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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. [email protected] europa. eu

ESMA Annual Statistical Report on EU Alternative Investment Funds 2021

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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

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90

94

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99

100

ESMA Annual Statistical Report on EU Alternative Investment Funds 2021

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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

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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

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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

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Market monitoring

ESMA Annual Statistical Report on EU Alternative Investment Funds 2021

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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

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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

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(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

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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

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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

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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

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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

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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

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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.

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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.

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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.

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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. .

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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

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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.

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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

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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

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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

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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.

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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.

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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.

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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

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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.

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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

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Statistics

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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

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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

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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.

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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.

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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.

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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.

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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

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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

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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

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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.

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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.

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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.

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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.

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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.

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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.

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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

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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

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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.

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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.

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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.

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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.

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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

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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

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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

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‘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.

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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.

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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.

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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.

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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

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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

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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

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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.

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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.

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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

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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.

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Annex

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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.

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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

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