Unitholder Notice
Implementation of Liquidity Management Tools
Effective 16 April 2026
The transposition into French law of the provisions arising from the AIFMD and UCITS Directives is forthcoming. These provisions require open-ended funds to implement at least two liquidity management tools.
In this regulatory context, ELLIPSIS Asset Management has decided to introduce, with effect from 16 April 2026, two liquidity management mechanisms for all the funds listed in the annex:
- The net asset value adjustment mechanism ("Swing Pricing");
- The redemption gate mechanism ("Gates").
1. Net Asset Value Adjustment ("Swing Pricing")
The net asset value adjustment mechanism is designed to protect existing unitholders/shareholders against the impact of subscriptions and redemptions on the fund's portfolio.
The adjustment applied to the net asset value :
- Includes estimated explicit transaction costs;
- May include, depending on the fund's investment strategy, implicit transaction costs, including the market impact associated with the purchase or sale of assets required to meet subscriptions or redemptions;
- These implicit costs are estimated on a best-efforts basis;
- Is expressed as a percentage of the fund's net asset value.
The mechanism may be applied when this difference exceeds a predetermined activation threshold ("partial swing").
In the event of net redemptions, the adjustment factor is deducted from the net asset value; in the event of net subscriptions, it is added to it. Different adjustment factors may be applied depending on the thresholds adopted.
The adjusted net asset value constitutes the sole net asset value communicated to unitholders/shareholders.
For feeder funds, the mechanism applied at the master fund level is passed through to the feeder fund level, where applicable.
2. Redemption Gates ("Gates")
The redemption gate mechanism enables the temporary deferral of redemption requests across multiple net asset value calculation dates when such requests exceed an objectively pre-established threshold.
It is designed to ensure a controlled management of liquidity risk, in the exclusive interest of unitholders/shareholders and in compliance with the principle of equal treatment.
The gate may be triggered when a threshold, expressed as a percentage of net assets and set out in the relevant fund's prospectus, is reached. This threshold is determined in particular by reference to the frequency of net asset value calculation.
Where redemption requests exceed this threshold and if liquidity conditions so permit, the management company may decide to honour requests in excess of such threshold.
Unexecuted requests are automatically carried forward to the next centralisation date and may not be revoked.
For a fund with daily valuation, the maximum duration of application of the mechanism is set at 20 net asset values over a three-month period (approximately one month).
For feeder funds, the mechanism potentially applied at the master fund level is passed through to the feeder fund level.
3. Further Information
All other characteristics of the funds remain unchanged. These changes require no action on your part and have no impact on the investment strategy or risk profile of the funds concerned.
They do not require prior approval from the Autorité des marchés financiers (AMF).
Updated regulatory documents will be available from 16 April 2026 on the ELLIPSIS Asset Management website or upon request from the management company.
Annex — Funds Concerned
- Ellipsis European Convertible Fund;
- Ellipsis Global Convertible Fund
- Ellipsis Disruption Convertible Fund
- Afer Convertibles
- Ellipsis Optimal Solutions – Alternative Hedging
- Ellipsis Optimal Solutions – Liquid Alternative