Statistics on net transactions
in investment fund shares/units
and the investment fund
investments
1
29 December 2014
The Banque de France draws up for the different categories of investment funds in the classification used by the European System of Central Banks (ESCB):
monthly statistics on :
net transactions in investment fund shares/units and investment funds outstandings; holdings by sector of money market fund units/shares:
quarterly statistics on :
the flows and structure of investments by investment funds with a view to identifying their portfolio choices holdings by sector of investment fund (other than money market fund).
These statistics are not consolidated except in the case of consolidated outstandings of money market fund shares/units that do not include the securities held by money market funds themselves. In other words, for investment funds (other than money market funds), the holding of funds (master funds or others) by other funds (feeder funds or other) is neither subtracted from the total outstanding of securities issued nor from net transaction flows. Net transaction flow data are presented in raw and seasonally adjusted terms.
1.
Population covered and sources used
1.1. Population
The population covered by this study comprises all general money market funds and investment funds, employee investment funds, managed futures funds (becoming obsolete), funds of alternative funds, venture capital funds, local investment funds and innovation investment funds.2
NB: real estate funds are excluded from the scope of this study.
The reporting population consisted of 10,286 funds at end-December 2013. A distinction is drawn between money market funds (MMFs), which come into the category of monetary financial institutions and whose shares/units are a component of the monetary aggregate M3, and investment funds (other than money market funds).
Money market Non-money market Total
December 2011 467 10,604 11,071
December 2012 403 10,204 10,607
December 2013 334 9 952 10,286
1.2. Sources
Four distinct sources are used to draw up these statistics:
1 The European Directive on Alternative Investment Fund Managers (AIFMs) that came into force on 22 July 2013 covers the whole population of
alternative investment funds and results in the French term changing from OPCVM to OPC (investment fund).
2 Under the AIFM Directive of 22 July 2013, the range of collective investment undertakings will be streamlined. The deadline for submitting an application for
2
- The first consists of the balance sheets sent to the Banque de France every month by money market funds and investment funds (other than money market funds) 3. For each investment fund, details of portfolio items security-by-security and the aggregate outstanding amount for other balance sheet items are collected, as well as the outstandings and the number of investment fund shares/units issued (all categories);
- The second source is the database of the net asset values of investment funds (by ISIN code4 and with the number of corresponding shares/units) collected by the Autorité des marchés financiers (AMF – Financial Markets Authority), which submits them daily to the Banque de France ;
- The last two sources are the DTOM and PROTIDE surveys conducted by the Banque de France among resident custodians, which provide information about holdings of investment fund shares/units by sector.
2.
Breakdown of funds according to the categories defined by the ESCB
The nomenclature for the categories of investment funds used in the statistics on issuance of investment fund shares/units is derived from the AMF's official classification.
Money market funds are resident investment funds that are included in the ECB's list of monetary financial
institutions. They correspond to money market funds that issue shares/units deemed to be sufficiently liquid to constitute close substitutes for deposits. In France, these are short-term money market funds and money market funds.
Investment funds (other than money market funds) include resident investment funds that fall into the other
categories of the classification of the AMF or Monetary and Financial Code. In accordance with the presentation used by the ESCB for statistics on the euro area investment funds, this sub-group is divided into five categories:
Equity funds Bond funds
Mixed funds (including funds of alternative funds) Hedge funds identified on the basis of self-reporting Other investment funds:
employee investment funds (FCPE) and investment companies with variable capital under employee share ownership (SICAVAS)
formula-based funds
private equity funds (venture capital investment funds (FCPR)), innovation funds (FCPI) and local investment funds (FIP)
managed futures funds (almost obsolete).
3.
Recording of events affecting investment funds
Events affecting the life of investment funds, such as their creation, mergers and acquisitions, changes of category and dissolutions, are taken account of in the data as follows:
Creations are deemed to occur at the end of the period in question. Inflows recorded for the first month of the
fund's existence therefore correspond to the outstanding amounts at the end of the month, and flows of assets and liabilities correspond to outstanding amounts at the end of the period. As a result, no valuation effect is registered for the first period of the fund's existence.
Dissolutions are, unlike creations, deemed to occur at the start of the period in question. Redemptions of
shares/units correspond to the last known end-of-month outstanding amounts, while sales of assets and other liabilities correspond to the last outstanding amounts collected. No change in value is recorded for the period during which the dissolution takes place.
3 The balance sheets of venture capital funds (FCPR) are reported to the Banque de France every six months. 4 An investment fund may issue one or more categories of shares/units, each of which has its own ISIN code.
Changes of category are treated as redemptions of shares/units issued by the investment fund concerned in the
category to which it belonged in the previous period and as an inflow in the new category to which it belongs. This treatment stems from the obligation for investment funds to publish any change in their investment strategy leading to a change in category: the acceptance of these changes by the investor who holds the shares/units is regarded as a deliberate choice to change the allocation of his assets. This is reflected in a redemption of shares/units in the category the investor has moved out of and a net investment in the new category. Changes in AMF category that do not result in a change in the ESCB category do not give rise to the recording of such outflows and inflows.
Mergers, acquisitions and divisions of funds: these operations result either in the creation of one or more new
funds to which the assets of the merged or divided funds are transferred, or in the increase of the outstanding amounts of the acquiring funds in proportion to the outstanding amounts of the acquired fund. The corresponding transfers of assets do not give rise to the recording of flows.They are recorded as reclassifications of outstanding amounts, with the operation being deemed to take place at the start of the period. The fund being wound up registers a change in outstanding amounts equal to its outstanding amounts in the previous period accompanied by a minus sign.
For the fund acquired or divided:
Δ outstanding amounts = – M-1 outstanding amounts transferred (= reclassification) and flows = 0
For the acquiring or newly created fund:
Δ outstanding amounts = flows + valuation + reclassification (= outstanding amounts transferred)
4.
Calculation of monthly net transactions (flows) and valuation rates
4.1. Net transactions
Transactions are calculated using data provided by the AMF: for each investment fund, the number of shares/units issued (where relevant, for each type of share/unit) and the corresponding net asset value(s).
Once data is obtained on valuation and the number of shares/units by ISIN code for a given fund for the period concerned and the previous period, transactions by type of share/unit are calculated using the following formula:
Flows = (
no
.
of
shares
beetween
M
and
M
1
)2
)
(
1
NAV
MNAV
Mwhere NAV represents the net asset value of the share/unit. “no” : number
If no information is available on the shares/units of a fund, transactions are deemed to be nil and the outstanding amount of M-1 is carried over. When data is available again on the number of shares/units and the net asset value, a flow is estimated (corresponding in part to the transactions carried out during the periods for which no information was available) which is entirely attributed to the period corresponding to the period in question.
4.2. Valuation
The valuation rate, which reflects the change in the fund's outstanding amounts brought about by changes in market prices, is also calculated – ISIN code by ISIN code – using the following formula:
Valuation=(
net
asset
value
between
M
and
M
1
)2
)
/
.
/
.
(
1
No
of
shares
units
MNo
of
shares
units
M The valuation rates recorded by ESCB category are measured as a ratio of the total valuations of all of the funds in the same category to the average outstanding amount in this category in periods M and M-1.4
The coupons paid by distribution funds are included in the valuation calculation.
Monitoring transactions on the nominal amount of shares/units (division, decimalisation, etc.) carried out during the month makes it possible to neutralise their effects on the number of shares/units and their net asset value.
5.
Breakdown of holdings by sector of issued investment fund units/shares
(outstandings and flows)
The monthly data on the shares/units issued by money market funds (the DTOM survey) and quarterly data on those issued by investment funds (other than money market funds) (PROTIDE survey), collected from resident custodians, provide information about the nature of the sectors holding these shares/units.
5.1. Data on holdings of money market fund shares/units:
The DTOM survey breaks down the outstanding amounts of and transactions in money market fund shares/units by holding sector. There is a small discrepancy between the outstanding amount of money market fund shares/units issued (identified through reporting by funds) and the total holdings reported by custodians within the framework of the survey. This discrepancy stems from the money market fund shares/units deposited with foreign custodians, which do fall within the scope of the survey.
For the publication of data on holdings of money market shares/units by sector (flows and outstanding amounts), data relating to holdings by the investment fund sector (money market and investment funds (other than money market funds)) gathered within the framework of the DTOM survey are replaced by those compiled using the detailed investment fund portfolios collected by the Banque de France. Similarly, data on the holdings of credit institutions collected in the framework of the DTOM survey are replaced by those from the credit institutions’ balance sheets.
5.2. Data on holdings of investment fund (other than money market fund) shares/units:
The structure of the breakdown by holding sector provided by custodians in the PROTIDE survey is applied to the outstanding amounts reported by investment funds themselves. The corresponding flows (by holding sector and ESCB category) are calculated using the following formula, applied to aggregated data:
Flows D = Δ Outstandings D – ½ (Outstandings D -1
+
Outstandings D)
x valuation rate of the funds in the categoryWhere Flows D and Outstandings D represent the flows and outstandings by holding sector
As with the data from the DTOM survey, the outstanding amounts reported by custodians as being held by money market and investment funds (other than money market funds) are replaced by the amounts reported in the portfolios of money market and investment funds (other than money market funds).
6. Adjustment of data for seasonal and working-day
effects
The adjustment to offset the seasonal and working-day effects of funds’ net transactions data makes it possible to compare monthly data series.
The procedure for estimating series adjusted for seasonal and working-day effects complies with the methodology recommended by the ECB and allows for outliers to be taken into account. It involves two steps: 1st step: pre-adjustment using TRAMO
The specification of the SARIMA models and the identification of deterministic effects (calendar effects, date and nature of atypical events) are performed using TRAMO. Using this program, the adequate SARIMA model can be identified and the nature of the outliers can be specified.
2nd step: seasonal adjustment using X12
The SARIMA specifications from the first step are injected into the “reg ARIMA” module of the X12 method in order to extend the series to render it less subject to variations when new estimates are made.
The data adjusted for seasonal and working-day effects are revised monthly using the following procedure: the SARIMA model coefficients are re-estimated each month and the points of the series adjusted for seasonal and working-day effects are re-calculated accordingly. The specifications of the SARIMA models and the identification of the both the outliers and the calendar effects are only revised once a year in April.
The net transaction data series for money-market funds, by holding sector, have all been adjusted for seasonal working-day effects except those relating to holdings by credit institutions,
investment fund (other than
money market fund) and non-resident,
which are not impacted by such effects.For investment funds (other than money market funds), only the net transaction data series for bond funds and mixed funds have been adjusted, while other data are presented in raw form as they do not have seasonal or work-day components.
7.
Quarterly data
The document published on a quarterly basis presents three types of data.
Investment of investment funds by type of instrument: flows and outstandings :
- For money market funds: short-term debt securities5, long-term debt securities6, investment funds shares/units and deposits and other net investments7.
- For investment funds (other than money market funds): short-term debt securities, long-term debt securities, investment funds shares/units and deposits and other net investments.
The outstandings of the net investments of investment funds by issuing sector (or debtors for deposits and loans) are broken down as follows:
- For money market funds: resident monetary and financial institutions (MFIs), MFIs in other euro area member countries, euro area public administrations, other residents of the euro area, the rest of the world;
- For investment funds (other than money market funds): euro area MFIs, euro area public administrations, euro area non-financial corporations, other euro area counterparties, the rest of the world.
The flows correspond to changes in balance sheet items in the investment fund sector resulting from actual transactions (in particular purchases or sales of securities). As a result, changes in outstanding amounts resulting from other effects (notably valuation effects) are excluded. They are measured using the following formula:
Flows = (
No
.
of
sec
urities
between
M
and
M
1
)2
)
(
1
price
Mprice
M
5 Certificates of deposit, commercial paper, mainly Treasury bills (BTFs). 6 bonds, Treasury notes (BTANs), securities of financial vehicles corporations. 7 The other assets consist of derivatives and other claims, net of liabilities.
6
In the event of the security entering (or leaving) the portfolio during the period, the flow corresponds to the change in the amount outstanding, with the purchase being deemed to be made at the end of the period and the sale at the start of the period. Where baskets of securities are reported, the use of valuation indices calculated elsewhere for securities of the same nature, issuing sector, geographical region and issuing currency makes it possible to deduce their flows.
The calculation formula for each basket of securities then becomes:
Flows = M M M M
I
I
1
)
gs
Outstandin
gs
Outstandin
(
2
1where
I
M = valuation rate + 1Regarding money market funds, whose portfolios are mainly made up of debt securities with short residual maturities, investment flows are estimated using the changes in the outstanding amounts of the corresponding assets.