1. Fund types and population covered
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1 Performance and financial overview of invesmen funds - France 1 March 016 The Banque de France draws up he following informaion for invesmen funds: 1 monhly saisics on fund ousandings and flows, and on he valuaion of issued securiies; quarerly saisics on flows and he srucure of invesmens by invesmen funds wih a view o idenifying heir porfolio choices; quarerly saisics on he naure of he holders of he securiies issued by invesmen funds (invesors). These saisics are published in wo Sa Infos. The firs is published monhly, and describes he performances of he differen caegories of fund and of he associaed ousandings. The second is published quarerly, and gives a financial overview of invesmen funds, including a breakdown of fund invesmens by insrumen ype, geographical region and issuing secor, and a breakdown of ne invesmens by invesor caegory. All daa series published in he Sa Infos, as well as addiional and more deailed series, can be found a hp://websa.banque-france.fr/. 1. Fund ypes and populaion covered The fund caegories used in his publicaion are hose defined by he Auorié des Marchés Financiers (AMF - French Financial Markes Auhoriy). The caegory of each fund is deermined according o is real exposure o risk. The risk hresholds for each caegory and mehods used o calculae exposure are defined in AMF Insrucions , and Money marke funds are residen funds which are included in he ECB's lis of moneary financial insiuions and comply wih specific regulaions (noably regarding liquidiy) defined by he European Securiies and Markes Auhoriy (see Non-money marke funds include residen invesmen funds ha fall ino he oher caegories of he classificaion defined by he AMF or he French Moneary and Financial Code. They are divided ino he following caegories: equiy funds: euro equiies French equiies inernaional equiies European Union equiies. bond funds: euro bonds and oher deb securiies inernaional bonds and oher deb securiies 1 The European Direcive on Alernaive Invesmen Fund Managers, which came ino applicaion on July 013, applies o all caegories of alernaive invesmen funds (AIFs by naure and AIFs by purpose). I defines alernaive invesmen funds as collecive invesmen underakings which raise capial from a number of invesors, wih a view o invesing i in accordance wih a defined policy for he benefi of hose invesors. AIFs do no jus inves in ransferable securiies; as a resul, hey are no longer referred o as UCITSs (underaking for invesmen in ransferable securiies) as he name was considered oo resricive. Insead, hey are referred o simply as invesmen funds. The range of collecive invesmen producs was simplified as of July 014 under he AIFM Direcive of July 013 (furher deails can be found on he AMF websie). 1
2 diversified funds (including funds of alernaive funds) "oher" funds: employee saving funds (FCPE and SICAVAS) hedge funds idenified on he basis of self-reporing srucured funds privae equiy funds: venure capial invesmen funds (FCPR), innovaion funds (FCPI) and local invesmen funds (FIP) fuures marke fund (almos obsolee). The equiy, bond and diversified fund caegories also include Exchange Traded Funds (ETFs), also known as index-linked funds, which are lised invesmen funds ha rack he performance of a sock marke index. Their aim is o replicae he performance of an equiy, bond or commodiy index. Shares in hese funds are lised coninuously on an official sock exchange. The reporing populaion consised of 10,691 funds a end-december 015, made up of 93 money marke funds whose shares are a componen of he M3 moneary aggregae, and 10,398 non-money marke funds. Money marke Non-money marke Toal December ,130 10,464 December ,339 10,631 December ,398 10,691 The following are excluded from he scope of repor, and herefore from he saisics: - real esae funds (SCPI and OPCI): his populaion will be covered in specific focuses, published a every six monh. - Alernaive Invesmen Funds by purpose (AIF by purpose): since he applicaion of he AIFM Direcive, daa on his populaion have been colleced by he AMF. The ask should be enrused o he Banque de France again in he medium erm.. Daa sources Three disinc sources are used o draw up hese saisics: - he balance shees sen o he Banque de France every monh by money marke and non-money marke funds 3 provide deails of porfolio iems, securiy-by-securiy, he aggregae ousanding amoun of oher balance shee iems, and he ousanding amoun and number of invesmen fund shares/unis issued (all caegories); - he realisable value of each invesmen fund (repored by ISIN code and wih he corresponding number of shares/unis) is submied o he AMF, which forwards he informaion o he Banque de France on a daily basis; 4 - he PROTIDE survey conduced by he Banque de France among residen cusodians provides informaion on holdings of invesmen fund shares/unis by secor. 3 The balance shees of venure capial funds are repored o he Banque de France every six monhs. 4 Realisable values are updaed a differen frequencies, depending on he naure of he fund.
3 3. Breakdown of changes in ousanding amouns, calculaion of holdings and consolidaion rules 3.1 Breakdown of changes in ousanding amouns The published saisics are compiled using he balance shee informaion submied by reporing eniies. The change in ousanding amouns beween wo periods is aribuable o hree facors: (i) flows, which correspond o changes in balance shee iems in he invesmen fund secor resuling from acual ransacions. They noably correspond o acquisiions or redempions of shares/unis in he invesmen fund which resul in he purchase or sale of asses; (ii) holding losses or gains (valuaion effecs) caused by variaions in prices (eg. sock marke prices, ineres raes, exchange raes); (iii) oher changes in volume. Ousanding amouns are calculaed using he following formula: Ous an dings Flows Valuaion effecs Oher changes in volume Valuaion effecs on a fund's asses (or liabiliies) beween wo differen daes resul in a change in he ousanding amoun of he fund, which can be broken down ino a change in he price of he fund's securiies (ne asse value of a fund share/uni) and a change in he average number of ousanding securiies (average number of shares/unis in he fund). Flows on he asse (or liabiliy) side beween wo daes lead o a variaion in he ousanding amoun of he fund, corresponding o purchases/sales of fund securiies (acquisiion/redempion of fund shares/unis) a he average price for he period (average ne asse value of he fund share/uni). Flows and valuaion effecs on he asse (liabiliy) side are calculaed for each securiy ISIN code (each fund share/uni ISIN code). The following formulae are used: Valuaion effec M = ( M M 1 ( n n ) p beween M and M 1) ( p M p M 1 ) Flows M = ( n beween M and M 1) Where, on he asse side n = he number of securiies and p = he price of each securiy And, on he liabiliies side n = he number of shares/unis and p = he ne asse value of each share/uni Purchases of securiies are deemed o occur a he end of he period in quesion, and sales a he sar of he period. If no informaion is available on he shares/unis of a fund, flows are deemed o be nil and he ousanding amoun for he previous period is carried over. For daa series where here are no valuaion effecs, he ransacion flow is deemed o be he difference in he ousanding amoun a each dae, afer oher changes in volume. 5 5 Oher changes in volume corresponds o reclassificaions, creaions or liquidaions of eniies. 3
4 In he case of insrumens which are subjec o valuaion effecs, he ransacion flow is calculaed by subracing he valuaion effec from he change in ousanding amoun. The amoun of he revaluaion is esimaed eiher from he deailed "securiy-by-securiy" informaion submied by he fund, 6 or using sock marke indices. 3.. Calculaion of holdings The PROTIDE survey is used o break down he ousanding amouns of and ransacions in money marke fund shares/unis by holding secor, excep in he following cases: - holdings by he invesmen fund secor (i.e. shares/unis held by money marke and non-money marke funds). Daa on hese holdings are insead obained from he deailed invesmen fund porfolios colleced by he Banque de France; - holdings by credi insiuions. Daa on hese holdings are insead obained from he credi insiuions' individual balance shees. The srucure of he breakdown by holding secor provided by cusodians in he PROTIDE survey is applied o he ousanding amouns repored by invesmen funds hemselves. Flows are calculaed by deducing valuaion amouns from he change in ousandings: ( Ous an dings M Ous an dings M 1) Monhly flows = Δ Ousandings monhly valuaion rae of funds in he caegory Where Flows and Ousandings represen he flows and ousandings by holding secor NB: quarerly flows = he sum of 3 monhly flows 3.3. Consolidaion rules These saisics are no consolidaed excep in he case of consolidaed ousandings of money marke fund shares or unis ha do no include he securiies held by money marke funds hemselves. In oher words, for non-money marke funds, he holding of funds (maser funds or ohers) by oher funds (feeder funds or oher) is neiher subraced from he oal ousanding of securiies issued nor from ne ransacion flows. 4. Recording of evens affecing invesmen funds Evens affecing he life of invesmen funds, such as heir creaion, mergers and acquisiions, changes of caegory and dissoluions, are recorded in he published saisics as follows: Creaions are deemed o occur a he end of he period in quesion. The ousanding amouns declared by he funds in he firs monh of heir exisence are deemed o correspond o flows of asses and liabiliies: no valuaion effecs are recorded for he firs period of heir exisence. Dissoluions are, unlike creaions, deemed o occur a he sar of he period in quesion. The ousanding amouns declared by he funds a he sar of he monh are recorded as negaive asse and liabiliy flows. No valuaion effecs are recorded for he period during which he dissoluion akes place. Changes of caegory are reaed as redempions of shares/unis issued by he invesmen fund concerned in he caegory o which i belonged in he previous period and as an inflow in he new caegory o which i belongs. This reamen sems from he obligaion for invesmen funds o publish any changes in heir invesmen sraegy leading o a change in caegory: he accepance of hese changes by he invesor who holds he shares/unis is regarded as a deliberae choice o change he allocaion of his asses, ranslaing ino a redempion of shares/unis in he caegory he invesor has moved ou of and a ne invesmen in he new caegory. Mergers, acquisiions and divisions of funds: hese operaions resul in eiher i) he creaion of one or more new funds o which he asses of he merged funds are ransferred, or ii) he acquisiion of he fund's old porfolio and issue of new shares/unis. Cases consising in boh a ransfer of asses and a change of porfolio 6 Based on he ISIN code. 4
5 (case iii) are no aken ino accoun due o a lack of informaion on he individual invesors in he old and new funds. i) By convenion, ransfers of asses resuling from mergers of residen funds are no recorded as ransacion flows in he published saisics bu as reclassificaions of asses (oher changes in volume). Thus: For he fund acquired or divided: Δ ousanding amouns = M-1 ousanding amouns ransferred (= reclassificaion) and flows = 0 For he acquiring or newly creaed fund: Δ ousanding amouns = flows + valuaion effec + reclassificaion (= ousanding amouns ransferred) ii) Cross-border mergers (ino and ou of France) resul in he dissoluion or creaion of a residen fund and he corresponding dissoluion or creaion of a non-residen fund. These ransacions beween residens and nonresidens are recorded as flows, in he same way as in he Balance of Paymens. Thus: For he acquired or divided French fund: Δ ousanding amouns = M-1 ousanding amouns ransferred (= negaive flow) For he absorbing French fund Δ ousanding amouns = M-1 ousanding amouns ransferred (= posiive flow) 5. The monhly Sa Info on "Invesmen Fund Performances" This documen deails he annual performance of he differen invesmen fund caegories described in Par 1. Annual performances are measured as he raio beween he sum of he valuaion effecs (calculaed as described previously) for all funds in he same caegory in he 1 preceding monhs, and he ousanding amoun a M-1: Annual performance = sumof valuaion effecs from M o Ous an dings M 1 M 11 Performances are given ne of managemen fees bu before enry or exi fees. The monhly Sa Info also includes chars on hree daa series published by exernal bodies: - he annual performance of he Soxx 600 index (which comprises 600 companies residen in 18 European counries): percenage change in he index beween he las day of monh M and M-1 - he annual performance of he Barclays Global Aggregae index: a Barclays index comprising sovereign and quasi-sovereign bonds, corporae bonds and asse-backed securiies. I includes securiies denominaed in 4 currencies, issued in developed and emerging markes. The residual mauriy of he securiies is more han one year, and all are raed "invesmen grade": percenage change in he index beween he las day of monh M and M-1; - 6-monh Euribor: monhly average of he daily rae. 5
6 6. The quarerly Sa Info on "Financial Overview of Invesmen Funds" This documen provides daa on he flows and ousanding amouns of fund invesmens, as well as on holdings of fund shares/unis by invesors. I includes a char showing all ne invesmen inflows in he four euro area counries which are he larges issuers of fund shares/unis: Ireland, Luxembourg, France and Germany. Invesmens of invesmen funds By ype of insrumen: shor-erm deb securiies, 7 long-erm deb securiies, 8 equiies (for non-money marke funds), invesmen funds shares/unis and deposis and oher ne invesmens. 9 By geographical region: residens, euro area non-residens and non-euro area residens By issuing secor: non financial corporaions, moneary financial insiuions, credi insiuions (for money marke funds), public adminisraions, non-money marke funds, oher (non-money marke funds, insurance underakings and oher financial insiuions) Invesors - Breakdown of holdings by secor of issued invesmen fund unis/shares The daa on he shares/unis issued by money marke and non-money marke funds, colleced from residen cusodians (PROTIDE survey), provide informaion on he naure of he secors holding hese shares/unis (see secion 3.. Calculaion of holdings). 7 Primarily cerificaes of deposi, commercial paper and fixed-rae T-bills. 8 Bonds, medium-erm noes and securiies issued by securiisaion vehicles. 9 Oher ne invesmens includes derivaives (excep opions and warrans held by money marke funds, which are classed as deb securiies), non-financial asses and oher claims. These iems are all ne of liabiliies. 6
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