Circular 1/2025 of the National Securities Market Commission Modifying Circulars 6/2008, 11/2008, and 4/2016

I. GENERAL PROVISIONS
NATIONAL SECURITIES MARKET COMMISSION
5190 Circular 1/2025, of March 5, of the National Securities Market Commission, modifying Circular 6/2008, of November 26; Circular 11/2008, of December 30; and Circular 4/2016, of June 29, of the National Securities Market Commission.

The main objective of this Circular is to introduce certain modifications to other CNMV Circulars deemed pertinent to improve supervisory practice.

In this regard, Circular 6/2008, of November 26, on the determination of the net asset value and operational aspects of collective investment institutions, is modified to adapt the rules on performance fees contained therein to the requirements established by the ESMA Guidelines on performance fees in UCITS and certain types of AIFs (ESMA34-39-992 ES).

Similarly, Circular 11/2008, of December 30, of the National Securities Market Commission, on accounting standards, annual accounts, and reserved information statements of venture capital entities, is modified, requiring European Long-Term Investment Funds (ELTIFs) to submit to the CNMV the models for public and reserved information statements, with the aim of equating their reporting to that currently performed by other entities regulated by Law 22/2014, of November 12, regulating venture capital entities, other closed-end collective investment entities, and management companies of closed-end collective investment entities, and amending Law 35/2003, of November 4, on Collective Investment Institutions.

Additionally, in order to promote the electronic processing of documents before the CNMV, the submission as a standardized electronic document of the monitoring report on qualifications included in the audit reports of venture capital entities, as provided for in the aforementioned Circular 11/2008, is introduced.

Likewise, modifications are introduced in the reserved statements of Circular 11/2008 to improve the supervision of entities within its scope of application by including more appropriate breakdowns of information. Finally, modifications are made to adapt the models to the latest regulatory changes, especially in the area of coefficients.

On the other hand, Circular 4/2016, of June 29, on the functions of depositaries of collective investment institutions and entities regulated by Law 22/2014, of November 12, regulating venture capital entities, other closed-end collective investment entities, and management companies of closed-end collective investment entities, and amending Law 35/2003, of November 4, on Collective Investment Institutions, is modified, requiring the submission as a standardized electronic document by depositaries of entities regulated under Law 22/2014, of November 12, of the annual periodicity report on the compliance of the surveillance and supervision function.

Finally, adaptations are made in the three Circulars to update certain normative references.

In exercise of the authorizations contained in the seventh final provision of Law 22/2014, of November 12; in the second provision of the Order of the Ministry of Economy and Finance, of June 17, 1999, partially developing the already repealed Law 1/1999, of January 5, regulating venture capital entities and their management companies; in paragraph 4 of the single final provision of Royal Decree 1082/2012, of July 13, approving the Regulation for the development of Law 35/2003, of November 4, on Collective Investment Institutions; in the Resolution of the CNMV of November 16, 2011, creating and regulating the Electronic Register of the National Securities Market Commission; in Article 5.12 of the UCITS Regulation; and in the single additional provision of Order EHA/1199/2006, of April 25, the Council of the National Securities Market Commission, in its meeting of March 5, 2025, and after a report from the Advisory Committee, has ordered the following:

First Rule. Modification of Circular 6/2008, of November 26, of the National Securities Market Commission, on the determination of the net asset value and operational aspects of collective investment institutions.

1. Paragraph 1 of Rule 1 is modified, which shall read as follows:

"1. Collective Investment Institutions (CIIs) shall calculate the net asset value of their units and shares in accordance with the following rules:
a) Financial variable-capital investment funds and investment companies shall calculate their net asset value daily, in accordance with Article 78.1 of the Regulation of Law 35/2003, of November 4, on Collective Investment Institutions, approved by Royal Decree 1082/2012, of July 13 (hereinafter, UCITS Regulation). A different frequency for calculating the net asset value may be established in the explanatory prospectus of the institution, provided that it is calculated at least every fifteen days, in accordance with Article 78.3 of the UCITS Regulation. b) In Free Investment CIIs, regulated in Article 73 of the UCITS Regulation, and CIIs of Free Investment CIIs, regulated in Article 74 of said Regulation, the periodicity for calculating the net asset value for the purpose of handling subscription and redemption operations shall be at least quarterly. This periodicity may be semi-annual when required by the planned investments. Nevertheless, both types of institutions shall be obliged to calculate their net asset value at least on a monthly basis, applying the provisions of this Circular, for the purpose of reporting to the CNMV in the corresponding reserved statements. For this monthly calculation, they must take into account the latest available valuations and the corresponding accruals. c) In real estate investment funds, the calculation shall be made at the frequency established in the prospectus, which must be at least monthly, as established in Article 93.3 of the UCITS Regulation."

2. Rule 4 is modified, which shall read as follows:

"Rule 4. Determination of the performance fee.

1. The management company, having established a performance fee in accordance with Article 5.3 of the UCITS Regulation, shall charge this fee to the CII according to the calculation system and the profitability reference period established in its prospectus. In any case, the establishment and application of the fee must comply with the ESMA Guidelines on performance fees in UCITS and certain types of AIFs (ESMA34-39-992 ES) or any other that may replace or modify them in the future, provided that the CNMV has confirmed to ESMA its compliance or intention to comply with them in accordance with Article 16 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of November 24, establishing a European Supervisory Authority (European Securities and Markets Authority).

2. The accrual in finality or crystallization of the performance fee shall be at year-end, provided that the conditions provided in the prospectus are met, without prejudice to the corresponding accrual of the fee. In any case, crystallization must take place after at least 12 months have elapsed since the creation of the fund or company, or since the establishment of said fee.

3. The manager may establish a system of individual charge to each participant or shareholder of the performance fee, applying one of the following two alternatives:
   i) That the fee is paid directly by the participant or shareholder to the manager. ii) That the fee is charged directly to the CII. In this case, the manager may opt to apply any of the following methods or combinations thereof: issuance of new classes of units or shares, additional balances, and adjustment for subscriptions and redemptions of units or shares. In any case, the manager may opt for another method provided that equity among participants or shareholders is equalized or improved. In any case, individual charge systems must comply with the ESMA Guidelines on performance fees in UCITS and certain types of AIFs (ESMA34-39-992) or any other that may replace or modify them in the future, provided that the CNMV has confirmed to ESMA its compliance or intention to comply with them in accordance with Article 16 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of November 24, establishing a European Supervisory Authority (European Securities and Markets Authority).

4. In the event of mergers, demergers, or dissolutions, the accrual in finality or crystallization of the performance fee shall be carried out in accordance with the provisions of this Rule on the date on which they take place. Accrual in finality or crystallization of the performance fee is also permitted in the event of substitution of the management company, change of investment policy of the CII, and elimination of the performance fee.

5. References to the CII contained in this Rule shall be understood as made to compartments or classes of units or shares when they have established a performance fee."

6. Rule 5 is modified, which shall read as follows:

"Rule 5. First application of the performance fee.

1. In the first financial year in which the performance fee is applied, the start of the profitability reference period shall take place on the day of registration in the CNMV register of the prospectus in which said fee appears.

2. In the event that the performance fee is charged to each participant or shareholder individually and paid by them directly to the manager, the start of the profitability reference period shall correspond to the date of the first subscription or acquisition, if the performance fee is already established."

3. Rule 6 is modified, which shall read as follows:

"Rule 6. Risk diversification coefficients.

1. The assets referred to in Articles 50 and 51 of the UCITS Regulation, which constitute the denominator of the risk diversification coefficients collected in said article, shall be those contemplated in Rule 2.1 of this Circular.

2. In the event that there are compartments, the risk diversification coefficients collected in Articles 50 and 51 of the UCITS Regulation shall be measured at the compartment level.

3. The exposure to market risk of the underlying asset of financial derivative instruments that must be taken into account, according to Article 52.4 of the UCITS Regulation for compliance with the coefficients of paragraph 2 of Article 50 and paragraphs 1, 4, 5, and 6 of Article 51 of said Regulation, shall be measured according to the market value of that underlying as defined in the regulations resulting from the application for the calculation of the commitment limit in these operations of the CII. Generally, and in accordance with this regulation, delta shall be taken into account if this parameter proves adequate as a measure of sensitivity of the instrument in the terms established by Order ECO EHA/888/2008, of March 27, on operations of financial CIIs with financial derivative instruments.

4. The limits provided in Article 51.2 of the UCITS Regulation regarding the outstanding securities of an entity shall be measured separately, distinguishing debt securities and equity instruments. For the former, limits shall be measured considering nominal values, and for the latter, the number of securities or titles, which shall be subject to weighting if different nominal values coexist.

5. Cash balances, deposits, and current accounts shall be taken into account in the application of the risk diversification limitations of Article 51. The foregoing shall not apply within one month from the registration in the CNMV register, during which time the investment of monetary contributions obtained upon the establishment of the CII is made, in accordance with Article 77 of said Regulation."

6. Rule 6 bis relating to the liquidity coefficient is repealed.

7. Paragraph 1 of Rule 7 is modified, which shall read as follows:

"1. The limit on obligations to third parties referred to in Article 71 of the UCITS Regulation shall be calculated as the quotient between the total balances of debts owed to credit institutions, contracted to resolve temporary treasury difficulties provided they do not exceed one month, or for the acquisition of assets with deferred payment, as well as balances derived from other operations having the same purpose, and the assets of the institution referred to in the previous Rule 2.1. Under no circumstances shall creditor balances for commissions, creditor balances of a tax nature or relating to the Corporate Tax, and creditor balances resulting from the settlement according to market practices of investment operations or redemption or repurchase of own shares be included."

7. Rule 8 is modified, which shall read as follows:

"Rule 8. General matters.

1. Level of calculation of coefficients and operational limits: In the event that there are compartments, the coefficients and operational limits developed in this section shall be measured at the compartment level. Otherwise, the measurement shall be made at the CII level.

2. Periodicity of calculation and compliance with coefficients and operational limits:
   i) The calculation of the real estate investment coefficient established in paragraph 1 (90% for SICAVs) and 2 (70% for REITs) of Article 90 of the UCITS Regulation shall be carried out at the end of each year, as an average of the balances at the end of each month of the financial year. ii) The coefficients and limits indicated in Rules 10 (Diversification Coefficients), 11.2 (Limits on the purchase of call options), 11.3 (Investments through real estate under construction, off-plan purchases, and purchase commitments), 11.4 (Real estate leased to partners and participants), and 11.5 (Real estate acquired from entities of the same group as the CII or its management company) of this Circular must be complied with at the time of signing, and if applicable, renewal, of the contract that gives rise or may give rise to the limited event. iii) The limits on indebtedness and external financing indicated in Rule 11.6 may not be exceeded at any time, with the exception indicated in paragraph 5.iv) of this article. iv) The 10% liquidity coefficient established for REITs in Article 90.2.b) of the UCITS Regulation shall be calculated on the day of fixing the net asset value applicable to redemptions as a daily average of the balances to be considered in the current month. If the net asset value to be applied is not that of the last day of the month, the balances of the last thirty natural days and their corresponding average shall be considered.

3. Reference to be used as denominator: With the exception of specific cases indicated, the last calculated assets, which cannot be more distant than those of the month prior to the moment of compliance with the limit or coefficient, shall be considered as the denominator for all coefficients and limits established in this Section.

4. Consideration of indirect investments in the calculation of operational limitations: In the calculation of the coefficient limiting real estate and rights leased to the same group (Rule 10.2), and in the limits on real estate leased to partners or participants (Rule 11.4) and real estate acquired from entities of the same group as the CII or its management company (Rule 11.5), direct and indirect investments in real estate shall be considered, both through leasing entities and companies referred to in Article 86.1.a) of the UCITS Regulation, in which, in both cases, a controlling participation is held.

5. Transitional period of non-compliance and additional actions related to this fact:
   i) The investment coefficients indicated in Rules 9 (Real estate investment coefficient) and 10.1 (Acquisition of a real estate or right) of this Circular, and in accordance with Article 91.2 of the UCITS Regulation, may be reached by CIIs within a period of three years from their registration in the special register of the CNMV. ii) The limit on real estate and rights leased to the same group indicated in Rule 10.2 must be complied with by CIIs within a period of twelve months from their registration in the special register of the CNMV. iii) Specifically, in the month of compliance with the transitional periods indicated in paragraphs 5.i) and 5.ii) above, the CII must calculate the coefficients indicated in Rule 10 and respect the established limit regardless of the acquisition or not of new functional units of the building, or the execution or not of new lease contracts with entities of the same group in said month. iv) If, as a result of asset decreases, the limit on indebtedness or the limit on external financing detailed in Rule 11.6 is exceeded, the Manager or SICAV shall inform the CNMV of the fact, along with the manner and timeframe in which it intends to return to compliance with the exceeded limit, which in any case shall not exceed eighteen months from the moment of non-compliance."

6. Rule 10 is modified, which shall read as follows:

"Rule 10. Diversification coefficients.

1. Acquisition of a real estate or right: For the calculation of the numerator of the 35% coefficient established for the acquisition of a real estate or right in Article 91.1 of the UCITS Regulation, the pre-purchase appraisal value or the amount actually paid or committed, if higher than the appraisal value, of the real estate underlying the contract shall be used.

When a new functional unit is acquired in a month subsequent to the acquisition of other units comprising the same building, the reasonable value of the previously acquired parts must be added to the numerator. In the case of options, purchase commitments, or real estate under construction, the committed amount or total agreed price shall be added to the numerator, if the first periodic appraisal has not yet been carried out, or the appraisal value of the real estate underlying the contract when there is a periodic appraisal.

2. Real estate and rights leased to the same group: For compliance with the 35% coefficient established for real estate leased to entities of the same group in Article 91.3 of the UCITS Regulation, the numerator shall use the reasonable value of the real estate or rights in the month of start or renewal of the lease contract, of all real estate owned by the institution leased to persons or entities belonging to the same group. The concept of group shall be governed by Article 5 of Royal Legislative Decree 4/2015, of October 23, approving the consolidated text of the Securities Market Law.

The amount of indirect investments to be considered shall be the reasonable value of the real estate or rights leased to the same group multiplied by the percentage of participation of the CII in the leasing society or entity."

9. Rule 11 is modified, which shall read as follows:

"Rule 11. Leverage coefficients and operational limitations.

1. Investment in holding companies: The 15% limit on investment in companies whose assets are constituted mainly by real estate, provided that the real estate is subject to leasing (hereinafter holding companies), established in paragraph a) of Article 86.1 of the UCITS Regulation, must be respected each time an investment is made or increased in any holding company, using, in the numerator of said limit, the reasonable values of the investments made in those companies.

2. Purchase of call options:
   i) Individual limit: The value of the premium in the purchase of call options may not exceed 5% of the exercise price of the real estate, as established in Article 86.1.c) of the UCITS Regulation. ii) Global limit: The sum of the premiums paid for the purchase of call options may not exceed 10% of the assets, as indicated in Article 86.2 of the UCITS Regulation.

3. Investments through real estate under construction, off-plan purchases, and purchase commitments: In the numerator of the 40% limit on investments in real estate under construction, off-plan purchases, and purchase commitments, established in Article 86.2 of the UCITS Regulation, the agreed purchase price of the purchase commitments, less advance payments, and the amounts pending disbursement for real estate under construction and off-plan purchases shall be considered. For the calculation of the limit, earnest money contracts shall be assimilated to purchase commitments.

4. Real estate leased to partners or participants: The numerator of the 25% limit established in Article 88.1 of the UCITS Regulation for real estate leased by the CII to its partners or participants, as well as to persons or entities maintaining links with them, shall be composed of the reasonable value of the real estate or rights in the month of start or renewal of the lease contract, of all real estate owned by the institution leased to its partners or participants.

The amount of indirect investments to be considered shall be the val