EU Alternative Investment Funds - 2021 Statistical Report
EU Alternative Investment Funds
ESMA Annual Statistical
Report
2021
8 April 2021 ESMA50-165-1734
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
2
ESMA Annual Statistical Report on EU Alternative
Investment Funds
2021
© European Securities and
Markets Authority, Paris, 2021. All rights reserved. Brief excerpts
may be reproduced or translated provided the source is cited
adequately. The reporting period of this document is 31 December 2019,
unless indicated otherwise.
Legal reference of this report:
Regulation (EU) No 1095/2010 of the European Parliament and of the
Council of 24 November 2010 establishing a European Supervisory
Authority (European Securities and Markets Authority), amending
Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC,
Article 32 ‘Assessment of market developments’, 1. ‘The Authority
shall monitor and assess market developments in the area of its
competence and, where necessary, inform the European Supervisory
Authority (European Banking Authority), and the European Supervisory
Authority (European Insurance and Occupational Pensions Authority),
the ESRB and the European Parliament, the Council and the Commission
about the relevant micro-prudential trends, potential risks and
vulnerabilities. The Authority shall include in its assessments an
economic analysis of the markets in which financial market
participants operate, and an assessment of the impact of potential
market developments on such financial market participants. ’ This
report contributes to ESMA’s risk assessment activities. The report
and its contents do not prejudice or impair ESMA’s regulatory,
supervisory or convergence activities, nor the obligations of market
participants thereunder. Charts and analyses in this report are based
on data provided by national competent authorities to ESMA under the
Alternative investment fund managers directive (AIFMD). ESMA uses
these data in good faith and does not take responsibility for their
accuracy or completeness. ESMA is committed to constantly improving
its data sources and reserves the right to alter data sources at any
time.
European Securities and Markets Authority (ESMA) Risk
Analysis and Economics Department 201-203 rue de Bercy FR–75012
Paris risk. analysis@esma. europa. eu
ESMA Annual
Statistical Report on EU Alternative Investment Funds 2021
3
Table of contents
Executive summary
Market
monitoring
Market structure and developments
Funds
of Funds
Real Estate Funds
Hedge Funds
Private Equity Funds
Other AIFs
Non-EU AIFs
(NPPR)
Statistical methods
AIFMD data quality
improvement – an overview
Statistics
Market overview
Funds of Funds
Real Estate Funds
Hedge Funds
Private Equity Funds
‘Other AIFs’
Non-EU
AIFs (NPPR)
Annex
EU AIFMD data reporting
Data inventory
Glossary
List of
abbreviations
4
7
8
16
21
25
29
32
38
43
44
46
47
54
61
68
76
83
90
94
95
97
99
100
ESMA Annual Statistical Report on EU Alternative
Investment Funds 2021
4
Executive summary
Market structure and developments The EU Alternative
Investment Funds (AIF) market: The size of the EU AIF universe
continued to expand to reach EUR 6. 8tn in net asset value (NAV) at
the end of 2019, a 15% increase from 2018.
The growth of the
EU AIF market results from the launch of new AIFs in 2019 and positive
valuation effects. Overall, AIFs accounted for 40% of the EU fund
industry at the end of 2019. Professional investors own most of the
shares of AIFs, yet retail investor share is significant at 15% of the
NAV, with more retail participation in FoFs (28%) and RE funds (21%).
AIFs invest predominantly in the European Economic Area (EEA) and
across a broad range of asset classes (securities, derivatives or
funds). At the aggregate level adjusted leverage declined slightly to
182% of NAV (compared with 193% in 2018).
Overall, there are
signs of potential liquidity mismatch at short horizons, as the
liquidity offered to investors is greater than the liquidity of the
assets, especially for RE funds. This section also reviews the impact
of the COVID-19 related market stress on AIFs in 2020.
Funds
of Funds: FoFs account for 15% of the NAV of EU AIFs, at around EUR
1tn (+22% compared with 2018). FoFs invest mainly in equity and bond
UCITS (72% of identified fund exposures) rather than AIFs. At the
very short end, investors are able to redeem 39% of the NAV within one
day, whereas only 29% of assets could be liquidated within this time
frame. If large redemptions were to occur, AIFs would face challenges
due to this liquidity mismatch.
Real Estate Funds: RE funds
account for 12% of the NAV of AIFs, at EUR 802bn. They continued to
grow, albeit at a more moderate pace (+9% in 2019 after +35% in 2018).
Compared with 2018, the proportion of retail investors was stable
(21%) but remains high compared with other AIF categories.
RE
funds are exposed mostly to illiquid physical assets which take time
to sell (usually months). Liquidity risk in RE funds remains a
concern: Around 54% of funds are open-ended, and almost half of
Commercial Real Estate (CRE) funds — the largest category — offer
daily liquidity to investors. At the aggregate level, RE funds face
liquidity mismatch across all time periods, an indication of a
structural vulnerability as the maturities of assets and liabilities
are not aligned.
Hedge Funds: The size of the EU HF sector
remained stable in 2019 at EUR 354bn, or 5% of all AIFs.
However, when measured by gross exposures, HFs account for 62%
of AIFs since they rely heavily on derivatives. The majority of HFs
are managed and domiciled outside the EU, with HFs sold through the
National Private Placement Regime (NPPR) 160% larger than HFs managed
by EU AIFMs. Leverage is very high at more than 900% after
adjustments, and particularly so for some strategies highly reliant
on derivatives. Typically, HFs using derivatives tend to maintain
large unencumbered cash positions, possibly to meet future margin
calls related to derivatives positions. EU HFs continue to show
limited liquidity mismatch, as their assets can be liquidated quickly
to meet investor redemptions. However, HFs are exposed to financing
risk, as for some strategies more than half of their funding is
overnight, implying potential rollover risks.
Private Equity
Funds: PE funds account for 7% of the NAV of all AIFs, or EUR 456bn.
Among AIF types, PE funds experienced the largest growth in 2019
(+28% compared with 2018). They follow a range of strategies and are
almost exclusively sold to professional investors. PE funds invest
mainly in illiquid securities (unlisted securities), but liquidity
risk is limited given that PE funds are overwhelmingly closed-ended.
Other AIFs: Other AIFs account for 60% of the NAV of EU AIFs,
at around EUR 4tn (+15% compared with 2018). The category covers a
range of strategies, with fixed income and equity strategies
accounting for 68% of the NAV and an additional residual category
amounting to 29%. Other AIFs are mainly sold to professional
investors, although there is a significant retail investor presence.
They make little use of financial or synthetic leverage. Although
most types of Other AIFs have a limited liquidity risk at aggregate
level, some funds are subject to liquidity mismatches.
AIFs
managed by Non-EU AIFMs: EU Member States can allow non-EU asset
managers to market alternative funds at national level under the
National Private Placement Regime (NPPR), even though
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
5
such funds cannot subsequently be passported on to
other EU Members States. The market for such non-EU funds is
comparatively large: The NAV of non-EU AIFs marketed under NPPRs’
rules amounts to EUR 2. 1tn, i. e. more than one-fifth of the AIF
market. NPPR fund marketing is concentrated in a small number of
Member States, and 98% of investors are professional investors. Hedge
funds marketed under the NPPR are predominantly domiciled in the
Cayman Islands, ‘other AIFs’ marketed under the NPPR are
predominantly US-based exchange-traded funds (ETFs). Overall, risk
profiles for NPPR funds are comparable to EU AIFs. However, the
geographical investment focus is different as NPPR funds invest
predominantly in non-EU areas.
Statistical methods AIFMD data
quality improvements – an overview: This article focuses on ongoing
work to improve AIFMD data quality. High-quality data is key for
identifying and assessing risks to investors and financial stability
in the EU and support risk-based supervision and regulatory
activities. National Competent Authorities (NCAs) and ESMA have been
working closely to promote the usability and quality of the AIFMD
data and other reporting regimes, given the cross-border implications
of the financial sector.
This article presents the main
initiatives improving AIFMD data quality and provides an outlook of
future work.
Editorial note Brexit implications for EU AIF
statistics: The UK asset management industry was an important part of
the EU single financial market, and with that also of the EU AIF
market. As of our latest figures, AIFs managed by UK-domiciled AIFMs
accounted for 14% of the EU’s AIFs by number of funds and 20% by net
assets. The picture was even more pronounced in the important category
of hedge funds, where 42% of the funds and 76% of net hedge-fund
assets originated from the UK.
The UK formally withdrew from
the EU on 31 January 2020, and its participation in the European
Single Market ceased on 31 December 2020. As of this departure, UK
data are no longer directly reported into the EU’s AIFMD reporting
system.
This Report covers reporting periods up to end-2019,
i. e. periods during which the UK still was an EU Member State, and
the statistics in this Report, therefore, present the EU market as the
EU28, including the UK. The table of essential EU AIF market
statistics below details the share of the UK market for broad market
metrics, illustrating the potential impact that the withdrawal will
have on AIF statistics in the future.
ESMA Annual Statistical
Report on EU Alternative Investment Funds 2021
6
EU
AIFs: Essential statistics
Size
Number of funds
(Absolute number) of which from UK Number of leveraged funds
(Absolute number) of which from UK Net Asset Value (EUR bn) of
which from UK Average fund size (EUR mn per fund) Average UK fund
size Proportion of total market (NAV % of all AIFs) UK share in EU
AIF NAV
Distribution EU passport (% of total) Retail
participation (% of total)
Exposures
Main exposures
(Asset type) Main exposures (% of exposures)
Leverage
Gross leverage (% of NAV) Adjusted leverage (% of NAV)
Borrowing (% of NAV)
Liquidity
Open ended AIFs (%
of total NAV) Monthly portfolio liquidity (% of NAV) Monthly
investor liquidity (% of NAV)
Funds of Funds
Real
Estate
Hedge Funds
Private Equity
Other
AIFs
Total
5,780
4,178
1,449
5,286
15,444
32,585
591
365
103
1,029
187
180
315
15%
3%
76%
28%
CIU
71%
776
1,385
87
802
104
190
135
12%
2%
90%
21%
PA
67%
612
623
281
354
269
245
440
5%
4%
35%
2%
IRD
85%
1,159
149
34
456
184
85
160
7%
3%
60%
5%
S
1,525
2,546
274
4,099
591
265
390
4,718
5,116
780
6,785
1,338
210
283
61%
100%
9%
90%
12%
S
20%
76%
15%
IRD
55%
90%
54%
120%
136%
6,450%
109%
245%
517%
119%
133%
991%
109%
144%
182%
1%
74%
77%
69%
8%
227%
54%
3%
17%
78%
38%
26%
2%
3%
1%
1%
5%
73%
90%
74%
17%
66%
68%
61%
Note: All values refer
to AIFs managed and/or marketed by EU AIFMs at the end of 2019, AIFs
reported to ESMA by National Competent Authorities (NCAs). AIFs sold
under a National Private Placement Regime (NPPR) are excluded. UK is
included in EU data. Statistics for all EU AIFs include 448 funds
with no predominant type, for which NAV amounts to EUR 44bn. Leveraged
funds are identified using the AIF reporting code as specified in the
Annex 2 of ESMA guidelines on AIFMD reporting obligations. Open ended
AIFs are funds that issue shares which are redeemable on demand by
investors. CIU=collective investment units; PA=Physical assets;
IRD=Interest rate derivatives; S=Securities.
Sources: AIFMD
database, National Competent Authorities, ESMA.
ESMA Annual
Statistical Report on EU Alternative Investment Funds 2021
7
Market monitoring
ESMA Annual Statistical Report on EU
Alternative Investment Funds 2021
8
Market
structure and developments
The size of the EU AIF universe
continued to expand to reach EUR 6. 8tn in net asset value (NAV) at
the end of 2019, a 15% increase from 2018. The growth of the EU AIF
market results from the launch of new AIFs in 2019 and positive
valuation effects. Overall, AIFs accounted for 40% of the EU fund
industry at the end of 2019. Among AIF types, Funds of Funds (FoFs)
account for 15% of the NAV, followed by Real Estate (RE) funds (12%),
Private Equity (PE) funds (7%) and Hedge Funds (HFs) (5%). The
category of ‘other AIFs’ accounts for 60% of the NAV, pointing to
continued classification issues for Alternative Investment Fund
Managers (AIFMs). Professional investors own most of the shares of
AIFs, yet retail investor share is significant at 15% of the NAV, with
more retail participation in FoFs (28%) and RE funds (21%). AIFs
invest predominantly in the European Economic Area (EEA) and across a
broad range of asset classes (securities, derivatives and funds). At
the aggregate level adjusted leverage declined slightly to 182% of
NAV (compared with 193% in 2018). Overall, there are signs of
potential liquidity mismatch at short horizons, as the liquidity
offered to investors is greater than the liquidity of the assets,
especially for RE funds. This section also reviews the impact of the
COVID- 19 related market stress on AIFs in 2020.
ASR-AIF. 1
EU fund industry Significant growth in 2019
EU Alternative
Investment Funds 2019: EUR 6. 8tn
The AIF industry continued
to expand in 2019, with a 15% increase from 2018, to reach a NAV of
around EUR 6. 8tn at the end of 2019 (ASR- AIF. 1). By comparison, the
NAV of Undertakings for the Collective Investment in Transferable
Securities (UCITS) amounted to EUR 11tn at the end of 2019, according
to the European Fund and Asset Management Association (EFAMA).
Overall, AIFs account for close to 40% of the EU fund
industry. The NAV of UK-domiciled AIFMs amounted to EUR 1. 3trn (20%
of the EU total)1.
The growth in the EU AIF market is
attributable to the launch of new AIFs in 2019 (EUR 790bn), and
positive valuation and flow effects (EUR 740bn), which compensated
for the liquidation of funds in 2019 (ASR-AIF. 2).
1 This
Annual Statistical Report refers to 2019 data hence
the UK is
included in EU data.
5. 35. 96. 89. 79. 311.
0024681012201720182019 AIFs
UCITSNote:NetassetvalueofEUAIFsandUCITS,inEURtrn.
Sources:EFAMA,AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
9
ASR-AIF. 2 EU AIFs growth
decomposition Growth owing to new AIFs, flows and valuation effects
ASR-AIF. 5 Impact of COVID-19 related market stress Sharp
moves in NAV in 1H2020
By AIF types, PE funds, FoFs and
‘other AIFs’ contributed most to the growth of the AIF sector (ASR-
AIF. 3).
ASR-AIF. 3 EU AIFs growth decomposition by types
Growth mainly owing to PE and FoFs and ‘other AIFs’
to
support
In 2Q20, markets rebounded swiftly on the back of
policy actions. Given the unprecedented shocks to financial markets
and the real economy, policymakers quickly took several steps
financial stability. Fiscal authorities announced a range of
measures, including fiscal stimulus, loan guarantees and tax
holidays. Central banks provided support to banks by injecting
liquidity and supported markets by announcing large-scale purchases
of corporate and government bonds, resulting in another sizeable
increase of their balance sheets.
Following such policy
support measures, the NAV of AIFs rebounded in 2Q20, with the size of
most AIF types surging by 10% or more.
During the acute phase
of the COVID-19 related market stress in 1Q20, some AIFs experienced
substantial valuation issues, leading AIFMs to suspend redemptions.
Early May, the NAV of AIFs with suspension of redemptions amounted to
close to EUR 40bn across 109 funds (ASR-AIF. 6). While suspensions
increased, the NAV of suspended funds amounted to less than 1% of
overall AIF NAV.
ASR-AIF. 6 COVID-19 turmoil Increase in
suspensions, esp. for RE AIFs
ASR-AIF. 4 2020 snapshot: the
COVID-19 turmoil Sharp drop in NAV and valuation issues for some
AIFs
During the initial stage of the crisis (mid-February to
March 2020), the rise in infections across the globe and the entry
into force of lockdown measures in many European countries triggered
a global sell-off across asset classes. EU AIFs were directly
impacted through mark-to-market losses, outflows and valuation
issues.
In 2020Q1, the NAV of AIFs reporting at a quarterly
frequency (a subsample of the AIF universe accounting for around 75%
of the AIF industry) declined by 7%, with the largest drop for hedge
funds, other AIFs and funds of funds (ASR-AIF. 5). In absolute terms,
the decline in NAV amounted to EUR 460bn, mainly related to ‘Other
AIFs’ (decline of EUR 382bn), and to a lesser extent FoFs (decrease
of EUR 76bn).
Such suspensions were mostly in RE funds, most
of them domiciled in the UK and were related to valuation
uncertainty.
In several cases, the impact of the COVID-19
market stress on RE funds' market was not immediate. The analysis of
the largest EU RE funds outside the UK revealed that at the end of
June, 38% of funds (29% by AuM) were affected by valuation
uncertainties and 42% (48% by AuM) by material distortions in the
incoming cash-flows, such as rental income defaults (ESMA, 2020a).
Two of the largest EU RE funds
6,785 5,882 787 5,000 5,500
6,000 6,500 7,000 7,5002018 dataLiquidatedafter 2018Valuationand
floweffectsNewlyreportedAIFs2019
dataNote:DecompositionofNAVbyreportingandsurvivingAIFs,EURbn. Newlyrep
ortedfundsincludingAIFsinceptedin2019,Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA. -622738
5,8825,5006,0006,5007,0002018d
ataNoneHFREPEFoFOther2019dataNote:NAVbytypeofAIFsmanagedand/ormarketed
byauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljur
isdictions,endof2019,inEURbnFoF=Fundoffunds,None=Nopredominanttype.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. -520681011835
356785
-15%-10%-5%0%5%10%15%20%25%2019Q42020Q12020Q2 RE FoFs
HFs Other AIFsNote:ChangeinNAV(QoQ),in%basedonAIFsreportingataquarterl
yfrequency. Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. <
br>
02040608010012005101520253035404523-Mar02-Apr12-Apr22-Apr02-May
12-MayThousands NAV Number of AIFs
(rhs)Note:NetassetvalueofAIFswithsuspensionofredemptions,inEURbn.
Sources:NationalCompetentAuthorities,ESMA.
ESMA Annual
Statistical Report on EU Alternative Investment Funds 2021
10
(EUR 3bn AuM) were also suspended in June 2020 due
to the material uncertainty over valuation of their holdings.
In light of the deterioration in market liquidity and rising
redemption requests experienced during the COVID-19 market turmoil,
some large AIFs heavily exposed to corporate debt took recourse to
temporary borrowings, while other Liquidity Management Tools (LMTs)
such as gates, swing prancing mechanisms and anti-dilution levies
have been activated only in a very limited number of
cases.
Some of these large corporate debt funds also faced
valuation issues: around 11% of AIFs reported unusual difficulties in
asset valuation (ESMA, 2020a). 2
AIF types: The composition
of the AIF market by type was broadly stable in 2019, with
incremental changes. FoFs account for 15% of the NAV (+1pp compared
with 2018), followed by RE funds (12%), PE funds (7%, +1pp) and HFs
(5%, -1pp).
Finally, ‘other AIFs’ remain by far the largest
type, accounting for 60% of NAV (ASR-AIF. 20). Within this category,
around 30% of NAV is attributed to a residual category (which amounts
to 17% of the NAV of all AIFs), pointing to continued
classification issues for AIFMs, as detailed in the ‘Other AIF
section’.
AIF size: The AIF market remains highly
concentrated, with a few large AIFs accounting for most of the
market. In 2019, AIFs with a NAV larger than EUR 1bn accounted for
less than 4% of all AIFs but for 56% of the NAV (ASR-AIF. 7).
Smaller AIFs (NAV lower than EUR 500mn) account for 92% of
all AIFs but only 30% of NAV.
The large concentration implies
that by focusing on the largest AIFs, one should be able to monitor
a dominant part of the market at a relatively high frequency
requirements are quarterly for funds from AIFMs with Assets under
management (AuM) above EUR 1bn).
reporting
(as
ASR-AIF. 7 Size and number of AIFs High concentration among
a few large AIFs
the AIF
AIF domicile and
distribution: In terms of domicile of the AIFM, industry is
concentrated in a few countries, with the top six accounting for more
than 90% of the NAV (ASR- AIF. 22). In 2019, Germany remained the
country with the largest AIF industry in the EU (29%, +1pp),
followed by the UK (20%, -3pp), the Netherlands (13%, +1pp),
Luxembourg (12%, +2pp), France (7%).
Compared to 2018, the
size of the AIF industry expanded by more than 15% in almost all
countries with the exception of the UK (ASR- AIF. 8). The stability of
the AIFs managed by UK AIFMs might be partly explained by relocation
of UK managers in other EU countries, although such relocation is
hard to track (ASR-AIF. 9).
(11%) and
Ireland
ASR-AIF. 8 AIF size by country Growth in most countries
ASR-AIF. 9 AIFMs Very limited relocation of UK AIFMs to the
EU in 2019
With the withdrawal of the UK from the EU, UK
AIFs can no longer be sold in the EU on the basis of the AIFMD’s
passporting regime. In the absence of an authorisation and
passporting regime for non-EU AIFMs, UK fund managers seeking to
retain the possibility of marketing fund shares/units in the EU have
the choice of relocating to the EU (to get access to the passporting
regime) or marketing the fund under the National Private Placement
Regime.
Such relocations of managers of AIFs can be tracked
when AIFs provide their Legal Entity Identifier (LEI), since the
related AIFM identifier changes as a result. LEI movements can be a
helpful proxy for identifying relocation cases. They do not, however,
show market movements in their entirety: LEIs are available only for
part of the AIF population, namely around 10,700 AIFs (i. e. less
than one-third of the registered entities) representing a NAV of 2. 9
EUR tn.
Within this sample, only around 50 funds had a change
in the domicile of the manager in 2019. For 39 funds with a NAV of
EUR 13bn, the AIFM moved from the UK to Luxembourg
2 For
further details on liquidity risks in UCITS and AIFs
during
the March-April period, see ESMA (2020b).
0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bn NAV Number of
AIFsNote:ShareofAIFsbysize,endof2019,in%.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
05001,0001,5002,000DEUKNLLUFRIEOther 2018
2019Note:NAVbytypeofAIFmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
11
the NAV
(ASR-AIF. 11). Retail
of
investor participation might be underestimated since they could
purchase banking or insurance products that are invested in AIFs.
ASR-AIF. 11 AIF investors Mainly professional investors
types
Among professional investors, unitholders are
diversified across AIF (ASR-AIF. 12).
Pension funds and
insurance companies are the main investors and account for 28% and
16% of the NAV respectively. Banks account for 7%, other financial
institutions for 8% and funds for 10%. Remaining investor categories
are small, except for ‘unknown’ investors (11%). Still, data issues
large proportion of banks might indicate a lack of look- through
approach by some AIFMs, since they should report the ultimate owners
of the AIF shares. Second, the relatively large proportion of
‘unknown’ investors is difficult to explain given the highly
concentrated ownership of AIFs and warrants the ‘unknown’ category
has decreased by 6pp since 2017, efforts should continue as this
residual category remains the fourth largest by NAV.
investigation. While
remain. First,
relatively
further
the
(ASR-AIF.
10). 10 funds with a NAV of around EUR 1. 9bn moved domicile within
the EU27.
One reason for the relatively low figures is that
many UK market participants already had a group entity in the EU27
which could be appointed as UCITS manager or AIFM of the relevant EU
funds. ESMA is aware that some of these entities expanded their
presence in the EU27 and applied for additional licenses to continue
providing their services. In many cases, these entities in the EU27
delegated some of collective portfolio management functions set out
in Annex I of the AIFMD and Annex II of the UCITS Directive to UK
group entities.
Another potential explanation for the low
number of relocations is the possibility to make use of white-label
service providers.
(i. e. authorised EU27 fund managers that
provide a platform to business partners by setting up funds at the
initiative of the latter and investment management functions to
those initiators/business partners or appointing them as investment
advisers).
typically delegating
ASR-AIF. 10 AIFM
relocation Mainly from the UK to Luxembourg
the UK, France,
FoFs are mainly domiciled in countries with a industry such
as large asset management Germany, Ireland and Luxembourg. The HF
industry remains heavily concentrated in the United Kingdom, with
more than 75% of the NAV managed by UK AIFMs. UK managers also
account for a large share of the NAV of PE funds (40%), although it
has been declining (-7pp), while the share of Luxembourg has
increased (23%, +5pp). In most EU Member States, ‘other AIFs’ account
for the majority of the NAV. Most AIFs have access to the EU passport
(76%), allowing AIFs to be sold throughout the EU (ASR-AIF. 23).
investors, rather
investors: The AIFMD provides
the AIF regulatory framework for marketing AIFs primarily
than retail to professional investors. The marketing of AIFs to
retail investors remains at the discretion of each Member State.
Professional investors account for around 85% of the NAV (+1pp
compared with 2018), and direct retail investors’ participation is
slightly declining but remains significant at 15%
051015202530354045Within other EU countriesFrom UK to
Luxembourg Number of AIFs NAVNote:ChangeinthedomicileofAIFMsforAIFswit
haLEI,innumberoffundsandinEURbnforNAV. Sources:AIFMDdatabase,NationalC
ompetentAuthorities,ESMA
0%20%40%60%80%100%FoFHedge fundPrivate
equityReal estateOther AIFTotal EU Retail investors Professional inves
torsNote:ClientsofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-t
hresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%ofN
AV. FoF=Fundoffunds. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
12
ASR-AIF. 12 AIF investor types Diversified
investor base
ASR-AIF. 13 Regional investment focus Most
exposures towards the EEA
AIF shares: The ownership of AIFs
continues to be highly concentrated: the top five investors account
for more than 75% of the NAV across AIF types. More than 50% of all
AIFs are entirely held by their top five investors, as indicated by
the median of 100% for all AIF types (except PE funds). The high
ownership concentration is explained by the dominant role played by
institutional investors. In some cases, AIFs can be set up for a
single institutional investor that prefers to hold all of the AIF
shares, as the fund can be set up to fulfil its specific investment
objective.
AIF geographical investment focus: AIFs invest
mainly in the EEA (59%, -2pp), which includes the UK in 2019,
followed by North America (17%) and supranational issuers (8%), with
the last category also including investments without predominant
geographical focus. Other regions account for around 16% of the NAV
(ASR-AIF. 13).
Leverage and liquidity risks
Gross
exposures: AIFs are exposed to a wide range of asset classes, with
variation across AIF types (ASR-AIF. 14). RE funds, PE funds and
FoFs are by construction heavily exposed to the underlying assets
(physical assets for RE funds, (unlisted) securities for PE funds and
collective investment units for FoFs). HF exposures are
overwhelmingly biased towards interest rate derivatives (IRDs),
because of the way IRDs are reported. 3 The exposures of ‘other AIFs’
are more diversified, reflecting the diversity of strategies used in
this residual category.
ASR-AIF. 14 Gross exposures Diverse
exposures by AIF type
Leverage: Leverage remained broadly
stable across most AIF types (ASR-AIF. 24). Using the
collect data on gross notional exposures, including by
adjusting notional for IRDs by duration or expressing positions as
10-year bond equivalent (IOSCO, 2019).
3 Gross notional
exposures use the gross notional value of the IRDs, with no
adjustment for duration. However, under the commitment approach, for
duration. The International Organisation of Securities Commissions
(IOSCO) recommends that regulators
IRDs are adjusted
0%5%10%15%20%25%30%NoneGeneral gov. HouseholdsBanksOth. fin.
institutionsNon-profitOth. CIUUnknownInsurancesPension funds 2018 2019
Note:OwnershipofunitsinAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in
%ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia7%EEA59%North America17%Other Europe6%Rest3%Supra National
8%Note:RegionalinvestmentfocusofAIFsmanagedand/ormarketedbyauthorisedE
UAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,en
dof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileofinvestmen
ts,supranationalcategoryincludinginvestmentswithoutpredominantgeo-
focus. Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%TotalEUFoFHedgefundPrivateequityRealestateOtherAIFNon
e Securities CIUs Physical assets IRDs FX CDS Other
derivativesNote:ShareofgrossexposuresbyAIFtype,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
13
adjusted leverage measure (calculated as gross
exposures to NAV excluding IRDs), leverage declined slightly to 182%
of NAV compared with 193% in 2018. In contrast, leverage measured by
the ratio of AuM to NAV points to a slight increase from 440% to
460%. The aggregate measure does not reflect important differences
across AIFs, with HF leverage hovering around 1000%, while for other
AIF types leverage is below 150% (ASR-AIF. 15). The high leverage of
HFs stems mainly from the use of derivatives (synthetic leverage)
rather than outright borrowing (financial leverage). In addition,
aggregate measures of leverage are upward biased due to extreme
outliers: the median adjusted leverage remains below 130% for all AIF
types, expect HFs with a median leverage at 170% (compared with an
aggregate leverage of close to 1000%).
ASR-AIF. 15 Adjusted
leverage by AIF type High leverage for HFs
ASR-AIF. 16
Liquidity profile Potential liquidity risk at the short end
ASR-AIF. 17 Liquidity shortage Significant shortage at the
short end
Liquidity risk: Most AIFs are open-ended funds
(66% of NAV, -4pp compared with 2018), with variation across types.
Within open-ended funds, around 66% offer daily liquidity to
investors (+4pp compared with 2018), and 25% offer weekly to monthly
redemptions (ASR-AIF. 25)
At the aggregate level, the
liquidity profile of AIFs points to potential liquidity risk at the
short end: within one day, investors can redeem up to 29% of the
NAV, whereas only 24% of the assets can be liquidated within this
time frame (ASR- AIF. 16). For funds with a liquidity mismatch, the
liquidity shortage amounts to around 18% (ASR- AIF. 17) of the NAV of
all AIFs (more than EUR 810bn). Such relatively large estimates can
be partly explained by the fact the liquidity shortage measure does
not take into account the levels of portfolio and investor liquidity
(ASR-AIF. 18).
0%200%400%600%800%1000%1200%All
AIFsFoFPrivateequityRealestateOtherAIFNoneHF 2017 2018
2019Note:AdjustedleveragebyAIFtypein%ofNAV. Sources:AIFMDdatabase,Nati
onalCompetentAuthorities,ESMA
29%53%61%67%72%76%100%24%61%68%79
%83%84%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d>
365 d Investor PortfolioNote:PortfolioandinvestorliquidityprofilesofAI
Fsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquidi
tydefinedasthepercentageofthefunds’assetscapableofbeingliquidatedwithi
neachspecifiedperiod,investorliquiditydefinedastheshortestperiodforwhi
chinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
-20-15-10-501 day orless2-7d8-30d31-90d91-180d181-365d
Liquidity shortageNote:LiquidityshortageofAIFs,%ofNAV. Liquidityshorta
geisdefinedasthesumofliquiditydeficitsatthelevelofthefunds,asnoncompen
satedbyliquiditysurplus.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
14
ASR-AIF. 18 Liquidity profile Measuring
liquidity shortage
Aggregating liquidity profiles across
funds is challenging. As explained in the 2020 Annual Statistical
Report (ESMA, 2020b), the method was revised to avoid having funds
with excess liquidity compensating for liquidity mismatch in other
funds, i. e. where the investor liquidity is higher than the
portfolio liquidity.
However, even with the adjusted measure,
the liquidity profile tends to underestimate liquidity mismatch risk,
since it is based on the weighted average liquidity profile of each
AIF.
For example, if we assume two funds of equal size with
one having a liquidity mismatch of 20% of NAV and the other having
no liquidity mismatch, the aggregate mismatch will be equal
introduce a complementary measure based on the liquidity shortage for
funds with a liquidity mismatch.
to 10% of NAV. Therefore, we
For funds with a liquidity mismatch, we estimate the liquidity
shortage. The shortage measure at fund level is equal to the
difference between the investor liquidity (in % of NAV) and the
portfolio liquidity (where the percentage is divided by the AUM/NAV
ratio to adjust for the use of leverage by funds).
Once
estimates at fund level are done, they are converted in EUR and then
summed up for each bucket. The final measure is the ratio of the EUR
liquidity shortage divided by the NAV of the AIFs (including funds
without shortage).
Since this approach focuses on the
liquidity mismatch, it does not take into account the levels of
portfolio and investor liquidity. For example, assume two funds of
equal size. Fund A has an investor liquidity of 80% and a portfolio
liquidity of 70%, resulting in a mismatch of 10%, Fund B has an
investor liquidity of 25% and a portfolio liquidity of 15%, resulting
in a mismatch of 10% too.
Both funds would be treated
similarly for the liquidity shortage measure, even though fund B is
riskier. If investors redeem more than 15% of the NAV, fund B would
not be able to raise cash sufficiently quickly, while for fund A,
redemptions would need to be above 70% to generate such liquidity
strains.
Overall, the liquidity shortage measure complements
the analysis based on the liquidity profile.
A final
assessment of fund liquidity risks requires a supervisory analysis at
entity level, along with a review of liquidity management tools
(LMTs) available at the fund level. Under Article 24(2), AIFMs have
to report the measures adopted to ensure consistency between the
redemption policies and the liquidity profiles of the managed AIFs.
LMTs are generally communicated upfront in fund disclosure documents.
A variety of LMTs are available to AIFMs, including: the
presence of a lock-up and/or a redemption notice period, and special
liquidity arrangements such as side pockets, the adoption of
redemption gates, the suspension of dealing, and other special
arrangements that may arise from illiquid assets.
Data on
special liquidity arrangements applied by open-ended AIFs are scarce.
Close to 80% of AIFs do not report these data. A total of 20% of all
AIFs declare that they do not apply LMTs, and only 1% report applying
LMTs.
More information is available on the contractual
definition of an initial amount of time investors are prohibited from
withdrawing their investment (i. e.
lock-up period) and/or
redemption notice periods that specify how many days in advance
investors have to notify that they wish to redeem.
Around
half of the open-ended EU AIFs require a notice period for
withdrawals. The widespread adoption of these contractual terms shows
that EU AIFMs have a strong preference not only for ‘sticky money’
and term investments, but also to manage liquidity mismatch risks
(ASR-AIF. 19).
ASR-AIF. 19 Liquidity management tools
Frequent use of notice periods and lock-up
References
European Securities and Markets Authority, (2019), “Annual
Statistical Report on EU Alternative Investment Funds”, March.
European Securities and Markets Authority, (2020a),
“Recommendation of the European Systemic Risk Board (ESRB) on
liquidity risk in investment funds”, November.
European
Securities and Markets Authority, (2020b), Report on Trends, Risks
and Vulnerabilities No. 2, September.
European Securities and
Markets Authority, (2020c), “Annual Statistical Report on EU
Alternative Investment Funds”, March.
International
Organization Securities Commissions, (2019), “Recommendations for a
framework assessing leverage in investment funds”, December.
of
21621214286488749705340550255075100FoFHedgefundPrivateequity
RealestateOtherAIFsNoneTot. EU Lock-up Notice periodNote:Numberofopen-
endEUAIFsimposinglock-upperiodstoinvestorsandrequiringadvancenoticebef
oreredemptions,endof2019,in%.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
15
ASR-AIF. 20 Size of the AIF industry Growing
market
ASR-AIF. 21
AIF industry by type
‘Other
AIFs’ largest type
ASR-AIF. 22 Size of AIF by type and
country Concentration in a few countries
ASR-AIF.
23
EU passport
Most AIFs can be passported
ASR-
AIF. 24 Leverage Steady increase in leverage
ASR-AIF. 25
Redemption frequency
Daily frequency for most open-
ended AIFs
1,029 802 456 354 45 4,100
05001,0001,5002,0002,5003,0003,5004,0004,500FoFREPEHFNoneOther 2017
2018 2019Note:NAVbytypeofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsa
ndsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%.
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
FoF15%Hedge fund5%Private equity7%Real estate12%Other60%None1%
Note:NAVbytypeofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
1,993
1,338 856 830 747 492 529 05001,0001,5002,0002,500DEUKNLLUFRITOther
FoF HF PE RE Other
NoneNote:NAVbytypeofAIFsmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
passport76%EU w/o passport17%Non-EU w/o passport3%Non-EU not marketed
in EU 4%Note:NAVofAIFsbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridis
dictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%50%100%150%200%250%300%350%400%450%500%Adjusted
leverageAuM/NAV 2017 2018 2019Note:LeverageofallAIFin%ofNAV. Sources:A
IFMDdatabase,NationalCompetentAuthorities,ESMA
66%32%25%24%0%10
%20%30%40%50%60%70%80%All AIFsREAll AIFsREDailyWeekly to Monhtly 2017
2018 2019Note:Shareofopen-endAIFsbyredemptionfrequency.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
16
Funds of Funds
FoFs account for 15% of the
NAV of EU AIFs, at around EUR 1tn (+22% compared with 2018). FoFs
invest mainly in equity and bond UCITS (72% of identified fund
exposures) rather than AIFs. At the very short end, investors are
able to redeem 39% of the NAV within one day, whereas only 29% of
assets could be liquidated within this time frame. If large
redemptions were to occur, AIFs would face challenges due to this
liquidity mismatch.
ASR-AIF. 27 FoF strategies Mainly
outside of PE funds and HFs
Funds of Funds: market size and
structure
increase
Size: As of the end of 2019, the
NAV of FoFs sold in the EU by European AIFMs amounted to EUR 1tn, a
22% (EUR 183bn) compared with 2018, resulting also in a slight
increase in their relative size (+1 pp at 15% of all AIFs). Unlike
‘other AIFs’, FoFs are spread across EU Member States (ASR-AIF. 26),
with a larger presence in countries with a large asset- management
industry.
ASR-AIF. 26 Funds in FoFs’ portfolios Spread
across countries
Information on the most traded instruments
provided by AIFMs on behalf of the managed funds allows to classify
the CIUs in which FoFs invest and ultimately better understand their
activity. For FoFs investing in PE funds and HFs the top five traded
instruments account for more than 50% for of the portfolio, while the
remaining FoFs have only a slightly more diversified portfolio (ASR-
AIF. 28).
ASR-AIF. 28 Main instruments Concentrated
portfolios
investors
in underlying collective
Funds of funds strategies: Funds of funds investment invest
undertakings and serve the purpose of diversifying fund-specific
risk, relieving burdens for to perform due diligence on fund
managers. FoFs pursuing individual strategies beyond PE funds or
HFs have registered the largest growth in the segment (+22pp) and
account for more than 75% of NAV (ASR-AIF. 27).
Identifiers
are available for 73% of the top traded instruments listed as funds
by the AIFs. Using
050100150200250DELUUKFRIENLOther 2018
2019Note:NAVbyFoFsmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0150300450600750Fund of HFFund of PEOther FoF 2018
2019Note:NAVofFoFsbystrategy,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
5657460%20%40%60%Fund of HFFund of PEQOther FoFHundreds Rank 1
Rank 2 Rank 3 Rank 4
Rank5Note:Porfolioconcentrationoffundsoffunds,endof2019,in%ofAuM. Port
folioconcentrationcomputedasthevalueoftop5instrumentstradedwithrespect
toAuM.
ESMA Annual Statistical Report on EU Alternative
Investment Funds 2021
17
ASR-AIF. 30 AIF investors
Relevant retail participation
institutional and commercial
data sources, almost 90% of these funds in FoFs holdings are
retrieved. 4 Overall, based on the above sample of identified
Collective Investment Units (CIUs), FoFs invest 72% in UCITS and 17%
in AIFs, with a preference for EU domiciled equity and bond funds
(ASR-AIF. 29).
ASR-AIF. 29 Funds in FoF portfolios Majority
of UCITS investing in equities
in
(55%),
the EEA
Geographical investment focus: FoFs invest
primarily followed by supranational issuers (25%) and North America
(10%) (ASR-AIF. 39). Since the supranational issuers category also
covers ‘multiple regions’, FoFs may invest in geographically
diversified funds, rather issuers specifically.
in
supranational
than
Leverage and liquidity risks
Gross exposures: In line with the strategy adopted, FoFs are
predominantly exposed to other collective investment undertakings
(ASR- AIF. 39). FoFs have a large proportion of their fund holdings
invested in funds from the same manager (38%) of all funds holdings
including Money Market Funds and ETFs by the same AIFMs (ASR-AIF.
31).
Distribution: Most FoFs have access to the EU passport
to a large extent, with 96% licensed to be sold throughout the EU
(ASR-AIF. 37).
the
Funds of Fund investors: Among AIF
types, FoFs have largest proportion of retail investors (28%),
although they are sold mainly to professional investors (72%) (ASR-
AIF. 30). FoFs are diversified and usually require less initial
investment than other types of sophisticated vehicles, so are easier
to access, especially for retail investors.
retail
participation
varies Nevertheless, significantly
between FoF strategies — 3% and 4% for, respectively, funds of PE
funds and funds of HFs, and around to 35 % for ‘other FoFs’ (-5 pp
compared to 2018). Among professional investors, pension insurance
companies are the main investors, accounting for 19% and 10% of the
NAV respectively. Around 10% of FoFs’ NAV is instead held by other
CIUs, (ASR-AIF. 37). In particular pension funds and other CIUs have
a large participation in FoFs investing in PE and HFs (~30%).
funds and
4 The European Central Bank (ECB)
publishes the list of EU investment funds collected by the European
System of Central Banks (ESCB).
2,1851,6375762961781731272205
001,0001,5002,0002,500EquityBondMixedHedgeReal estateMMFOtherCommodity
UCITS
AIFMDNote:FundslistedastoptradedinstrumentsinFoFportfolios,endof2019.
Sources:AIFMDdatabase,Lipper,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of HFFund ofPE Retail
investors Professional investorsNote:Clientsoffundsoffundsmanagedand/o
rmarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinna
tionaljurisdictionsat,endof2019,in%ofNAV.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
18
ASR-AIF. 31 Proportion of fund holdings for
FoFs Significant cross investment
ASR-AIF. 32 Main traded
instruments
Instruments (%)
Cash
Equities
Corporate bonds
Sovereign bonds
Convertible
bonds
Loans
Structured products
CDS &
equity derivatives
IRDs and FX
Other derivatives
Real assets
MMFs by other AIFMs
MMFs by the
same AIFM
Funds of HFs
Funds of PE
Other
FoFs
1. 3
1. 5
0. 2
0. 4
0. 1
0. 1
1. 0
5. 1
0. 6
0. 1
0. 6
0. 8
1. 1
0. 3
0. 8
0. 5
1. 0
0. 1
2. 7
3. 9
0. 1
15. 7
0. 3
0. 1
0. 1
0. 2
28. 6
8. 5
0. 5
56. 1
0. 2
38. 6
15. 6
7.
1
3. 8
16. 9
0. 7
56. 8
46. 3
ETFs by other AIFMs
ETFs by the same
AIFM
CIUs by other AIFMs
CIUs by the same AIFM
Other assets
Total
Note: Main traded
instruments, end of 2019, % of total exposures.
Sources: AIFMD
database, National Competent Authorities, ESMA.
Leverage:
FoFs display limited use of leverage: regulatory AuM to NAV is 140%
on aggregate, with some variation by type (ASR-AIF. 41).
Relatively low leverage levels come from limited exposures to
derivatives and little use of financial leverage (less than 1% of
NAV). Leverage appears even more limited in funds investing in HFs
and PE funds.
Liquidity risk: Most FoFs are open-ended funds
(74% by NAV), with the exception of funds of PE funds. Among open-
ended FoFs, most of funds investing in strategies beyond HFs and PE
funds offer daily liquidity to investors (ASR-AIF. 41). At the
aggregate level, the liquidity profile of FoFs points to liquidity
mismatch at the very short end: within one day investors can redeem
up to 39% of the NAV, whereas 29% of the assets can be liquidated
within this time frame (ASR-AIF. 33).
This results also from
the analysis of the main traded instruments of FoFs investing in
funds different from PE funds and HFs. For this large residual
category of FoFs, 18% of total portfolio exposure resulting from the
top five instruments in portfolio relates to cross investment. For
funds of PE funds and HFs the shares of CIUs managed by other
management companies is, respectively, around 39% and 29%. Looking at
the use of derivatives, funds of HFs rely to some extent on FX
derivatives (ASR-AIF. 32 and ASR. AIF. 40). The use of these
derivatives may serve to hedge the exposures arising from foreign
currency share classes held in portfolio.
CIUs by the
AIFM36%CIUs by others57%ETF by the AIFM1%ETF by others4%MMFs by the
AIFM1%MMFs by others1%Note:Shareofcollectiveinvestmentundertakingsheld
byfundsoffundsin4Q19. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
19
ASR-AIF. 33 Liquidity profile Some liquidity
mismatch
share represent 40% of the NAV. A notice period
ranging from 1 to 7 days for FoFs allowing to redeem on a daily basis
is instead requested on a more limited basis. Overall, around 50% by
NAV of FOFs do not require any redemption notice to investors (ASR.
AIF. 35).
ASR-AIF. 35 Redemption frequency and notice period
Majority of daily funds with not notice period
Redemption
Frequency
Daily Weekly to Monthly Quarterly Longer than
quarterly Other
0 days
43
7. 4
0.
6
0. 2
1 day
21. 5
2-7
days
5. 5
8-30 days
>30 days
5. 5
1. 3
2. 9
0. 1
2. 7
5. 1
2. 4
0. 8
Total
70
22. 2
3. 2
3. 7
27
Total
0. 1 51.
4
0. 9 100
Note: Fund of funds by redemption frequency
and notice period given to investors, in % of NAV, end of 2019.
Source: AIFMD database, National Competent Authorities, ESMA.
0. 1 5. 8
0. 6 7. 4
0. 1 8.
4
Unencumbered cash, i. e. a fund’s position in cash or cash-
like securities not subject to legal claims by another party (e. g.
from collateral pledges or securities lending activities), is an
important indicator of a fund’s ability to mobilise funds fast to
meet redemption claims. FoFs have relatively low levels of
unencumbered cash, between 2% and 3% of the NAV across types (ASR-
AIF. 36).
ASR-AIF. 36 Unencumbered cash Low cash buffers
in
their
the underlying
portfolios,
which
Most FoFs, and in particular those investing beyond HF
and PE strategies, usually hold UCITS offer predominantly daily
liquidity to investors. The relatively low proportion of fund units
that can be liquidated within one day and the related liquidity gap
may then depend on the settlement period required by funds. Another
explanation for the liquidity gap could be that when FoFs own a large
proportion of a fund, they no longer consider the underlying fund
liquidity on a daily basis, since the fund might not be able to
convert such large amounts of shares into cash very quickly. When
considering only FoFs with a liquidity deficit, the potential
liquidity shortage in the very short term (within 1 day) is around
20% of NAV and it reduces significantly within the six- months
horizon (ASR-AIF. 34).
ASR-AIF. 34 Liquidity profile Some
liquidity mismatch
FoFs offering daily redemptions and not
requiring any notice period to investors for redeeming their
396169757981100297175858802550751001 day orless2-7 d8-30
d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinv
estorliquidityprofilesoffundsoffundsmanagedand/ormarketedbyauthorisedE
UAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofthefunds’a
ssetscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidi
tydefinedastheshortestperiodforwhichinvestorscanredeem. d=Days.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
-25-20-15-10-501 day orless2-7d8-30d31-90d91-180d181-365d
Liquidity shortageNote:Liquidityshortageoffundsoffunds,%ofNAV. Liquidi
tyshortageisdefinedasthesumofliquiditydeficitsatthelevelofthefunds,asn
oncompensatedbyliquiditysurplus.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%2%3%5%Fund of HFFund of PEOther FoF Unencumbered
cashNote:Unencumberedcashheldbyfundsoffunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundsoffunds,HF=Hedgefund,PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
20
ASR-AIF. 37 EU passport Most FoFs can be
passported
ASR-AIF. 38
FoF investors
Mainly
professional investors
ASR-AIF. 39 Regional investment focus
Mainly EEA
ASR-AIF. 41 Leverage Limited leverage
ASR-AIF. 40
Gross exposures
Mainly investment
in funds
ASR-AIF. 42
Redemption
frequencies
Mostly daily and weekly
EU passport96%EU
w/o passport2%Non-EU w/o passport1%Non-EU not marketed in EU1%Note:NAV
offundsoffundsbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuri
disdictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of PEFund of HF Banks General
government Household Insurances Non-profit None Other CIUs Oth. fin.
institutions Pension funds UnknownNote:Ownershipofunitsinfundsoffundsm
anagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
FoF=Fundoffunds;PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia1%EEA55%Other Europe4%North America10%Supra National25%Res
t5%Note:Regionalinvestmentfocusoffundsoffundsmanagedand/ormarketedbyau
thorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdi
ctions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileof
investmentsandthesupranationalcategoryincludinginvestmentswithoutapred
ominantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEOther FoF Securities CIUs
Physical assets IRDs FX CDS Other derivativesNote:Shareofexposuresbyfu
ndsoffunds'investmentstrategies,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%Fund of HFFund of PEOther FoF Adjusted gross
leverage AuM/NAVNote:Adjustedgrossleverageoffundsoffundsmanagedand/orm
arketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEOther FoF Daily Weeklyto
monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-endfundsoffundsma
nagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundoffunds,PE=Privateequityfund,HF=HedgeFund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
21
Real Estate Funds
RE funds account for 12%
of the NAV of AIFs, at EUR 802bn. RE funds continued to grow in 2019,
albeit at a more moderate pace (+9% compared with 2018). Compared with
2018, the proportion of retail investors was stable (21%) but remains
high compared with other AIF categories. RE funds are exposed mostly
to illiquid physical assets which take time to sell (usually months).
Liquidity risk in RE funds remains a concern: around 54% are open-
ended, and almost half of Commercial Real Estate (CRE) funds — the
largest category — offer daily liquidity to investors. At the
aggregate level, RE funds face liquidity mismatch across all time
periods, an indication of a structural vulnerability as the maturities
of assets and liabilities are not aligned.
ASR-AIF. 44 EU
passport High access to passport
Real Estate Funds: market
size and structure
Size: RE funds are the third-largest AIF
type by size, with a NAV of EUR 802bn, or 12% of all AIFs. The size
of the RE fund industry increased by 9% in 2019, a more moderate pace
compared to 2018 (35% increase), as the result of positive
developments in housing markets. The RE fund industry remains
concentrated in a few countries (ASR-AIF. 43), with the top five
accounting for 85% of the NAV. Except UK, fund NAV increased for the
countries with the largest RE fund industry.
ASR-AIF. 43 Size
of RE funds Concentration in a few countries
Real Estate
fund investors: RE funds are sold mainly to professional investors
(79%), with the proportion of retail investors remaining stable at
21% in 2019. The retail investor share is however higher for CRE
funds, at 29% of the NAV (-2pp) and increased to 18% for the
residential category professional (+4pp, ASR-AIF. 45). Among
investors, pension insurance companies are the main investors,
accounting for 25% and 16% of the NAV respectively (ASR- AIF. 51).
Other funds also account for a sizeable percentage of RE fund
ownership, with 12% of the NAV. Banks have limited exposures to RE
funds, except for residential RE funds for which banks hold 13% of
NAV.
funds and
fund
types: RE
Real
Estate investment strategies continue to be dominated by CRE with
67% of the NAV (+8pp compared with 2018); and exposure slightly
decreased to 14% of NAV (-3pp, ASR-AIF. 50).
residential
markets
to
Distribution: Among AIFs, RE funds have
an extensive access to the EU passport, with 90% able to be sold
throughout the EU which is a substantial increase of +14 pp from 2018
(ASR- AIF. 44).
050100150200250DELUFRNLUKITOther 2018
2019Note:NAVofREmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
passport90%EU w/o passport8%Non-EU w/o passport1%Non-EU not marketed
in EU1%Note:NAVofrealestateAIFsbymanager'saccesstoAIFMDpassport,endof2
019,in%. AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuri
disdictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
ASR-AIF. 45 AIF investors Predominantly professional
investors
ASR-AIF. 46 Financial leverage Sizeable secured
borrowing
22
Most borrowing is available for
relatively long periods, implying limited financing liquidity risk
for most RE funds. For ‘other’ RE funds, very short- term borrowing
(overnight) slightly increased by 3 pp since 2018 to amount to 23% of
financing liquidity. A higher demand for short-term liquidity is
noticed for residential RE funds (+12pp for 91- 180 days; +38pp for
181-365 days as compared to 2018, ASR-AIF. 47).
ASR-AIF. 47
Financing liquidity risk Low short-term borrowings for most RE funds
in 2018 and
Liquidity risk: In terms of NAV, 54% of
RE funds are open-ended funds compared with around 60% is
considerable heterogeneity regarding redemption frequencies for
open-ended RE funds (ASR-AIF. 55)5. RE funds offering daily to
monthly liquidity account for 50% of the NAV compared with 47% in
2018.
there
Geographical investment focus: RE funds
invest overwhelmingly in the EEA (84%, +6pp compared with 2018, ASR-
AIF. 52), followed by North America (6%), whose relative proportion
narrowed significantly (-8pp) after nearly tripling the year before,
as RE fund exposures to North American assets decreased from EUR
101bn to EUR 42bn.
Leverage and liquidity risks
Gross exposures: RE gross exposures are concentrated in
physical assets (around 67% of exposures, across most RE types), in
line with the strategy used (ASR-AIF. 53).
funds make
Leverage: RE limited use of leverage. Regulatory AuM to NAV
is 136% on aggregate, as they have limited exposures to derivatives,
with low dispersion across RE fund types (ASR-AIF. 54). However, RE
funds do use financial leverage, with outright borrowing amounting
to 8% of the NAV, the second largest by AIF type, after HFs (ASR-AIF.
46). Most of the borrowing is secured, with non-securities as
collateral (possibly real estate assets owned by the fund).
5
The form (open-ended vs closed-ended) that RE funds can have is not
harmonized at the EU level. Accordingly, in some Member States, RE
funds shall be closed-ended
based on national law, and in
other Member States they can either be open-ended or closed-ended.
0%20%40%60%80%100%ResidentialOtherMulti-
strategyIndustrialCommercial Retail investors Professional investorsNo
te:Clientsofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsand
sub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,i
n%ofNAV. RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%7%14%21%CommercialIndustrialMulti-strategyREOther
REResidential Short position borrowing sec. Secured via other Reverse
repo Secured via PB Unsecured borrowingNote:Cashandsecuritiesborrowedb
yrealestatefunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=RealEstate.
0%23%48%1%45%100%0%25%50%75%100%1 day2-7 d8-30
d31-90 d91-180 d181-365d> 365 d Commercial Industrial Other RE Residen
tialNote:Liquidityfinancingofrealestatefundsmanagedand/ormarketedbyEUa
uthorisedAIFMs,endof2019. Aggregateamountofborrowingandcashfinancingdi
videddependingonlongestperiodforwhichcreditorsarecontractuallycommitte
dtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundraw
n,committedanduncommittedlinesofcreditaswellasanytermfinancing.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
23
ASR-AIF. 49 Unencumbered cash Cash buffers
lower than liquidity gap
However, 44% of CRE funds still
offer daily liquidity to investors (-1pp). At the aggregate level,
the liquidity profile of RE fund points to significant liquidity
mismatch: within a month, investors can redeem up to 17% of the NAV,
whereas only 10% of the assets can be liquidated within this time
frame. The liquidity mismatch occurs across all time buckets within
one year and is most prevalent for the two main strategies (CRE and
residential) which account for 81% of NAV (ASR-AIF. 48). The
aggregate level of liquidity masks important differences across
Member States, as in some countries RE funds can only be closed-
ended.
ASR-AIF. 48 Liquidity profile Persisting significant
liquidity mismatch
cash
buffers
for RE
The liquidity mismatch at the short-end can be mitigated by
cash, albeit to a lesser extent: unencumbered cash funds has
decreased for most RE categories in 2019 (ASR- AIF. 49). Furthermore,
are significantly lower than the potential liquidity mismatch that
could arise if investors were to redeem over longer time horizons. In
that context, funds might have to rely on liquidity management
tools, provided that they were available at the fund level. Around
70% of open-ended RE funds require a notice period, which in most
cases is at least three months, and 21% have lock-up periods.
8141722304251017314902550751001 day orless2-7 d8-30 d31-90
d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinvestorli
quidityprofilesofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIF
Ms,endof2019. Portfolioprofiledeterminedbypercentageofthefunds’portfol
ioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidity
profiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestors
couldreceiveredemptionpayments. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
0%2%4%6%8%10%CommercialIndustrialMulti-strategy REOther
REResidential Unencumbered
cashNote:Unencumberedcashheldbyrealestatefunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
24
ASR-AIF. 50 RE fund strategies Mainly CRE
ASR-AIF. 51
RE funds investors
Pension funds as
largest investors
ASR-AIF. 52 Regional investment focus
Investments mainly in EEA
Gross exposures
Mainly
physical assets
ASR-AIF. 53
ASR-AIF. 54 Leverage
Limited use of leverage
ASR-AIF. 55
Redemption
frequencies
Large dispersion
Commercial67%Industrial4%Other RE15%Residential
14%Note:Investmentstrategiesofrealestatefunds,endof2019,in%ofNAV.
Realestatefundsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%ResidentialOther REMulti-strategy
REIndustrialCommercial Banks General government Household Insurances
Non-profit None Other CIUs Oth. fin. institutions Pension funds Unknow
nNote:OwnershipofunitsinrealestatefundsAIFsmanagedand/ormarketedbyauth
orisedEUAIFMs,endof2019,in%ofNAV. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia4%EEA84%Other Europe6%North America6%Rest>1%Note:Regionali
nvestmentfocusofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFM
sandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof20
19,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileofinvestmentsand
thesupranationalcategoryincludinginvestmentswithoutapredominantgeo-
focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential Securities CIUs Physical assets IRDs FX CDS Other deriva
tivesNote:Shareofexposuresbyrealestatefunds'investmentstrategies,endof
2019,in%oftotal. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%ComercialIndustrialMulti-
strategyREOtherREResidential Median adjusted gross leverage AuM/NAVNot
e:Adjustedgrossleverageofrealestatefundsmanagedand/ormarketedbyauthori
sedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential Daily Weeklyto monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-endrealestatefund
smanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
ESMA Annual Statistical
Report on EU Alternative Investment Funds 2021
25
Hedge Funds
The size of the EU HF sector remained
stable in 2019 at EUR 354bn, or 5% of all AIFs. However, when
measured by gross exposures, HFs account for 62% of AIFs since they
rely heavily on derivatives. The majority of HFs are managed and
domiciled outside the EU, with HFs sold through the National Private
Placement Regime (NPPR) 160% larger than HFs managed by EU AIFMs.
Leverage is very high, particularly for some strategies highly
reliant on derivatives. HFs using derivatives tend to maintain large
unencumbered cash positions, possibly to meet future margin calls
relating to derivatives positions. HFs are exposed to little
liquidity mismatch, as their assets can be liquidated quickly to meet
investor redemptions. However, HFs are exposed to financing risk, as
for some strategies more than half of their funding is overnight,
implying potential rollover risk.
Hedge Funds: market size and
structure
HFs are funds that employ complex strategies,
usually through the use of derivatives, and rely on leverage to
generate returns.
Size: As of the end of 2019, the NAV of HFs
sold in the EU by European AIFMs amounted to EUR 354bn, a 6%
increase compared with 2018.
Although HFs account for only 5%
of the NAV of all AIFs, they account for 62% of regulatory AuM of
the AIF industry (at close to EUR 21tn).
Most of the European
HF industry remains concentrated in one Member State: UK AIFMs
account for 76% of the NAV compared with 75% in 2018 (ASR-AIF. 63).
that apply
The NAV of AIF HFs domiciled in the euro
area amounts to EUR 131bn (with EUR 58bn managed by UK AIFMs and
EUR 73bn by other AIFMs domiciled in the EU), based on the
definition and regulatory reporting under AIFMD.
Outside the
AIF framework, funds have been identified investment strategies
comparable to hedge funds, whose size has been found to be
significant. For example, the ECB estimates the total size of the
euro area market for funds pursuing hedge-fund style strategies to
amount to EUR 435bn, including EUR 270bn registered as AIFs, and EUR
165bn of funds registered under the UCITS framework (ASR- AIF. 56)6.
Most strikingly, the size of AIF HFs cited by the ECB amounts to more
than twice the volume found under formal AIF reporting. This
represents a significant case of reporting inconsistencies the AIF
categorisation.
resulting
from
6 The ECB
defines hedge funds as funds “which apply relatively unconstrained
investment strategies to achieve positive absolute returns, and whose
managers, in
ASR-AIF. 56 Classification of EA hedge funds
Large reporting differences
There are also AIF HFs which are
neither domiciled nor managed in the EU but are sold in individual
Members States under NPPR. Those HFs had a NAV of EUR 568bn at the
end of 2019.
Therefore, the majority of HFs are managed and
domiciled outside the EU; the size of such HFs being 160% larger than
HFs managed by EU AIFMs. Most of HFs sold under NPPR are domiciled
the Cayman Islands (61% of NAV) and the British Virgin Islands
(18%), and around 18% are domiciled in the United States. Overall,
those HFs tend to be less leveraged than their EU counterparts, with
an adjusted leverage of around 660% compared with 1000% for EU HFs.
in offshore centres such as
Hedge Fund types: HFs
pursue a wide range of strategies. Strategies relating to equities
(such as long/short) (48%, +6pp), followed by macro (10%, -2pp) and
commodity trading advisors (CTA) (9%, -1pp), and relative value (8%,
+1pp).
remain dominant
addition to management fees,
are remunerated in relation to the fund’s performance’ (ECB, 2017).
1312701650100200300400500AIFMDECB UCITS AIFNote:NAVofthehedgef
undsectorforfundsdomiciledintheeuroareainEURbn,end-2019.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ECB,ESMA. .
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
26
Distribution: Unlike other types of
AIFs, most HFs do not have access to the EU passport. Only 35% of
HFs are able to be sold throughout the EU, although the use of
passport has increased compared with 2019 (+5 pp). The low share of
EU passport can be explained by the domicile of HF AIFs: most of
them are domiciled outside the EU but managed by sub-threshold AIFMs
under national for passporting.
law and hence not eligible
Hedge Fund investors: HFs are almost exclusively owned by
professional investors, with retail investors accounting for less
than 2% of NAV. Among professional investors, investment funds are
the main holders of HF shares at 41% (ASR-AIF. 57), followed by
pension funds (14%) and other financial institutions (13%, +3pp).
Similarly, for other types of AIFs, the ownership of HF
shares is highly concentrated, with the top five holders accounting
for around 80% of the NAV for HFs with passport and more than 90%
for other HFs.
ASR-AIF. 57 HF investors Mainly funds and
pension funds
HFs have high levels of unencumbered cash
compared to other types of AIFs (31% for HFs versus 5% for all AIFs).
The highest levels of cash are for strategies that have the highest
exposures to interest-rate derivatives, such as relative value,
macro, credit and CTA (ASR-AIF. 58). This suggests that part of the
unencumbered cash is used to cover future margin calls.
ASR-
AIF. 58 Unencumbered cash Cash correlated with derivatives exposures
Leverage: HFs are in general highly leveraged , with adjusted
leverage at around 1000% of NAV (ASR-AIF. 59), although leverage
declined slightly in 2019. The high levels of aggregate leverage are
driven by a few very large outliers: half of HFs have a leverage
below 200%, as indicated by the median leverage which remained stable
at 171%.
In addition, 3/4th of HFs have leverage below 330%
(75th percentile). Among HF strategies (ASR-AIF. 65), CTAs have the
highest median leverage (at 660%), followed by macro (570%) and
relative value (340%).
ASR-AIF. 59 Hedge fund leverage High
dispersion
Investment focus: HFs invest primarily in North
America (48%, +2pp), followed by the EEA (32%, -1pp) and Asia (11%,
+4pp).
Leverage and liquidity risks
Gross exposures:
Gross exposures of HFs are diverse and heterogeneous across
strategies (ASR-AIF. 65). Macro, CTA and relative value HFs have
high exposures relating to interest-rate derivatives, while credit
HFs are exposed mainly to credit derivatives (78% of exposures).
Securities account for the main part of gross exposures for
event-driven and equity HFs (62% and 39% respectively).
0%20%40%60%80%100%Relative ValueOther HFMulti-strategy
HFMacroEvent DrivenEquityCTACredit Banks General government Household
Insurances Non-profit None Other CIUs Oth. fin. institutions Pension
funds UnknownNote:Ownershipofunitsinhedgefundsmanagedand/ormarketedbya
uthorisedEUAIFMs,endof2019,in%ofNAV. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%
40%60%80%100%120%140%160%180%EventdrivenOtherHFCreditEquityMulti-
strategy HFMacroCTARel. value Uncumbered cash Derivatives exposuresNo
te:Unencumberedcashin%ofNAVandderivativesexposuresin%ofgrossexposures.
Sources:AIFMDdatabase,NationalCOmpetentAuthorities,ESMA.
0%200%400%600%800%1000%1200%Median75th pcHF total 2017 2018
2019Note:Adjustedleveragein%ofNAV.
Sources:EFAMA,AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
27
Although most of the leverage is
synthetic leverage, i. e. due to the use of derivatives, financial
leverage is also significant for HFs (ASR-AIF. 60), amounting to
around 170% (+10pp) of the NAV (compared with 6% for all AIFs). Such
direct borrowings are estimated to amount in 2019, compared with
EUR 540bn in 2018. Secured borrowing repo accounts for 150% of the
NAV and funding from prime brokers accounts for 12% of the NAV. In
contrast, HFs reporting to the US SEC have more limited borrowings
(close to 100%, with a higher share from prime brokers).
to
EUR 610bn
repo and
to close
through
reverse
ASR-AIF. 60 Direct borrowing Sharp
differences owing to repo
reliant on short-term Liquidity
risk: HFs borrowings are exposed to financing liquidity risk (ASR-
AIF. 67). The risk would crystallise if HFs were to use most of their
available financing, and then their counterparts were to cut or
reduce their funding. Overall, 18% of the funding is overnight, with
heterogeneity across strategies.
For some strategies, such as
CTA and equity, most of their available borrowing is overnight (70%
and 86% respectively), exposing them to potential rollover risk.
Around EUR 75bn of estimated borrowing is overnight, mainly for
equity and macro HFs (ASR-AIF. 61).
ASR-AIF. 61 Liquidity
financing High portion of short-term funding
Regarding
liquidity risk, most HFs are open- ended funds (78% of NAV) which
offer weekly to monthly liquidity to investors across strategies
(ASR-AIF. 67). HFs offering daily liquidity account for only 8% of
the NAV. At the aggregate level, the liquidity profile of HFs points
to very little liquidity mismatch: within one week, investors can
only redeem up to 14% of the NAV, whereas 34% of the assets can be
liquidated within this time frame (ASR-AIF. 62). This pattern is
evident across all HF strategies, despite different levels of
portfolio and investor liquidity. In addition, among AIFs, HFs make
the most use of notice periods (close to 90%, ASR-AIF. 19), which are
on average around one month.
ASR-AIF. 62 Liquidity profile
Limited liquidity mismatch
0%20%40%60%80%100%120%140%160%180%200%2018201920182019 Prime
brokers Reverse repo Other secured UnsecuredNote:Cashandsecuritiesborr
owedbyhedgefunds,endof2018and2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Sources:AIFMDdatabase,NationalCompetentAuthorities,SEC,ESMA.
USEU
01020304050607080Overnight2-7d>1W Equity Macro CTA
CreditNote:EstimatedborrowingsbymaturityandHFstypes,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
14%26%60%82%90%100% 4%34%38%86%98%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorliquidityprofilesofhedgefundsmanagedand/ormarkete
dbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercenta
geofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,i
nvestorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
28
ASR-AIF. 63 Size of HFs by country High
concentration in the UK
ASR-AIF. 64
HF
strategies
Mainly equity strategies
ASR-AIF. 65 Gross
exposures Heterogeneity across HF strategies
ASR-AIF.
66
Very high leverage
Leverage
ASR-AIF. 67
Redemption profile Mostly weekly to monthly frequency
ASR-
AIF. 68
Liquidity financing
High short-term funding
050100150200250300UKIELUFRMTSEBEOther 2018
2019Note:NAVbyHFmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
02040
6080100120140160180CreditCTAEquityEventDrivenMacroOtherHFRelativeValue
2017 2018 2019Note:NAVofHFsbystrategy,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-
strategyHFOtherHFRel. value Securities CIUs Physical assets IRDs FX
CDS Other derivativesNote:Shareofexposuresbyhedgefunds'investmentstrat
egies,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%500%1000%1500%2000%2500%CreditCTAEquityMacroMultiOtherHFRel.
value 2017 2018 2019 75th 2019 75th
2018Note:Medianadjustedleverage,in%ofNAV.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategy
HFOtherHFRel. value Daily Weeklyto monthly Quarterly Quarterlyto
yearly OtherNote:Investorredemptionfrequenciesallowedbyopen-endhedgefu
ndsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
57%63%70%86%98%64%72%12%33%100%0%25%50%75%100%1 day2-7 d8-30
d31-90 d91-180d181-365d> 365 d Credit CTA Equity Event driven Macro
Rel. valueNote:Liquidityfinancingofhedgefundsmanagedand/ormarketedbyau
thorisedEUAIFMs,endof2019. Aggregateamountofborrowingandcashfinancingd
ivideddependingonlongestperiodforwhichcreditorsarecontractuallycommitt
edtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundra
wn,committedanduncommittedlinesofcreditaswellasanytermfinancing.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
29
Private Equity Funds
PE funds account for
7% of the NAV of all AIFs, or EUR 456bn. Among AIF types, PE funds
experienced the largest growth in 2019 (+28% compared with 2018).
They follow a range of strategies and are almost exclusively sold to
professional investors. PE funds invest mainly in illiquid securities
(unlisted securities), but liquidity risk is limited given that PE
funds are overwhelmingly closed-ended.
ASR-AIF. 70 EU
passport High access to passport
Private Equity Funds:
market size and structure
Size: PE funds surged in 2019 with
a 28% rise in NAV at EUR 456bn, or 7% of all AIFs (which represents
+1pp compared with 2018). The PE fund industry is concentrated in a
few countries (ASR-AIF. 69), with the top five accounting for 89% of
the NAV and the UK accounting for almost half of the NAV (40%, -7pp
compared with 2018).
ASR-AIF. 69 Size of PE funds
Concentration in a few countries
Private Equity Fund
investors: Among AIFs, PE funds have the second lowest proportion of
retail investors (5%). Among PE fund types, venture capital has a
larger proportion of retail investors, at 13% of the NAV (ASR-AIF.
71).
Among professional investors, no important shifts in
composition occurred in 2019. The main investor type is other CIUs
with 19% of the NAV in 2019, followed by pension funds (15%) and
non-profit funds (15%). The distribution of the investors remains
similar to the one of 2018 (ASR-AIF. 74).
Private Equity Fund
types: PE investment strategies are diversified, with 41% of the NAV
invested in growth capital, followed by venture capital (13%) and
mezzanine capital (4%). A large part of the NAV (41%) is related to
other unspecified strategies (ASR-AIF. 75). The large residual
category can be explained by classification issues, as PE fund types
do not include leveraged buyouts, which account for a significant
proportion of the PE industry (around 72% of fundraising in 2019
according to Invest Europe)7.
Distribution: As for other
types of AIFs, the majority of PE funds have access to the EU
passport, with 60% able to be sold throughout the EU (ASR-AIF. 70).
7 See Invest Europe (2020).
1841067232141040050100150200UKLUFRNLDEESOther 2018
2019Note:NAVbyPEmanagedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
passport60%EU w/o passport19%Non-EU w/o passport5%Non-EU not marketed
in EU16%Note:NAVofprivateequityfundsbymanager'saccesstoAIFMDpassport,e
ndof2019,in%. AuthorisedEUAIFMswithaccesstoAIFMDpassport,subthresholdm
anagersregisteredonlyinnationaljuridisdictionsw/opassport. Datafor27EE
AcountriesSources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
30
ASR-AIF. 71 AIF investors
Predominantly professional investors
around one month,
implying limited financing liquidity risk for most PE funds.
ASR-AIF. 72 Financial leverage Limited and concentrated
borrowing
Geographical investment focus: PE funds continue
to invest mainly in the EEA (67% of NAV (ASR-AIF. 75) and the
relative share remain stable (-1pp). The second region of investments
for PE funds is still North America (17% of the NAV)
Leverage and liquidity risks
Gross exposures: PE
gross exposures are concentrated in securities (around 90%, +11pp)
but 2019 saw a decrease in physical assets (2%, -9pp), especially for
other PE funds. Unlisted equities account for around 90% of PE
exposures.
funds make
Leverage: PE limited use of
leverage. The AuM-to-NAV ratio is at 111% on aggregate, the lowest
among AIF types, with low dispersion across PE fund types (ASR-AIF.
77).
PE funds make limited use of financial leverage, with
outright borrowing amounting to less than 2% of the NAV. The
borrowings are concentrated in Mezzanine capital and other PE funds
(ASR- AIF. 70). Around half of available financing is
8
According to recital 78 of the AIFMD: “for private equity and venture
capital funds this means that leverage that exists at the level of a
portfolio company is not intended to be included”.
The low
level of leverage is explained by the structures used by PE funds. PE
funds are not usually leveraged but they invest in a portfolio
company that could be leveraged. According to the AIFMD, leverage
should not be reported by the AIF at the portfolio company level. 8
However, in the context of the on-going AIFMD review, ESMA
recommended to change this approach in order to include the leverage
at the portfolio company level in the future. 9
Liquidity
risk: Most PE funds are closed-ended funds (93% of the NAV, ASR-AIF.
78) and the redemption frequency for open-ended PE funds is usually
weekly to monthly. PE funds have low levels of unencumbered cash
compared with 2018 at 2% of the NAV (-24pp), with a similar share
compared with NAV across PE fund types.
Other PE funds and
Growth capital funds account for the most of unencumbered cash
(respectively 50% and 32%).
9 ESMA’s proposed changes to
AIFMD regarding the reporting regime and data use (section 9 in ESMA
(2020a).
0%50%100%Venture CapitalOther PEMulti-strategy
PEMezzanine CapitalGrowth Capital Retail investors Professional invest
orsNote:Clientsofprivateequityfundsmanagedand/ormarketedbyauthorisedEU
AIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,end
of2019,in%ofNAV. PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%2%4%6%8%10%Growth CapitalMezzanine CapitalOther PE Cash and
securities OTC Exchange-tradedNote:Borrowingofcashandsecuritiesorembed
dedinderivativesbyprivateequityfunds,endof2019,in%oftotalexposure.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed. OTCandexchange-
tradedderiativesnetofmargins. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
31
ASR-AIF. 73 PE fund strategies Diversified
strategies
ASR-AIF. 74
PE fund investors
Stable
distribution of investors
ASR-AIF. 75 Regional investment
focus Mostly EEA
ASR-AIF. 77 Leverage Limited use of
leverage
ASR-AIF. 76
Gross exposures
Mainly
unlisted securities
ASR-AIF. 78
Redemption
rights
Mainly closed-ended funds
Growth
Capital41%Mezzanine Capital4%Other private equity41%Venture Capital14%
Note:Investmentstrategiesofprivateequityfunds,endof2019,in%ofNAV.
Privateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy
PEMezzanine CapitalGrowth Capital Banks General government Household
Insurances Non-profit None Other CIUs Oth. fin. institutions Pension
funds UnknownNote:OwnershipofunitsinrealestatefundsAIFsmanagedand/orma
rketedbyauthorisedEUAIFMs,endof2019,in%ofNAV. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia9%EEA67%Other Europe4%North America17%Supra National1%Rest
2%Note:Regionalinvestmentfocusofprivateequityfundsmanagedand/ormarkete
dbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationalju
risdictions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomic
ileofinvestments,andthesupranationalcategoryincludinginvestmentswithou
tapredominantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-
strategyPEOtherPEVentureCapital Securities CIUs Physical assets IRDs
FX CDS Other derivativesNote:Shareofexposuresbyprivateequityfunds'inve
stmentstrategies,endof2019,in%oftotal.
AIFsmangedand/ormarketedbyauthorisedEUAIFMs. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%GrowthcapitalMezzaninecapitalMulti-
strategyOther PEVenturecapital Median adjusted gross leverage AuM/NAVN
ote:Adjustedgrossleverageofprivateequityfundsmanagedand/ormarketedbyau
thorisedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
PE=Privateequityfund. Datafor27EEAcountries.
0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-
strategyOther PEVentureCapital Open-end Closed-endNote:Redemptionright
sprovidedintheordinarycoursetoinvestorsinprivateequityfundsmanagedand/
ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
32
Other AIFs
‘Other AIFs’ account for
60% of the NAV of EU AIFs, at around EUR 4,099bn (+15% compared with
2018). This category of the AIFMD reporting regime covers a range of
strategies, with fixed income and equity strategies accounting for
68% of the NAV and an additional residual category amounting to 29%.
‘Other AIFs’ are mainly sold to professional investors,
although there is a significant retail investor presence in the
residual category. They make little use of financial or synthetic
leverage. Although most types of ‘other AIFs’ have a limited
liquidity risk at aggregate level, some funds in this residual
category may be subject to liquidity deficit.
‘Other AIFs’:
market size and structure
to EUR 4,099bn
Size: At
the end of 2019, the size of the ‘other AIFs’ amounted (+15%
compared with 2018), concentrated in a few countries (ASR-AIF. 79).
According to the AIFMD fund classification the category of ‘other
AIFs’ is to be a residual category. However, almost half of the
reported AIFs, accounting for 60% of total NAV, fall in this category
that comprehend an heterogeneous group of strategies. 10 In relative
terms, ‘‘other AIFs’’ constitutes the main AIF type in most EU
countries, accounting for around 80% of the NAV in Germany, the
Netherlands, Poland, Spain, Ireland and between 40% and 50% in
France, Luxembourg and the United Kingdom.
ASR-AIF. 79 Size
of ‘other AIFs’ Main AIF type in most countries
‘Other AIF’
types: ‘other AIFs’ can use very different strategies (ASR-AIF. 80).
The main strategies are related to fixed income (40% of the NAV) —
which includes money-market AIFs — and equity (28%).
ASR-AIF.
80 ‘Other’ AIFs strategies admitted under AIFMD Diversified set of
strategies
Real estate strategies
Equity
Fixed income
Infrastructure
Commodity
Other-other
Number of AIFs (%)
NAV
(EUR bn)
18
28
2
1
50
1,129
1,636
118
33
1,183
15,419 AIFs
Total ‘other
AIFs’
4,099 Note: AIFs classified as ‘‘other AIFs’’ under
the AIFMD, end of 2019. Strategies identified according to the fund
primary strategy.
Sources: AIFMD database, National Competent
Authorities, ESMA.
Within ‘other AIFs’ there is an additional
residual fund category, the so-called ‘other-other’ AIFs, accounting
for a significant portion of the NAV (29%) which is difficult to
identify as managers did not refer to a specified strategy.
Benchmarking the strategies self-reported under the AIFMD with the
information collected by the ECB allows to clarify the
characteristics of the investment policies of those AIFs classified
in residual categories. 11 A relevant portion of ‘other AIFs’ with
an undefined strategy could be largely described as mixed funds, that
is investing in both equity and bonds with no prevalence of one
instrument, while one remain still unidentified (ASR. AIF-81).
third
10 The transparency obligations established by
the AIFMD require AIFMs to make available to investors and NCAs a
description of the fund strategy and the type of assets in which it
may invest. For a detailed description of this category and a
discussion of the related potential classification issues, see the
section “AIFMD fund classification – shedding light on ‘other AIFs’
in ESMA (2020b).
11 The ECB publishes the list of European
investment funds based on information provided regularly by all
members of the ESCB. Funds domiciled in Denmark, Norway and the
United Kingdom are not covered. MMF and Pension funds are excluded
from the definition of investment fund adopted for ESCB data
collection.
12304895323482562222711508591643387382340249040080
01,2001,600DEUKNLFRLUIEOther 2018 2019Note:NAVbyAIFsclassifiedas'other
'managedand/ormarketedbyauthorizedAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
33
ASR-AIF. 81 ‘Other AIFs’ mapped into ECB
investment policy Mainly captured by bond and mixed strategies
ASR-AIF. 82 Size of ‘other AIFs’ Low concentration for Fixed
income
For mixed and ‘other-other’ AIFs, the top five
instruments show sizable shares of CIUs and sovereign bonds, 6. 8%
and 6. 3%, respectively.
Looking at the use of derivatives,
these AIFs rely to some extent on IRDs, FX derivatives and CDS (ASR-
AIF. 83). Derivatives may be used by funds engaging into bond trading
as risk management tool12 or as a flexible and less capital-intensive
alternative to other assets to enhance the risk- return profile of the
fund through leverage.
and
instruments
Traded portfolio characteristics: Commodity and
infrastructure AIFs appear highly concentrated with more than 60%
invested in the top-five assets (ASR- AIF. 82). Equity AIFs have
around 20% of their long-position assets invested in their five
largest positions. When not considering outliers (i. e. a limited
number of funds heavily exposed to unspecified derivatives), the
typical fixed income AIFs appear rather diversified, with the top
five positions representing 8% of total AuM. Mixed funds and
unidentified ‘other-other’ AIFs show instead a higher degree of asset
concentration, implying that the returns of these AIFs depend on the
performance of a small number of key assets.
For all
strategies, the highest ranked asset accounts for half of the main
instruments in which AIFs are trading.
12 For example,
managers investing in debt securities could use derivatives to adjust
exposures to interest rate, credit, and currency risk
060012001800CommodityEquityFixedincomeInfra-structureOtherfund
Bonds Equities Hedge Mixed Other Real estate Not mappedNote:NAVofEUAIF
sclassifiedasOtherunderAIFMDmappedintotheECBinvestmentpolicyclassifica
tion,endof2019,EURbn.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA,ECB.
652186423270255075Com-modityEquityFixedincomeInfra-
structureMixedOtherfunds Rank 1 Rank 2 Rank 3 Rank 4
Rank5Note:PorfolioconcentrationofEUAIF,endof2019,in%ofAuM. Portfolioco
ncentrationcomputedasthevalueoftop5instrumentstradedwithrespecttoAuM.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
34
ASR-AIF. 83 Main traded instruments
Instruments (%)
Commodity
Infra- structure
Cash
Equities
Corporate bonds
Sovereign bonds
Convertible bonds
Loans
Structured products
CDS & equity derivatives
IRDs and FX
Commodity and other
derivatives
Real assets
MMFs
ETFs
Other CIUs
Other assets
Total
Instruments (%)
Cash
Equities
Corporate bonds
Sovereign bonds
Convertible bonds
Loans
Structured products
CDS & equity derivatives
IRDs and FX
Commodity and other
derivatives
Real assets
MMFs
ETFs
Other CIUs
Other assets
Total
44. 4
0. 0
0. 1
1. 5
0. 0
0. 1
0. 0
0. 3
16. 5
1. 3
0. 4
0. 0
0. 2
0. 0
64. 9
1. 2
23. 0
1. 8
0. 0
1. 2
10. 3
0. 1
1. 0
0. 0
11. 7
0. 3
0. 0
10. 4
2. 9
63. 9
Equity
0.
6
11. 0
0. 0
0. 5
0. 0
0.
1
0. 0
3. 7
2. 2
0. 2
0.
0
0. 1
0. 4
2. 0
0. 2
21.
1
Fixed income
Mixed
‘other- Other’
0. 5
0. 2
0. 4
1. 5
0. 0
0. 2
0. 2
0. 8
2. 2
0. 6
0. 0
0. 2
0. 0
1. 1
0. 0
7. 9
1. 6
1. 2
1. 1
1. 8
0. 0
0. 7
0. 4
4. 0
4. 1
0. 5
0. 3
0. 1
0. 7
6. 1
0. 2
1. 2
3. 1
0. 5
6. 3
0. 0
1. 8
0. 7
2. 4
5. 2
0. 6
0. 2
0. 7
0. 4
2. 8
1. 0
22. 7
26. 8
Note: Main traded
instruments, end of 2019, % of total exposures. Sources: AIFMD
database, National Competent Authorities, ESMA.
Distribution:
Like most types of AIF, ‘‘other AIFs’’ have access to the EU passport
to a large extent, with 90% (+10pp) able to be sold throughout the
EU (ASR-AIF. 90).
‘Other AIF’ investors: ‘other AIFs’ are sold
mainly to professional investors (88%, +2pp), although retail
investor presence is higher for the residual category (‘other-
other’), accounting for 19% of the NAV (ASR-AIF. 84). Overall, retail
13 Pension funds in Netherlands hold the majority of the NAV
of AIFs, typically investing in equity and fixed income AIFs,
partially explaining the higher proportion of pension funds in ‘other
AIFs’ at European level. A large share of
clients participate
in ‘other AIFs’ for EUR 480bn.
Among professional investors,
pension funds and insurance companies are the main investors,
accounting for 31% and 21% of the NAV respectively. However, large
differences by strategy with insurances holding one-third of fixed
income AIFs’ NAV and pension funds highly exposed also to equity and
infrastructure funds (ASR-AIF. 90). The high proportion of pension
funds might be partly explained by country-specific factors. 13
there
are
ASR-AIF. 84 AIF investors
Predominantly professional investors
Geographical investment
focus: ‘other AIFs’ are primarily exposed to securities issued in the
EEA (57%), with a significant geo-focus also on North America (19%)
and Asia (8%) (ASR- AIF. 92).
Leverage and liquidity risks
Gross exposures: AIF gross exposures are in line with the
strategy used (ASR-AIF. 85). Equity and fixed-income AIFs are exposed
mainly to securities (listed equities for equity AIFs and mainly
sovereign and investment grade corporate bonds for fixed income
AIFs). Infrastructure AIFs have significant exposures to physical
assets, and commodity AIFs have significant exposures to other
derivatives, which include commodity derivatives. As indicated above,
the residual category is more diversified, reflecting a variety of
strategies pursued by the AIFMs.
(‘other-other’)
German ‘Spezialfonds’ are also classified in this category.
For a detail discussion see ESMA (2020b).
0%50%100%OtherInfrastructureFixed incomeEquityCommodity Retail
investors Professional investorsNote:ClientsofAIFsclassifiedasOtherAIF
smanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregis
teredonlyinnationaljurisdictions,endof2019,in%ofNAV.
Datafor27EEAcountries.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
35
ASR-AIF. 85 Gross exposures Mostly
securities
reduces significantly already within one week
(ASR-AIF. 87).
ASR-AIF. 87 Liquidity profile Some liquidity
mismatch
The majority of AIFs in the broad ‘other’ category
that offer to investors the possibility to redeem on a daily basis do
not require any notice period (37% of the NAV). A similar proportion
of funds allowing daily redemptions require a notice period ranging
from 1 to 7 days. Overall, around 40% by NAV of require any
redemption notice to investors. (ASR-AIF. 88).
‘other-AIFs’ do
not
ASR-AIF. 88 Redemption frequency and notice period
period
Redemption Frequency
Daily Weekly to Monthly
Quarterly Longer than quarterly Other
0 days
37. 2
3. 3
0. 2
1 day
20. 8
2. 4
0. 5
0. 1
2-7 days
15. 2
8-30 days
0. 7
>30 days
0. 2
2
13. 2
0. 2
0. 4
0. 1
1. 3
0. 9
0. 3
Total
74. 2
22. 2
2. 3
0. 5
Total
0. 2
24
0. 3 41
0. 9 100
Note: AIFs classified as
‘other’ by redemption frequency and notice period given to investors,
in % of NAV, end of 2019.
Source: AIFMD database, National
Competent Authorities, ESMA.
0. 2 14. 6
0. 1 17.
6
0. 1 2. 8
cash
Some types of ‘other AIFs’
report high levels of unencumbered for commodity funds cash
accounts for 25% of the NAV (-17pp). Such a high level of cash is in
line with the reliance on commodity derivatives for this type of
AIF.
(ASR-AIF. 89):
Leverage: ‘Other AIFs’ display
limited use of leverage: regulatory AuM to NAV is 156% on aggregate
as their exposures to derivatives is overall limited (ASR-AIF. 92)
and is accompanied by a limited use of financial leverage (around 5%
of the NAV).
risk: Open-ended
Liquidity ‘other AIFs’
represent around 75% of the NAV of this segment, with the exception
of infrastructure funds that have instead mostly a closed structure.
Open-ended AIFs offer mainly daily liquidity to investors
(75%) or weekly and monthly liquidity (22%; ASR-AIF. 86).
ASR-AIF. 86 Redemption frequency Mainly daily to monthly
frequency
At the aggregate level, the liquidity profile of
‘other AIFs’ indicates that within one week, investors can redeem up
to 65% of the NAV, whereas 76% of the assets can be liquidated
within this time frame. The liquidity shortage of those funds with a
liquidity deficit is 20% of the NAV in the very short term (within 1
day) and it
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Securities CIUs Physical assets IRDs FX CDS Other
derivativesNote:ShareofexposuresbyinvestmentstrategiesofAIFsclassified
asOther,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Daily Weeklyto monthly Quarterly Quarterlyto
yearly OtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFscla
ssifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%of
NAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
-25-20-15-10-501 day orless2-7d8-30d31-90d91-180d181-365d
Liquidity
shortageNote:LiquidityshortgageofAIFsclassifiedasOther,%ofNAV. Liquidi
tyshortageisdefinedasthesumofliquiditydeficitsatthelevelofthefunds,asn
oncompensatedbyliquiditysurplus.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
36
ASR-AIF. 89 Unencumbered cash Sizeable
buffers for commodity funds
0%5%10%15%20%25%30%CommodityEquityFixedincomeInfra-
structureOtherfunds Unencumbered cashNote:UnencumberedcashheldbyAIFscl
assifiedasOther,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
37
ASR-AIF. 90 EU passport Most ‘other AIFs’ can be
passported
ASR-AIF. 91
‘other AIFs’ investors
types
Mainly pension funds
ASR-AIF. 93 Leverage
Limited use of leverage
ASR-AIF. 95 Financial leverage
Reliance on repos
ASR-AIF. 92 Regional investment
focus Mostly EEA
ASR-AIF. 94 Redemption rights Mostly
open-ended
EU passport90%EU w/o passport6%Non-EU w/o
passport1%Non-EU not marketed in EU3%Note:NAVofAIFsclassifiedasOtherby
manager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridis
dictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%OtherInfrastructureFixed
incomeEquityCommodity Banks General gov. Households Insurances Non-
profit None Oth. CIUs Oth. fin. institutions Pension funds UnknownNote
:OwnershipofunitsinAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyaut
horisedEUAIFMs,endof2019,in%ofNAV.
CIUs=Collectiveinvestmentundertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia8%EEA58%Other Europe6%North America18%Supra National7%Rest
3%Note:RegionalinvestmentfocusofEUAIFsclassifiedasOthermanagedand/orma
rketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnatio
naljurisdictions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothe
domicileofinvestmentsandthesupranationalcategoryincludinginvestmentswi
thoutapredominantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%CommodityEquityFixedincomeInfra-
structureOtherfunds Leverage (AuM/NAV)Note:LeverageofAIFsclassifiedasO
thermanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersre
gisteredonlyinnationaljurisdictions,endof2019,in%ofNAV.
LeveragecomputedasAuM/NAVratio. Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Open-end Closed-endNote:Redemptionrightsprovidedin
theordinarycoursetoinvestorsinAIFsclassifiedasOthermanagedand/ormarket
edbyauthorisedEUAIFMs,endof2019,in%ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%5%10%15%CommodityEquityFixedincomeInfra-structureOther
Unsecured borrowing Secured via PB Reverse repo Secured via other
Short position borrowing sec. Note:CashandsecuritiesborrowedbyAIFsclas
sifiedasOther,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
38
Non-EU AIFs (NPPR)
EU Member States can
allow non-EU asset managers to market alternative funds at national
level under the National Private Placement Regime (NPPR), even though
such funds cannot subsequently be passported on to other EU Members
States. The market for such non-EU funds is comparatively large: The
NAV of non-EU AIFs marketed under NPPRs’ rules amounts to EUR 2. 1tn,
i. e. more than one-fifth of the AIF market. NPPR fund marketing is
concentrated in a small number of Member States, and 98% of investors
are professional investors. Hedge funds marketed under the NPPR are
predominantly domiciled in the Cayman Islands, ‘other AIFs’ marketed
under the NPPR are predominantly US-based exchange-traded funds
(ETFs). Overall, risk profiles for NPPR funds are comparable to EU
AIFs.
However, the geographical investment focus is different
as NPPR funds invest predominantly in non- EU areas
ASR-AIF.
97 NPPR market by country Non-EU AIF markets across jurisdictions
In terms of NAV, the NPPR segment is dominated by US ETFs
(mostly equity) that are classified as ‘other AIFs’ (ASR-AIF. 98).
When considering the total exposure, the top 20 AIFs marketed under
NPPR account for almost 75% of the regulatory AuM. Out of the top 20
AIFs, 15 are off-shore HFs all domiciled in the Cayman and Virgin
Islands and marketed in UK (ASR-AIF. 98).
AIFs marketed under
the NPPR: market size and structure
AIF size: At a minimum
estimated EUR 2. 1tn NAV, the NPPR market is equivalent to more than
one-fifth of the EU AIF market.
ASR-AIF. 96 ART. 42 AIFMD
Non-EU AIFMs under National Private Placement
The NPPR is a
mechanism to allow non-EU managers to market investment funds that
are not allowed to be marketed under the AIFMD domestic marketing or
passporting regimes.
This principally relates to the marketing
of non-EU AIFs by non-EU AIFMs. NPPRs are not a form of cross-border
distributions and NPPRs’ rules vary significantly across
jurisdictions. Non-EU AIFMs are subject to reporting under the AIFMD
in each jurisdiction in which they are authorised to market their
products. Because under the NPPR rules the same AIFs can be marketed
under different jurisdictions, the full assessment of the non-EU AIF
market in terms of size, composition and risks for financial
stability depends on the possibility of uniquely identifying AIFs.
International identifiers (i. e. , Legal Entity Identifiers (LEIs) or
International Securities Identification Numbers (ISINs)) are used to
analyse this segment of the AIF industry to avoid overestimating
market shares for funds reporting in different countries.
AIF
domicile and EU jurisdictions: According to data reported by
National Competent Authorities, non-EU AIFs are marketed in 12 EU
member states. A total of 911 non-EU AIFs marketed under the NPPR can
be uniquely identified. 14 The total regulatory AuM of these
uniquely identified AIFs reach EUR 11. 7tn for the NPPR market. The
difference between the regulatory AuM and the NAV is owing to the
large exposure of off-shore HFs to IRDs. In terms of cross-country
distribution, the AIF industry is concentrated in four countries,
with UK as the largest hub of non-EU AIFs (ASR-AIF. 97).
14
Around 1,500 AIFs marketed under NPPR in different EU jurisdictions
cannot be uniquely identified owing to the lack of international
identifiers.
05001,0001,5002,0002,500UKLUFIIEDENOOther FoF HF
PE RE Other NoneNote:NAVbyauthorisingEUcountryofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
ASR-AIF. 98 Domicile of AIFs marketed under NPPR (Article
42) Large presence of US AIFs and off-shore HFs
39
limited exposure, amounting to 8% of NAV (ASR- AIF. 106).
ASR-AIF. 100 Investor concentration Less concentrated then
EU AIFs
The AIF market regulated by Article 42 of the AIFMD
appears extremely concentrated: 7% of NPPR AIFs have a NAV higher
than EUR 5bn — these funds represent 70% of the NPPR NAV.
Non-EU AIF investors: RE funds and FoFs marketed under the
NPPR by non-EU AIFMs see a retail participation of, respectively, 12%
and 16% (ASR-AIF. 99). Overall non-EU AIFs sold by non-EU AIFMs are
owned almost entirely to professional investors (98%).
ASR-
AIF. 99 AIF investors Predominantly professional investors
Geographical investment focus: Non-EU funds appear not to be
focused on EU assets. Their investments are domiciled mostly in
North America (66%) and Asia (15%) (ASR-AIF. 108).
This
result is driven by the high number of US domiciled ETFs identified
through their ISINs.
Leverage and liquidity risks
Gross exposures: The asset exposure of non- EU AIFs is similar
to that of EU-domiciled funds with RE funds exposed to physical
assets, FoFs investing in collective investment schemes and hedge
funds heavily exposed to interest rate derivatives (ASR-AIF. 108).
Leverage: With the exception of HFs, non-EU funds make
limited use of leverage. Regulatory AuM to NAV is 147% on aggregate
when excluding HFs, as the exposures to derivatives are limited.
When the effect of IRDs is netted, HFs pass from a level of leverage
of 2,800% to 660% (ASR-AIF. 101). The ratio of regulatory AuM to NAV
reaches 3,320% for HFs domiciled offshore Islands, Bahamas,
Bermuda). 15
Islands, Virgin
(Cayman
On
average, the top-5 holders of US ETFs, FoFs and RE funds shares
account for around 60% of the NAV (ASR-AIF. 100) Only HFs display a
more concentrated ownership (above 80% NAV). A large proportion of
NPPR investors cannot be identified (25% of the NAV). Banks, pension
funds and insurance companies have only a
15 This includes
230 HFs uniquely identified.
-1200%100%1400%2700%4000%01,0002,0003,0004,000USKYGGVIJPSG FoF
HF PE RE Other None Leverage
(rhs)Note:NAVbydomicileofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedge fundPrivate equityReal estateOther
AIFTotal NPPR Retail investors Professional
investorsNote:ClientsofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
FoF=FundofFunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedgefundPrivateequityReal estateOther AIF
Top 5 beneficial investors Median
AverageNote:InvestorconcentrationofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV. Invest
orconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5larges
tinvestors. FoF=Fundoffunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds
2021
ASR-AIF. 101 Leverage Limited except for hedge funds
40
The vast majority offer daily or weekly liquidity
to their investors. In the case of US ETFs, 95% of their NAV is
redeemable on a daily basis (ASR- AIF. 107). At the aggregate level,
the liquidity profile of non-EU AIFs points to potential liquidity
risk at the short end: within a day, investors can redeem up to 75%
of the NAV, whereas only 32% of the assets can be liquidated within
this time frame. The liquidity gap reduces within the one- month
bucket (ASR-AIF. 103).
ASR-AIF. 103 Liquidity profile
Moderate liquidity mismatch
Non-EU HFs borrowings stand at
150% of their NAV (ASR-AIF. 102). Whereas EU HFs increase their
financial leverage by engaging in repo trades, non-EU HFs borrow
comparatively more from their prime broker (42% of NAV). Non-EU RE
funds also use financial leverage extensively but, in contrast to EU
RE funds, most of the borrowing is unsecured (33% of NAV).
ASR-AIF. 102 Financial leverage Sizeable secured borrowing
by HFs
special
As for EU AIFs, the assessed
proportion of NAV covered by LMTs and liquidity arrangements is
negligible. This result could also reflect the limited coverage of
LMTs as reported by non-EU AIFMs. However, 50% of the analysed non-
EU AIFs adopt and report contractual liquidity arrangements. The
notice period for investors varies substantially across fund types,
depending on the underlying assets. Contractual arrangements like a
notice period for redeeming are common across non-EU hedge funds
(90%). Non-EU PE and RE funds require on average more than four
months’ notice from investors to redeem their fund shares. The notice
periods for HFs and AIFs classified ‘other’ category (including US
ETFs) is, respectively, of one month and two weeks.
the
relative
illiquidity of
residual
the
in
Liquidity risk: In absolute terms, 55% of non-EU
AIFs uniquely identified are open-ended. Around 85% of NAV of AIFs
regulated by art. 42 AIFMD is held by open-ended funds, with
variation across fund types.
0%1200%2400%3600%0%200%400%600%8
00%FoFHedgefundPrivateequityRealestateOther AIF Adjusted gross
leverage AuM/NAV
(rhs)Note:AdjustedgrossleverageofAIFsAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AdjustedgrossleveragedoesnotincludeIRDs.
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0%40%80%120%160%FoFHedgefundPrivateequityReal estateOther AIF
Short position borrowing sec. Secured via other Reverse repo Secured
via PB Unsecured
borrowingNote:Cashandsecuritiesborrowed,endof2019,in%ofNAV.
marketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. FoF=FundsofFunds,None=NopredominanttypeSources:AIFMDdatabse,N
ationalCompetentAuthorities,ESMA.
75%80%84%87%88%100%32%87%90%91%92%-25%0%25%50%75%100%1 d
orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:
PortfolioandinvestorsliquidityprofilesofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
41
ASR-AIF. 105 Size distribution Large funds
dominating the segment
ASR-AIF. 104 NPPR strategies US ETFs
dominant in terms of NAV
ASR-AIF. 106 NPPR investors types
Large proportion of ownership unidentified
ASR-AIF. 107
Redemption frequency
Mainly weekly to monthly frequency
ASR-AIF. 109 Exposures Use of derivatives limited to HFs
ASR-AIF. 108 Regional investment focus Mostly North America
Commercial real estate4%Equity fund55%Event driven2%Fixed
income11%HF Equity4%Remaining
strategies24%Note:InvestmentstrategiesofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bn NAV Number of
AIFsNote:ShareofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD)bysize,endof2019. In%.
AIFsidentifiedviainternationalstandardidentifiers(LEI,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%OtherREPEHFFoFTotal Banks General gov.
Households Insurances Non-profit None Oth. CIU Oth. fin. institutions
Pension funds UnknownNote:OwnershipofunitsinAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Fo
F=FundofFunds;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedgefundPrivateequityReal estateOther AIF
Daily Weeklyto monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-
endAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
FoF=FundofFunds,None=NoPredominantType.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia15%EEA12%North America66%Other Europe2%Rest4%Supra
National1%Note:RegionalinvestmentfocusofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. Geo-focusdeterminedaccordingtothedomicileofinvestments,supran
ationalcategoryincludinginvestmentswithoutpredominantgeo-focus.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIF
Securities CIUs Physical assets IRDs FX CDS Other
derivativesNote:ShareofgrossexposuresbyAIFtype,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
42
References European Central Bank, (2017), “Manual
on investment fund statistics”, December.
European Securities
and Markets Authority, (2020a), “Letter to the European Commission on
the Review of the Alternative Investment Fund Managers Directive”,
August.
European Securities and Markets Authority, (2020b),
“Annual Statistical Report on EU Alternatives Investment Funds”,
March.
Invest Europe, (2020), “Investing in Europe: private
Equity Activity 2019”.
ESMA Annual Statistical Report on EU
Alternative Investment Funds 2021
43
Statistical
methods
ESMA Annual Statistical Report on EU Alternative
Investment Funds 2021
44
AIFMD data quality
improvement – an overview
High-quality data is key for
identifying and assessing risks to investors and financial stability
in the EU and support risk-based supervision and regulatory
activities. National Competent Authorities (NCAs) and ESMA have been
working closely to promote the usability and quality of the AIFMD data
and other reporting regimes, given the cross-border implications of
the financial sector16. The current article presents the main
initiatives that aim at improving AIFMD data quality and provides an
outlook of future work.
Introduction
Approaches to
data quality improvement can be broadly classified depending on when
they are implemented. Ex-ante approaches seek to improve the data
before transmission, while ex- post approaches aim at improving the
data after it has been transmitted and preliminary accepted by
supervisors.
that
reduce
The ex-ante
approach is composed by all elements the possibility of
transmission of low-quality data, including those that apply
divergent definitions. This is achieved through the publication of
Guidelines, Q&As; and through IT technical guidance and schema
validations17 as well as other actions that help clarifying the
expected content.
This is completed by ex-post monitoring of
quality of the reported data and reacting through the request of
corrections to be performed by reporting entities, as detailed
further below.
In addition, as part of the AIFMD review by the
European Commission, ESMA highlighted areas for improvement of the
reporting framework.
These areas are described in the last
part of this section.
reporting, remedial actions.
including
the
implementation of
ESMA and the NCAs carry out a series of data quality tests on
the available data, followed by supervisory reaction and monitor
final correction by reporting entities when needed. The scope of
those data quality tests considered both the priorities of the users
of this data and the feasibility to perform those tests and to react
to the observed quality shortcomings.
the
Under the
data quality action, new data quality tests were applied on the top
of the IT data validations. Data quality is a multi-dimensional
concept and the performed tests are categorised according to the
targeted dimension (see Table ASR-AIF. 110).
ASR-AIF. 110
Data quality dimensions
Completeness
Accuracy
existence of non-null values
assigned to specific
data
degree with which data correctly represent reality
elements
Data quality
Consistency
Timeliness
data values in one data set
time
expectation for
being consistent with
accessibility
and availability
values in another data set
of
information
The monitoring and corrective actions
The data quality monitoring is performed both at national
level and through a data quality action plan coordinated among NCAs
through ESMA’s Data Standing Committee. This committee promotes a
convergent approach to data
The tests focused on the
completeness and timeliness of the reported data on entities; the
provision of key identifiers as LEI on AIFs and AIFMs; plausibility
analysis on key values as AuM, NAV and leverage metrics; and
consistency of the information on values of main instruments as well
as other information on funds (e. g. reported liquidity).
the
16 See ESMA 2020 Annual Work Programme, section 4. 2. 6, for
further details.
17 These documents are available at
https://www. esma. europa. eu/policy-activities/fund-management/fund-
management-
reporting.
ESMA Annual Statistical Report
on EU Alternative Investment Funds 2021
45
This
data correction cycle is summarised in the graph below (see ASR-AIF.
111). The process starts with tests that could reveal an impossible
value (i. e. an undisputed reporting error) or implausible value (e.
g. an outlier that is likely to be erroneous, but which might
constitute a correct value), or a correct value. The NCA follows up
with the reporting entities asking to correct the data or inform on a
possible false positive (i. e. a correct value classified as
erroneous). The process is repeated during the year to monitor the
effective correction of the data. In areas where a significant number
of warnings were generated, the national competent authorities might
adopt a risk-based approach in addressing those cases by prioritising
the entities with a higher impact.
ASR-AIF. 111 Data
correction cycle
a slightly more plausible distribution of
leverage data.
Despite these data quality improvements, it is
important to notice that for the production of this ASR, ESMA staff
still executes its own data quality review and performs specific
statistical remedial actions to further ensure its quality (e. g.
remove outliers, review aggregated results with the NCAs and
avoid analyses that could be most affected by known issues).
AIFMD review: ESMA proposed priorities to improve reporting
The previous data quality activities monitor compliance
within the obligations foreseen in the current Directive and
Delegated Regulation.
Therefore, they do not include
shortcomings in the usability of the data that are related to the
lack of data not requested by the current reporting rules, both in
terms of granularity, frequency, completeness or the use of
identifiers as ISINs.
is
LEI
the LEI
reporting
funds by making
To address those
issues and increase the usability and the quality of the AIFMD data,
ESMA submitted several proposals18 to the European Commission for the
AIFMD review on data items. An important proposal aims to improve
the identification of the managers and their reporting mandatory.
Besides transparency and better risk assessments, directly
contributing to the improvement of the quality of financial data. The
quest for higher transparency is further supported by the proposal to
include in the ESMA public register information on AIFMs and AIFs
for all reporting regimes instead of only the authorised AIFMs and
their AIFs as it is currently. Moreover, ESMA proposed to support
the request of more granular information and ask for having detailed
the composition of assets (at ISIN level) and liabilities of the
fund. In all those proposals to the European Commission, ESMA has
made a conscious effort to ensure consistency with other reporting
regimes to which AIFMs might be subject to reduce overall reporting
costs.
information on
In addition to the commonly
agreed activities, several NCAs have drafted additional guidance or
organised information meetings with the fund managers to clarify the
reporting expectations.
Moreover, some NCAs plan implement
selected data quality checks as validation rules – hence pre-
emptively issues and avoiding that errors enter in the AIFMD
database.
identifying
to
The implementation
of the above data quality actions during 2020 improved the AIFMD
quality of data especially on completeness. For example, the manager
LEI completeness in the AIFMD system almost doubled from 26% to 48%
and increased funds.
improvements Furthermore, we
regarding accuracy and consistency, for example
from 50%
to 63%
observe
for
18 ESMA
proposed changes to AIFMD regarding the
reporting regime and
data use (Annex II) are available at:
https://www. esma.
europa. eu/sites/default/files/library/es
ma34-32-551_esma_letter_on_aifmd_review. pdf
ESMA Annual
Statistical Report on EU Alternative Investment Funds 2021
46
Statistics
ESMA Annual Statistical Report
on EU Alternative Investment Funds 2021
47
Market
overview
AIF characteristics
ASR-AIF-S. 1 AIFMD
passport
ASR-AIF-S. 2
EU and non-EU AIFs
ASR-
AIF-S. 4
AIF types
Investment regions
ASR-
AIF-S. 6
ASR-AIF-S. 3 AIF distribution by size
ASR-
AIF-S. 5 AIF strategies
EU passport76%EU w/o passport17%Non-
EU w/o passport3%Non-EU not marketed in EU
4%Note:NAVofAIFsbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridis
dictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedgefundPrivateequityRealestateOtherNone EU
Non-EUNote:ShareofEUandnon-
EUAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagers
registeredonlyinnationaljurisdictions,endof2019,in%onNAV. Non-
EUAIFsmarketedw/opassport. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.
0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bn NAV Number of
AIFsNote:ShareofAIFsbysize,endof2019,in%.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
FoF15%Hedge fund5%Private equity7%Real estate12%Other60%None1%
Note:NAVbytypeofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Commercial RE8%Equity18%Fixed income 24%Other FoF11%Other
PE3%Other RE2%Other-other17%All remaining strategies17%Note:Investment
strategyofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-threshold
managersregisteredonlyinnationaljurisdictions,endof2019,in%ofNAV.
FoF=Fundoffunds,PE=Privateequityfunds,RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia7%EEA59%North America17%Other Europe6%Rest3%Supra National
8%Note:RegionalinvestmentfocusofAIFsmanagedand/ormarketedbyauthorisedE
UAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,en
dof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileofinvestmen
ts,supranationalcategoryincludinginvestmentswithoutpredominantgeo-
focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
48
ASR-AIF-S. 7 Base currencies
ASR-AIF-S.
8
Clients
ASR-AIF-S. 10
Top 5 beneficial
owners
ASR-AIF-S. 12
HFs: Liquidity
profile
Liquidity and counterparty risk profile
ASR-
AIF-S. 9 Ownership of AIF
ASR-AIF-S. 11 FoFs: Liquidity
profile
0%20%40%60%80%CZKNO…PLNJPYSEKUSDGBPEURNote:Basecurren
cymanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregi
steredonlyinnationaljurisdictions,endof2019,in%ofNAV.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%FoFHedge fundPrivate equityReal estateOther
AIFTotal EU Retail investors Professional investorsNote:ClientsofAIFsm
anagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregiste
redonlyinnationaljurisdictions,endof2019,in%ofNAV. FoF=Fundoffunds.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge
fundFoFTotal EU Banks General gov. Households Insurances Non-profit
None Oth. CIU Oth. fin. institutions Pension funds UnknownNote:Ownersh
ipofunitsinAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%o
fNAV. FoF=Fundoffunds;None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedge fundPrivateequityReal estateOtherAIF
EU passport EU w/o passport Non-EU w/o passportNote:Investorconcentrat
ionofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5
largestinvestors. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
14%26%60%82%90%100% 4%34%38%86%98%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorliquidityprofilesofhedgefundsmanagedand/ormarkete
dbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercenta
geofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,i
nvestorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
49
ASR-AIF-S. 13 PE funds: Liquidity profile
ASR-AIF-S. 14
RE funds: Liquidity profile
ASR-
AIF-S. 15 Funds classified as ‘Other’: Liquidity profile
ASR-AIF-S. 17 Redemption rights to investors
Liquidity financing
ASR-AIF-S. 16
Liquidity
financing
ASR-AIF-S.
18
0%0%1%2%5%100%1%2%0%25%50%75%100%1 day orless2-7 d8-30
d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinv
estorliquidityprofilesofprivateequityfundsmanagedand/ormarketedbyautho
risedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofthef
unds’assetscapableofbeingliquidatedwithineachspecifiedperiod,investorl
iquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
8%14%17%22%30%42%100% 2%6%15%25%0%25%50%75%100%1 day orless2-7
d8-30 d31-90 d91-180 d181-365d> 365 d Investor 2019 Portfolio 2019Note
:Portfolioandinvestorliquidityprofilesofrealestatefundsmanagedand/orma
rketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedastheper
centageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedper
iod,investorliquiditydefinedastheshortestperiodforwhichinvestorscanred
eem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
34%66%74%80%83%100%34%80%90%91%92%93%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:PortfolioandinvestorliquidityprofilesofAIFsclassifiedasOthermanagedan
d/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedas
thepercentageofthefunds’assetscapableofbeingliquidatedwithineachspecif
iedperiod,investorliquiditydefinedastheshortestperiodforwhichinvestors
canredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%
50%75%100%TotalEUFoFHedgefundPrivateequityRealestateOtherAIFNone Daily
Weeklyto monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-
endAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=FundofFunds,None=NoPredominantType. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Total
EUFoFHedgefundPrivateequityRealestateOtherAIFNone Open-end Closed-endN
ote:RedemptionrightsprovidedintheordinarycoursetoinvestorsinAIFsmanage
dand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
6%53%56%59%100%18%72%100%
2%9%22%100%58%100%0%100%0%25%50%75%100%1 day2-7 d8-30 d31-90
d91-180d181-365d> 365 d FoF Hedge fund Other AIF None Real estateNote:
LiquidityfinancingofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof
2019. Aggregateamountofborrowingandcashfinancingdivideddependingonlong
estperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinanc
ing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncomm
ittedlinesofcreditaswellasanytermfinancing.
FoF=Fundoffunds,None=NoPredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
50
ASR-AIF-S. 19 Securities trading
ASR-
AIF-S. 20
Derivatives trading
ASR-AIF-S. 21 Repo trades
clearing
ASR-AIF-S. 22
Derivative transactions
clearing
Leverage and exposure
ASR-AIF-S. 23 Adjusted
gross leverage
Leverage and unleveraged AIFs
ASR-
AIF-S. 24
0%20%40%60%80%100%NoneOther AIFReal estatePrivate
equityHedge fundFoFTot. EU Regulated market OTCNote:Estimatedmarketval
ueofsecuritiestradedonOTCandregulatedexchangemarketsbyAIFsmanagedand/o
rmarketedbyauthorisedEUAIFMs,in%.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge
fundFoFTot. EU Regulated market OTCNote:Estimatedvolumeofderivativestr
adedonOTCandregulatedmarketbyAIFsmanagedand/ormarketedbyauthorisedEUAI
FMs,in%. FoF=Fundoffunds,None=Nopredominanttype.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge
fundFoFTot. EU CCP Tri-party BilateralNote:Estimatedmarketvalueofrepot
radesclearedbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%FoF=Fund
offunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge
fundFoFTot. EU CCP BilateralNote:Estimatedvolumeofderivativesclearedbi
laterallyandviaCCPbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%120
0%2400%3600%4800%6000%7200%0%200%400%600%800%FoFHedgefundPrivateequity
RealestateOtherAIFNone Adjusted gross leverage AuM/NAV (rhs)Note:Adjus
tedgrossleverageofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof20
19,in%ofNAV. AdjustedgrossleveragedoesnotincludeIRDs.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0100020003000FoFHedge fundPrivateequityRealestateOther AIF
Leveraged AIFs Unleveraged AIFsNote:LeveragedandunleveragedAIFsmanaged
and/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonl
yinnationaljurisdictions,endof2019,EURbn. Leveragedfundsidentifiedusin
gtheAIFreportingcodeasspecifiedinAnnex2ofESMAguidelinesonAIFMDreportin
gobligations. FoF=Fundoffunds. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
51
ASR-AIF-S. 25 Borrowing embedded in financial
instruments
ASR-AIF-S. 26
Unencumbered
cash
ASR-AIF-S. 27 Financial leverage
ASR-AIF-S.
28
Decomposition of exposures
ASR-AIF-S. 29 Total
exposures
ASR-AIF-S. 30
Corporate bond quality
0%25%50%75%100%FoFHedgefundPrivateequityRealestateOtherAIFNone
Exchange-traded derivatives OTC derivatives Cash and securitiesNote:Bo
rrowingofcashandsecuritiesorembeddedinderivatives,endof2019,in%oftotal
exposure. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
OTCandexchange-tradedderiativesnetofmargins.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%8%1
6%24%32%40%TotalEUFoFHedgefundPrivateequityRealestateOtherAIFNone
Unencumbered cashNote:Unencumberedcash,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%UnsecuredborrowingSecuredvia
PBReverserepoSecuredvia otherShortpositionborrowingsec. FoF Hedge
fund Private equity Real estate Other
AIFNote:Cashandsecuritiesborrowed,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport. FoF=F
undsofFunds,None=NopredominanttypeFoF=FundsofFunds,Sources:AIFMDdatabs
e,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%TotalEUFoF
HedgefundPrivateequityRealestateOtherAIFNone Securities CIUs Physical
assets IRDs FX CDS Other
derivativesNote:ShareofgrossexposuresbyAIFtype,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
081624321Q192Q193Q194Q19 FoF Hedge fund Private equity Real
estate Other AIF NoneNote:ExposuresofAIFsmanagedand/ormarketedbyauthor
isedEUAIFMs,fundsquarterlyreported,EURtn. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundoffunds,None=Nopredominanttype. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%1Q192Q193Q194Q19 Non-IG corp bonds by non-
fin IG corp bonds by non-fin inst Corp bonds nonIG by fin Corp bonds
IG by fin
instNote:Corporatebondsexposure,fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
52
ASR-AIF-S. 31 Cash and cash equivalents
ASR-AIF-S. 32
Cash and cash equivalents by AIF
type
ASR-AIF-S. 34
Equities by AIF type
ASR-
AIF-S. 36
Sovereign bonds by AIF type
ASR-AIF-S. 33
Equities
ASR-AIF-S. 35 Sovereign bonds
0%5%10%15%20%1Q192Q193Q194Q19Hundreds Certificates of deposit
Commercial papers Other cash equivalent Other depositsNote:Cashandcash
equivalentsexposure,fundsreportedquarterly,in%ofNAV.
Governmentbondsexcludedfromothercashequivalents.
Datafor27EEAcountries.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
0%60%120%180%1Q192Q193Q194Q19Hundreds FoF Hedge fund Private
equity Real estate Other AIFsNote:CashandcashequivalentsexposurebyAIFt
ype,fundsquarterlyreported,in%ofNAV. Datafor27EEAcountries.
FoF=Fundsoffunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%5%10%15%20%25%30%1Q192Q193Q194Q19Hundreds Listed financial
inst. Other listed
UnlistedNote:Exposuretoequities,fundsquarterlyreported,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%1Q192Q193Q194Q19Hundreds FoF Hedge fund Private
equity Real estate Other
AIFsNote:EquitiesexposurebyAIFtype,fundsquarterlyreported,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
FoF=FundsofFunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%7%14%21%28%1Q192Q193Q194Q19Hundreds EU Sov >1Y TM EU Sov up
1Y TM G10 Sov >1Y TM G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10 Sov
up 1Y TMNote:Sovereignbondsexposure,fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%50%100%150%200%250%1Q192Q193Q194Q19Hundreds FoF Hedge fund
Private equity Real estate Other AIFsNote:SovereignbondsexposurebyAIFt
ype,fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. FoF=FundsofFunds.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
53
ASR-AIF-S. 37 CIUs
ASR-AIF-S.
38
CIUs by AIF type
ASR-AIF-S. 39 Structured products
ASR-AIF-S. 40
Structured products by AIF
type
0%7%14%21%28%1Q192Q193Q194Q19Hundreds CIUs by the AIFM
CIUs by others ETF by the AIFM ETF by others MMFs by the AIFM MMFs by
othersNote:Collectiveinvestmentundertakingsexposure,fundsreportedquate
rly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%1Q192Q193Q194Q19Hundreds FoF Hedge fund Private
equity Real estate Other AIFsNote:Collectiveinvestmentundertakingsexpo
surebyAIFtype,fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. FoF=FundsofFunds.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0.
0%0. 6%1. 2%1. 8%2. 4%3. 0%1Q192Q193Q194Q19Hundreds ABCP ABS Agency
MBS CDO/CLO CMBS ETP Other RMBS Structured certificateNote:Structuredp
roductsexposure,fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%2%4%6%8%10%1Q192Q193Q194Q19Hundreds FoF Hedge fund Private
equity Real estate Other AIFsNote:StructuredproductsexposurebyAIFtype,
fundsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. FoF=Fundsoffunds.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
54
Funds of Funds
AIF characteristics
ASR-AIF-S. 41 AIFMD passport
ASR-AIF-S. 42
EU
and non-EU AIFs
ASR-AIF-S. 43 Market concentration
Investment strategies by NAV
ASR-AIF-S.
44
ASR-AIF-S. 45 Investment regions by NAV
Investor
type
ASR-AIF-S. 46
EU passport96%EU w/o passport2%Non-
EU w/o passport1%Non-EU not marketed in EU1%Note:NAVoffundsoffundsbyma
nager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuri
disdictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEOther FoF EU Non-
EUNote:ShareofEUandnon-
EUfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-threshold
managersregisteredonlyinnationaljurisdictions,endof2019,in%ofNAV. Non-
EUAIFsmarketedw/opassport.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
0255075100top 10top 20top 50top 100top
500top 1,000 Market concentrationNote:Marketconcentrationofthelargest
10-to-1,000fundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%of
NAV. Datafor27EEAcountries.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
Fund
of HF10%Fund of PE14%Other
FoF76%Note:Investmentstrategiesoffundsoffunds,endof2019,in%ofNAV.
Fundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabaseNationalCompetentAuthorities,ESMA.
Asia1%EEA55%Other Europe4%North America10%Supra National25%Res
t5%Note:Regionalinvestmentfocusoffundsoffundsmanagedand/ormarketedbyau
thorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdi
ctions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileof
investmentsandthesupranationalcategoryincludinginvestmentswithoutapred
ominantgeo-focus. Datafor27EEAcountries.
0%20%40%60%80%100%Other FoFFund of HFFund ofPE Retail
investors Professional investorsNote:Clientsoffundsoffundsmanagedand/o
rmarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinna
tionaljurisdictionsat,endof2019,in%ofNAV.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
55
Liquidity and counterparty risk profile
ASR-AIF-S. 47 Ownership of AIFs
ASR-AIF-S.
48
Top five beneficial owners
ASR-AIF-S. 50
Funds
of PE funds: liquidity profile
ASR-AIF-S. 52
Redemption
frequencies
ASR-AIF-S. 49 Funds of HFs: liquidity profile
ASR-AIF-S. 51 FoFs: liquidity profile
0%20%40%60%80%100%Other FoFFund of PEFund of HF Banks General
government Household Insurances Non-profit None Other CIUs Oth. fin.
institutions Pension funds UnknownNote:Ownershipofunitsinfundsoffundsm
anagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
FoF=Fundoffunds;PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEQFOther FoF EU passport EU
w/o passport Non-EU w/o passportNote:Investorconcentrationoffundsoffun
dsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV. Investo
rconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largest
investors. FoF=FundofFunds,PEQF=PrivateEquityFund,HF=HedgeFund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
9%10%17%48%64%70%1%2%5%43%68%71%100%0%25%50%75%100%1 day or
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestorl
iquidityprofilesoffundsofhedgefundsmanagedand/ormarketedbyauthorisedEU
AIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofthefunds’as
setscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidit
ydefinedastheshortestperiodforwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
8%12%1%2%100%0%25%50%75%100%1 day or less8-30 d91-180 d> 365 d
Investor PortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofp
rivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019. l
iquiditydefinedasthepercentageofthefunds’assetscapableofbeingliquidate
dwithineachspecifiedperiod,investorliquiditydefinedastheshortestperiod
forwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries. .
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
48%76%85%87%90%92%54%85%88%90%91%100%0%25%50%75%100%1 day or
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestorl
iquidityprofilesoffundsoffundspursuingstrategiesclassifiedasOthermanag
edand/ormarketedbyauthorisedEUAIFMs,endof2019. liquiditydefinedasthepe
rcentageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedpe
riod,investorliquiditydefinedastheshortestperiodforwhichinvestorscanre
deem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEOther FoF Daily Weeklyto
monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-endfundsoffundsma
nagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundoffunds,PE=Privateequityfund,HF=HedgeFund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
56
ASR-AIF-S. 53 Redemption rights to investors
Liquidity financing
ASR-AIF-S. 54
ASR-AIF-S.
56
Derivatives trading
ASR-AIF-S. 58
Derivatives
trades clearing
ASR-AIF-S. 55 Securities trading
ASR-
AIF-S. 57 Repo trades clearing
0%25%50%75%100%Fund of HFFund
of PEOther FoF Open-end Closed-endNote:Redemptionrightsprovidedintheor
dinarycoursetoinvestorsinfundsoffundsmanagedand/ormarketedbyauthorised
EUAIFMs,endof2019,in%ofNAV.
HF=Hedgefund;PE=Privateequity;FoF=Fundoffunds,PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
1%45%51%100%71%90%100%0%25%50%75%100%1 day2-7 d8-30 d31-90
d91-180d181-365d> 365 d Fund of HF Fund of PE Other FoFNote:Liquidityf
inancingoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof20
19. Aggregateamountofborrowingandcashfinancingdivideddependingonlonges
tperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancin
g,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommit
tedlinesofcreditaswellasanytermfinancing. Datafor27EEAcountries.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of PEQFFund of HF Regulated
market OTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulated
exchangemarketsbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,
in%. FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of PEFund of HF Regulated
market OTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexch
angemarketsbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of PEFund of HF CCP Tri-party
BilateralNote:Estimatedmarketvalueofrepotradesclearedbymarketbyfundsof
fundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other FoFFund of PEFund of HF CCP BilateralN
ote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyfundsoffu
ndsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
57
Leverage and exposure
ASR-AIF-S. 59
Adjusted gross leverage
Leveraged and unleveraged AIFs
ASR-AIF-S. 60
ASR-AIF-S. 61 Borrowing embedded in
financial instruments
ASR-AIF-S. 62
Unencumbered
cash
ASR-AIF-S. 64
Financial leverage
composition
ASR-AIF-S. 63 Financial leverage
0%40%80%120%160%Fund of HFFund of PEOther FoF Adjusted gross
leverage AuM/NAVNote:Adjustedgrossleverageoffundsoffundsmanagedand/orm
arketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
0200400600800Fund of HFFund of PEQOther FoF Leveraged AIFs
Unleveraged AIFsNote:Leveragedandunleveragedfundsoffundsmanagedand/orm
arketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnati
onaljurisdictions,endof2019,EURbn. LeveragedfundsidentifiedusingtheAIF
reportingcodeasspecifiedinAnnex2ofESMAguidelinesonAIFMDreportingobliga
tionsFoF=Fundsoffunds,HF=Hedgefunds,PEQ=Privateequityfunds.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
0%4%8%12%Fund of HFFund of PEOther FoF Cash and securities OTC
Exchange-tradedNote:Borrowingofcashandsecuritiesorembeddedinderivative
sbyfundsoffunds,endof2019,in%oftotalexposure.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. FoF=Fundoffunds.
HF=Hedgefund,PE=PrivateequityFund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%2%3%5%Fund of HFFund of PEOther FoF Unencumbered
cashNote:Unencumberedcashheldbyfundsoffunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundsoffunds,HF=Hedgefund,PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%1%1%2%2%3%3%4%UnsecuredborrowingSecured
viaPBReverserepoSecured viaotherShortpositionborrowingsec. Fund of HF
Fund of PEQF Other
FoFNote:Cashandsecuritiesborrowedbyfundsoffunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport. FoF=F
undsofFunds,PEQF=PrivateEquityFundSources:AIFMDdatabse,NationalCompete
ntAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEQFOther
FoF Short position borrowing sec. Secured via other Reverse repo
Secured via PB Unsecured borrowingNote:Shareofcashandsecuritiesborrowe
dbyfundsoffunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=FundsofFunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
58
ASR-AIF-S. 65 Total exposures
ASR-AIF-S.
66
Decomposition of exposures
Cash and cash equivalents
in 4Q19
ASR-AIF-S. 68
ASR-AIF-S. 70
Equities in
4Q19
ASR-AIF-S. 67 Cash and cash equivalents
ASR-
AIF-S. 69 Equities
00. 30. 60. 91. 21Q192Q193Q194Q19 Fund of
HF Fund of PE Other FoFNote:Exposuresoffundsoffundsmanagedand/ormarket
edbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=FundofFunds,HF=Hedgefund. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Fund of HFFund of PEOther FoF Securities CIUs
Physical assets IRDs FX CDS Other derivativesNote:Shareofexposuresbyfu
ndsoffunds'investmentstrategies,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%2%3%5%6%1Q192Q193Q194Q19Hundreds Certificates of deposit
Commercial papers Other cash equivalent Other depositsNote:Cashandcash
equivalentsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.
Governmentbondsexcludedfromothercashequivalents.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Certificates of deposit8%Commercial papers17%Other cash
equivalent55%Other
deposits20%Note:Shareofcashandcashequivalentsheldbyfundsoffundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries. S
ources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0%2%3%5%
6%8%1Q192Q193Q194Q19Hundreds Listed financial inst. Other listed Unli
stedNote:Fundsoffunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Listed financial inst. 11%Other
listed48%Unlisted41%Note:Shareofequitiesheldbyfundsoffundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
59
ASR-AIF-S. 71 Sovereign bonds
ASR-AIF-S. 72
Sovereign bonds in 4Q19
ASR-AIF-S.
74
Collective investment undertakings in 4Q19
ASR-AIF-S.
76
Structured products in 4Q19
ASR-AIF-S. 73 Collective
investment undertakings
ASR-AIF-S. 75 Structured products
0%1%2%3%1Q192Q193Q194Q19Hundreds EU Sov >1Y TM EU Sov up 1Y TM
G10 Sov >1Y TM G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10 Sov up 1Y T
MNote:Sovereignbondsexposureexposureoffundsoffunds,AIFsreportedquarter
ly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
Sov >1Y TM61%EU Sov up 1Y TM13%G10 Sov >1Y TM14%G10 Sov up 1Y
TM3%Non-G10 Sov >1Y
TM9%Note:Shareofsovereignbondsheldbyfundsoffundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sov=Sovereignbonds,TM=TimetoMaturity. Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA
0%20%40%60%80%1Q192Q193Q194Q19Hundreds
CIUs by the AIFM CIUs by others ETF by the AIFM ETF by others MMFs by
the AIFM MMFs by
othersNote:Collectiveinvestmentundertakingsexposureexposureoffunds-of-
funds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
CIUs by the AIFM36%CIUs by others57%ETF by the AIFM1%ETF by
others4%MMFs by the AIFM1%MMFs by others1%Note:Shareofcollectiveinvest
mentundertakingsheldbyfundsoffundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0. 0%0.
1%0. 2%0. 3%1Q192Q193Q194Q19Hundreds ABCP ABS Agency MBS CDO/CLO CMBS
ETP Other RMBS Structured certificateNote:Structuredandsecuritisedprod
uctsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ABS24%Agency MBS12%ETP12%Other28%RMBS4%Structured certificate2
0%Note:Shareofstructuredandsecuritisedproductsheldbyfundsoffundsin4Q19
. AIFsmangedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
60
ASR-AIF-S. 77 Corporate bond quality
ASR-AIF-S. 78
Corporate bonds in
4Q19
0%1%2%3%4%1Q192Q193Q194Q19 IG by fin. inst. IG by non-
fin. inst. Non-IG by fin. inst. Non-IG by non-fin. inst. Note:Corpor
atebondsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
IG by
fin. inst. 45%Non-IG by fin. inst. 4%IG by non-fin. inst. 36%Non-IG by
non-fin. inst. 15%Note:Shareofcorporatebondsheldbyfundsoffundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
61
Real Estate Funds
AIF characteristics
ASR-AIF-S. 79 AIFMD passport
ASR-AIF-S. 80
EU
and non-EU AIFs
ASR-AIF-S. 81 Market concentration
Investment strategies by NAV
ASR-AIF-S.
82
ASR-AIF-S. 83 Investment regions by NAV
Investor
type
ASR-AIF-S. 84
EU passport90%EU w/o passport8%Non-
EU w/o passport1%Non-EU not marketed in EU1%Note:NAVofrealestateAIFsby
manager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuri
disdictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategyOther
REResidential EU Non-EUNote:ShareofEUandnon-
EUrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresh
oldmanagersregisteredonlyinnationaljurisdictions,endof2019,in%ofNAV.
Non-EUAIFsmarketedw/opassport. RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.
0255075100top 10top 20top 50top 100top 500top 1,000 Market co
ncentrationNote:Marketconcentrationofthelargest10-to-1,000realestatefu
ndsmanagedand/ormarketedbyauthorisedEUAIFMsaccessingAIFMDpassportandsu
b-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%
ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Commercial67%Industrial4%Other RE15%Residential
14%Note:Investmentstrategiesofrealestatefunds,endof2019,in%ofNAV.
Realestatefundsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia4%EEA84%Other Europe6%North America6%Rest>1%Note:Regionali
nvestmentfocusofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFM
sandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof20
19,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileofinvestmentsand
thesupranationalcategoryincludinginvestmentswithoutapredominantgeo-
focus. Datafor27EEAcountries.
0%20%40%60%80%100%ResidentialOtherMulti-
strategyIndustrialCommercial Retail investors Professional investorsNo
te:Clientsofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsand
sub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,i
n%ofNAV. RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
62
Liquidity and counterparty risk profile
ASR-AIF-S. 85 Ownership of RE funds
ASR-AIF-S.
86
Top five beneficial owners
Industrial RE: liquidity
profile
ASR-AIF-S. 88
ASR-AIF-S. 90
Other RE:
liquidity profile
ASR-AIF-S. 87 Commercial RE: liquidity
profile
ASR-AIF-S. 89 Residential RE: liquidity profile
0%20%40%60%80%100%ResidentialOther REMulti-strategy
REIndustrialCommercial Banks General government Household Insurances
Non-profit None Other CIUs Oth. fin. institutions Pension funds Unknow
nNote:OwnershipofunitsinrealestatefundsAIFsmanagedand/ormarketedbyauth
orisedEUAIFMs,endof2019,in%ofNAV. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential EU passport EU w/o passport Non-EU w/o passportNote:Inve
storconcentrationofrealestatemanagedand/ormarketedbyauthorisedEUAIFMs,
endof2019,in%ofNAV. InvestorconcentrationcomputedasshareofAIFequityben
eficiallyownedbythe5largestinvestors. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
12%18%22%25%35%50%3%4%5%8%20%32%100%0%25%50%75%100%1 dayor
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestors
liquidityprofilesoffundsofcommercialrealestatefundsmanagedand/ormarket
edbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercent
ageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,
investorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
2%2%2%4%27%43%0%0%0%2%19%36%100%0%25%50%75%100%1 dayor
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestors
liquidityprofilesoffundsofindustrialrealestatefundsmanagedand/ormarket
edbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercent
ageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,
investorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
7%18%20%31%36%42%1%4%4%21%27%31%100%0%25%50%75%100%1 dayor
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestors
liquidityprofilesoffundsofresidentailrealestatefundsmanagedand/ormarke
tedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercen
tageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod
,investorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem
. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
7%11%14%20%24%30%2%4%4%5%9%15%100%0%25%50%75%100%1 dayor
less8-30 d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestors
liquidityprofilesofrealestatefundspursuingstrategiesclassifiedas"other
"managedand/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquidit
ydefinedasthepercentageofthefunds’assetscapableofbeingliquidatedwithin
eachspecifiedperiod,investorliquiditydefinedastheshortestperiodforwhic
hinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
63
ASR-AIF-S. 91 Multi-strategy RE: liquidity
profile
ASR-AIF-S. 92
Redemption
frequencies
Liquidity financing
ASR-AIF-S.
94
ASR-AIF-S. 96
Derivatives trading
ASR-AIF-S.
93 Redemption rights to investors
ASR-AIF-S. 95 Securities
trading
2%10%15%20%27%100%1%1%3%7%14%100%0%25%50%75%100%1
dayor less8-30 d91-180 d> 365 d Investor
PortfolioNote:Portfolioandinvestorliquidityprofilesofmulti-strategyrea
lestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019. Portfo
lioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingliqui
datedwithineachspecifiedperiod,investorliquiditydefinedastheshortestpe
riodforwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential Daily Weeklyto monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-endrealestatefund
smanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential Open-end Closed-endNote:Redemptionrightsprovidedintheord
inarycoursetoinvestorsinrealestatefundsmanagedand/ormarketedbyauthoris
edEUAIFMs,endof2019,in%ofNAV. RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%23%48%1%45%100%0%25%50%75%100%1 day2-7 d8-30 d31-90 d91-180
d181-365d> 365 d Commercial Industrial Other RE ResidentialNote:Liquid
ityfinancingofrealestatefundsmanagedand/ormarketedbyEUauthorisedAIFMs,
endof2019. Aggregateamountofborrowingandcashfinancingdivideddependingo
nlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchf
inancing,Borrowingandcashfinancingincludedrawnandundrawn,committedandu
ncommittedlinesofcreditaswellasanytermfinancing. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%ResidentialOther REMultistrategy
REIndustrialCommercial Regulated market OTCNote:Estimatedmarketvalueof
securitiestradedonOTCandregulatedexchangemarketsbyrealestatefundsmanag
edand/ormarketedbyauthorisedEUAIFMs,in%. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%ResidentialOther REMulti-strategy
REIndustrialCommercial Regulated market OTCNote:Estimatedvolumeofderiv
ativestradedonOTCandregulatedexchangemarketsbyrealestatefundsmanagedan
d/ormarketedbyauthorisedEUAIFMs,in%. RE=Realestate.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
64
ASR-AIF-S. 97 Repo trades clearing
ASR-
AIF-S. 98
Derivatives clearing
Leverage and exposure
ASR-AIF-S. 99 Adjusted gross leverage
Leveraged and
unleveraged AIFs
ASR-AIF-S. 100
ASR-AIF-S.
102
Unencumbered cash
ASR-AIF-S. 101 Borrowings
embedded in derivatives
0%20%40%60%80%100%ResidentialOther
REMultistrategy RECommercial CCP Tri-party BilateralNote:Estimatedmark
etvalueofrepotradesclearedbybyrealestatefundsmanagedand/ormarketedbyau
thorisedEUAIFMs,in%. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%ResidentialOther REMultistrategy
REIndustrialCommercial CCP BilateralNote:Estimatedvolumeofderivativesc
learedbilaterallyandviaCCPbyrealestatefundsmanagedand/ormarketedbyauth
orisedEUAIFMs,in%. RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%ComercialIndustrialMulti-
strategyREOtherREResidential Median adjusted gross leverage AuM/NAVNot
e:Adjustedgrossleverageofrealestatefundsmanagedand/ormarketedbyauthori
sedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
070140210280CommercialIndustrialMulti-strategyOther
REResidential Leveraged AIFs Unleveraged AIFsNote:Leveragedandunlevera
gedrealestateAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresh
oldmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn. Leve
ragedfundsidentifiedusingtheAIFreportingcodeasspecifiedinAnnex2ofESMAg
uidelinesonAIFMDreportingobligationsDatafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
0%4%8%12%16%CommercialIndustrialMulti-strategy
REOtherREResidential Cash and securities OTC Exchange-tradedNote:Borro
wingofcashandsecuritiesorembeddedinderivativesbyrealestatefunds,endof2
019,in%oftotalexposure.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed. OTCandexchange-
tradedderiativesnetofmargins. RE=Realestate. Datafor27EEAcountries. So
urces:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0%2%4%6%8
%10%CommercialIndustrialMulti-strategy REOther REResidential
Unencumbered
cashNote:Unencumberedcashheldbyrealestatefunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
65
ASR-AIF-S. 103 Financial leverage
ASR-
AIF-S. 104
Financial leverage composition
ASR-AIF-S.
106
Decomposition of exposures
ASR-AIF-S.
108
Cash and cash equivalents in 4Q19
ASR-AIF-S. 105
Total exposures
ASR-AIF-S. 107 Cash and cash equivalents
0%7%14%21%28%35%UnsecuredborrowingSecuredvia
PBReverserepoSecuredvia otherShortpositionborrowingsec. Commercial
Industrial Multi-strategy RE Other RE ResidentialNote:Cashandsecuritie
sborrowedbyrealestatefunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=RealEstate. Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategyREOther
REResidential Unsecured borrowing Secured via PB Reverse repo Secured
via other Short position borrowing sec. Note:Shareofcashandsecuritiesb
orrowedbyrealestatefunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=RealEstate.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
00.
20. 40. 60. 811Q192Q193Q194Q19 Commercial RE Industrial RE Multi-
strategy RE Other RE Residential RENote:Exposureofrealestatefundsmanag
edand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommercialIndustrialMulti-strategy REOther
REResidential Securities CIUs Physical assets IRDs FX CDS Other deriva
tivesNote:Shareofexposuresbyrealestatefunds'investmentstrategies,endof
2019,in%oftotal. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
RE=Realestate. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%3%6%9%1Q192Q193Q194Q19Hundreds Certificates of deposit
Commercial papers Other cash equivalent Other depositsNote:Cashandcash
equivalentsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.
Governmentbondsexcludedfromothercashequivalents. Datafor27EEAcountries
;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Certificates of deposit>1%Commercial papers1%Other cash
equivalent77%Other deposits21%Note:Shareofcashandcashequivalentsheldby
realestatefundsin4Q19. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
66
ASR-AIF-S. 109 Equities
ASR-AIF-S.
110
Equities in 4Q19
ASR-AIF-S. 112
Sovereign
bonds in 4Q19
ASR-AIF-S. 114
Collective investment
undertakings in 4Q19
ASR-AIF-S. 111 Sovereign bonds
ASR-AIF-S. 113 Collective investment undertakings
0%3%6%9%12%1Q192Q193Q194Q19Hundreds Listed financial inst.
Other listed UnlistedNote:Realestatefunds'exposuretoequity,AIFsreporte
dquarterly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Listed financial inst. 2%Other
listed59%Unlisted39%Note:Shareofequitiesheldbyrealestatefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0. 0%0.
1%0. 2%0. 3%0. 4%1Q192Q193Q194Q19Hundreds EU Sov >1Y TM EU Sov up 1Y
TM G10 Sov >1Y TM G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10 Sov up
1Y TMNote:Sovereignbondsexposureexposureofrealestatefunds,AIFsreported
quarterly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
Sov >1Y TM40%EU Sov up 1Y TM50%G10 Sov up 1Y
TM10%Note:Shareofsovereignbondsheldbyrealestatefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sov=Sovereignbonds,TM=TimetoMaturity. Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA
0%3%5%8%10%1Q192Q193Q194Q19Hundreds
CIUs by the AIFM CIUs by others ETF by the AIFM ETF by others MMFs by
the AIFM MMFs by othersNote:Note:Collectiveinvestmentundertakingsexpos
ureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
CIUs
by the AIFM31%CIUs by others53%MMFs by the AIFM2%MMFs by others14%Note
:Shareofcollectiveinvestmentundertakingsheldbyrealestatefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
67
ASR-AIF-S. 115 Structured products
ASR-
AIF-S. 116
Structured products in 4Q19
ASR-AIF-S.
118
Corporate bonds in 4Q19
ASR-AIF-S. 117 Corporate
bond quality
0. 00%0. 03%0. 06%0. 09%1Q192Q193Q194Q19Hundreds
ABCP ABS Agency MBS CDO/CLO CMBS ETP Other RMBS Structured certificate
Note:Structuredandsecuritisedproductsexposureofrealestatefunds,AIFsrep
ortedquarterly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ABS25%Other50%Structured certificate25%Note:Shareofstructureda
ndsecuritisedproductsheldbyrealestatefundsin4Q19.
AIFsmangedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0. 0%0.
2%0. 4%0. 6%0. 8%1. 0%1Q192Q193Q194Q19Hundreds IG by fin. inst. IG by
non-fin. inst. Non-IG by fin. inst. Non-IG by non-fin. inst. Note:Co
rporatebondsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
IG by
fin. inst. 56%Non-IG by fin. inst. 11%IG by non-fin. inst. 24%Non-IG
by non-fin. inst.
9%Note:Shareofcorporatebondsheldbyrealestatefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
68
Hedge Funds
AIF characteristics
ASR-AIF-S. 119 AIFMD passport
ASR-AIF-S.
120
EU and non-EU AIFs
ASR-AIF-S. 121 Market
concentration
Investment strategies by NAV
ASR-
AIF-S. 122
ASR-AIF-S. 123 Investment regions by NAV
Investor type
ASR-AIF-S. 124
EU passport35%EU
w/o passport2%Non-EU w/o passport33%Non-EU not marketed in EU30%Note:N
AVofhedgefundsbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccessAIFMDpassportormarketingnon-EUAIFsw/opasspo
rt,subthresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opa
ssportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventMacroMulti-
strategyHFOtherHFRel. value EU Non-EUNote:ShareofEUandnon-
EUhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdma
nagersregisteredonlyinnationaljurisdictions,endof2019,in%ofNAV. Non-
EUAIFsmarketedw/opassport. HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.
0255075100top 10top 20top 50top 100top 500 Market concentrati
onNote:Marketconcentrationofthelargest10-to-500hedgefundsmanagedand/or
marketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnat
ionaljurisdictions,endof2019,in%ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Credit7%CTA9%Equity48%Event Driven4%Macro10%Other
HF14%Relative
Value8%Note:Investmentstrategiesofhedgefunds,endof2019,in%ofNAV.
Hedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia11%EEA31%Other Europe3%North America49%Supra National2%Res
t4%Note:Regionalinvestmentfocusofhedgefundsmanagedand/ormarketedbyauth
orisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdict
ions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomicileofin
vestments,andthesupranationalcategoryincludinginvestmentswithoutapredo
minantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Relative ValueOther HFMulti-strategy
HFMacroEvent DrivenEquityCTACredit Retail investors Professional inves
torsNote:Clientsofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsan
dsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,
in%ofNAV. HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
69
Liquidity and counterparty risk profile
ASR-AIF-S. 125 Ownership of AIFs
ASR-AIF-S.
126
Top five beneficial owners
ASR-AIF-S.
128
CTA: liquidity profile
ASR-AIF-S. 130
Event
driven: liquidity profile
ASR-AIF-S. 127 Credit HF: liquidity
profile
ASR-AIF-S. 129 Equity HF: liquidity profile
0%20%40%60%80%100%Relative ValueOther HFMulti-strategy
HFMacroEvent DrivenEquityCTACredit Banks General government Household
Insurances Non-profit None Other CIUs Oth. fin. institutions Pension
funds UnknownNote:Ownershipofunitsinhedgefundsmanagedand/ormarketedbya
uthorisedEUAIFMs,endof2019,in%ofNAV. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-
strategyHFOtherHFRel. value EU passport EU w/o passport Non-EU w/o pas
sportNote:Investorconcentrationofhedgefundsmanagedand/ormarketedbyauth
orisedEUAIFMs,endof2019,in%ofNAV. Investorconcentrationcomputedasshare
ofAIFequitybeneficiallyownedbythe5largestinvestors. HF=HedgeFund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%18%47%67%71%27%100%0%25%50%75%100%1 day orless2-7 d8-30
d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinv
estorliquidityprofilesoffundsofcredithedgefundsmanagedand/ormarketedby
authorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageo
fthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,inve
storliquiditydefinedastheshortestperiodforwhichinvestorscanredeemEUand
non-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
6%42%87%39%99%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90
d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinvestorli
quidityprofilesofCTAmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019
. Portfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbe
ingliquidatedwithineachspecifiedperiod,investorliquiditydefinedasthesh
ortestperiodforwhichinvestorscanredeemEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
3%11%18%56%86%12%38%42%56%88%92%100%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorliquidityprofilesoffundsofequityhedgefundsmanaged
and/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefined
asthepercentageofthefunds’assetscapableofbeingliquidatedwithineachspec
ifiedperiod,investorliquiditydefinedastheshortestperiodforwhichinvesto
rscanredeemEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
2%2%5%26%45%68%4%13%20%20%100%0%25%50%75%100%1 day or less8-30
d91-180 d> 365 d Investor PortfolioNote:Portfolioandinvestorliquidityp
rofilesoffundsofeventdrivenhedgefundsmanagedand/ormarketedbyauthorised
EUAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofthefunds’
assetscapableofbeingliquidatedwithineachspecifiedperiod,investorliquid
itydefinedastheshortestperiodforwhichinvestorscanredeemEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
70
ASR-AIF-S. 131 Macro HF: liquidity profile
ASR-AIF-S. 132
Relative value: liquidity
profile
ASR-AIF-S. 133 Other HF: liquidity profile
ASR-AIF-S. 134
Redemption
frequencies
21%37%85%89%96%48%81%99%100%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorliquidityprofilesoffundsofmacrohedgefundsmanageda
nd/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefineda
sthepercentageofthefunds’assetscapableofbeingliquidatedwithineachspeci
fiedperiod,investorliquiditydefinedastheshortestperiodforwhichinvestor
scanredeemEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
3%11%13%33%58%81%4%53%55%82%100%100%100%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorliquidityprofilesofrelativevaluehedgefundsmanaged
and/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefined
asthepercentageofthefunds’assetscapableofbeingliquidatedwithineachspec
ifiedperiod,investorliquiditydefinedastheshortestperiodforwhichinvesto
rscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
2%5%25%61%72%75%34%77%84%92%100%0%25%50%75%100%1 day orless2-7
d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolio
andinvestorliquidityprofilesofhedgefundspursuingstrategiesclassifiedas
Othermanagedand/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliqu
iditydefinedasthepercentageofthefunds’assetscapableofbeingliquidatedwi
thineachspecifiedperiod,investorliquiditydefinedastheshortestperiodfor
whichinvestorscanredeemEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategy
HFOtherHFRel. value Daily Weeklyto monthly Quarterly Quarterlyto
yearly OtherNote:Investorredemptionfrequenciesallowedbyopen-endhedgefu
ndsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
71
ASR-AIF-S. 135 Redemption rights to investors
ASR-AIF-S. 136
Liquidity financing
ASR-AIF-S.
138
Derivatives trading
ASR-AIF-S. 140
Derivative
transactions clearing
ASR-AIF-S. 137 Securities trading
ASR-AIF-S. 139 Repo trades clearing
0%25%50%75%100%CreditCTAEquityEventDrivenMacroMulti-
strategyOther HFRel. Value Open-end Closed-endNote:Redemptionrightspro
videdintheordinarycoursetoinvestorsinhedgefundsmanagedand/ormarketedby
authorisedEUAIFMs,endof2019,in%ofNAF. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
57%63%70%86%98%64%72%12%33%100%0%25%50%75%100%1 day2-7 d8-30
d31-90 d91-180d181-365d> 365 d Credit CTA Equity Event driven Macro
Rel. valueNote:Liquidityfinancingofhedgefundsmanagedand/ormarketedbyau
thorisedEUAIFMs,endof2019. Aggregateamountofborrowingandcashfinancingd
ivideddependingonlongestperiodforwhichcreditorsarecontractuallycommitt
edtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundra
wn,committedanduncommittedlinesofcreditaswellasanytermfinancing.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Relative valueOther HFMulti-strategy
HFMacroEvent drivenEquityCTACredit Regulated market OTCNote:Estimatedm
arketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyhedgefun
dsmanagedand/ormarketedbyauthorisedEUAIFMs,in%. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Relative valueOther HFMulti-strategy
HFMacroEvent drivenEquityCTACredit Regulated market OTCNote:Estimatedv
olumeofderivativestradedonOTCandregulatedexchangemarketsbyhedgefundsma
nagedand/ormarketedbyauthorisedEUAIFMs,in%. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Relative valueOther HFMultistrategy
HFMacroEvent drivenEquityCredit CCP Tri-party BilateralNote:Estimatedm
arketvalueofrepotradesclearedbyhedgefundsmanagedand/ormarketedbyauthor
isedEUAIFMs,in%. HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Relative valueOther HFMultistrategy
HFMacroEvent drivenEquityCTACredit CCP BilateralNote:Estimatedvolumeof
derivativesclearedbilaterallyandviaCCPbyAIFsmanagedand/ormarketedbyaut
horisedEUAIFMs,in%. HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
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Leverage and exposure
ASR-AIF-S. 141
Adjusted gross leverage
Leveraged and unleveraged AIFs
ASR-AIF-S. 142
ASR-AIF-S. 143 Borrowing embedded in
financial instruments
ASR-AIF-S. 144
Unencumbered
cash
ASR-AIF-S. 145 Financial leverage
ASR-AIF-S.
146
Financial leverage composition
0%5000%10000%15000%20
000%25000%0%1400%2800%4200%5600%CreditEquityMacroOtherHF Adjusted
gross leverage AuM/NAV (rhs)Note:Adjustedgrossleverageoffundsoffundsma
nagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
04080120CreditCTAEquityEventdrivenMacroMulti-
strategyOtherHFRelativevalue Leveraged AIFs Unleveraged AIFsNote:Lever
agedandunleveragedhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsan
dsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,
EURbn. LeveragedfundsidentifiedusingtheAIFreportingcodeasspecifiedinAn
nex2ofESMAguidelinesonAIFMDreportingobligationsDatafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-
strategyOtherHFRel. value Cash and securities OTC Exchange-tradedNote:
Borrowingofcashandsecuritiesorembeddedinderivativesbyhedgefunds,endof2
019,in%oftotalexposure. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
OTCandexchange-tradedderiativesnetofmargins. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%50%100%150%200%CreditCTAEquityEventdrivenMacroMulti-
strategyHFOtherHFRel. value Unencumbered
cashNote:Unencumberedcashheldbyhedgefunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%45%90%135%UnsecuredborrowingSecured viaPBReverserepoSecured
viaotherSecuritiesborrowedfor
shortingNote:Cashandsecuritiesborrowedbyhedgefunds,endof2018,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=FundsofFunds,None=Nopredominanttype. Datafor25EEAcountries. Source
s:AIFMDdatabse,NationalCompetentAuthorities,
0%25%50%75%100%Cre
ditCTAEquityEventDrivenMacroMulti-strategyHFOtherHFRel. Value Short
position borrowing sec. Secured via other Reverse repo Secured via PB
Unsecured borrowingNote:Shareofcashandsecuritiesborrowedbyhedgefunds,e
ndof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
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ASR-AIF-S. 147 Total exposures
ASR-
AIF-S. 148
Decomposition of exposures
ASR-AIF-S.
150
Cash and cash equivalents in 4Q19
ASR-AIF-S.
152
Equities in 4Q19
ASR-AIF-S. 149 Cash and cash
equivalents
ASR-AIF-S. 151 Equities
05101520251Q192Q193Q194Q19 Credit CTA Equity Event driven
Macro Multi-strategy HFNote:Exposuresofhedgefundsmanagedand/ormarketed
byauthorisedEUAIFMs,fundsquarterlyreported,EURtn. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
HF=Hedgefund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-
strategyHFOtherHFRel. value Securities CIUs Physical assets IRDs FX
CDS Other derivativesNote:Shareofexposuresbyhedgefunds'investmentstrat
egies,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%200%240%1Q192Q193Q194Q19Hundreds Certificates
of deposit Commercial papers Other cash equivalent Other depositsNote:
Cashandcashequivalentsexposureofhedgefunds,AIFsreportedquarterly,in%of
NAV. Governmentbondsexcludedfromtheothercashequivalents.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Certificates of deposit>1%Commercial papers>1%Other cash
equivalent78%Other
deposits22%Note:Shareofcashandcashequivalentsheldbyhedgefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries. S
ources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0%18%36%
54%72%1Q192Q193Q194Q19Hundreds Listed financial inst. Other listed Un
listedNote:Hedgefunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries;So
urces:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Listed
financial inst. 12%Other
listed85%Unlisted3%Note:Shareofequitiesheldbyhedgefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
ESMA Annual Statistical Report on EU Alternative Investment
Funds 2021
74
ASR-AIF-S. 153 Sovereign bonds
ASR-AIF-S. 154
Sovereign bonds in 4Q19
ASR-
AIF-S. 156
Collective investment undertakings in
4Q19
ASR-AIF-S. 158
Structured products in
4Q19
ASR-AIF-S. 155 Collective investment undertakings
ASR-AIF-S. 157 Structured products
0%100%200%300%1Q192Q193Q194Q19Hundreds EU Sov >1Y TM EU Sov up
1Y TM G10 Sov >1Y TM G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10 Sov
up 1Y TMNote:Sovereignbondsexposureexposureofhedgefunds,AIFsreportedqu
arterly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
EU
Sov >1Y TM33%EU Sov up 1Y TM4%G10 Sov >1Y TM37%G10 Sov up 1Y
TM5%Non-G10 Sov >1Y TM18%Non-G10 Sov up 1Y
TM>1%Note:Shareofsovereignbondsheldbyhedgefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sov=Sovereignbonds,TM=TimetoMaturity. Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA
0%5%10%15%20%1Q192Q193Q194Q19Hundreds
CIUs by the AIFM CIUs by others ETF by the AIFM ETF by others MMFs by
the AIFM MMFs by othersNote:Collectiveinvestmentundertakingsexposureof
hedgefunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
CIUs
by the AIFM19%CIUs by others15%ETF by others18%MMFs by the AIFM2%MMFs
by others46%Note:Shareofcollectiveinvestmentundertakingsheldbyhedgefun
dsin4Q19. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries. Sources:
AIFMDdatabase,NationalCompetentAuthorities,ESMA
0%2%4%6%8%10%1Q
192Q193Q194Q19Hundreds ABCP ABS Agency MBS CDO/CLO CMBS ETP Other RMBS
Structured certificateNote:Structuredandsecuritisedproductsexposureofh
edgefunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarktedbyauthorised. Datafor27EEAcountries.
ABS14%Agency
MBS30%CDO/CLO21%CMBS3%ETP1%Other23%RMBS6%Structured certificate>1%Note
:Shareofstructuredandsecuritisedproductsheldbyhedgefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries. .
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
75
ASR-AIF-S. 159 Corporate bond quality
ASR-AIF-S. 160
Corporate bonds in 4Q19
0%5%10%15%1Q192Q193Q194Q19Hundreds IG by fin. inst. IG by
non-fin. inst. Non-IG by fin. inst. Non-IG by non-fin. inst. Note:Co
rporatebondsexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
IG by
fin. inst. 44%Non-IG by fin. inst. 11%IG by non-fin. inst. 20%Non-IG
by non-fin. inst. 25%Note:Shareofcorporatebondsheldbyhedgefundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
76
Private Equity Funds
AIF characteristics
ASR-AIF-S. 161 AIFMD passport
ASR-AIF-S.
162
EU and non-EU AIFs
ASR-AIF-S. 163 Market
concentration
Investment strategies by NAV
ASR-
AIF-S. 164
ASR-AIF-S. 165 Investment regions by NAV
Investor type
ASR-AIF-S. 166
EU passport60%EU
w/o passport19%Non-EU w/o passport5%Non-EU not marketed in EU16%Note:N
AVofprivateequityfundsbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassport,subthresholdmanagersregiste
redonlyinnationaljuridisdictionsw/opassport. Datafor27EEAcountriesSour
ces:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-
strategyOther PEVentureCapital EU Non-EUNote:ShareofEUandnon-
EUprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thr
esholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%ofNAV
. Non-EUAIFsmarketedw/opassport. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.
0255075100top 10top 20top 50top 100top 500top 1,000 Market co
ncentrationNote:Marketconcentrationofthelargest10-to-1,000privateequit
yfundsmanagedand/ormarketedbyauthorisedEUAIFMsaccessingAIFMDpassportan
dsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,
in%ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Growth Capital41%Mezzanine Capital4%Other private
equity41%Venture Capital14%Note:Investmentstrategiesofprivateequityfun
ds,endof2019,in%ofNAV.
Privateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia9%EEA67%Other Europe4%North America17%Supra National1%Rest
2%Note:Regionalinvestmentfocusofprivateequityfundsmanagedand/ormarkete
dbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationalju
risdictions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothedomic
ileofinvestments,andthesupranationalcategoryincludinginvestmentswithou
tapredominantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%50%100%Venture CapitalOther PEMulti-strategy PEMezzanine
CapitalGrowth Capital Retail investors Professional investorsNote:Clie
ntsofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%of
NAV. PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
77
Liquidity and counterparty risk profile
ASR-AIF-S. 167 Ownership of PE funds
ASR-AIF-S.
168
Top five beneficial owners
ASR-AIF-S.
170
Mezzanine capital: liquidity profile
ASR-AIF-S.
172
Venture capital: liquidity profile
ASR-AIF-S. 169
Growth capital: liquidity profile
ASR-AIF-S. 171 Other PE
funds: liquidity profile
0%20%40%60%80%100%Venture
CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth Capital Banks
General government Household Insurances Non-profit None Other CIUs
Oth. fin. institutions Pension funds UnknownNote:Ownershipofunitsinpri
vateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%o
fNAV. PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-
strategyPEQFOtherPEQFVenturecapital EU passport EU w/o passport Non-EU
w/o passportNote:Investorconcentrationofprivateequityfundsmanagedand/o
rmarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV. Investorconcentration
computedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%0%0%0%0%1%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90
d91-180d181-365d> 365 d Investor PortfolioNote:Portfolioandinvestorliq
uidityprofilesoffundsofgrowthcapitalfundsmanagedand/ormarketedbyauthor
isedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofthefu
nds’assetscapableofbeingliquidatedwithineachspecifiedperiod,investorli
quiditydefinedastheshortestperiodforwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%0%1%2%0%0%0%0%100%0%25%50%75%100%1 day orless2-7 d8-30
d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:Portfolioandinve
storliquidityprofilesofmezzaninecapitalfundsmanagedand/ormarketedbyaut
horisedEUAIFMs,endof2019. 2019. Portfolioliquiditydefinedasthepercenta
geofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,i
nvestorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
4%5%9%0%0%3%3%3%4%100%0%25%50%75%100%1 day or less8-30 d91-180
d> 365 d Investor PortfolioNote:Portfolioandinvestorliquidityprofileso
fprivateequityfundspursuingstrategiesclassifiedasOthermanagedand/ormar
ketedbyauthorisedEUAIFMs,endof2019. 2019. Portfolioliquiditydefinedast
hepercentageofthefunds’assetscapableofbeingliquidatedwithineachspecifi
edperiod,investorliquiditydefinedastheshortestperiodforwhichinvestorsc
anredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
1%1%2%5%1%1%1%100%0%25%50%75%100%1 day or less8-30 d91-180 d>
365 d Investor PortfolioNote:Portfolioandinvestorliquidityprofilesofve
nturecapitalfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019.
2019. Portfolioliquiditydefinedasthepercentageofthefunds’assetscapable
ofbeingliquidatedwithineachspecifiedperiod,investorliquiditydefinedast
heshortestperiodforwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
78
ASR-AIF-S. 173 Multi-strategy PE funds: liquidity
profile
ASR-AIF-S. 174
Redemption
frequency
ASR-AIF-S. 175 Redemption rights to investors
Liquidity financing
ASR-AIF-S. 176
ASR-AIF-S.
177 Securities trading
ASR-AIF-S. 178
Derivatives
trading
5%20%21%100%1%1%1%8%100%0%25%50%75%100%1 day or
less8-30 d91-180 d> 365 d Investor
PortfolioNote:Portfolioandinvestorliquidityprofilesofmulti-strategypri
vateequityfundsfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019
. 2019. Portfolioliquiditydefinedasthepercentageofthefunds’assetscapab
leofbeingliquidatedwithineachspecifiedperiod,investorliquiditydefineda
stheshortestperiodforwhichinvestorscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketedEUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-
strategyOther PEVenturecapital Daily Weeklyto monthly Quarterly
Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-endprivateequityf
undsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
PEQF=PrivateEquityFund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-
strategyOther PEVentureCapital Open-end Closed-endNote:Redemptionright
sprovidedintheordinarycoursetoinvestorsinprivateequityfundsmanagedand/
ormarketedbyauthorisedEUAIFMs,endof2019,in%ofNAV.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0.
0288%1 3%81%82%100%0%25%50%75%100%1 day2-7 d8-30 d31-90
d91-180d181-365d> 365 d Growth Capital Mezzanine Capital Venture Capit
alNote:Liquidityfinancingofprivateequityfundsmanagedand/ormarketedbyau
thorisedEUAIFMs,endof2019. Aggregateamountofborrowingandcashfinancingd
ivideddependingonlongestperiodforwhichcreditorsarecontractuallycommitt
edtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundra
wn,committedanduncommittedlinesofcreditaswellasanytermfinancing.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Venture CapitalOther PEQFMulti-strategy
PEQFMezzanine CapitalGrowth Capital Regulated market OTCNote:Estimated
marketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyprivate
equityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy
PEMezzanine CapitalGrowth Capital Regulated market OTCNote:Estimatedvo
lumeofderivativestradedonOTCandregulatedexchangemarketsbyprivateequity
fundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
79
ASR-AIF-S. 179 Repo trades clearing
ASR-
AIF-S. 180
Derivatives transactions clearing
Leverage
and exposure
ASR-AIF-S. 181 Adjusted gross leverage
ASR-AIF-S. 182
Adjusted gross leverage
ASR-
AIF-S. 183 Borrowing embedded in financial instruments
ASR-
AIF-S. 184
Unencumbered cash
0%20%40%60%80%100%Venture
capitalOther PE CCP Tri-party BilateralNote:Estimatedmarketvalueofrepo
tradesclearedbyprivateequityfundsmanagedand/ormarketedbyauthorisedEUAI
FMs,in%. PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Venture capitalOther
PEMultistrategyMezzanine capitalGrowth capital CCP BilateralNote:Estim
atedvolumeofderivativesclearedbilaterallyandviaCCPbyprivateequityfunds
managedand/ormarketedbyauthorisedEUAIFMs,in%. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%40%80%120%160%GrowthcapitalMezzaninecapitalMulti-
strategyOther PEVenturecapital Median adjusted gross leverage AuM/NAVN
ote:Adjustedgrossleverageofprivateequityfundsmanagedand/ormarketedbyau
thorisedEUAIFMs,endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
PE=Privateequityfund. Datafor27EEAcountries.
03570105140GrowthMezzanineMulti-strategyOther
PEQVentureCapital Leveraged AIFs Unleveraged AIFsNote:Leveragedandunle
veragedprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsu
b-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,EUR
bn. LeveragedfundsidentifiedusingtheAIFreportingcodeasspecifiedinAnnex
2ofESMAguidelinesonAIFMDreportingobligationsDatafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
0%2%4%6%8%10%Growth CapitalMezzanine CapitalOther PE Cash and
securities OTC Exchange-tradedNote:Borrowingofcashandsecuritiesorembed
dedinderivativesbyprivateequityfunds,endof2019,in%oftotalexposure.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed. OTCandexchange-
tradedderiativesnetofmargins. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%1%2%3%4%GrowthcapitalMezzaninecapitalMulti-
strategyPEOtherPEVentureCapital Unencumbered
cashNote:Unencumberedcashheldbyprivateequityfunds,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
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ASR-AIF-S. 185 Financial leverage
ASR-
AIF-S. 186
Financial leverage composition
ASR-AIF-S. 187
Total exposures
ASR-AIF-S. 189 Cash and cash equivalents
ASR-AIF-S. 188
Decomposition of exposures
ASR-
AIF-S. 190
Cash and cash equivalents in
4Q19
0%4%8%UnsecuredborrowingSecured viaPBSecured viaotherShort
positionborrowing sec. Growth capital Mezzanine capital Multi-
strategy PEQF Other PEQF Venture CapitalNote:Cashandsecuritiesborrowed
byprivateequityfunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
PEQF=PrivateEquityFund.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%Growth capitalMezzaninecapitalOther
PEQFVentureCapital Short position borrowing sec. Secured via other
Reverse repo Secured via PB Unsecured borrowingNote:Shareofcashandsecu
ritiesborrowedbyprivateequityfunds,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
PEQF=PrivateEquityFund.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0501001502001Q192Q193Q194Q19 Other PE Mezzanine Capital
Venture Capital Multi-strategy Growth CapitalNote:Exposureofprivateequ
ityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreporte
d,EURtn. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
PE=Privateequityfund. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-
strategyPEOtherPEVentureCapital Securities CIUs Physical assets IRDs
FX CDS Other derivativesNote:Shareofexposuresbyprivateequityfunds'inve
stmentstrategies,endof2019,in%oftotal.
AIFsmangedand/ormarketedbyauthorisedEUAIFMs. PE=Privateequityfund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%1%2%3%1Q192Q193Q194Q19Hundreds Certificates of deposit
Commercial papers Other cash equivalent Other depositsNote:Cashandcash
equivalentsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV
. Governmentbondsexcludedfromothercashequivalents.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Certificates of deposit>1%Other cash equivalent93%Other deposi
ts7%Note:Shareofcashandcashequivalentsheldbyprivateequityfundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
81
ASR-AIF-S. 191 Equities
ASR-AIF-S.
192
Equities in 4Q19
ASR-AIF-S. 194
Sovereign
bonds in 4Q19
ASR-AIF-S. 196
Collective investment
undertakings in 4Q19
ASR-AIF-S. 193 Sovereign bonds
ASR-AIF-S. 195 Collective investment undertakings
0%20%40%60%80%100%1Q192Q193Q194Q19Hundreds Listed financial
inst. Other listed UnlistedNote:Privateequityfunds'exposuretoequity,A
IFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Other
listed10%Unlisted90%Note:Shareofequitiesheldbyprivateequityfundsin4Q19
. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
0. 00%0. 02%0. 04%0. 06%1Q192Q193Q194Q19 EU Sov >1Y TM EU Sov
up 1Y TM G10 Sov >1Y TM G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10
Sov up 1Y TMNote:Sovereignbondsexposureexposureofprivateequityfunds,AI
Fsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Non-G10 Sov >1Y
TM100%Note:Shareofsovereignbondsheldbyprivateequityfundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sov=Sovereignbonds,TM=TimetoMaturity. Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA
0%3%5%8%10%1Q192Q193Q194Q19Hundreds
CIUs by the AIFM CIUs by others ETF by the AIFM ETF by others MMFs by
the AIFM MMFs by othersNote:Collectiveinvestmentundertakingsexposureof
privateequityfunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
CIUs
by the AIFM33%CIUs by others60%ETF by the AIFM4%MMFs by others3%Note:S
hareofcollectiveinvestmentundertakingsheldbyprivateequityfundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
82
ASR-AIF-S. 197 Structured products in 4Q19
ASR-AIF-S. 198
Structured products in 4Q19
ASR-
AIF-S. 199 Corporate bond quality
ASR-AIF-S.
200
Corporate bonds in 4Q19
0. 00%0. 05%0. 10%0. 15%0.
20%1Q192Q193Q194Q19Hundreds ABCP ABS Agency MBS CDO/CLO CMBS ETP Other
RMBS Structured certificateNote:Structuredandsecuritisedproductsexposu
reofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Other29%RMBS64%Structured certificate7%Note:Shareofstructureda
ndsecuritisedproductsheldbyprivateequityfundsin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0. 0%0.
5%1. 0%1. 5%2. 0%2. 5%1Q192Q193Q194Q19Hundreds IG by fin. inst. IG by
non-fin. inst. Non-IG by fin. inst. Non-IG by non-fin. inst. Note:Co
rporatebondsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNA
V. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Non-
IG by fin. inst. 1%IG by non-fin. inst. 10%Non-IG by non-fin. inst.
89%Note:Shareofcorporatebondsheldbyprivateequityfundsin4Q19. AIFsmanag
edand/ormarketedbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassp
ort. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
83
‘Other AIFs’
AIF characteristics
ASR-AIF-S. 201 AIFMD passport
ASR-AIF-S.
202
EU and non-EU AIFs
ASR-AIF-S. 203 Market
concentration
Investment strategy by NAV
ASR-AIF-S.
204
ASR-AIF-S. 205 Investment regions by NAV
ASR-
AIF-S. 206
Investor type
EU passport90%EU w/o
passport6%Non-EU w/o passport1%Non-EU not marketed in EU3%Note:NAVofAI
FsclassifiedasOtherbymanager'saccesstoAIFMDpassport,endof2019,in%.
AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-
EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridis
dictionsw/opassportingrights. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfrastructureOther
EU Non-EUNote:ShareofEUandnon-
EUAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions,endof2019,in%of
NAV. Non-EUAIFsmarketedw/opassport. Datafor27EEAcountries.
0255075100top 10top 20top 50top 100top 500top 1,000 Market co
ncentrationNote:Marketconcentrationofthelargest10-to-1,000AIFsclassifi
edasOthermanagedand/ormarketedbyauthorisedEUandsub-thresholdmanagersre
gisteredonlyinnationaljurisdictions,endof2019,in%ofNAV.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Commodity1%Equity29%Fixed income39%Infrastructure3%Other28%Not
e:InvestmentstrategiesofAIFsclassifiedasOther,endof2019,in%ofNAV.
AIFsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-
thresholdmanagersregisteredonlyinnationaljurisdictions.
Datafor27EEAcountries. Sources:NationalCompetentAuthorities,ESMA.
Asia8%EEA58%Other Europe6%North America18%Supra National7%Rest
3%Note:RegionalinvestmentfocusofEUAIFsclassifiedasOthermanagedand/orma
rketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnatio
naljurisdictions,endof2019,in%ofNAV. Geo-focusdeterminedaccordingtothe
domicileofinvestmentsandthesupranationalcategoryincludinginvestmentswi
thoutapredominantgeo-focus. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%50%100%OtherInfrastructureFixed incomeEquityCommodity Retail
investors Professional investorsNote:ClientsofAIFsclassifiedasOtherAIF
smanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregis
teredonlyinnationaljurisdictions,endof2019,in%ofNAV.
Datafor27EEAcountries.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
84
Liquidity and counterparty risk profile
ASR-AIF-S. 207 Ownership of ‘other AIFs’
ASR-AIF-S.
208
Top five beneficial owners
ASR-AIF-S.
210
Equity: liquidity profile
Infrastructure: liquidity
profile
ASR-AIF-S. 212
ASR-AIF-S. 209 Commodity:
liquidity profile
ASR-AIF-S. 211 Fixed income: liquidity
profile
0%20%40%60%80%100%OtherInfrastructureFixed
incomeEquityCommodity Banks General gov. Households Insurances Non-
profit None Oth. CIUs Oth. fin. institutions Pension funds UnknownNote
:OwnershipofunitsinAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyaut
horisedEUAIFMs,endof2019,in%ofNAV.
CIUs=Collectiveinvestmentundertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOther
fund EU passport EU w/o passport Non-EU w/o passportNote:Investorconce
ntrationofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFM
s,endof2019,in%ofNAV. InvestorconcentrationcomputedasshareofAIFequityb
eneficiallyownedbythe5largestinvestors. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%11%2…28%47%50%50%51%100%0%25%50%75%100%1 day orless2-7 d8-30
d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:Portfolioandinve
storliquidityprofilesoffundsofcommodityfundsmanagedand/ormarketedbyaut
horisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercentageofth
efunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,investo
rliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
26%62%71%75%80%84%38%82%89%94%95%96%100%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:
Portfolioandinvestorliquidityprofilesofequityfundsmanagedand/ormarkete
dbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedasthepercenta
geofthefunds’assetscapableofbeingliquidatedwithineachspecifiedperiod,i
nvestorliquiditydefinedastheshortestperiodforwhichinvestorscanredeem.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. .
38%73%81%86%87%89%40%79%83%86%88%90%100%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:
Portfolioandinvestorliquidityprofilesoffixedincomefundsmanagedand/orma
rketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedastheper
centageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedper
iod,investorliquiditydefinedastheshortestperiodforwhichinvestorscanred
eem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
3%3%4%4%4%6%2%2%2%2%2%2%100%0%25%50%75%100%1 day orless2-7
d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:Portfolioa
ndinvestorliquidityprofilesoffundsofinfrastracturefundsmanagedand/orma
rketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefinedastheper
centageofthefunds’assetscapableofbeingliquidatedwithineachspecifiedper
iod,investorliquiditydefinedastheshortestperiodforwhichinvestorscanred
eem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
85
ASR-AIF-S. 213 Other: liquidity profile
ASR-AIF-S. 214
Redemption frequencies
ASR-AIF-S.
215 Redemption rights to investors
Liquidity financing
ASR-AIF-S. 216
ASR-AIF-S. 217 Securities trading
ASR-AIF-S. 218
Derivatives trading
40%68%75%81%8
4%87%47%74%78%79%81%82%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90
d91-180d181-365d> 365 d Investor PortfolioNote:Portfolioandinvestorliq
uidityprofilesofAIFsclassifiedasOtherandpursuing"other"strategiesmanag
edand/ormarketedbyauthorisedEUAIFMs,endof2019. Portfolioliquiditydefin
edasthepercentageofthefunds’assetscapableofbeingliquidatedwithineachsp
ecifiedperiod,investorliquiditydefinedastheshortestperiodforwhichinves
torscanredeem. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
d=Days. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Daily Weeklyto monthly Quarterly Quarterlyto
yearly OtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFscla
ssifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2019,in%of
NAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Open-end Closed-endNote:Redemptionrightsprovidedin
theordinarycoursetoinvestorsinAIFsclassifiedasOthermanagedand/ormarket
edbyauthorisedEUAIFMs,endof2019,in%ofNAV. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
100%20%100%0%48%55%100%2%100%0%25%50%75%100%1 day2-7 d8-30
d31-90 d91-180 d181-365d> 365 d Commodity Equity Fixed income
Infrastructure OtherNote:LiquidityfinancingofAIFsclassifiedasOthermana
gedand/ormarketedbyauthorisedEUAIFMs,endof2019. Aggregateamountofborro
wingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsar
econtractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancin
gincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasan
ytermfinancing. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%OtherInfrastructureFixed
incomeEquityCommodity Regulated market OTCNote:Estimatedmarketvalueofs
ecuritiestradedonOTCandregulatedexchangemarketsbyAIFsclassifiedasOther
managedand/ormarketedbyauthorisedEUAIFMs,in%. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%OtherInfrastructureFixed
incomeEquityCommodity Regulated market OTCNote:Estimatedvolumeofderiva
tivestradedonOTCandregulatedexchangemarketsbyAIFsclassifiedasOthermana
gedand/ormarketedbyauthorisedEUAIFMs,in%. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
86
ASR-AIF-S. 219 Repo trades clearing
ASR-
AIF-S. 220
Derivative transactions clearing
Leverage and
exposure
ASR-AIF-S. 221 Adjusted gross leverage
Leveraged and unleveraged AIFs
ASR-AIF-S.
222
ASR-AIF-S. 223 Borrowing embedded in financial instruments
ASR-AIF-S. 224
Unencumbered
cash
0%20%40%60%80%100%Other fundsFixed incomeEquityCommodity
CCP Tri-party BilateralNote:EstimatedmarketvalueofrepotradesclearedbyA
IFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,in%.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%20%40%60%80%100%Other fundsInfrastructureFixed
incomeEquityCommodity CCP BilateralNote:Estimatedvolumeofderivativescl
earedbilaterallyandviaCCPbyAIFsclassifiedasOthermanagedand/ormarketedb
yauthorisedEUAIFMs,in%. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%60%120%180%240%CommodityEquityFixedincomeInfra-
structureOther funds Median adjusted gross leverage AuM/NAVNote:Adjust
edgrossleverageoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,
endof2019,in%ofNAV.
AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.
FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.
Datafor27EEAcountries.
Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.
035070010501400CommodityEquityFixedincomeInfra-structureOther
Leveraged AIFs Unleveraged AIFsNote:LeveragedandunleveragedofAIFsclass
ifiedasOtherandmanagedand/ormarketedbyauthorisedEUAIFMsandsub-threshol
dmanagersregisteredonlyinnationaljurisdictions,endof2019,Leveragedfund
sidentifiedusingtheAIFreportingcodeasspecifiedinAnnex2ofESMAguidelines
onAIFMDreportingobligationsDatafor27EEAcountries.
Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.
0%8%16%24%CommodityEquityFixedincomeInfra-structureOther Cash
and securities OTC Exchange-tradedNote:Borrowingofcashandsecuritiesore
mbeddedinderivativesbyAIFsclassifiedasOther,endof2019,in%oftotalexposu
re. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. OTCandexchange-
tradedderiativesnetofmargins. Datafor27EEAcountries. Sources:AIFMDdata
base,NationalCompetentAuthorities,ESMA
0%5%10%15%20%25%30%Commo
dityEquityFixedincomeInfra-structureOtherfunds Unencumbered cashNote:U
nencumberedcashheldbyAIFsclassifiedasOther,endof2019,in%ofNAV.
EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
87
ASR-AIF-S. 225 Financial leverage
ASR-
AIF-S. 226
Financial leverage composition
ASR-AIF-S.
228
Decomposition of exposures
ASR-AIF-S.
230
Cash and cash equivalents in 4Q19
ASR-AIF-S. 227
Total exposures
ASR-AIF-S. 229 Cash and cash equivalents
0%5%10%15%UnsecuredborrowingSecured viaPBReverserepoSecured
viaotherShortpositionborrowingsec. Commodity Equity Fixedincome
Infra-structure OtherNote:CashandsecuritiesborrowedbyAIFsclassifiedasO
ther,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOther
Short position borrowing sec. Secured via other Reverse repo Secured
via PB Unsecured borrowingNote:ShareofcashandsecuritiesborrowedbyAIFsc
lassifiedasOther,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
02468101Q192Q193Q194Q19 Equity Fixed income Infrastructure
Other funds CommodityNote:ExposuresofAIFsclassifiedasOthermanagedand/o
rmarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%CommodityEquityFixedincomeInfra-
structureOtherfunds Securities CIUs Physical assets IRDs FX CDS Other
derivativesNote:ShareofexposuresbyinvestmentstrategiesofAIFsclassified
asOther,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%3%6%9%1Q192Q193Q194Q19Hundreds Certificates of deposit
Commercial papers Other cash equivalent Other depositsNote:Cashandcash
equivalentsexposurefundsclassifiedasOther,AIFsreportedquarterly,in%ofN
AV. Governmentbondsexcludedfromothercashequivalents.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Certificates of deposit6%Commercial papers7%Other cash
equivalent69%Other deposits18%Note:Shareofcashandcashequivalentsheldby
fundsclassifiedasOtherin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
88
ASR-AIF-S. 231 Equities
ASR-AIF-S.
232
Equities in 4Q19
ASR-AIF-S. 234
Sovereign
bonds in 4Q19
ASR-AIF-S. 236
Collective investment
undertakings in 4Q19
ASR-AIF-S. 233 Sovereign bonds
ASR-AIF-S. 235 Collective investment undertakings
0%7%14%21%28%35%1Q192Q193Q194Q19Hundreds Listed financial
inst. Other listed UnlistedNote:ExposuretoequityoffundsclassifiedasOt
her,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Listed financial inst. 15%Other listed78%Unlisted7%Note:Shareo
fequitiesheldbyfundsclassifiedasOtherin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries. S
ources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
0%6%12%1
8%24%30%1Q192Q193Q194Q19 EU Sov >1Y TM EU Sov up 1Y TM G10 Sov >1Y TM
G10 Sov up 1Y TM Non-G10 Sov >1Y TM Non-G10 Sov up 1Y TMNote:Sovereign
bondsexposureexposureofclassifiedasOther,AIFsreportedquarterly,in%ofNA
V. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Sov=Sovereignbonds,TM=TimetoMaturity. Datafor27EEAcountries.
EU Sov >1Y TM76%EU Sov up 1Y TM4%G10 Sov >1Y TM5%G10 Sov up 1Y
TM2%Non-G10 Sov >1Y TM12%Non-G10 Sov up 1Y TM1%Note:Shareofsovereignbo
ndsheldbyfundsclassifiedasOtherin4Q19AIFsmanagedand/ormarketedbyauthor
isedEUAIFMs. Datafor27EEAcountries.
Sov=Sovereignbonds,TM=TimetoMaturity. Sources:AIFMDdatabase,NationalCo
mpetentAuthorities,ESMA
0%5%10%15%20%1Q192Q193Q194Q19Hundreds
CIUs by the AIFM CIUs by others ETF by the AIFM ETF by others MMFs by
the AIFM MMFs by othersNote:Collectiveinvestmentundertakingsexposureof
fundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
CIUs
by the AIFM32%CIUs by others51%ETF by the AIFM1%ETF by others8%MMFs by
the AIFM5%MMFs by others3%Note:Shareofcollectiveinvestmentundertakings
heldbyfundsclassifiedasOtherin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
CIUs=CollectiveInvestmentUndertakings. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
89
ASR-AIF-S. 237 Structured products
ASR-
AIF-S. 238
Structured products in 4Q19
ASR-AIF-S. 239
Corporate bond quality:
ASR-AIF-S. 240
Corporate bonds
in 4Q19
0%1%2%3%4%1Q192Q193Q194Q19Hundreds ABCP ABS Agency MBS
CDO/CLO CMBS ETP Other RMBS Structured certificateNote:Structuredandse
curitisedproductsexposureoffundsclassifiedasOther,AIFsreportedquarterl
y,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ABS14%Agency
MBS20%CDO/CLO15%CMBS2%ETP3%Other30%RMBS12%Structured certificate4%Note
:ShareofstructuredandsecuritisedproductsheldbyfundsclassifiedasOtherin
4Q19. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries. Sources:AIFMDdatabase,NationalCompetentAuthorit
ies,ESMA
0%7%14%21%28%1Q192Q193Q194Q19Hundreds IG by fin. inst.
IG by non-fin. inst. Non-IG by fin. inst. Non-IG by non-fin. inst. N
ote:CorporatebondsexposureoffundsclassifiedasOther,AIFsreportedquarter
ly,in%ofNAV. AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
IG by
fin. inst. 36%Non-IG by fin. inst. 4%IG by non-fin. inst. 49%Non-IG by
non-fin. inst.
11%Note:ShareofcorporatebondsheldbyfundsclassifiedasOtherin4Q19.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs. Datafor27EEAcountries.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
90
Non-EU AIFs (NPPR)
AIF characteristics
ASR-AIF-S. 241 EU jurisdictions
ASR-AIF-S.
242
Non-EU AIFs’ domicile
ASR-AIF-S. 243 AIF
distribution by size
Investment strategy by NAV
ASR-
AIF-S. 244
ASR-AIF-S. 245 Investment regions by NAV
Investor type
ASR-AIF-S.
246
05001,0001,5002,0002,500UKLUFIIEDENOOther FoF HF PE RE
Other NoneNote:NAVbyauthorisingEUcountryofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
-1200%100%1400%2700%4000%01,0002,0003,0004,000USKYGGVIJPSG FoF
HF PE RE Other None Leverage
(rhs)Note:NAVbydomicileofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bn NAV Number of
AIFsNote:ShareofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD)bysize,endof2019. In%.
AIFsidentifiedviainternationalstandardidentifiers(LEI,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Commercial real estate4%Equity fund55%Event driven2%Fixed
income11%HF Equity4%Remaining
strategies24%Note:InvestmentstrategiesofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
Asia15%EEA12%North America66%Other Europe2%Rest4%Supra
National1%Note:RegionalinvestmentfocusofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. Geo-focusdeterminedaccordingtothedomicileofinvestments,supran
ationalcategoryincludinginvestmentswithoutpredominantgeo-focus.
0%25%50%75%100%FoFHedge fundPrivate equityReal estateOther
AIFTotal NPPR Retail investors Professional
investorsNote:ClientsofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
FoF=FundofFunds.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
91
Liquidity and counterparty risk profile
ASR-AIF-S. 247 Ownership of ‘other AIFs’
ASR-AIF-S.
248
Top five beneficial owners
ASR-AIF-S.
250
Non-EU FoFs: Liquidity profile
ASR-AIF-S.
252
Non-EU PE funds: Liquidity profiles
ASR-AIF-S. 249
Non-EU AIFs: Liquidity profile
ASR-AIF-S. 251 Non-EU HFs:
Liquidity profile
0%20%40%60%80%100%OtherREPEHFFoFTotal Banks
General gov. Households Insurances Non-profit None Oth. CIU Oth. fin.
institutions Pension funds
UnknownNote:OwnershipofunitsinAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Fo
F=FundofFunds;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIF
Top 5 beneficial investors Median
AverageNote:InvestorconcentrationofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV. Invest
orconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5larges
tinvestors. FoF=Fundoffunds.
75%80%84%87%88%100%32%87%90%91%92%-25%0%25%50%75%100%1 d
orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:
PortfolioandinvestorsliquidityprofilesofAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
8%8%9%40%46%48%100% 2%2%2%17%23%23%-25%0%25%50%75%100%1 d
orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d Investor PortfolioNote:
Portfolioandinvestorsliquidityprofilesoffundsoffundsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019. AIFsiAIFsidenti
fiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Portfolioliq
uiditydefinedasthepercentageofthefunds’assetscapableofbeingliquidatedw
ithineachspecifiedperiod,investorliquiditydefinedastheshortestperiodfo
rwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
11%11%40%58%70%77%100% 20%20%94%96%98%98%0%25%50%75%100%1 day
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorsliquidityprofilesofhedgefundsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%0%0%0%1%100%0%0%-10%15%40%65%90%1 d orless2-7 d8-30 d31-90
d91-180 d181-365d> 365 d Investor PortfolioNote:Portfolioandinvestorsl
iquidityprofilesofprivateequityfundsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
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ASR-AIF-S. 253d Non-EU RE funds: Liquidity
profiles
ASR-AIF-S. 254
Non-EU AIFs classified as
Other: Liquidity profile
ASR-AIF-S. 256
Redemption
rights to investors
ASR-AIF-S. 258
Financial
leverage
ASR-AIF-S. 255 Redemption frequencies
Leverage and exposure
ASR-AIF-S. 257 Adjusted gross
leverage
0%0%0%17%21%24%100% 0%16%17%17%0%25%50%75%100%1 d
orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNote
:Portfolioandinvestorsliquidityprofilesofrealestatefundsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
95%95%97%98%98%99%100%90%91%95%96%96%96%-10%12%34%56%78%100%1
d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 d Investor PortfolioNo
te:PortfolioandinvestorsliquidityprofilesofAIFsclassifiedasOthermarket
edbynon-EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip). Po
rtfolioliquiditydefinedasthepercentageofthefunds’assetscapableofbeingl
iquidatedwithineachspecifiedperiod,investorliquiditydefinedastheshorte
stperiodforwhichinvestorscanredeem. d=Days.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIF
Daily Weeklyto monthly Quarterly Quarterlyto yearly
OtherNote:Investorredemptionfrequenciesallowedbyopen-
endAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
FoF=FundofFunds,None=NoPredominantType.
0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIF
Closed-end Open-endNote:Redemptionrightsprovidedintheordinarycoursetoi
nvestorsinAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD),endof2019,in%ofNAV.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%120
0%2400%3600%0%200%400%600%800%FoFHedgefundPrivateequityRealestateOther
AIF Adjusted gross leverage AuM/NAV
(rhs)Note:AdjustedgrossleverageofAIFsAIFsmarketedbynon-
EUAIFMsw/opassportingrights(art. 42ofAIFMD),endof2019,in%ofNAV.
AdjustedgrossleveragedoesnotincludeIRDs.
FoF=Fundoffunds,None=Nopredominanttype.
0%40%80%120%160%FoFHedge fundPrivateequityReal estateOther AIF
Short position borrowing sec. Secured via other Reverse repo Secured
via PB Unsecured
borrowingNote:Cashandsecuritiesborrowed,endof2019,in%ofNAV.
marketedbynon-EUAIFMsw/opassportingrights(art.
42ofAIFMD),endof2019,inEURbn.
AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).
inEURbn. FoF=FundsofFunds,None=Nopredominanttype
ESMA Annual
Statistical Report on EU Alternative Investment Funds 2021
93
ASR-AIF-S. 259 Unencumbered cash
ASR-
AIF-S. 260
Decomposition of exposures
0%8%16%24%FoFHedge
fundPrivateequityReal estateOther AIF Unencumbered
cashNote:Unencumberedcash,endof2019,in%ofNAV. EUandnon-
EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
0%25%50%75%100%FoFHedgefundPrivateequityRealestateOtherAIFNone
Securities CIUs Physical assets IRDs FX CDS Other
derivativesNote:ShareofgrossexposuresbyAIFtype,endof2019,in%oftotal.
AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.
FoF=Fundoffunds,None=Nopredominanttype.
Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
94
Annex
ESMA Annual Statistical Report on EU
Alternative Investment Funds 2021
95
EU AIFMD data
reporting
Scope of ESMA AIF reporting
This report is
based on data submitted by National Competent Authorities (NCAs) to
ESMA, covering authorised EU and sub- threshold AIFMs on behalf of the
AIFs they manage. Data for products marketed by non- EU AIFMs under
the ART 42 AIFMD (NPPR) are described in the specific section ‘Non-EU
AIFs’ (see page 37). The EU data include the UK since this
jurisdiction was part of the EU in 2019.
The data are based
on reports transmitted to ESMA by 27 NCAs. Around 37,600 reports of
EU AIFs were transmitted to ESMA. Of those reports, we excluded
around 2,550 nil reports (empty reports sent by new AIFs) and 2,460
feeder funds to avoid double counting. The final sample is composed
of around 32,590 AIFs. 19
The report relies on a set of risk
indicators, a subset of the data provided under the AIFMD.
The risk indicators were chosen based on their relevance for
risk analysis and the quality of the data. 20 Looking forward,
ongoing cooperation with NCAs should allow ESMA to improve the set
of risk indicators in future editions.
Data quality
leverage
AIFMD reporting obligations cover a wide
range of indicators with different degrees of complexity in their
calculation. Some very important indicators, such as leverage
reported by AIFs, cannot be used at this stage owing to data-quality
issues. A variety of reporting errors (formatting, monetary values
instead of percentages, etc. ) prevent us from using the reported
indicators. Some other indicators are not always mandatory and may
not be requested at national level (e. g. the redemption frequency
for open-ended AIFs), which makes the use of aggregate data more
difficult. In this report, when the data used for the analysis are
based on a subset of our sample, this is specified. A detailed
inventory of analysed data and indicators is provided in the
inventory section at the end of the report.
Moreover, the
article “AIFMD data quality improvement – an overview” featured in
this
report describes the ongoing work of National Competent
Authorities and ESMA on AIFMD data quality.
Definition of
terms
Under the AIFMD, some concepts have a different
meaning from that commonly used in the industry. For clarification a
glossary is provided at the end of the report. The main concepts
used are the following:
— Regulatory AuM: Value of all assets
in a portfolio, including all assets acquired through use of
leverage (borrowing of cash or securities and leverage embedded in
derivative positions). This meaning of AuM is different from the
typical meaning of AuM in the industry, which relates to the assets
on the balance sheet of the AIF based on a mark-to-market
valuation.
— NAV: The net value of the assets of the AIF (as
opposed to the NAV per unit or proportion of the AIF). The NAV is
equal to the unit shares of the AIF, i. e. the money placed in the
AIF by investors, which corresponds to the concept of total net
assets sometimes used in the industry.
— Leverage: In this
report, leverage is measured by the ratio of regulatory AuM to NAV.
— Adjusted
leverage: This measure excludes IRDs from
the computation of leverage, following the approach used in the
previous report (ESMA, 2019). Indeed, the use of IRDs tends to
inflate leverage measures, since IRDs are measured using notional
amount (rather than adjusted by duration as done under the commitment
approach).
AIF reference sample
AIF-specific
information should be reported at the level of the compartments or
sub-funds when the AIF takes the form of an umbrella fund.
19
A description of the defined reference sample of
AIFs
20 The data inventory on pp. 86-87 summarises the
used in the analysis is available in the Annex.
coverage of each indicator used in this report.
ESMA
Annual Statistical Report on EU Alternative Investment Funds 2021
96
ASR-AIF. 112 Data cleaning Definition of the AIF
reference sample
A series of preliminary operations are
performed to define the sample of analysed AIFs and their
characteristics. These include the following:
— Exclusion of
reports that are not workable.
As for AIFMs, AIFs’ reports may
indicate that there is no information to be reported for the
specified reporting period (nil return). Firms also have the
opportunity to cancel previously submitted erroneous reports or amend
existing ones. For this reason, multiple amended reports by the same
fund for the same reporting period have to be detected so the data
can be properly consolidated.
that
—
Identification of feeder and master AIFs
—
Identification of each AIFM jurisdiction and managed and/o
marketed AIFs domicile
ASR-AIF. 113 Feeder AIFs Prevalence
of EU master-feeder AIFs
Feeder AIFs
EU
Non-EU
Total
with EU master without EU
master
Total
with EU master without EU
master
Total
AIFs filing
477
192
669
NAV (EUR bn) 173. 2 35. 2
208.
4
1,157 645
1,802
160. 5 76.
5
237
1,634 837
2,471
333. 7 111.
7
445. 4
Note: Number and NAV of feeder AIFs by
domicile, end of 2019.
Source: AIFMD database, National
Competent Authorities, ESMA.
ESMA Guidelines21 specify that
AIFMs and AIFs that have commenced have to start reporting from the
first day of the calendar quarter following authorisation or
registration.
AIFMs and AIFs that have not started any
activity must still report a nil return to the home competent
authority. Relatedly, AIFMs have to provide a report upon liquidation
of the AIFs
they manage.
Each AIF managed within the
scope of the Directive must have only one AIFM, responsible for
compliance with the requirements of the AIFMD. For this reason, the
inclusion in the analysis of products marketed by non-EU sub-
threshold managers does not introduce any bias or create double
counting of entities, as their AIFs cannot be passported.
As
of 6 October 2020, NCAs have gathered and made available to ESMA
37,590 reports for the end of 2019 of AIFs managed and/or marketed
by authorised EU and sub-threshold AIFMs. Of the initial data intake,
around 2,500 AIFs reported a nil return. The definition of the AIFs’
reference sample for the analysis requires further and consistency
checks (ASR-AIF. 111).
operations
cleaning
data
The final reference sample is constituted by
32,585 AIFs. Overall, 80% of them are managed by full-scope AIFMs
benefiting from the EU passport. The final sample includes 448 AIFs
without a predominant type (i. e. , reported as ‘None’).
Feeder funds are excluded from analysis to avoid any double
counting of assets (ASR- AIF. 112).
21 Link to the Guidelines
on reporting obligations under Articles 3(3)(d) and 24(1), (2) and
(4) of the AIFMD:
https://www. esma. europa.
eu/sites/default/files/library/2 015/11/2014-869. pdf
Data
inventory
Indicator
Description and reporting
guidelines
Reporting content
Reporting
items
Technical guidance
Data availability
Investment regions
Top five beneficial owners
Clients
Ownership
Geographical breakdown of
the investments held by the AIF by percentage of the total NAV of
the AIF.
See: ESMA guidelines, point 83; Q&As; Section III, 4
and 73.
NAV held by the five beneficial owners that have the
largest equity interests in the AIF.
See: ESMA guidelines,
point 100.
Note: 11% of AIFs (sold mostly to retail
investors), report 0.
Investor concentration for retail and
professional investors.
See: ESMA guidelines, point 101; Q&As;
Section III, 80.
Ownership of units in the AIF beneficially
owned by investor type.
See: ESMA guidelines, point 123 and
Annex II.
3(3)(d)- and 24(1)
78-85
Mandatory (all AIFs)
3(3)(d) and 24(1)
118
Mandatory (all AIFs)
3(3)(d) and 24(1)
119-120
Mandatory (all AIFs)
24(2)
208-209
Mandatory (all AIFs)
Redemption
frequencies
Frequency of investor redemptions. In case of
multiple classes of shares or units, the largest share class by NAV
shall be considered.
See: ESMA guidelines, point 121 and
Annex II.
24(2)
194
Liquidity profile –
Portfolio
Portfolio liquidity profile.
See: ESMA
guidelines, points 118-120; Q&As; Section III, 10, 11, 42 and 78.
24(2)
178-184, 186-192
Liquidity profile –
Investor
Investor liquidity profiles.
See: ESMA
guidelines, points 118-120; Q&As; Section III, 10, 11, 42 and 78.
24(2)
178-184, 186-192
Liquidity financing
Total financing amount by the longest period during which the
creditor is contractually committed to providing such financing.
See: Q&As; Section III, 2, 67
24(2)
211-217
Unencumbered cash
Value of unencumbered cash.
24(2)
185
Securities trading
Estimated % in terms of market value of securities traded on
regulated exchange and OTC markets.
See: Q&As; Section III, 8
and 27.
24(2)
148-149
Optional (AIFs must
report if information is available)
Mandatory (all AIFs
reporting under Article 24(2))
Mandatory (all AIFs
reporting under Article 24(2))
Optional (AIFs must report
if information is available)
Optional (AIFs must report
if information is available)
Optional (AIFs must report
if information is available)
Total FoF HF PE RE OTH
Total FoF HF PE RE OTH
Total FoF HF PE RE
OTH
Total FoF HF PE RE OTH
Total FoF HF PE
RE OTH
Total FoF HF PE RE OTH
Total FoF HF PE
RE OTH
Total FoF HF PE RE OTH
Total FoF HF
PE RE OTH
Total EU FoF HF PE RE OTH
100%
100% 100% 100% 100% 100%
100% 100% 100% 100% 100%
100%
98% 97% 98% 100% 100% 98%
98% 99% 99%
94% 99% 99%
96% 98% 99% 97% 95% 99%
90% 94%
94% 85% 89% 93%
86% 91% 92% 79% 81% 94%
27%
22% 33% 32% 38% 26%
89% 94% 92% 73% 82% 90%
52% 42% 69% 33% 16% 66%
Derivatives trading
Derivatives clearing
Repo clearing
Financial leverage
Estimated % in terms of trade
volumes of derivatives that are traded on regulated exchange and OTC
markets.
See: Q&As; Section III, 9.
Estimated % in
terms of trade volumes of derivatives transactions that are cleared
by a CCP and bilaterally.
See: ESMA guidelines, point 112;
Q&As; Section III, 22.
Estimated % in terms of market value
of repo trades that are cleared by a CCP, bilaterally and via tri-
party repo.
See: ESMA guidelines point 113; Q&As; Section
III, 23.
Leverage created by direct borrowing of money or
securities from counterparties.
See: ESMA guidelines, point
124; Q&As; Section III, 34, 44 and 69.
24(2)
150-151
24(2)
152-153
24(2)
154-156
24(2) and
283-286,
24(4)
289
Optional (AIFs must report if information is available)
Optional (AIFs must report if information is available)
Optional (AIFs must report if information is available)
Optional (AIFs must report if information is available)
Total EU FoF HF PE RE OTH
Total EU FoF HF PE
RE OTH
Total EU FoF HF PE RE OTH
Total EU FoF
HF PE RE OTH
30% 22% 57% 7% 9% 42%
22% 17%
49% 3% 6% 30%
5% 2% 9% <1% 2% 8%
43% 46%
54% 19% 35% 48%
Note: Main indicators and reporting
template items analysed in the report. Relative coverage defined as
the ratio of the total number of AIFs reporting it to the number of
AIFs expected to report it. Optional items filled only when
information is applicable.
Glossary
Alternative
Investment Fund (AIF): An AIF is a collective investment undertaking,
including investment compartments of such an undertaking, that raises
capital to invest it in accordance with a defined investment policy
for the benefit of investors. An AIF does not include an undertaking
that requires authorisation under the UCITS directive.
Alternative Investment Fund Manager (AIFM): An AIFM is an
entity that provides portfolio- management and risk-management
services to one or more AIFs as its regular business, irrespective of
where the AIFs are located or what legal form the AIFM takes.
AIFMD passport: The AIFMD passport allows AIFMs to manage or
market AIFs across the EU, on the basis of a single authorisation in
one EU Member State. Currently, only EU-authorised AIFMs managing or
marketing EU-domiciled AIFs have access to the passport.
Assets under management (AuM): Under the AIFMD, AuM are
defined as the value of all assets in a portfolio, including all
assets acquired through the use of leverage (borrowing of cash or
securities and leverage embedded in derivative positions). This
concept of AuM is different from the industry approach to AuM, which
typically relates to the assets of the balance sheet of the AIF.
Authorised Alternative Investment Fund Manager (AIFM):
Authorised AIFMs are subject to more stringent requirements than
registered AIFMs and can manage or market their AIFs across the
EU.
Commitment leverage: Ratio of exposures to the NAV, where
exposures are computed using the commitment approach, which takes
into account netting and hedging, and adjusts IRDs by duration.
Financial leverage: The ratio of total assets to equity (NAV
for funds), also called balance-sheet leverage. Financial leverage
involves outright borrowing and is defined as the ratio of total
assets to equity (or NAV for funds), in percentage. It can be
measured by aggregating unsecured cash borrowing, the value of
securities borrowed for short positions, collateralised/secured cash
borrowing via prime broker, reverse repo or by other means.
Gross exposure: The absolute sum of all portfolio’s positions,
long and short. It includes gross notional value for derivatives.
This measure provides a complete appreciation of all the leverage that
is employed by a fund to gain market exposure.
Gross
leverage: Leverage computed under the gross method, as indicated in
Commission Delegated Regulation (EU) No 231/2013. It is expressed as
the proportion of total gross exposure to NAV, in percentage. Under
the gross method, exposures are calculated as the absolute value of
all positions in the portfolio by including all assets and
liabilities, relevant borrowings, derivatives (converted into their
equivalent underlying positions) and all other positions, even those
held purely for risk-reduction purposes. Cash held in the base
currency of the AIF is excluded.
Interest rate derivatives
(IRDs): Under the AIFMD reporting requirements, IRDs exposures are
reported as the total gross notional value of the AIF’s outstanding
IRD contracts, including the total notional value of futures and the
delta-adjusted notional value of options. For the purpose of computing
the commitment leverage, IRDs are adjusted for duration.
Leverage: Ratio of fund market exposures to NAV. Market
exposures can be defined according to a variety of approaches,
including the gross approach and the commitment approach.
Liquidity management tools (LMTs): Provisions and techniques
established by a fund manager as part of the share redemption policy
for its funds. LMTs are generally communicated upfront in fund
disclosure documents.
Net asset value (NAV): The net value of
the assets of the AIF (as opposed to the NAV per unit or proportion
of the AIF).
Registered Alternative Investment Fund Manager:
Registered AIFMs are subject to lighter requirements than authorised
AIFMs and do not have access to the AIFMD passport.
List of
abbreviations Alternative Investment Fund Alternative Investment Fund
Manager Alternative Investment Fund Manager Directive Assets under
Management Collective Investment Undertakings Collateralised Loan
Obligation Commercial Real Estate Commodity Trading Advisor European
Central Bank European Economic Area European Fund and Asset Management
Association European System of Central Banks European Securities and
Markets Authority Exchange-traded fund Fund of Funds Hedge Funds
International Organization of Securities Commissions Interest rate
derivative International Securities Identification Number Legal Entity
Identifier Liquidity management tools Money Market Fund Net asset
value National Competent Authority National private placement regime
Private Equity Physical Assets percentage point Qualifying investor
fund Real Estate Securities Undertakings for the Collective Investment
in Transferable Securities AIF AIFM AIFMD AuM CIU CLO CRE CTA ECB EEA
EFAMA ESCB ESMA ETF FoF HF IOSCO IRD ISIN LEI LMT MMF NAV NCA NPPR PE
PA pp QIF RE S UCITS