The Securities Commission has granted exemptive relief to CI Investments Inc. and the CI Auspice Alternative Diversified Corporate Class (Top Fund) from certain provisions of National Instrument 81-102 Investment Funds (NI 81-102) and related disclosure requirements. The relief pertains to the use of Absolute Value at Risk (Absolute VaR) for leverage exposure and the use of past performance data from the Auspice Diversified Trust (Underlying Fund) in sales communications and risk rating calculations.
Key points of the decision include:
1. Leverage Relief: The Top Fund is allowed to manage its portfolio risk using Absolute VaR, not exceeding 20% of its net asset value, instead of adhering to the 300% aggregate exposure limit to cash borrowing, short selling, and specified derivatives transactions as per section 2.9.1 of NI 81-102.
2. Performance Relief: The Top Fund can include past performance data of the Underlying Fund in its sales communications, fund facts, and management reports, even for periods before the Underlying Fund was a reporting issuer, subject to certain disclosure requirements.
3. Risk Rating Disclosure: The Top Fund is permitted to use the Underlying Fund’s past performance data to calculate its investment risk rating and disclose this in its prospectus and fund facts.
4. Conditions: The relief is subject to conditions, including the Filer’s compliance with the Absolute VaR test, appropriate disclosure of leverage risks, and notification to the OSC of any non-compliance with the Absolute VaR limit.
5. Expiration: The decision expires on February 22, 2027.
The decision is based on the belief that the Absolute VaR approach is more suitable for managing the unique investment strategies of the Top Fund and that allowing the use of the Underlying Fund’s past performance data will enable a more efficient and cost-effective means for the Top Fund to achieve its investment objectives. The relief is granted under the assumption that it meets the test set out in the Legislation for the principal regulator to make the decision.