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CFM PIA firstcapital Alpha II Index SRI Operating Memorandum


CFM PIA firstcapital Alpha II Index SRI Operating Memorandum

Introduction The CFM PIA firstcapital Alpha II Index (the “Index”) was formed by Capital Financial Markets Limited (“CFML”) in August 2011.

Operating Memorandum This Operating Memorandum details the basis by which the Index will be managed and how the index levels are calculated.

Reference Strategy The Index is based on the performance of an underlying reference strategy called the CFM PIA firstcapital Alpha II Strategy (the “Strategy”) and the rest of this document details how this Strategy operates.

Strategy Manager The Strategy is managed by Capital Financial Markets Limited (“CFML” or the “Strategy Manager”) of Capital House, Circular Road, Douglas, Isle of Man, IM1 1AG.

CIL provides international dealing, custody, investment management and portfolio administration services. At the time of publication, CIL administered over $4 billion of assets. CIL is a member of the London Stock Exchange and is licensed by the FSC. CIL is a member of the Capital International Group.

Participation Units Participation in the Strategy will be sub-divided into standard participation units with a nominal value of £1 each. The Strategy Manager may issue additional units or cancel units as necessary to facilitate contributions to or withdrawals from the Strategy.

Valuation The Strategy will be valued on a mark to market basis quarterly on the last calendar day of each month. The Strategy Manager may at its absolute discretion determine additional valuation dates on an ad-hoc basis.

CFML is a wholly owned subsidiary of Capital International Limited (“CIL”).

The Strategy’s value will be determined by deducting the total liabilities from the total assets of the Strategy. The value of the assets and liabilities of the Strategy will be determined in accordance with CFML’s standard strategy valuation policy, which is available on request and may be published from time to time on CFML’s website.

CFML is a member of the Capital International Group.

Unit Pricing

CFML is a specialist provider and issuer of contracts for difference and spread bet contracts. CFML is licensed by the Isle of Man Financial Supervision Commission (“FSC”).

Investment Manager The Strategy Manager has appointed PIA firstcapital (“PIA”) of 2 London Wall Buildings, London Wall, London EC2M 5UU as the strategy investment manager. PIA is a trading division of Price Information Advantage Limited which is regulated by the UK Financial Services Authority (“FSA”).

Custodian & Broker The Strategy Manager has appointed Capital International Limited (“CIL”) of Capital House, Circular Road, Douglas, Isle of Man, IM1 1AG as lead custodian and broker to the Strategy.

The net asset value per unit will be calculated by dividing the net asset value of the Strategy by the total number of units participating in the Strategy. The Directors reserve the right to adjust the unit price on any valuation date to reflect the approximate true cost or value per unit associated with any investment or redemption from the strategy.

Publication of Unit Pricing The unit price of the strategy will be available on request from CFML. The unit price may also be published on CFML’s website. CFML will additionally endeavour to maintain pricing of the strategy on Bloomberg.

Contributions & Withdrawals The Strategy is a private strategy operated by CFML. From time to time CFML may choose to contribute additional monies to or withdraw monies from the Strategy at its absolute discretion.


Contribution and withdrawals may only be made on a valuation date. The amount of the contribution or withdrawal (after deduction of any charges) divided by the unit price on that valuation date will determine the number of units invested or disinvested.

The Strategy is an Intra-day trading programme with the daily risk placed being typically no greater than 6% of monies deposited. All positions in the Strategy are closed by market close and revert to cash overnight.

The Strategy is subject to certain restrictions and minimum notice periods with respect to withdrawals.

The Investment Manager will maintain stop losses on all trades limiting the potential loss on any individual trading day to a maximum of 6% of the notional investment exposure on any given day. However stop losses cannot be guaranteed and losses may be greater due to market conditions beyond the investment manager’s control.

Investment Objective To maximise returns and manage volatility through long or short exposure to the fixed income, equities, commodities and foreign exchange markets.

Base Currency Sterling

Management Approach The Strategy is actively managed by the Investment Manager and will reflect the Investment Manager’s Alpha II strategy, which trades a combination of the UK FTSE100 Index and the German 10 year (Bund) futures contracts on margin. Some cash will also be held in the Strategy from time to time, which may result in some deviation in performance between the Strategy and the underlying Alpha II strategy. For monthly Factsheets or recent performance results on the Alpha II strategy, please contact the Investment Manager via email at info@pia-firstcapital.com

Leverage & Borrowing Powers The Strategy will utilise leverage to amplify returns and clients should be aware of the risks attendant with significant levels of leverage.

Restrictions The Strategy is likely to be invested predominantly in future contracts only. The Investment Manager manages the Strategy in accordance with investment guidelines set by the Strategy Manager. A copy of these investment guidelines are available on request. .

Risk Due to the focused nature of the investment Strategy, there is likely to be higher levels of volatility and risk when compared to more diversified strategies. Furthermore, leverage has the effect of significantly magnifying price movements such that a relatively small movement in the underlying market can have a disproportionately large impact on the leveraged trade.

The use of leverage within the Strategy could result in losses in excess of any initial margin paid and in such circumstances clients betting against the Index will be required to make additional margin payments. It is the responsibility of the regulated adviser, recommending the Index to a client, to provide a copy of this Memorandum and such relevant documentation relating to the Investment Manager and their strategy, in order that the client is able to adequately understand the risks of entering into a spread bet against the Index.

Fees, Charges and Expenses The following fees and charges will be applied to the Strategy. An initial Set-Up Fee of 1.0% will be deducted at outset. An Investment Administration Fee of 0.7% per annum will be calculated and deducted quarterly. Financial Advisers may be paid initial and ongoing commission and these amounts will be levied in addition to the Set-Up Fee and the Investment Administration Fee. For further details prospective investors should contact their financial advisers. The Investment Manager does not charge a Management Fee and is remunerated by a rebate on trading charges and a performance fee of 30% which is charged monthly on net new profits using a high watermark or peak-to-peak method. A detailed description of the Investment Manager’s fees, charging structure and methods are shown at www.pia-firstcapital.com/feesandcharges.html All dealing and clearing costs, miscellaneous and legal costs will be passed onto the Strategy.

www.capital-iom.com


Capital Financial Markets Limited Capital House Circular Road Douglas Isle of Man IM1 1AG www.capital-iom.com T : +44 (0) 1624 654200 E: info@capital-iom.com Capital International Limited and Capital Financial Markets Limited are members of the Capital International Group Capital International is a member of the London Stock Exchange and is licensed by the Isle of Man Financial Supervision Commission Capital Financial Markets Limited is licensed by the Isle of Man Financial Supervision Commission Registered Address: Capital House, Circular Road, Douglas, Isle of Man, IM1 1AG

CFML - SRIOM PIAfcA II Index - V1.04-08.11

Contact Details

CFM - PIA firstcapital Alpha II Index - V1.04-08.11  

CFM PIA firstcapital Alpha II Index SRI Operating Memorandum