and lifecycle events performance, investor servicing and cash • Interactive real-time transparency via our management; and virtually unlimited strategy market-leading Omnium™ technology and attribution tagging capabilities – all in real time. • Virtually limitless strategy and attribution tagging

Innovative Solutions to Deliver • Data consistency made possible by a single Operational Alpha® data set across the platform The mission of NTHFS is to position clients • Relationships spanning all major domiciles for success by giving them the ability to focus and jurisdictions on executing their investment strategies and growing their business by helping them get • Consultative expertise from professionals to market faster and reducing time spent on who know the business operational matters. We call this added value • Implementation support for fund launches Operational Alpha®. and conversions • A broad core service oering including Superior Service and Dedicated Expertise trade processing, asset servicing, valuation Backed by the scale, stability, and ﬁnancial and P&L reporting, cash services, collateral strength of one of the world’s most respected management, reconciliations, fund ﬁnancial institutions, NTHFS supports clients accounting, investor servicing and reporting with a global team of expert professionals • Integrated support services including who know the industry, and are committed custody, safekeeping and brokerage services to understanding our clients’ objectives and oering services that position their funds for success.

Michael Blake, CFA Head of Business Development, NA

Northern Trust Hedge Fund Services 50 S. LaSalle St., Chicago, IL 60603

t: (312) 444-5655 e: [email protected] w: www.northerntrust.com/alpha 20 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 21

SS&C Technologies, Inc. is a leading provider Asset Price Verification As you focus on generating risk-adjusted Custody of software solutions and services for • Validation and verification of third-party returns, creating new products to meet Integrated custody solutions tailored to the the international investment community. valuations, e.g., custodians, banks, self- growing investor demands and meeting the specific needs of hedge fund managers. Investment managers, broker/dealers, obligations of the ever-changing regulatory administered asset managers, other Depositary/Trustee services sponsors, and custodians around the world administrators landscape, you need a trusted partner to use SS&C’s mission-critical and decision support you with the day-to-day management We can act as your depositary, oering support systems. SS&C brings together • Rigorous valuation processes using multiple of your funds. Our online platforms provide services across key markets, asset classes and experts in investments, providing superior price sources and tolerance checks to you with transparency into daily deliverables fund types, including “depositary lite” services. client service from its headquarters in support compliance with fair market valuation via real-time dashboards and tailored Windsor, CT and subsidiaries in Canada, standards (FAS 157 / ASC Topic 820) reporting. DATA AND ANALYTICS United States, Australia and Europe. • Analysis of vendor/broker pricing Risk management methodologies and sources We oer a comprehensive and dedicated State Street Analytics provides you with SS&C GlobeOp is a global leader in providing hedge fund solution that spans the entire solutions to meet various needs, including risk independent financial asset valuation solutions Comprehensive Valuation Solutions investment process across a full spectrum of management reporting, data management, to hedge funds, fund of funds, pension fund strategies, domiciles and structures. • Single source for valuation services portfolio construction, and investor and funds, banks, custodians and other buy-side As a global service provider, our Hedge Fund investment board reporting. • Consistent, verifiable valuation processes institutions. SS&C GlobeOp delivers valuation Services team operates under a follow-the- across all assets services across a comprehensive spectrum sun model, providing you with full coverage of INVESTMENT RESEARCH AND TRADING of financial products using proven valuation • Powerful support for investor due your trade support, accounting and investor Enhanced custody methodologies, independent diligence processes servicing requirements regardless of the time sources, consistently applied processes Finance your equity portfolio through your • Documented and tested processes (SAS zone in which your investment management, and advanced technologies. custody account. 70 Type II) to support client internal and operations or investors are based.

With increased regulatory and institutional external audits For both hedge funds and fund of hedge funds, investor focus on transparency and our comprehensive range of solutions includes: Foreign exchange services • Tailored services to support client-specific independence, SS&C GlobeOp’s Valuation Integrated solutions providing proprietary valuation policies with independent, Services assures all stakeholders – investment research, sophisticated trade execution consistent processes and timely reporting. INVESTMENT SERVICES managers, investors, administrators and services and flexible liquidity services across Outsourcing services auditors – about the integrity of the multiple platforms. Our middle-oce solution spans the entire valuation process. trade cycle from trade-date processing and Futures clearing and execution confirmation to discrepancy reporting, trade SS&C GlobeOp Valuation Services include: settlement and collateral management. A global execution and clearing oering for exchange traded derivatives. Asset Valuation What’s more, our regulatory reporting • Comprehensive, systematic pricing of Fund accounting and fund administration expertise oers a suite of solutions that can exchange-traded and OTC, securities and Trained fund accountants deliver accurate be tailored to your needs, including AIFMD, derivatives calculations of your NAV and financial FATCA, Form PF and CPO-PQR. • Independently-sourced rates and prices statement preparation. • Market-standard valuation models • Advanced straight-through-processing (STP) technologies

SS&C GlobeOp State Street t: +(1) 800 234 0556 78 Sir John Rogerson’s Quay, Dublin 2, Ireland e: [email protected] w: www.sscglobeop.com t: 353 1 776 8000 w: www.statestreet.com 22 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 23

At SGGG FEXSERV Fund Services (Malta), • Co-ordination of the annual/interim audits our knowledgeable team of accountants • Calculation and disbursement of and other professionals oer you the depth management, performance, administration of experience and professional training and custody fees required for trustworthy, trouble-free fund administration. • Calculation of distributions • Partnership / trust accounting With the experience of SGGG FSI having • Tax document preparation over 220 alternative strategy funds under administration worldwide, we have seen • Publication of NAV on pricing platforms virtually every type of fund strategy, enabling

us to develop a sophisticated understanding of your needs. To this we add the experience Shareholder Registry and servicing of Fexserv Financial Services which has been a • Maintenance of shareholders’ register main player in the ﬁnancial services industry. and records We act as your administrative partner, helping • Processing of all subscriptions, transfers you focus on the management of your fund. and redemptions including review of AML Operating out of Malta and through our documentation aliate oces in Toronto and the Cayman Islands, we provide third-party Fund Valuation • Shareholders communication letters and & Accounting, Unitholder Recordkeeping and statements Transfer Agency administration services to investment fund managers. Other services SGGG FEXSERV can manage the Fund • Assistance and advice on fund structuring Valuation and Unitholder Recordkeeping and fund formation services needs of any product type, for ﬁrms of any size. We are able to provide an immediate • Setting up of bank accounts total administration solution or a phased-in • Liaising with key service providers implementation approach to suit a start-up Client’s growth over time. • Assistance and advice regarding oshore structures

Fund Accounting & Shareholder Registry • Registered oce/Company Secretarial Services services Our aim is to provide the highest level of client • AIFM related reporting servicing in a consistent manner and tailored • Risk Management for the speciﬁc needs of each client. • Provision of Compliance Ocer / MLRO appointments Fund Accounting and Valuation • Assistance with FATCA • NAV calculations (daily, weekly, monthly, etc) • Turnkey AIFM fund platform solutions • Maintenance of accounting records and preparation of ﬁnancial statements

Anabel Mifsud Chief Executive Ocer

SGGG FEXSERV Fund Services (Malta) Alpine House, Naxxar Road, San Gwann, Malta SGN 9032

e: [email protected] t: +356 2576 2121 w: www.sgggfexserv.com The vast bulk of funds prepare periodic (usually annual) accounts in line with International Financial Reporting Standards (IFRS) or US Generally Accepted Accounting Principles (GAAP). These accounts may well be prepared by their fund administrator in their role as fund accountant, but regulations and standards require that they also be audited by a qualiﬁed professional ﬁrm.

Part of the audit process involves (or certainly In addition to auditing funds, the firms should involve!) testing of prices used in NAV performing this function sometimes have calculations. Audit firms will compare prices wider professional services and consulting used by funds against other sources or with capabilities, and can perform other tasks such their own internal models and query any as undertaking operational control assessments material dierences. These exceptions will need like ISAE 3402. Best practice advises that such to be resolved to the auditors satisfaction before firms not provide additional consulting services they sign o on the accounts. to those funds they audit to avoid conflicts of An added complication is introduced where Fair interest. Value assessments are deployed. These more This section contains the details of all the subjective opinions of value are naturally subject major fund audit firms – dominated inevitably to greater scrutiny than exchange traded by the ‘Big 4’. However, in common with the instruments (although it should not be assumed other sections we also try to showcase some that a price is valid simply because it is quoted of the smaller firms involved specifically in the on an exchange). This process oers a greater alternative side of the industry, or as niche fund margin for error and potential manipulation auditors. and needs to be rigorously documented and transparent. Both IFRS 13 and FAS 157/ASC 820 require assets that are Fair Valued to be classified according to a specified hierarchy Level 1, 2 or 3 (known colloquially as ‘Levelling’). This is another area of potential diculty, with the desire for many funds to avoid having too many Level 3 assets often conflicting with the evidence. Audit firms are also required to comment on this process and attest whether the Levelling of a fund is sound and defensible. Some best practice guidelines suggest that the funds collaborate with their auditor ahead of the audit to ensure that the Levelling exercise is done to their specifications. Whilst this will clearly avoid problems and debates during the audit itself, great care clearly needs to be taken that the fund or its manager does not place AUDIT & undue influence on the auditor. ACCOUNTING 26 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 27

NO GREY AREAS HERE There’s so much more to valuations than We have particular expertise in specialist areas number crunching. The real challenge is such as valuations of unquoted companies, arriving at a valuation that is fair. This involves intellectual property and other intangible a fine interplay of business acumen, legal assets, unincorporated businesses and When you need to know the value of a business, ‘roughly’ expertise and technical knowledge, and is as associated liabilities. We act as experts in just won’t do. BDO’s Valuations team combines business much an art as a science. relation to disputed transactions, assessment of loss, share expropriation, and Section 994 acumen, legal expertise and technical knowledge to claims. We also provide expert valuations for You might need an independent valuation of a international arbitration, matrimonial disputes eliminate grey areas and give you a truly independent business for any number of reasons – such as and insolvency related litigation. valuation. for accounting standards or for compliance, Our market position means we can oer true litigation, commercial or tax purposes. impartiality not only throughout the UK but BDO’s Valuations team is one of the largest in virtually anywhere in the world. Our UK firm the UK, and includes experts who are published is a member of BDO International, the fifth Whether you need a valuation for new accounting authors in the field. Our client base comprises largest global accountancy network with over standards or for compliance, litigation, commercial or tax FTSE 100 companies, governments, lawyers 1,250 oces in 144 countries. This means we and regulators, and covers a wide range of can provide the same standards of service and purposes, we’ll give you the figure in black and white. sectors including Pharmaceutical, Financial comparable multi-disciplinary teams no matter Services, Natural Resources, Power & Utilities where in the world you need us to be. (including Water, Oil & Gas and Renewables), And it should go without saying that, as a Real Estate, Manufacturing, Technology and major firm, we can also provide you with all Telecommunications. the audit, tax and advisory expertise that your business needs to thrive, both nationally and internationally. Just as we are committed to delivering expert valuations, we also believe in delivering great value. It’s all part of our exceptional client service.

David Mitchell For more information please contact: National Head of Valuations David Mitchell, National Head of Valuations

t: +44 (0)20 7893 3470 e: [email protected] BDO Tomas Freyman, Partner 55 Baker Street, London W1U 7EU t: +44 (0)20 7893 2748 e: [email protected]

t: +44 (0)20 7893 3470 e: [email protected] w: www.bdo.co.uk/valuations BDO LLP is authorised and regulated by the Financial Conduct Authority to conduct investment business. 28 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 29

FOCUS ON WHAT COUNTS Our experience allows us to complete our FOCUS ON work in an ecient and timely manner so that When you are free to focus on what counts, you can focus on your important business business thrives. Whether you are an initiatives. entrepreneur, a middle-market company, or WHAT COUNTS a global publicly-traded conglomerate, the Citrin Cooperman team strives to understand A business approach to servicing our clients. a company’s dierentiators, providing Our practical service approach dierentiates valuable input on business decisions and Citrin Cooperman from other accounting strategic direction. With foresight, technical firms in the areas of quality and eciency. proficiency, and an understanding of the We believe it is important to look beyond the accounting entries to the underlying [PERSPECTIVE] industries we serve, Citrin Cooperman simplifies the complex. We work with our activities and operations that give rise to clients to provide strategic advice for key these transactions. Understanding these lifecycle moments, actively bringing our activities and operations yields insight into best-in-class resources so you can focus an organization’s financial statements – and on what counts. leads to a better audit. In addition, we will understand your business, including the systems, procedures, internal controls, and, Personalized attention. At Citrin Cooperman, finally, your people. we pride ourselves on the level of service we provide to our clients. What dierentiates our firm from others is that we have heavy What we oer: partner and manager involvement on our - Core audit and tax compliance engagements. Our big picture perspective and our commitment to our clients have resulted in - Performance assurance relationships that have lasted for decades and - International tax compliance often across generations of leadership within a company. Nothing makes us prouder. It is this - Transaction and Advisory services same kind of long-term relationship that we for portfolio companies hope to establish with you. - Valuation services related to: o hard to value assets Industry knowledge. There is no substitute for experience. We service funds with dierent o litigation, expert testimony investment strategies and understand the o intellectual property and challenges you face on a daily basis. You will intangible assets benefit from the financial services industry knowledge of our engagement team, which is supported by our quality assurance team.

MEGAN GARUFI, CPA JOSEPH J. PUGLISI, CPA Partner Partner

Citrin Cooperman Citrin Cooperman 529 Fifth Avenue, New York, NY 10017 529 Fifth Avenue, New York, NY 10017

t: 212.697.1000 x1523 t: 212.697.1000 x1537 f: 212.697.1004 f: 347.226.7495 e: mgaruﬁ@citrincooperman.com e: [email protected] w: www.citrincooperman.com w: www.citrincooperman.com

CONNECTICUT | MARYLAND | NEW JERSEY | NEW YORK | PENNSYLVANIA CITRINCOOPERMAN.COM 30 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 31

We help our clients address some of their most challenging valuation issues, ranging from strategic, transactional and operational decisions through to regulatory compliance and monitoring. By combining our specialist valuation skills with our commercial and industry expertise, our work provides deep insights that stand out through the impact we have on the reputation and success of our clients. We pride ourselves on our ability to listen to our clients, understand their needs and help them develop bespoke solutions to complex valuation issues.

ABOUT US Deloitte capitalises on its vast valuation experience gained from assurance work and Valuation is often a controversial and complex quantitative modelling and analytics skills subject. It requires in-depth understanding of from bespoke restructuring and transaction the market, the asset in question, the company assignments. We also utilise the knowledge and its competitors, financial and non-financial from market leading pricing advisory information, as well as factors such as the legal engagements across Europe. and regulatory environment. Valuation advice needs the right blend of analysis, experience The UK Valuation group is a key member and professional judgment. of Deloitte’s global valuation practice. This provides access to a team of over 1,500 Our specialist valuation team advises on dedicated valuation professionals in all major all aspects of valuing companies, income geographic markets and jurisdictions. generating assets, listed and unlisted securities, derivatives, structured credit, asset backed securities, intellectual property and intangible WHAT DO WE OFFER? assets. In addition we oer the largest and • Portfolio valuations most comprehensive real estate valuation capability of any of the major business advisory • Financial instruments and practices. structured products We are able to support the provision of • M&A and investment analysis rigorous fair value assessments for clients by • Reorganisation, turnaround and coordinating ecient, consistent and controlled recapitalisation valuation capability with technology and resources across our firm to deliver a high • Litigation, expert determination and disputes quality service. • Intellectual property and intangible assets We oer a commercial perspective that is • Real estate and tangible assets supported by technical rigour and the insights and experience gained from performing • Fiscal Valuations numerous major assignments in the UK and internationally every year.

Andrew Robinson Head of UK Valuations Standing out from the crowd

Partner Deloitte is unafraid to challenge established conventions to achieve better results. It is not simply number crunching. Deloitte’s Valuation team combines a wide range of expertise in highly effective ways to form robust opinions – t:+44 20 7007 2769 standing out through the impact we have on the reputation and success of our clients. e: [email protected] w: www.deloitte.co.uk/valuations

36582A lc GDA.indd 1 15/07/2014 11:53 32 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 33

With a 360° approach, we are with you at every turn.

Today’s landscape can be both trying and fortuitous for investment companies. Whether you are a hedge fund or private equity group, you Elliott Davis Decosimo ranks among the INVESTMENT COMPANIES SOLUTIONS need the right team with the right experience top 30 accounting firms in the U.S. Our Assurance to help you step up to opportunity and conquer Investment Companies practice provides a wide range of assurance, tax and consulting • Financial statement review or audit challenges. Our high-performance team provides services to a variety of investment entities. • Surprise custody examinations under SEC everything from audit and tax solutions to We are a PCAOB-registered and inspected Custody Rule provisions for Registered specialized advisory services across the spectrum Investment Advisors firm and have been recognized by HFMWeek of industries. Let us guide your business through and HFAlert.com as one of the leading • Investment performance verification unpredictable terrain. hedge fund auditing firms in the nation, ranking #10 among the Top 20 auditors of Tax hedge funds managed by SEC-registered investment advisors. • Tax planning for securities transactions to ensure optimum tax benefit • Preparation of federal, state and local We serve many types of funds, including fund income tax returns of funds, hedge funds, private equity groups, • Representation before the IRS venture capital funds, real estate partnerships, small business investment companies, • Assistance with complex tax allocation issues mezzanine debt funds, common trust funds, • Implementation of procedures to evaluate unit investment trusts, oshore funds, business and monitor uncertain tax positions trusts and group trusts. These funds range in • FATCA implementation assistance size from small start-ups to funds with more • Tax compliance related to U.S. taxation of than $1 billion in assets, with our primary foreign investors and foreign entities focus being in the $50 million to $500 million range. In addition to traditional assurance and tax services, our services include investment Consulting performance verification, valuation of privately- held investments and surprise custody • Management consulting regarding: examinations under the SEC Custody Rule o Initial capitalization and organizational provisions for Registered Investment Advisors. structure Our team is forward-thinking and strategic, o Regulatory agency memberships providing a 360° perspective and looking at o Regulatory examinations the bigger picture, dynamic details, challenges and opportunities to bring our clients the best o Accounting and back oce support solutions. We deliver fully engaged, high- related to net capital and internal controls quality service to help ensure our clients are o Investment performance measurement confident and well-equipped to make key • Assistance in review and preparation of financial decisions. regulatory reports Learn more at www.elliottdavis.com • Independent due diligence and transaction services • Valuation of privately-held investments

Renee Ford, CPA Shareholder

In Transaction Advisory Services our Modelling 8,700 global professionals deliver tailored Building an eective business model, whether advice attuned to your needs – helping it’s to evaluate a transaction, a new market you drive competitive advantage and opportunity or for other strategic purposes, increased shareholder returns through is a complex and dicult task. improved decision-making, through services that include: Our business modelling professionals can help you carry out the model review, model support and model-build activities you need • Lead Advisory to make key decisions and improve your • Restructuring strategic outcomes. • Operational Transaction Services

• Transaction Support Economic Advisory • Strategy Economic Advisory uses the fundamental principles of economics to address client • Transaction Tax needs in the areas of policy, regulation and • Valuation & Business Modeling commercial decision making. We draw on the breadth of EY’s capabilities and global reach, and underpin our work with rigorous, evidence- Valuation based quantitative analysis and deep sector The need for transparent and robust valuations expertise. Visit our webpage to ﬁnd out more. to support corporate transactions and to meet regulatory and accounting requirements has increased. But justifying the value of assets and liabilities has grown more complex and critical for most businesses. Our experienced professionals bring excellence in accounting, taxation, and ﬁnancial due diligence to provide you with valuation advice for a multitude of purposes.

Peter Galka Partner, Transaction Advisory Services

Ernst & Young Harcourt Centre, Harcourt Street, Dublin 2

t: + (353) 1 475 0555 e: [email protected] w: www.ey.com 36 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 37

The Valuations team has wide experience in • sophisticated compensation arrangements valuations of companies, intangible assets for your company executives and assistance and ﬁnancial instruments. We serve in determining fair market value for ﬁnancial enterprises of all types and sizes, covering reporting (eg Share-based Payments under a wide range of industries. IFRS 2) or tax planning purposes • fair value measurements for Level Three assets under IFRS 13 (or FAS 157/ASC Topic Complex Asset Valuations and Advisory 820 under US GAAP) and understanding how Services ‘CAVAS’ these assets will aect your balance sheet as Grant Thornton’s CAVAS team has broad well as better assessment of credit risk in fair valuation, transactional and risk management value measurement (CVA, DVA, FVA) experience in complex distressed, alternative and illiquid assets. Our team is dedicated to • eective risk management frameworks solving any complex valuation challenges in the (eg value-at-risk, counterparty risk) and industry, bringing a unique perspective to the developing stress testing methodologies valuation process. and procedures We provide advice and solutions for • independent and consistent valuation marks acquisitions, disposals, mergers and for bespoke structures in energy markets, restructuring proposals; taxation purposes; such as embedded optionality in supply valuation of items such as trademarks, brand contracts or investments in real assets names, know-how, customer lists, patents and • ecient integration of evolving regulation licences; dispute resolution; and regulatory and accountancy frameworks, eg Basel III, and accounting matters. EMIR, Solvency II, IFRS IAS 39, IAS 37 and national GAAP rules

The Grant Thornton CAVAS team can help • ecient hedging strategies for your you achieve: significant risk exposures • greater pricing accuracy and the highest We use a variety of methodologies and models levels of transparency for your entire portfolio that reflect best practice in the market. Our valuation, including risk metrics team utilise a wide range of quality market • the highest levels of transparency enabling data including interest rate, credit and you to comply with the Alternative inflation curves, implied volatility skews and Investment Fund Management Directive implied correlation data for an unlimited (AIFMD) and the Dodd – Frank Wall Street range of assets. Reform and Consumer Protection Act

Mike Thornton Partner, Head of Valuations

Grant Thornton 30 Finsbury Square, London, EC2P 2YU

t: +44 (0)20 7728 2644 e: [email protected] w: www.grant-thornton.co.uk 38 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 39

KPMG’s Valuation Services practice is part • Finance support – in relation to equity raising of KPMG’s global network of member firms of debt financing Do you need with more than 1,200 dedicated valuation • Internal reorganization support – identify professionals in nearly 50 countries. Our and support arm’s length value analysis for global network allows us to mobilize internal planning purposes international teams, who have a sense of to know what regional market conditions and can consider • Funds – the valuation of illiquid assets, local issues such as taxes and market debt securities, derivatives, liabilities and regulations, in a timely manner. asset retirement obligations within a fund/ investment your business Our Valuation Services teams have extensive • Restructuring – valuation advice and experience in providing valuation services disposal options review in connection with in relation to transactions, reorganizations, an Independent Business Review (‘IBR’) and assets are disputes, litigations, financial reporting, independent valuation options for the benefit restructurings and funds. of an administrator (or similarly acting party) We also work closely with KPMG’s Joint • Venture capital and holding company Ventures teams, especially around market support – establishing the value of unquoted worth? entry. JV set-up and exit planning and investment portfolios can help venture implementation. capitalists and holding companies in their Companies seek valuations for corporate governance or strategic investment decisions regulatory reasons, or because management wants to better How KPMG can help • Litigation support – supporting litigation or understand value so it can make optimal decisions. In these We assist member firms’ clients with the arbitration, particularly expert witness and instances, a company is often at a critical juncture – it may following: adjudication work in valuation disputes be planning an acquisition, resolving a shareholder or joint • Independent board advice – to help KPMG is a global network of professional firms venture dispute, or seeking to reduce the gap between determine the right price to pay or accept providing Audit, Tax and Advisory services. intrinsic and market value. At such a strategic time, it makes for a business We operate in 155 countries and have more sense to seek the services of an experienced commercial • Investment and transactional advice – to than 155,000 people working in member firms valuations team. analyze investment opportunities, sometimes around the world. The independent member KPMG’s Valuation Services teams have the technical skills and as an integral part of the due diligence firms of the KPMG network are aliated with exercise. KPMG International Cooperative (“KPMG practical deal experience to provide objective, independent • Fairness opinions – advice on the fairness International”), a Swiss entity. Each KPMG firm advice. KPMG member fi rms’ professionals recognize that of the price and terms of a transaction, as is a legally distinct and separate entity and a valuation is not a simple numbers exercise. Our approach required by regulatory authorities, in public describes itself as such. is to focus management’s attention on many of the key takeover bids, demergers, squeeze-outs and transactional or strategic issues that can help generate related party transactions © 2015 KPMG International Cooperative (“KPMG shareholder value. – determining the value International”), a Swiss entity. Member firms of the KPMG • Accounting support network of independent firms are aliated with KPMG of identifiable acquired intangible assets International. KPMG International provides no client services. such as trademarks, brands, technology, and No member firm has any authority to obligate or bind KPMG For more information please contact: customer relationships, and tangible assets International or any other member firm vis-à-vis third parties, such as machinery, equipment, and real estate nor does KPMG International have any such authority to obligate or bind any member firm. All rights reserved. Doug McPhee Matthew Warren as well as impairment reviews Global Head of Valuation Director Services KPMG in the UK Tel:+44 20 73118524 Tel: +44 (0) 20 7311 8942 E: [email protected] E: [email protected] Doug McPhee Global Head of Valuation Services kpmg.com/socialmedia kpmg.com/app KPMG in the UK

t: +44 (0) 20 7311 8524 e: [email protected] w: www.kpmg.com © 2014 KPMG International Cooperative (“KPMG International”). KPMG International provides no client services and is a Swiss entity with which the independent member ﬁ rms Follow KPMG in the UK on Twitter, LinkedIn and YouTube of the KPMG network are afﬁ liated. All rights reserved. The KPMG name, logo and “cutting through complexity” are registered trademarks or trademarks of KPMG International. 40 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 41

BUSINESS VALUATION & FINANCIAL ADVISORY SERVICES

No matter the market, we’ve been there. • Experience in litigated contexts. Audit review is one thing; regulatory review after Mercer Capital’s portfolio valuation advisory something unforeseen has happened is practice is rooted in over three decades another. Mercer Capital has been the expert of valuation experience. There is nothing of choice in some of the most high profile markets can throw at you and your fund that portfolio valuation-related litigations of our professionals haven’t lived through. For the past decade. There is no substitute for your most challenging marks, call Mercer. this experience. Our experience preparing, documenting, and defending valuation Why Mercer? conclusions in high-leverage litigated controversies cannot be matched. • Diversified valuation practice. Mercer Capital values business interests for a wide variety of purposes. As a result, our portfolio Get to know us. valuation professionals don’t wear compliance • Check out our blog. For weekly commentary blinders; our work in transaction advisory and on topics pertaining to fair value related services keeps us rooted in markets measurement, our Financial Reporting Blog and engenders the big picture perspective is your one-stop source of information and that many portfolio valuation processes lack. insight. Click on “Portfolio Valuation” to read • Demonstrated expertise with hard-to- our prior posts. value assets. An asset may be hard to value • Subscribe to our portfolio valuation because of inherent structural complexity newsletter, Private Equity Marks & Trends, or because the relevant markets are choppy. for our quarterly roundup of market In either case, we have the experience and developments and industry news. technical know-how to model and value complex assets, including preferred shares • Try us out. Call one of our professionals in development stage companies, loan to discuss your portfolio valuation needs portfolios, convertible instruments, and in confidence. Send us one of your assets other assets with unique attributes. for review, and we will let you know what we think. • Deep industry expertise. From financial services to technology, manufacturing, distribution, and business services, our professionals have years of experience in the industries your portfolio companies operate in. We understand the markets, trends, transactions, and challenges that shape the value of your portfolio companies.

Travis W. Harms, CFA, CPA/ABV Senior Vice President t: 901.685.2120 e: [email protected] BUSINESS VALUATION & FINANCIAL ADVISORY SERVICES Je K. Davis, CFA Managing Director of Financial Institutions Memphis | Dallas | Nashville t: 615.345.0350 e: je[email protected]

w: www.mercercapital.com www.mercercapital.com 1.800.769.0937 42 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 43

Founded in 1891, O’Connor Davies, LLP is one Tax of the largest accounting firms in the U.S., • Tax planning for transactions and structures PwC is founded on a culture of partnership Deal related valuations ranked 29th of the top 100 firms by Inside • Preparation of income tax returns, including with a strong commercial focus. This is Public Accounting. Specializing in alternative 1065s and K-1s In our view improved economic fundamentals reflected in our vision: investments and family oce, we provide • FATCA, PFIC, FBAR filings, etc. have now caught up with the share market. a wide range of accounting and assurance, • Withholding including form 1042 preparation “One firm - a powerhouse of a commercial Volatility is low currently but may increase, tax, administration, valuation, due diligence, enterprise that does the right thing for our as we saw from the sharp correction in May regulatory compliance, performance • Representation before tax authorities clients, our people and our communities.” after the Fed’s hinted at QE tapering in verification and advisory services. Our 2014. Any increased volatility would further leaders possess Wall Street, SEC and large Valuation and Due Diligence Our goal is to build the iconic professional complicate the process of making investment administrator experience. We are registered • Valuation of hard-to-value assets (asc 820) services firm, always front of mind, because decisions. The key is to focus on the longer with the PCAOB and CIMA and our most • Valuation of privately held businesses we aim to be the best. We set the standard recent PCAOB inspection and peer review term investment case and understand whether • Portfolio valuations and we drive the agenda for our profession. resulted in clean reports. O’Connor Davies is the growth story underpinning any investment • Intellectual property and other an independent member of PKF International intangible assets plan our clients have to make is sustainable and Limited, one of the largest global networks of • Privately held company equity securities Our global network credible. accounting firms. Our fund administration unit issued as compensation — FASB ASC 718, • 180,529 people The concept of value impacts all stages of completed its SOC 1 Type 2 Report and was 505-50; and 409A recently named the 33rd largest global fund • 158 countries a deal and our experts have considerable • Purchase price allocation — FASB ASC 805 administrator by eVestment.net. • 776 locations experience at helping our clients during all • Goodwill impairment — FASB ASC 350 stages of the deal cycle. • Pre-Merger and acquisition valuation PwC helps organisations and individuals create Our Clients Demand Custom Solutions — modeling the value they’re looking for. We Deliver • Litigation support including damages Non-deal related valuations Our clients include investment advisers, private calculations and expert testimony equity, hedge, venture capital, infrastructure, Valuations Assessing the risks and returns of potential

real estate, mezzanine and distressed debt deal or capital expenditure in the current Fund Administration We help our clients understand what their funds, fund of funds, 40 Act Funds, funds of economic climate is essential. In our view, • Investment and partnership accounting business, shares or assets are worth in the one, SMAs, special purpose vehicles, family as less available debt capital is likely to limit • Maintain ocial books and records context of transactions, financial reporting, oces, private foundations, endowments, investment decision making, resulting in value disputes, tax or group restructure purposes. banks and broker-dealers. Our clients range • Integrated general ledger – trial balance creating investments being deferred, any in size from start-ups to funds with more than • Calculate net asset value (NAV) and Our experienced and dedicated valuation investment plans should be supported by a $1 billion in assets. performance fee calculation specialists and industry experts can assist robust decision making process and analysis. • Waterfall calculations in understanding the value of an asset or We currently sponsor the ICAEW Assurance • Financial statement assembly and business and what is really driving that value. Valuation Group. • Attest, including audits audit support Our ability to oer independent valuation • Agreed-upon procedures • Middle and back oce advice which looks at both the commercial • Subscriptions, redemptions and • Surprise custody examinations under and technical aspects of an M&A transaction, distributions, escrow services SEC Custody Rule dispute or group restructure can often provide • Investor relations • SSAE 16 SOC reports including risk new insights or fulfil an important corporate • Valuation and asset price verification assessments governance role. • Complete web portal • Investment performance verification

www.odpkf.com O’Connor Davies LLP 665 Fifth Avenue, New York, NY 10022 Nick Rea Partner Marc L. Rinaldi, CPA Partner-in-Charge, Financial Services PricewaterhouseCoopers LLP t: 646.449.6309 e: [email protected] 7 More London Riverside, London, SE1 2RT Eric P. Gelb, CPA t: +44 (0) 20 7212 3711 Director of Business Development e: [email protected] w: www.pwc.com t: 914.341.7049 e: [email protected] 44 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 45 INTENSE CLIENT FOCUS

Warren Averett has more than 30 years Specialist accounting and special of experience servicing the alternative audit services investment community delivering timely, • Annual audit of financial statements customized services such as performance examinations, valuations, annual audits and • Asset management accounting and auditing monthly or quarterly NAVs – all within a • Review of partner capital allocations reasonable fee structure. • Calculation and tracking of high-water marks and performance incentive allocations Alternative investments clients served by • Preparation of individual partner capital account Warren Averett vary in size, location and statements strategies and include financial institutions, alternative investment funds, oshore entities, • Calculation of partner rates of return fund of funds, real estate funds, investment • Surprise audits for Registered Investment advisors, captive insurance companies, broker/ Advisors dealers, alternative loan and private investment groups. These entities have funds ranging from startups with a few partners, to funds with Tax compliance and consulting assets over several hundred million dollars and • Timely preparation of partnership federal and over one hundred partners, both on-shore and state tax returns, K-1s for each partner, general o-shore. Our clients employ diverse strategies, partner and all aliated entity returns including long/short equity, convertible and risk arbitrage, capital structure arbitrage, private • Proactive tax planning equity, distressed securities, options trading • Reporting and compliance relating to Passive and various others. Foreign Investment Company holdings Our team of experts has a historically low • Estate and succession planning turnover rate, ensuring our clients enhanced eciencies and continuity throughout their engagements with our Firm. Experience Alternative Investment Consulting and industry knowledge run deep within the • Advise start-up funds related to organizational professional team that serves this special brand structure of client. • Fund formation and structuring, including Each member of the team provides targeted, recommendations of attorneys, prime brokers, sophisticated advice and responsive service in fund administrators and other industry providers DON’T JUST the following areas: • Compensation and ownership planning for the firm and the management team Valuation Services BE A NUMBER. • Fund document review Warren Averett valuation experts can also help clients establish an accurate assessment • Industry best practices Numbers are important. But, you shouldn’t feel like one. Whether your of your fund. We have a diverse depth of expertise, from valuations of stock options and For more information, visit alternative investment fi rm is a startup with a few partners or a fund with ESOPs to valuing investment companies. www.warrenaverett.com more than $100 million in assets and 100 partners, we have you covered. With Warren Averett’s alternative investments experts, you’ll get the experience and resources of a national fi rm, with the personal service Andrew Siegel, CPA | Member that you deserve. Consider us an extension of your team – one whose t: 770.393.6320 e: [email protected] mission is to prove that you’re our number one focus.

Charles Bailey, CPA | Member t: 770.393.6439 e: [email protected] To learn more, visit www.warrenaverett.com.

Jay Robbins, CPA, CFP® | Member t: 770.393.6182 e: [email protected]

Florida l Alabama l Georgia

WA_210x297_ticket.indd 1 9/28/15 4:12 PM 46 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 47

Mazars Services for Alternative Investments Investment Valuation and Financial For years, alternative investment vehicles have Advisory Services been under tremendous competitive pressure Investment valuation is a complex process to increase rate of return, reduce expenses requiring broad knowledge of finance and and provide special investment opportunities. business, expert application of recognized All in an environment where complexity, rapid valuation methodologies, and diligent change, and regulatory shifts constantly impact adherence to professional standards. Sound asset managers. Our global asset management judgment based on solid experience is of the Mazars’ Asset Management team understands team understands the issues you face and can utmost importance. the challenges impacting the financial services provide you with a wide range of integrated Mazars provides expert independent valuation industry. Our global network of experts professional services, harnessing experience and financial advisory services to financial gained working with more than 1,000 funds institutions and alternative investment vehicles provide tailored solutions to fit your business across the U.S. and Europe. in the areas of: strategy and help you venture further. • Investment monitoring and valuation Attest and Tax Services • Debt, preferred stock, derivatives, intellectual Mazars provides eective, insightful services property and other intangible asset valuation Barry Goodman, Partner to hedge funds, private equity and mezzanine • Goodwill impairment testing funds, specialty finance companies, and other [email protected] alternative investment vehicles in the areas of: • Purchase price allocations • Auditing of funds and investment advisors • Employee stock option plans • Tax return preparation and compliance • SEC custody examination About Mazars USA LLP • Foreign reporting Mazars USA LLP is a high-performing accounting, tax and consulting firm with • PFIC, FBAR filings, etc. significant national presence in strategic • Form 1042 preparation US geographies. Since 1921, our dedicated • SSAE 16 SOC type II reporting professionals have leveraged technical industry expertise to develop customized solutions for clients, create value, and optimize their performance. We oer a broad array of industry specialists providing services to growth-oriented enterprises and individuals. As the independent US member firm of Mazars Group, we deliver seamless access to the expertise of 20,000 professionals in 86 countries. Visit www.mazarsusa.com.

Barry Goodman, CPA Partner | Financial Services

Mazars USA LLP 135 West 50th Street | New York, NY 10020 | United States

t: +1 646.315.6163 e: [email protected] w: www.mazarsusa.com 48 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 49

In today’s ﬁnancial landscape, the emphasis Transaction-Related Valuation on regulation and independence adds greater • Pre-deal pro forma analysis confusion to fair value issues. Fund managers, portfolio companies and investors are presented • Pricing analysis with unprecedented opportunities and challenges. • Purchase price allocation (tangible and intangible asset allocation)

We take a practical approach to providing our • Annual goodwill impairment tests services. We consider the source and format of the • Investment and transactional advice inputs we use in developing our work product, and • Restructuring/reorganization the larger universe of stakeholders likely to leverage our findings as part of their processes. Auditors, • Tax planning/structuring regulators, investment bankers and management all benefit from our streamlined delivery capability and practical approach to due diligence, valuation and Tax Planning And Compliance other advisory matters. • Assess the fair value-based measure of employee stock options and other equity-based compensation programs Valuation Services (FASB ASC Topic 718, Compensation – Stock markets, relevant transfer pricing and valuation regulations and Model Validation WithumSmith+Brown can help you create a well- Compensation / IRC 409A) significant project experience in transfer pricing from a tax and Financial models are critical for forecasting cash flows, defined and consistent valuation approach. Our • Advise on taxable corporate reorganizations, valuation perspective. Furthermore, many of our professionals dedicated valuation professionals can guide you valuing assets, managing risks and analyzing major investment recapitalizations, and changes of control have banking/brokerage experience, which increases our ability decisions. Model results also are frequently provided to through all stages of the private equity life cycle. to understand and gauge risk for you and your company. Investment managers look to us for our expert • Allocate purchase price for certain stock and numerous stakeholders, who rely heavily on the model’s key advice on portfolio valuations, which helps fulfill their asset acquisitions financial outputs. Flawed model outputs (e.g., internal rate of return [IRR] calculations, or definitions not consistent with fiduciary responsibilities. We oer deep industry • Value non-compete covenants M&A Advisory and technical experience with global reach, and our practice) not only have a major impact on operational and • Perform gift and estate tax valuations to facilitate Tough decisions require a great deal of information reputation in the financial industry has helped build investment decisions but also reflect the reputation of the stockholder transfers and employee stock gathering and analysis. There are many complex issues strong relationships with regulators and auditors. entities involved. ownership plan transactions that need to be resolved in any merger or acquisition. The mission of WS+B’s M&A team is to put you in a position of How WS+B Can Help Portfolio Valuation strength by “uncomplicating” the process and providing you Intellectual Property with the facts needed to properly evaluate and execute any To address this growing concern, WS+B has developed robust • Review of internal valuation methodologies and • Appraise intellectual property assets such as deal. Our specialists are experienced professionals who can processes to help stakeholders find the needle in the haystack. underlying calculations for individual investments patents, trademarks, trade names, copyrights, assist you with: Our model validation professionals are trained to comb or entire portfolios computer software, research and development, • Planning for an exit strategy (i.e. IPOs) through the most complicated models, calculations, macros, • Mark-to-market support of thinly traded or illiquid and proprietary technology and underlying links to help expose errors and potential flaws. securities and investments • Structuring and negotiating the transaction WS+B’s experience assessing financial models has allowed us • Review license and franchise agreements from a • Analyzing operational, tax and financial issues to develop a robust, scalable process that can be tailored to • Financial modeling and analysis of equity, equity- valuation perspective accommodate dierent assets in most industry sectors. Further, linked securities, warrants, and options • Evaluating the management team of the target our techniques can be honed to meet the timing requirements • Valuation of receivables, loans, bonds and other Transfer Pricing • Performing due diligence of your specific enterprise, and our findings are specifically debt instruments as well as asset- backed securities As one of the only regional accounting firms with • Valuing the business designed for the party requesting the review or documentation. and retained interests in securitizations This could be Controllers looking for policy and procedure transfer pricing and valuation services, we have • Analyzing risk and insurance aspects • Valuation of loan collateral extensive resources and knowledge in fixed income documentation around ALL or reserve calculators, or risk • Facilitating communication among concerned parties management looking for VaR or other risk measure output procedures. WS+B also oers comprehensive model build • Intellectual Property and remediation services. • Royalty Audits Thomas Hoberman • Benefit Plan Audits Partner Diverse Experience Our clients value our accuracy, transparency and industry Our professionals’ combination of real world backgrounds, 609.520.1188 [email protected] insight into complicated issues of regulation and valuation t: e: large, multi-national accounting firm experience and regulatory methods. Our hands-on approach allows you to make training enhances our ability to match your unique business informed decisions across your enterprise. Drawing on the needs. WS+B brings together professionals with extensive latest developments in financial theory, we have developed Howard Krieger transfer pricing, valuation, modelling, risk management, a comprehensive approach, utilizing streamlined, cost- technical accounting (US GAAP and IFRS), tax, deal structuring Team Leader, Valuation Services ecient solutions. and industry expertise. We not only perform sophisticated t: 201.265.2800 e: [email protected] modeling, but also function as a business advisor to help companies identify and address complicated financial and business issues. 50 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 51

Here we are on home turf! In addition to the major ﬁrms providing legal and audit/ assurance services, there are a large number of smaller, specialist companies (such as ours) supplying traditional and alternative funds and private equity ﬁrms with advisory services.

This advice is typically concentrated into three Independent Valuation Experts areas: The final major segment of the fund consulting business relevant to our Handbook is that of Independent Valuation Experts (IVE’s). These Compliance Consulting These firms oer a range of services to funds to firms provide specific advice and support for assist them in complying with their regulatory valuation and pricing. Some of these companies obligations. This ranges from basic help with supply actual valuations to funds or their registration and reporting to fully outsourced administrators, others will provide some kind of compliance functionality, sometimes even specific assurance (negative or positive) on the providing a qualified Chief Compliance Ocer prices or price levels used. (CCO) for the Governing Body. Firms such as ourselves also operate at a more strategic level, providing advice and guidance on valuation policy, procedures, governance, Operational Due Diligence (ODD) methods and sources (including detailed due These consultants are an interesting feature of diligence of pricing vendors). the hedge fund world and reflect the increasing interest in, and exposure to, alternative assets By its nature this industry segment is more by institutional investors. These investors – fragmented than some of the others, with no primarily pension funds and life insurance real dominant players. This Handbook provides a companies – have a much higher requirement broad cross-section of consultants operating in for sound operations and compliance policies, this space. transparency and governance than HNWIs and family oces who provided the traditional funding for hedge funds. ODD firms perform due diligence on hedge funds on behalf of these investors to ensure that the funds structure, processes and governance fulfil institutional standards and requirements. Currently outside the scope of this Handbook is the Fund of Funds segment, who also perform these kinds of services. Many institutional investors rely heavily on FoF’s for manager selection and management, and we intend to include this sector in our Handbook from next year. CONSULTING & DUE DILIGENCE 52 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 53

ACA Compliance Group (“ACA”) is a Compliance Support leading provider of regulatory compliance ACA oers several tools and customized products and solutions, cybersecurity and solutions to provide continuous support for risk assessments, performance services, and your compliance program. We oer: technology solutions to regional, national,

and global ﬁrms in the ﬁnancial services Private Fund Managers industry. With oces worldwide, ACA clients include leading investment advisers, private To date, ACA has worked with over 65 percent fund managers, commodity trading advisors, of the top 200 private fund managers around investment companies, and broker-dealers. the world to help them develop or enhance their compliance programs. Our reviews for

ﬁrms of all sizes help ensure their compliance Our clients know that a tailored, well- with the Investment Advisers Act of 1940 and functioning compliance program is a key industry best practices. success factor in today’s increasingly challenging business and regulatory environments. We respond to their needs Services provided to private fund managers: by developing and maintaining high-quality • Compliance program reviews compliance programs that are customized to • Mock SEC exams each ﬁrm’s particular business demands and • Policy and procedure development operational realities. • Electronic communications reviews

• Anti-money laundering program reviews We work with: • Investment advisers • Forensic testing of compliance processes • Private funds • Analysis of key risk areas (e.g. adherence to • Family oces the fund’s governing documents) • Private equity ﬁrms • Specialized compliance reviews • Investment companies • On-site SEC inspection support services • Mutual funds • Education and compliance training • Variable insurance companies • Ongoing reviews of employee and proprietary • Municipal advisors trading • Exempt reporting advisers • Advertising and marketing materials reviews • Commodity Pool Operators • 13F, 13G, and 13H report ﬁling • Broker-dealers • SEC and state registrations • Global advisers • IARD administration • Testing program development • On-site CCO support services

Damon Zappacosta Partner

ACA Compliance Group 1370 Broadway, 12th ﬂoor, New York, NY 10018, USA

t: +1 212 951 1030 e: [email protected] w: www.acacompliancegroup.com 54 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 55

Alvarez & Marsal Valuation Services to • Commercial and contractual agreements Alternative Investment Funds • Limited and general partnership interests • Fund manager and adviser entities A&M’s global Valuation Services group We understand your need to institutionalise comprises more than 70 client service evolving industry best practices and are here professionals based in 12 locations. Key services to assist you with the preparation of internal oered include: valuation policies, as well as other risk and • Financial reporting and tax valuations compliance policies necessary to ensure best • Fairness opinions and commercial valuations in class standards. • Portfolio valuations Our portfolio advisory services include: • Valuation for claims and disputes • Pre- and post-transaction support

Transparency, independence and • Modelling and model validation Accountability • Regulatory valuation advisory We possess the expertise to identify and • Litigation support evaluate the key financial and operational drivers of value necessary to ensure a deep About Alvarez & Marsal partnership with companies and investors. Privately-held since 1983, A&M is a leading We leverage deep industry knowledge with global professional services firm that delivers expertise in the audit, legal, regulatory and performance improvement, turnaround investor communities to help navigate the management, transactional, tax and other industry’s perpetual crosscurrents. business advisory services to organisations We address complex valuation challenges from seeking to transform operations, catapult critical investment, regulatory and strategic growth and accelerate results through perspectives to assess value at the fund, decisive action. Our senior professionals are Alvarez & Marsal Valuation Services | Independent, portfolio and investment level. The powerful experienced operators, world-class consultants combination of our valuation experience and and industry veterans who draw upon the firm’s Industry and Operational focussed advice A&M’s restructuring and operational heritage restructuring heritage to help leaders turn helps private equity, hedge funds, business change into a strategic business asset, manage Maximising value is at the core of every senior management I SS NVEST development companies, banks and other risk and unlock value at every stage. NE ME IT NT decision. In today’s global business environment of scrutiny T W ES AND A financial services companies address valuation R VIC FAIR PP PE SER NE R X N SS A issues eciently and eectively. Our portfolio and transparency, all transactions are expected to be E IO O IS AT P A U IN L When action matters, find us at L IO A valuation services span the independent supported, reviewed and rationalised for the benefit of key V N alvarezandmarsal.com S valuation of illiquid investments in: F stakeholders. The need for independent valuation specialists A I N S N A D F N • Debt and equity N

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in Europe and North America. We provide objective, rational N

S G and robust valuation advice to assist our clients in their S complex and challenging deliberations throughout the I E O N M LI investment cycle. C PL O EN O TF S T YE R N I E PO O Mark McMahon Richard Bibby VE TI SC A HE ALU Managing Director Managing Director MES V

Oce: US-New York Oce: UK-London Oce

t: +1 212 763 1615 t: +44 (0)207 715 5254 e: [email protected] e: [email protected] When action matters, ﬁnd us at www.alvarezandmarsal.com

ALV100017_Voltaire Advert_v6.indd 1 20/02/2017 11:52 56 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 57

Aon plc is the leading global provider of Our people bring real-world investment Chatham Financial is an advisory services Leaders Helping to Shape Valuation Standards risk management services, insurance and experience, with a diversity of skills drawn and technology solutions ﬁrm specializing As an independent valuations provider, reinsurance brokerage and human capital from backgrounds in actuarial, investment in the debt and derivatives markets. We Chatham is at the forefront of cutting edge consulting. The products and services we consulting, fund management, trading, serve the capital markets investment and valuation topics, including CVA, DVA, FVA deliver are built around our clients’ unique banking, economic, treasury and derivatives risk management needs of clients across and OIS discounting. Our experts are thought needs and provided by professionals with backgrounds. In a period of signiﬁcant a wide spectrum of industries from our leaders in the markets and have long been extensive expertise in both their industries change, we are able to draw on a strong oces worldwide. contributors to the global valuation standards- and local markets. toolkit of ideas and experience to deliver fresh setting process through our work with the and straightforward thinking to meet your Tailored Solutions for Client Needs FASB, the IASB, and the International Valuation investment objectives. What makes Aon a global industry leader? Standards Council. Founded in 1991, Chatham is an independent

At Aon, we know that globalisation demands market leader with a global team of capital Investment Solutions two capabilities: gather the best thinking from markets experts, risk management advisors, Market Tested with Proven Results around the world and then deliver solutions • Investment Consulting CPAs, lawyers, quantitative analysts and Using proprietary, market-tested models locally. With worldwide distribution, a vast base technology developers serving more than • Investment Strategy developed by our in-house quantitative of intellectual capital and leading technology, 1,200 clients globally. Our practitioners provide experts, we execute more than $2 billion daily we’ve built a company to achieve these goals. • Asset Allocation best-in-class solutions for interest rate, FX, and of derivative notional on behalf of our clients. Our global resources, technical expertise commodity hedging, hedge accounting, and • Risk Management & Tools These models are subjected to rigorous SSAE and industry knowledge are delivered locally derivatives regulatory compliance. 16 examinations annually, assuring clients through 65,000 professionals working in more • Global Investment Management We also oer an advanced SaaS platform, that we employ validated methodologies and than 500 oces in more than 120 countries. • Aon Delegated DC Services ChathamDirect, giving clients direct access maintain reliable controls. to the same the tools leveraged by our in- • Fiduciary Management To learn more about Chatham Financial Investment Consulting house practitioners. Our platform supports and our services, please visit us at multiple asset classes with tools for Investing pension scheme assets is increasingly www.chathamfinancial.com. quantitative analysis, sophisticated scenario complex with pension schemes facing ever modeling, accounting workflows, reporting, more decisions. Investment decision-makers and valuations. need a partner able to provide investment solutions for today and tomorrow. As a market leader in investment consulting and fiduciary management, Aon Hewitt provides a complete range of services to pension schemes of all sizes - all designed to influence better outcomes for investment strategies, all delivered to meet clients’ specific goals and circumstances. Backed by a world- class investment engine, serving over 2000 clients with $4.2 trillion of assets, we can find the right solution for you.

Peter Hill Partner Chatham Financial 235 Whitehorse Lane, Kennett Square, PA 19348, USA

Aon Hewitt 10 S Riverside Plaza # 1600, Chicago, IL 60606, United States t +(1) 610-925-3120 e risk@chathamﬁnancial.com t: +1 312 715 1700 w www.chathamﬁnancial.com e: [email protected] w: www.aon.com 58 Hedge Fund Valuation & Compliance Handbook

Complyport Limited Leading provider of regulatory compliance consulting services Complyport is a leading and well-respected We provide flexible consultancy services, regulatory and compliance consulting constructed in a way which fit your needs. company which advises both UK and overseas This means listening to you, understanding firms in the financial services sector. your business aspirations, and then building Our job is to guide, challenge and inform. By sharing a solution which best suits your goals

and objectives. our knowledge and expertise with you, we help you We have a core team of sixteen regulatory and compliance professionals in the UK team plus Our UK-based team covers the UK, Europe grow your business to be the best that it can be. a network of other specialist advisers. Most of and the Middle East. Our London based US our professionals are former regulators and/or Desk deals with and co-ordinates US senior practitioners in the industry and several regulatory matters whilst our International are qualified investment professionals, lawyers Desk deals with wider cross-border regulatory Complyport has an extensive knowledge of financial or accountants. Complyport is ideally placed requirements. We also have an oce in Hong services compliance, governance and regulation all to advise on UK and cross-border financial Kong that covers the Asia-Pacific region services regulation and compliance matters. (including Singapore) and we have associate over the world. We help firms across the spectrum firms in several other international jurisdictions. Founded in 2002, we are proud of our good reputation and continue to work to ensure our of financial services to overcome their challenges. clients receive a premium service at all levels. Complyport aims to assist clients to achieve their business objectives, whilst remaining We can assist with: compliant with regulatory requirements at all times. We provide a complete range of regulatory  Ongoing compliance obligations and compliance services to a wide range of UK- and overseas-owned firms in the wholesale  Regulatory applications and retail financial services sector, including investment management, securities brokerage,  COREP and AIFMD Reporting banking, venture capital, private equity, corporate finance, social finance and capital  Gabriel Reporting introduction. We will also provide Expert Witness services where we have significant  Compliance Healthchecks experience of the matter under litigation.  Anti Money Laundering  Financial Crime  Impact of future regulatory requirements  Dealing with the FCA

Complyport Limited 60 Cannon St, London, EC4N 6JP Contact Details

t: +(44) 207 399 4980 Main Tel: (0)207 399 4980 e: [email protected] w: www.complyport.co.uk Email: [email protected] 60 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 61

Headquartered in London, FMConsult has offices in Ireland, USA and Dubai.

Fleming McGillivray & Company Limited • Private Client / Wealth / Family Oce (“FMConsult”) is an independent regulatory Investment Managers and risk consultancy firm committed to • Institutional Asset Managers working with clients to assist them in aligning financial services processes with ongoing • Authorised Corporate Director regulatory requirements. FMConsult provide • Asset Management arm of Insurance compliance solutions that enable senior Companies management of financial services firm’s to demonstrate that they and their firm are • Multi-lateral Trading Facilities currently and will continue to be aligned • Broker-Dealers with regulatory requirements.

FMConsult is an integral part of the internal FMConsult compliance infrastructure • Oces located in London (est. 2004), Dublin • Work closely with internal designated CF10 & (est. March 2007), Dubai (est. April 2009) CF11 / Become the CF10 / CF11 and New York (est. May 2012) • Involved in preparation of compliance • Expert in new and existing financial services strategy – understanding the risks business models • Regularly involved in discussion • Anticipate the regulatory impact of policy and organisation change and develop usable • Undertaking the internal monitoring and solutions for its clients reporting to management • Expertise, exclusive focus on regulation, • Attend risk management committee meetings compliance, operational risk, investment risk • Input on dialog with regulator The FMConsult Group and product development • Prepare and liaise with regulator for variation • Ability to deliver innovative solutions with Established in 2004, FMConsult is a specialist FMConsult provide a range of services of permissions that are tailored for each Board’s cost eciency to meet client’s needs compliance, collective investment schemes and operational risk management consultancy individual needs, such as: distinguish it as a market leader • Provide Regulatory Training that services a host of financial services firms on • Supervision of Service Providers FMConsult has clients spanning start-ups, The acceleration of compliance issues has a global basis. We have made it our mission to • Compliance been driven by recent turmoil in the financial listed companies, operations of foreign provide solutions to our global clients so that they • Risk Management markets which now places compliance & can continually meet regulatory requirements. international financial institutions, and • Board Meetings and Reporting/ mature financial institutions operating in corporate governance on the political and Company Secretary Our highly experienced team have first-hand the following asset management areas: regulatory agenda globally. experience in Hedge Funds, Regulated Collective • Independent Oversight and Compliance Monitoring Activities • Collective Investment Schemes – Investment Schemes, Asset Management, Wealth UCITS & Alternatives Management, Multi-Lateral Trading Facilities, Insurance and Broking which provides us with the FMConsult believe the risk-based • Collective Investment Scheme all-round regulatory expertise you would require methodology should include an Investment Managers from a consultancy firm. Ongoing access to our understanding of: experienced team allows FMConsult to offer our • Generic risks across the asset clients a consistent personal and professional management industry service throughout a firm’s business cycle. (or a specific sector of it) • Specific risks to the entity’s

Dallas J McGillivray FMConsult provide the flexible level of business activities Managing Director compliance support that is required by our clients. • Business processes that involve We recognise that proportionate and practical higher levels of risk within the support is vital to ensure that our clients’ meet business entity FMConsult their regulatory obligations in a manner that is • Risks within each business process 10 Arthur Street, London, EC4R 9AY, UK consistent with the firms objectives. t: +44 20 7220 9073 e: [email protected] w: www.fmconsult.co.uk For the full range of our services please see our website www.fmconsult.co.uk 62 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 63

Houlihan Lokey (NYSE: HLI) is a global We have broad valuation and transactional investment bank with expertise in valuation, experience in the asset management, hedge mergers and acquisitions, capital markets, fund and private equity industries, where we financial restructuring, and strategic serve over 300 clients annually. We provide consulting. The firm serves corporations, valuations in a variety of contexts including institutions, and governments worldwide with transaction, financial reporting, taxation, oces in the United States, Europe, and the corporate planning and dispute resolution. Asia-Pacific region. Our team is dedicated to understanding the

business issues of asset managers and we Houlihan Lokey’s Portfolio Valuation & Advisory bring a valuable and unique perspective to the Services practice is a leading advisor to many valuation process by oering the following: of the world’s largest asset managers due to • Conduct independent full valuations of a our strong reputation with regulators, auditors wide range of illiquid assets and investors; private company, structured product and derivative valuation experience; • Perform an assessment of the design and and independent voice. We have valued illiquid eectiveness of existing valuation policies assets on behalf of hundreds hedge funds, and procedures private equity ﬁrms, ﬁnancial institutions, • Evaluate and/or assist in the development corporations and investors. ADVANCING YOUR VISION of valuation methodologies for various asset classes across industries Houlihan Lokey is a global investment bank with expertise in valuation, mergers and • Determine which assets require independent acquisitions, capital markets, valuation, financial restructuring, and strategic consulting. third-party valuation Over the past 40 years, Houlihan Lokey has established one of the largest worldwide • Provide insight into valuation best practices financial advisory practices. Independent advice and intellectual rigor are hallmarks of our Independent advice and intellectual rigor are hallmarks of our commitment to client success commitment to client success across our advisory services. across our advisory services. Houlihan Lokey is ranked as the No. 1 global M&A fairness opinion advisor over the past 15 years, the No. • No. 1 U.S. M&A Fairness Opinion Advisor Over the Past 15 Years 1 M&A advisor for all U.S. transactions, and the No. 1 global restructuring advisor, according • No. 1 M&A Advisor for All U.S. Transactions to Thomson Reuters. For more information, please visit www.HL.com or contact one of the • No. 1 Global Investment Banking Restructuring Advisor individuals listed below:

CORPORATE FINANCE Cindy Ma Milko Pavlov Ethan Ma Managing Director Senior Vice President Vice President FINANCIAL ADVISORY SERVICES Global Head of Portfolio Financial Advisory Services Financial Advisory Services FINANCIAL RESTRUCTURING Valuation & Fund Advisory London Hong Kong STRATEGIC CONSULTING Services e: [email protected] e: [email protected] e: [email protected] t: +44 20 7747 2788 t: +852 3551 2309 HL.com t: +1 212 497 7970

Investment banking services provided by Houlihan Lokey Capital, Inc.; financial advisory services provided by Houlihan Lokey Financial Advisors, Inc.; strategic consulting services provided by Houlihan Lokey Consulting, Inc. In the European Economic Area, Hong Kong and Australia services provided by Houlihan Lokey (Europe) Limited, Houlihan Lokey (Financial Advisory) Limited, Houlihan Lokey GmbH, Houlihan Lokey (Netherlands) B.V., Houlihan Lokey (España), S.A., Houlihan Lokey (China) Limited and Houlihan Lokey (Australia) Pty Limited, respectively. Source: Thomson Reuters. 64 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 65

Mercer is a leading global provider of Delegated Solutions objective investment advice and services. We Outsourcing investment activities enables you oer customized guidance at each stage of to focus more on achieving your long-term the investment decision, risk management, strategic objectives. Solutions range from and investment monitoring process, and we the construction of a single asset class to partner with our clients to address every diversified portfolios to full implementation of a aspect of investing — from strategy, structure, long-term strategic plan. and implementation to ongoing fiduciary management. Every client is unique. The type of mandate and nature of the collaboration are geared flexibly

to the client’s needs. Mercer oer a truly global and comprehensive Alternative Investments capability, providing solutions that cover private markets investment Research Boutiques advice and delegated solutions for pension Our boutiques, staed with asset class funds, insurance companies, endowments, specialists, conduct forward-looking, foundations, family oces, and ﬁnancial institutional-quality research of investment institutions. management products, and work closely with Mercer’s combined strengths from across our both internal and external clients on manager business allows us to partner with our clients to structuring and selection projects. address every aspect of their investment needs, providing customized guidance at each stage of the investment decision, risk management, and investment monitoring process.

Private Markets Mercer Private Markets, is a global investment specialist for private market placements, oering customized investment solutions, for experienced investors around the world.

Mercer Consulting 1166 6th Ave, New York, NY 10036, United States

t: +1 212 345 7000 e: [email protected] w: www.mercer.com 66 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 67 To ind out more visit mirabella.co.uk

Mirabella is a Full Scope AIFM and MiFID We presently have over 120 people registered manager with over $6 billion under at the FCA as Approved Persons, and have had management. In order to achieve these over 500 in our history. levels of assets, we have had to pass the Experience Unique. Valued. Trusted. scrutiny of some of the world’s largest We have a large, dedicated and full-time team, investors and their due diligence processes. with extensive regulatory and risk management We manage money for some of the largest experience. We have managed over 50 sovereign wealth funds, pension funds and investment mandates utilising a wide variety Mirabella delivers regulatory hosting major funds-of-funds. In many cases it is of strategies and trading counter parties and the underlying investor who instructs the currently have over 80 brokerage relationships. manager to select us. at an institutional level Independence

We charge on a flat fee basis only, never Why is this? basis points or fee sharing. This ensures that Reputation no single client receives more attention or • $6b in AuM across AIFM and MiFID mandates, in UK and Malta We are part of the Cordium Group. Globally, beneficial behaviour from our monitoring Cordium has around 200 sta all focused on sta. Our primary concern is the regulatory • 120 Approved Persons registered with FCA providing regulatory compliance services to well-being of the platform and its clients. the asset management and securities industry. As a result, investors value the independence • 12 years dedicated exclusively to hosting Cordium provides: of our risk and compliance department. • Award winning compliance consulting Exclusive activity • Winner of Best Regulatory Hosting Platform • Accounting and tax services Many participants in the hosting industry run • Pioneering software solutions in-house activity which reduces the focus on at the HFM European Services Awards 2016 hosted clients. Since 2004 we have had no Cordium works with us to ensure the highest in-house regulated activity, and have been level of corporate governance. There is no exclusively acting as a regulatory hosting firm. other regulatory hosting provider with as much Mirabella, London and Malta reputational skin in the game as Cordium. Most referred We are the most referred hosting firm in Size the UK, and are recommended to clients We are trusted by large institutional investors, by lawyers, prime brokers, and other major and have proved ourselves capable of handling service providers. individual investment vehicles in excess of $2bn as well as complex investment strategies. Award Winning We won the award for Best Regulatory Currently, we are acting as the Principal to Hosting Platform at the 2016 HFM Service around 40 Appointed Representative firms, Provider Awards. This was the inaugural and we have hosted over 130 Appointed award in this category. Representatives in our history.

Mirabella Norfolk House, 31 St James’s Square, London, SW1Y 4JJ

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e: [email protected] Mirabella w: www.mirabella.co.uk London +44 20 7408 2448 Malta +356 2122 1881

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For over 30 years as the nation’s leader in To further compliance education, NRS compliance and registration products and Education also created annual compliance services for ﬁnancial services ﬁrms, NRS conferences, Desktop Seminars and multi-day can help guide your compliance strategy, topical seminars. minimize risk and lower costs. We utilize

three synergistic product lines, Technology, Consulting Education and Consulting to create customized compliance solutions for our NRS Consultants combine their knowledge clients. of regulations and industry best practices to provide sound and practical guidance designed to meet your firm’s specific business needs. Owned by the Reed Elsevier, National NRS has built its business and developed Regulatory Services (NRS) is part of Accuity, its market leading position by providing our the global standard for payment eciency and clients with clear, concise and useful consulting. compliance solutions. Each year, every NRS Consultant interacts with hundreds of Investment Advisers, large and Technology small. This exposure combined with individual expertise allows us to stay at the forefront of NRS Technology solutions were developed the industry trends and best practices. based on the knowledge and expertise of NRS Consultants and are tailored to meet the specific compliance needs of financial services firms. NRS provides turnkey solutions that can be used as compliance portals for your entire firm through three platforms; NRS ComplianceGuardianTM, Blue Sky SolutionTM System, and NRS ComplianceMAXTM.

Education NRS Education provides a comprehensive selection of practical compliance education options designed to train and enlighten personnel at investment adviser, investment company and broker-dealer firms. NRS is the creator and co-sponsor the Investment Adviser Certified Compliance Professional® designation, to ensure that individuals earning the designation have been trained, tested and certified to meet high industry professional standards.

National Regulatory Services 29 Brook Street, PO Box 71, Lakeville, CT 06039

t: +1 860 435 0200 e: [email protected] w: www.nrs-inc.com 70 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 71

In an environment of volatile markets, • Senior and subordinated debt potential conflicts of interest, and regulatory • Unitranche loans changes, it is critical for fund and investment managers to hire an advisor who can help • First-out/last-out term loans them navigate the valuation process, provide • Convertible debt objective advice, and withstand scrutiny from • Preferred and common stock all sides. • Warrants and options • Hybrid securities We understand the complexity of valuing financial instruments such as illiquid equity, • Fixed income and interest rate derivatives debt, and derivatives. We have a proven • Structured products DAY ONE. track record of helping clients gain • Financial guarantees confidence in their fair value reporting, and we provide insight in developing Twenty-Six Years in the Making. clients’ policies and procedures. Who We Serve With Stout, you can count on advice that • Public and private business development is independent, objective, and well- companies (BDCs) documented. Our defensible valuations • Private equity, private debt, and hedge funds comply with relevant reporting standards and policies that meet best practices, • Collateralized debt and loan obligation ensure consistency, and oer transparency. companies • Insurance companies SRR IS NOW STOUT. Whether you need help with regular • Regional, commercial and Investment Banks reporting requirements or with an • Fortune 100 corporations to privately unplanned need, our professionals have: held companies If there’s one thing the business world is not, it’s stagnant. Change is a constant, • industry expertise across a wide range of sectors and so is our evolution as a leading independent advisory firm. Moving forward Stout is a leading independent advisory firm • advanced degrees in financial engineering specializing in Investment Banking, Valuation as Stout, we remain committed to helping clients find clarity amid complexity and other advanced analytics fields Advisory, Dispute Consulting, and Management • qualifications to value the most complex Consulting. We serve a range of clients, from and confidence despite uncertainty. From M&A advisory to valuation to expert financial instruments Fortune 100 corporations to privately held • relationships with major accounting firms companies in numerous industries around the testimony and more, our relentless drive to deliver valuable insights and advice to help navigate the process world. Our clients and their advisors rely on our premier expertise, deep industry knowledge, will always remain true. • experience in supportable fair value and unparalleled responsiveness on complex measurements in accordance with ASC 820 financial matters. For more information, visit for multiple asset classes including: stoutadvisory.com.

Will Hafer | Managing Director t: +1.646.807.4226 | e: [email protected] stoutadvisory.com Jamie Spaman | Managing Director t: +1.267.457.4590 | e: [email protected] Colin Gray | Director t: +1.267.457.4576 | e: [email protected] Investment Banking Valuation Advisory Dispute Consulting Management Consulting Michael Wotanowski t: 646.810.4369 | e: [email protected] Stout is a trade name for Stout Risius Ross, Inc. and Stout Risius Ross Advisors, LLC, a FINRA registered broker-dealer and SIPC member ﬁrm. 72 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 73

Sturgeon Ventures is the pioneer of The The growth has been organic, sustainable Regulatory Incubator (a phrase coined by and self-funded rather than built aggressively Sturgeon in the year 2000) also known as through acquisition or external funding. Regulatory Hosting whose team have all a Sturgeon remains owner managed and thus deep experience working in the financial totally risk aligned with its clients. industry. Sturgeon’s team has the proven ability to expedite the launch of a client’s AIFM & MARKETING SOLUTIONS business with the relevant compliance structures and regulatory permissions in Since 2000 Sturgeon Ventures have been place. Sturgeon liberates the client to build working as a delegated solution. Our AIFM its own business and brand knowing the Solutions continue to grow with the launch of Financial Conduct Authority’s (FCA) well known industry names as our Partners and regulation is covered with passporting we work with Global Platforms in a number of into the European Union (EU). jurisdictions around the world both onshore and oshore. These platforms can delegate to us in London or back to you in your home WHY CHOOSE US? state. They allow a client to either launch as Sturgeon incubated its first financial services a sub-fund of an existing fund or their own client in 2000 and its first Wholesale structure under the AIFM as the Investment Appointed Representative (AR) in 2003. This Manager and or Risk Manager, in a number of established the AR model which Sturgeon has locations. We work with leading administrators honed in the years since and has been much who specialise in open and closed ended funds, copied by newer entrants into the market. law firms both at local level and throughout the Sturgeon Ventures Sturgeon has constantly dierentiated itself world, auditors, prime brokers and custodians. through innovation and partnerships. Sturgeon Members of our team are also regulated in is a UK Alternative Investment Fund Manager other jurisdictions allowing literally a one The Pioneer of Regulatory Incubation (AIFM). Sturgeon can also be the delegated person new company to launch a fund. Many manager to a UCITs structure. Sturgeon is a clients especially from the US have used Founded in 1998 Sturgeon provides creative and innovative regulatory incubation, MIFID investment manager and can provide a Sturgeon to start their marketing operations full AIFM compliant oering in Ireland and in into the UK and Europe. portfolio management services and consulting services to: other jurisdictions, such as Luxembourg, Malta Sturgeon has since its inception in 1998, Hedge Funds, UCITs Funds, Real Assets, Private Equity or Ventures Funds, and Gibraltar with its various partners all who invested in people and companies, and like Managed Accounts, Fund Raisers, Corporate Advisors, start ups or established rms. can delegate investment management or risk the Sturgeon it’s focus is all about growth and management back to the UK. Sturgeon is a US nurture and relationships. The Sturgeon’s egg Sturgeon share an entrepreneurial passion with our clients and as an independent Registered Investment Adviser with the SEC. starts the size of a mustard seed, grows to 15 What continues to set Sturgeon apart is its’ feet and can live over 100 years. It is a bottom and owner managed business can make client driven decisions quickly. ability to draw on its deep experience when feeder (like us searching for that special start initially advising clients and subsequently up) it has four whiskers and tastes it’s food Sturgeon Ventures live and breathe creative solutions - how do we do it? guiding the business through change. Sturgeon before it bites, (due diligence), and the eggs has deep operational experience and can are produced by the female sturgeon. Sturgeon • We provide unique business solutions • We create long lasting relationships assist a client with operational due diligence Ventures team is more than 80% women, many • We have superior business expertise and • We maintain an unrivalled client process and build a sustainable business. returning to work having had families of their regulatory knowledge retention rate Sturgeon has built its business slowly and own, and so focus on process and nurture. conservatively through personal referrals • We offer an institutional-quality client service • We are recognised with industry awards and recommendation. • We have an extensive global network • We think out of the box • We are independent, integrated and inspired • We are passionate, persistent and patient For further information please contact [email protected]

Sturgeon Ventures LLP Linstead House, 9 Disraeli Road, London SW15 2DR

e: [email protected] t: +44 203 167 4625 w: www.sturgeonventures.com Sturgeon Ventures LLP & Sturgeon Alternatives Limited are Authorised and Regulated by the Financial Conduct Authority (FCA) Sturgeon Ventures LLP is a Registered Advisor with the Securities and Exchange Commission (SEC) www.aifmsolutions.com www.sturgeonventures.com 74 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 75

Established in 1981, Wilshire Consulting Consultant experience provides customized consulting and Wilshire’s consultants have diverse investment solutions, including outsourced- backgrounds with experience in the investment CIO services, to some of the nation’s largest management, plan sponsor, and custody corporate and public retirement plans, businesses. Our senior consultants provide endowments and foundations, major insurance client service through a dedicated team companies and healthcare systems. Currently, structure, with specialized support provided Wilshire Consulting provides consulting by departments within Wilshire Consulting. services to 125 clients with combined total Wilshire’s senior consulting sta averages assets of over $1 trillion (as of 12/31/2014). over 13 years at Wilshire and 21 years with the Wilshire Consulting is a business unit of industry. Moreover, 87% have post-graduate Wilshire Associates. degrees and 73% hold the Chartered Financial Analyst designation. Client profile Wilshire Consulting’s client base includes 125 Culture of risk management corporate and public defined contribution and Wilshire Consulting’s expertise in building defined benefit pension funds, foundations, risk models helps us understand the benefits endowments, healthcare, and insurance and limitations inherent in many common companies. approaches fund sponsors use to make We also provide discretionary consulting investment decisions. We are able to manage services, tailored to each client’s unique the transition from theory to practice, with objectives and risk tolerances. the goal of helping clients manage, rather than eliminate, risk. Wilshire advises clients on

the best ways to implement a culture of risk Competitive advantages accountability. We distinguish our investment consulting services from those of our competitors based Investment research capabilities on the experience of our consultants, our proprietary investment technology, culture of Investing requires the union of both art risk management and our investment research. and science. Accordingly, Wilshire relies on In addition, we are also characterized by our a combination of independent research, unique service delivery model. performed by a dedicated research team, along with client-driven advocacy through consultant involvement in the research process. We’re known for the depth and breadth of our research topics as well as our thoughtful recommendations.

Wilshire Associates 1299 Ocean Avenue, Suite 700, Santa Monica, CA 90401

t: +1 310 451 3051 e: [email protected] w: www.wilshire.com 76 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 77

In this litigious age, law ﬁrms provide a number of crucial services to funds in relation to valuation and related compliance issues, notably:

• Registration and compliance with regulations AIFMD • Fund structuring, formation and The Alternative Investment Fund Managers documentation advice Directive (AIFMD) has been transposed into national law in virtually all European Union • Recapitalizations, workouts and liquidations countries and has specific requirements relating • Representation related to investigations, to valuation (Article 19). In addition, AIFMD has enforcement actions and litigation matters. detailed reporting requirements (Annex IV) to national regulators. Public funds such as ‘40 Act Mutual Funds in the US and UCITS in Europe have always been With most AIFM’s now registered with their heavily regulated, and this is increasingly the national regulator, they also become subject to case with the private/alternative investment the regulatory valuation rules of their country. fund industry. Dodd-Frank measures and AIFMD What has been clear from both of these now require registration with national regulatory developments is that detailed legal advice authorities, with all that implies in terms of relating to structure, governance, operations and compliance. Increasingly, legal firms and marketing is increasingly required by funds due compliance consultants are de rigeur for even to an expanded regulatory burden. start-up funds. This section of the Handbook contains the The detail of the regulations now faced by details of the major law firms providing legal funds is outside the scope of this Handbook services relating to investment funds. In this (it is addressed in other publications and events respect, the major global firms are naturally produced by Voltaire Advisors), but in relation to the fore, and most have teams dedicated to valuation there some notable areas to this market. However, we also include some of concern. of the smaller law firms who specialize in the provision of advice to this industry in ‘oshore’ SEC Registration, Enforcement & Audit jurisdictions. The Investment Company Act of 1940 has a 76 lude some of the smaller law firms who year history of sanctioning US public funds for specialise in the provision of advice to this non-compliance with the increasingly detailed industry in ‘oshore’ jurisdictions. valuation rules contained in the Act as revised over time. Every year there are cases of cease and desist orders, fines, debarring and even Á criminal cases related to mis-valuation of fund assets (whether by accident or design). One outcome of Dodd-Frank was to require the registration of many private funds with the SEC under the Investment Advisers Act (1940). With this they became subject to the various obligations of this act and the associated LEGAL guidance on valuation provided by the SEC over the last few years for mutual funds. SERVICES In addition, registration made hedge funds subject to inspection and examination by the SEC and the Commission have made full use of these new powers. 78 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 79

Investment Management, Trading and Markets Our clients include: Akin Gump Strauss Hauer & Feld LLP’s global Our commitment to our clients frequently hedge fund practice is one of the largest extends beyond serving as legal counsel. As Alston & Bird is a full-service law firm with • Types of Vehicles and most respected in the world, whether a result of the deep and extensive history and a highly regarded investment management • Commodity Pools measured by the resources we dedicate to reach of our practice, we are able to leverage practice. The strength of our investment the representation of hedge fund sponsors, our relationships with sponsors, managers, management practice is derived from the • Publicly Oered Commodity Pools the high-profile nature of our engagements institutional investors, services providers sophisticated underlying practices of our • Hedge Funds or the number of funds we have structured and other contacts within the hedge fund platform, which allow us to more deeply for industry-leading clients across multiple industry to advance the business interests understand the nature of the funds we put • Private Equity Funds strategies that generate consistently positive, of our clients. together and advise on for our clients. Our • Registered Investment Companies absolute returns throughout market cycles. investment management attorneys counsel Our client base extends from entrepreneurial commodity trading advisors, commodity start-ups to global, industry-leading managers pool operators and investment advisers in Management Entities Our team is consistently hailed as a leader and sponsors who utilize a wide variety connection with applicable exemptions and in the practice by multiple industry surveys, of strategies. regulatory compliance. • Commodity Trading Advisors including Chambers and Partners, Legal 500 Our hedge fund lawyers are positioned to help and Institutional Investor’s Alpha Magazine. • Commodity Pools Operators clients pursue opportunities worldwide. We We currently act for five of the top 10 largest have represented sponsors, managers and About the Firm • Investment Advisers hedge fund firms in Europe and approximately institutional investors in every region, including 25 percent of the world’s largest hedge Alston & Bird is a leading national law firm • Broker-Dealers such fast-growing markets as China, India fund firms. whose core practice areas are corporate, and the Middle East. We have lawyers based intellectual property, complex litigation Leveraging the resources of a global full- in North America, the United Kingdom, the and tax, with national industry focuses that We have been recognized in Chambers USA: service firm, our hedge fund lawyers are able Middle East, Europe and Asia. include financial services, technology, health America’s Leading Lawyers for Business to provide clients with unparalleled guidance care, manufacturing, life sciences and energy. and Chambers Global: The World’s Leading in all aspects of fund formation and ongoing The firm has built a reputation as one of Lawyers for Business in the hedge fund and operations, including: the country’s best employers, appearing on managed futures sectors. In 2015, we were FORTUNE magazine’s ranking of the “100 Best awarded “Best Law Firm – Client Service” by Companies to Work For” 16 consecutive years, CTA Intelligence Magazine. an unprecedented accomplishment among law firms in the United States. The firm has oces in Atlanta, Beijing, Brussels, Charlotte, Dallas, Los Angeles, New York, Research Triangle, Silicon Valley and Washington, D.C.

Tim Selby Stephen Vine Partner Partner

Alston & Bird Akin Gump Strauss Hauer & Feld LLP 90 Park Avenue, 15th Floor, New York, NY 10016-1387 One Bryant Park, Bank of America Tower, New York, NY 10036-6745

t: 212-210-9494 t: +1 212.872.1000 e: [email protected] e: [email protected] w: www.alston.com w: www.akingump.com 80 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 81

Davis Polk is one of the world’s premier law Recognition Dechert’s highly ranked private funds practice We also have extensive experience advising firms. Known for our skillful work in highly managers who wish to develop their strategies • “Davis Polk’s first-rate reputation in the is recognized for its: complex matters that are critical to our within more retail-based vehicles, including hedge funds space is supported by a notable clients, we oer high levels of excellence and exchange-traded funds and European roster of clients. As a leading practice, the • Breadth: We advise more than 700 private breadth across all our practices. undertakings for collective investment in team advises U.S. and non-U.S. funds, as funds and their fund management groups, transferable securities (UCITS). well as managers, on matters ranging from representing the full range of fund types, Our clients, many of them industry and global registration, fund formation and structuring investment strategies and asset classes Dechert’s Alternative Investment Funds group leaders, rely on the exceptional, collaborative to spin-outs and seeding, as well as has been recognized by leading publications • Depth: Our private fund lawyers are leaders in service we deliver through our 10 oces regulatory and compliance issues.” – Legal as one of the top private funds practices in the private fund formation and closely collaborate worldwide. Their success is our core focus. 500 2015 U.S., Europe and Asia. Private Equity Analyst with Dechert lawyers across our international Following is a sampling of feedback from our has consistently recognized Dechert as one • Clients note: “The investment management oces focusing on tax, ERISA, investment clients about our work with them. of the “most active law firms” based on the practice is part of a firm with tremendous company, investment adviser and other number of private equity and venture capital Our lawyers have in-depth experience advising resources on the regulatory front, which regulatory matters, as well as a wide variety funds structured and closed. Chambers UK some of the largest and most innovative hedge is a great feature of working with them.” – of transactional matters recently ranked Dechert as one of only two funds in the United States and around the Chambers USA 2015 • Global Reach: We are well positioned to firms in the top tier for hedge funds, noting world. Working with our Equity Derivatives and represent large, medium-sized and boutique that “Dechert has hedge fund work ‘down Credit Groups, we have been at the forefront fund managers seeking to establish both to a fine art,’” while Chambers Global stated, of innovation in the use of structured equity regional and global footprints and we “this firm has a peerless global footprint in the and structured credit techniques to create new leverage our cross-border and international hedge funds space.” hedge fund products. capabilities in both developed and emerging In addition, our highly experienced broker- markets dealer practice provides us with in-depth We advise clients on the formation of both knowledge of the day-to-day trading issues and open- and closed-end funds, utilizing all asset any developing market trends that may impact classes and investment strategies. hedge fund performance, including those relating to prime brokers. Our private fund lawyers represent private funds and their managers on a variety of

transactions, ranging from advising start-up managers in need of structuring advice and help in negotiating seed capital transactions to representing publicly traded global ﬁnancial institutions and their aliates.

Nora Jordan George Mazin Partner Partner

Davis Polk & Wardwell LLC Dechert LLP 450 Lexington Avenue, New York, NY 10017, United States of America 1095 Avenue of the Americas, New York, NY 10036-6797

t: 1 212 450 4000 t: +1 212 698 3500 e: [email protected] e: [email protected] w: www.davispolk.com w: www.dechert.com 82 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 83

Dillon Eustace Investment Funds Group Funds Tax Group From oces strategically located in the The Asset Management Practice includes the world’s principal financial centers in the US, following focus areas: The Investment Funds group at Dillon Eustace Our Funds Tax Group is focused on financial Europe and Asia, Fried Frank represents many includes Irish, US, UK and Cayman qualified services related tax matters, with significant • Alternative investments: Advising clients in of the markets’ most influential players. Our lawyers, a tax group, a regulatory and experience advising on master/feeder all aspects of the structuring, oering and client base includes multinational Fortune compliance team and a funds listing team. structures, ICAVs, tax transparent vehicles, ongoing operations of hedge funds, funds 500 companies, leading financial institutions the use of subsidiary/SPVs to improve treaty of hedge funds and related products, as We act for a wide variety of sponsor types and investment firms, and entrepreneurial access, and VAT. It also advises on FATCA, well as in the structuring and negotiation of including international and domestic asset companies across all sectors. FTT, UK Reporting Fund and many other derivatives. managers, banks, insurers, pension funds and international tax issues. supranational organisations, across a wide • Private equity and related funds: Fried Frank’s Asset Management Practice range of fund types including hedge funds, Representing sponsors and managers of and serves the needs of the investment PE and RE funds, loan funds etc. as well as investors in private equity funds and funds- Regulatory and Compliance management industry by providing a full traditional and alternative UCITS. We also of-funds, venture capital funds, distressed range of legal services to a diverse group of act for prime brokers, fund administrators Our dedicated Regulatory and Compliance asset funds, leveraged buyout funds and real clients, including US and international asset and depositaries in all aspects of their fund Team includes lawyers and accountants estate funds. management and private equity firms, broker- businesses. who provide a comprehensive regulatory dealers, hedge funds and their managers • International funds, oerings and exchange and compliance service for AIFMs, UCITS/ (exempt or registered), family oces, high-net- listings: Assisting clients in organizing ManCo, investment firms and insurers covering worth individuals and institutional investors. and oering investment funds and related Legal Group matters such as data protection, anti-money products in a variety of non-US jurisdictions laundering, general compliance procedure/ Attorneys in the practice build on Fried There are 15 partners and 25 other lawyers and in listing funds on international plans, operating policies and procedures and Frank’s long and well-respected record as working in the Investment Funds Legal Team exchanges. day to day regulatory interaction. a transactional firm with a sophisticated advising on fund formation and authorisation, regulatory and litigation practice and • Investment advisers and broker-dealers: cross-border passporting, interaction with approach their work counseling and advising Counseling investment advisers and broker- regulators, capitalisation and capital adequacy, Investment Funds Listing participants in the investment management dealers in the structuring and day-to-day investment management/fund administration/ industry from a practical business, as well as operation of their businesses. custody agreements and terms of business, as The Listing team advises international and legal perspective. We make the achievement well as ongoing legal and regulatory work. domestic asset managers and fund promoters Examination, regulatory, enforcement and of our client’s business objective our priority on all aspects of listing Irish and non-Irish civil litigation assignments: Representing The Legal Team also acts for asset managers and make ourselves and the resources of (principally Cayman, BVI, Bermudan) funds on investment management, broker-dealer and and advisers, broker/dealers, order routers, the Firm available at all times to accomplish the Irish Stock Exchange (“ISE”) and CSX. other service provider clients in governmental market makers, investment banks and fund this objective. We seek to assist the client in and self-regulatory organization investigations, administrators, looking to use Ireland as a meeting its economic goals while providing examinations and enforcement proceedings, as strategic base from which to serve a wider the tools necessary for the client to make well as in civil litigations and arbitrations. European client base, with our Cayman oce well-informed decisions suitable to its own risk assisting a similar client base, from the US, UK tolerance and the marketplace. and Far East.

DUBLIN LEGAL GROUP FUND TAX GROUP Andrew Bates David Lawless Lawrence Barshay e: [email protected] e: [email protected] Partner Donnacha O’Connor e: [email protected] LISTING GROUP Fried Frank LLP One New York Plaza, New York, New York, 10004 Tara O’Callaghan CAYMAN LEGAL GROUP e: [email protected] t: +1 212 859 8000 e: [email protected] Matt Mulry w: www.friedfrank.com e: [email protected] 84 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 85

Friedman Kaplan has built a reputation • Compliance issues, including federal K&L Gates’ Hedge Fund, Venture Fund, We counsel fund managers on the regulatory for excellence in complex, cutting-edge, securities law and Foreign Corrupt Practices and Private Fund practice represents a full aspects of their businesses and operations. and high-stakes matters. Across all of our Act matters range of U.S. domestic and non-U.S. funds We help our clients to address the many issues practice areas, we have a long track record in all aspects of their organization, funding, presented in the rapidly evolving regulatory • Financing arrangements representing our clients with tenacity, operations, and extraordinary transactions. environment in the United States, Europe and creativity, and attention to detail, especially • Private equity and other investments Asia, including investment adviser registration

in matters of particular complexity and and regulation, the eects of other securities Approximately 20 of our partners and first impression. Furthermore, due to the laws, futures and derivatives regulation, and About the Firm of counsel, and a substantial number of focused nature of our practice, we are often ERISA and tax issues. associates, devote a significant portion of available to assist clients in situations where Friedman Kaplan was founded in 1986 in their time to hedge fund, venture fund, and We represent all segments of this industry other lawyers – because of conflicts or other the belief that a small group of talented other private fund matters. Our clients include and evaluate fund documents for institutional business considerations – cannot. and dedicated lawyers could oer the most general partners, managing members and investors seeking alternative investments. Our sophisticated clients, facing the most dicult managers of hedge funds, venture funds, clients include major fund managers, Wall challenges, not only exceptional, creative, and Our litigators represent hedge funds, investors, private equity funds (including leveraged Street and international investment banking tailored legal advice, but also a level of client and service providers in a broad array of buyout funds and distressed securities or firms, brokerage firms, mutual fund and service rarely seen in modern business. commercial disputes, with a particular focus “vulture” funds), oshore mutual funds, U.S. institutional management firms, banks and on valuation disputes as well as litigation Our clients know us as responsive, domestic and non-U.S. equity and debt funds, bank holding companies, insurance companies, involving complex financial products such as collaborative, strategic, and ecient. Judges arbitrage funds, real estate funds, “principal- family oces, government agencies, pension swaps, derivatives, structured products, and know us for our creativity and insight, our trial protected” funds, and various other private funds, universities, and endowments. mortgage-backed securities. These cases skill, and our ability to think on our feet and funds, as well as the funds themselves and have involved allegations of common law expertly navigate areas of emerging law. To significant fund investors. We work with fund fraud, securities fraud, negligence, breach our colleagues at other firms, we are top-tier sponsors, advisers, distributors, key investors, of fiduciary duty, and breach of contract, attorneys with a proven record of integrity and and similar participants, as well as custodians, among other state and federal statutory and success, whom they can trust to represent their administrators, prime brokers, and other private common law claims. clients in instances where conflicts or other fund service providers. business considerations prevent them from We also counsel hedge funds and private Our work involves virtually all aspects of the doing so. equity funds, as well as their managers and fund business. We advise on organization, investors in connection with: Our goal is simple: to consistently produce structuring, fund-raising, compensation, results for our clients that are exceptional both distribution, trading, e-commerce, and other • Employment matters and contractual in their eectiveness and their eciency. From issues. We are also frequently called on to arrangements among members of hedge small matters to our groundbreaking work on assist clients with various “business” issues, fund firms some of the highest-profile disputes of the last such as identifying current market and best • Terms of fund documentation, including three decades, we leverage the exceptional practices, evaluating fee and distribution oering memoranda, limited partnership analytical abilities, experience, and tenacity structures, evaluating agreements with service agreements, side letters, and other of our attorneys to help our clients meet and providers, and operational matters. In addition, agreements with investors surpass their goals. we often assist managers in structuring employment and compensation arrangements • Operational agreements with research both for themselves and their employees and sources, service providers, and other advise them on tax planning. third parties

Anne E. Beaumont Nicholas Hodge Partner Partner

K&L Gates LLP Friedman Kaplan Seiler & Adelman LLP State Street Financial Center, One Lincoln Street 7 Times Square, New York, NY 10036-6516 Boston, MA 02111-2950, United States of America

t: 212-833-1245 t: +1 617 261 3100 e: [email protected] e: [email protected] w: www.fklaw.com w: www.klgates.com 86 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 87

At Morgan Lewis, we work in collaboration. staying compliant at a time when private funds We work around the clock and around the are under heightened regulatory and investor world—always ready, always on—to respond scrutiny. to the needs of our clients and craft powerful Our lawyers advise managers, investors, solutions for them. From our 28 oces in investment advisers, brokers, administrators, North America, Europe, Asia, and the Middle and custodians on an array of funds. We work East, we work with clients ranging from closely with clients to achieve their business established, global Fortune 100 companies objectives on a wide range of complex and to enterprising startups. innovative matters, including the following:

• Structuring participation by pension Drawing on our experience in a range of funds, financial institutions, and nonprofit market sectors and investment strategies, organizations in both US and international we provide a full range of advice to clients in funds the global private investment funds industry. We advise fund sponsors and managers in • Designing and structuring creative and forming new funds and managed accounts, tax-ecient management company and assessing potential strategic arrangements employment arrangements and investment opportunities, and • Ensuring compliance with regulatory maintaining compliance with complex local limitations on investments in funds by and international regulations. We counsel regulated entities, such as banks and institutional investors on structuring their insurance companies, and on investments by global investment and training programs and funds targeting regulated industries, such as represent them on their primary investments, the telecommunications industry co-investments, and secondary investments. • Minimizing US federal taxes or tax filing We represent global buyers and sellers obligations for non-US persons of private fund and portfolio company interests in the secondary market. We also • Ensuring compliance with relevant US represent institutions in many varied special laws such as the Securities Act of 1933, arrangements, including customized investment the Investment Company Act of 1940, funds, separate accounts, joint ventures, seed the Investment Advisers Act of 1940, the arrangements, and myriad other structures and Commodity Exchange Act, the Internal products. Revenue Code, and the Employee Retirement Income Security Act (ERISA), as well as the Working from oces in the United States, laws of various international jurisdictions, the United Kingdom, Dubai, Germany, China, including the European Union’s developing and Japan, our investment management team Alternative Investment Fund Managers includes more than 30 former ocials from Directive (AIFMD). the US Securities and Exchange Commission (SEC), the Internal Revenue Service (IRS), the Financial Industry Regulatory Authority (FINRA), and other oversight bodies. Our practitioners draw on this experience to counsel clients on making investments and

Louis H. Singer Partner

Morgan, Lewis & Bockius LLP 101 Park Ave. New York, NY 10178-0060, United States

e: +1 212 309 6603 t: [email protected] w: www.morganlewis.com 88 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 89

Our group is recognized has one of the Innovative Team - Our practitioners have been WE KNOW INVESTMENT FUNDS. Advising Investors. We advise institutions, premier investment management practices at the forefront of product development and Purrington Moody Weil’s investment fund endowments, family oces and individual in the United States. We have a unique innovation in the marketplace, and have the practice is the cornerstone of our firm, investors in connection with their investments profile in the marketplace as industry-leading requisite expertise to help execute the most combining our corporate transactional expertise in private investment funds. Because of our counsel to a diverse group of well-known complex investment strategies. Our team with the extensive experience our attorneys background representing fund managers, we private equity funds and hedge funds. We has worked on some of the first hybrid funds, have developed working with investment fund are well positioned to address investor concerns regarding liquidity, risk, investment approval provide dependable counsel and innovative pioneering the convergence of investment managers and investors. rights and manager control. solutions to help our investment advisory objectives, structures and terms in the clients achieve their most important business investment funds world. Investment Fund Formation. We advise We regularly assist objectives. fund managers on the structuring of private Private Transactions. Unique Diversification - Although the investment funds, taking into consideration our fund clients in structuring and executing marketplace is generally divided between business, tax and other regulatory issues that transactions. We assist our clients in negotiating Recognized by Chambers USA, Legal 500 law firms representing private equity funds face managers and investors. Given our focus, we non-disclosure agreements and term sheets and U.S. News & World Report/Best Lawyers and those representing hedge funds, our are keenly aware of market terms and conditions for potential investments, and we regularly as one of the leading private investment fund investment advisory practice is uniquely across all types of funds, including hedge funds, advise our private equity and venture capital formation and advisory practices in the United diversified with a strong presence in both private equity funds, mezzanine and distressed fund clients on the acquisition, monitoring States, our Investment Management Group areas. Our practitioners have helped to raise debt funds, and venture capital funds, as well as and disposing of portfolio investments. Our excels at private fund formation and the full some of the largest and most well-known funds of funds investing across all asset classes. expertise with fund structures and mechanics, range of investment advisory services. private equity funds and hedge funds in the We structure and negotiate fund organizational and intimate detailed knowledge of our clients’ marketplace. documents to protect our clients’ Interests within organizational structure, allows us to play The qualities that set us apart include: the business realities of the fundraising climate. an integral and value-added role even when Networked Lawyers - Our nationally the nature of the transaction requires that Quality Oriented - Our group is structured recognized lawyers have broad industry an international firm serve as lead counsel. to deliver a quality-driven legal product as Trading. We represent buy-side clients knowledge and are routinely on the front Our representation includes the structuring opposed to a quantity (or volume)-driven exclusively in the negotiation of their trading lines of industry issues. We often lead or of governance controls, management and legal product. We are discerning about who documentation. We advise our clients on comment on the many challenges confronting board representation, payment streams and we partner with and target a few quality and the legal and regulatory issues which they the alternative asset management industry. encounter when they trade in today’s global waterfalls, and exit mechanisms designed to long-term relationships. Our team is comprised We oer our investment advisory clients our markets. We negotiate prime brokerage and enable our clients to realize the benefits of these of skilled and experienced private fund lawyers market insights and knowledge based on futures agreements, including documentation for transactions. at every level who work in a collaborative our experiences, proprietary database and derivatives (including all the main asset classes environment in order to deliver an ecient strong relationships with industry participants, in both the public and private markets), repo, Regulatory and Compliance Advice. As fund and quality legal product to our investment including the many investors that we deal with stock-lending, structured products and collateral lawyers, we regularly advise managers with advisory clients. on a daily basis. management, as well as financing arrangements respect to the regulatory constraints placed on Full Service Experience - Our team oers a for a wide variety of private transactions. We their activities by federal and state securities and investment advisory laws and regulations. “full service” approach. We seek to deliver are members of ISDA and regularly participate We advise managers on their registration world class counsel in every practice area in lobbying eorts with the regulators as well obligations, both as investment advisors with and every phase of the life of an investment as helping to develop standardized documents and protocols in order to address the rapidly the Securities and Exchange Commission and advisor, from fund formation, maintenance and changing regulatory environment. Our team has as commodity pool operators and commodity regulatory issues to crisis management and worked in the London and New York markets, trading advisors with the Commodities and dispute resolution. both in private practice and in-house, and has Futures Trading Commission. We assist non-US developed exceptional expertise at analyzing managers in understanding their obligations legal risk in the international markets. under the US securities laws.

Udi Grofman David K Moody Partner Partner

Purrington Moody Weil Paul, Weiss, Rifkind, Wharton & Garrison LLP 414 West 14th Street, 4th Floor, 1285 Avenue of the Americas, New York, NY 10019-6064 New York, NY 10014, USA t: 1 212 373 3000 t: +1 212 431 7010 e: [email protected] e: [email protected] w: www.paulweiss.com w: www.purringtonmoody.com 90 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 91

Ropes & Gray clients receive comprehensive • Spinouts and mergers New York-based Sadis & Goldberg LLP The Financial Services Group provides legal advice and innovative solutions from one of represents several hundred investment assistance to both domestic and oshore • Counterparty risk management and the world’s most sophisticated hedge funds advisers and related entities, including hedge private investment funds in the alternative negotiation of counterparty documentation practices. funds, private equity funds and venture investment arena (e.g. hedge funds, private • Response to regulatory inquiries and capital funds, and provides regulatory and equity funds, venture capital funds, real investigations compliance advice and representation estate funds, family oces, commodity pools Our clients, ranging from start-up ventures to in connection with SEC enforcement and group trusts), regarding the structure established firms with hundreds of billions of • Advisers Act regulatory implications and proceedings. We have led over 600 hedge and formation of new funds, as well as the dollars under management, benefit from Ropes registration funds and other investment funds to success. reorganization and restructuring of existing & Gray’s deep experience in the industry. We The firm also provides a full range of funds. We have structured and organized a • Commodity Futures Trading Commission and represent all facets of the industry from around sophisticated legal services, including tax, wide variety of funds such as long/short funds, National Futures Association registration, the world, including hedge fund sponsors (both litigation, regulatory, real estate, intellectual global macro funds, emerging market funds, regulation and compliance issues risk arbitrage funds, convertible arbitrage institutional and start-up sponsors), fund-of- property and corporate services, to national and international business. funds, high yield bond funds, distressed debt funds, institutional investors and seed capital funds, bank debt funds, country funds (e.g. investors. Complex Investment Strategies At Sadis & Goldberg, we pride ourselves on Ukraine), sector specific funds (e.g. technology, The success of our work with clients has earned Our attorneys collaborate with our clients client service and match our clients’ needs with Internet, health care, biotechnology), fund us recognition as one of the elite hedge funds to develop solutions for highly complex our attorneys’ experienced legal skills. of funds and multi-manager funds. We practices in the world. For four years in a row, investments, including: skillfully draft confidential private placement Serving clients on every continent, routinely memoranda, limited partnership agreements, 2011 - 2015, we were named “Law Firm of the • Hybrid hedge funds/private equity funds, named one of the top five law firms in the U.S. operating agreements, subscription document Year” for hedge funds and private funds by U.S. including seeding and accelerator vehicles for its hedge fund practice, and frequently booklets, blue sky filings and other necessary News & World Report – Best Lawyers “Best honored for outstanding results, Sadis & documents. We also advise and prepare • Currency overlay and other currency Law Firms” report. Goldberg is known internationally as a agreements documenting the relationship management and hedging programs dominant force in the financial services sector. among fund managers. Cutting-Edge Insights • Tail risk funds and strategies Sadis & Goldberg’s Financial Services Group represents several hundred investment A broad exposure to the industry enables • Advice to systems trading platforms, advisers and related investment entities, us to identify new developments and including IP issues including hedge funds, private equity funds, provide cutting-edge advice on innovative • Advice to commodity pool operators and venture capital funds, real estate funds, buyout funds and commodity pools. The firm’s vast product solutions and emerging regulatory commodity trading advisers on product experience with all types of funds adds value requirements, including: design, fund formation, marketing, and perspective to our legal advice and • Fund formation and operations negotiations and documentation business acumen concerning all aspects of alternative investments. The firm routinely • Internal operating agreements and profit counsels investors, as well as negotiates sharing arrangements Diverse Practice investments in funds and is familiar with • Anchor investor capital negotiations Clients benefit from attorneys well-versed trends of such investments. We additionally in the hedge funds industry, but also from provide regulatory and compliance advice and • Alternative fee structures attorneys across the firm with deep knowledge representation in connection with regulatory • Trade structuring, including international and vast experience in every discipline of law enforcement proceedings involving the SEC, the CFTC, various U.S. Attorneys’ Oces and tax advice critical to funds and their investors. the Federal Bureau of Investigation.

Ron S. Gener Laurel Fitzpatrick Partner, Head of Financial Services Partner

Sadis & Goldberg LLP Ropes & Gray LLP 551 Fifth Avenue, 21st Floor, New York, NY 10176, 1211 Avenue of the Americas, New York, NY 10036-8704 United States t: +1 212 596 9000 t: 212.573.6660 e:laurel.ﬁ[email protected] e: rge[email protected] w: www.ropesgray.com w: www.sglawyers.com 92 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 93

Founded in 1969, Schulte Roth & Zabel LLP Compliance/Litigation Since 1949, with the establishment of what Overview is considered to be the very first hedge fund, is a multidisciplinary firm with oces in New • Advice on trading rules and compliance • One of the most experienced and extensive York, Washington, D.C. and London. As one A.W. Jones & Company, Seward & Kissel has legal practices covering the private • U.S. and U.K. investment adviser registration of the leading law firms serving the financial been recognized for its work relating to investment fund industry and consistently and compliance services sector, SRZ regularly advises clients private investment funds, particularly in the ranked as an industry leader in numerous on investment management, corporate and • CFTC registration and exemptions “hedge fund” and alternative investment reports and surveys transactional matters, as well as providing fund area. • Representation in enforcement actions and • A key practice area of the Firm with over 45 counsel on securities regulatory compliance, litigation matters attorneys and 15 paralegals specializing in the enforcement and investigative issues Working with investment advisory firms, • Schedule 13D, 13G and 13F and Section 16 investment management area serving clients banks, brokerage firms and other financial filings throughout the U.S. and overseas SRZ’s investment management group, working institutions located throughout the U.S. and in tandem with the other practice areas in the • Advice on managing conflicts of interest abroad, we guide funds and their advisers on • Integrated Firm practice groups provide the structure and organization of numerous related legal services (see Legal Services firm, has unparalleled experience advising investment vehicles that are exempt from Oered) hedge fund managers in all aspects and stages Management Companies of their business including: registration under the Investment Company • Strong relationships with senior sta at • Employee and partner compensation Act of 1940. We are able to leverage the service providers throughout the industry, arrangements and tax planning Firm’s broad private investment fund-related including auditors, accountants, prime Fund Structuring and Marketing • Golden handcus and restrictive covenants expertise to provide our clients with full service brokers, administrators and oshore counsel • Fund structuring, formation and guidance on tax, ERISA, litigation, employment, • Extensive dealings with numerous funds-of- documentation • Estate planning trademark, bankruptcy, trusts & estates, funds, institutional and seed capital investors, • Sales, acquisitions, spin-os and internal and corporate finance, capital markets, derivatives, • Advice on “market” terms for funds based on and third party marketers their investment strategies external exit strategies commodities, business transactions and real • Knowledge, experience and industry contacts Our U.S. and London oces represent hedge estate matters. In addition, we are particularly • Structuring of hybrid hedge/private equity allow the Firm to act as an advisor and fund managers in the U.S., the U.K. and Europe. active in advising our clients with respect to funds numerous types of investment opportunities, consultant not only on legal issues, but also • Seed capital arrangements We understand the hedge fund industry including: private equity, private debt and on business and strategic matters from both a legal and a business perspective other business transactions; structured finance • Advice on fund marketing materials, including • Innovative practice area responsible for many and have been involved in the formation of deals; distressed debt transactions; and activist regulatory issues pioneering developments in the industry every type of hedge fund including: long/ investor plays. • Investor negotiations short equity funds; global macro funds; risk, • Practice area partners are frequently quoted merger, convertible and statistical arbitrage Drawing on our extensive experience and in industry publications and they often lecture • Advice and negotiation of agreements with funds; distressed and high-yield funds; fixed- industry contacts, we help our clients achieve and write on investment management topics prime brokers and administrators practical business solutions within a complex income arbitrage; relative value funds; event- • Firm’s substantial mutual fund practice • Structuring funds to comply with banking legal and regulatory framework. driven funds; multi-strategy funds; quantitative provides the private funds practice with regulations (for funds sponsored by banking strategy funds; sector funds, including Our broad client base ranges from significant depth and overall knowledge of organizations) technology, health care, banking, media and entrepreneurial start-ups to global financial the entire investment management industry energy; emerging markets funds, both equity institutions utilizing a wide range of strategies and debt; funds of funds and multi-manager (including long-short equity, convertible, • Washington, D.C. oce complements New Investments funds; and commodity pools. merger and statistical arbitrage, macro, York City oce by providing key input on • Acquisition and financing of fund investments distressed debt, funds-of-funds, commodity legislative/regulatory issues • Derivative transactions pools/ managed futures products, private • Each project is staed by a highly equity funds, LBO funds and venture capital experienced and responsive core team, • Representation in bankruptcy proceedings funds) and structures (including partnerships, usually consisting of a partner, one or two limited liability companies, oshore funds, associates and a paralegal group trusts and registered funds).

Stephanie Breslow Steven Nadel Partner Partner

Schulte, Roth & Zabel LLP Seward & Kissell LLP 919 Third Avenue, New York, NY 10022, United States of America One Battery Park Plaza, New York, NY 10004, US

t: +1 212 756 2000 t: 1 212 574 1200 e: [email protected] e: [email protected] w: www.srz.com w: www.sewkis.com 94 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 95

Our Private Investment Fund/Investment employee incentive arrangements, trade name Shearman & Sterling has long served as • Developing and implementing compliance Advisory Group is a nationally recognized protection, licensing, on-going regulatory counsel to many of the world’s largest and programs for managers subject to applicable leader in the following areas: compliance (both federal and state), most successful hedge fund firms, an array regulation in the U.K., and counseling clients contract negotiation and forms for retail and of emerging managers and numerous other on applicable regulatory requirements • Hedge Funds institutional investors, custodians and broker- market participants that have played pivotal under AIFMD • Commodity Pools dealers, and organization and operation of roles in shaping the hedge fund industry. • Counseling ERISA plan asset managers hedge funds and other investment pools. • Oshore Funds on compliance with applicable provisions Those activities necessitate comprehensive of ERISA and its regulatory framework • Private Equity Funds expertise in the complex and evolving Shearman & Sterling’s full-service hedge fund industry team is led by lawyers based in New • Assisting clients in responding to requirements of the Investment Advisers Act of York, London and Hong Kong, with support government investigations Investment Adviser Registration and 1940, the Investment Company Act of 1940, the Securities Exchange Act of 1934, the Securities from our global network of oces. We oer a Counseling. Our firm represents more than • Representing funds in all manner of Act of 1933, the Commodity Exchange Act, full range of complementary services relating 300 investment advisers and investment fund portfolio transactional matters, including the Internal Revenue Code of 1986 and other to hedge fund formation and regulatory managers. the evaluation and restructuring of their relevant federal laws, and the volumes of compliance, derivatives and structured counterparty risk for their global prime We seek the most economical and eective rules and regulations of the Securities and products, investigations and enforcement brokerage and derivatives trading structures representation for each client, taking care to Exchange Commission, Commodity Futures defense, mergers and acquisitions, finance, avoid overstang and to focus on procedures Trading Commission, Financial Industry financial restructuring and insolvency and • Advising hedge fund managers (and that eectively move each matter toward a Regulatory Authority, Internal Revenue Service broker-dealer regulatory matters. We also potential acquirers of interests in hedge favorable resolution. Our extensive experience and Department of Labor, as well as myriad work closely with attorneys from our tax, fund managers) in connection with strategic in representing investment advisers and comparable (but diering) requirements compensation and ERISA practices to investments and management company private investment funds aords us significant of state laws and regulations. The breadth provide eective and ecient legal and M&A matters economies of scale and the background to business counsel. and depth of our experience provide the Utilizing a multidisciplinary approach, our respond to most legal issues without time- background to coordinate the various legal lawyers working on these and other hedge consuming and costly research and analysis. requirements, and to guide our clients through Our team’s areas of particular focus and fund matters provide our hedge fund sponsor the labyrinth of competing or conflicting rules. To keep our investment adviser clients expertise include: and investor clients with integrated advice current on regulatory developments and Our Securities Enforcement Defense Group on all aspects of their most important and • Formation of hedge funds, hybrid pronouncements (in part by frequent represents public companies, investment challenging business goals. Our international funds and funds of funds memoranda and notices), we continuously advisers, broker-dealers and other financial network positions us particularly well to advise monitor state and federal regulatory services professionals, investors and company • Counseling institutional investors clients on cross-border matters, as well as the developments. Our awareness of the regulatory insiders in regulatory and civil investigations in negotiating the terms of their continually evolving regulations that impact climate permits us to keep our clients advised and proceedings of all types. Three of the fund investments the hedge funds industry on a global basis. of ways in which their businesses can be group’s attorneys worked as enforcement • Structuring and negotiating managed operated most eciently, economically and attorneys for the SEC before joining us. account relationships with minimum distraction from portfolio management. • Developing and implementing investment adviser, commodity trading advisor and Our representation of investment advisers commodity pool operator compliance encompasses all aspects of their businesses, programs for managers subject to applicable including initial organization, capitalization, U.S. regulation

John Broadhurst Sean Finley Partner Partner

Shearman & Sterling LLP Shartsis Friese LLP 599 Lexington Avenue, New York, NY 10022, One Maritime Plaza, Eighteenth Floor, San Francisco, CA 94111, USA United States of America

t: 1 415 421 6500 t: 1.212.848.4346 e: jbroadhurst@sflaw.com e: sean.fi[email protected] w: www.sflaw.com w: www.shearman.com 96 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 97

The use of third party vendors by fund managers and their administrators has already been highlighted. Over recent years there has been an explosion of new ﬁrms starting up in this part of the industry.

We believe that the vendor segment related to Derived Products & Applications valuation in its broadest definition breaks down Valuation is done for a reason – not just for the into five main sub-sectors: intrinsic delight it provides! That reason may be external client/regulatory reporting or internal trading and risk management, but there is a Pricing & Valuations This is the direct provision of pricing and fundamental purpose to the periodic production valuations data to end-users. These can be a of a price. Some of these downstream uses have variety of dierent price types (trade, broker, applications to valuation risk, such as index composite, evaluated, etc.) in a wide range production and analytics and the creation and of asset classes (fixed income, securitized management of risk measures. products, derivatives, real estate, …), but the underlying purpose is to supply a price (or Data Management range of prices) for a financial instrument which The vast volumes of data required to be can be used by the consumer to meet their accessed, managed, cleaned, compared, valuation obligations. processed and analyzed presents users with a serious challenge. Spreadsheets are deployed, of course, but the scale of the issue had led to Models & Analytics There are a number of firms who do not the development of a number of commercial provide pricing, but rather the analytical applications designed solely to manage the means to produce it. This is a highly data for these purposes. Often described as specialist and technical field, populated by Enterprise Data Management (EDM), the mathematicians and ‘rocket scientist’ quants, pricing component of these packages are a often refugees from the major investment major industry. banks and/or academia. This section contains details of the major vendors supplying products and services relating to asset valuation applicable to Input & Calibration Data The very best model is only as good as the investment funds and their administration. data which fuels it! Often neglected, but absolutely critical to the valuation process, is the underlying data used to populate and calibrate pricing models. This includes yield curves, credit estimates and spreads, prepayment speeds, probabilities of default, terms and conditions data, volatility surfaces and much more. SOFTWARE & DATA VENDORS 98 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 99

Augeos is a technology and management For many administered financial instruments consulting firm, specialising in developing and for regulators new requirements, tailored services and software solutions for depending on their classification, it is now the Finance Sector. important to rely on a “Fair Value” price to be associated with the one written into the Balance Sheet. Augeos’s approach consists in designing highly It has become strategically more important to targeted solutions: have the whole calculation process of the fair • from raw market data supply on the trend of value of the financial instruments successfully the international markets to their selection managed. and interpretation In cases where it is decided to outsource the • from software development to help the Back process of evaluating the Fair Value or having Oce in pricing of financial instruments, a price benchmark to make comparisons with internal procedures, Augeos oers the • from assisting executive ocers in managing automatic prices evaluation service Augeos risk assessment and monitoring and, in a Pricing Service – APS. broader sense, to specialized consultancy. It covers on average 70%-80% of the Italian In the existing market conditions, financial Banks’ portfolios at an aordable cost. It intermediaries are required to abide to the guarantees also the availability of detailed constant evolution of banking legal framework. single instrument price documentation for Augeos, a prestigious name in the industry, audit purposes. brings particularly valuable contribution in the We proceed with the bond theoretical pricing right direction: its dedicated solutions adjust valuation using appropriate pricing models rapidly to the varying scenarios of reference for the each “building block” of the bond. and provide an immediate competitive Each basic component with its consolidated advantage. cash flows is evaluated using the method of discounted cash flows, through a discounted rate curves consistent with the related rating. Technology and services for the fair value price management of illiquid bonds. Options are evaluated according to the most Clients and supervising authorities require a appropriate market models. For each security, careful attention on the monitoring process of we deliver a report inclusive of key evidence the financial instruments, in particular following used in describing the “fair value” of all its aspects outlined below: components. • Reference Data It is important not only to have a manual that describes the pricing models but also to • Classification demonstrate the working process and market • Market Data retrieval data adopted to generate the fair value.

Augeos Via Pavia 11/B, 10098 - Rivoli (To) - Italy

t: (+39)011.9597444 e: [email protected] w: www.augeos.it 100 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 101

AVS-Valuation GmbH (AVS), Frankfurt am Valuation Portfolio Main is recognized as an external valuation • Bonds, Loans, Structured Credit company with a strong focus on the (MBS, ABS, CDO, CLO, Bonds, Loans, SSD) evaluation of complex and illiquid ﬁnancial • Interest Rate Derivatives instruments such as ABS, CLO, CDO, OTC- (FRN, Caps, Callable, Swaps, CMS, Accrual) Derivatives and other tailor made instruments. • Equity-Linked Derivatives (Convertibles, Options, Warrants) AVS is independently operating and part • FX-Linked Derivatives of the owner-managed MainFirst Group. (Dual Currency, Quanto, FX Forward) The valuations are neutral, independent, transparent and reliable. As a key principle valuations are unbiased, based on data Services analyses carried out internally, and on own • Valuations models and market assessments. • Specialities - CDO/CLO Equity Tranches AVS Clients - Top 3 valuation provider by - Combo Notes most custodians banks - Infrastructure instruments Custodian Banks, Investmentbanks, Insurances, KAG’s, KVG’s, Asset Manager, Institutional - Real estate instruments Investors, Pension Funds, Funds, Wealth - Mittetstandskredite (SME loans) Management, Consultant, Auditors - Asset covered loans • Project management / coordination Valuation Requirements • Market conformity check • AIFM & UCITS Directives • Mark to Model check • Basel III, Solvency II, Regulator • Monitoring & Reporting • Financial Statements • Risk Analysis • Regional Valuation Guidelines • Advisory • European Market Infrastructure Regulation • European Long Term Investmentfunds AVS - IDW PS 951 approved • Risk Management AVS is IDW PS 951 approved (German • Scenario analysis & stress testing equivalent of SAS 70 / ISAE 3402) and • Market Conformity, Security Lending aims to provide services on the highest possible standards. • Collateral Management • Reporting, Monitoring • Derived trading information

Heinz Hofstaetter Dr. Rainer Eichwede Managing Director Managing Director

AVS-Valuation GmbH Speicherstrasse 57, 60327 Frankfurt am Main, Deutschland

t: +(49) 69 2578877-30 e: [email protected] w: www.avs-valuation.com 102 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 103

People And Technology Powering Markets

BGC Partners, Inc. is a leading global Unparalleled Flexibility brokerage company servicing the financial BGC Market Data is able to deliver the data in and real estate markets. BGC conducts the ways best suited for your enterprise needs, approximately $180 trillion annually in directly over BGC’s unified electronic trading financial transactions for customers, including platform, via our distribution vendor partners, the world’s largest banks, broker-dealers, and over the internet. Whether your valuations investment banks, trading firms, hedge require real-time updates, intra-day or end-of- funds, Governments and investment firms. day snapshots, or access to historical archives, BGC Market Data is the exclusive provider BGC Market Data will have a solution that can of market data sourced from BGC Partners’ be tailored to your purpose. broking activities.

Breadth and Reliabity Coverage BGC’s “direct-from-the-desk” model, combined BGC Market Data’s products are aggregated with the breadth of coverage, ensures directly from BGC Partners’ broking desks that clients as well as third-party valuation globally and include pricing coverage of: providers, have the necessary and accurate • Fixed Income information required to conﬁdently power their • Interest Rate Derivatives applications including: • Foreign Exchange and Options • Risk Evaluation and Management • Money Markets • Portfolio Management • Inﬂation • Asset Evaluations • Credit Default Swaps • Programmatic Trading • Other Structured Products • Algorithmic Strategy Testing

Sourced Straight from the Desks For more information, including details of our packaging, pricing and distribution In today’s environment of ever increasing options, please contact us at regulatory pressure, with the growing need to [email protected]. ensure all market data is both accurate and veriﬁable, BGC Market Data is able to provide an unrivaled view of OTC data sourced directly from BGC Partners’ voice and electronic broking, pricing, and analytic systems. We do not create prices or data for assets we do not provide broking services for, so you are guaranteed true market prices aggregated from our broking desks around the world.

Mark W. Benﬁeld Executive Managing Director & Global Head of Market Data

BGC MARKET DATA Level 19, 1 Seaport Plaza, 199 Water Street, New York, NY 10038, USA

t: New York +(1) 646 346 4840 t: London +(44) 20 7894 8013 t: Asia / Sydney, Australia +(612) 8222 8828 e: mbenﬁ[email protected] w: www.bgcmarketdata.com

BGCMD_030615.indd 1 3/9/2015 10:05:34 AM 104 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 105

…there is a tectonic shift Revolutionizing Fixed Income Pricing Transparent BCD is a new, full-automated bond pricing BCD detailed reporting includes the number afoot in how source created on state-of-the-art technology of pricing points used for input, details on that costs less without sacrificing accuracy. the type of pricing points – transactional or Because we’re not limited by outdated policies, institutional, curve analysis and correlation munis will be processes and infrastructure, we can fully analysis used. Reports also contain a support today’s requirements for fixed income BCD Confidence Quotient which clearly evaluated... evaluated pricing. distinguishes the quality of each BCD pricing point and in turn helps you build a Stephen Winterstein, Managing Director of Research and Chief Strategist stronger analysis. Wilmington Trust Investment Advisors Automated The Bond Buyer, July 2016 Fixed income evaluated pricing is ripe for Cost Eective automation. That’s because the best pricing is created from the largest number of observable Automated pricing is less expensive to inputs, the data are highly structured and the produce than hand-pricing. We pass those market is largely illiquid. Hand-pricing is a savings to you. decades-old process that is slow, expensive and error-prone. BCD recognized the opportunity to revolutionize an outdated Independent process and partnered with Google Analytics Because BCD is completely independent, to create a fully automated pricing system we can and will work with all vendors to that benefits from all of the recent advances provide you the best level of access, in big data computing. service and flexibility.

Accurate Growing Coverage Through a rigorous process BCD collects data • 1.25 million US Municipal Bonds from thousands of sources and calculates the best possible price for every security. We layer • 30,000 Corporate Bonds transactional pricing data, bid-oer pricing • Select bonds or entire universe data, positions data from government cash management and pension plans, insurance • Eight+ years of daily history companies, ETFs, and open and closed …we need end mutual funds. Then we run a weighted regression analysis to reconcile all of these Contact us to join the revolution in ﬁxed more pricing observations into a single, meaningful price. income pricing. We believe that our price is more accurate to the true value of the security than simple services, matrix pricing or bid-oer pricing. not less.

John Mousseau, Managing Director Cumberland Advisors The Bond Buyer, July 2016

Best Credit Data 50 Milk Street, 15th ﬂoor, Boston MA 02109

e: [email protected] t: +617-429-2601 Best Credit Data Revolutionizing Fixed Income Pricing [email protected] 106 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 107

Drive enterprise workflows with credible, Coverage includes: transparent prices across a broad spectrum • BVAL Fixed Income of financial instruments. Bloomberg’s evaluated pricing service, BVAL, oers - 170,000+ government, supranational, agency SPOT ON high-quality valuations using credible and corporate (GSAC) bonds market sources and industry-leading analytics. - 1,000,000 municipal bonds Data-driven muni pricing - 1,230,000 mortgage bonds Meaningful transparency is critical. Regulations with BVAL changes the game. require more detailed disclosures and - Valuations include the BVAL score stricter risk measurement. With unmatched transparency into observed market levels • BVAL Derivatives Bloomberg Valuation Service (BVAL) enables and relative value methodologies, Bloomberg fund managers to meet fiduciary obligations with delivers a powerful and objective solution for - OTC derivatives defensible pricing to mutual funds, money - Structured notes accurate, highly defensible muni bond pricing. managers, hedge funds, auditors Derived from highest-quality Bloomberg market and regulators. Most important, BVAL delivers extensive value across the enterprise. Available via the data and driven by a radically improved pricing Bloomberg Professional (R) service, BVAL Bloomberg Valuation Service (BVAL) delivers consistent data throughout the front, curve methodology, BVAL delivers muni valuations Out of the millions of securities that exist, middle and back oce. You know Bloomberg you can count on. most are thinly traded and dicult to for high-quality data, cutting-edge technology price. Traditionally, a few broker quotes and outstanding 24/7 service. These three were sucient to justify value. Bloomberg elements combine to make BVAL the clear Learn More understands the need to increase rigor and choice for evaluated pricing. BVLI transparency when establishing fair and bloomberg.com/BVAL independent asset evaluations. BVAL draws Real Pricing from Real Industry Experts on contributed market data from thousands of sources. These broad observations, BVAL was developed by a team of together with innovative analytics and seasoned industry experts with hundreds high-quality data, produce objective third-party of years of collective experience in trading, price valuations for fixed-income asset classes fund management, compliance and risk and derivative securities. management, and pricing. Our team has worked on the client side and for other pricing BVAL’s benefits go beyond traditional asset services, so they know firsthand how regulatory evaluation services. All BVAL evaluated changes, volatility and other factors aect your securities receive a BVAL Score, a proprietary ability to evaluate positions eectively. measure on a scale of 1–10 of the amount and consistency of the market inputs used to calculate each price.

BVAL does not express an opinion on the future value of a security and does not provide recommendations to “buy”, “sell”, “hold”, or enter into any transaction or other strategy. No aspect of the BVAL valuation or data is based on a customer’s individual circumstances. BVAL should not be considered as information sucient upon which to base an investment decision. BVAL is oered where the necessary legal clearances have been obtained. Employees involved in BVAL may hold positions in securities included in the BVAL Services. ©2016 Bloomberg©2016 L.P. All rights reserved. S674343739 0316

Beijing +86 10 6649 7500 Dubai +971 4 364 1000 Frankfurt +49 69 9204 1210 Bloomberg LP Hong Kong +852 2977 6000 731 Lexington Ave, New York, NY 10022 London +44 20 7330 7500 Mumbai +91 22 6120 3600 t: +1 212 318 2000 New York +1 212 318 2000 e: [email protected] San Francisco +1 415 912 2960 w: www.bloomberg.com/bval São Paulo +55 11 3048 4500 Singapore +65 6212 1000 Sydney +61 2 9777 8600 Tokyo +81 3 3201 8900 108 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 109

BondView turns raw data into valuable rich or cheap analysis to support your pricing information to promote smart investment decisions. All data is available in report form decisions about municipal bonds. BondView is which can be sent to a client or kept for your a multi-purpose product used by institutions, records. financial advisors, compliance, issuers and many retail investors. Key features for institutional users include: Liquidity assessment: Know your Liquidity Funnel in Real-Time Regulatory rules require fund managers, their X-Ray bond fund holdings: Xray, Analyze & boards and compliance teams to understand Monitor all 2400 municipal Bond Funds fast. liquidity for each portfolio they manage. We leverage CUSIP level data to spot key BondView’s Liquidity Assessor provides a daily trends for each municipal bond fund constant monitor of your holdings so that you including: 1) Stress Testing at the CUSIP level can comply and report on fund liquidity while for each fund, 2) Filtered holdings by issuer, not building out expensive infrastructure and state, sector, etc. 3) Advanced insight into fund policy. (Coming soon) trading strategies by each bond traded, 4) Locate which funds own the same or similar bonds to your target bond 5) Upcoming BondView compliance: Monitor Your Trading Maturity schedules on fund holdings, 5) Activity To Ensure Compliance Alerts for all fund portfolio changes, 6) Peer BondView Compliance assists desk Supervisors group analysis 7) Holdings diversification and and Compliance sta in ensuring adherence projected monthly income. All of the above to internal policies and procedure around best is also available for 1000’s of managed public execution. Our tool set checks prices, performs portfolios and even retail portfolios. mark up/mark down analysis and flags trades that are out of market.

Pre-trade analytics: Know the Market BeforeYou Trade Utilizing our proprietary and back-tested pricing algorithms, BondView’s Pre-Trade Analytics engine internally generates real time pricing on over 1.1mm municipal bonds. BondView’s pricing is used daily by 10,000+ organizations. We provide context including

BondView, LLC 1188 Willis Ave, Suite 703, Albertson, NY 11507

t: 1-866-261-9533 e: [email protected] 110 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 111 Advanced search for domestic and international bonds from across the world

http://cbonds.com/emissions/ Cbonds is the leading source of information Cbonds Services on fixed income markets of Russia and the Market news Bond Search Advanced Bond Search Government Bond Auctions CIS covering other Emerging and Developed Bond issues database Markets. For over 14 years Cbonds has been Issuer: Agent: - Simple bond search providing market professionals with such Issuer # RN ISIN Start typing the name information as bond database, quotes, - Advanced bond search SPV: Issue type: Placement date: indices, market news, comments and research. - Government bond auctions Start typing the name ▼ Select issue type — - Defaults and restructuring Domestic bonds International bonds Region: Placement date: - Bond calendar Cbonds is an independent data vendor not ▼ Select region Issue kind: — Africa Asia (excl. Japan) CIS ▼ Select issue kind aliated with securities market players - Credit ratings Including reopenings Developed Markets (excl. Europe) and other news agencies. That’s why we Bond quotes Eastern Europe Issue status: Interest commencement date: maintain objective and unbiased attitude Selected: 8 from 8 - Stock exchange, OTC quotes ▼ Select issue status — when providing comprehensive informational approved by issuer being placed - Market participants’ quotes Сountry: coverage of fixed income markets. cancelled early redeemed Put/call date: ▼ Select country exchanged - Bond comparing — Informational resource CBONDS was Albania Algeria Andorra Selected: 11 from 11 Angola Argentina established in June 2000 and initially was Bond calculator Maturity date: Selected: 168 from 168 Currency: devoted to the Russian corporate bond market. Indices — ▼ Select currency “Cbonds.ru” Ltd was registered in June 2001. - Cbonds indices Market segment: USD EUR CHF GBP JPY Including put/call at this time Then the site coverage was widened to the corporate Selected: 66 from 66 - Fixed income statistics Search only for: Russian debt market in general, afterwards municipal - Market participants’ indices sovereign Amortising Perpetual it was expanded to CIS countries and global Listing: Securitization Subordinated markets. Cbonds.ru Ltd is an independent, - Consensus Industry: ▼ Select trading floor ▼ Select industry Moscow Exchange RTS SPICEX Convertible Mortgage-backed bonds non-aliated information provider, keeping Research OTC Market Agriculture Banks Structured products Foreign bonds an objective and unprejudiced position when Chemical and petrochemical industry Selected: 80 from 80 League Tables CDO Retail bonds providing data. The monthly website audience Communication - Bookrunner league table Coupon type: Sukuk amounts to more than 100,000 unique Selected: 21 from 21 - League table builder Fixed rate visitors from 200 countries, whose activity is Issue amount (m): Floating rate connected with the fixed income market. The Portfolio Management 0 7548502 Coupon rate: bulk of the visitors come from Russia, Italy,

Ukraine, Poland, USA and UK. 0% 96% Cbonds Conferences | | | Within the framework of our activities in the We have been arranging professional ﬁnancial 0 3774251 7548502 | | | ﬁeld of bond market information support market conferences since 2003. Every year 0 % 48% 96%

we work for establishing partner relations the company successfully holds more than Zero-coupon bonds only with major market participants - investment 25 events in Russia, Ukraine, Kazakhstan, Reset banks, issuers, trading ﬂoors, regulatory Search and other countries. Cbonds conferences Found: 42617 of 43062 bodies. This, in turn, gives us prompt access presuppose an intense agenda, a wide range to the information right from the market of participants, exciting informal activities. participants’ hands. The majority of Cbonds conferences are held annually. • More than 43 000 bond issues in Cbonds database • About 40 search options and parameters for downloading in Excel Konstantin Lysenko • Available for Cbonds paying subscribers Head of Russia & CEE Fixed Income Group

Cbonds 21, Pirogovskaya nab., Saint-Petersburg, 194044, Russia [email protected] t: +7 (812) 336 97 21 ext. 125 e: [email protected] Tel. +7 (812) 336-97-21 w: www.cbonds.com http://cbonds.com/emissions 112 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 113

SPECIALIST FIXED INCOME VALUATION SERVICES

Corvid Partners is a leading valuations firm CORVID EVALUATED PRICING specialising in the most illiquid areas of fixed Corvid provides pricing on over 14,000 of income securities. The firm provides evaluated the most illiquid fixed income securities. This pricing on a wide range of illiquid and covers over 200 industry sub groups across structured fixed income securities. Managed 65 countries. Our internal pricing models use by teams of experienced illiquid credit traders over 500 market credit curves and we provide and structurers, our valuations currently valuations in 22 dierent currencies. provide a transparent and unbiased view of • Corvid’s services range from delivering over 200 industry groups across more than 20 valuation only data to providing detailed dierent debt market sectors. breakdowns of pricing models, required market assumptions and other data inputs. EVALUATED PRICING FOR CAPITAL MARKETS • Pricing is typically provided on a daily or Demands for increased transparency from weekly basis but can also be structured to regulators and investors has created a need for deliver data as required by each client. skilled, independent, third party pricing across • Pricing is based on bid side evaluations under all asset classes. This becomes increasingly normal market conditions but can also be challenging as complexity increases and provided as mid or oer levels as necessary. liquidity drops. For assets that rarely, if ever, • Valuations take into account elements such trade in any size, market data may not exist as trade size, minimum and maximum time to at all. It is at this end of the liquidity spectrum execution and other deal specific information that institutions come to Corvid Partners in that eects market liquidity and investor order to provide robust, logical evaluated appetite. pricing. • Our teams in Europe and North America are available year-round to discuss pricing CORVID VALUATION SERVICE assumptions and to field all pricing Corvid oers consistent, independent pricing challenges across our market universe. which provide robust, defendable pricing for even the most illiquid assets. WORKING WITH CLIENTS • We use a market price approach to pricing. Corvid’s clients include some of the This includes accounting for market risk world’s largest investment banks, pension appetite, underlying market liquidity and funds, government agencies and market other assumptions around time to execution data providers. Every client has dierent and trade size. requirements and Corvid works closely with • We draw on an extensive database of market each one with a view to building long-term data gathered from multiple sources. This is relationships. That process involves better used to evaluate both the securities being understanding regulatory burdens, building valued and the nature of the underlying bespoke pricing models and ensuring that our market environment. pricing data is always compatible with third • Our pricing processes are continuously party systems and infrastructure. updated to account for changes at the For more information on our pricing and broader market and individual security levels. valuations services, please contact us.

EUROPE Darragh Mooney e: [email protected] t: +353 1 254 4733 For general valuations enquiries email [email protected] NORTH AMERICA www.corvidpartners.com Arunava Biswas e: [email protected] t: +1 860 577 2238 114 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 115

DelphX is dedicated to powering informed and The complete history of all trades of each highly liquid bond markets. Through our suite security, and the details of the MAV n pricing of price-discovery utilities, we deliver accurate current at the time of each trade, are also pre-trade pricing and facilitate transparent transparently displayed in the security’s Independent Valuation and Price Verification communication among dealers and all other Market-Depth record. All data required to market participants. Oerings include independently audit every MAV n price and service for OTC and COMPLEX products validated and continuously-updating market- Score is also displayed in each security’s price forecasts through MAV n, and a broad Market-Depth record to facilitate independent array of executable multi-dealer quotations analysis and provide auditable proof of Best DeriveXperts is a European specialist provider of fair through the QuotePx communication network. Execution. valuation services for financial instruments with a global market coverage across all asset classes. MAV n® Reference Pricing QuotePx® DeriveXperts has the capacity to select and filter appropriate DelphX continuously calculates, validates and QuotePx is a global pre-trade communication market inputs even in the most volatile and illiquid environments. publishes in real-time, quarter-hour and EOD network that streamlines the flow of fixed formats the current market-price forecast of income quotation information between dealers most corporate bond issues, including those and investors while not interfering with bilateral Our services cover and provide you with the following: that rarely trade, via our proprietary MAV n relationships that remain at the center of the (Market-Adjusted Value per congruent nexus) OTC market. technology. Complete post-trade OTC • Accurate and relevant valuations Dealers can communicate tailored quotations to transaction data and the pre-trade pricing of individual, selected or groups of customer and • Complex products all dealer quotations posted to QuotePx are non-customer subscribers and other dealers, incorporated into the evaluation process. • Price verification respond to customer and non-customer RFQs MAV n coverage will soon be expanded to and employ the integrated “Quix” messaging • Regulatory compliance provide validated pre-trade pricing forecasts functionality to seamlessly interact with all for ABS/MBS, municipals and other fixed subscribers and other dealers. • Transparency income instruments. Subscribers can view their own “private quote- • Reliability and efficiency board” and respond online to all Level 1 quotes, The historical accuracy of each MAV n pricing • Dedicated support forecast is also continuously monitored and and the Level 2 quotes of dealers from whom reported as its Accuracy “Score” to reflect the they have secured such favored access, and • Competitive cost degree to which the security’s MAV n pricing communicate their Lit, Dark or Global RFQs to has accurately forecast the price at which individual, selected or groups of dealers. • Tailored solutions the issue would trade in each of its five most recent transactions. (NOTE: No subscriber-to-subscriber or all-to-all communication is accommodated within QuotePx)

Shant Harootunian David Baranes Chief Operating Ocer Head of Client Relations

DelphX LLC DeriveXperts Ltd UK 5 Great Valley Parkway, Malvern, PA 19355 USA 288 Bishopsgate, London EC2M 4QP

t: +(1) 610 640 7546 t: +44 (0)20 8618 0055 e: [email protected] e: [email protected] w: www.delphx.com w: www.derivexperts.com Du & Phelps is the premier global valuation Du & Phelps also provides merger and and corporate finance advisor with acquisition, financial, tax, information expertise in complex valuation, disputes and technology and human resource due diligence investigations, M&A, real estate, restructuring, to private equity and strategic investors. Our and compliance and regulatory consulting. professionals’ help clients navigate all aspects The firm’s more than 2,000 employees serve of the investment cycle by focusing on value a diverse range of clients from oces around drivers and deal-breakers that are critical to the world. investment decisions.

Heightened regulatory concerns and vigilance, For more information, visit together with increased investor scrutiny, www.duandphelps.com. have led to higher demand for independent expert advice. Du & Phelps’ Alternative Asset Advisory segment provides supportable, transparent valuations of illiquid, dicult-to- value investments and complex securities to issuers, investors and regulators. We are the largest valuation ﬁrm in the alternative asset space and have valued the most diverse portfolio of complex alternative investment classes, enabling us to approach our clients’ alternative investment needs with conﬁdence. Companies look to Du & Phelps as both an advisor and sounding board to provide them with independent and objective advice that enables them to make the most informed decisions.

Ryan McNelley Managing Director Du & Phelps The Shard, 32 London Bridge Street London SE1 9SG, United Kingdom t: +44 (0) 207 089 4700 w: www.duandphelps.com 118 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 119

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Our global datasets, powerful analytics, and comprehensive data feeds empower users to stay ahead of market trends, access extensive company and industry intelligence, and monitor the performance of their equity and fixed income portfolios in the oce or on the go. Over the past two decades, FactSet has developed an industry-leading global fixed income attribution and risk solution. FactSet’s oering includes global fixed income index, pricing and reference data, which can be leveraged across our entire analytics suite. Whether you’re a fixed income portfolio manager, risk analyst, or performance professional, FactSet provides you with the tools you need to eectively manage your investment process. Headquartered in Norwalk, Connecticut, FactSet conducts operations with over 6,800 employees in 35 global oce locations. Learn more at FactSet.com, and follow us on Twitter: For All Investment Decisions, Twitter.com/factset. for Any Asset Class

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t: +1.203.810.1000 e: [email protected] 120 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 121 Finalyse, a European-wide leading consultancy specialised in valuation, risk and performance solutions and regulatory compliance,Finalyse, provides a European-wide the financial community leading consultancywith the expertise specialised and creativity in Finalyse Valuation Services coverage by instrument type that bridges the gap between finance and technology. Our consultants combine the financial and valuation, risk and performance solutions and regulatory compliance, technical know-how toFinalyse deliver high, valuea European-added projects-wide to our leading clients allconsultancy over Europe. By specialised working in valuation, risk and performance• Range accruals solu- • Knockouts provides the financial community with the expertise and creativity closely with our clients,tions we contribute and regulatory to successful projects:compliance, the best guaranteeprovides for the a long financial term rela- community with the expertise and creativity tionship of trust. that bridges the gap between finance and technology. Our • Snowballs • Ratchets thatconsultants bridges combinethe gap the between financial finance and technical and know-howtechnology. to deliverOur consultants combine the financial and technicalhigh value-added know-how projects to deliver to our clientshigh value all over-added Europe. projects By working to our clients all over Europe.• CMS By Spread working • CPPI (stochastic rebalancing) closelyclosely with with our our clients, we we contribute contribute to successfulto successful projects: projects: the best the best guarantee for a long term rela- tionshipguarantee of trust.for a long term relationship of trust. • Target redemption notes • Himalaya • Reverse floaters • Credit derivatives • Callable structured products • ABS & RMBS: “illiquid products” • Hybrid structures: forex/commodities/equity/fixed • And much more... Finalyse Valuation Services income/index In Finalyseresponse to the regulatory Valuation incentive to have Services impartial expert valuation of complex derivatives and structured products, Finalyse launched in 2008 the Finalyse Valuation Services (FVS) to provide a transparent and • Lookbacks In response to the regulatory incentive to have impartial expert valuation of complex derivatives service. With FVS solution, we offer you and structured products, Finalyse launched in 2008 the Finalyse Valuation Services (FVS) to

provide a transparent and independent valuation and risk management service. With FVS solution, Finalyse Valuation Services coverage by reporting needs  weState oer of theyou art pricing of , from vanilla to complex ones  Finalyseservice, through specific financialValuation models and ad-hoc reporting streams Services • Pricing and sensitivities • Collateral & disputes -In response to the regulatory incentive to have impartial expert valuation of complex derivatives and struc-  • PeriodicState of reports the art of pricing of OTC Derivatives to help and you Structured identify the driversProducts of your, from portfolio vanilla’s valueto complex ones • Stress test • P&L explainer  tured products, Finalyse launched in 2008 the Finalyse Valuation Services (FVS) to provide a transparent and • Tailor-made prices service, combined through with specific a cost-effective financial service models and ad-hoc reporting streams • Initial margin calculation • Value at risk  Certification ISAE3402 (SAS70) • Periodic reports of values and sensitivities to help you identify service.the drivers With of your FVS portfolio’s solution, value we offer you • Potential future exposure • Return distribution  Fully and auditable • Competitive prices combined with a cost-eective service outsourcing • X-Value Adjustments (XVA) • And much more...  in terms of content, format and frequency  • Certification State margin ISAE3402 of calls, the art (SAS70) pricing of , from vanilla to complex ones  • Full Fully support/ transparent - and auditable service, through prices specific financial models and ad-hoc reporting streams Finalyse for your EMIR reporting  • to any inrequest terms from of content,clients format and frequency Customizable Periodic reports reports of to help you identify the drivers of your portfolio’s valueAn embedded or Stand-alone EMIR-compliant solution designed to facilitate EMIR reporting requirements through a well designed and straight-through automated process, providing you • Challenge margin calls, collateral and unwind prices  prices combined with a cost-effective service Finalyse• Full Valuationsupport/ Servicesreconciliation as a - with counterparty: prices • Third-Party report to Trade Repository • Delegation of intra-group transactions  Certification ISAE3402 (SAS70) • Fast reaction time to any request from clients • Daily Transaction and Valuation Reports • Back loading of historical transactions  Fully and auditable • Daily Quality and TR Reports • Easy implementation of outsourcing Finalyse Valuation Services as a 4-Pillars in terms process: of content, format and frequency

 margin calls, Finalyse Valuation Services is tailor made to client needs. During the whole process, close interaction, proximity  Full support/ prices and full transparency guarantee that customers’ needs are fully met. Prices from counterparties are analysed MARKET DATA PRICING REPORTING RECONCILIATION and compared on an ongoing basis in order to prevent and resolve pricing dierences. When dierences with to any request from clients counterparty’s prices arise, Finalyse’s team of ﬁnancial experts with hands-on experience in quantitative analysis Market data handling Tailor Customer's Specific Granular & customized Challenging counterparties, through Integrated Service, Needs, Advanced Modeling Reporting, Integration with gap analysis, acceptance executes several controls with the aim of explaining them fully. Finalyse does not only provide prices but full Flexible and Adaptable capabilities, Open Pricing Risk Management Systems, test, "4 Eyes Principle" Data Feed, Market Data System Architecture. Full Position History and application, accurate and analysis reports, stress tests, greeks, margin calculation and value at risk. Quality Check. Audit Trail. realistic Pay-Off. Finalyse Valuation Services as a - :

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FINCAD is the leading provider of advanced We enable our clients create competitive analytics for pricing, valuation and risk. Our advantage through cost savings and powerful, flexible, and high-performance enhanced investment returns. Reduced Pricing, solutions help over 1,000 global organizations reliance on expensive quant resources, enhance investment returns, manage risk, optimal deployment of capital, and ongoing reduce costs, comply with regulations, support from our quantitative, industry, and and provide confidence to their investors software engineering expertise minimize and shareholders. Our comprehensive the cost of business for our clients. Rapid, analytics cover all instruments and asset accurate and transparent valuation and risk classes, including exotics and hybrids, and analytics across organizational silos expose Valuation our platform can be customized to specific trading opportunities, validate trade pricing client workflows. Our clients include leading with industry-standard models, and ensure institutional asset managers, hedge funds, aggregated enterprise-wide risk is known. insurers, banks, corporations, auditors, and governments.

An established leader and innovator with more than 20 years of experience, we are a trusted and Risk partner to our clients, providing deep market understanding, a client-centered business approach, and unmatched quantitative expertise.

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FinancialCAD Corporation Amar Budhiraja- Strategic Alliances & partnerships Central City, Suite 1750, e: a.budhiraja@fincad.com 13450 102nd Avenue, David Burnham - Americas Surrey, B.C. Canada e: d.burnham@fincad.com V3T 5X3 - EMEA David Flether e: d.fletcher@fincad.com e: info@fincad.com t: + (1) 604 957 1200 George Li - Asia f: + (1) 604 957 1201 e: g.li@fincad.com 124 Fund Valuation Risk & Compliance Handbook Clean. Fund Valuation Risk & Compliance Handbook 125 Consolidated.

GoldenSource Price Validation as a Service (PVaaS) Complete. GoldenSource oers Price Validation as a Be Prepared Service (PVaaS) to help asset managers With PVaaS, you will have at your fingertips automate, rationalize, and improve their pricing the audit and history information necessary Making data work. processes. PVaaS from GoldenSource is a to prove your processes are consistent, fair unique pricing preference and vendor hierarchy and unbiased. Be prepared for your next framework that enables asset managers to audit, your next customer due diligence reduce cost, improve pricing data quality and session, or questions from your investment meet their regulatory, management, and audit pricing committee. GoldenSource delivers effective data management for: requirements for independent price verification. Risk Analysis • Regulatory Reporting • IBOR • Front/Mid/Back Office

The fully cloud-based solution combines the With PVaaS from GoldenSource, industry-leading Data Model and maintained institutions can: Connections with ﬂexible price validation rules, • Enforce company preferences and to provide a single point of control and a mandates for pricing policy; source of clean, validated prices for the front, - Control the quality of prices with a middle, and back oce. comprehensive set of data quality price validation rules, including: Single Vendor Quick to Adopt, Easy to Use Tolerance, Multi-Vendor Tolerance, Calendar Check, Mid Check (veriﬁes consistency of PVaaS from GoldenSource is easy to get Bid, Mid and Ask prices), Missing, Staleness up and running quickly. As a fully managed and more. service, all PVaaS requires from you is identifying information about which securities • Access pricing information from you want priced, what sources you wish to use, multiple sources; and what rules you want us to run. - Take advantage of GoldenSource PVaaS will then gather and standardize all Connections, out-of-the-box interfaces the prices, run your rules, and push your to prominent market price and evaluated clean prices to your end users and systems. pricing data sources. PVaaS also provides the online tools for you • Check all price sources for data quality. to research, address and approve any suspect • Validate pricing, compare multiple prices the service has detected. sources, and measure “market consensus” around pricing. • Ensure that preferred prices are distributed to mission critical systems across the enterprise.

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t: New York: +1 (212) 798 7100 OPEN STANDARDS • LIGHTWEIGHT ONDEMAND DELIVERY • FAST DEPLOYMENT • QUICK ROI t: London: +44 (0)207 422 7020 e: [email protected] w: www.360edm.com 126 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 127

DATA SERVICES

Intercontinental Exchange (NYSE: ICE) middle and back oces of organizations operates the leading network of global futures around the world. With products such as our and equity exchanges and provides world end-of-day evaluated pricing, continuous class clearing, data and listing services across fixed income evaluated pricing, best execution commodity and financial markets. The New services, and Liquidity Indicators, we’re York Stock Exchange is the world leader in able to support intraday, real-time decision- capital raising and equities trading. making within financial organizations and help link strategic objectives with day-to-day Formed in 2000, ICE’s electronic trading actions. We deliver independent evaluations platform brought more transparency and for approximately 2.7 million fixed income accessibility to the OTC energy markets. Soon and international equity securities each day, after, ICE added global futures and cleared OTC including hard-to-value, thinly traded fixed markets across virtually all asset classes, data income issues, provide trusted reference data services and clearing houses. With a culture of for more than 10 million financial instruments, growth through client service and innovation, oer a low latency consolidated feed that ICE’s global network and state-of-the art connects hundreds of sources, publish leading technology solutions serve the dynamic needs market indices against which industry or of market participants around the world. security performance can be measured, and license for critical benchmarks like LIBOR and Today, the result is an ecosystem of 11 the LBMA Gold Price. exchanges, 6 clearing houses as well as global data and listings services that combine to provide access to global capital and derivatives Evaluated Pricing markets. We deliver daily evaluations representing approximately 135 countries and over 50 dierent currencies for approximately 2.7 ICE Data Services million financial instruments. As a proven ICE Data Services oers a robust end-to- industry leader in evaluated pricing, we help end solution for information, analytics and set the standard for coverage, high quality and connectivity, with a range of proprietary data reliable delivery. and tools for global markets across fixed income, equities, commodities, FX and options. Our teams of evaluators operating in the From exclusive real-time data driven by 11 U.S., UK, Germany, Hong Kong and Australia global exchanges, leading continuous fixed serve both the buy- and sell-side; thousands income evaluated pricing, reference data and of financial institutions worldwide, ranging analytics, to robust desktops, trading tools, from central banks to large investment ESSENTIAL DATA FROM GLOBAL MARKETS and connectivity solutions, thousands of banks, subscribe to our evaluations. Each market participants around the world deploy daily independent evaluation represents our our award-winning data services to inform good faith opinion as to what a holder would The leading pricing, analytics and reference data offered through ICE Data Services their market and economic perspectives and receive in an orderly transaction for a security decision-making. (typically in an institutional round lot position) support mission-critical processes across the front, middle and back offices of under current market conditions. In addition to bid-side evaluations, we also oers mid/mean organizations around the world. Pricing & Analytics and ask-side evaluations. The leading pricing, analytics and market data oered through ICE Data Services support mission-critical processes across the front, theice.com/data

ICE Data Services t: 1 212 771 6565 e: [email protected] w: www.theice.com DATA SERVICES

© 2016 Intercontinental Exchange, Inc. The following are trademarks of Intercontinental Exchange, Inc. and/or its affiliated companies: Intercontinental Exchange, ICE, New York Stock Exchange and NYSE. For more information regarding trademarks owned by Intercontinental Exchange, Inc. and/or its affiliated companies see intercontinentalexchange.com/terms-of-use 128 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 129

Markit provides independent pricing, Our municipal bond coverage includes more transparency and liquidity data on corporate, than 1.1 million instruments rated Aaa/AAA to government, sovereign, agency and municipal Baa3/BBB- and covers both ﬁxed and variable bonds, as well as securitized products. coupons Our methodology also incorporates Given the vast number of bond issues in the the ﬁnancial condition of each state and market, sourcing pricing information can municipality, uses of proceeds and other issue prove dicult. Markit uses price inputs from a level factors. variety of sources that are either aggregated More depth. to calculate composite levels or fed into a The strength of our pricing sources and dynamic model to produce a price validated methodologies underpin the quality of our against a number of parameters. pricing data, delivered with full transparency and dedicated customer support. Markit provides insight into the municipal bond market by delivering independent and transparent pricing for more than 1.1 million municipal bonds, as well as value-added metrics and liquidity scores. More timely.

Our municipal pricing methodology incorporates the ﬁnancial condition of each state and municipality, uses of proceeds and other factors at the issue level to drive movements in price. Our methodology also incorporates unique market color fueled by parsing technology that extracts OTC pricing content from messages in real time. These data More insight. points, along with data from the Municipal Securities Rule Making Board (MSRB) feed, are collected, processed and incorporated into our pricing platform to support immediate updates to bond prices. Markit Muni Pricing

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IHS Markit makes no warranty, expressed or implied, as to accuracy, completeness or timeliness, or as to the results to be obtained by use of the products and services described herein, and shall not in any way be liable for any inaccuracies, errors or omissions therein. IHS Markit is a registered trademark of IHS Markit Ltd and/ or one of its group companies. All other company and product names may be trademarks of their respective owners © 2016 IHS Markit. All rights reserved.

MKT_MuniBonds_A4_ad.indd 2 9/14/2016 8:18:01 AM Intex Solutions, Inc. 3/16/2012 1/2 page, no bleed, 8 x 5 inches Total Securitization

130 Fund Valuation Risk & Compliance Handbook INTEXcalc™ Fund Valuation Risk & Compliance Handbook 131 The Next Generation of Cashﬂow Analytics

For over 20 years, the global securitization market has trusted Intex for its complete and accurate cashflow models and analytical tools. Worldwide, Intex covers RMBS, ABS, CMBS, CDO/CLO, Covered Bonds and many Emerging ABS Sectors. INTEXcalc, designed for speed, ease of use and deal transparency, enables users to analyze single securities, portfolios and bid lists quickly Intex Solutions, Inc. is the world’s leading Intex’s software solutions include and with fine granularity and control. provider of structured fixed-income cashflow INTEXcalc™, an end-user application oering models and related analytical software. Our unprecedented transparency, ease of use, and I Analyze multiple deals simultaneously. Quickly analyze and price position lists speed, the INTEX Application Programming clients include many hundreds of the world’s I Utilize a single interface anywhere — run cashflows locally or via the web best known financial institutions including Interfaces (APIs), namely the INTEX C most major investment banks, regional broker Subroutines™ for developers seeking to build I Review and compare historical loan-level performance data dealers, issuers and investment managers. proprietary applications in C/C++ and the I Integrate past performance data with stress forecasts Intex was founded in 1985, and remains an INTEX Wrapper™ API for developers seeking independent, privately-held company with to build proprietary applications written in I Augment loan-level data with user-defined fields headquarters near Boston, Massachusetts. higher level programming languages such as Intex also supports its many international VB, VBA, .NET and C#, and INTEX DealMaker™ clients with sta and representatives in for investment banks and others who need London and Tokyo. to structure new deals. All Intex software www.intex.com applications have at their core the ability to calculate future principal and interest Intex provides the industry’s most complete cashflows based on user-specified stress library of RMBS, ABS, CMBS, CDO, CLO and scenarios applied to interest, prepayment, Covered Bond deal models, created and default, recovery and delinquency rates as Used by leading investors, issuers and arranging banks worldwide for the most accurate cashflows. Available in Local and Web Versions maintained for accurate cashflow projections well as other more deal-specific assumptions. and price/yield analytics. Intex supports deals Intex’s cashflow projection tools have also issued in North America, Europe, Australia, been integrated into many specialized third- Japan and other regions of the globe. Since party applications targeted to specific vertical 1990, Intex has modeled nearly every public markets and industry segments. deal and numerous privately issued deals, and creates ongoing updates for each deal each month or quarter using investor reports and, when available, loan- or asset-level information obtained directly from trustees, servicers and issuers. Intex’s products help foster new deal issuance, increase the liquidity of the secondary marketplace, and improve deal surveillance and transparency.

Intex Solutions, Inc. 110 A Street, Needham, MA 02494

t: +1 (0)781-449-6222 e: [email protected] w: www.intex.com 132 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 133

At Investortools we develop top of the line Three decades later, we’re stronger than ever, portfolio management and credit analysis having built our company on a combination software for fixed income professionals. When of widely used products and uncompromising you team up with Investortools you get more service to our customers. than just our software, you get us. We are We attribute our impressive track record of experienced software specialists committed success to the blessing of great people in to earning your trust by asking the right our company and our clients. We’ve been questions and delivering tailored solutions. privileged to have some of the greatest minds in the investment community working with us, contributing to steady growth of revenues and We do this by providing software solutions that consistent profitability. help equip you to best execute your investment strategies, and we couple that with stellar customer service. Whether you’re a growing CONTINUED INNOVATION investment advisor or a leading investment management firm, we continually endeavor to As we look to the future, we recognize a serve you and your management needs. staggering amount of room for growth in the marketplace and our team is eagerly taking on Our culture combines the freedom and these challenges. As we continually enhance creativity of a software environment with our suite of incredible products, we look to the rigor and challenge of working among the future confident that we are positioned for the smartest and brightest experts in the growth. investment management industry. Contact us today and discover for yourself why many of the biggest names in the industry are proud Investortools clients.

A TRADITION OF INNOVATION In 1983, Paul Daniels, a portfolio manager and head of research at The John Nuveen Company, developed a portfolio management system with his son. Released as Perform®, this innovative system was the ﬁrst of its kind in an industry run on paper, and became the foundation for our other industry-leading software solutions.

Investortools 630.553.0040 [email protected] www.invtools.com 134 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 135

FIXED INCOME INNOVATION, PRECISION & PERFORMANCE

Kalotay Analytics has been at the core Coverage of the world’s most sophisticated fixed BondOAS – Fixed Rate Bonds COVERING THE income valuation systems for almost three decades. From intraday NAVs of bond ETFS Includes callable, putable, sinking fund, to instantaneous MBS portfolio risk analysis, amortizing, pay-in-kind, and step-up structures. FIXED INCOME Kalotay’s patented technology performs • Agencies • Sovereigns computationally intensive calculations with • Corporates • Foreign Corporates the precision and speed demanded by today’s • Treasuries • CDs MARKETS market participants. BondOAS Fixed Rate Technology MuniOAS – Fixed Rate Tax-Exempts OAS-BASED ANALYTICS FOR Bonds Kalotay Analytics seamlessly integrates into Patent-pending ‘tax-neutral’ OAS valuation VALUATION AND RISK MANAGEMENT any internal client system, external cloud of tax-exempt municipal bonds, including service, or vendor application. Kalotay’s cross- callables and OIDs. Kalotay Analytics delivers cross-platform SDKs for platform C, C++, C#, and Java SDKs are ideal • Tax-neutral OAS, duration, convexity, etc. high-speed OAS-based valuation, risk measures, for interactive applications and high-volume • Converts callable muni curve to par and scenario analysis. Clients include leading asset computations. optionless curve managers, institutional investors, wealth managers, traders, and market data providers. MuniOAS Innovation FloatVal – Floaters and Structured Notes Fixed Rate MuniSignal – Tax Loss Harvesting • Vanilla • Pct. of Libor • Patent-pending framework for maximizing • Capped, Range & Inverse • Flip Note Tax-Exempts after-tax performance • Range Accrual • Callable Zero • Tracks holder’s basis and accrued OID Tax Loss • Calculates cashflow benefit of selling, using ‘hold value’ as reference point TIPSVal – Inflation-Indexed Bonds Harvesting • Signals when to sell, taking into account • US TIPS • UK ILG MuniSignal the value of the forfeited tax option • Canadian RRB • French OATi/OAT€ CLEANMBS • German Bund/BO • Italian BTP€ CurviLinear – Yield Curve & Volatility Estimation • Swedish • Australian Mortgage-Backed • Constructs best-fit intraday yield curves • Japanese • Fixed Coupon Securities CurviLinear from bond prices • Deflation Protection • Inflation-adjusted Yield Curve and • Optimizer simultaneously solves for interest Principal Volatility Estimation rate volatility CLEANMBS – Mortgage-Backed Securities Functionality Patented recursive lattice-based valuation • Option-adjusted spread (OAS) and prepayment modeling FloatVal • Eective duration, convexity, DV01, • Agency pass-thrus key rate durations Floaters and • Non-Agency pass-thrus (accommodating • Stress testing and scenario analysis default and recovery rates) Structured Notes • Conventional price/yields and accrued • Interest-only (IOs) interest for various daycounts • Principal-only (POs) • Modified duration, convexity, DV01 Kalotay Analytics 61 Broadway, Suite 2520 New York, New York 10006 TIPSVal [email protected] In ation-Indexed +1 212.482.0900 Kalotay Analytics Bonds 61 Broadway, Suite 2520, New York, NY 10006 www.kalotay.com

e: [email protected] t: + (1) 212 482 0900 w: www.kalotay.com 136 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 137

MarketAxess brings over 16 years of Using Open Trading’s range of disclosed and unparalleled trading, market data and anonymous protocols, market participants technology innovation to the global can send and receive inquiries or requests for institutional credit markets. quotes (RFQs) - of any notional size - to any other participant on the platform. Open Trading A new way to trade delivers real cost savings by increasing trading MarketAxess was formed in April of 2000 eciencies and vastly expanding the liquidity in response to investors’ need for a single pool for global credit trading. trading platform with easy access to multi- dealer competitive pricing in a wide range of Open Trading has gained significant traction municipal bonds credit products. MarketAxess now operates a over the past 4 years, reaching a record $41 leading e-trading platform that enables market billion in traded volume in the second quarter participants around the world to trade credit of 2016. instruments using MarketAxess’ patented request-for-quote (RFQ) technology. Municipal Bond Trading on MarketAxess MarketAxess is an innovative, award-winning electronic trading platform delivering valuable MarketAxess has developed an e-trading technology solutions for the institutional platform for municipal bonds that provides Better price discovery credit markets. institutional investor and broker-dealer firms with better price discovery, ecient trade Over 1,100 institutional investor and broker- execution, and centralized liquidity that help dealer firms are active users of the platform, achieve best execution requirements. Effi cient trade execution accessing global liquidity in U.S. high-grade corporate bonds, eurobonds, high yield/ MarketAxess municipal bond platform handles crossover bonds, emerging markets bonds, block and odd lots to execute taxable and tax- municipal bonds, U.S. agency securities and exempt bonds. The key features are: credit default swaps (CDS). Centralized liquidity • Centralized access to global liquidity through MarketAxess’ multi-dealer RFQ and all-to-all Open Trading™, a new way to trade Open Trading™ For over 15 years, MarketAxess has been at the forefront corporate bonds • Bid/oer list execution of up to 200 line items of the global secondary credit markets, providing leading In 2012, MarketAxess launched Open Trading, • Consolidated dealer inventory a centralized all-to-all electronic trading electronic trading solutions that help our institutional dealer marketplace that connects over 1,100 fixed • IDC, JJK, and MSRB data income market participants. Open Trading and investor clients succeed. enables buy-side and sell-side participants • Full Straight-Through-Processing (STP) to trade directly with each other, vastly connectivity from pre-to post-trade expanding the available liquidity options for credit products. • Complete audit trails, ticketless transactions, and compliance checks via OMS Trade Munis On • Transaction Cost Analysis (TCA) available for all clients For more information, contact [email protected] or visit www.marketaxess.com

MarketAxess New York +1 877 638 0037 São Paulo +55 11 3080 8400 ©2016 MarketAxess Holdings Inc. MarketAxess, Open Trading, Trade ON and the MarketAxess logo are trademarks of the Company. MarketAxess Corporation is a member of FINRA and SIPC. London +44 (0) 20 7709 3105 MarketAxess Europe Limited is regulated by the UK Financial Conduct Authority. Singapore +65 3158 8755

www.marketaxess.com 138 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 139

Moody’s Analytics provides ﬁnancial intelligence and analytical tools supporting our clients’ growth, eciency and risk management objectives. The combination of our unparalleled expertise in risk, expansive information resources, and innovative application of technology helps today’s business leaders conﬁdently navigate an evolving marketplace. We are recognized for our industry-leading solutions, comprising research, data, software and professional services, assembled to deliver a seamless customer experience. Thousands of organizations worldwide have made us their trusted partner because of our uncompromising commitment to quality, client service, and integrity.

Moody’s Analytics provides users with comprehensive coverage and integrated capabilities across all Structured through investor tools and services, regulatory & risk solutions, advanced APIs, and enhanced data tools and feeds. Our solutions portfolio encompass all asset classes globally including CLOs, ABS, RMBS, and CMBS. The Moody’s Analytics Structured Finance Portal consists of three modules: monitoring, cash ﬂow analytics, and regulatory. The tool oers multi-level data, advanced comparative analytics and customizable benchmarks, empowering the investment decisions of our clients.

Stephen Clarke Senior Director

t: +1-212-553-7765 e: [email protected] w: www.sfportal.com MTS Pattern_5a

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MTS is one of Europe’s leading electronic MTS Data delivers an unparalleled source of fixed income trading markets, with over 500 pre- and post-trade transparency across 18 of unique counterparties and average daily the MTS Cash interdealer government bond volumes exceeding EUR 100 billion. MTS markets with over 100 participants trading oers a comprehensive and trusted market more than 1,100 bonds, all generating around MTS Markets data service, empowering fixed income 30,000,000 executable prices per day. market participants to set best practice for As Europe’s premier facilitator for electronic price discovery, verification and validation. fixed income trading, MTS’s Real-Time data is complimented with a variety of historical value-added products going back to 2003. WHY CHOOSE MTS DATA? • MTS Real-Time Data - • MTS Live - Real-Time executable prices and every trade Real-Time un-aggregated pre-trade data MTS Data direct from the MTS interdealer Cash markets oering a complete and un-netted order book with every visible price and order for the most

liquid bonds traded on the MTS Cash markets Delivery Methods: - Direct from MTS - via the leading market data vendors • Co-location - Real-time tradable The ultimate option in terms of low-latency

connectivity allowing users to host their own • MTS Historical Data: Time Series Data - One of the richest sources of historical pricing servers within the primary data centre of MTS and trade data back to April 2003 prices for European - • MTS Raw Data MTS Real-Time Data in the native format of the • MTS Historical Data: Tick-by-Tick data - As quoted, as traded information across MTS platform giving the ultimate flexibility in the MTS interdealer cash markets. Full price, data delivery and processing fixed income. order and trade data back to June 2011 MTS Historical Data is used extensively by • MTS Reference Prices - central banks, market participants and the Benchmark price fixings calculated exclusively academic community to produce leading each day by MTS. History available back research, to formulate trading ideas and to 2007 strategies, for daily reporting and risk – Executable prices on over 1,100 management processes and to power • MTS Reference Data - government bonds across 18 Find out more about MTS Data by Benchmark reference data for all bonds traded analysis into liquidity, pricing trends and countries, sourced from MTS, speaking to our expert team. spread evolution. on the MTS platform Europe’s premier facilitator for electronic fixed income trading Telephone: +44 (0) 20 7797 4100 Contact us for a free sample. Find out more about MTS Data by speaking to our expert team. – Trade-by-trade information Email: [email protected] reported in real-time Website: mtsmarkets.com – Daily end-of-day and tick-by-tick data Christine Sheeka Data Product Manager – Historical data back to 2003

MTS MARKETS 10 Paternoster Square, London EC4M 7LS

t: +44 (0) 20 7797 4100 e: [email protected] w: www.mtsmarkets.com

MTS_0516_MTS Data_PrintAd_A4_V3.indd 1 10/06/2014 18:10 142 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 143

MuniAxis is designed to provide an ecient SELLING MADE SIMPLE transaction flow between sellers and Bid-Wanted’s buyers, particularly small blocks of bonds — Set a Reserve Price to indicate to bidders that improving results for all participants. the bid has reached an acceptable level and the A Clear Alternative for Bidding Odd-lot Muni Bonds bonds WILL TRADE at the auction end time. We are a mix of fixed income and technology Otherwise, allow the auction to run its course, MuniAxis is an online, live-auction trading platform designed to provide clarity and improve efficiency professionals with a history of injecting then make a “Trade” or “Don’t Trade” decision eciency into the market place. based on Net-To-Me. for buyers and sellers of odd-lot Municipal Bonds. The platform has recently been redesigned to generate better bid participation and improve results for both sides of the trade and is now offered in RBC Capital Markets is our sponsoring broker/ Oerings dealer and your counter party on every trade. Sell at an Oer Price, manage minimum partnership with RBC Capital Markets as the sponsoring broker-dealer. quantity, minimum increments and minimum We no longer expose the bid, but provide balance all the benefits of transparency by enabling RBC Purchases Bonds from Sellers bidders to know where they stand…enter a limit Market Conditions Have Changed… Sellers ■ Growth of separately managed municipal accounts Asset Submit Bids and bid again. Dealers ■ Decline in bond insurance and eroding ratings credibility Managers

BIDDING MADE SIMPLE Cleared Trades But Trading Systems Have Not Changed…Until Now. Match Seller Buyer TIME and CAPITAL EFFICIENCY…that’s our MuniAxis facilitates efficient information flow between buyers and focus, and Pre-Trade Price Transparency is the Buyers sellers, enabling bidders to know where they stand without exposing key to making it work. Asset Submit Asks Dealers the bid. Managers Get access to inventory through a single RBC Sells Bonds to Buyers counter-party. Overall Benefits ■ Bid more items without tying up your capital Anonymous, “All-to-All” Participation: All users can be buyers Transparency on items where you are not the high bidder. or sellers and can trade with other participants – RBC acts as intermediary clearing all trades PRE TRADE POST TRADE Always KNOW WHERE YOU STAND. With Real- ■ Simple sign up – no need for account lists Clarity when it matters: Immediate access for Time Bid Status you know if you have been ■ Odd-lots ARE the focus, not just a courtesy ■ Limit Bidding all bidders: out-bid…and you have the opportunity to BID ■ Clear display of bid status enables bidders to make informed decisions ■ ■ AGAIN. Auto-Ratcheting within Number of bids your parameters ■ Number of bidders For Sellers ■ Know where you ■ Bid sequence ■ Open to sellers from both sides of the market stand…even bid again ■ Solicit bids directly from institutions and dealers, anonymously ■ Set ‘reserve’ levels – indicating a willingness to sell ■ Enable bidders to know where they stand without exposing their bid ■ Time saver – no need to post bids, with MuniAxis it is automatic and available to all bidders

For Buyers A TRUSTED PARTNER ■ Bid directly, but remain anonymous Now partnering with RBC Capital Markets as the ■ Know where you stand, without exposing your bid ■ Limit-bidding and auto ratcheting within your parameters Sponsoring Broker/Dealer. ■ Intuitive filters save time, provide focus ■ RBCCM acts as counter-party on all trades ■ Robust reporting available at your fingertips ■ Efficient trade clearing through a single entity ■ Clear and settle seamlessly through RBC Capital Markets

MuniAxis For general inquiries, please send an email to [email protected] Or call us: (781) 235-5880 For more information, please call 781.235.5880 www.muniaxis.com 144 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 145

As the market

Nasdaq Global Indexes has been creating evolves, will innovative, market-leading, transparent indexes since 1971. Today, we oer 41,000 indexes across all geographies and major asset classes. Our benchmark families include Global Equity, Dividend and Income (including your benchmarks the NASDAQ Dividend AchieversTM), Fixed Income (including the NASDAQ Bulletshares® Indexes), Nordic, Green Economy, Commodities and more. follow suit? We continuously oer new opportunities for financial product sponsors across a wide- spectrum of investable products and for asset managers and RIAs to measure risk and performance. Nasdaq Global Indexes also provides custom index services and design solutions to selected financial organizations. For more information, visit www.nasdaqomx. Nasdaq Global Indexes offers more than 40,000 indexes com/indexes or find us on Twitter @ spanning the world, in all major asset classes. We also support nasdaqindexes. more than 150 ETFs in 16 countries, providing targeted exposure to equities, commodities and fixed income worldwide. Add our custom calculation and design services, and we are poised to help your business with any benchmark needs.

To learn more please contact Rob Hughes at +1 212 231 5836 or [email protected].

t: + 1 301 978 8050 [email protected] Index Data Sales t: + 1 301 978 5307 or + 45 33 93 3366 [email protected] 146 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 147

Nordic Bond Pricing was established by Nordic Bond Pricing is the preferred provider Nordic Trustee and the Norwegian Mutual of independent pricing for Norwegian bonds Fund and Asset Management Association towards the professional buy-side community, in 2013, and is an infrastructure company and has a coverage that is unrivalled. for the beneﬁt of the participants in the bond market. Availability Nordic Bond Pricing is oering end-of day Our services delivery of data-ﬁles, facilitated for automatic Nordic Bond Pricing provides a daily import to portfolio management systems. independent pricing service for bonds and Please contact us for further details at has an objective to develop supplementary [email protected] services as requested by our clients, including bond indices. The company has a systematic approach in obtaining market information, and develop models and analytical tools in order to achieve high quality of the services provided.

Independent pricing service for bonds Accessing market data from all of the major market participants in the Norwegian market, Nordic Bond Pricing has become the primary source of independent pricing data. However, quality is only achieved though dedicated and systematical work. With a team of experienced analysts, we have the knowledge and resources to supervise the markets. Market information collected is being processed through our ﬁnancial models and systems in order to cleanse and verify data, and in turn to deliver the best estimate of market prices. With our local presence, we are close to the market participants in order to discuss market events and prerequisites for the evaluations.

Vegard Annweiler CEO Finansnæringens Hus, Hansteens gate 2, 0253 Oslo, Norway

t: +47 21 95 65 41 e: [email protected] w: www.nordicbondpricing.no 148 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 149

The key to success in trading the lies in Numerix Oneview is the answer. The next the ability to transform to a new market generation trading and risk solution helps paradigm. The foundation of that success global financial institutions transform their is a trading and risk technology platform pricing and risk analytics strategy to achieve that aligns your desks, risk and operations their goals – whether it be to increase revenue, – front to back. Business alignment creates acquire new clients, realize cost savings, knowledge, and knowledge creates a achieve regulatory compliance or increase competitive advantage. True success operational eciency. cannot be achieved without Oneview. With Numerix financial institutions can attain a holistic view into their risk exposure from a single platform driving risk-informed Numerix Oneview supports front oce trading forecasting and decision making capabilities and middle oce risk in a unified way acting as for optimized profitability. the single source of truth for trades, valuations and risk analytics. This is the foundation for With the Numerix CrossAsset model library and future transformative trading operations and robust calculation engine at its foundation, the risk management in the future. Numerix Oneview Enterprise platform includes enabling component technologies that can Today’s sell-side institutions are changing. be leveraged for addressing specific functions What is clear, is that the relationship between within banks and insurance companies. risk management, capital eciency and liquidity is being crystallized by the new Oneview pricing and risk applications can regulatory requirements, forging a direct link be extended to address structured products between the quality of risk management and distribution, front oce trade capture, desk the ability to manage capital and liquidity and portfolio level market risk, counterparty eciently. New interacting regulations focused credit risk, pre-trade pricing and XVA on the trading book are linking dierent adjustments as well as calculations for Basel III elements of the market. Whether it be FRTB, related regulatory compliance for bank capital SA-CCR or XVA we’re witnessing a front oce and margin requirements. operating model transformation. What sets both Numerix CrossAsset and New business models pursued by the sell Numerix Oneview platform apart from its side also require substantial shift in analytics competitors is the consistency of the analytics infrastructure. The impact of FRTB for example which underpin both solutions. is not just about the capital that firms have Being a FinTech disruptor means inventing to hold and their PnL attribution, but more and adopting new approaches that push the fundamentally on the way they are organized bounds of innovation and drive our technology and structured. forward.

James J Jockle Chief Marketing Ocer Global Marketing and Corporate Communications 99 Park Avenue, 5th Floor, New York, NY 10016, USA

t: + (1) 646 898 1263 e: [email protected] w: www.numerix.com www.linkedin.com/company/numerix twitter.com/interactivedata

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Prytania Solutions’ unique technology and In particular, our pricing services oer approach along with market experience transparency on any or all of the following: means we can deliver bespoke valuations • Our valuation approach utilises machine across the entire universe of secured debt. learning technology to ﬁnd the main variables Prytania Solutions oer valuation and risk impacting the price movement of a particular advisory services across a wide range of asset class or market. From this, a unique asset classes, including ABS, CMBS, RMBS, Prytania relative risk score can be calculated CLOs, and CDOs, both cash and synthetic. for each security.

• Input credit assumptions are always fully Prytania Solutions has sought to develop transparent including default and prepayment a reputation as an expert institution for assumptions. defendable, transparent and fully independent valuations in the secured debt market, with • Market observables used in the valuation a particular expertise across the broad approach are categorized and appropriately spectrum of securitisation asset classes. ranked in terms of importance to the derivation of the evaluated price. This type of Combining deep market knowledge with an information can also be disclosed. ability to utilise technology in a way that allows us to quickly deliver highly tailored • Detailed cashflow model projections are also pricing solutions to our clients, Prytania run on every asset and can be provided as Solutions has evolved its valuation services part of the valuation reporting process. Transparent Evaluated Pricing across the Structured Credit Market to address today’s changing regulatory and Over 30 structured finance asset classes from CLOs to CMBS market environment. The valuation service can range from providing evaluated prices only, through to More than just a price delivery of detailed cashflow model reporting and also can be designed to address a variety By adopting the mantra that in today’s financial of regulatory and accounting requirements, EUR & US European marketplace an independent valuation needs including Basel III, Solvency II and IFRS 9 & 13. Experienced to provide “more than a price”, Prytania CLO 1.0 & 2.0 RMBS Machine Structured Solutions oers a range of valuation services So whether you are in need of a daily price feed Learning and that break out the constituent components in order to mark a trader’s book, or you require Finance Data Science of each price in order to allow the user to an independent valuation report in order to Professionals understand fully how a security or asset’s satisfy fair value accounting best practice, then valuation was arrived at. come and talk to us about your requirements. European ABS CMBS

Thousands of bonds priced Market experience daily across over 30 asset classes leveraged by technology expertise

Garry McDougall Solutions Marketing

Prytania Solutions Request Access Prytania Solutions 60 Cannon Street, London EC4N 6NP 60 Cannon Street +44 (0)20 7002 1532 Garry McDougall t: London EC4N 6NP [email protected] e: [email protected] w: www.prytaniagroup.com/solutions +44 (0)20 7002 1532 prytaniagroup.com/solutions 152 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 153

Quantifi is a specialist provider of risk, Rapid, Ecient and Streamlined Interactive Reporting, Generating the Leveraging New Technology - Microservices analytics and trading solutions. Quantifi Cross-Asset Trading Same Results across Risk and Front Quantifi is a leader in financial technology started with a focus on the front oce Quantifi provides trade entry and pre-trade Oce Functions with early adoption of key technologies that and has since expanded to cover the front, analysis via a trade blotter that can be Transparency and independence are key give our clients advantages in terms of speed, middle, and back oce. Quantifi’s single configured for each user using templates elements towards satisfying increasing scalability, and usability. This includes being integrated solution provides user-friendly to provide highly-tuned, simple trade entry regulatory and corporate oversight. The ability the first commercial native .NET analytics trade entry and capture, pre-trade analysis and pre-trade analysis for both cleared and to interactively drill down, slice and dice, and library and the first financial solution provider (including analysis of fees and margins un-cleared trades. Users can look at risk on aggregate across even the largest data sets to support the Intel TBB multi-core API. to calculate true profitability), hedging, either a portfolio or incremental basis and can is critical. Quantifi’s next generation reporting Quantifi’s philosophy is to look for ways to real-time position management, compare exposure limits, capital charge, provides interactive drill down, slicing and best leverage new technologies. A key focus OIS discounting, regulatory reporting, and margin across dierent execution venues. dicing, and aggregation across even the for the past 12 months has been to make liquidity risk, counterparty risk, and CVA. The solution can re-run a couple of trades, largest data sets. Detailed composite reports Quantifi more open and flexible by separating The solution also includes risk analytics rather than the whole portfolio, to get a with tables and graphs of current out our architecture into microservices, which and flexible reporting for market and new measurement of risk, using in-memory and historical data provide full transparency, has reshaped how we serve our clients. counterparty risk, providing the same cubes. Stress testing can also be carried giving you complete confidence in the results. A microservices architecture makes initial figures to the risk function as to the front out pre-trade. implementation and future upgrades simple oce. Its operations section includes Simplified Data Management and low risk. Clients also benefit from workflow, limits, compliance, and P&L A Single View of Risk unparalleled flexibility and customisation. analysis functionalities. Quantifi provides a suite of tools and Our integrated risk framework provides a applications to manage, navigate and

single view of risk and incorporates market mine data. To support the heavy demands About Quantifi Consistent Analytics Enterprise Wide leading models that generate results that of big data Quantifi utilises a NoSQL Quantifi is a specialist provider of risk, Quantifi has an established reputation as the match the market for even the most complex database environment which allows for analytics and trading solutions. Founded in market leader in analytics. Quantifi provides product. Complex portfolios in particular high-performance and agile processing of 2002, Quantifi has over 140 clients across 16 consistent valuations, enterprise wide, based require comprehensive and accurate scenario information on a larger scale. Quantifi uses countries including 5 of the 6 largest global on industry best-practices, and a flexible analysis as well as detailed sensitivity analysis an ETL framework for managing real-time banks, 2 of the 3 largest asset managers, framework for model parameterisation and to capture non-linear characteristics. Quantifi’s and batch inbound and outbound data leading hedge funds, pension funds, insurers, selection that is audited and permissioned. powerful and flexible risk engine provides feeds, with pre-integrated feeds for popular brokers, clearing members, corporates and Incorporating industry best-practice, rapid historical and what-if scenarios for data providers. other financial institutions. Quantifi’s comprehensive suite of market accurate monitoring and managing of risk. validated models provide timely, accurate Comprehensive sensitivity analysis is also and independent valuation for even the most supported and calculations are consistent complex OTC products. Built on the latest across all asset classes so clients can rely on technology and incorporating advanced the aggregated results. numerical methods, Quantifi delivers groundbreaking performance and scalability for even the most complex OTC portfolios.

Roland Jordan Head of EMEA Sales, Quantiﬁ

Quantiﬁ t: +44 (0) 20 7248 3593 e: [email protected] w: www.quantiﬁsolutions.com 154 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 155

The key to success in trading the lies in RIMES Technologies Corporation focuses on meeting the specialist data needs of both asset managers and asset owners.

A pioneer provider of cloud-based managed data services, RIMES delivers highly customized financial data over the internet. A global company, RIMES serves over 300 investment managers, hedge funds, wealth managers, private banks, custodian banks, insurance companies and pension funds in more than 40 countries including 60 of the 100 largest global asset managers and 9 of the 10 largest asset servicers by TAUM. All RIMES managed data services deliver nearly 1,000 data sources from over 200 data partners in highly customized, fit-for-purpose feeds. RIMES currently feeds data into more than 60 third-party data warehousing, risk, performance and compliance solutions and many inhouse systems. RIMES clients benefit from a world- class data operating platform without a major investment in people or technology. Firms that choose RIMES achieve more with less.

RIMES Technologies e: [email protected] www.rimes.com 156 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 157

Scanrate provides insights, knowhow and software solutions for the Danish mortgage bond market.

The Danish mortgage bond market is one Scanrate pricing service of the oldest, largest and most robust fixed Scanrate provides an evaluated pricing service income markets in the world. It has survived for Danish bonds. The service is used for several occasions of economic and political collateral management and capital requirement turmoil, including the latest global financial reporting by a large number of Danish banks crisis, with no disruptions to issuance activity or market confidence. Distributor of bond basic data Scanrate is a redistributor of Danish bond basic Background data and market quotes. Added-value data are collected from prospectuses and issuer For more than twenty-five years, Scanrate has news feeds. Scanrate holds one of the most developed the benchmarks models used to complete historical databases on Danish assess risk and returns on Danish MBS. MBS activity. Scanrate was first to introduce an MBS modelling framework based on lattice models Client specific services and backward induction. Prepayment models Scanrate oers customized services for Danish are behavioral models taking borrower MBS investors. Examples are valuation and composition and historical prepayment risk reporting based on client specified curves, practices into account. The models are widely value-at-risk analysis, performance attribution used by large investors and market makers in and liquidity forecasts. Please contact us with the Danish market. your specific needs.

Oerings Integration services to third party systems Software libraries Scanrate has broad experience in building Software oerings include the advanced ﬁxed interfaces to third party portfolio income library RIO with a range of proprietary management systems. models for calculating risk and return, scenario analysis and performance attribution. The Clients library has an intuitive Microsoft Excel interface Clients includes major commercials banks, and full support for Microsoft.Net. global data vendors, pension funds and central banks. Prepayment modelling service

Quarterly prepayment modelling service based Consultancy on updated data from the mortgage credit institutions. Keep up with the Danish MBS As a leading independent bond market market by reading the quarterly report. expert, Scanrate is frequently employed as a consultant on product development ASP solutions and new legislation. Scanrate provides complete ASP solutions for ﬁxed income analysis with daily updates to data and models done by an experienced team of analysts.

Svend Jakobsen Partner, CEO, Ph.d.

Scanrate Financial Systems A/S Aabogade 15, 8200 Aarhus N, Denmark

t: +(45) 86 205 200 e: [email protected] w: www.scanrate.dk 5000000 94.06 CVR 158 Fund Valuation Risk & Compliance Handbook Fund Valuation100 Risk.36 & Compliance Handbook 159 AA0 30500000 RMBS G0158W 100.36 3 CVR XS0292443677 103. DO 4943000 103.3 LK C 3 2 TA XS0506554152 9750000 es CLO G72 Lsingl 25 CVR 2A US041239C 85. ABS 5000000 85.25 VR 100.01 C S 2A AS7 Colour2000000 and Clarity CMB 049733 100.01 00 CVR A3B XS0223410142 ABS RMBS CMBS CLO110 CDO. RMBS 100000000 110.00 ALK 47 T S AP3 1,300,000 RMB 05522R MH40s 48 TALK 14 A14 CMBS SCI is an independent media company that traded prices for all securitised products across FrontAD 0Offi ce Color;13598000 BackH 40soffi ce PricingTALK started in 2006 with the aim of bringing the US & Europe: ABS, CDO, CLO, CMBS and 059500 77.00 A4 L33 16857000 CLO readers an independent and impartial RMBS. Trade colour and prices are fed to 07386H MH70s 78 CVR perspective on the global securitisation clients online, in excel and via API in a standard, 22A1 000 BS Name ABCUSIP5 ISIN Size Price received4,100Decimal, price Price type Deal type 70s CM markets. SCI covers all aspects of uniform format to integrate into your desktop 2 ACE05532L 06-SL3 A1 004423AA7 5221000 Hteens 18 TALK RMBS Front Offi ce, Sales, 1A ADAGI III-X A1B XS0262820805027976433510000000 88 88 CVR CLO securitization and its constituent asset classes systems. R14 XS 4500000 CDO ALBA 2007-1 B XS0301706288 2200000 63.03 63.03 CVR RMBS Trading & Portfolio - ABS, CDOs, CLOs, CMBS and RMBS - through ALBA 2007-1 B XS0301706288 2200000 LM60s 63.5 TALK RMBS S SCI PriceABS data is also available via -1 D XS0235642971 650,000 Management CMB a powerful combination of News, Market Data ALESC 9X A1 G0158WAA0 500000012 M60s, 65 TALK CDO several third party evaluation and cashflow ARESE 2007-1X A3 XS0292443677 30500000 94.06 94.06 CVR CLO and Events. Increased colour, platforms to provide an ecient means of data C1 ARKLE 2010-1X 2A BH5 XS0506554152 4943000 100.3615000000 100.36 CVR RMBS CLO 07387B coverage and depth integration and analysis. Our partners include 20 H ARKLE 2010-2A 2A US041239CG72 9750000 103.3 103.3,000 CVR RMBS O -T ATTN 2006-2A A3B PA049733AS7B5 5000000 Lsingles2,000 2 TALK CDO for each trade CD News platforms such as INTEXcalc, Moody’s Analytics AVOCA12497 III-X B XS0223410142 2000000 85.25 85.25 CVR CLO B and ThomsonReuters LPC. BACCT 2006-A14 A14A05522RAP3AE1 100000000 100.014000000 100.01 CVR ABS 90s RM SCI’s daily news service tackles the most BACM 125142006-3 A4 059500AD0 1,300,000PAG12 110.00 110.00 CVR CMBS LM 77 TALK relevant stories aecting investors, from 5 A4 BALTA 2006-3 22A1 07386HL33 USG218913598000 MH40s 47 TALK RMBS RM D BCAP 2009-RR14 1A2 05532LAB5 16857000 H40s6500000 48 TALK RMBS Valuation, regulation, new issues and risk management PriceABS tackles several key problems: B1L BLONN 2006-1 D XS0279764335 4,100,000 MH70s 77.00 TALK CMBS Audit, Risk M to secondary trading, pipeline deals and loan 1X BOYNE 1X C1 BV5 XS0235642971 4500000 H70s39444000 78 CVR CLO R 1. Provides access to trade information you 125093 defaults, all through its in-house editorial team. BSCMS 2005-T20 H 07387BBH5 12,650,000 msingles 5 TALK CMBS Additional independent don’t currently receive -A 1 CBCL 10A B 12497PAB5 15000000 LM70s 73.5 TALK CDO CLO AF1 11000000 price verifi cation to 1CDA 2007-CD56 02149F A4 12514AAE1 2,000,000 84.00 84.00 CVR CMBS 2. Oers new depth to pricing processes and -43CB CIFC 2007-1X B1L USG2189PAG12XS03823714404000000 80.25 80.25 TALK CLO complement evaluated CLO Market Data 2006 4935000 LK reduces the reliance on single-dealer quotes CRTS 2006-A 1 125093BV5 6500000 LM90s 93.5 TALK CDO pricing sources 2 D CWALT 2006-43CB 1A6 02149FAF1 XS051392361439444000 MH70s 77 TALK RMBS SCI’s data package includes: SCI PriceABS 2008- 2000000 CLO 3. Oers cloud-based access to irretrievable EMFNL 2008-2 D XS0382371440 11000000YAK58 M20s 25 TALK RMBS 95 TALK - a daily secondary market colour and price -2X A1FOSSM 2010-2X A1 XS0513923614USG31444935000 100.57 100.57 CVR RMBS R trade data tied up in email archives 2010 GALE 2007-3X D USG3144YAK58 2000000 H70s2000000 78 TALK CLO service covering the US & European markets AE55 M90s R D GALXY 2011-11X D USG2600QAE55SG2600Q2000000 L90s 92 TALK CLO Level 1 & 2 pricing data (for more see next paragraph.) We also oer 4. Oers search by a variety of parameters: -3X GALXY 2011-11X D USG2600QAE55U 2000000 M90s2000000 95 TALK CLO R 2007 E55 required by regulators R comprehensive coverage of deals in the deal identifier; asset class; trade type; and DGHM 2007-1 BA XS0288628224 2600Q1720000A 56.52 56.52 CVR RMBS 11X GMFM 2011-1A 2A1 US38406CAT09USG 16550000 102.33 102.33 CVR RMBS pre-issuance pipeline; a primary issuance date range. 2011- 1720000 to satisfy valuations C GRND 1 C XS0260142988 10,000,000 94a 94.00 TALK CMBS LK database of deals and their structures; details D 0288628224 and audit 2011-11X MANSD 2007-1X M2 XS0293460381XS 4375000 L60s16550000 62 CVR RMBS of events impacting loans securitised in CMBS; MANSD 2007-2X M2 XS0333311693 1000000AT 61.4509 61.45 CVR RMBS 62 CVR MMCAPS 18 A1 G6179RAA3 38406C5000000 LM60s 63.5 TALK CDO information on CLO manager changes; and Events -1 BA US ,000,000 2007 NCSLT 2004-1 B1 63543PAS5 7000000 LM40s10 43.5 TALK ABS L60s VR industry job moves. Each data feed is available OPERA 1GER 2 E XS0278492706 500,000 70a 70.00 TALK CMBS SCI hosts well-established seminars in London -1A 2A XS0260142988 Comes with full access to subscribers in both online and downloadable 2011 PRETSL 22 A1 74042MAA4 27623125 64h 644375000 CVR CDO LK and New York that have individually tailored PROVT 2007-1 D XS0283674819 1500000 20.7 20.7 CVR CDO to SCI news and data A formats. XS0293460381 programmes covering the most important and 1 C RL1 INC 2003-5 45804RAA1 1500000 M70s 751000000 TALK ABS 60s RLOC 2007-1X C1A XS0300474789 3408000 56.65 56.65 CVR RMBS LM TALK relevant current issues to participants, through 2 43.5 -1RMACX M 2004-NS3X M2 XS0200803962XS033331169331000 L60s 62 CVR RMBS panel discussions with leading market figures D 2007 5000000 LK SCI PriceABS RMI 2006-32 45804CAA4 1500000 H40s 48 TALK ABS • 10s of 1000s of prices TA and audience-driven Q&As. We also organise -2SMPERX M 2006-1 D XS02748750523 1,650,000 H60s 68.00 TALK CMBS SCI PriceABS is a daily secondary market price SD 2007 SMPER 2006-1 D RXS0274875052AA 1,650,000 M70s 75.007000000 TALK CMBS archived online webinars on all aspects of trading, G6179 CVR service using direct market observations of ASTCLO1 2006-4X C1 USG8514FAE19 2000000 87.13 87.13 CVR, CLO000 pricing and risk management. APS 18 TMAN 4 A PXS0263096389AS5 5,000,000 94-95a 94.00 TALK500 CMBS • 1000s of new prices pre- and post-auction price talk and covers/ 63543 CVR -1TMANB1 4 A XS0263096389 XS5,000,0000278492706 92.75 92.75 CVR CMBS added each week T 2004 UROPA 2007-1 M1B XS0311811193 1405000 50.75 50.7527623125 CVR RMBS TALK UROPAE 2007-1 M1B XS0311811193 1405000 H50s 58 TALK RMBS • Licences tailored to A GER 2WINDM X-X A XS0293895271MAA4 5,000,000 DNT CVR1500000 CMBS R WINDM X-X A 74042XS0293895271 5,000,000 89a 89.00 TALK CMBS your needs 65 CVR A1WINDR 2005-2X C USG9699FAD80 X1000000S0283674819 81.11 81.11 CVR CLO John Owen Waller TSL 22 1500000 56.65 CVR 1 D 62 Managing Director T 2007- RAA1 3408000 L60s LK OV 45804 48 TA -5 XS0300474789 31000 Structured Credit Investor INC 2003 H40s LK L1 68.00 TA 507 Clerkenwell Workshops, 27/31 Clerkenwell Close, London EC1R 0AT -1X C1A ForXS 0200803962a 5-day free1500000 trial OC 2007 H60s ALK XEmailM2 [email protected] 75.00 T t: +44 (0) 20 7061 6335 -NS3 4 ,650,000 MAC 2004 45804CAA 1 M70s CVR e: [email protected] XS0274875052 ,000 87.13 w: www.structuredcreditinvestor.com 2006-3 1,650 .13 LK MI www.structuredcreditinvestor.com87 94.00 TA 2006-1 D XS0274875052 2000000 MPER AE19 94-95a 75 CVR -1 D USG8514F ,000 92. PER 2006 5,000 92 75 CVR M 0263096389 75 160 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 161

S&P Dow Jones Indices is the world’s largest, Custom Indices global resource for index-based concepts, Through our independently calculated data and research. Home to iconic financial solutions, clients can create custom indices to market indicators, such as the S&P 500® and The One meet their specific investment criteria. Whether the Dow Jones Industrial Average®, S&P Dow creating a slice of one of our existing indices Jones Indices has over 115 years of experience or a white label version, we construct, maintain constructing innovative and transparent and disseminate custom indices for investors, solutions that fulfill the needs of investors. exchanges and ETF providers around the More assets are invested in products based world. to Bond upon our indices than any other provider in the world. With over 1,000,000 indices covering a wide range of asset classes across SPICE® the globe, S&P Dow Jones Indices defines the Taking index analysis and research to the next way investors measure and trade the markets. level, SPICE® provides subscribers with access With to timely, comprehensive data, corporate action alerts and developments that aect As the world’s largest resource for index-based index composition and weighting. innovation, data and research our mission is to bring independent, transparent and cost eective solutions to the global investment Data & Index Licensing community. S&P Dow Jones Indices is at the Our indices are licensed to financial institutions forefront of index change and innovation. Our around the world as the basis for a wide range An independent formula is goal is to continue to anticipate and respond of financial instruments. We also oer index taking the lead in fixed income. to how our clients see global investment data subscriptions across asset classes for opportunities. In addition to our index family Synchronize with the team you clients who require consistent measures of we also provide the following services: market performance and need underlying data trust at S&P Dow Jones Indices on component securities. and accelerate with precise Professional Resources bond signals across traditional, S&P Dow Jones Indices is a division of S&P CE-accredited research, education and Global (NYSE: SPGI), which provides essential smart beta or multi-asset timely market commentary tailored to your intelligence for individuals, companies investment profile. class indices. Success follows and governments to make decisions with —fueling ideas confidence. For more information, visit Indexology www.spdji.com. whose time is now.

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t: 212-438-5266 ® ® e: [email protected] © S&P Dow Jones Indices LLC, a division of S&P Global 2016. All rights reserved. S&P and Indexology are registered trademarks of Standard & Poor’s Financial Services LLC. ® Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC. It is not possible to invest directly in an index. S&P Dow Jones Indices receives compensation for licensing its indices to third parties. S&P Dow Jones Indices LLC does not make investment recommendations and does not endorse, sponsor, promote or sell any investment product or fund. 162 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 163

Tradeweb Direct is a leading electronic fixed ORDER EXECUTION income marketplace for financial advisors, • A single trading screen delivers an ecient, registered investment advisors, traders, and transparent and seamless experience buy-side investors. • Access to liquidity from a diverse network of 200+ broker dealers including over 170,000 Tradeweb Direct is one of the largest live executable markets, encompassing over market destinations for electronic trading in 70,000 unique securities daily Municipals, Corporates, Agencies, MBS and • Flexible protocols such as live executable Certificates of Deposits. We oer a full range markets as well as Request for Quote (RFQ); of front-end and workflow solutions, providing average of 5 responses to each RFQ users with deep pools of liquidity and the tools they need to manage order flow, ensure competition, and mitigate risk. Driven by POST-TRADE years of experience and client partnership, our trading and analytics platforms are engineered • Straight-Through-Processing (STP) for trade with flexibility in mind and tailored for the executions and clearing highest level of eciency. • FIX protocol • Dedicated support from our sales traders EXECUTE CONFIDENTLY WITH BREADTH to the client support desk all focused on AND SCALE improving the way you trade. Real-time price discovery, analytics, and market Our robust end-to-end solutions are designed transparency tools empower users and their to provide simplicity and eciency to our end-clients with an unprecedented view of clients’ workflow in order for them to better the market. serve their clients. We believe that enhancing two-way communication between advisors, the trading desks and their clients builds stronger PRE-TRADE relationships, greater loyalty and trust, and • Advanced search capabilities with over ultimately, the potential for more business. 30+ bond variables with depth of market on live prices • List functionality to promote portfolio-based trading and alerting of matching positions • Compliance Solutions & Analytics including pre-trade price transparency tools and integration with our Portfolio Solutions product

Tradeweb Direct 1177 Avenue of the Americas New York, NY 10036 USA Retail: +1 212-852-1234 [email protected] www.tradeweb.com

Tradeweb.com

Introduction to Tradition Trad-X Data Tradition is the interdealer broking arm of Trad-X is Tradition’s hybrid trading platform Compagnie Financiere Tradition. We are for OTC derivatives and other financial the world’s third largest interdealer broker instruments. Trad-X enables clients to trade (IDB) in over-the-counter financial and interest rate swaps and the platform has commodity related products, with a been conceived with the ability to cover all presence in 27 countries. currencies and products across the rates spectrum. The platform was designed together with market participants and founder Global market data – straight to your desk streaming participants include: BNP Paribas, Tradition provides real-time, over-the-counter Citigroup, Credit Suisse, Goldman Sachs, HSBC, prices in many of the world’s fastest moving Morgan Stanley, Nomura, Societe Generale, markets, including hard-to-find prices in Royal Bank of Scotland and UBS. developing products and regions. • Trad-X is designed to present a global future- The result? A timely, accurate and independent proof method of trading OTC derivatives in a view across all financial markets, supported by shifting regulatory landscape. dedicated market professionals. • Trad-X oers a flexible execution methodology utilising hybrid, voice and Tailored to your needs electronic capabilities and the provision of functionality that meets the demands of Whether you need data solutions for a single today’s market. user or feeds for your entire organisation, we oer real-time and end-of-day market data, • Trad-X has been designed and continues direct to your desk or via third party vendors. to be developed in conjunction with Historical data with research, analysis and market participants in order to meet their commentary completes the package. requirements on an ongoing basis. • Trad-X produces the best, fully electronic, Tradition Valuation Data irrefutable interest rate swap curve available in the market. To meet increased demand for end-of-day settlement and pricing, Tradition has developed a suite of integrated valuation products. Daily and intra-day snapshots oer OTC price fixings from today and from previous days’ trading. All data is sourced directly from broker screens and packages can be tailored to your needs.

Matt Evans Director, Market Data Market Data Tradition Beaufort House, 15 St Botolph Street, London EC3A 7QX

e: [email protected] t: Europe : +44 (0)20 7198 5959 t: USA : +1 212 791 45 00 t: Asia : +65 6532 3807 w: www.tradition.com 166 Fund Valuation Risk & Compliance Handbook Fund Valuation Risk & Compliance Handbook 167

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Providing Transparency Core Services The recent turbulent years in the international • Valuation of financial instruments in markets have revealed one crucial drawback accordance with regulatory requirements of today’s financial system: the lack of • Market Conformity Control on transactions of transparency. liquid and illiquid products Value & Risk’s aim is to provide transparency • Risk assessment and analysis of financial and to support a trustworthy relationship instruments and portfolios thereof between investors and banks. Our core competence is the independent, high-quality • Derived Market Data like Issuer Curves, valuation of financial instruments across Volatility Surfaces, Special Ratings, etc. all complexity and liquidity classes. Closely • Analyses and special reporting for your following the needs of our customers, we individual needs provide prices for illiquid and complex • Consulting services by our experts VALPOINT: A COMBINED VALUATION SOLUTION instruments and validate prices of semi-liquid and liquid instruments according to the latest FROM THOMSON REUTERS AND VALUE & RISK regulatory requirements using state-of-the-art Customized Solutions quantitative and qualitative models. Value & Risk supports its customers with Thomson Reuters and Value & Risk have joined forces to create ValPoint, a comprehensive We have developed a unique transparent numerous tailor-made solutions. We adapt and cost-ecient solution that helps you meet the regulatory requirements of the Alternative reporting that enables our customers and our processes to the specific requirements their auditors to closely follow all the steps of our customers and oer the right balance Investment Fund Managers Directive (AIFMD) and your fund’s aggressive financial goals. of the valuation process. between accuracy, transparency and commercial eciency. Full Asset Coverage A SINGLE SOLUTION FOR ENSURING YOUR Value & Risk oers state-of-the-art valuations Regulatory Coverage of almost any financial product on the Value & Risk`s solutions comply with the ENTIRE PORTFOLIO COMPLIES WITH ALL market today: latest versions of international, European and • Fixed Income (liquid, semi-liquid and illiquid many country-specific regulatory requirements AIFMD REQUIREMENTS Instruments) – all complexity levels, including such as : ValPoint gives you the best of both worlds. It combines the depth and breadth of Thomson Bonds, Convertibles, Schuldscheindarlehen, • IFRS • AIFM • Basel III Pfandbriefe and other Covered Bonds, Reuters pricing and valuation expertise, including providing evaluated pricing on over 2.6 • MIFID • Dodd-Frank • KARBV Genussscheine, Municipal Bonds, Junior and million instruments daily. Plus you get specialized expertise from Value and Risk implementing • Solvency II • EMIR • UCITS Subordinated Bonds and Structured Deals individual pricing policies, validation procedures and pricing of highly complex instruments. Our expertise is to find practical solutions to • Derivatives – all complexity levels and complex regulatory issues. We are happy to Together, we deliver full, independent and transparent Pricing, Valuation and Market- underlyings, including Interest Rates, Equity, provide our customers with insight to market`s Conformity-Control Solutions across your entire fund. That includes price selection, Foreign Exchange, Credit, Inflation, Volatility best-practice and assist in finding the most and Hybrids eective way of implementation. liquidity scoring, fair value hierarchy – all fully validated and documented in accordance • Asset Backed Securities (ABS) – including with AIFMD requirements. CMBS, RMBS, CLOs, CDOs and many other types Audited All our procedures are annually audited • Alternative Investments – including (since 2011) according the ISAE 3402 Value and Risk Valuation Services GmbH t: +49 (0)69 959 2916-0 Real-Estate, Project Financing, Infrastructure, e: [email protected] (Type II) standard. OpernTurm (18th floor), Frankfurt am Main, Germany Micro-Credits, Private Equity and many more w: www.valuerisk.com Voltaire ADVISORS

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