# Fund Ratios and Exposures - **Content part**: 1 of 3 - **Next part**: https://open.gamstandards.com/api/ai/collections/0d28ca68-062f-4fe8-a4b1-1037c9ec453c/references/7c623bd4-a849-50aa-affd-eb187d95bd13/contents/markdown?part=2 > This is one part of the document. Read every part before claiming to have read or compared the complete document. Source: https://openfunds.org/knowledge/whitepapers/fund-ratios-and-exposures. Automatically included from openfunds white papers. - **Collection**: 0d28ca68-062f-4fe8-a4b1-1037c9ec453c - **Reference ID**: 7c623bd4-a849-50aa-affd-eb187d95bd13 - **Type**: Web link - **URL**: https://openfunds.org/knowledge/whitepapers/fund-ratios-and-exposures - **License**: Creative Commons Attribution-NoDerivatives 4.0 International License (CC-BY-ND-4.0). Users may freely use, redistribute, and commercially apply the content free of charge, provided it remains in its unaltered form. Credit: www.openfunds.org. 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Its license (Creative Commons Attribution-NoDerivatives 4.0 International License (CC-BY-ND-4.0)) permits reproducing it word for word and in full. ## Outline - "The openfunds standard improves quality and efficiency in the exchange, validation and analysis of fund information" - Fund Ratios and Exposures - This white paper addresses the following openfunds fields: - Purpose - Overview of Fund Ratios and Exposures - General Remarks - Calculation Methodology - Data delivery - Key Figures - Distributions - Fund Ratios - Cash Ratio - Equity Fund Ratios - Bond Fund Ratings and Ratios - Ratings - Overall rating of the fund portfolio - Rating of each instrument - Accredited and non-accredited rating agencies - Bond Fund Ratios - Money Market Fund Ratios - Breakdowns - Calculation of Net Exposure - File Structure - Combined delivery - Split delivery - Link between “Fund Ratios and Exposures” and “Full Portfolio Holdings” - Document Information - Implementation - Joining openfunds - openfunds Members ## Parts > Jump straight to a section with ?section= (a section title or any text, such as a field ID); request larger parts with ?part_chars= (up to 64000). - Part 1 (this part): IDs OFRE000010 … OFRE100110; "The openfunds standard improves quality and efficiency in the exchange, validation and analysis of fund information" · Fund Ratios and Exposures · This white paper addresses the following openfunds fields: · Purpose · Overview of Fund Ratios and Exposures · General Remarks · Calculation Methodology · Data delivery · Key Figures · Distributions · Cash Ratio · Equity Fund Ratios (+4 more) - Part 2: IDs OFRE000500 … OFRE100100; Accredited and non-accredited rating agencies · Bond Fund Ratios · Money Market Fund Ratios · Breakdowns · Calculation of Net Exposure · File Structure · Combined delivery · Link between “Fund Ratios and Exposures” and “Full Portfolio Holdings” · Document Information · Implementation - Part 3: Joining openfunds · openfunds Members --- # Fund Ratios and Exposures | openfunds > This white paper addresses the following openfunds fields: OFRE000010 Number Of Positions OFRE000015 Number Of Target Fund Positions OFRE000020 Number Of Index Holdings OFRE000025 Share Of Top 10 Investme... Source: https://openfunds.org/knowledge/whitepapers/fund-ratios-and-exposures ## "The openfunds standard improves quality and efficiency in the exchange, validation and analysis of fund information" © 2025 openfunds.org, all rights reserved. Disclaimer and Privacy Policy. - Home - Fields Current Version - Next Version - Previous Versions - Roadmap - Knowledge Frequently Asked Questions - White Papers - Practical Tools - News - About About Us - Members - Licence - Contact - Log In # Fund Ratios and Exposures #### This white paper addresses the following openfunds fields: OFRE000010 Number Of Positions OFRE000015 Number Of Target Fund Positions OFRE000020 Number Of Index Holdings OFRE000025 Share Of Top 10 Investments OFRE000030 Share Of Top 25 Investments OFRE000200 Exposure To Cash OFRE000250 Average Dividend Yield OFRE000300 Linear Average Credit Quality OFRE000305 Default Weighted Average Credit Quality OFRE000310 Instrument Credit Quality Methodology OFRE000320 Credit Rating Classification OFRE000330 Average Effective Maturity OFRE000335 Average Effective Duration OFRE000340 Option-adjusted Spread OFRE000345 Average Effective Spread Duration OFRE000350 Yield To Maturity OFRE000355 Yield To Worst OFRE000360 Average Coupon OFRE000370 Exposure Loss-Absorbing Securities OFRE000400 Weighted Average Maturity OFRE000405 Weighted Average Life OFRE000500 Top Ten Positions OFRE000510 Top Ten Debtors OFRE000515 Top Ten Equity Positions OFRE000520 Country Breakdown OFRE000525 Region Breakdown OFRE000540 Currency Breakdown Before Share Class Hedging OFRE000552 NACE Sector Breakdown OFRE000555 CIC Breakdown OFRE000560 GICS Equity Sector Breakdown OFRE000565 Bond Sector Breakdown OFRE000570 Market Cap Breakdown OFRE000580 Credit Rating Breakdown OFRE000590 Maturity Breakdown OFRE000600 Asset Class Breakdown OFRE000610 Regional Asset Class Breakdown OFRE100000 Fund Ratios And Exposures Valuation Date OFRE100100 Fund Ratios And Exposures Data Type OFRE100105 Fund Ratios And Exposures Field Name OFRE100108 Fund Ratios And Exposures Value Type OFRE100109 Fund Ratios And Exposures Value Type ID OFRE100110 Fund Ratios And Exposures Value OFST020430 Annual Distribution At Fiscal Year End OFST020435 Annual Distribution Yield At Fiscal Year End ## Purpose The most common fund ratios, such as Dividend Yield or Yield to Maturity, and the underlying investment exposures are crucial characteristics when evaluating, selecting, and comparing fund solutions. These fields have been added to the openfunds standard and the goal of this white paper is to provide more details on the data points. The delivery of fund ratios and exposures in the openfunds standard targets the following improvements: a) Increasing efficiency in fund data dissemination. b) Aligning the delivery of data between various asset managers and fund distributors. c) Simplifying the further processing of fund data. d) Increasing data consistency with fund factsheets, data templates such as Tripartite Template (TPT) and other publications. e) Contributing to the standardization of the fund data universe. The aim of having fund ratios and exposures in the openfunds standard is to provide a data template for key fund figures that aligns individual files already exchanged between asset managers and distributors. On the one hand it should simplify the data gathering for fund distributors and analysts, and on the other it should reduce the effort of the asset managers and administrators to produce one single set of reusable data. Asset managers should deliver publicly available figures that are also published / delivered via other data sources. This ensures data consistency across publications and providers are able to use existing figures in the openfunds template. While the openfunds standard largely relies on the calculation methodologies used by asset managers, this white paper offers further details on the fund ratio and exposure openfunds fields and connects them to existing market standards and definitions. ## Overview of Fund Ratios and Exposures ## General Remarks Two main references are used as a basis for the definition of the fund ratio and exposure fields: The Solvency II regulation contributed a standard for holdings attributes by publishing the Tripartite Template (TPT), which can be leveraged to calculate some of the openfunds fields (see FinDatEx). The Open Protocol standard has been developed to provide a more elaborate template for hedge funds. The standard is available on SBAI’s webpage ( https://www.sbai.org/toolbox/open-protocol.html). #### Calculation Methodology Generally, asset managers are responsible for the calculation methodology reflecting the fund characteristics correctly. This paper provides further guidance on the (potential) calculation methodology of the published data points with reference to other external sources such as regulatory specifications. Given the fact that the figures and calculations might be based on the individual guidelines of asset managers, the underlying calculation methodologies for particular data fields may slightly deviate. Ratios and exposures that are calculated on fund level will be based on the underlying fund portfolio in reference currency (excluding instruments used for share class hedging). If not specified in the description, the data points will reflect the effective economic net exposure of the fund (option- / delta-adjusted). Regarding the calculation of exposures for derivatives, please use the Open Protocol definitions in section GP15 of the Open Protocol Manual ( https://www.sbai.org/toolbox/open-protocol.html). If the classification of an underlying instrument is missing (e.g. maturity date / rating of a bond), the asset manager should decide on an appropriate handling. In most cases, the instrument would be ignored for the ratio calculation (exclusion) and be mapped to “Other” for the exposure aggregation. However, if the instrument has a material weight, the asset manager may decide on a different approach. If a data point is not relevant due to the nature of the fund strategy (e.g. Yield to Worst in case of a traditional government bond fund without right to redeem the bonds before maturity), the field can be left empty (NULL). In case of Fund of Funds (FoF) structures, some attributes are based on the fund holdings without look-through to underlying funds (e.g. Number Of Target Fund Positions), while some will be calculated using a look-through (e.g. Country Exposure). Further details can be found in the field descriptions. In case of synthetically replicating index trackers/ETFs, the fund ratios and exposures will reflect the underlying index, and not the substitute basket. #### Data delivery As an industry standard, the figures are based on month-end valuations that is specified per fund / share class and delivered on a monthly basis. For money market funds, some figures are required on a weekly basis for regulatory reasons [1]. The fields highlighting the effective distributions of distributing share classes (Annual Distribution At Fiscal Year End / Annual Distribution Yield) may be delivered on an annual basis, based on the Fiscal Year of the fund. These fields are part of the OFST field range and may be delivered separately from the rest of the fields. The field Fund Ratios And Exposures Valuation Date specifies the date of the valuations. ## Key Figures The field Number Of Positions provides clarity on the diversification of the fund. It is applicable to funds investing a) purely in direct investments or b) direct investments and collective investments. The field reflects the count of underlying positions in the fund (identical to number of positions in the Custodian Report), including derivatives. If the portfolio includes direct investments and collective investments, the number should not be delivered on a look-through basis. In exceptional cases such as physically replicating index trackers, the asset manager should deliver the number on a look-through basis. Cash-related positions (such as bank accounts and FX forwards) should be excluded from the count. The field Number Of Target Fund Positions reflects the count of the underlying funds (not on a look-through basis). This field is also applicable to funds investing in direct investments and collective investments. The field Number Of Index Holdings is only applicable to index trackers (ETFs and Index Funds / physical and synthetic) and shows the count of holdings in the underlying benchmark. The fields Share Of Top 10 Investments and Share Of Top 25 Investments reflect the share (in %) of the largest positions held by the fund based on the gross market exposure. The ratios give an indication of the fund’s concentration risk. This should be calculated as the gross market exposure of Top 10/25 investments (excluding cash) divided by fund’s total net assets. The number of positions as well as the share of top investments will be provided on Fund Level. Share Class-specific positions (e.g. due to currency hedging) are excluded. ## Distributions The fields related to the effective distributions of the share class will provide further details on the effective share class distributions (i.e. effective cash flow before deduction of local withholding tax on the distribution). These two fields are part of the OFST field range, rather than OFRE as with the other fields in this white paper. Since the effective distribution is usually defined at the fund’s fiscal year end, this field may be delivered on an annual basis, depending on the distribution policy. The effective distribution of net income gives further clarity on the expected cash flow (payment) generated by the share class. Since: - the asset manager may deduct the management fee from the distributions - the dividend payments of underlying stocks are subject to withholding tax - there are other effects that potentially reduce the effective distributions the effective distributions may deviate substantially from: a) the weighted dividend yield of the underlying stocks (example distributing equity funds) or b) the coupon yield of the underlying bonds (example distributing bond funds). The distributions correspond to the Income Distribution shown in Morningstar and the Income reported by Bloomberg (DVD / Gross Amount). The distributions should correspond to the figures sent to the tax authorities. The field Annual Distribution At Fiscal Year End (absolute / share class currency) measures the effective cash distribution of net income (before taxes) for the fiscal year (12 months) per fund share. This data is valid as at the date of the static data field OFST010440 Fiscal Year End. The field Annual Distribution Yield At Fiscal Year End (relative) provides an indication on the effective distribution yield in % (before taxes) for the fiscal year (12 months). The distribution yield is calculated by dividing the Annual Distribution At Fiscal Year End (absolute / share Class currency) by the NAV at Fiscal Year End. This data is valid as at the date of the static data field OFST010440 Fiscal Year End. Indicative example: ## Fund Ratios Treatment of non-applicable instrument types The exposure to cash and other investment types that are not applicable to the related average ratio should be excluded from the calculations of the key fund ratios (except field Exposure To Cash). Example Linear Average Credit Quality of a bond fund: Tranches applicable for the calculation of the Average Credit Quality (Linear): 45% in AA and 45% in A+ Resulting Average Credit Quality (Linear): AA- (only considering the applicable investments, 50% in AA and 50% in A+) ### Cash Ratio The field Exposure To Cash highlights the fund exposure to liquidity as a percentage. Cash represents the net cash exposure on liquidity accounts based on the fund’s P&L. The field corresponds to the CIC field 71 “Cash” (Notes and coins in circulation that are commonly used to make payments). Calculations such as Basel III HQLA (High Quality Liquid Assets) are not required. Cash amounts on Subscription and Redemption accounts will not be included. ### Equity Fund Ratios The field Average Dividend Yield is applicable to equity funds and measures the weighted Dividend Yield of the equity investments held by the fund (excluding non-dividend paying instruments such as Cash). Aligned to the traditional methodology, the dividend yield of a single stock is calculated by dividing the effective dividends paid over the last 12 months by the last stock price. ### Bond Fund Ratings and Ratios #### Ratings In the openfunds standard, the following credit rating format is used: #### Overall rating of the fund portfolio The calculation of the average credit rating of the fund from the ratings of the fund holdings should take the considerations of Deng, McCann and O’Neal [2] into account. In particular, non-rated bonds should not result in overstating the average credit rating of the fund and the difference between linear and weighted credit rating should reflect the exponential increase of the default probability of lower rated instruments. The field Linear Average Credit Quality represents the linear average rating of the bonds held by the fund. The field Default Weighted Average Credit Quality reflects the fact that the default probability is not linear. The asset manager needs to select the appropriate calculation methodology including default rates for the rating buckets. There are different default rates available over various periods, e.g. Moody’s Idealized Cumulative Default Probabilities over 10 years or default rates defined by Morningstar (“New Methodology for Average Credit Quality” 2010). #### Rating of each instrument There are various standards for deriving instrument ratings from different rating agencies available in the market. The mappings of the ratings from different agencies are publicly available (e.g. mapping of ECAIs’ credit assessments under Article 136(1) and (3) of Regulation (EU) No 575/2013 / Open Protocol Manual https://www.sbai.org/toolbox/open-protocol.html). The asset manager needs to decide which of the following methods is appropriate for the fund holdings. Method 1 is recommended to ensure consistency with the Solvency II TPT template. Method 1: Solvency II – 2 nd best rating [3] Method 2: Average Rating Use of the average of various ratings. If the average does not correspond to one of the available categories (e.g. average between AA / AA- / A), the worse rating should be used (“adjust downward”). Method 3: Most Frequently Used Use of the most frequently used rating. If there are inconsistent ratings (e.g. AA / A+ / A), the worst rating should be used. Method 4: Worst Rating Use of the worst rating. The methodology that is used should be indicated in the field Instrument Credit Quality Methodology. In case that an FI instrument does not have an instrument rating, the long-term issuer rating can be used for senior loans and should be adjusted by 1-2 notches in case of non-senior / subordinated debt. _Part 1 of 3 — next: https://open.gamstandards.com/api/ai/collections/0d28ca68-062f-4fe8-a4b1-1037c9ec453c/references/7c623bd4-a849-50aa-affd-eb187d95bd13/contents/markdown?part=2_