2009年-ECB欧洲央行_Manual_on_investment_fund_statistics_37页_1mb

Summary of the Manual on Investment Fund Statistics (May 2009)

Aim of the Manual

This manual aims to clarify and illustrate the statistical requirements for investment fund (IF) statistics as defined by Regulation ECB/2007/8 and Guideline ECB/2007/9. It is not legally binding but provides guidance to ensure harmonisation of IF statistics across the euro area. The manual is intended for statisticians in the National Central Banks (NCBs) of the European System of Central Banks (ESCB), as well as for reporting agents and users of the statistics.

Definition of Investment Funds

An investment fund is defined as a collective investment undertaking that invests in financial and non-financial assets, with the objective of investing capital raised from the public. Money market funds are explicitly excluded from this definition, even if they meet the general criteria of an investment fund.

A fund is considered collective if its establishment document allows for investments from more than one investor. Even if an undertaking only has one investor in practice, it is still considered collective if it is legally structured to allow multiple investors.

Classification of Investment Funds by Investment Nature

Investment funds are classified into six sub-sectors based on their primary investment:

• Equity funds: Primarily invest in shares and other equity.
• Bond funds: Primarily invest in securities other than shares.
• Mixed funds: Invest in both equity and bonds, without a clear preference for one.
• Real estate funds: Primarily invest in real estate.
• Hedge funds: A distinct sub-category, defined in detail in the manual.
• Other funds: Residual category for funds not falling into the above.

The classification should be based on ex ante criteria, i.e., the declared investment policy in prospectuses or other documents, not on actual investments. If an IF defines lower limits for investments in asset classes, the term "primarily" should be interpreted as "more than 50%". If the lower limits are close to 50%, the fund should be classified as a mixed fund. For funds with upper limits, the ex ante approach is preferred, with flexibility in interpretation based on the fund's stated strategy.

Hedge Funds

Hedge funds are a distinct sub-category of IFs, defined by the following key characteristics:

• Positive absolute return: Aim to achieve returns regardless of market conditions, rather than tracking a benchmark.
• Unconstrained investment strategies: Use a wide range of financial instruments and techniques, including leverage, short selling, and derivatives.
• Performance-related fees: In addition to management fees, they may receive fees based on performance.
• Investment in other hedge funds: Funds that invest in other hedge funds are also classified as hedge funds, provided they meet the definition.

The manual provides detailed information on various hedge fund strategies, such as:

• Directional strategies (e.g., long/short equity, global macro)
• Event-driven strategies (e.g., merger arbitrage, distressed securities)
• Market-neutral strategies (e.g., fixed income arbitrage, convertible arbitrage)

The ex post approach to classification, based on actual asset allocation, is discouraged due to potential instability and misrepresentation of investor intent. However, it may be used in borderline cases where the ex ante method is not sufficient.

Special Cases

Funds of Funds

Funds of funds are classified under the category of funds in which they primarily invest. If they invest at least 50% in other investment funds, they are classified as funds of funds.

Master and Feeder Funds

The manual outlines the treatment of master and feeder fund structures, which are part of the broader IF classification framework.

Short Selling

Short selling is addressed in the context of securities repurchase agreements (repos) and lending of securities, with guidance on how these activities are reported.

Compilation of Statistics

Statistics are compiled based on security-by-security reporting. This includes:

• Stocks: Detailed guidance on how to report holdings and transactions.
• Debt securities: Instructions on calculating accrued interest.
• Aggregated reporting: Guidance on deriving transactions for assets and liabilities reported in an aggregated manner, such as deposits, loans, financial derivatives, and non-financial assets.

Estimation Techniques

NCBs may use various methods for temporal disaggregation to estimate monthly data, especially when the Centralised Securities Database is not available or complete.

Derogations

In cases where IFs are granted derogations regarding reporting frequency, the manual provides guidance on how to handle such situations.

Annual Quality Report

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 specified in Annex I of the Regulation.

Conclusion

The manual serves as a comprehensive guide for the classification, reporting, and compilation of IF statistics in the euro area, ensuring consistency and harmonisation. It provides detailed definitions, examples, and clarification of key terms such as "collective investment undertaking," "hedge fund," and "funds of funds." The ex ante approach is recommended for classification, with ex post used only in specific cases. The manual also outlines the treatment of short selling, accrued interest, and estimation techniques, while highlighting the importance of the annual quality report for NCBs using aggregated reporting.