十字路口的规则17a-7：关于股票交叉交易的补充信息（pdf）

O C TOB ER2021 The Investment Company Institute (ICI) is the leading association representing regulated funds globally, includingmutual funds, exchange-traded funds (ETFs), closed-end funds, and unit investment trusts (UITs) in the UnitedStates, and similar funds offered to investors in jurisdictions worldwide. ICI seeks to encourage adherence tohigh ethical standards, promote public understanding, and otherwise advance the interests of funds, theirshareholders, directors, and advisers. The content contained in this document is proprietary property of ICI and should not be reproduced ordisseminated without ICI’s prior consent. Contents Matthew Thornton, Associate General Counsel; Susan Olson, General Counsel; Dorothy Donohue,Deputy General Counsel; Gregory Smith, Senior Director, Fund Accounting and Compliance;Christof Stahel, Senior Economist; Irina Atamanchuk, Research Assistant; and Shelly Antoniewicz,Senior Director, Industry and Financial Analysis, prepared this report. Rule 17a-7 at the Crossroads:Supplemental Information on EquityCross Trading I.Executive Summary Section 17(a) of the Investment Company Act of 1940 (“Investment Company Act”) prohibitsany affiliated person of a registered investment company (“fund”), or any affiliated personof such a person, from selling securities to, or purchasing securities from, the fund.However, Rule 17a-7 (the “cross trading rule”) conditionally allows affiliated funds to crosstrade with one another. Cross trading generates benefits to funds and their shareholdersthat they otherwise would not have realized if they instead transacted on the open market,including reduced transaction costs and settlement risk and more efficient portfoliomanagement and compliance with investment policies. In December 2020, the Securitiesand Exchange Commission (SEC) issued cross trading guidance that will greatly reducethese benefits by severely restricting funds’ ability to cross trade fixed-income securities.1 In response to the anticipated negative impact of the December guidance and the Marchrequest for comment on cross trading from the SEC Staff (“Staff”),2our April report focusedon funds’ fixed-income cross trading activity. It included detailed survey results, a summaryof the quantitative benefits of cross trading, and policy recommendations.3 This report provides detailed information about funds’equitycross trading activity, andit complements our April report. We do not believe that the December guidance will havea meaningful impact on funds’ equity cross trading. Even so, we prepared this report toprovide the SEC with comprehensive data to inform its rulemaking efforts referred to inthe Fair Value Adopting Release and Staff Statement and included on the SEC’s spring 2021regulatory agenda. ICI conducted a member survey to better understand and quantify funds’ equitycross trading activity. Forty-four ICI member firms responded, representing more than$24.5 trillion, or approximately 75 percent of US-registered fund assets, as of July 31, 2021.Among other things, the results show that: »Respondents engaged in 667,949 cross trades of equity securities, totaling$185 billion, in 2020. »This cross trading activity (in dollars) was largely concentrated in US equities($166 billion, or 90 percent), with a smaller portion in international equities($19 billion, or 10 percent). »Fifty-seven percent of respondents indicated that at least one of their funds crosstraded an equity security in 2020. In total, at least 926 of respondents’ fundsengaged in at least one equity cross trade.4»A large majority of cross trades (estimated at 84 percent) involved two registeredfunds, as opposed to just one registered fund cross trading with other adviser clienttypes (e.g., a nonregistered pooled vehicle or a separately managed account).5»A little more than half of respondents’ equity cross trading activity wasapproximately the same (56 percent) in March and April 2020 as compared to theremainder of 2020.»We estimate that funds’ equity cross trading activity in their mutual funds andexchange-traded funds (ETFs) represents about 1.8 percent of their total tradingactivity in equity securities. This is a small portion of funds’ overall equity tradingactivity, and therefore, an even smaller portion of trading activity in the equitymarkets for all market participants.»Sixty-eight percent of respondents that engaged in equity cross trading in 2020described it as “very beneficial,” with another 32 percent calling it “moderatelybeneficial.” Funds’ 2020 equity cross trading activity (in dollars) was somewhat less than funds’ fixed-income cross trading activity, in both absolute and relative terms. That said, funds valuethe ability to cross trade equity securities because it provides fund shareholders withmeaningful benefits, including reduced transaction costs and settlement risk and moreefficient portfolio management and compliance with investment policies. This report is organized as follows: »S