Due Diligence Questionnaire - Investment Vehicle Manager

  • Due Diligence Questionnaire

    Investment Vehicle Manager
  • Date Of Submission/Modification*
     - -

  • Instructions

  •  

    In accordance with the provisions of Chapter II of PlanVital's Investment and Conflicts of Interest Policy, as regards Counterparty Risk Monitoring and Control, it is our responsibility as Financial Risk Sub-Management to carry out a control through this Due Diligence questionnaire "Vehicle Managers (Mutual Funds, Investment Funds, ETF, Private Equity and AGF)" on general aspects of the counterparty, which will be addressed through different sections, which will be summarized below: general information, financial information and Legal/Compliance Risk [Sections I), II) and VII)], particular aspects on Financial Risk management [Sections III), IV) and V)], Operational Risk [Section VI)], operation with derivative instruments [Section VIII)], and finally, Declaration of Conflicts of Interest [Section IX)].

    In the event that the funds in which AFP PlanVital participates use derivatives, please submit the P&L contribution of hedging and investment derivatives (separately) to the P&L using as data, the financial statements as of December of the year prior to the application date.

    Please answer the following questions in no more than 7 calendar days. If you have any doubts or questions, please do not hesitate to contact us.

    Kind regards
    Simón Fierro O.
    Financial Risk Manager
    AFP PlanVital

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  • I. General Company Information

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  • II. Financial Company Information

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  • III. Market Risk

  • III.1.1) 9*
  • III.1.3.1) Is this policy approved by Board of Directors?*
  • III.1.4.1) Are policies reviewed periodically?*
  • III.2) Are the control and execution functions allocated in different departments?*
  • III.3) Is the risk function independent of investment?*
  • III.4.1) Do exist compliance reports about market risk policies?*
  • III.4.2) How often is realized this compliance report?*
  • III.4.3) This report is presented to the Board of Directors or similar?*
  • III.4.4.1) Is the risk department the responsible to submitting the report to the Board of Directors (or similar)?*
  • III.5.1) Do you have methodologies for anticipating losses due market risk?*
  • III.6.1) Do you have statistical, econometrics and/or market perception methodologies?*
  • III.6.2) Do you use VaR Methodology?*
  • III.6.3.1) Do you use any other methodology to measure market risk?*
  • III.6.4) This(these) methodology(ies) is(are) measuring:*
  • III.6.5) Do you use Tracking Error?*
  • III.6.6) These market risk measures, include portfolio stress test?*
  • III.6.7) These market risk measures has been validated? (using Backtest, for example)*
  • III.6.8) How often do the market risk measurements take place?*
  • III.6.9.1) Are models and their assumptions reviwed periodically?*
  • III.6.9.2) Please specify periodicity:*
  • III.8) Are there regulatory limits or normatives thresholds?*
  • III.9) Are there additional internal limits or thresholds?*
  • III.10) If you exceed the accepted thresholds, is this excess reported?*
  • III.11) Are there contingency plans in case to excess the limits?*
  • III.12.1) Are there additional measurements to the ones indicated above, to generate early alerts?*
  • III.13.1) Is the valuation of financial instruments carried out externally?*
  • III.13.2.1) Is the outsourced valuation process named before audited by an independent institution?*
  • III.13.3) Related to the selection of the company that realices the valuation service, is it done by an area different than investment?*
  • III.13.5) Does the independent auditor have significants discrepancies with valuation of fund during the last five years?*
  • III.13.6) Is the valuation of managed fund in accordance with accouting standards such IFRS, US GAAP or similar?*
  • III.14) Is there an established procedure to deliver information to contributors?*
  • III.15.1) Is this information audited by an independent entity?*
  • III.16.1) Does the independent auditor have significant observations during the last five years on market risk process?*
  • III.17.1) Are there internal control reports on market risk processes?*
  • III.17.3.1) Do internal control reports show failures in market risk policies in the last five years?*
  • III.18.1) Are there sanctions or observations by a regulator regarding the current Market Risk procedures?*

  • IV. Credit Risk

  • IV.1.1) Is there a credit risk management policy?*
  • IV.1.3.1) Is this policy approved by Board of Directors?*
  • IV.1.4.1) Are policies reviewed periodically?*
  • IV.2) Are the control and excecution functions allocated in different departments?*
  • IV.3) Is the risk function independent of investments?*
  • IV.4.1) Are there compliance reports about credit risk policies?*
  • IV.4.2) How often is realized this compliance report?*
  • IV.4.3) This report is presented to the Board of Directors or similar?*
  • IV.4.4.1) Is the risk department the responsible to submitting the report to the Board of Directors (or similar)?*
  • IV.5.1) Do you use models, studies or another similar for credit risk management?*
  • IV.5.3.1) Do you have metrics (financial / statistical methodologies) associated with credit risk models?*
  • IV.5.3.2.1) Are there limits or thresholds associated with credit risk management indicators?*
  • IV.5.3.2.2.1) Are these limits normatives or defined internally?*
  • IV.5.3.3) Exists any recovery plans (back to normal) associated with infringing established limits?*
  • IV.5.3.4) How often do measurements take place?*
  • IV.5.4.1) These risk models have been validated? (using Back Test, for example)*
  • IV.5.5) Are the models and their assumptions reviewed periodically?*
  • IV.6.1) Do you invest in fixed income?*
  • IV.6.2) Do you monitor the status of covenants related to fixed income instruments in which you invest?*
  • IV.6.3) Do you have contingency plans for any violation of covenants?*
  • IV.7.1) Do you participate in investment vehicles?*
  • IV.7.2.1) Do you formally approve counterparties?*
  • IV.7.2.2) Do you have selection criteria for the approval of counterparties to use?*
  • IV.7.2.3) Are these criteria defined by a department independent of the area that is making the investment decisions?*
  • IV.7.2.4) Are these criteria reviewed by a department independent of the area that is making the investment decisions?*
  • IV.7.2.5) Do you periodically evaluate your counterparties?*
  • IV.7.2.6.1) Do you use Due Dilingece Questionnaire to evaluate your counterparties?*
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  • IV.7.3.1) Are there concentration limits established in the managed fund(s)?*
  • IV.8.1) Does the independent auditor have significant observations during the last five years on credit risk process?*
  • IV.9.1) Are there internals controls reports on credit risk processes?*
  • IV.9.3.1) Do internal control reports show failures in credit risk processes in the last five years?*
  • IV.10.1) Are there sanctions or observations by a regulator regarding the current credit risk procedures?*

  • V. Liquidity Risk

  • V.1.1) Is there a liquidity risk management policy?*
  • V.1.3.1) Is this policy approved by Board of Directors?*
  • V.1.4.1) Are policies revievew periodically?*
  • V.2) Are the control and execution functions allocated in different departments?*
  • V.3) Is the risk function independent of investment?*
  • V.4.1) Are there compliance reports about liquidity risk policies?*
  • V.4.2) How often is realized this compliance report?*
  • V.4.3) This report is presented to the Board of Directors or similar?*
  • V.4.4.1) Is the risk department the responsible to submitting the report to the Board of Directors (or similar)?*
  • V.5.1) Do you use models, studies or another similar for liquidity risk management?*
  • V.5.3) Do you use projected cash flow?*
  • V.5.4.1) Are models and their assumptions reviewed periodically?*
  • V.5.4.2) How often?*
  • V.5.5) These risk models have been validated? (using Back Test for example)*
  • V.6.1) Do you have metrics established to measure the Administrator's liquidity deficit?*
  • V.6.2.1) Are these metrics asociated to limits?*
  • V.6.2.2.1) Are these limits normatives or defined internally?*
  • V.6.3) Do exist any recovery plans (back to normal) associated with infringing established limits?*
  • V.6.4) Is backtesting applied to liquidity models?*
  • V.7.1) Do you have metrics established to measure the liquidity of funds?*
  • V.7.2.1) Do these metrics have associated limits?*
  • V.7.2.2.1) Are these limits normatives or defined internally?*
  • V.7.3) Do exist recovery plans (back to normal) associated with infringing established limits?*
  • V.7.4) Do you apply Back Test to liquidity models?*
  • V.8.1) Does the independent auditor have significant observations during the last five years on liquidity risks process?*
  • V.9.1) Are there internals controls reports on liquidity risk processes?*
  • V.9.3.1) Do internal control reports show failures in liquidity risk processes in the last five years?*
  • V.10.1) Are there sanctions or observations by a regulator regarding the current liquidity risk procedures?*

  • VI. Operational Risk

  • VI.1.1) Is there an operational risk management policy?*
  • VI.1.3.1) Is this policy approved by Board of Directors?*
  • VI.1.4.1) Are policies reviewed periodically?*
  • VI.2) Are the control and execution functions allocated in different departments?*
  • VI.3) Is the operational risk function independent of the investment area?*
  • VI.4) Does exist an Operational Continuity Plan and Disaster Recovery?*
  • VI.5.1) Are there compliance reports on tests related to the Operational Continuity Plan?*
  • VI.5.2) How often are the tests of the Operational Continuity Plan excecuted?*
  • VI.5.3) The obtained results are presented to te Board?*
  • VI.5.4.1) Is the risk department the responsible to submitting the report to the Board of Directors (or similar)?*
  • VI.6.1) Does the firm have and information security defense?*

  • VII. Legal / Compliance Risk

  • VII.1.1) Is there a Legal/Compliance risk management policy?*
  • VII.1.3.1) Is this policy approved by Board of Directors?*
  • VII.1.4.1) Are policies reviewed periodically?*
  • VII.2) Are the control and execution functions allocated in different departments?*
  • VII.3) Is the legal risk function independent of the investment area?*
  • VII.4) Is there compliance team dedicated solely to compliance duties?*
  • VII.5.1) Do exist controls on compliance for the following legal risks? Please mark that you already have:*
  • VII.5.2) How often are these reports made?*
  • VII.5.3) Is(are) the report(s) submitted to the Board of Directors?*
  • VII.5.4.1) Is the legal/compliance department the responsible to submitting the report to the Board of Directors (or similar)?*

  • VIII. Derivatives Risk

  • VIII.1.1) Is the risk management of derivatives included in any policy of the organization?*
  • VIII.1.3.1) Is this policy approved by Board of Directors?*
  • VIII.1.4.1) Are policies reviewed periodically?*
  • VIII.2) Are the control and execution functions allocated in different departments?*
  • VIII.3) Is the risk function independent of investment?*
  • VIII.4.1) Are there compliance reports about derivatives risk policies?*
  • VIII.4.2) How often is realized this compliance report?*
  • VIII.4.3) This report is presented to the Board of Directors or similar?*
  • VIII.4.4.1) Is the risk department the responsible to submitting the report to the Board of Directors (or similar)?*
  • VIII.5.1) Do you have an approved list of official counterparties with which you can trade OTC derivatives?*
  • VIII.5.2) Do you have selection criteria for the approval of counterparties to use?*
  • VIII.5.3) Are these criteria defined by a department independent of the area that is making the investment decision?*
  • VIII.5.4) Do you have established limits (thresholds) to operate with each counterpart?*
  • VIII.5.5.1) Exist an independent instance (department, committee) that defines the limits for threshold for each counterpart?*
  • VIII.6) Are legal factors analyzed in the review of counterparties?*
  • VIII.7) Is the equity a factor analyzed in the counterparty review?*
  • VIII.8) Is the level of debt analyzed in the review of counterparties?*
  • VIII.9) Is the evaluation criteria regularly updated?*
  • VIII.10) Do you have framework agreements with all the counterparties with which you operate with derivative instruments? (Ej, ISDA, CCG)*
  • VIII.11.1) Do you use "central counterparties"?*
  • VIII.12.1) Do you have hedge derivatives?*
  • VIII.12.2.1) Is the effectiveness of hedging derivatives measured?*
  • VIII.12.2.4) Is it an independent area that calculates the effectiveness of derivatives?*
  • VIII.12.2.5) How often is the effectiveness of hedging derivatives measured?*
  • VIII.12.2.6) Do you have exposure limits to the execution of hedging derivative instruments?*
  • VIII.12.2.7) Is it an independent area that controls the limits of hedging derivatives?*
  • VIII.12.2.8) How often do you review the limits on hedging derivatives?*
  • VIII.13.1) Do you have investment derivatives?*
  • VIII.13.2.1) Do you measure the potencial losses or earnings asociated with investment derivatives instruments?*
  • VIII.13.2.4) Is it an independent area that calculates the losses/earnings of derivatives?*
  • VIII.13.2.6) How often do you measure this losses/earnings of investment derivatives?*
  • VIII.13.2.7) Do you have exposure limits to the execution of operation with investment derivative instruments?*
  • VIII.13.2.8) Is it an independent area that controls the limits of investment derivatives?*
  • VIII.13.2.10) How often do you review the limits on investment derivatives?*
  • VIII.14.1) Do you participate in investment vehicles?*
  • VIII.14.2.1) Do they manage the risk of indirect effects? (derivatives present in managed portfolios)*
  • VIII.14.2.3.1) Are management and methodologies established in policies that manage financial risk?*
  • VIII.14.2.4) Are the methodological criteria defined by an independent department of the area that makes the investment decision?*
  • VIII.14.2.5) How often is the measurement of Risk of Indirect Derivatives?*

  • Related to the separation of functions of portfolio managers:

  • VIII.15.1) Is there a portfolio manager for each managed fund?*
  • VIII.16) The investment decisions are taken independently of each portfolio manager?*

  • Sworn Statement

  • Should be Empty: