2023

Investment Funds Statistics Report

FRJAN/24

The Boardof theInternational Orginization of Securities Commissions

Copies of publications are available from:The International Organization of Securities Commissions website www.iosco.org© International Organization of Securities Commissions 2024. All rights reserved.
Brief excerpts may be reproduced or translated provided the source is stated.

SUMMARY
Executive Summary
The Investment Funds Statistics Report (IFSR) is composed of survey submissions from IOSCO
members and incorporates a broad range of market statistics to better understand and analyze
the industry size, gross leverage, financial leverage, liquidity risk, and counterparty risk within
hedge fund, open-ended fund, and closed-ended fund industries around the globe. The 2024
IFSR contains information from 28 IOSCO member jurisdictions for the 2022 reporting year andencompasses 99,722 funds representing USD 54.5T in global aggregate net asset value (NAV)and ~80%[1] of the global investment funds industry.
The report contains data on qualified hedge funds (QHFs), open-ended funds (OEFs) andclosed-ended funds (CEFs), though reporting for OEFs and CEFs is limited in certain
jurisdictions. The report builds off the 2020 IOSCO Report on Hedge Funds[2] and incorporates
data for OEFs and CEFs from 2020 onwards. The data contains Form PF and N-PORT filings in
the United States (US), as well as data reported under the Alternative Investment Funds
Managers Directive (AIFMD) in the European Union (EU) and the United Kingdom (UK).
Additionally, Luxembourg, Italy, Spain, and Belgium provided data on Undertakings for Collective
Investment in Transferable Securities (UCITS)[3].
Overall, on an aggregate basis, both gross leverage and financial leverage remain low
for OEFs and CEFs. Gross leverage for QHFs remains higher than pre COVID-19 levels,
though it is trending downward, while financial leverage for QHFs remains low. Grossleverage for QHFs decreased 4.6%, while gross leverage for OEFs and CEFs has
increased 13.5% and 5.7% respectively from the 2021 reporting year. Gross leverage
stands at 10.3x NAV for QHFs, 2x NAV for OEFs and 1.11x NAV for CEFs. Further,decreased borrowing for QHFs and OEFs has led to declines in financial leverage of
45.4% for QHFs and 5% for OEFs. For CEFs, on an equivalent basis, borrowing has
increased 7%, though financial leverage has fallen significantly by 76%. This may be a
result of selection bias[4]. Financial leverage stands at 0.95x NAV for QHFs, 0.0095x
NAV (0.95%) for OEFs and 0.0356x NAV (3.56%) for CEFs.
In addition, based on the data collected, QHFs appear, in aggregate, to be able to meetinvestor liquidity demands under normal market conditions. However, the ability to meetinvestor liquidity demands may vary depending on the individual fund and their ability to
manage liquidity.
Finally, although the level of bilateral transactions is high, exposure to counterparties onaggregate is low, and based on this data counterparty risk is low. However, for certain
jurisdictions and fund types, counterparty risk may be high, though more data on marginand counterparty concentration is needed to adequately assess the risk for thesejurisdictions.

[1] The percentage is calculated using Preqin’s estimate for hedge funds as of September 2022 of USD 4.32T, ICI’s estimate for OEFs as of Q4 2022 of USD 64.66T
less USD 4.53T for funds-of-funds, and a comparative figure for CEFs of USD 4.05T using the percentage of total NAV for OEFs IOSCO has collected compared to
global estimates and Preqin’s 2021 estimates of Private Equity. In total, the above combined provides an estimate of the global investments funds industry to be USD
68.5T.
[2] See FR05/2020 Report on the Fifth IOSCO Hedge Funds Survey, Final Report, Report of the Board of IOSCO, April 2020, available at: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD653.pdf[3] See Chapter 2 – Data and Methodology for more details on the EU fund reporting regimes.
[4] The decline in CEFs’ financial leverage may be a result of the jurisdictions who have not submitted data for the 2022 reporting year but provided data for the 2021
reporting year, being more highly levered than the jurisdictions who have submitted responses for both reporting years.

iQualified Hedge Funds:
Equity strategies remained the dominant investment strategy by total aggregate NAV. The
use of relative value strategies by QHFs make them an important market participant in the
US Treasury (UST) Market, where they are very active in both sides of the market. Further,
they also contribute to two-sided UST repo markets by using reverse repos to finance theirholdings, and repos for investment purposes.
Sovereign Bonds, Listed Equities, Reverse Repos and Cash are the largest asset classexposures. The exposures to Sovereign Bonds and Reverse Repos are tied to QHFs’ useof Relative Value strategies and financing in repo markets. Further, QHFs contribute totwo-sided markets in both Canadian and European government bond markets.
Hedge funds are largely concentrated in the North American Markets. From the data
provided, Luxembourg, Switzerland, Jersey, Germany, and the Netherlands are morediversified globally.
The UK hedge funds are highly leveraged in interest rate (IR) derivatives and there isevidence to show that these positions are primarily speculative. Overall exposure to IR
and foreign exchange (FX) derivatives declined in 2022.
Borrowing and financial leverage fell significantly in 2022, while the cash ratio increased
by 20% to 31% of total aggregate NAV. A trend of QHFs reducing asset exposures while
increasing exposures to cash is observed.

Open-Ended Funds and Closed-Ended Funds:
When comparing jurisdictions who reported for both 2021 and 2022, there is an increasein the number of funds and decrease in total aggregate NAV for both OEFs and CEFs
year-over-year.
• Decline in OEFs’ aggregate NAV is driven by the US (-19%) and Luxembourg (-20%),
as a result of declining asset prices and market conditions. Combined, the US andLuxembourg make up 66% of the total aggregate NAV for OEFs.
• Decline in CEFs’ aggregate NAV is driven by France (-60%) following a widespread
reclassification of funds[5].
OEFs and CEFs have a large investment focus in Europe, in part due to the data received
from mostly EU countries and lack of available data from the US. As with QHFs, European
countries’ OEFs and CEFs (except for France) were more diversified globally.
OEFs are primarily divided into Equity Funds and Fixed Income Funds, whereas CEFs areprimarily Private Equity Funds.
OEFs’ gross leverage is increasing largely due to increases in synthetic leverage. It is also
important to note the potential for hidden leverage within CEFs due to the lack of reportingand disclosure transparency in private equity funds.

[4] The decline in CEFs’ financial leverage may be a result of the jurisdictions who have not submitted data for the 2022 reporting year but provided data for the 2021
reporting year, being more highly levered than the jurisdictions who have submitted responses for both reporting years.
[5] The decline in France CEFs is a result of AIFMD data enhancements which allowed for better determination of whether a fund is closed- or open-ended. This led toa significant increase in the classification of open-ended funds that had previously been determined to be closed-ended.

ii

CONTENTS
Table of Contents

Page

Executive Summaryi

Table of Contentsiii

List of Figures

iv

List of Tablesv

1. Introduction

1

2. Data and Methodology

2

3. Hedge Funds

5

3.1 Hedge Funds Aggregate Data

6

3.2 Hedge Funds Investment Strategy

7

3.3 Hedge Funds Geographical Investment Area

9

3.4 Hedge Funds Asset Class Exposure

11

3.5 Hedge Funds Derivatives Exposure

13

3.6 Hedge Fund Leverage15

3.7 Hedge Fund Counterparty and Liquidity Risk

17

4. Open-Ended Funds

20

4.2 Open-Ended Funds Investment Strategy

21

4.3 Open-Ended Funds Geographical Investment Area

22

4.4 Open-Ended Funds Asset Class Exposure

23

4.5 Open-Ended Funds Derivatives Exposure24

4.6 Open-Ended Fund Leverage25

4.7 Open-Ended Fund Counterparty and Liquidity Risk

27

5. Closed-Ended Funds

iii

19

4.1 Open-Ended Funds Aggregate Data29

5.1 Closed-Ended Funds Aggregate Data30

5.2 Closed-Ended Funds Investment Strategy

31

5.3 Closed-Ended Funds Geographical Investment Area

32

5.4 Closed-Ended Funds Asset Class Exposure

33

5.5 Closed-Ended Funds Derivatives Exposure

34

5.6 Closed-Ended Fund Leverage

35

5.7 Closed-Ended Fund Counterparty Risk

37

6. Conclusion

38

Appendices40

Appendix 1: NCA Fund Reporting Summary

40

Appendix 2: Additional Figures

41

Appendix 3: Additional Tables

42

LISTS
List of Figures

Page

Hedge Funds
Fig.1 Total Qualifying Hedge Funds

6

Fig.2 Quaflifying Hedge Funds by Jurisdiction

6

Fig.3 Total Aggregate NAV

6

Fig.4 Aggregate NAV by Jurisdiction

6

Fig.5 Percentage of NAV by Investment Strategy

7

Fig.6 Investment Strategy: Year-Over-Year Comparison

8

Fig.7 Total NAV by Geographical Investment Area9

Fig.8 Total NAV by Geographical Investment Area (w/ US Approximation)

9

Fig.9 Total NAV by Geographical Investment Area and Jurisdiction

10

Fig.10 Long/Short Asset Class Exposure11

Fig.11 Gross Asset Class Exposure11

Fig.12 Long/Short Derivatives Exposure

13

Fig.13 Gross Derivatives Exposure

13

Fig.14 Leverage Metrics

15

Fig.15 Total Aggregate Borrowing

16

Fig.16 Financial Leverage

16

Fig.17 Cumulative Average Investor and Portfolio Liquidity Risk

17

Fig.18 Centrally Cleared vs. Bilaterally Cleared18

Fig.19 Counterparty Risk

18

Open-Ended Funds

iv

Fig.20 Total Open-Ended Funds

20

Fig.21 Open-Ended Funds by Jurisdiction

20

Fig.22 Total Aggregate NAV

20

Fig.23 Aggregate NAV by Jurisdiction

20

Fig.24 Percentage of NAV by Fund Type21

Fig.25 Fund Type: Year-Over-Year Comparison

21

Fig.26 Total NAV by Geographical Investment Area

22

Fig.27 Total NAV by Geographical Investment Area and Jurisdiction

22

Fig.28 Gross Asset Class Exposure

23

Fig.29 Gross Derivatives Exposure

24

Fig.30 Leverage Metrics

25

Fig.31 Total Aggregate Borrowing

26

Fig.32 Financial Leverage

26

Fig.33 Centrally Cleared vs. Bilaterally Cleared27

Fig.34 Counterparty Risk

27

LISTS
List of Figures

Page

Closed-Ended Funds
Fig.35 Total Closed-Ended Funds

30

Fig.36 Closed-Ended Funds by Jurisdiction

30

Fig.37 Total Aggregate NAV

30

Fig.38 Aggregate NAV by Jurisdiction

30

Fig.39 Percentage of NAV by Fund Type31

Fig.40 Fund Type: Year-Over-Year Comparison

31

Fig.41 Total NAV by Geographical Investment Area

32

Fig.42 Total NAV by Geographical Investment Area and Jurisdiction

32

Fig.43 Gross Asset Class Exposure

33

Fig.44 Gross Derivatives Exposure

34

Fig.45 Leverage Metrics

35

Fig.46 Total Aggregate Borrowing

36

Fig.47 Financial Leverage

36

Fig.48 Centrally Cleared vs. Bilaterally Cleared37

Fig.49 Counterparty Risk

37

Appendix 2: Additional Figures
Fig.50 QHFs: Long/Short Credit Derivatives Exposure

41

Fig.51 QHFs: Long/Short Commodity Derivatives Exposure

41

List of Tables

Page

NCA Fund Reporting Summary
Tab.1 Fund Reporting by Jurisdiction

40

Hedge Funds
Tab.2 Hedge Fund Exposures

42

Tab.3 Hedge fund Leverage

43

Open-Ended Funds
Tab.4 Open-Ended Fund Exposures

44

Tab.5 Open-Ended Fund Leverage

45

Closed-Ended Fundsv

Tab.6 Closed-Ended Fund Exposures

46

Tab.7 Closed-Ended Fund Leverage47

1. INTRO
Third Edition of the Investment Funds Statistics Report
This is the third edition of the Investment Funds Statistics Report (IFSR). The investment funds
survey is comprised of three sections: qualified hedge funds, open-ended funds, and closedended funds. Each section collects aggregate information pertaining to the sectors leverage andrisk over different asset categories, geographical areas, liquidity, and counterparty measures.
The data is aggregated and analyzed to assess the industry size, gross leverage, financial
leverage, liquidity risk, and counterparty risk within the respective industries.
In comparison to the previous iteration of the IFSR, a slight decrease is observed in both
submissions and total NAV. When comparing with the metrics from the previous IFSR it
is important to account for the fact that the overall number of contributions is less. The
report will make reference to both the original comparison and an equivalent value
comparison. The equivalent value takes into account jurisdictions which had previously
submitted data for the 2021 reporting year but have opted not to submit for the 2022
reporting year.
It is also important to note that not all jurisdictions have submitted data for each fundtype due to lack of available data or due to the fact that the fund type does not exist inthat jurisdiction. Specifically, submissions from 11 jurisdictions were received pertaining
to qualifying hedge funds, 22 jurisdictions pertaining to open-ended funds, and 17
jurisdictions pertaining to closed-ended funds. Smaller jurisdictions, where the impact on
the report is relatively low, have only provided a total NAV for their respective
jurisdictions[6].
For each fund type, the impact from the changes in the data surveyed has been
described in the fund overview. In total, the jurisdictions who did not submit data for the2022 reporting year represented < 1% of QHFs’ total aggregate NAV, < 2% of OEFs’
total aggregate NAV, and < 2% of CEFs’ total aggregate NAV from the 2021 reportingyear. Thus, the impact on QHF, OEF, and CEF trends for the 2022 reporting year is low,
due to the relative size of the jurisdictions who did not submit data for 2022 being small.
The report aims to provide an overview of leverage, liquidity and counterparty risk to understandrisk and identify trends over time, however, changes in the data surveyed may impact theunderlying trend when taken at face value. As the report grows, the analysis and identification oftrends will further develop, and aid in better identification of size, leverage and risk throughout
the global funds industries.
The following pages are broken down as follows. In Chapter 2 describes the data sources usedin the study and the methodology of the calculations. Chapters 3, 4, and 5 provide an overview
and analysis of the global QHF, OEF and CEF industries. Within chapters 3 to 5, each chapter
includes subsections; subsection 1 describes the aggregate data, subsection 2 denotes thebreakdown of the investment strategy or fund type, subsection 3 describes the funds’
geographical investment focus, subsection 4 identifies the asset class exposures, subsection 5
identifies the derivatives class exposures, subsection 6 assesses the leverage measures, andsubsection 7 denotes the counterparty risk and liquidity risk (for QHFs only[7]). Chapter 6
summarizes and concludes the report.

[6] Please see Appendix 1 for a breakdown of the data received by jurisdiction.
[7] Liquidity risk data is not available for CEFs. For OEFs, the liquidity risk data collected may not be representative of the OEF industry as a whole.

12. DATA &METHOD
Data Sourced from IOSCO Investment Funds Survey
The data is sourced from IOSCO’s investment funds survey which is sent to all IOSCO members
and is submitted to IOSCO on a voluntary basis. Due to different reporting requirements indifferent jurisdictions, not all IOSCO members are able to contribute to the survey in its
entirety[8]. The data is cleaned and verified at the jurisdiction level and at an aggregate level.
Data is collected in USD, and where applicable is converted from local currencies using theclosing rate for the last business day of 2022. The data encompasses jurisdictions from aroundthe world and makes use of different reporting requirements already in place, such as Form PF
and N-PORT in the US and AIFMD and UCITS (for some jurisdictions) in the EU and the UK.
For the sections on leverage, gross leverage is defined per the 2019 IOSCO Recommendations
for a Framework Assessing Leverage in Investment Funds[9]; calculated as total aggregate
market exposure[10] over the total aggregate NAV. Gross notional exposure (GNE) is used inorder to aggregate and compare leverage across jurisdictions and fund types. As noted in the2019 report, GNE can overstate leverage for certain asset classes, therefore leverage is also
calculated excluding IR and FX derivatives. Further, due to the aggregate nature of the survey,
netting can only be done on an aggregate basis by asset class and not at the individual fund or
underlying asset level. Without a more detailed calculation of netting, net notional exposure may
not accurately reflect the net leverage and is excluded from the report.
In addition, synthetic leverage is defined as the total sum of the gross notional exposure of allderivatives over the total aggregate NAV, and financial leverage is defined as the total aggregate
notional amount of cash and securities borrowings over the total aggregate NAV.
Hedge Funds:
The data for hedge funds is captured based on the following criteria:
1. The fund must qualify as a hedge fund; (i) either based on criteria defined in its local
jurisdiction, (ii) based on its own declaration to its regulator or (iii) based on a
combination of criteria, such as the use of leverage, the complexity of strategies, and theapplication of performance fees.
2. The fund is at least partially managed by a regulated entity within their jurisdiction ormarketed in that jurisdiction.
3. The fund is managed by a single fund manager; funds-of-funds and multi-manager
funds are excluded from the data.
4. The fund is able to demonstrate that they are a QHF, in that they manage at least USD
500M of total global aggregate net assets (aggregate NAV). This includes the sum of all
accounts managed under the same strategy (for example including pooled funds andseparately managed accounts), to ensure the product is fully captured.
[8] Due to this there may exist some selection bias, where only jurisdictions who are capable of reporting will contribute to the survey. However, as noted in the
Executive Summary, the survey encompasses approximately 80% of the global investment funds industry by total aggregate NAV, and is therefore reflective of asignificant proportion of the population.
[9] See FR18/2019 Recommendations for a Framework Assessing Leverage in Investment Funds, Final Report, Report of the Board of IOSCO, December 2019,available at: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD645.pdf[10] Excluding cash and cash equivalents, as per the 2019 Recommendations for a Framework Assessing Leverage in Investment Funds, supra fn 8.

2

In some jurisdictions reporting is voluntary and subject to varying thresholds, however, the report
has consistently captured the largest jurisdictions by total aggregate NAV and, therefore, has
explanatory power capturing a majority of the hedge fund industry.
It is important to note that data collected in the US as a part of Form PF may contain QHFs who
are managed outside the US but are required to register with the SEC. Due to the methodology
and Form PF reporting capturing funds outside of the US, the data may be skewed towards the
US and under-represent the true value in certain jurisdictions where these funds have been
excluded.
Open-Ended and Closed-Ended Funds:
The National Competent Authority (NCA) reporting is based on the domicile of the fund. However,in some circumstances, data from funds whose asset managers are domiciled in otherjurisdictions is not available to the NCA responding to IOSCO. In that case, an NCA does notneed to provide data from these funds but has been encouraged, where possible, to provide anestimate of the total NAV of these funds.
Collection of UCITS Funds Data
Box.1: Reporting requirements for UCITS funds.

There is currently no standardized reporting framework for UCITS at the EU level, meaning
only a few EU jurisdictions receive UCITS data, based on their own national regulatory
reporting requirements. As such, most EU jurisdictions taking part in this exercise have notprovided granular-level data for UCITS. Unless specifically noted in the report, the European
data presented in this analysis is based solely on data submitted through the AIFMD(Directive 2011/61/EU) reporting framework. AIFMD applies to asset managers managing all
types of funds that are not covered by the UCITS Directive (Directive 2009/65/EC) regardlessof whether the alternative investment fund (AIF) is of an open-ended or a closed-ended type,whatever the legal form of the AIF, independently from whether the AIF is marketable to retailinvestors or not, and whether or not the AIF is listed. There are no rules on eligible assets andinvestment limits in the AIFMD framework, these rules are specified by national legislation.
There is currently a review of AIFMD and UCITS Directive which foresees the creation ofharmonized EU UCITS reporting. Under this proposal, all EU NCAs will receive data on
UCITS periodically. The new Directives are expected to be adopted early 2024, and therevised AIFMD framework and new UCITS framework will be in place 5 to 6 years thereafter(at the earliest).
Collection of US Form N-PORT Data
Box.2: US data reporting for open-ended funds.

US data on open-ended mutual funds was collected through publicly available N-PORT filings
located on the SEC’s EDGAR database. The data used in this analysis is obtained from all
N-PORT filings made to the SEC with a reporting date of either October 31st, November 30thor December 31st 2022 as registered funds may select different fiscal year-end reporting
dates. To allow for data comparability, fund-level data obtained through this process isaggregated, in accordance with a pre-defined template developed by IOSCO. In instanceswhere there is not a direct mapping, some discretion has been applied to identify the correct
aggregation. In other instances, there may be no data directly available from the N-PORT
database. Due to the lack of availability, the sections which do not include the US data havebeen noted.
On May 3, 2023, the U.S. Securities and Exchange Commission (“SEC” or “Commission”)
adopted amendments to Form PF, the confidential reporting form for certain SEC-registeredinvestment advisers to private funds.

3

The amendments seek to improve the ability of the Financial Stability Oversight Council(FSOC) to assess systemic risk and to provide meaningful information to the Commission’s
oversight of private fund advisers and its investor protection efforts. Among other things, theamendments will require large hedge fund advisers and all private equity fund advisers to filereports upon the occurrence of certain reporting events that could indicate significant stress ata fund or implicate investor protection concerns. The amendments will also require large
private equity fund advisers to report information on general partner and limited partner
clawbacks on an annual basis as well as additional information on their strategies andborrowings as a part of their annual filing.
Additionally, on August 23, 2023, the Commission adopted new rules and rule amendments toenhance the regulation of private fund advisers and update the existing compliance rule thatapplies to all registered investment advisers. The final rules will require private fund advisers
registered with the Commission to provide investors with quarterly statements detailing certain
information regarding fund fees, expenses, and performance. In addition, the final rules will
require a private fund adviser registered with the Commission to obtain and distribute toinvestors an annual financial statement audit of each private fund it advises and, in connection
with an adviser-led secondary transaction, a fairness opinion or valuation opinion. The final
rules will also prohibit all private fund advisers from providing investors with preferential
treatment regarding redemptions and information about holdings or exposures, in each case,where the adviser reasonably expects the preferential treatment to have a material, negative
effect on other investors. In all other cases of preferential treatment, the Commission adopted
a disclosure-based exception to the proposed prohibition, including a requirement to provide
certain specified disclosure regarding preferential terms to all current and prospective
investors. In addition, the final rules will restrict certain other private fund adviser activity thatis contrary to the public interest and the protection of investors.

4

3. HEDGE
FUNDS
Leverage Remains ConstantIn continuation of IOSCO’s 2020 hedge fund survey, the IFSR aims to provide an overview andassessment of the leverage and trends within the hedge fund industry. The report looks at QHF
data from IOSCO member submissions for December 31, 2022[11] The survey encompasses
data on 2,468 QHFs with a total NAV of USD 4.4T from 11 jurisdictions around the world.
Compared to the previous IFSR report, there is a slight decrease in submissions, with 11of 15 jurisdictions from 2021 providing data on QHFs. As a result, the number of QHFs
reported has fallen by 11%. When excluding the number of hedge funds from thejurisdictions that had provided data for 2021 but not 2022, there is a 2% decline in thenumber of hedge funds reported.
Similarly, the NAV for the 2022 reporting year has fallen 9.3% in comparison to the 2021
reporting year. Adjusting for the equivalent NAV, there is a 9% decrease in NAV for the2022 reporting year. Thus, the jurisdictions who provided data for the 2021 reporting year
and did not submit data for 2022, have little impact on the overall analysis.
The US represents approximately 83% of the total qualifying hedge funds reported on
the survey and 86% of the total NAV. Because the US represents such a large proportionof the data received, the following graphs and analysis are highly influenced by the US
data. Consequently, the decline in the US equity and bond markets[12] contributed to thedeclines in QHFs’ total aggregate NAV.

Overall gross leverage continues to decline since 2020, however, when interest rate (IR) andforeign exchange (FX) derivatives[13] are excluded there is an increase in gross leverage yearover-year. While this increase in gross leverage (excluding IR and FX derivatives) seems
significant, gross leverage (excluding IR and FX derivatives) remains lower than 2018 levels.

[11] The United States (SEC) data is submitted for September 31, 2022.
[12] Downturn in US stocks measured from the Wilshire 5000 Total Market Index. Downturn in US bonds measured from the S&P US Aggregate Bond Index.
[13] Gross Notional Exposure for Interest Rate and Foreign Exchange Derivatives may overstate funds exposure when not calculated on an equivalent basis. For more
information, see CR08/2018 IOSCO Report: Leverage, Consultation Paper, Report of the Board of IOSCO, November 2018, available at: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD615.pdf

5

3.1

Hedge Fund Aggregate Data

Total Qualifying Hedge Funds

Qualifying Hedge Funds by Jurisdiction

Fig.1: Aggregate number of qualifying hedge funds reported by all jurisdictions for 2022.

Fig.2: Total number of qualifying hedge funds reported by each jurisdiction for 2022.

2,546

1,971

2,040

2000

2,468

2,139

1,452
1,050

Number of Qualifying Hedge Funds

Number of Qualifying Hedge Funds

2,773

1500

1000

500
154
61

2012

2014

2016

2018

2020

2021

0

2022

US

43

35

34

30

25

19

18

9

N
L
S
Je
G
C
S
Ir
nc uxem inga anad witze elan ethe rsey erma
e
rla
rla d
a
bo por
ny
nd
nd
urg e
s

UK

Fra

Year-over-year comparison:
Total QHFs reported decreased by 11%. This is primarily a result of certain jurisdictions who had
previously participated in the survey not responding to the survey for 2022. Looking at the top four
jurisdictions ( US, UK, France[14], and Luxembourg) there is a slight increase in the number ofhedge funds reported for the UK ( +4) and Luxembourg (+4), whereas there is a slight decrease in
the number of hedge funds reported for the US (-30) and France (-6). Overall, comparing thejurisdictions that have reported for both 2021 and 2022 reporting years there is a 2% decline in thenumber of QHFs.
Conversely, total aggregate NAV decreased by 9% from the 2021 reporting year and when taking
into account the jurisdictions that had not reported for 2022, there is a similar decline in aggregate
NAV. This is due to the decline in the US aggregate NAV from USD 4.18T to USD 3.77T. Only three
jurisdictions saw increases; Switzerland, Luxembourg, and Jersey, while the remaining jurisdictions
experienced significant declines in total aggregate NAV.

Total Aggregate NAV

Aggregate NAV by Jurisdiction

Fig.3: Total aggregate NAV of qualifying hedge funds reported by all jurisdictions for 2022.

Fig.4: Aggregate NAV of qualifying hedge funds reported by each jurisdiction for 2022.

3.84

3500

4.4

4.07

Aggregate NAV (USD Billions)Aggregate NAV (USD Trillions)

4.85

3.22
2.6
1.86

3000
2500
2000
1500
1000

342

500

75
2012

2014

2016

2018

2020

2021

2022

0

US

UK

[14] Only 2 of 61 hedge funds for France are qualified hedge funds, representing 37% of total aggregate NAV.

6

71

61

28

28

8

6

4

2

N
G
F
J
I
C
S
S
xe witz inga relan ana erse ranc erm ethe
mb
erl
da
y
an
d
e
p
o
a
ou
y rland
re
rg nd
s

Lu

3.2

Hedge Fund Investment Strategy

Percentage of NAV by Investment Strategy
Fig.5: Aggregate NAV of qualified hedge funds as a percentage of total aggregate NAV broken down by investment strategy for 2022.

Investment Strategy

17.1%

Other
Equity Hedge: Long / Short

27.2%

Macro
Relative Value: Fixed Income Arbitrage
Equity Hedge: Long Bias
Credit Long / Short
Event Driven: Distressed / Restructuring
Credit Asset Based Lending
Event Driven: Equity Special Solutions

15.9%
0.01%
0.08%
0.29%
0.4%
1.2%
1.41%
1.57%
1.84%
2.46%
3.59%

Event Driven: Risk Arbitrage / Merger Acquisition
Relative Value: Convertible Bond Arbitrage
Relative Value: Volatility Arbitrage
Managed Futures / CTA: Quantitative
Equity Hedge: Market Neutral
Managed Futures / CTA: Fundamental
Equity Hedge: Short Bias

13.4%
6.3%
7.26%

Figure 5 provides a breakdown of QHF investment strategies[15]. From this graph, it is evident that around 70% of
the total aggregate NAV is accounted for in just four strategies; Other, Equity Hedge: Long/Short, Macro, andRelative Value: Fixed Income Arbitrage, with more than half of the aggregate NAV being accounted for in the first
three strategies respectively. Other may include a variety of strategies. When removing this category, Equity Hedge:
Long/Short, Macro, Relative Value: Fixed Income Arbitrage, and Equity Hedge: Long Bias are the dominant single
strategies of QHFs.
The “Other” investment strategy category is primarily driven by QHFs in the US, which encompassed a significant
portion of the total NAV reported by investment strategy[16]. In totality, as seen in previous years, equity strategies(Long/Short, Long Bias, and Market Neutral) remain the dominant investment strategies by total NAV for QHFs.
Importance of Qualified Hedge Funds in the US Treasury Market
Box.1: Federal Reserve findings on qualified hedge fund concentration in the US Treasury market.

It is important to note the role and concentration that QHFs play in the US treasuries market. The Federal
Reserve found that the 85% of the gross UST exposure was held by less than 3% of QHFs in 2020[17].
Moreover, the Federal Reserve notes the interconnectedness with other markets through the use of relativevalue strategies, whereby, hedge funds link UST cash and futures through on/off the run arbitrage (fixed income
arbitrage – primarily sovereign), UST cash/futures basis trades, and swap spread arbitrage. Hedge funds’ use of
these strategies also plays a significant role in two-sided UST repo markets by using reverse repos to financetheir holdings and repos for investment purposes.

[15] Please note, as a result of multi-strategy being accounted for through each investment strategy type, the category has been removed for the 2024 IFSR. The
remaining percentage of total aggregate NAV has been allocated to the Other category to more closely reflect the breakdown in the SEC report on “Private Fund
Statistics” (see fn 10). Some jurisdictions still have multi-strategy funds for which there is no breakdown available by investment strategy category. For these funds, theamount that is identified as “Multi-Strategy” has been allocated to the Other category. For the 2022 reporting year the total aggregate NAV of the “Multi-Strategy” funds
represents 2.18% of total aggregate NAV.
[16] See the SEC staff report on “Private Funds Statistics", SEC Division of Investment Management, April 2023, available at: https://www.sec.gov/files/investment/private-funds-statistics-2022-q4.pdf[17] See the Federal Reserve note on “Sizing hedge funds’ Treasury market activities and holdings”, October 2021, available at: https://www.federalreserve.gov/econres/notes/feds-notes/sizing-hedge-funds-treasury-market-activities-and-holdings-20211006.html

7Investment Strategy: Year-Over-Year Comparison
Fig.6: Year-over-year comparison of the aggregate NAV as a percentage of total aggregate NAV of qualified hedge funds broken down by investment strategy.
Note: Relative Value, Event Driven, and Managed Futures strategies have been rolled up into one category for comparison of the following graphs.

18.6%

17.9%

23.5%

2020

17.6%

2.94%

10.4%

56

%

6%

16.3%

6%

9.8%

6.4

6%

5.

11.7%

6.2

%

2022

16.4%

5.2

%

88

27.9%

3.28%

2.94%

4.9

5.
13.7%

2021

14.4%

17.5%

25.2%

7.18%
7.44%

Other

Equity Hedge: Long / Short

Relative Value

Macro

Equity Hedge: Long Bias

Equity Hedge: Market Neutral

Credit Long / Short

Event Driven

Managed Futures

Year-over-year comparison:
The dominant strategies for QHFs remain Other, Equity Hedge: Long/Short, Relative Value andMacro. Compared to the 2021 reporting years, Other, Relative Value and Macro strategies haveexperienced increases in percentage of total aggregate NAV, increasing 2.7%, 2% and 4.6%
respectively. Conversely, Equity Hedge: Market Neutral, Equity Hedge: Long Bias, and Managed
Futures strategies have experienced decreases in percentage of total aggregate NAV, decreasing
5.3%, 3% and 2.8% respectively.
Of note, Event Driven strategies remain high compared to the 2020 reporting period, andexperienced a slight year-over-year increase in percentage of total aggregate NAV.

80.297%
0.492%

3.3

Hedge Fund Geographical Investment Area

Total NAV by Geographical Investment Area
Fig.7: Total aggregate NAV of qualified hedge funds broken down by geographical investment area for 2022.
Note: Of the 11 jurisdictions who provided qualified hedge fund data only 10 jurisdictions provided data pertaining to the geographical investment area.

40

30

20

10

Figure 7 provides a breakdown of the QHFs’ geographical investment focus, excluding the US QHFs due to lackof available data. The breakdown provided therefore only represents approximately 15% of the total aggregate
NAV. Excluding the US, most of the QHFs’ investment focus is distributed within North America, followed by
Europe and Global (no specific investment area focus).

Total NAV by Geographical Investment Area (w/ US Approximation)
Fig.8: Total aggregate NAV broken down by geographical investment area including an approximation of the US geographical investment focus based on US Large HFs for 2022.
Note: The approximation for US Qualified Hedge Fund geographical investment focus is obtained from geographical exposure for Large US Hedge Funds.

60

50

40

30

20

10

As an approximation for qualified hedge funds in the US, the percentage of geographical region exposure forLarge Hedge Funds[18] is used. Figure 8 includes the approximation for the US. Including this data, about 65% of
the investment is focused on North America, 22% of the investment focus is in Europe, and 9.5% of theinvestment is in Asia and Pacific (including the Middle East). Overall, this shows that QHFs’ investments arehighly concentrated in the North American market.

[18] See the SEC report on “Private Funds Statistics”, April 2023, supra fn 139Total NAV by Geographical Investment Area and Jurisdiction
Fig.9: Total aggregate NAV of qualified hedge funds broken down by geographical investment area by each jurisdiction for 2022.

350B
North America
Europe (EEA)
300B

Europe (Other)
Asia and PacificSouth America

250B

AfricaMiddle East
Global

200B

150B

100B

50B

0

UK

Luxembourg

Switzerland

Singapore

CanadaIrelandJerseyFranceGermany

Netherlands

Looking at the geographical investment focus by jurisdiction in Figure 9, the geographical investment focus in North
America is primarily driven by the UK and Canada. More than half of their aggregate NAV is invested in this area.
Similarly, investment focus in Asia and Pacific is primarily driven by Singapore. Moreover, from the data provided,
Luxembourg, Switzerland, Jersey, Germany, and the Netherlands have a less concentrated geographicalinvestment mix and are more diversified globally.

10

3.4

Hedge Fund Asset Class Exposure

Long/Short Asset Class Exposure
Fig.10: Aggregate long/short exposures of qualified hedge funds broken down by asset class for 2022.

Long

Short

2.5T
2T
1.5T
1T
0.5T
0
−0.5T
−1T
−1.5T
So

ve

Lis

rei

gn

ted

Bo

Re

ve

Eq

nd

uit

rse

s

ies

Ca

sh

Re

Un

list

po

ed

Lo

an

Eq

s

Ot

he

Co

rA

rpo

uit

ss

ies

Str

ets

rat

eB

uc

CI

on

Co

U

tur

ed

ds

/Se

nv

cu

riti

ze

Ot

ert

ibl

dP

rod

Mu

he

ni.

r

eB

Ph

ys

/O

on

ds

th.

Ph

ica

Pu

b.

ys

l: R

ica

Lo
c

ea

al

uc

ts

l: C

lE

om

sta

m

te

De

bt

Gross Asset Class Exposure
Fig.11: Aggregate gross exposures of qualified hedge funds broken down by asset class for 2022.

4T

3.5T

3T

2.5T

2T

1.5T

1T

0.5T

0

So

ve

11

Lis

rei

gn

ted

Bo

nd

s

Re

ve

Eq

uit

ies

rse

Ca
Re

sh

po

Un

list

ed

Lo
Eq

an

uit

s

ies

Ot

he

Co

rA

ss

rpo

ets

Str

rat

eB

uc

Ph

on

tur

ds

ed

ys

/Se

U

l: R

cu

riti

Co

CI

ica

ze

ea

nv

dP

lE

sta

rod

te

uc

ts

Ot

ert

ibl

he

eB

r

on

ds

Mu

ni.

Ph

ys

/O

th.

ica

Pu

b.

l: C

om

Lo
c

al

m

De

bt

QHFs asset class exposures are highly concentrated in four main areas: sovereign bonds, listed equities, reverse
repos and cash. These four asset classes comprise approximately 80% of the total notional exposure of QHFs.
Year-over-year comparison:
There remains a large GNE to cash, which is observed in conjunction with decreases in GNE ofsovereign bonds and listed equities from the 2021 reporting year[19]. The IMF Coordinated Portfolio
Investment Survey observes that there was a steep decline in asset holdings for both debt and equity
securities from 2021 to 2022[20]. Based on the data observed, this trend is also apparent within the
QHF industry.
As per previous years, GNE is the largest for sovereign bonds. This can be partially attributed to theimportance of the relative value fixed income (sovereign arbitrage) strategies utilized by US QHFs (asnoted in Section 3.2: Hedge Fund Investment Strategy). Both large long and short exposures tosovereign bonds substantiate the findings by the Federal Reserve[21].
Additionally, as mentioned in Section 3.2, it is evident that repo markets remain a key method for QHFs to borrowcash to fund leveraged investment strategies, and also borrow securities to take short positions[22].
Evidence from Central Banks
Box.2: Sovereign Bonds and Repo Market Activity.

The Bank of Canada (BoC) found similar prominence of hedge funds as the Federal Reserve in the Governmentof Canada (GoC) bond market and repo markets[23]. The BoC found that hedge funds played an important rolein supporting two-sided markets by often taking opposite sides of trades compared to other market participants.
Hedge funds traded 14% of the volume of GoC bonds transacted by other clients, but in the opposite direction
to other clients. Viewed differently, all else equal, if hedge funds were not taking opposite directions on these
trades, dealers would need to intermediate an additional 14% of transaction volume from other clients using
their own balance sheets. In the repo market, hedge funds accounted for 36% of the dealer-to-client repo
market transaction volume where GoC bonds were used as collateral.
Furthermore, looking at the European banks’ asset exposures to non-bank financial institutions (NBFIs), there isa large percentage of repo liabilities[24], suggesting that NBFIs (including QHFs) have a significant exposure to
reverse repos and play a key role in European banks’ short-term funding.
When looking at the data for QHFs there are significant long and short exposures in the repo market. This meansthat QHFs act as both lenders and borrowers in the repo market. Because reverse repo data was not available inprevious reports, a comparison of trends prior to 2022 is not possible, and it is difficult to determine if there havebeen significant changes to repo market exposures of QHFs since 2020. That said, ICMA found that the EU, US,
and GBP repo markets were relatively calm at the end of 2022[25], in part due to initiatives by the ECB/DFA, Federal
Reserve and Bank of England (BoE) to address concerns around collateral scarcity and liquidity, and to stabilize themarkets.

[19] See FR01/23 IOSCO Investment Funds Statistics Report, Final Report, Report of the Board of IOSCO, January 2023, available at: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD725.pdf[20] See the IMF Data on Coordinated Portfolio Investment Survey (CPIS), August 2023, available at: https://data.imf.org/?sk=b981b4e3-4e58-467e9b90-9de0c3367363&sid=1481574691948[21] See the Federal Reserve note on “Sizing hedge funds’ Treasury market activities and holdings”, October 2021, supra fn 14[22] See the ICMA answers on “What is the role of repo in financial markets?”, August 2021, available at: https://www.icmagroup.org/market-practice-and-regulatorypolicy/repo-and-collateral-markets/icma-ercc-publications/frequently-asked-questions-on-repo/3-what-is-the-role-of-repo-in-the-financial-markets/[23] See the Bank of Canada note “Do hedge funds support liquidity in the Government of Canada bond market?”, August 2023, available at:https://www.bankofcanada.ca/2023/08/staff-analytical-note-2023-11/[24] See the ECB feature on “Key linkages between banks and the non-bank financial sector”, May 2023, available at: https://www.ecb.europa.eu/pub/financial-stability/fsr/special/html/ecb.fsrart202305_02~1ff06bc324.en.html[25] See the ECB article “Derivatives transactions data and their use in central bank analysis”, ’19 June, available at: https://www.ecb.europa.eu/pub/economic-bulletin/articles/2019/html/ecb.ebart201906_01~dd0cd7f942.en.html

12

3.5

Hedge Fund Derivatives Exposure

Long/Short Derivatives Exposure

Fig.12: Aggregate long/short exposures of qualified hedge funds broken down by derivative class for 2022[26] .

Long

Short

20T

15T

10T

5T

0

−5T

Interest Rate

Foreign Exchange

EquityOther

Commodity

CreditCreditCommodity

Other

Gross Derivative Exposure
Fig.13: Aggregate gross exposures of qualified hedge funds broken down by derivative class for 2022.

25T

20T

15T

10T

5T

0

Interest Rate

Foreign Exchange

Equity[26] AIFMD reporting does not allow for the segregation of long and short exposures, and due to the structure of the Investment Funds Survey, the reported data may
overestimate the long exposure for funds in jurisdictions under this reporting regime.

13

Figure 12 shows that QHFs have a large notional exposure to IR derivatives. It is important to note that aggregate
notional exposure to IR swaps does not accurately depict the size of the market due to the nature of the contracts.
The short-term nature of many IR Swaps, and the tendency to hold off-setting positions with counterparties,
significantly overstates the size of the IR Swap market[27]. Though specific product information is not collected, andthe relative size of IR Swaps is unknown, data from the ECB[28] suggests that IR Swaps make up over half of the IR
derivatives markets in the EU in notional terms. Further, given the size of the exposure to sovereign bonds and the
predominance of relative value fixed income strategies (as discussed in Section 3.4), it can be said that QHFs’
exposure to IR derivatives could be a result of hedging IR risk using IR Swaps, or speculation. Recent work by the
BoE suggests that UK hedge funds are not using IR Swaps for hedging purposes, rather they are using IR Swaps
for speculative purposes to increase exposures.
Qualified Hedge Fund Speculation with Interest Rate Derivatives in the UK
Box.3: Bank of England findings on the use hedging and hedge fund concentration of IR derivatives in the UK.

The BoE found little evidence to support hedge funds’ use of IR derivatives to hedge gilt exposures[29], which
does not support the use of IR derivatives to hedge sovereign bond positions. The findings suggest that IR
derivatives are primarily used for speculative purposes and tend to amplify exposures to sovereign bonds.
Further, the BoE found that the use of IR derivatives is highly concentrated among a few large hedge funds,
who have large speculative positions in both sovereign bonds and IR derivatives.
Thus, it cannot be concluded that leverage in the IR derivatives market is understated. Given the large amount oflong exposure to IR derivatives, and the findings by the BoE, there may be more speculation than hedging in thisarea. Specifically, when looking at the synthetic leverage in Table 3 (see Appendix 3), UK QHFs are significantly
more leveraged than other jurisdictions at about 60x NAV, with the next highest jurisdiction being the Netherlands at
11.1x NAV. It is important to note that, in aggregate, the total leverage may be overstated. Without more specificinformation on the duration of the derivatives, and the extent of off-setting positions with similar maturities, the total
leverage here may not be indicative of the level of risk.
For the 2022 reporting year, the report includes some survey data on long and short exposures to interest rate (IR)and foreign exchange (FX) derivatives, which was previously not available. However, the UK represents
approximately 68% of the GNE to IR derivatives and is not able to differentiate between long and short exposures,thus, the short exposure for IR derivatives may be significantly understated. The short exposure helps to provide amore accurate depiction of leverage on a net basis.
Year-over-year comparison:
While there remains a large amount of GNE to IR and FX derivatives, both derivative categories haveexperienced declines in size; the other derivative categories have grown slightly compared to the 2021
reporting year. On an equivalent basis, comparing jurisdictions who reported for both 2021 and 2022,
there is a 4% decrease in FX derivatives’ total GNE and 23% decrease in IR derivatives’ total GNE.
Due to the large amount of GNE in FX and IR derivatives, overall, on an equivalent basis, there is a
23% decline in Derivatives GNE for 2022.
Please see Appendix 2 for a breakdown of the credit derivative and commodity derivative categories.

[27] See the Commodity Futures Trading Commission Staff Research Paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets”, January 2018,available at: https://www.cftc.gov/sites/default/files/idc/groups/public/@economicanalysis/documents/file/oce_enns0118.pdf[28] See the ECB article “Derivatives transactions data and their use in central bank analysis”, June 2019, available at: https://www.ecb.europa.eu/pub/economicbulletin/articles/2019/html/ecb.ebart201906_01~dd0cd7f942.en.html[29] See the Bank of England working paper “Hedging, market concentration and monetary policy: a joint analysis of gilt and derivatives exposures”, July 2023, available
at: https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2023/hedging-market-concentration-and-monetary-policy-a-joint-analysis-of-gilt-and-derivativesexposures.pdf

14

3.6

Hedge Fund Leverage

Leverage Metrics
Fig.14: Aggregate leverage metrics of qualified hedge funds.

12.4
Gross Leverage (excl. IR and FX Derivatives)

12

Gross Leverage (inc. IR and FX Derivatives)
Synthetic Leverage

10.8
10.3
9.8

10

8.3
7.8

8

7.7

7.1

5.8

6

5.1
4.2
4

3.1

2014

2016

3.5

3.4

2020

2021

3.6

2.7

2018

2022

Gross leverage for QHFs remains lower than 2020 levels on aggregate, standing at 10.3x NAV. It is important tonote that on an individual fund or fund manager level, gross leverage may vary from the gross leverage values
presented in Figure 14. There is a similar pattern observed for synthetic leverage, resulting from the large proportionof derivatives exposure within QHFs’ total GNE. When excluding IR and FX, gross leverage stands at 3.6x NAV.
Year-over-year comparison:
Looking at Figure 14, gross leverage continues to decline from the peak observed in 2020, though it
remains significantly above the levels observed for 2018. When excluding IR and FX derivatives fromthe gross leverage calculation, leverage across the remaining asset classes is increasing, yet remains
below 2018 levels.
Synthetic leverage captures funds’ off-balance sheet risk from the creation of debt through the use ofderivatives. Synthetic leverage stands at 7.7x NAV and continues to decline from 2020 levels. This iscomplementary to the decreases described in Section 3.5. Overall, synthetic leverage is not seen as a
growing concern, yet some jurisdictions remain highly leveraged in this area (see Appendix 3 for abreakdown by jurisdiction).

15

Total Aggregate Borrowing
Fig.15: Total aggregate cash and securities borrowings of qualified hedge funds.
Note: Cash borrowings include borrowing from reverse repo transactions.

Cash

Securities

4T

3T

2T

1T

0

2016

2018

2020

2021

2022

Figure 15 depicts the trend for cash and securities borrowings by QHFs. While cash borrowings remain slightly
larger than securities borrowings again in 2022, QHFs reduced both their cash and securities borrowings by asignificant amount since 2021. Figure 16 depicts this reduction in total borrowing, with financial leverage falling from
1.74x NAV in the 2021 reporting year to 0.95x NAV in the 2022 reporting year. Recall that the data is measured at asingle point in time (December 31, 2022)[30], and this may explain the lower figure.
In total, funds posted approximately USD 4,692b in collateral, which is above the total amount of QHF borrowings.
This could be a result of the increased usage of repo markets to fund strategies, and the total amount of short
exposure (see Section 3.4). It appears that QHFs on aggregate are over-collateralized, though there is not enoughdata on the breakdown of collateral to assess the total collateral posted through securities financing transactions.
Further, without more information on the total margin, it is difficult to determine the true risk in this area. QHFs also
held approximately USD 1,374b in unencumbered cash. The cash ratio can be calculated as the total
unencumbered cash over the total aggregate NAV, equating to 0.31 (31%).
Year-over-year comparison:
The cash ratio for the 2022 reporting year is 0.31 (31%), which is a 20% increase year-over-year. Thisis primarily a result of unencumbered cash remaining at similar levels to the 2021 report, while total
aggregate NAV decreased. This might also suggest that hedge funds are holding more cash due toglobal macro uncertainty[31].
Financial LeverageFig.16: Aggregate cash and securities financial leverage by QHFs as a multiple of total aggregate NAV.
Note: Cash borrowings include borrowing from reverse repo transactions.

Cash Leverage
2

1.85

Securities Leverage
1.81

1.74

Total Financial Leverage

1.55
1.5
0.95

1

0.5

0

2016

2018

2020

2021

2022

[30] Except for the US data, which is observed on September 31, 2022.
[31] See Financial Times article “Big investors increase cash holdings to highest levels since 9/11 attack”, May 2022, available at: https://www.ft.com/content/d68fad67-8b0b-4e32-8a5a-52f3a7464e76

16

3.7

Hedge Fund Counterparty and Liquidity Risk

Cumulative Average Investor and Portfolio Liquidity Risk
Fig.17: Average aggregate investor and portfolio liquidity risk as a percent of total aggregate NAV of qualified hedge funds over each cumulative liquidity period for 2022.

81
Investor Liquidity

80

75

Portfolio Liquidity

70

70

62

62
60

51

51

50

38

40

34
30

19

20

10

6

1 day or less9

2 - 7 days

8 - 30 days

31 - 90 days

91 - 180 days

181 - 365 days

Figure 17 depicts QHFs’ ability to meet investors’ redemption demands over certain liquidity periods. The portfolio
liquidity line measures the cumulative amount of the fund’s portfolio that could be liquidated at each period. The
investor liquidity line measures the cumulative amount of the funds’ equity that could be redeemed by investors at
each period.
On average, investor and portfolio liquidity follow a similar trend, steadily increasing up to a peak between 181-365
days. Within one year, on average, the total cumulative amount of a QHF’s portfolio that could be liquidated is 81%,
which is sufficient to cover the total cumulative amount of investor redemptions of 62%. However, because this isviewed in aggregate and during normal market conditions, it is not necessarily indicative of liquidity demands understressed conditions and individual liquidity mismatches for each individual fund (see appendix 2 for a breakdown of
portfolio and investor liquidity by jurisdiction).
This is also in part due to the variance in lock-up periods and redemption frequencies associated with each qualified
hedge fund. Most qualified hedge funds have a lock-up period of at least 30-days, and it is evident by looking at
Figure 17 that after 30-days there is a significant increase in the percentage of equity able to be redeemed byinvestors.
See Appendix 2 for a breakdown of portfolio and investor liquidity by jurisdiction.

17

Centrally Cleared vs. Bilaterally Cleared
Fig.18: Box plot showing the spread of centrally cleared vs. Bilaterally Transacted percentages for each jurisdiction’s qualified hedge funds for 2022.
Note: The box plot shows the interqaurtile range (IQR), lower fence (Q1-(1.5*IQR)), upper fence (Q3+(1.5*IQR)), upper quartile - (Q3), lower quartile (Q1), and the median (solid line).
Additionally, the dotted line represents the mean, and the dotted triangles represent the standard deviation.

Cleared by CCP

Bilaterally Transacted

100

80

60

40

20

0
Cleared by CCP

Bilaterally Transacted

Figure 18 describes the split between trades cleared through a central clearing counterparty (CCP) and trades thatare transacted bilaterally. It is evident from this graph that most QHFs’ over-the-counter (OTC) derivatives trades
are bilaterally transacted, rather than through a CCP. From the data collected, on average, 63% of QHF trades aretransacted bilaterally, and 32.5% of QHF trades are cleared through a CCP. It is also evident that the median is less,with half of the jurisdictions reporting less than 20% of trades cleared through a CCP. Without sufficient data on
margin, it is difficult to identify the true risk associated with this level of bilateral transactions.
The level of bilateral transactions suggests that counterparty risk could be high in certain jurisdictions. However,looking at Figure 19, on aggregate, the total counterparty risk borne by QHFs is relatively low, with France having
the highest counterparty exposure of 44% total aggregate NAV.
Hedge Fund Counterparty Risk

Fig.19: Total aggregate counterparty risk borne by qualified hedge funds for each jurisdiction for 2022.32.

Counterparty Risk % of NAV

40

30

20

10

0

FranceSingapore

Netherlands

Luxembourg

Switzerland[32] Under AIFMD, funds are only required to report the total exposure amount to the top 5 greatest counterparty exposures.

18

Ireland

4. OPENENDED
FUNDSOpen-Ended Funds Risk Remains Low
The report provides an overview and assessment of the leverage within the open-ended funds
industry. This section relies on OEF data from IOSCO member submissions for December 31,
2022[33]. The survey encompasses data on 72,115 OEFs with a total aggregate NAV of USD
46.6T from 22 jurisdictions around the world.
It is important to note that some jurisdictions with large fund industries do not have the reporting
requirements in place to participate in the report. Specifically, for European jurisdictions,harmonized reporting requirements only exist for funds that fall within the scope of AIFMD
reporting. Due to this, only Luxembourg, Italy, Spain, and Belgium provide data on UCITS.
Luxembourg[34] and Italy[35] do not have more granular data available for UCITS, therefore
adjustments have been made to the total aggregate NAV in the leverage calculations.
Excluding Luxembourg and Italy, which do not have granular data available on UCITS forleverage calculations, and China, Sections 4.4 to 4.7 encompass data on 51,252 OEFs with a
total aggregate NAV of USD 39.47T.
For the 2022 investment funds survey there is a significant change in both the number offunds reported and total aggregate NAV, compared to the 2021 reporting year.
Compared to last year, 8 fewer submissions were received, a 24% decrease inparticipation year-over-year.
The total number of OEFs decreased by 2.4%. Excluding the jurisdictions who provided
data for 2021 and not 2022, however, there is a 6% increase in number of funds
reported.
Similarly, aggregate NAV for the 2022 reporting year has fallen 16% in comparison to the2021 reporting year. Adjusting for the funds that have reported for both 2021 and 2022, a
14.5% decrease in total aggregate NAV for the 2022 reporting year is observed. Given
the comparable decrease in total aggregate NAV, the reduced number of submissions isrelatively inconsequential.
The US accounts for 16% of the OEFs and 56% of the total NAV captured in Section 4.1.
Therefore, the following graphs and analysis are highly influenced by the US data.
Consequently, downturn in the US equity and bond markets[36] contributed to the significant
declines in OEFs’ total aggregate NAV.
Overall, OEF gross leverage has increased in 2022, primarily as a result of increase in IR
derivatives GNE. Excluding IR and FX derivatives, gross leverage declined in 2022. Further,financial leverage has fallen from the 2021 reporting year, and both gross leverage and financial
leverage remain relatively small. In addition, OEFs primarily transact their OTC derivatives
trades bilaterally rather than through a CCP.
[33] The data for the US may be from October 31, 2022, November 30, 2022, or December 31, 2022 depending on when the fund has submitted their data.
[34] Luxembourg has UCITS data on fund type and geographical investment focus.
[35] Italy’s UCITS data is not consistent with the IOSCO template structure.
[36] Measured from the Wilshire 5000 Total Market Index and the S&P US Aggregate Bond Index, supra fn. 10.

19

4.1

Open-Ended Fund Aggregate Data

Total Open-Ended Funds

Open-Ended Funds by Jurisdiction

Fig.20: Aggregate number of open-ended funds reported by all jurisdictions.

72,115

61,120

2021

2022

13k
12k
11k
10k
9k
8k
7k
6k
5k
4k
3k
2k
1k
0

95 89 49

o
ic a
ex ni
M a
om
R sey iar b
Je om lol a
C rtugd
Po le anhi rl
C itze oc g
Swroc ono K s
M ng and
o rl
H the
e m
N lgiuBeK
U yl
Ita ain ny
Sp ma
er
G nce
a a
Fr nada
C land
Ire a
n
hi
C zil
a
rg
Br
ou
S b
U em
x
Lu

2020

Fig.21: Total number of open-ended funds reported by each jurisdiction for 2022.

Number of Open-Ended Funds

Number of Open-Ended Funds

73,905Year-over-year comparison:

Total OEFs reported[37] decreased by 2.4%, however, looking at the top five jurisdictions there is anincrease in the number of OEFs reported: Luxembourg (+173), the US (-179), Brazil (+883), China(+1,506) and Ireland (+451). Overall, comparing the jurisdictions that have reported for both 2021
and 2022 reporting years there is a 6% increase, and a weighted-average increase of 10%. Further,
there was a significant increase in the number of OEFs reported by France (+104%) due to awidespread reclassification of funds[38], and significant decrease in the number of OEFs for Spain(-32%)[39].
Conversely, total aggregate NAV decreased by 16% from the 2021 reporting year and when taking
into account the jurisdictions who had not reported for 2022, there is an 14.5% decline in total
aggregate NAV. This is largely due to declines in the US (-19%), Luxemburg (-20%)[40], and theNetherlands (-38%). Only three jurisdictions saw increases; France (+99%)[41], China (+59%) andBrazil (+15%), while all remaining jurisdictions experienced declines in total aggregate NAV.
Total Aggregate NAV

Aggregate NAV by Jurisdiction

Fig.22: Total aggregate NAV of open-ended funds reported by all jurisdictions.

Fig.23: Total aggregate NAV of open-ended funds reported by all jurisdictions for 2022.

46.6

43

2021

2022

20k

15k

10k

5k

0

54 54 47 22 17 11 3

ia
an
om o
R xic ia
e b
M m l
o
ol a
C rtug o
c
Po oc
or
M le
hi
g
C sey on
r K
Je ng
o m
H iu
g
l
Be
s
ly
Ita ain and
rl
Sp he
et
N
d
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U nce lana r
Fr itze
Sw zil nyaBr rmae a
G adan
C land gr
Ire na ou
hi b
C em
x
Lu
S
U

2020

25k
Aggregate NAV (USD Billions)Aggregate NAV (USD Trillions)55.1[37] Total number of OEFs and total NAV for Italy include UCITS funds, the proceeding figures do not.
[38] The large increase is a result of better classification of open-ended funds, supra fn 5.
[39] The large decrease is a result of changes in the tax regime that caused liquidation or transformation of a large number of investment companies, largely
concentrated in a small number of investors. The size of these companies were small and the impact on total OEFs NAV was less significant.
[40] Declines by Luxembourg are a result of falling asset prices and market conditions.
[41] As mentioned above, due to widespread reclassification.

20

4.2

Open-Ended Fund Type

Percentage of NAV by Fund Type
Fig.24: Aggregate NAV of open-ended funds as a percentage of total NAV broken down by fund type for 2022.

Fund Type
Fixed Income Funds

30%

Equity Funds

36.7%

Mixed Funds
Other
Real Estate
Alternative strategies aimed at achieving an absolute return
Commodity Funds

0.2%
0.79%
4.5%

16.6%
11.1%

Figure 24 provides a breakdown of open-ended fund type[42]. This graph shows that more than two-thirds of thetotal aggregate NAV is accounted for in two fund types: Fixed Income Funds and Equity Funds. The remaining thirdis largely distributed in Mixed Funds and Other, with Real Estate, Alternative Strategies and Commodity Funds
encompassing about 5.5% of the total aggregate NAV.
Year-over-year comparison:
Compared to the previous two iterations of the IFSR which had collected data on OEFs, there is asimilar breakdown of OEF type. Fixed Income Funds and Equity Funds remain similarly split, while
growth is observed in the Real Estate Fund category (+16% YoY). This increase is a result of
increases in France (+38%) and Luxembourg (+17%). Real Estate Funds represent a relatively
small proportion of total aggregate NAV, accounting for less than 1% of the overall growth.

Fund Type: Year-Over-Year Comparison
Fig.25: Year-over-year comparison of the aggregate NAV as a percentage of total aggregate NAV of open-ended funds broken down by fund type.

30.3%

35.4%

31.1%

2020

2021

Fixed Income Funds

3.

16.8%

9%

18.4%
12.5%

Equity Funds

Mixed Funds

11.2%

Other

[42] Excluding the US, US OEF fund type data is not available. Includes UCITS data for Luxembourg, Spain, and Belgium.

21

Real Estate

%

14.1%

%

2022

54

04

37.1%

4.

4.

16.2%

30.3%

34.2%

4.3

Open-Ended Fund Geographical Investment Area

Total NAV by Geographical Investment Area
Fig.26: Total aggregate NAV of open-ended funds by geographical investment area for 2022.

30
25
20
15
10
5

Figure 26 provides a breakdown of OEFs’ geographical investment focus of all jurisdictions except the US.
Excluding the US, ~62% of the investment focus is distributed within North America and Europe, while theremaining 48% is largely Global and Asia and Pacific.

Total NAV by Geographical Investment Area and Jurisdiction
Fig.27: Total NAV of open-ended funds by geographical investment focus for each jurisdiction for 2022.

North America
4T

Europe (EEA)
Europe (Other)
Asia and Pacific

3T

South America
Africa2T

Middle East
Global

1T

0

Lu

xe

Ch

mb

ou

ina

rg

Ire

lan

d

Ca

na

da

Ge

Sw
Fra
UK
i
an tzerl nce
an
y
d

rm

Ne

Be
Sp
Ho
Ch
Je
r
lgi
a
ile
um ng K sey
rla in
o
nd
ng
s

the

Mo

Co
Ita
Br
az Portu Mexi
il
co lomb ly
ga
co
ia
l

roc

Figure 27 describes the geographical investment focus by jurisdiction. The geographical investment focus inEurope (EEA) is predominantly by European OEFs. Luxembourg, Ireland and Netherlands also have a large
investment focus in North America. Similar to QHFs, the EU OEFs (except France) have a less concentrated
geographical investment mix and are more diversified globally compared to other jurisdictions.

22

Ro

ma

nia

4.4

Open-Ended Fund Asset Class Exposure

Gross Asset Class Exposure
Fig.28: Aggregate gross exposure of open-ended funds broken down by asset class for 2022.

20T

15T

10T

5T

0

Lis

ted

Co

Eq

uit

rpo

ies

So

rat

eB

ve

Ca

on

rei

ds

gn

sh

Bo

CI

nd

s

U

Ot

he

r

Str

uc

Mu

tur

ed

ni.

/Se

Ot

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th.

Pu
b

ze

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ss

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Re

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ets

ca

rod

lD

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ts

eb

Lo

an

Re

po

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Ph

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Un

ica

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l: R

list

ea

lE

ed

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nv

sta

uit

te

Ph

ert

ies

ys

ibl

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on

ds

t

OEFs hold few short positions across the asset classes. In total, short positions for all asset classes represent lessthan 1% of total aggregate NAV. Therefore, a gross exposure is provided in Figure 28 rather than a breakdown oflong and short exposures.
In Section 4.2, it is noted that a majority of OEFs are split into Equity Funds and Fixed Income Funds. Further
evidence of this is seen when looking at the gross exposures. From Figure 26, OEFs are highly exposed to Listed
Equities, which encompasses 52% of the total aggregate NAV for OEFs. Accounting for Listed Equities, Corporate
and Sovereign Bonds make up approximately 40% of the remaining aggregate NAV. In total, Listed Equities,
Corporate Bonds, and Sovereign Bonds account for 70% of the total aggregate NAV of OEFs.
Year-over-year comparison:
The aggregate NAV of Corporate and Sovereign Bonds, as well as the percentage share of Fixed
Income OEFs (see section 4.2), is falling. On an equivalent basis, comparing those who submitted
data for both the 2021 and 2022 reporting years, exposure to Corporate Bonds decreased by 15%
and exposure to Sovereign Bonds decreased by 12.5%.

23

l: C

om

m

4.5

Open-Ended Fund Derivatives Exposure

Gross Derivative Exposure
Fig.29: Aggregate gross exposure of open-ended funds broken down by derivatives class for 2022.

45T
40T
35T
30T
25T
20T
15T
10T
5T
0

Interest Rate

Foreign Exchange

EquityCreditOther

Commodity

Similar to asset class exposures, OEFs are primarily long derivatives. OEFs’ total short GNE represents 5% of total
aggregate NAV, primarily consisting of short IR derivatives exposure which accounts for 2.4%. This is significantly
smaller compared to the long GNE, which represents 104% of total aggregate NAV. Therefore, the GNE ofderivatives classes is exhibited in Figure 29 rather than a breakdown of long and short exposures.
Like QHFs, OEFs have a large exposure to IR derivatives, followed by FX and Equity derivatives. This may be a
result of the large exposure to Corporate and Sovereign Bonds as discussed in Section 4.4, whereby IR derivatives
are used for hedging IR risk or to speculate in these markets. It is important to note that the majority of the exposure
to IR derivatives comes from the US data, which accounts for approximately 98% of the IR derivatives GNE.
Year-over-year comparison:
In comparison to the 2021 reporting year, there is a significant increase in the GNE for IR
derivatives (+54%)[43], while there is a significant decrease in GNE for Equity derivatives (-80%) andin GNE for FX derivatives (-28%).
Although data on UCITS is only available for Belgium and Spain[44] for OEF derivatives exposures, the small
contribution outside of the US OEFs seems to corroborate with the 2019 findings by ESMA on the use of derivatives
by UCITS equity funds[45]. ESMA notes that UCITS are minor in the derivatives market, and their exposure makes
up a relatively small portion of the overall EU derivatives market on a gross basis. The derivatives positions for theother EU jurisdictions[46] who only report AIFs are also small, with the total GNE of all derivatives classes amounting
to 2.5T (< 5% of total derivatives GNE for all jurisdictions).
See Appendix 3 for a table with all OEF exposures.

[43] Part of this growth may be attributed to better reporting and N-PORT data mapping.
[44] Belgium and Spain also provide data on AIFs.
[45] See ESMA report Use of derivatives by UCITS equity funds, November 2019, available at: https://www.esma.europa.eu/sites/default/files/trv_2019_2use_of_derivatives_by_UCITS_equity_funds.pdf[46] France, Germany, Ireland, Portugal, Italy, Luxembourg, Netherlands, and Switzerland.

24

4.6

Open-Ended Fund Leverage

Leverage Metrics of Open-Ended Funds
Fig.30: Aggregate leverage metrics of open-ended funds.

3
Gross Leverage (inc. IR and FX Derivatives)
Gross Leverage (excl. IR and FX Derivatives)
Synthetic Leverage

2.5

2.0

2

1.85
1.68

1.5

1.2

1.19

1.18
0.95

1

0.81
0.6

0.5

0

2020

2021

2022

For OEFs, leverage is calculated as described in Section 3.6. Gross leverage remains low on aggregate, standingat 2x NAV. Excluding IR and FX derivatives, gross leverage stands at 0.95x NAV. Synthetic leverage stands at 1.18x
NAV and is primarily made up of IR and FX derivatives, with the difference between gross and synthetic leverage
being leverage from OEFs’ asset class exposures[47].
Year-over-year comparison:
Looking at Figure 30, OEFs’ gross leverage is increasing. In comparison to 2021, gross leverage
has increased 8.1%, however, when IR and FX derivatives are excluded there is a 20% decline ingross leverage. There is also a substantial increase in synthetic leverage, compared to 2021
synthetic leverage increased 45.7%. As seen in Section 4.5, the large increase in IR derivatives isdriving the increase in synthetic leverage and gross leverage. Even with the significant increase ingross leverage, all leverage measures for OEFs remain low.

[47] This may include assets acquired through borrowing.

25

Total Aggregate Borrowing

Fig.31: Total aggregate cash and securities borrowings of open-ended funds [48] .
Note: Cash borrowings include borrowing from reverse repo transactions.

Aggregate cash borrowings

Aggregate securities borrowings

500B

400B

300B

200B

100B

0

2020

2021

2022

Figure 31 describes the aggregate borrowings for OEFs. OEF borrowing is small, equating to 0.86% of total
aggregate NAV.
Year-over-year comparison:
While there is a significant reduction in borrowing for both cash and securities from the 2021
reporting year, on an equivalent basis there is only a slight drop in financial leverage as depicted in
Figure 32. Further, on an equivalent basis, cash borrowing has decreased while securities
borrowing has remained equal. Overall, financial leverage remains very low for OEFs, standing at
0.0095x NAV (0.95%).
Data collected on posted collateral totals USD 96.7B. When comparing with jurisdictions who provided data on
borrowing and collateral, collateral posted corresponds to 78.5% of total borrowing by these jurisdictions. However,
without a further breakdown of collateral by securities financing transactions, the true level of collateralization on
total borrowing cannot be determined.
Financial LeverageFig.32: Aggregate cash and securities financial leverage by open-ended funds as a multiple of total aggregate NAV.
Note: Cash borrowings include borrowing from reverse repo transactions.

0.014

Cash Leverage
Securities Leverage

0.012

Total Financial Leverage

0.01080.01

0.01

0.0095

0.008
0.006
0.004
0.002
0

2020

[48] Due to lack of availability, borrowing figures do not include US data.

26

2021

2022

4.7

Open-Ended Fund Counterparty and Liquidity Risk

Centrally Cleared vs. Bilaterally Cleared
Fig.33: Box plot showing the spread of centrally cleared vs. bilaterally transacted percentages for each jurisdiction’s open-ended funds for 2022.
Note: The box plot shows the interqaurtile range (IQR), lower fence (Q1-(1.5*IQR)), upper fence (Q3+(1.5*IQR)), upper quartile - (Q3), lower quartile (Q1), and the median (solid line).
Additionally, the dotted line represents the mean, and the dotted triangles represent the standard deviation.

Cleared by CCP

Bilaterally Transacted

100

80

60

40

20

0
Cleared by CCP

Bilaterally Transacted

Similar to the findings for QHFs, Figure 33 shows OEFs primarily conduct their OTC derivatives trades bilaterally.
Data collected encompassing 30% of OEFs’ total aggregate NAV shows, on average, 68% of OEFs’ trades aretransacted bilaterally, and 23% of OEFs’ trades are cleared through a CCP. The median for clearing through a CCP
is lower at 17%, and the median for transacting bilaterally is higher at 80%. The median percentages suggest thatfour out of five OEFs’ OTC derivatives trades are transacted bilaterally. Given the small amount of collateral detailedin Section 4.5, bilateral transactions could pose a higher risk than clearing through a CCP. Though without further
information on margin, or the ability to assess concentration amongst counterparties, it is difficult to garner the full
extent of the risk associated with this level of bilateral transactions.
Open-Ended Fund Counterparty Risk
Fig.34: Total aggregate counterparty risk borne by open-ended funds for each jurisdiction for 2022.

20

Counterparty Risk % of NAV

Figure 34 describes each jurisdiction’s total
counterparty risk borne by OEFs as apercentage of total aggregate NAV. The
breakdown denotes each jurisdiction’s
exposures to counterparties, and provides
greater insight to the extent of which bilateraltransactions may be a risk for eachjurisdiction. The figure indicates that the
majority of the jurisdictions are not highly
exposed to counterparties, and overall
counterparty risk is low. Further this suggeststhat the level of bilateral transactions by OEFs
does not pose a significant risk.

15

10

5

0

Ne

the

27

Fra

rla

nd

nc

s

e

Lu

xe

Sw

mb

ou

itz

rg

Ho

erl

an

ng

d

Me

Ko

ng

xic

o

Co

lom

bia

Sp

ain

Liquidity risk management is important to safeguard the interests of investors in OEFs, maintain the orderliness androbustness of such funds and markets, and helps reduce systemic risk, all of which support financial stability. At thistime, the availability of OEF liquidity data is not representative of the OEF industry as a whole. As jurisdictions
improve their ability to collect OEF liquidity data through changes to their reporting framework, the report will betterbe able to analyze OEF liquidity.

28

5. CLOSEDENDED
FUNDSGross Leverage Continues to Decline Since 2020
The report provides an overview and assessment of the leverage within the closed-ended funds
industry. This section relies on CEF data from IOSCO member submissions for December 31,
2022. The survey encompasses data on 25,139 CEFs with a total aggregate NAV of USD 3.55Tfrom 17 jurisdictions around the world.
For the 2022 investment funds survey there is a decline in total aggregate NAV and in
the number of funds reported compared to the 2021 reporting year. This is, in part, due
to receiving data from 5 fewer jurisdictions data for the 2022 reporting year, a 23%
decrease in participation year-over-year.
Total number of funds reported increased by 4.7%. When looking at the total number offunds reported on an equivalent basis, excluding jurisdictions who had submitted data forthe 2021 reporting year and not the 2022 reporting year, there is a 7% increase overall.
Total aggregate NAV for the 2022 reporting year has fallen 5% in comparison to the 2021
reporting year, and when adjusting for the equivalent NAV there is a 3% decrease in total
aggregate NAV for the 2022 reporting year.
Luxembourg accounts for 16% of the CEFs captured in this report, and 24% of the total
aggregate NAV. Including the UK and Brazil, these three countries represent 62% of the
CEFs, and 49% of the total aggregate NAV. Therefore, these three countries represent asignificant portion of the data in this section.
Overall, an increase in gross leverage is observed for CEFs. Like QHFs and OEFs, financial
leverage remains low and CEFs primarily conduct their OTC derivatives trades bilaterally rather
than through a CCP.

29

5.1

Closed-Ended Fund Aggregate Data

Total Closed-Ended Funds

Closed-Ended Funds by Jurisdiction

Fig.35: Aggregate number of closed-ended funds reported by all jurisdictions.

25,1399k
Number of Open-Ended Funds

Number of Open-Ended Funds

24,010

Fig.36: Total number of closed-ended funds reported by each jurisdiction for 2022.

10k

19,072

8k
7k
6k
5k
4k
3k
2k
1k

79 44 29

0

2022

ia
an
om
R ium
lg o
Be occ
or ia
M mb
o
ol
C ey
rs
Je adaan l
C ga ds
rtu anPo erl
h
et
N nd
la y
Ire an
m
er
G e
l
hi
C
K
U
ly
Ita a
n
hi
C ce urg
an o
Fr mb
xe
Lu il
az

2021

Br

2020

Year-over-year comparison:
Total CEFs reported increased by 4.7%, and looking at the top five jurisdictions, four of the five havereported substantial increases: Brazil (+1,618), Luxembourg (+918), France (-1,970)[49], China(+125), and Italy (+350). Overall, comparing the jurisdictions that had reported in 2021 and havereported for 2022, there is an increase of 7%, and a weighted-average increase of 13%, suggestingthat the jurisdictions with more CEFs are increasing significantly.
Like OEFs, total aggregate NAV for CEFs decreased by 5% from the 2021 reporting year, and when
taking into account the jurisdictions’ who had not reported for 2022, there is a 3% decline in total
aggregate NAV. This is largely due to the decline in France (-60%) following a widespread
reclassification of funds. Romania and the Netherlands aside, the remaining jurisdictions’ total
aggregate NAV increased substantially, and on a weighted-average basis total aggregate NAV
increased by 12.5%.

Total Aggregate NAV

Aggregate NAV by Jurisdiction

Fig.37: Total Aggregate NAV of closed-ended funds reported by all jurisdictions.

Fig.38: Aggregate NAV of closed-ended funds reported by each jurisdiction for 2022.

1100

3.55

1000
Aggregate NAV (USD Billions)Aggregate NAV (USD Trillions)

3.74

2.6

900
800
700
600
500
400
300
200
100
0

[49] The decline in CEFs for France is a result of better classification of open-ended funds, supra fn 5.

30

8

7

2

0

ia
an
om
R ium
lg o
Be occ
or ia
M mb
o
ol l
C ga
rtu
Po e
l
hi ny
C ma
er
G d
n
la
Ire
ds
ly an
Ita erl
h
et
N ada
an
C ey
rs
Je ce
an
Fr il
az
Br
K
rg
U
na u
hi bo
m
xe

2022

C

2021

Lu

2020

44 34
16

5.2

Closed-Ended Fund Type

Percentage of NAV by Fund TypeFig.39: Aggregate NAV of closed-ended funds as a percentage of total NAV broken down by fund type for 2022.

Fund Type
Other
Private Equity Funds
Real Estate Funds

38.3%
45.8%

15.9%

Figure 39 describes the breakdown of CEF type. About 84% of the CEFs are split between Private Equity (PE)funds and Other. This is an important distinction due to the nature of PE funds, which have little to no reporting anddisclosure transparency[50]. Within the context of the IFSR, transparency can be seen as a relevant issue given that
more granular reporting for these types of funds is not available. It is important to keep in mind that the data
presented may not be reflective of the entire industry’s leverage due to the lack of transparency in PE funds.
Year-over-year comparison:
Compared to the previous two iterations of the IFSR which had collected data of CEFs, there is alarge shift from the Other category into PE funds. This may be a result of better classification byjurisdictions. When comparing to 2021, there is 22% growth in PE funds and 18% growth in Real
Estate funds.

Fund Type: Year-Over-Year Comparison
Fig.40: Aggregate NAV of closed-ended funds as a percentage of total NAV broken down by fund type.

24%

31.4%
2020

38.3%
2021

54%

2022

55.1%

22%
13.5%
15.9%

Other

Private Equity Funds

Real Estate Funds[50] See FR10/23 Thematic Analysis: Emerging Risks in Private Finance, Final Report, Report of the Board of IOSCO, September 2023, available at:https://www.iosco.org/library/pubdocs/pdf/IOSCOPD745.pdf

31

45.8%

5.3

Closed-Ended Fund Geographical Investment Area

Total NAV by Geographical Investment Area
Fig.41: Total Aggregate NAV of closed-ended funds by Geographical Investment Area for 2022.

50

40

30

20

10

Figure 41 details CEFs’ geographical investment focus. The heavy investment focus in Europe (~53%) isrepresentative of the large number of jurisdictions surveyed being EU countries. Besides Europe, Asia andPacific is the second largest investment focus area (~18%), and North America is the third largest (~16%).

Total NAV by Geographical Investment Area and Jurisdiction
Fig.42: Total NAV of closed-ended funds by geographical investment focus for each jurisdiction for 2022.

Europe (EEA)

1T

North America
Global

0.8T

Europe (Other)
Asia and Pacific

0.6TSouth America
Africa0.4T

Middle East
0.2T

0

Lu

xe

Ch

mb

ou

ina

rg

UK

Fra

nc

e

Je

rse

y

Ne

the

Ire

rla

nd

lan

s

d

Ita

ly

Ca

na

da

Ge

rm

Ch

an

y

ile

Po

rtu

Co

ga

l

lom

bia

Mo

roc

co

Be

lgi

um

Ro

Figure 42 describes the geographical investment focus by jurisdiction. Similar to OEFs as described Section 4.3,
European CEFs have the largest investment focus in Europe (EEA). Additionally, Luxembourg, Ireland and theNetherlands have large investment focus in North America and Globally. China has the largest investment focus
in Asia and Pacific, followed by Jersey and Luxembourg.

32

ma

nia

5.4

Closed-Ended Fund Asset Class Exposure

Gross Asset Class Exposure
Fig.43: Aggregate gross exposure of closed-ended funds broken down by asset class for 2022.

800B

600B

400B

200B

0

Un

list

ed

Co
Eq

rpo

uit

ies

Ph

CI

U

rat

eB

on

ys

ds

So

ica

ve

l: R

Lo

ea

rei

lE

gn

sta

an

Bo

s

te

nd

s

Ot

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Lis

rA

ss

ted

ets

Ca

sh

Eq

uit

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Str

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Co

tur

ed

nv

Ph

/Se

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ys

cu

ibl

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on

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Re

ica

m

Ot

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Mu

ni.

/O

po

th.

Pu
b

.Lo

uc

ts

CEFs hold few short positions across the asset classes. In total, short positions for all asset classes represent lessthan 1% of total aggregate NAV. Therefore, gross exposure is provided in Figure 43 rather than a breakdown of longand short exposures.
CEFs are largely exposed to Unlisted Equities, and this corresponds with the large proportion of PE funds as notedin Section 5.2. Appendix 3 provides a more detailed table of CEFs’ asset class exposures. From Table 6 inAppendix 3, Unlisted Equities are observed to be approximately 23% of CEFs’ total aggregate NAV. Further, thegrowth in Real Estate funds as described in Section 5.2, also corresponds to the large exposure to Physical: Real
Estate (Real Estate), which represents approximately 12% of CEFs’ total aggregate NAV.
Year-over-year comparison:
In comparison to previous iterations of the IFSR, there continues to be a large amount of exposure
to Equities, Corporate Bonds, Collective Investment Undertakings (CIUs), and Real Estate. In 2022,
exposure to Corporate Bonds increased significantly by approximately USD 200 billion,
representing a 55% growth compared to the previous year.
Combining Unlisted and Listed Equities to compare with the 2021 reporting year, CEFs haveapproximately 28% of total aggregate NAV exposed to Equities, and in comparison to the 2021
reporting year, this corresponds to about a 12% decline in exposure to Equities as a percentage of
total aggregate NAV. Conversely, exposure to Real Estate has increased approximately 4.8%,
accounting for 11.5% of total aggregate NAV in 2022.
Conversely, exposure to Real Estate has increased approximately 3.5%, accounting for 15% of total
aggregate NAV in 2022. Similarly, exposure to CIUs has increased 2%, accounting for 20% of total
aggregate NAV.
Thus, although a large growth in PE funds is observed in Section 5.2, it appears that as a percentage of total
aggregate NAV, exposure to Equities is falling, whereas, the growth in Real Estate funds is substantiated by growthin exposure to Real Estate.

33

ca

lD

eb

t

5.5

Closed-Ended Fund Derivatives Exposure

Gross Derivative Exposure
Fig.44: Aggregate gross exposure of closed-ended funds broken down by derivatives class for 2022.

120B

100B

80B

60B

40B

20B

0

Foreign Exchange

EquityInterest Rate

Other

CreditCommodity

Similar to asset class exposures, CEFs are primarily long derivatives. CEFs’ total short GNE represents an
inconsequential 0.48% of total aggregate NAV, primarily consisting of short FX derivatives exposure which accounts
for 0.26%. Therefore, the GNE of derivatives classes is exhibited in Figure 44 rather than a breakdown of long andshort exposures.
Unlike QHFs and OEFs, CEFs are primarily long FX derivatives rather than IR derivatives. Further, CEFs are nothighly exposed to derivatives overall, with FX derivatives accounting for only 3.4% of total aggregate NAV.
Year-over-year comparison:
Total derivatives exposure as a percentage of total aggregate NAV remains low, however, whencomparing with the 2021 reporting year there is a significant shift from IR derivatives to FX
derivatives. On an equivalent basis, comparing jurisdictions who reported for both the 2021
reporting year and 2022 reporting year, the exposure of FX derivatives has increased by 52%, andthe exposure of IR derivatives has decreased by 52%.
Equity and Credit derivatives have also fallen substantially; Equity derivatives decreased by 81%
and Credit derivatives decreased by 96% in 2022. This is driven by a 100% decrease in Credit
derivatives GNE for Ireland, and a 98% decrease in Equity derivatives GNE and Credit derivatives
GNE for France[51].
See Appendix 3 for a table with all CEF exposures.

[51] The large decrease is a result of better classification of OEFs, supra fn 5.

34

5.6

Closed-Ended Fund Leverage

Leverage Metrics of Closed-Ended Funds
Fig.45: Aggregate leverage of closed-ended funds.

1.4

Gross Leverage (inc. IR and FX Derivatives)
Gross Leverage (excl. IR and FX Derivatives)
Synthetic Leverage

1.2

1.12
1.05

1.11

1

0.8

0.6

0.4

0.2

0

0.07

0.06

2020

2021

0.08
2022

Similar to QHFs and OEFs, leverage is calculated as per the description in Section 3.6. Although IR and FX
derivatives do not represent a large proportion of CEFs’ total aggregate NAV, gross leverage is also calculated
excluding IR and FX derivatives for consistency and comparability across fund types. Gross leverage for CEFs
stands at 1.11x NAV, and when excluding IR and FX derivatives, gross leverage stands at 1.07x NAV. Synthetic
leverage stands at 0.08x NAV (8%) and remains low due to the small amount of derivatives exposure as describedin Section 5.5.
Year-over-year comparison:
Gross leverage for CEFs has increased significantly from the 2021 reporting year, though remains
low. In comparison to 2021, gross leverage increased 5.7% in 2022. Synthetic leverage increased
significantly by 33%, though it remains very low and insignificant overall.
It is important to note that despite the low leverage across all measures for CEFs, due to the large proportion of PE
funds, there may exist a significant amount of “hidden leverage”, whereby the leverage is not directly attached to thefund, but resides on the balance sheets of the fund’s portfolio of companies and other special purpose acquisition
companies[52].

[52] See FR06/23 Special Purpose Acquisition Companies, Final Report, Report of the Board of IOSCO, May 2023, available at: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD732.pdf

35

Total Aggregate Borrowing
Fig.46: Total aggregate cash and securities borrowings of closed-ended funds.
Note: Cash borrowings include borrowing from reverse repo transactions.

Aggregate cash borrowings

Aggregate securities borrowings

500B
400B
300B
200B
100B
0

2020

2021

2022

As with OEFs, CEFs borrowing is small compared to total aggregate NAV. Notwithstanding, there remains someborrowing by CEFs as described in Figure 46. For the 2022 reporting year, total aggregate borrowing by CEFs
represents 2.8% of total aggregate NAV.
Year-over-year comparison:
Figure 46 shows that borrowing has declined significantly from the 2021 reporting year. However, asignificant portion of the decline is a result of missing data from jurisdictions who had reported in the2021 reporting year and not the 2022 reporting year. On an equivalent basis, comparing funds who
provided data for the both the 2021 and 2022 reporting years, there is a 10% increase in totalborrowing. Despite the increased borrowing on an equivalent basis, Figure 47 shows that financial
leverage has also declined substantially from the 2021 reporting year. For 2022, financial leverage
fell by 76% to 0.0356x NAV (3.56%).
Compared to the 2021 reporting year, total aggregate borrowing as a percentage of total aggregate
NAV has fallen 12%. The decline in Cash Borrowing is primarily driven by decreases in the UK(-38%), France (-18%), and Canada (-27%)[53], in order of percentage total of aggregate Cash
Borrowing. The decline in Securities Borrowing is primarily driven by decreases in Luxembourg(-86%), the UK (-100%), and Brazil (-92%); in order of percentage of total aggregate Securities
Borrowing.
Financial LeverageFig.47: Aggregate cash and securities financial leverage by closed-ended funds as a multiple of total aggregate NAV.
Note: Cash borrowings include borrowing from reverse repo transactions.

0.178

Cash Leverage
0.14720.15

Securities Leverage
Total Financial Leverage

0.1

0.05

0

0.03562020

2021[53] The CEF industry is relatively small in Canada, and shifts in the surveyed data year-over-year may significantly impact borrowing figures.

36

2022

5.7

Closed-Ended Fund Counterparty Risk

Centrally Cleared vs. Bilaterally Cleared
Fig.48: Box plot showing the spread of centrally cleared vs. Bilaterally Transacted percentages for each jurisdiction’s closed-ended funds for 2022.
Note: The box plot shows the interqaurtile range (IQR), lower fence (Q1-(1.5*IQR)), upper fence (Q3+(1.5*IQR)), upper quartile - (Q3), lower quartile (Q1), and the median (solid line).
Additionally, the dotted line represents the mean, and the dotted triangles represent the standard deviation.

Cleared by CCP

Bilaterally Transacted

100

80

60

40

20

0
Cleared by CCP

Bilaterally Transacted

Figure 48 describes on aggregate, CEFs’ percentage of OTC derivatives trades which are cleared through a CCP
compared to being Bilaterally Transacted. It shows that CEFs primarily conduct their OTC derivatives trades
bilaterally. Further, the maximum percentage of trades cleared through a CCP by any jurisdiction was 5%.
Recall from Section 5.5 that CEFs are primarily exposed to FX derivatives, and as per ESMA[54] firms are only
required to clear non-deliverable forwards (NDF) through a CCP. This may explain the small amount of clearing
through a CCP by CEFs.
Closed-Ended Fund Counterparty Risk
Fig.49: Total aggregate counterparty risk borne by closed-ended funds for each jurisdiction for 2022.

25

20Counterparty Risk % of NAV

CEFs’ counterparty risk is low incomparison to both QHFs and OEFs. The
data collected on CEFs’ counterparty risk
borne by jurisdictions, on aggregate,contains two of the jurisdictions(Luxembourg and France) in the top 4
jurisdictions by total aggregate NAV.
Luxembourg and France represent asignificant portion of the data for CEFs
and Figure 50 shows that the counterparty
risk borne by CEFs is low in thesejurisdictions. Based on the data received,
CEFs are not highly exposed tocounterparties, with France being the most
exposed at 26% of total aggregate NAV.
Therefore, the high level of bilateraltransactions by CEFs does not seem to bea significant risk. Without further
information on margin and concentration,
however, it is difficult to determine the truerisk in this area.

15

10

5

0

FranceNetherlands

Belgium

Luxembourg

Colombia[54] See ESMA Clearing obligation and risk mitigation techniques under EMIR, 2019, available at: https://www.esma.europa.eu/post-trading/clearing-obligation-and-riskmitigation-techniques-under-emir

37

6. CONCLUSIONIn Conclusion
A declining trend in total aggregate NAV is observed across all fund types. When observed onan equivalent basis, for funds who reported for both 2021 and 2022, there exists similar declines
in total aggregate NAV. Therefore, declines in total aggregate NAV are not attributed to thedecreased number of jurisdictions who reported for 2022.
Gross leverage for OEFs and CEFs increased from 2021, but remain relatively low at 2x NAV
and 1.11x NAV respectively. Gross leverage for QHFs continues to be on a declining trend since2020, standing at 10.3x NAV. For CEFs, there exists the possibility of hidden leverage that may
not be observed within Private Equity funds. Further, financial leverage declined across all fundtypes in line with significant decreases in aggregate borrowing.
In addition, QHFs appear to be adequately able to meet investor liquidity demands on average.
However, individual funds may be subject to varying degrees of liquidity mismatch, and theaggregate nature of the data collected may average out funds who are able to meet investors’
liquidity demands with funds who are not.
All fund types primarily transact OTC derivatives trades bilaterally, with QHFs utilizing CCPs
more than OEFs and CEFs. The significant level of bilateral transactions can give rise tocounterparty risk, though on a jurisdictional level there are not any significant exposures tocounterparties.
Qualified Hedge Funds:
Overall, there is a reduction in the total number of QHFs and total aggregate NAV. On an
equivalent basis, however, no change in total number of hedge funds is observed andaggregate NAV declined.
QHFs’ gross leverage continues to decline from 2020 levels and stands at 10.3x NAV,
however, when excluding IR and FX derivatives leverage is increasing on aggregate in
the other asset classes.
Given the data collected, it appears QHFs, on aggregate, are adequately prepared tomeet investors’ liquidity demands under normal market conditions. However, this is notnecessarily indicative of liquidity demands under stressed conditions and individualliquidity mismatches for each individual fund.

Both QHFs and OEFs remain highly exposed to IR derivatives, though when looking at theleverage of individual jurisdictions, it appears that the majority of the leverage is borne by UK
QHFs, with synthetic leverage of about 60x NAV. The use of IR Swaps to hedge sovereign bondpositions may overstate some of this leverage, although the BoE finds that UK QHFs tend to use
IR derivatives for speculative reasons rather than for hedging purposes. Overall, synthetic
leverage continues to decline from 2020 for QHFs and continues to increase from 2020 for
OEFs, standing at 7.7x NAV and 1.18x NAV, respectively.

38

Open-Ended Funds and Closed-Ended Funds:- OEFs have large exposures in Listed Equities and IR derivatives, whereas CEFs havelarge exposures to Unlisted Equities and FX derivatives. While CEFs’ exposures toEquity as a percentage of total aggregate NAV have declined, their exposures to
Corporate Bonds and Real Estate as a percentage of total aggregate NAV haveincreased.
Gross leverage for both OEFs and CEFs is low at 2x NAV and 1.11x NAV respectively.
CEFs primarily transacted bilaterally for their OTC derivatives trades, but are not as
active in OTC derivatives markets as OEFs, and neither OEFs nor CEFs have significant
exposures to counterparties on aggregate.

As the report grows and more information is collected on OEFs and CEFs, there will be anincreased ability to determine trends and develop insights into these industries. Going forward
the survey will seek to improve the transparency where appropriate and able. Further
development of reporting requirements around the globe will also lead to better data collection
and analysis.

39Appendix 1

NCA Fund Reporting

Fund Reporting by Jurisdiction
Tab.1: Types of funds reported by national competent authority and jurisdiction for 2022.

Organisation

Jurisdiction

Total NAV Only

HF

OEF

CEF

AM F

France

-

Yes

Yes

Yes

BaFin

Ge rmany

-

Yes

Yes

Yes

CBI

Ire land

-

Yes

Yes

Yes

CSSF

Luxe mbourg

-

Yes

Yes

Yes

AFM

Ne the rlands

-

Yes

Yes

Yes

FCA

UK

-

Yes

Yes

Yes

JFSC

Je rse y

-

Yes

Yes

Yes

OSC

Canada

-

Yes

Yes

Yes

FINM A

Switze rland

-

Yes

Yes

-

SEC

US

-

Yes

Yes

-

M AS

Singapore

-

Yes

-

-

CVM

Brazil

-

-

Yes

Yes

FSA

Romania

-

-

Yes

Yes

FSM A

Be lgium

-

-

Yes

Yes

CONSOB

Italy

-

-

Yes

Yes

AM M CM orocco

-

-

Yes

Yes

SFC

Colombia

-

-

Yes

Yes

CM VM

Portugal

-

-

Yes

Yes

CM F

Chile

-

-

Yes

Yes

CSRC

China

-

-

Yes

Yes

CNBV

M e xico

-

-

Yes

-

CNM V

Spain

-

-

Yes

-

SFC

Hong Kong

-

-

Yes

-

CNV

Arge ntina

Yes

-

-

-

CM B

Turke y

Yes

-

-

-

SIM V

Dominican Re public

Yes

-

-

-

SM V

Pe ru

Yes

-

-

-

JFSA

Japan

Yes

-

-

-

40

Appendix 2

Additional Figures

Long/Short Credit Derivatives Exposure
Fig.50: Aggregate long/short exposure of qualified hedge funds broken down by credit derivative type for 2022.

Long

Short

100B

50B

0

−50B

−100B
Credit Default

CDS Index

Other Credit

Single-name Other

Single Name Financial Single Name Sovereign

Long/Short Commodity Derivatives Exposure
Fig.51: Aggregate long/short exposure of qualified hedge funds broken down by commodity derivative type for 2022.

Long

Short

200B

150B

100B

50B

0

Other commodities Agricultural products

41

Crude OilGold

Other metals

Natural Gas

PowerAppendix 3

Additional Tables

Hedge Fund Exposures
Tab.2: Hedge fund exposures broken down by asset class (USD Billions) for 2022.

Asset Class

Long

Short

GNE

Long (% NAV)

Short (% NAV)

CIU

150.4

-6.01

156.41

3.42

-0.14

Cash

903.83-976.54

1880.37

20.57-22.23

Conv e rtible Bonds

139.16-3.41

142.57

3.17

-0.08

Corporate Bonds

295.15-76.14371.29

6.72

-1.73

Liste d Equitie s

1808.03-811.47

2619.49

41.16-18.47Loans

462.52-29.38

491.9

10.53

-0.67

M uni. / Oth. Pub. Local
De bt

8.46

-18.42

26.88

0.19

-0.42

Othe r101.08-11.2

112.282.3-0.25

Othe r Asse ts

381.38-106.38487.76

8.68

-2.42

Physical: Comm

0.18

-3

3.18

0

-0.07

Physical: Re al Estate

1.42

-171

172.42

0.03

-3.89

Re v e rse Re po

1113.9-992.18

2106.0925.36-22.58

Sov e re ign Bonds

2285.57-1633.38

3918.95

52.03-37.18Structure d/Se curitize dProducts

269.52-48.54318.06

6.14-1.1

Unliste d Equitie s

517.82-1.1

518.92

11.79

-0.03

Inte re st Rate De riv ativ e s

21588.59-3711.67

25300.26

491.42-84.49Fore ign Exchange
De riv ativ e s

2561.47-1707.86

4269.3358.31-38.88Equity De riv ativ e s

1060.61-1080.59

2141.2

24.14

-24.6

Othe r De riv ativ e s

556.66-135.69692.35

12.67

-3.09

Commodity De riv ativ e s

461.55-241.46

703.01

10.51

-5.5

Cre dit De riv ativ e s

328.9-470.86799.76

7.49-10.7242

Hedge Fund Leverage
Tab.3: Hedge fund leverage broken down by jurisdiction for 2022.

Asset Class

Number of Qualifying
Hedge Funds

Aggregate NAV (USD
Millions)

Gross Leverage(inc. IR and FX
Derivatives)

Gross Leverage(excl. IR and FX
Derivatives)

Synthetic Leverage

US

2,040

3,771,000

6.28

3.48

3.68

UK

154

342,595

60.06

6.87

56.5

France

61

6,426

3.11

3

2.34

Luxe mbourg

4375,730

1.73

1.22

0.7

Singapore

35

61,783

6.89

3.46

5.43

Canada34

28,407

6.89

5.18

3.97

Switze rland

30

71,388

8.19

2.21

6.45

Ire land

25

28,920

2.94

1.44

1.83

Ne the rlands

19

2,385

11.14

4.92

9.65

Je rse y

18

8,757

-

-

-

Ge rmany

9

4,486

1

1

0.01

43

Open-Ended Fund Exposures
Tab.4: Open-ended fund exposures broken down by asset class (USD Billions) for 2022.

Asset Class

Long

Short

GNE

Long (% NAV)

Short (% NAV)

CIU

2197.89-0.77

2198.66

4.73

0

Cash

2200.24-63.612263.86

4.74

-0.14

Conv e rtible Bonds

106.170106.17

0.23

0Corporate Bonds

4743.64-7.65

4751.3

10.21

-0.02

Liste d Equitie s

23956.37-38.1723994.54

51.56

-0.08

Loans

732.92-16.44749.36

1.58

-0.04

M uni./Oth.Pub.Local De bt

1094.8

-1.19

1096

2.36

0

Othe r1684.36-27.581711.94

3.63

-0.06

Othe r Asse ts

907.02-38.01945.03

1.95

-0.08

Physical: Comm

21.39

-0.16

21.55

0.05

0

Physical: Re al Estate694.21-0.27

694.481.49

0

Re v e rse Re po

752.74-42.49795.23

1.62

-0.09

Sov e re ign Bonds

3701.82-18.513720.33

7.97

-0.04

Structure d/Se curitize dProducts

1329.47-54.031383.51

2.86

-0.12

Unliste d Equitie s

161.98

-0.52

162.5

0.35

0

Inte re st Rate De riv ativ e s

45244.9-1116.946361.79

97.37

-2.4

Fore ign Exchange
De riv ativ e s

2087.6-553.6

2641.2

4.49

-1.19

Equity De riv ativ e s

607.93-323.39931.321.31-0.7

Cre dit De riv ativ e s

254.38-208.01462.39

0.55

-0.45

Commodity De riv ativ e s

90.9-15.22106.120.2-0.03

Othe r De riv ativ e s

62.53-75.21137.74

0.13

-0.16

44

Open-Ended Fund Leverage

Tab.5: Open-Ended fund leverage broken down by jurisdiction for 2022[55] .

Asset Class

Number ofOpen-ended Funds

Aggregate NAV (USD
Millions)

Gross Leverage (inc.
IR and FX
Derivatives)

Gross Leverage(excl. IR and FX
Derivatives)

Synthetic Leverage

Luxe mbourg

13,124

704,705

1.35

1.11

0.29

US

11,517

26,182,198

2.72

1.02

1.73

Brazil9,462

1,109,226

2.84

2.32

0.6

China

9,276

3,235,092

0.69

0.69

-

Ire land

5,505

2,823,850

1.83

1.22

0.76

Canada5,393

2,436,052

1.19

0.96

0.26

France4,575

717,007

1.22

1.18

0.15

Ge rmany

4,441

2,165,252

1.32

1.04

0.35

Spain

2,632

343,545

1.23

1.02

0.31

Italy

35

7,709

0.81

0.55

-

UK

934

553,021

1.32

1.04

0.35

Be lgium

665

209,650

1.06

1.02

0.08

Ne the rlands

659

539,464

1.32

1.05

0.31

Hong Kong

626

153,771

1.09

1.01

0.14

M orocco

559

47,943

0.82

0.82

-

Switze rland

518

1,006,610

1.19

0.9

0.3

Chile

508

54,554---

Portugal

179

22,586

1.05

0.98

0.08

Colombia154

17,161

1.42

1.41

-

Je rse y95

54,874---

Romania

89

3,219

0.85

0.85

-

M e xico49

11,877

1.09

0.95

0.14

[55] Italy’s and Luxembourg’s aggregate NAV and leverage metrics are calculated by removing the UCITS funds which do not have more granular data.

45

Closed-Ended Fund Exposures
Tab.6: Closed-ended fund exposures broken down by asset class (USD Billions) for 2022.

Asset Class

Long

Short

GNE

Long (% NAV)

Short (% NAV)

CIU

550.87-0.25

551.13

17.06

-0.01

Cash

89.19

-15.4

104.59

2.76

-0.48

Conv e rtible Bonds

25.2

-0.17

25.37

0.78

-0.01

Corporate Bonds

610.23-0.79

611.02

18.9

-0.02

Liste d Equitie s

172.41-0.13

172.54

5.34

0

Loans

234.09-12.86246.957.25-0.4

M uni./Oth.Pub.Local De bt

0.24

0

0.24

0.01

0

Othe r

7.95

-0.77

8.72

0.25

-0.02

Othe r Asse ts

172.19-2.63

174.82

5.33

-0.08

Physical: Comm

18.8

-0.04

18.84

0.58

0

Physical: Re al Estate411.04-0.17

411.21

12.73

-0.01

Re v e rse Re po

11.66

0

11.66

0.36

0

Sov e re ign Bonds

336.12-0.04

336.1610.41

0Structure d/Se curitize dProducts

41.91

-0.01

41.92

1.3

0

Unliste d Equitie s

797.28-0.72

797.99

24.69

-0.02

Fore ign Exchange
De riv ativ e s

112.04-9.32

121.37

3.47

-0.29

Equity De riv ativ e s

25.07

-1.29

26.36

0.78

-0.04

Inte re st Rate De riv ativ e s

21.02

-4.64

25.66

0.65

-0.14

Othe r De riv ativ e s

4.52

-1.31

5.83

0.14

-0.04

Commodity De riv ativ e s

0.39

-0.04

0.42

0.01

0

Cre dit De riv ativ e s

0.2

-0.55

0.75

0.01

-0.02

46

Closed-Ended Fund Leverage
Tab.7: Closed-ended fund leverage broken down by jurisdiction for 2022.

Asset Class

Number of
Closed-ended Funds

Aggregate NAV (USD
Millions)

Gross Leverage (inc.
IR and FX
Derivatives)

Gross Leverage(excl. IR and FX
Derivatives)

Synthetic Leverage

Brazil9,560

319,185

0.56

0.51

0.36

Luxe mbourg

4,972

1,078,192

1.18

1.1

0.09

France3,056

282,882

0.93

0.93

-

China

1,300

502,545

1.83

1.83

-

Italy

1,229

132,395

0.96

0.91

-

UK

1,176

334,507

1.11

1.08

0.04

Chile

756

34,598---

Ge rmany

621

44,098

1.19

1.18

0.01

Ire land

537

131,277

1.09

1.06

0.03

Ne the rlands

478

154,737

1.05

1.04

0.01

Portugal

458

16,567

1.3

1.3

-

Canada354

221,881

0.62

0.52

0.09

Je rse y315

281,517---

Colombia

175

8,474

1.2

1.2

-

M orocco

79

7,044

-

-

-

Be lgium

44

2,151

1.22

1.2

0.02

Romania

29

333

0.92

0.92

-

47