2017年-ECB欧洲央行_Manual_on_investment_fund_statistics_58页_938kb

报告摘要

The manual is based on Regulation ECB/2013/38 and Guideline ECB/2014/15, which define the statistical standards for collecting and compiling investment fund (IF) statistics in the euro area.
It aims to clarify and illustrate the requirements set out in these legal instruments.
It does not add any new legal obligations and is not legally binding.
The manual ensures harmonisation of IF statistics across the European System of Central Banks (ESCB) and provides useful information to reporting agents and users of statistics.

An investment fund is defined as a collective investment undertaking that invests in financial or non-financial assets, with the objective of investing capital raised from the public.
Money market funds (as defined in ECB/2013/33) are excluded from the definition of investment funds.
A fund is considered collective if it allows for multiple investors, even if only one is currently active at a given time.
Examples of collective undertakings include:
- Funds with a majority shareholder but also allowing other investors.
- Subsidiaries of a parent fund that act as investment vehicles, provided the subsidiary does not restrict the number of shareholders.

Investment funds (excluding hedge funds) are classified into six sub-sectors: equity funds, bond funds, mixed funds, real estate funds, hedge funds, and other funds.
The glossary defines:
- Equity funds: Invest primarily in equity.
- Bond funds: Invest primarily in debt securities.
- Mixed funds: Invest in both equity and bonds with no prevalent policy in favour of one.
- Real estate funds: Invest primarily in real estate.
- Other funds: Residual category.
Classification criteria are derived from the fund's public prospectus, investment rules, statutes, subscription documents, and marketing materials.
In cases where lower limits for investment in specific asset classes are defined, "primarily" is interpreted as more than 50%.
For upper limits, "primarily" is interpreted with flexibility, considering the fund's investment strategy and primary objective.
The ex ante approach is generally preferred, as it reflects investors' intended use rather than actual holdings. However, the ex post approach may be used in borderline cases.

Funds are classified as open-end or closed-end based on their structure and liquidity.
The UCITS Directive applies to open-end funds only.
Funds under liquidation should be reported as long as they still meet the definition of an investment fund. In some cases, they may be exempt from reporting if the management company sells assets to a liquidator.

Funds of funds are classified under the category of the funds they primarily invest in.
ETFs (Exchange-Traded Funds) and PEFs (Publicly Offered Funds) are also included in the breakdown.
Securities lending is addressed in the context of short-selling and repurchase agreements.

Master and feeder fund structures are treated as single entities for statistical purposes.
Sub-funds within investment funds are also considered in the reporting.

Short-selling is treated as a key feature of certain investment funds, particularly hedge funds.
Securities repurchase agreements (repos) and securities lending are discussed in the context of short-selling.

NCBs must compile statistics based on security-by-security reporting by investment funds.
This includes the compilation of stocks and the derivation of transactions using the flow-derivation method.

The manual provides guidance on how to calculate accrued interest on debt securities.
It includes methods for stocks and transactions.

NCBs are guided on how to derive transactions for assets and liabilities reported on an aggregated basis.
This includes deposits and loans, financial derivatives, non-financial assets, and remaining assets/liabilities.

Various temporal disaggregation methods are outlined for estimating monthly data.
Centralised Securities Database or local securities database may be used to support this process.

The manual includes guidance on derogations for investment funds that are granted exceptions in reporting frequency.

NCBs that choose to report only the number of units or aggregated nominal amount in security-by-security reporting must provide an annual quality report as outlined in Annex I of the Regulation.

Hedge funds are defined as collective investment undertakings that:
- Aim for positive absolute returns.
- Use flexible investment strategies.
- Are remunerated based on performance, in addition to management fees.
- May invest in a wide range of financial instruments, including leverage, short-selling, and derivatives.
Hedge funds may also invest in other hedge funds, and such funds are classified as funds of hedge funds if they invest more than 50% of their assets in hedge fund shares.

Positive absolute return is a key goal of hedge funds, in contrast to traditional funds that track market benchmarks.
Investment strategies include:
- Directional strategies (e.g., long/short equity, global macro).
- Event-driven strategies (e.g., risk arbitrage, distressed securities).
- Market-neutral strategies (e.g., fixed income arbitrage, convertible arbitrage).
Funds of hedge funds are a subset of hedge funds that invest in other hedge funds.

Investors in hedge funds are typically high net worth individuals and institutional investors.
Subscription/withdrawal rules often include lock-in periods and suspension rights.
Hedge fund managers often invest their own capital, which encourages capital preservation.

Hedge funds are not subject to the UCITS Directive.
They are not publicly accessible and are often distributed via private placements.
They may be more accessible to retail investors through funds of hedge funds.
They are not restricted in the types of assets they can invest in.
They are flexible in their investment policies and may use leverage and short-selling.
They aim for positive absolute returns, regardless of market conditions.
They are not required to follow market trends.
They often have performance-related fees and hurdle rates.