EU alternative investment funds 2020.
Date: 2020-02-26
Institutions: European Securities and Markets Authority
Subjects: activity report, financial control, financial market, financial risk, financial services, investment company, market supervision, statistical method

ESMA Annual Statistical Report 
EU Alternative Investment Funds 
2020 

10 January 2020 
ESMA50-165-1032 

 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

2 

ESMA Annual Statistical Report on EU Alternative Investment Funds  

2020 

© European Securities and Markets Authority, Paris, 2020. All rights reserved. Brief excerpts may be reproduced or translated 
provided the source is cited adequately. The reporting period of this document is 31 December 2018, unless indicated otherwise. 
Legal reference of this report: Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 
2010  establishing  a  European  Supervisory  Authority  (European  Securities  and  Markets  Authority),  amending  Decision 
No 716/2009/EC  and  repealing  Commission  Decision  2009/77/EC,  Article 32  ‘Assessment  of  market  developments’,  1.  ‘The 
Authority  shall  monitor  and  assess  market  developments  in  the  area  of  its  competence  and,  where  necessary,  inform  the 
European Supervisory Authority (European Banking Authority), and the European Supervisory Authority (European Insurance 
and  Occupational  Pensions  Authority),  the  ESRB  and  the  European  Parliament,  the  Council  and  the  Commission  about  the 
relevant micro-prudential trends, potential risks and vulnerabilities. The Authority shall include in its assessments an economic 
analysis  of  the  markets  in  which  financial  market  participants  operate,  and  an  assessment  of  the  impact  of  potential  market 
developments on such financial market participants.’ This report contributes to ESMA’s risk assessment activities. The report and 
its contents do not prejudice or impair ESMA’s regulatory, supervisory or convergence activities, nor the obligations of market 
participants thereunder. Charts and analyses in this report are based on data provided by national competent authorities to ESMA 
under  the  alternative  investment  fund  managers  directive  (AIFMD).  ESMA  uses  these  data  in  good  faith  and  does  not  take 
responsibility for their accuracy or completeness. ESMA is committed to constantly improving its data sources and reserves the 
right to alter data sources at any time. 

PDF                      ISBN: 978-92-95202-29-0             ISSN: 2599-8951      doi: 10.2856/987694      EK-AE-20-001-EN-N 

European Securities and Markets Authority (ESMA) 
Risk Assessment and Economics Department 
201-203 rue de Bercy 
FR–75012 Paris 
risk.analysis@esma.europa.eu 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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Table of contents 

Market monitoring 

Market structure and developments 

Funds of Funds 

Real Estate Funds 

Hedge Funds 

Private Equity Funds 

Other AIFs 

Non-EU AIFs (NPPR) 

Statistical methods 

AIFMD fund classification – shedding light on ‘other AIFs’ 

Exposures of AIFs to leveraged loans and CLOs 

Definition of the AIF reference sample 

EU Alternative Investment Funds statistics 

Market overview 

Funds of Funds 

Real Estate Funds 

Hedge Funds 

Private Equity Funds 

‘Other AIFs’ 

Non-EU AIFs (NPPR) 

Annex 

Data inventory 

Glossary 

List of abbreviations 

7 

8 

14 

17 

20 

24 

27 

30 

34 

35 

42 

45 

46 

47 

53 

58 

64 

70 

76 

82 

85 

86 

88 

89 

 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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Executive summary 

Market structure and developments 
The EU Alternative Investment Funds (AIF) market: The size of the EU AIF universe expanded to 
reach EUR 5.8tn in net asset value (NAV) at the end of 2018, an 11% increase from 2017. The growth 
of the EU AIF market results mainly from the launch of new AIFs in 2018 rather than from valuation 
effects. Overall, AIFs accounted for 40% of the EU fund industry at the end of 2018, compared with one 
third  at  the  end  of  2017.  Among  AIF  types,  Funds  of  Funds  (FoFs)  account  for  14%  of  the  NAV 
(-2 percentage  points  (pp)  compared  with  2017),  followed  by  Real  Estate  (RE)  funds  (12%,  +2pp), 
Hedge Funds (HFs) (6%, +2pp) and Private Equity (PE) funds (6%, +2pp). The last category of ‘other 
AIFs’  accounts  for  61%  of  the  NAV  (-2pp),  pointing  to  potential  classification  issues  for  Alternative 
Investment Fund Managers (AIFMs). Professional investors own most of the shares of AIFs, yet retail 
investor share is significant at 16% of the NAV, with more participation in FoFs and RE funds. AIFs 
invest predominantly in the European Economic Area (EEA) and across a broad range of asset classes. 
Leverage  increased  at  the  aggregate  level  from  350%  to  440%.  The  aggregate  measure  masks 
important differences across AIFs: leverage was stable for most types with the exception of HFs, which 
leverage increased from 730% to 1,050%. At the aggregate level there are signs of potential liquidity 
mismatch at short horizons, as the liquidity offered to investors is greater than the liquidity of the assets, 
especially for RE funds.   

Funds  of  Funds:  FoFs  account  for  14%  of  the  NAV  of  EU  AIFs,  at  around  EUR 840bn.  The  main 
characteristics of FoFs remained unchanged in 2018: FoFs are sold mainly to professional investors, 
yet among AIF types they have the largest proportion of retail investors (31%). They make little use of 
financial or synthetic leverage. Regarding liquidity risk, more than 70% of FoFs are open-ended, with a 
majority offering daily redemptions. At the very short end, FoFs face a liquidity mismatch, with investors 
able to redeem 35% of the NAV within one day, whereas only 24% of assets could be liquidated within 
this time frame.   

Real Estate Funds: RE funds account for 12% of the NAV of AIFs, at EUR 730bn, and high growth 
was  recorded  in  2018  (+35%  compared  with  2017).  Compared  with  2017,  the  proportion  of  retail 
investors has declined (21%, -4pp) but remains high compared with other AIF categories. RE funds are 
exposed mostly to illiquid physical assets which take time to sell. Liquidity risk in RE funds remains a 
concern: around 60% are open-ended, and half of Commercial Real Estate (CRE) funds — the largest 
category — offer daily liquidity to investors. At the aggregate level, RE funds face liquidity mismatch 
across all time periods, an indication of a structural vulnerability as the maturities of assets and liabilities 
are not aligned. 

Hedge Funds: The EU HF sector amounted to EUR 333bn at the end of 2018 in NAV, or 6% of all 
AIFs.  However,  when  measured  by  gross  exposures,  HFs  account  for  67%  of  AIFs  since  they  rely 
heavily  on  derivatives.  HFs  make  limited  use  of  the  EU  passport,  since  most  of  them  are  domiciled 
outside the EU. Leverage is very high, particularly for some strategies highly reliant on derivatives. HFs 
are  exposed  to  little  liquidity  mismatch,  as  their  assets  can  be  liquidated  quickly  to  meet  investor 
redemptions. HFs are exposed to financing risk, as one  third of their financing is overnight, but they 
tend  to  maintain  large  cash  buffers,  which  are  also  used  to  meet  future  margin  calls  relating  to 
derivatives positions. 

Private Equity Funds: PE funds account for 6% of the NAV of all AIFs, or EUR 352bn. Among AIF 
types, PE funds experienced the largest growth in 2018 (+66% compared with 2017). They follow a 
range of strategies and are almost exclusively sold to professional investors. PE funds make little use 
of synthetic and financial leverage and invest mainly in illiquid securities (unlisted securities). Overall, 
liquidity risk is limited given that PE funds are overwhelmingly closed-ended.  

Other  AIFs:  ‘Other  AIFs’  account  for  61%  of  the  NAV  of  EU  AIFs,  at  EUR  3,553bn.  This  residual 
category  of  the  Alternative Investment Fund Managers Directive (AIFMD) reporting regime covers a 
range of strategies, with fixed income and equity strategies accounting for 67% of NAV and an additional 
residual category accounting for 29% of NAV. In the additional residual category, 25% of the funds are 

ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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leveraged and tend to be more concentrated. Although most types of ‘‘other AIFs’’ have very limited 
liquidity risk, the residual category faces some liquidity mismatch. 

AIFs managed by Non-EU AIFMs: Under Article 42 of the AIFMD, a Member State can allow non-EU 
AIFMs to market units or shares of AIFs that they manage without benefiting from the AIFMD passport 
under the National Private Placement Regime (NPPR). The NPPR market stands at EUR 1.7tn NAV 
and therefore warrants dedicated analysis. NPPR fund marketing is concentrated in a small number of 
member  states  and  98%  of  investors  are  professional  investors.  Hedge  funds  marketed  under  the 
NPPR are predominantly domiciled in the Cayman Islands, ‘other AIFs’ marketed under the NPPR are 
predominantly  US-based  exchange-traded  funds  (ETFs).  Overall,  risk  profiles  for  NPPR  funds  are 
comparable to EU AIFs. However, the geographical investment focus is different as NPPR funds invest 
predominantly in non-EU areas. 

Statistical methods 
AIFMD fund classification – shedding light on ‘‘other AIFs’’: Under the AIFMD fund classification 
the category of ‘‘other AIFs’’ is supposed to be a residual category. However, around half of the reported 
AIFs accounting for 61% of NAV are classified as ‘‘other AIFs’’, pointing to a classification issue. This 
section explores the reasons behind this, and which types of funds belong to this category. Using other 
data  sources,  we  show  that  the  main  strategies  are  related  to  fixed  income  (which  includes  money 
market AIFs) and  equity. In terms of NAV around 30% of ‘’other  AIFs’’  are part of a further residual 
category with a non-defined strategy (‘other-’other AIFs’’); these could be largely described as mixed 
funds, investing in both equity and bonds with no prevalent policy in favour of one instrument or the 
other.  These  tend  to  be  more  leveraged,  making  use  of  derivatives,  and  have  a  more  concentrated 
ownership.  

Exposures  of  EU  AIFs  to  leveraged  loans  and  collateralised  loan  obligations  (CLOs):  The 
issuance  of  leveraged  loans  and  CLOs  has  surged  over  the  last  few  years.  Higher  indebtedness  of 
borrowers and looser underwriting standards amid compressed spreads have raised concerns among 
policymakers, especially given data gaps on ultimate investors into those markets. This section focuses 
on the exposures of AIFs to leveraged loans and CLOs and analyses potential risks related to these 
exposures. Overall, exposures have increased by 15% to reach EUR 108bn by the end of 2018, but 
liquidity risk and leverage remain limited, with the exception of a few funds.  

 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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EU AIFs: Essential statistics 
Real  
Estate  

Funds of 
Funds 

Size 

Number of funds 
(Absolute number) 
Number of leveraged funds 
 (Absolute number) 
Net Asset Value 
(EUR bn) 
Average fund size 
(EUR mn per fund) 
Proportion of total market 
(NAV % of all AIFs) 

Distribution 
EU passport 
(% of total) 
Retail participation 
(% of total) 
Exposures 

Main exposures 
(Asset type) 
Main exposures 
(% of exposures) 

Leverage 

Gross leverage 
(% of NAV) 
Adjusted leverage 
(% of NAV) 
Borrowing 
(% of NAV) 
Liquidity 

Open ended AIFs 
(% of total NAV) 
Monthly portfolio liquidity 
(% of NAV) 
Monthly investor liquidity 
(% of NAV) 

5,430 

325 

841 

150 

14% 

76% 

30% 

CIU 

72% 

118% 

118% 

1% 

71% 

77% 

70% 

Hedge 
Funds 

Private 
Equity  

Other  
AIFs 

All  
AIFs 

1,449 

4,369 

15,180 

30,357 

91 

352 

80 

6% 

2,495 

3,553 

230 

62% 

4,591 

5,860 

190 

100% 

3,442 

1,112 

731 

210 

12% 

75% 

21% 

PA 

68% 

568 

333 

230 

6% 

30% 

2% 

IRD 

81% 

60% 

5% 

80% 

16% 

S 

S 

79% 

59% 

132% 

5,514% 

113% 

130% 

1,052% 

113% 

8% 

284% 

3% 

52% 

4% 

16% 

78% 

39% 

28% 

5% 

0% 

3% 

162% 

148% 

5% 

69% 

85% 

74% 

76% 

16% 

IRD 

57% 

442% 

163% 

21% 

65% 

61% 

61% 

Note: All values refer to AIFs managed and/or marketed by EU AIFMs at the end of 2018, AIFs reported to ESMA by National Competent Authorities 
(NCAs).  AIFs  sold  under  a  National  Private  Placement  Regime  (NPPR)  are  excluded.  Statistics  for  all  EU  AIFs  include  487  funds  with  no 
predominant type, for  which  NAV amounts to EUR  49bn.  Open ended AIFs  are funds that issue shares  which are redeemable on  demand  by 
investors. CIU=collective investment units; PA=Physical assets; IRD=Interest rate derivatives; S=Securities. 
Sources: AIFMD database, National Competent Authorities, ESMA. 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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Market monitoring 

 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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Market structure and 
developments 

The size of the EU AIF universe expanded to reach EUR 5.8tn in net asset value (NAV) at the end of 
2018, an 11% increase from 2017. The growth of the EU AIF market results mainly from the launch of 
new AIFs in 2018 rather than from valuation effects. Overall, AIFs accounted for 40% of the EU fund 
industry at the end of 2018, compared with one third at the end of 2017. Among AIF types, Funds of 
Funds (FoFs) account for 14% of the NAV (-2 percentage points (pp) compared with 2017), followed by 
Real Estate (RE) funds (12%, +2pp), Hedge Funds (HFs) (6%, +2pp) and Private Equity (PE) funds 
(6%, +2pp). The last category of ‘other AIFs’ accounts for 61% of the NAV (-2pp), pointing to potential 
classification  issues  for  Alternative  Investment  Fund  Managers  (AIFMs).  Professional  investors  own 
most  of  the  shares  of  AIFs,  yet  retail  investor  share  is  significant  at  16%  of  the  NAV,  with  more 
participation in FoFs and RE funds. AIFs invest predominantly in the European Economic Area (EEA) 
and across a broad range of asset classes. Leverage increased at the aggregate level from 350% to 
440%. The aggregate measure masks important differences across AIFs: leverage was stable for most 
types with the exception of HFs, which leverage increased from 730% to 1050%. At the aggregate level 
there are signs of potential liquidity mismatch at short horizons, as the liquidity offered to investors is 
greater than the liquidity of the assets, especially for RE funds.

EU  Alternative  Investment  Funds 
2018: EUR 5.8tn  

industry  accounts 

The  AIF 
for  a  growing 
proportion  of  the  investment  fund  activity  in  the 
EU:  the  NAV  of  AIFs  in  the  EU  amounted  to 
around  EUR 5.8tn  at  the  end  of  2018,  an  11% 
increase  from  2017.  The  growth  in  the  EU  AIF 
market is attributable to the launch of new AIFs in 
2018  (ASR-AIF.1).  By  AIF  types,  RE  funds,  PE 
funds  and  ‘’other  AIFs’’  contributed  the  most  to 
the growth (ASR-AIF.2). By comparison, the NAV 
of  Undertakings  for  the  Collective  Investment  in 
Transferable  Securities  (UCITS)  amounted  to 
EUR 9.3tn  at  the  end  of  2018  according  to  the 
European  Fund  and  Asset  Management 
Association  (EFAMA).  Therefore,  AIFs  account 
for  around  40%  of 
industry 
(compared  with  one  third  in  2017).  The  relative 
growth  of  AIFs  compared  with  UCITS  is  the 
combination of two factors. First, the coverage of 
AIFs  in  AIFMD  reporting  has  increased  from 
around 80% in 2017 to close to complete in 2018. 
NAV  under  AIFMD  reporting  is  EUR  5,860bn 
compared  with  EUR  5,873bn  according 
to 
EFAMA  data.  Second,  the  NAV  of  UCITS 
declined  by  5%  in  2018  compared  with  2017, 

the  EU 

fund 

owing  to  adverse  market  developments  at  the 
end of 2018.  

ASR-AIF.1 
EU AIFs NAV 
Growth mainly owing to new AIFs 

AIF types: The composition of the AIF market by 
type was broadly stable in 2018, with incremental 
changes. FoFs account for 14% of the NAV (-2pp 
compared  with  2017),  followed  by  RE  funds 
(12%, +2pp), HFs (6%, +2pp) and PE funds (6%, 
+2pp).  In  the  last  type,  ‘other  AIFs’,  which 
accounts for 61% (-2pp compared with 2017) of 
NAV  (see  ASR-AIF.12),  around  29%  of  NAV  is 
attributed to a residual category (which amounts 
to  17%  of  the  NAV  of  all  AIFs),  pointing  to 
potential classification issues for AIFMs1.

1   See the section on “AIFMD Fund classification – shedding 

light on ‘other AIFs’” for further details. 

5,860 5,288 -27 -544 1,143  4,000 4,500 5,000 5,500 6,0002017 dataValuationeffectsLiquidatedafter 2017NewlyreportedAIFs2018 dataNote:DecompositionofNAVbyreportingandsurvivingAIFs,EURbn.NewlyreportedfundsincludingAIFsinceptedin2018,Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

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ASR-AIF.2 
EU AIFs NAV by types 
Growth mainly owing to RE and PE funds and 
‘other AIFs’ 

heavily concentrated in the United Kingdom, with 
more  than  80%  of  the  NAV  managed  by  UK 
AIFMs. UK managers also account for almost half 
of  the  NAV  of  PE  funds  (47%).  In  most  EU 
Member States, ‘other AIFs’ account for most of 
the  NAV.  Most  AIFs  have  access  to  the  EU 
passport  (76%),  allowing  AIFs  to  be  sold 
throughout the EU (see ASR-AIF.14). 

fundament 

investors:  The  AIFMD  provides 

AIF 
the 
for  marketing  AIFs 
regulatory 
primarily  to  professional  investors  rather  than 
retail  investors,  and  marketing  of  AIF  to  retail 
investors remains  at 
the  discretion  of  each 
Member State. Professional investors account for 
around  84%  of  the  NAV  (+3pp  compared  with 
2017), and direct retail investors’ participation is 
slightly declining but remains quite significant at 
16%  of  the  NAV  (ASR-AIF.4).  Retail  investors’ 
participation might be underestimated since they 
could  purchase  banking  or  insurance  products 
that are invested in AIFs.  

ASR-AIF.4 
AIF investors 
Mainly professional investors 

AIF size: The AIF market is highly concentrated, 
with a few large AIFs accounting for most of the 
market.  In  2018,  AIFs  with  a  NAV  larger  than 
EUR 1bn accounted for less than 5% of all AIFs 
but for more than 55% of the NAV (ASR-AIF.3). 
Smaller  AIFs  (NAV  lower  than  EUR  500mn) 
account for 93% of all AIFs but only 32% of NAV. 
The large concentration implies that by focusing 
on the largest AIFs, one should be able to monitor 
a dominant part of the market at a relatively high 
frequency 
requirements  are 
quarterly for funds from AIFMs with Assets under 
management (AuM) above EUR 1bn). 

reporting 

(as 

ASR-AIF.3 
Size and number of AIFs 
High concentration among a few large AIFs 

types 

Among  professional  investors,  unitholders  are 
diversified  across  AIF 
(ASR-AIF.5). 
Professional  investors,  such  as  pension  funds 
and insurance companies, are the main investors 
and  account  for  28%  and  16%  of  the  NAV 
respectively.  Banks  account  for  7%,  and  funds 
and  other  financial  institutions  account  for  8% 
each.  Remaining  investor  categories  are  small, 
except for ‘unknown’ investors (15% of the NAV). 
Data  issues  remain.  First,  the  relatively  large 
proportion of banks might indicate a lack of look-
through  approach  by  some  AIFMs,  since  they 
should  report  the  ultimate  owners  of  the  AIF 
shares. Second, the relatively large proportion of 
‘unknown’ investors is difficult to explain given the 
highly  concentrated  ownership  of  AIFs  and 
warrants further investigation. 

AIF  distribution:  In  terms  of  cross-country 
distribution, the AIF industry is concentrated in a 
few  countries,  with  the  top  six  accounting  for 
more  than  90%  of  the  NAV  (ASR-AIF.14). 
Germany remains the country with the largest AIF 
industry  in  the  EU,  given  the  role  played  by 
German  special  funds  (‘Spezialfonds’).  Their 
characteristics  are  discussed  in  the  section 
‘AIFMD  fund  classification  –  shedding  light  on 
‘other AIFs’’.  

In  countries  with  a  large  asset  management 
industry  such  as  Germany,  Ireland  France  and 
Luxembourg, FoFs also account for a significant 
proportion  of  NAV.  The  HF  industry  remains 

-6 42 141 189 205 5,860 5,288  5,000 5,250 5,500 5,750 6,0002017dataFoFsHFPEREOther2018dataNote:DecompositionofNAVbyAIFtype,EURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bnNAVNumber of AIFsNote:ShareofAIFsbysize,endof2018,in%.AIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%FoFHedge fundPrivate equityReal estateOther AIFTotal EURetail investorsProfessional investorsNote:ClientsofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.FoF=Fundoffunds.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

10 

ASR-AIF.5 
AIF investor types 
Diversified investor base 

ASR-AIF.6 
Regional investment focus 
Most exposures towards the EEA 

AIF shares: The ownership of AIFs continues to 
be  highly  concentrated:  the  top  five  investors 
account for more than 75% of the NAV across AIF 
types (ASR-AIF.16). Relatedly, more than 50% of 
all  AIFs  are  entirely  held  by  their  top  five 
investors, as indicated by the median of 100% for 
all  AIF  types  (except  PE  funds).  The  high 
ownership  concentration  is  explained  by  the 
dominant role played by institutional investors. In 
some  cases,  AIFs  can  be  set  up  for  a  single 
institutional investor that prefers to hold all of the 
AIF shares, as the fund can be set up to fulfil its 
specific 
its  risk 
investment  objective  given 
appetite. 

investment  focus:  AIFs 
AIF  geographical 
invest mainly in the EEA (63%), followed by North 
America  (16%)  and  supranational  issuers  (9%), 
with the last category also including investments 
without  predominant  geographical  focus.  Other 
regions  account  for  less  than  15%  of  the  NAV 
(ASR-AIF.6). 

Leverage and liquidity risks 

Gross exposures: AIFs are exposed  to a wide 
range of asset classes, with variation across AIF 
types  (ASR-AIF.16).  RE  funds,  PE  funds  and 
FoFs are by construction heavily exposed to the 
underlying assets (physical assets for RE funds, 
(unlisted)  securities  for  PE  funds  and  collective 
investment  units  for  FoFs).  HF  exposures  are 
overwhelmingly  biased  towards  interest  rate 
derivatives (IRDs), because of the way IRDs are 
reported.2 The exposures of ‘other AIFs’ are more 
diversified,  reflecting  the  diversity  of  strategies 
used in this residual category. 

Leverage: Leverage increased at the aggregate 
level from 350% of NAV in 2017 to 440% of NAV 
in  2018.  Part  of  the  increase  is  owing  to  higher 
exposures to IRDs. Using the adjusted leverage 
measure  (where  IRDs  are  excluded),  leverage 
increased from 166% to 189% (ASR-AIF.18). The 
aggregate measure masks important differences 
across AIFs: leverage was stable for most types 
with the exception of HFs. Adjusted leverage for 
HFs  increased  from  730%  to  1050%.  The  high 
leverage  of  HFs  stems  mainly  from  the  use  of 
than 
derivatives 
outright borrowing (financial leverage). 

(synthetic 

leverage) 

rather 

Liquidity risk: Most AIFs are open-ended funds 
(69%  of  NAV,  +4pp  compared  with  2017),  with 
variation  across  types.  Around  62%  of  open-
ended  AIFs  offer  daily  liquidity  to  investors  (10-
percentage  point  decline  compared  with  2017), 
as 
the  proportion  of  AIFs  with  weekly 
redemptions increased from 21% to 28% across 
AIF  types  (ASR-AIF.18).  AIFs  more  likely  to  be 

leverage for funds (IOSCO (2018)). The report includes a 
proposal  for  an  adjustment  of  gross  notional  exposures 
for IRDs based either on duration or on the conversion of 
IRDs exposures into 10-year bond equivalents. 

2  Gross notional exposures use the gross notional value of 
the IRDs, with no adjustment for duration. However, under 
the  commitment  approach, 
for 
duration.  The  International  Organisation  of  Securities 
Commissions 
recently  published  a 
consultation paper aimed at harmonising the definition of 

IRDs  are  adjusted 

(IOSCO)  has 

0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTotal EUBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.FoF=Fundoffunds;None=Nopredominanttype.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia5%EEA63%North America16%Other Europe4%Rest3%Supra National9%Note:RegionalinvestmentfocusofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,supranationalcategoryincludinginvestmentswithoutpredominantgeo-focus.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

11 

exposed to illiquid assets such as PE funds, RE 
funds  and  HFs  tend  to  have  longer  redemption 
frequencies  (weekly  to  monthly),  as  less  than 
30% of their NAV is redeemable on a daily basis. 
Around 70% of FoFs and ‘other AIFs’ offer daily 
liquidity to investors.  

At  the  aggregate  level,  the  liquidity  profile  of 
AIFs points to potential liquidity risk at the short 
end: within one day, investors can redeem up to 
28% of the NAV, whereas only 26% of the assets 
can  be  liquidated  within  this  time  frame  (ASR-
AIF.7ASR-AIF.7). 

AIFMs  have  to  report  the  measures  adopted  to 
ensure  consistency  between  the  redemption 
policies and the liquidity profiles of the managed 
AIFs. LMTs are generally communicated upfront 
in fund disclosure documents. 

A  variety  of  LMTs  are  available  to  AIFMs, 
including:  the  presence  of  a  lock-up  and/or  a 
redemption  notice  period,  and  special  liquidity 
arrangements such as side pockets, the adoption 
of redemption  gates, the suspension of  dealing, 
and  other  special  arrangements  that  may  arise 
from illiquid assets.  

ASR-AIF.7 
Liquidity profile 
Potential liquidity risk at the short end 

ASR-AIF.9 
Liquidity management tools 
Limited data on special liquidity arrangements 

Over  longer  time  horizons,  aggregate  portfolio 
liquidity is in line with investor liquidity. However, 
this liquidity risk profile is very different across AIF 
types,  and  subsequent  sections  show 
the 
differences  across  sub-segments.  In  addition, 
relying on aggregate figures may hide individual 
liquidity  might 
risks,  as 
compensate  for  funds  with  liquidity  mismatch 
(ASR-AIF.8). 

funds  with  excess 

ASR-AIF.8 
Liquidity profile 
Challenges in aggregating liquidity profiles 

AIFMD requires AIFMs to report investor and portfolio liquidity 
in % of NAV across different time buckets. In the first annual 
statistical report, for each type of AIF, an aggregate liquidity 
profile was obtained as the weighted average of individual AIF 
liquidity profiles. 

This approach tends to overstate the liquidity of AIFs, since it 
allows for compensation effects. For example, if we compare 
two  AIFs  of  the  same  size  and  one  AIF  has  a  liquidity 
mismatch of 10% of  NAV over a given time bucket, and the 
other AIF has ‘excess liquidity’ of 10% of NAV over the same 
bucket, the aggregate liquidity profile will point to no mismatch 
because both liquidity profiles will be compensated. 

To address this bias, in this edition of the report the liquidity 
profile  does  not  allow  for  compensation.  Where  AIFs  have 
excess liquidity, this is not taken into account when estimating 
the aggregate liquidity profile. 

A final assessment of fund liquidity risks requires 
a supervisory analysis at entity level, along with a 
review  of  liquidity  management  tools  (LMTs) 
available  at  the  fund  level.  Under  Article  24(2), 

Data on special liquidity arrangements applied by 
open-ended  AIFs  are  scarce.  Close  to  80%  of 
AIFs do not report these data. A total of 20% of 
all AIFs declare that they do not apply LMTs, and 
only 1% report applying LMTs (ASR-AIF.9). 

More  information  is  available  on  the  contractual 
definition of an initial amount of time investors are 
prohibited from withdrawing their investment (i.e. 
lock-up period) and/or redemption notice periods 
that specify how many days in advance investors 
have to notify that they wish to redeem.   

ASR-AIF.10 
Liquidity management tools 
Limited data on special liquidity arrangements 

Half of the open-ended EU AIFs require a notice 
period for withdrawals. The widespread adoption 
of these contractual terms shows that EU AIFMs 
have  a  strong  preference  not  only  for  ‘sticky 

28%54%61%68%73%78%100%26%57%61%72%79%81%-2%3%0%4%6%3%0%-10%12%34%56%78%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorliquidityprofilesofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHFPrivateequityRealestateOtherAIFNoneTotalEUNot reportedAIFs  applying special arrangementsAIFs  not applying special arrangementsNote:AIFsimposingspecialliquidityarramengentsarisingfromtheirilliquidnature,includingsidepockets,gates,suspensionofdealingandothertypesofarrangements,endof2018,in%.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundofFunds,None=NoPredominantType.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%FoFHedgefundPrivateequityRealestateOtherAIFsNoneTot. EUHundredsLock-upNotice periodNote:Numberofopen-endEUAIFsimposinglock-upperiodstoinvestorsandrequiringadvancenoticebeforeredemptions,endof2018,in%.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA. 
  
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

12 

money’  and  term 
manage liquidity mismatch risks (ASR-AIF.10).  

investments,  but  also 

to 

ASR-AIF.11 
Liquidity mismatch and liquidity arrangements 
Liquidity risk for AIF with no arrangement 

AIF type 

AIF with liquidity 
mismatch 

AIF with no liquidity 
mismatch 

FoFs (%) 
HFs (%) 

RE funds (%) 
PE funds (%) 

Other AIF (%) 

Total AIFs (%) 
Total NAV (%) 

Liquidity arrangements availability 
No 
Yes 
57.9 
10.3 

Yes 
20.7 

No 
11.1 

10.1 

9.1 

1.0 

11.8 

10.1 
17 

2.4 

8.2 

5.5 

16.9 

12.9 
17 

61.4 

14.0 

3.8 

25.1 

22.6 
28.3 

26.0 

68.7 

89.9 

46.3 

54.4 
37.7 

Note: Percentage of AIFs presenting a mismatch in liquidity profile 
and liquidity arrangement availability.  
Sources: AIFMD database, National Competent Authorities, 
ESMA. 

At fund level, around one quarter of the analysed 
funds  present  a  misalignment  between 
the 
horizon  for  investor  to  redeem  and  the  time  to 
liquidation of the assets in its portfolio, including 
400  AIFs  reported  by  their  AIFMs  as  leveraged 
(ASR-AIF.11).  

Scope of the report 

This  report  is  based  on  data  submitted  by 
National Competent Authorities (NCAs) to ESMA, 
covering authorised EU and sub-threshold AIFMs 
on behalf of the AIFs they manage. The data do 
not  cover  products  marketed  by  non-EU  AIFMs 
under the NPPR. 

Data quality 

their  calculation.  Some  very 

AIFMD reporting obligations cover a wide range 
of indicators with different degrees of complexity 
in 
important 
indicators,  such  as  leverage  reported  by  AIFs, 
cannot be used at this stage owing to data-quality 
issues.  A  variety  of  reporting  errors  (formatting, 
monetary  values  instead  of  percentages,  etc.) 
prevent  us  from  using  the  reported  leverage 
indicators. Some other indicators are not always 
mandatory and may not be requested at national 
level  (e.g.  the  redemption  frequency  for  open-
ended AIFs), which makes the use of aggregate 
data more difficult. In this report, when the  data 
used for the analysis are based on a subset of our 
sample, this is specified.  A detailed inventory of 
analysed  data  and  indicators  is  provided  in  the 
inventory section at the end of the report.  

Definition of terms 

Under  the  AIFMD,  some  concepts  have  a 
different meaning from that commonly used in the 
industry. For clarification a glossary is provided at 
the end of the report. The main concepts used are 
the following: 

—  Regulatory  AuM:  value  of  all  assets  in  a 
portfolio, 
including  all  assets  acquired 
through use of leverage (borrowing of cash 
or  securities  and  leverage  embedded  in 
derivative  positions).  This  meaning  of  AuM 
is different from the typical meaning of AuM 
in  the  industry,  which  relates  to  the  assets 
on the balance sheet of the AIF; 

The  data  are  based  on  reports  transmitted  to 
ESMA by 25 NCAs. Around 35,000 reports of EU 
AIFs were transmitted to ESMA. Of those reports, 
we  excluded  around  2,800  nil  reports  (empty 
reports sent by new AIFs) and 2,220 feeder funds 
to  avoid  double  counting.  The  final  sample  is 
composed of around 30,350 AIFs.3  

to 

—  NAV: the net value of the assets of the AIF 
(as  opposed 
the  NAV  per  unit  or 
proportion of the AIF). The NAV is equal to 
the  unit  shares  of  the  AIF,  i.e.  the  money 
placed  in  the  AIF  by  investors,  which 
corresponds  to  the  concept  of  total  net 
assets sometimes used in the industry. 

The  report  relies  on  a  set  of  risk  indicators,  a 
subset  of  the  data  provided  under  the  AIFMD. 
The  risk  indicators  were  chosen  based  on  their 
relevance for risk analysis and the quality of the 
data.4 Looking forward, ongoing cooperation with 
NCAs should allow ESMA to improve the set of 
risk indicators in future editions. 

—  Leverage: 

in 

this 

is 
measured by the ratio of regulatory AuM to 
NAV. 

leverage 

report 

—  Adjusted leverage: This measure excludes 
IRDs  from  the  computation  of  leverage, 
following the approach used in the previous 
report  (ESMA,  2019).  Indeed,  the  use  of 
IRDs  tends  to  inflate  leverage  measures, 
since  IRDs  are  measured  using  notional 
amount (rather than adjusted by duration as 
done under the commitment approach). 

3     A description of the defined reference sample of AIFs 

4  The  data  inventory  on  pp.  86-87  summarises  the 

used in the analysis is available in the Annex. 

coverage of each indicator used in this report. 

 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

13 

ASR-AIF.12 
Size of the AIF industry 
Growing market 

  ASR-AIF.13 
  AIF industry by type  

‘other AIFs’ largest type 

ASR-AIF.14 
Size of AIF by type and country 
Concentration in a few countries 

  ASR-AIF.15 
  EU passport 
  Most AIFs can be passported 

ASR-AIF.16 
Distribution of ownership 
High concentration of ownership 

ASR-AIF.17 
  Gross exposures 
  Diverse exposures by AIF type 

ASR-AIF.18 
Leverage 
High leverage of HFs 

ASR-AIF.19 

  Redemption frequency 
  Daily frequency for most open-ended AIFs 

841 730 352 333 49 3,553 05001,0001,5002,0002,5003,0003,5004,000FoFRealestatePrivateequityHedgefundNoneOther20172018Note:NAVbytypeofAIFsmanagedand/ormarketedbyatuthorizedAIFMsandsub-threhsoldmanagersregisteredonlyonnationaljurisdictions.inEURbn.FoF=FundofFunds;None=Nopredominanttype.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.FoF14%Hedge fund6%Private equity6%Real estate12%Other61%None1%Note:NAVbytypeofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%.FoF=Fundoffunds,None=Nopredominanttype.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.1,666 1,329 718 645 591 414 496 05001,0001,5002,000DEUKNLFRLUIEOtherFoFHFPEREOtherNoneNote:NAVbytypeofAIFsmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU passport76%EU w/o passport17%Non-EU w/o passport3%Non-EU not marketed in EU 4%Note:NAVofAIFsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedge fundPrivateequityReal estateOtherAIFEU passportMedianAverageNote:InvestorconcentrationofEUpassportedAIFs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.FoF=Fundoffunds.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Total EUFoFHedgefundPrivateequityRealestateOtherAIFNoneSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofgrossexposuresbyAIFtype,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,None=Nopredominanttype.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1200%2400%3600%4800%6000%0%200%400%600%800%All AIFsFoFHedgefundPrivateequityRealestateOtherAIFNoneAdjusted gross leverage2017 adj. leverageAuM/NAV (rhs)2017 AuM/NAV (rhs)Note:AdjustedgrossleverageofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Datafor24EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%TotalEUFoFHedgefundPrivateequityRealestateOtherAIFNoneDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundofFunds,None=NoPredominantType.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

14 

Funds of Funds

FoFs account for 14% of the NAV of EU AIFs, at around EUR 840bn. The main characteristics of FoFs 
remained unchanged in 2018: FoFs are sold mainly to professional investors, yet among AIF types they 
have  the  largest  proportion  of  retail  investors  (31%).  They  make  little  use  of  financial  or  synthetic 
leverage. Regarding liquidity risk, more than 70% of FoFs are open-ended, with a majority offering daily 
redemptions. At the very short end, FoFs face a liquidity mismatch, with investors able to redeem 35% 
of the NAV within one day, whereas only 24% of assets could be liquidated within this time frame. 

ASR-AIF.20 
Funds in FoF portfolios 
Large variety of FoF investments 

Distribution: Like most types of AIF, FoFs have 
access to the EU passport to a large extent, with 
76% licensed to be sold throughout the EU (ASR-
AIF.27). 

Funds of Fund investors: FoFs are sold mainly 
to professional investors (70%), although among 
AIF types they have the largest proportion of retail 
investors (ASR-AIF.21).  

ASR-AIF.21 
AIF investors 
Predominantly professional investors 

Funds  of  Funds:  market  size  and 
structure 

Size: The size of the FoFs sector declined slightly 
in 2018 to EUR 841bn (EUR -6 bn compared with 
2017), resulting in a larger decline in their relative 
size (-2 pp at 14% of all AIFs). Unlike ‘other AIFs’, 
FoFs  are  spread  across  EU  Member  States 
(ASR-AIF.25), with a larger presence in countries 
with  a  large  asset-management  industry  (e.g. 
United  Kingdom,  Germany,  Luxembourg  and 
France). 

Funds  of  funds  strategies:  Most  FoFs  pursue 
strategies  beyond  investing  in  PE  funds  or  HFs 
(ASR-AIF.25). However, the proportion of PE and 
HF strategies increased in 2018 (to 13% and 11% 
compared  with  10%  and  9% 
in  2017 
respectively),  in  line  with  the  growth  for  both  of 
those AIF types over 2018. To shed more light on 
FoFs investment, data on the top five instruments 
in  which  the  AIF  is  trading  can  be  used.  More 
precisely, using instrument identifiers provided by 
AIFs, it is possible to classify the funds in which 
FoFs invest.  

For  FoFs,  the  top  five  instruments  account  for 
two-thirds  of  NAV.  Identifiers  are  available  for 
77% of the instruments listed as funds by the AIF. 
Using institutional and commercial data sources 
more than 60% of the funds in FoFs portfolios are 
retrieved.5 Overall, based on the above sample of 
identified  Collective  Investment  Units  (CIUs), 
FoFs invest 84% in UCITS and 16% in AIFs, with 
a  preference  for  EU  domiciled  equity  and  bond 
funds (ASR-AIF.20). 

retail 

The  proportion  of 
investors  varies 
significantly between FoF strategies — below 5% 
for  funds  of  PE  funds  and  funds  of  HFs  at  one 
end, and close to 40 % for ‘other FoFs’. Among 
professional 
funds  and 
investors,  pension 
insurance  companies  are  the  main  investors, 

5   The  European  Central  Bank  (ECB)  publishes  the  list  of 
EU investment funds collected by the European System 
of  Central  Banks  (ESCB).  See  the  section  on  AIFMD 

Fund  classification  –  shedding  light  on  ‘‘other  AIFs’’  for 
further details.   

04008001,2001,600EquityBondHedgeMixedMoney MarketReal estateOther fundsUCITSAIFsNote:NumberoffundslistedastoptradedinstrumentsinFoFportfolios,endof2018.Sources:AIFMDdatabase,NationalCompetentAuthorities,Lipper,ESMA.0%20%40%60%80%100%Other FoFFund of HFFund ofPERetail investorsProfessional investorsNote:Clientsoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictionsat,endof2018,in%ofNAV.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

15 

proportion of fund units that can be liquidated in 
a  day  and  the  related  liquidity  gap  may  depend 
on 
the 
the  settlement  period  required  by 
underlying  funds.  Another  explanation  could  be 
that when FoFs own a large proportion of a fund 
(more than 10% or 20% of shares), they no longer 
consider  the  underlying  fund  liquidity  on  a  daily 
basis, since the fund might not be able to convert 
such  large  amounts  of  shares  into  cash  very 
quickly.  

ASR-AIF.23 
Liquidity profile 
Some liquidity mismatch 

Unencumbered  cash,  i.e.  a  fund’s  position  in 
cash  or  cash-like  securities  not  subject  to  legal 
claims  by  another  party  (e.g.  from  collateral 
pledges  or  securities  lending  activities),  is  an 
important indicator of a fund’s ability to mobilise 
funds fast to meet redemption claims. FoFs have 
relatively  low  levels  of  unencumbered  cash,  at 
around  2.5%  of  the  NAV  across  types.  (ASR-
AIF.24).  

ASR-AIF.24 
Unencumbered cash 
Low cash buffers  

accounting  for  19%  and  10%  of  the  NAV 
respectively  (ASR-AIF.27),  with  an  even  larger 
proportion for FoFs investing in PE and HFs. 

investment 

Geographical 
focus.  Regional 
exposures of FoFs remained stable overall, with 
the EEA accounting for the bulk of exposures at 
55%  of  NAV,  despite  a  slight  decline  in  2017 
(-2pp). Supranational issuers remain the second 
exposure  (24%  of  NAV),  as  this  category  also 
reflecting  FoFs 
regions’, 
includes 
investing  in  geographically  diversified  funds, 
rather  than  in  supranational  issuers  specifically 
(ASR-AIF.29). 

‘multiple 

Leverage and liquidity risks 

Gross  exposures:  FoFs  are  predominantly 
exposed  to  other  funds  (72%  of  exposures),  in 
line with the strategy used (ASR-AIF.2930). FoFs 
have  a  large  proportion  of  their  fund  holdings 
invested in funds from the same manager (38% 
of  all  funds  holdings  including  Money  Market 
Funds  (MMFs)  and  ETFs  by  the  same  AIFMs, 
(ASR-AIF.22). 

ASR-AIF.22 
Proportion of fund holdings for FoFs 
Significant cross investment 

Leverage: FoFs display limited use of leverage: 
regulatory  AuM  to  NAV  is  118%  on  aggregate, 
with  some  variation  by 
type  (ASR-AIF.31). 
Relatively low leverage levels come from limited 
exposures to derivatives and little use of financial 
leverage (less than 1% of NAV).  

Liquidity risk: Most FoFs are open-ended funds 
(72%), with the  exception  of funds of  PE funds. 
Most  open-ended  FoFs  offer  daily  liquidity  to 
investors  (ASR-AIF.31).  At  the  aggregate  level, 
the  liquidity  profile  of  FoFs  points  to  liquidity 
mismatch  at  the  very  short  end:  within  one  day 
investors  can  redeem  up  to  35%  of  the  NAV, 
whereas  24%  of  the  assets  can  be  liquidated 
within  this  time  frame  (ASR-AIF.23).  Given  that 
FoFs invest in UCITS, which offer predominantly 
daily  liquidity  to  investors,  the  relatively  low 

CIUs by the AIFM35%CIUs by others56%ETF by the AIFM1%ETF  by others3%MMFs by the AIFM2%MMFs by others3%Note:Shareofcollectiveinvestmentundertakingsheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA35%63%70%74%78%80%100%24%77%80%82%83%-11%12%7%6%4%3%0%-15%8%31%54%77%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%2%3%5%Fund of HFFund of PEOther FoFUnencumbered cashNote:Unencumberedcashheldbyfundsoffunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundsoffunds,HF=Hedgefund,PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

16 

ASR-AIF.25 
Size of FoFs 
Spread across countries 

  ASR-AIF.26 
  FoF strategies 
  Mainly outside of PE funds and HFs 

ASR-AIF.27 
EU passport 
Most FoFs can be passported 

  ASR-AIF.28 
  FoFs investors 
  Mainly professional investors 

ASR-AIF.29 
Regional investment focus  
Mainly EEA 

ASR-AIF.30 
  Gross exposures 
  Mainly investment in funds 

ASR-AIF.31 
Leverage 
Limited leverage 

ASR-AIF.32 

  Redemption frequencies 
  Mostly daily and weekly 

1891451441347158100050100150200UKDEFRLUIENLOtherNote:NAVbyFoFsmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Fund of HF11%Fund of PE13%Other FoF76%Note:Investmentstrategiesoffundsoffunds,endof2018,in%ofNAV.Fundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor24EEAcountries.Sources:AIFMDdatabaseNationalCompetentAuthorities,ESMA.EU passport76%EU w/o passport17%Non-EU w/o passport3%Non-EU not marketed in EU 4%Note:NAVoffundsoffundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other FoFFund of PEFund of HFBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.FoF=Fundoffunds;PE=Privateequityfund,HF=Hedgefund.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia2%EEA56%Other Europe4%North America10%Supra National23%Rest5%Note:Regionalinvestmentfocusoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyfundsoffunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%40%80%120%160%Fund of HFFund of PEOther FoFAdjusted gross leverageNote:Adjustedgrossleverageoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundoffunds,PE=Privateequityfund,HF=HedgeFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

17 

Real Estate Funds

RE funds account for 12% of the NAV of AIFs, at EUR 730bn, and high growth was recorded in 2018 
(+35% compared with 2017). Compared with 2017, the proportion of retail investors has declined (21%, 
-4pp) but remains high compared with other AIF categories.  RE funds are exposed mostly to illiquid 
physical assets which take time to sell. Liquidity risk in RE funds remains a concern: around 60% are 
open-ended, and half of Commercial Real Estate (CRE) funds  — the  largest category  —  offer daily 
liquidity to investors. At the aggregate level, RE funds face liquidity mismatch across all time periods, 
an indication of a structural vulnerability as the maturities of assets and liabilities are not aligned.

Real  Estate  Funds:  market  size 
and structure 

Size: RE funds are the third-largest AIF type by 
size,  with  a  NAV  of  EUR 730bn,  or  12%  of  all 
AIFs. The size of the RE fund industry increased 
by  35%  in  2018,  as  the  result  of  positive 
developments in housing markets.  The RE fund 
industry remains concentrated in a few countries 
(ASR-AIF.38),  with  the  top  five  accounting  for 
84% of the NAV. The relatively high proportion of 
Dutch RE can be explained by the importance of 
the  pension  fund  industry  in  the  Netherlands, 
which allocates close to 15% of its AIF investment 
in RE funds. 

fund 

types:  RE 

Real  Estate 
investment 
strategies continue to be dominated by CRE with 
59% of the NAV (-3pp compared with 2017); and 
exposure to residential markets increased to 17% 
of NAV (+5pp, ASR-AIF.38). 

ASR-AIF.33 
AIF investors 
Predominantly professional investors 

Geographical  investment  focus:  RE  funds 
invest  overwhelmingly  in  the  EEA  (78%,  -5pp 
compared  with  2017,  ASR-AIF.42),  followed  by 
North  America (14%), whose relative  proportion 
nearly  tripled  over  the  last  year,  as  RE  funds 
exposures 
to 
EUR101bn.  

from  EUR  35bn 

increased 

Distribution:  Among  AIFs,  RE  funds  have  an 
extensive  access  to  the  EU  passport,  with  75% 
able to be sold throughout the EU (ASR-AIF.40).  

Real Estate fund investors: RE funds are sold 
mainly  to  professional  investors  (79%),  with  the 
proportion of retail investors declining from 25% 
in  2017  to  21%.  The  retail  investor  share  is 
however higher for CRE funds, at 31% of the NAV 
(ASR-AIF.33).  Among  professional  investors, 
pension funds and insurance companies are the 
main investors, accounting for 27%  and 14% of 
the NAV respectively (ASR-AIF.40). Other funds 
also account for a sizeable percentage of RE fund 
ownership,  with  10%  of  the  NAV.  Banks  have 
limited  exposures 
to  RE  funds,  except  for 
residential RE funds for which banks hold 15% of 
NAV. 

Leverage and liquidity risks 

Gross  exposures:  RE  gross  exposures  are 
concentrated in physical assets (around 70%  of 
exposures, across most RE types), in line with the 
strategy used (ASR-AIF.423). 

limited  use  of 
funds  make 
Leverage:  RE 
leverage.  Regulatory  AuM  to  NAV  is  134%  on 
aggregate,  as  they  have  limited  exposures  to 
derivatives,  with  low  dispersion  across  RE  fund 
types (ASR-AIF.44). However, RE funds do use 
financial 
leverage,  with  outright  borrowing 
amounting to 8% of the NAV, the second largest 
by AIF type (after HFs) (ASR-AIF.34). Most of the 
borrowing  is  secured,  with  non-securities  as 
collateral  (possibly  real  estate  assets  owned  by 
the fund). 

0%20%40%60%80%100%ResidentialOtherMulti-strategyIndustrialCommercialRetail investorsProfessional investorsNote:Clientsofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

18 

ASR-AIF.34 
Financial leverage 
Sizeable secured borrowing 

and is most prevalent for the two main strategies 
(CRE and residential) which account for 76% of 
NAV  (ASR-AIF.36).  The  aggregate  level  of 
liquidity  masks  important  differences  across 
Member States,  as in some countries RE funds 
can only be closed-ended. 

ASR-AIF.36 
Liquidity profile 
Persisting significant liquidity mismatch 

by 

some 

to 
for  RE 

The  liquidity  mismatch  at  the  short-end  can  be 
extent: 
cash 
mitigated 
unencumbered  cash 
funds  has 
increased for most RE categories in 2018 (ASR-
AIF.37).  However,  cash  buffers  are  significantly 
lower  than  the  potential  liquidity  mismatch  that 
could  arise  if  investors  were  to  redeem  over 
longer time horizons. In that context, funds might 
have  to  rely  on  liquidity  management  tools, 
provided  that  they  were  available  at  the  fund 
level.  Around  70%  of  open-ended  RE  funds 
require a notice period, which in most cases is at 
least  three  months,  and  20%  have  lock-up 
periods. 

ASR-AIF.37 
Unencumbered cash 
Cash buffers lower than liquidity gap 

Most  borrowing  is  available  for  relatively  long 
periods, implying limited financing liquidity risk for 
most RE funds. For ‘other’ RE funds, very short-
term  borrowing  (overnight)  has  declined  by 
10 pps  since  2017  but  still  amounts  to  20%  of 
financing liquidity (ASR-AIF.35). 

ASR-AIF.35 
Financing liquidity risk 
Low short-term borrowings for most RE funds 

there 

in  2017  and 

Liquidity risk: In terms of NAV, around 60% of 
RE  funds  are  open-ended  funds  compared  with 
52% 
is  considerable 
heterogeneity regarding redemption frequencies 
for  open-ended  RE  funds  (ASR-AIF.445)6.  RE 
funds  offering  daily  to  monthly  liquidity  account 
for 47% of the NAV compared with 63% in 2017, 
which  points  to  more  limited  liquidity  mismatch. 
However,  45%  of  CRE  funds  still  offer  daily 
liquidity  to  investors  (-6pp).  At  the  aggregate 
level,  the  liquidity  profile  of  RE  fund  points  to 
significant  liquidity  mismatch:  within  a  month, 
investors  can  redeem  up  to  16%  of  the  NAV, 
whereas only 4% of the assets can be liquidated 
within  this  time  frame.  The  liquidity  mismatch 
occurs  across  all  time  buckets  within  one  year 

6   The  form  (open  ended  vs  closed-ended)  that  RE  funds 
can have is not harmonized at the EU level. Accordingly, 
in some Member States, RE funds shall be closed-ended 

based on national law, and in other Member States they 
can either be open-ended or closed-ended. 

0%7%14%21%CommercialIndustrialMulti-strategyREOther REResidentialUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Cashandsecuritiesborrowedbyrealestatefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=RealEstate.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.18%20%39%2%7%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dCommercialIndustrialOther REResidentialNote:Liquidityfinancingofrealestatefundsmanagedand/ormarketedbyEUauthorisedAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%-22%-17%-12%-7%-2%3%1 day orless2-7d8-30d31-90d91-180d181-365d> 365d20172018Average 2017Average 2018Note:LiquiditymismatchofEUrealestatefunds.Mismatchdefinedasdifferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhigherthaninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%2%4%6%8%10%12%14%CommercialIndustrialMulti-strategy REOther REResidential20172018Note:Unencumberedcashheldbyrealestatefunds,endofyear,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

19 

ASR-AIF.38 
Size of RE funds 
Concentration in a few countries 

  ASR-AIF.39 
  RE fund strategies 
  Mainly CRE 

ASR-AIF.40 
EU passport 
High access to passport 

  ASR-AIF.41 
  RE funds investors 
  Pension funds as largest investors 

ASR-AIF.42 
Regional investment focus 
Investments mainly in EEA 

ASR-AIF.43 
  Gross exposures 
  Mainly physical assets 

ASR-AIF.44 
Leverage 
Limited use of leverage 

ASR-AIF.45 

  Redemption frequencies 
  Large dispersion 

2031249794944968050100150200250DEUKNLLUFRITOtherNote:NAVbyREmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commercial59%Industrial5%Other RE19%Residential 17%Note:Investmentstrategiesofrealestatefunds,endof2018,in%ofNAV.Realestatefundsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.RE=Realestate.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU passport75%EU w/o passport16%Non-EU w/o passport9%Non-EU not marketed in EU0%Note:NAVofrealestateAIFsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOther REMulti-strategy REIndustrialCommercialBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinrealestatefundsAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia5%EEA78%Other Europe2%North America14%Supra National1%Rest>1%Note:Regionalinvestmentfocusofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyrealestatefunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%50%100%150%CommercialIndustrialMulti-strategy REOther REResidentialAdjusted gross leverageNote:Adjustedgrossleverageofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

20 

Hedge Funds 

The EU HF sector amounted to EUR 333bn at the end of 2018 in NAV, or 6% of all AIFs. However, 
when measured by gross exposures, HFs account for 67% of AIFs since they rely heavily on derivatives. 
HFs make limited use of the EU passport, since most of them are domiciled outside the EU. Leverage 
is  very  high,  particularly  for  some  strategies  highly  reliant  on  derivatives.  HFs  are  exposed  to  little 
liquidity  mismatch,  as  their  assets  can  be  liquidated  quickly  to  meet  investor  redemptions.  HFs  are 
exposed to financing risk, as one third of their financing is overnight, but they tend to maintain large 
cash buffers, which are also used to meet future margin calls relating to derivatives positions.

Hedge  Funds: market  size  and 
structure 

HFs  are  funds  that  employ  complex  strategies, 
usually through the use of derivatives, and rely on 
leverage to generate returns. 

Size: As of the end of 2018, the NAV of HFs sold 
in  the  EU  by  European  AIFMs  amounted  to 
EUR 333bn,  a  14%  increase  compared  with 
2017.  Although  HFs  account  for  only  6%  of  the 
NAV  of  all  AIFs,  they  account  for  67%  of 
regulatory  AuM  of  the  AIF  industry  (at  around 
EUR 17tn). 

Most of the European HF industry is concentrated 
in one Member State: UK AIFMs account for 80% 
of the NAV of HFs (ASR-AIF.53).  

The NAV of AIF HFs domiciled in the euro area 
amounts to EUR 100bn, based on the definition 
and  regulatory  reporting  under  AIFMD.  Outside 
the  AIF  framework,  funds  have  been  identified 
that  apply  investment  strategies  comparable  to 
hedge  funds,  whose  size  has  been  found  to  be 
significant. For example, the ECB estimates  the 
total  size  of  the  euro  area  market  for  funds 
pursuing hedge-fund style strategies to amount to 
EUR 419bn, including EUR 236bn registered as 
AIFs, and EUR 183bn of funds registered under 
framework  (ASR-AIF.46)7.  Most 
the  UCITS 
strikingly, the size of AIF  HFs cited by the  ECB 
amounts  to  more  than  twice  the  volume  found 
under  formal  AIF  reporting.  This  represents  a 
inconsistencies 
significant  case  of  reporting 
resulting 
the  AIF’s  categorisation,  as 
discussed  in  detail  in  the  methodological  article 
‘‘AIFMD  fund  classification  –  shedding  light  on 
‘other AIFs’’. 

from 

ASR-AIF.46 
Classification of EA hedge funds 
Large reporting inconsistencies 

There are also HFs which are neither domiciled 
nor managed in the EU but are sold in individual 
Members States under NPPR. Those HFs had a 
NAV of EUR 463bn at the end of 2018. Most of 
those HFs are domiciled in offshore centres such 
as  the  Cayman  Islands  (64%  of  NAV)  and  the 
British Virgin Islands (13%), and around 12% are 
domiciled  in  the  United  States.  Overall,  those 
HFs  tend  to  be  less  leveraged  than  their  EU 
counterparts,  with  a  gross  leverage  of  around 
2,100% compared with 5,500% for EU HFs. 

Hedge Fund types: HFs pursue a wide range of 
strategies  (ASR-AIF.53).  Strategies  relating  to 
equities  (such  as  long/short)  remain  dominant 
despite  a  relative  decline  (42%,  -4pp),  followed 
by  macro  (12%,  -3pp)  and  commodity  trading 
advisors  (CTA)  (12%,  +1pp),  and  credit  (8%, 
+3pp).  

Distribution:  Unlike  ‘other  AIFs’,  most  HFs  do 
not  have  access  to  the  EU  passport,  with  only 
30%  able  to  be  sold  throughout  the  EU  (ASR-
AIF.55). This can be explained by the domicile of 
HF  AIFs,  since  most  of  them  are  domiciled 
outside  the  EU  but  managed  by  sub-threshold 
AIFMs under national law.  

7   The  ECB  defines  hedge  funds  as  funds  “which  apply 
relatively unconstrained investment strategies to achieve 
positive  absolute  returns,  and  whose  managers,  in 

addition  to  management  fees,  are  remunerated  in 
relation to the fund’s performance’ (ECB, 2017). 

1831002360100200300400500AIFMDECBAIFUCITSNote:NAVofthehedgefundsectorforfundsdomiciledintheeuroareainEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ECB,ESMA.. 
 
 
 
 
  
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

21 

(ASR-AIF.47).  Among 

Hedge  Fund 
investors:  HFs  are  almost 
exclusively owned by professional investors, with 
retail  investors  accounting  for  less  than  2%  of 
NAV 
professional 
investors, ‘Other collective investment units’ are 
the  main  holders  of  HF  shares  at  42%  (+3pp), 
followed  by  pension  funds  (15%)  and  other 
financial  institutions  (11%).  Similarly,  for  other 
types  of  AIFs,  the  ownership  of  HF  shares  is 
highly  concentrated,  with  the  top  five  holders 
accounting  for  around  80%  of  the  NAV,  across 
strategies. 

ASR-AIF.47 
HF investors 
Almost exclusively professional investors 

Investment focus: HFs invest primarily in North 
America (47%, +2pp), followed by the EEA (33%, 
+2pp) and Asia (7%, -2pp). (ASR-AIF.556). 

Leverage and liquidity risks 

Gross exposures: Gross exposures of HFs are 
diverse  and  heterogeneous  across  strategies 
(ASR-AIF.57). Macro, CTA and relative value and 
HFs have high exposures relating to interest-rate 
derivatives, while credit HFs are exposed mainly 
to credit derivatives (79% of exposures, +66pp).  
Securities  account  for  the  main  part  of  gross 
exposures for event-driven and equity HFs (67% 
and 49% respectively). 

HFs  have  high  levels  of  unencumbered  cash 
compared  to  other  types  of  AIFs  (38%  for  HFs 
versus 8% for all AIFs). The highest levels of cash 
are for strategies that have the highest exposures 
to interest-rate derivatives, such as relative value, 
macro,  credit  and  CTA  (ASR-AIF.48).  This 
suggests that part of the cash buffers is used to 
cover future margin calls. 

ASR-AIF.48 
Unencumbered cash 
Large cash buffers 

Leverage: HFs are in general strongly leveraged 
(ASR-AIF.57)  and  leverage  increased  in  2018. 
Among  HF  strategies,  relative  value  and  macro 
have  the  highest  levels  of  adjusted  leverage 
(excluding IRDs exposures) at 7,155% (+3,150pp 
compared  with  2017)  and  1,479%  (+438pp) 
respectively. 
leverage 
measures  are  biased  by  very  large  outliers:  the 
median  adjusted  leverage  for relative value  and 
macro  stands  at  around  360%  and  367% 
respectively (ASR-AIF.49).  

aggregate 

These 

ASR-AIF.49 
Hedge fund leverage  
High dispersion within categories 

Although  most  of  the  leverage  is  synthetic 
leverage,  i.e.  due  to  the  use  of  derivatives, 
financial  leverage  is  also  significant  for  HFs 
(ASR-AIF.50), amounting to around 160% of the 
NAV  (compared  with  6%  for  all  AIFs).  Secured 
repo 
borrowing 
accounts  for  60%  of  the  NAV  and  funding  from 
prime brokers accounts for 12% of the NAV. 

repo  and 

through 

reverse 

0%20%40%60%80%100%Relative ValueOther HFMulti-strategy HFMacroEvent DrivenEquityCTACreditRetail investorsProfessional investorsNote:Clientsofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%50%100%150%200%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueUnencumbered cashNote:Unencumberedcashheldbyhedgefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%500%1000%1500%2000%CreditCTAEquityEvent drivenMacroMulti-strategy…OtherHFRel. valueTotalAdjusted gross leverage75th percentileMedian90th percentileNote:AdjustedgrossleverageofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.6090%7155%24472% 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

22 

ASR-AIF.50 
Direct borrowing  
Sharp differences owing to repo 

ASR-AIF.52 
Liquidity profile 
Limited liquidity mismatch 

Liquidity  risk:  HFs 
reliant  on  short-term 
borrowings  are  exposed  to  financing  liquidity 
risk  (ASR-AIF.51).  The  risk  would  crystallise  if 
HFs were to use most of their available financing, 
and then their counterparts were to cut or reduce 
their  funding.  Overall,  30%  of  the  funding  is 
overnight,  with  heterogeneity  across  strategies. 
For  some  strategies,  such  as  credit  and  event 
driven,  most  of  their  available  borrowing  is 
overnight (79% and 49% respectively), exposing 
them to potential rollover risk. 

ASR-AIF.51 
Liquidity financing 
High portion of short-term funding 

Regarding  liquidity  risk,  most  HFs  are  open-
ended funds (78% of NAV) which offer weekly to 
monthly liquidity to investors (ASR-AIF.59). HFs 
offering daily liquidity account for only 8% of the 
NAV. At the aggregate level, the liquidity profile 
of  HFs  points  to  very  little  liquidity  mismatch: 
within one week, investors can only redeem up to 
16% of the NAV, whereas 35% of the assets can 
be liquidated within this time frame (ASR-AIF.52). 
This  pattern  is  evident  across  all  HF  strategies, 
despite  different  levels  of  portfolio  and  investor 
liquidity. In addition, among AIFs, HFs make the 
most use of notice periods (close to 90%), which 
are on average around one month. 

43%19%36%137%13%3%0%50%100%150%200%USEUUnsecured borrowingSecured via PBReverse repoSecured via otherNote:Cashandsecuritiesborrowedbyhedgefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Sources:AIFMDdatabase,NationalCompetentAuthorities,SEC,ESMA.47%54%31%79%88%75%84%10%22%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dCreditCTAEquityEvent drivenMacroRel. valueNote:Liquidityfinancingofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.16%28%64%80%90%100%6%35%39%80%98%2%19%11%16%18%9%0%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

23 

ASR-AIF.53 
Size of HFs by country 
High concentration in the UK 

  ASR-AIF.54 
  HF strategies 
  Mainly equity strategies 

ASR-AIF.55 
EU passport 
Lower use of passport 

  ASR-AIF.56 

Investor types 

  High ownership of FoFs 

ASR-AIF.57 
Regional investment focus 
Mainly exposed to North America 

  ASR-AIF.58 
  Gross exposures 
  Heterogeneity across HF strategies 

ASR-AIF.59 
Leverage 
Very high leverage 

  ASR-AIF.60 
  Redemption profile 
  Mostly weekly to monthly frequency 

266161587614050100150200250300UKIELUBEMTSEOtherNote:NAVbyHFsmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Credit8%CTA12%Equity42%Event Driven5%Macro12%Other HF14%Relative Value7%Note:Investmentstrategiesofhedgefunds,endof2018,in%ofNAV.Hedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.HF=Hedgefund.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU passport30%EU w/o passport3%Non-EU w/o passport38%Non-EU not marketed in EU29%Note:NAVofhedgefundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccessAIFMDpassportormarketingnon-EUAIFsw/opassport,subthresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative ValueOther HFMulti-strategy HFMacroEvent DrivenEquityCTACreditBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia7%EEA31%Other Europe4%North America47%Supra National6%Rest5%Note:Regionalinvestmentfocusofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,andthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyhedgefunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.7155%0%5000%10000%15000%20000%25000%30000%0%200%400%600%800%1000%1200%CreditCTAEquityEvent drivenMacroMulti-strategy…OtherHFRel. valueTotalAdjusted gross leverage2017 adj. leverageAuM/NAV (rhs)2017 AuM/NAV (rhs)Note:AdjustedgrossleverageofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

24 

Private Equity Funds 

PE funds account for 6% of the NAV of all AIFs, or EUR 352bn. Among AIF types, PE funds experienced 
the largest growth in 2018 (+66% compared with 2017). They follow a range of strategies and are almost 
exclusively sold to professional investors. PE funds make little use of synthetic and financial leverage 
and invest mainly in illiquid securities (unlisted securities). Overall, liquidity risk is limited given that PE 
funds are overwhelmingly closed-ended.

PE funds targeting newly created firms (venture 
capital and growth strategies). 

ASR-AIF.61 
AIF investors 
Predominantly professional investors 

Geographical  investment  focus:  PE  funds 
continue  to  invest  mainly  in  the  EEA,  (68%  of 
NAV,  (ASR-AIF.68),  but  the  relative  share  has 
declined by 9pp, as funds  have readjusted their 
portfolio towards North America (19%; +9pp)  

Leverage and liquidity risks 

Gross  exposures:  PE  gross  exposures  are 
concentrated  in  securities  (around  80%,  -10pp) 
but  2018  saw  an  increase  in  physical  assets 
(11%,  -7pp),  especially  for  other  PE  funds. 
Unlisted equities account for around 60% of PE 
exposures. 

Leverage:  PE 
limited  use  of 
funds  make 
leverage.  The  AuM-to-NAV  ratio  is  at  113%  on 
aggregate, the lowest among AIF types, with low 
dispersion  across  PE  fund  types  (ASR-AIF.70). 
PE funds make limited use of financial leverage, 
with  outright  borrowing  amounting  to  less  than 
3%  of  the  NAV  (ASR-AIF.60).  Around  2/3  of 
available financing is around one month, implying 
limited financing liquidity risk for most PE funds 
(ASR-AIF.62).  

Private  Equity  Funds:  market  size 
and structure 

Size: PE funds surged in 2018 with a 66% rise in 
NAV  at  EUR 352bn,  or  6%  of  all  AIFs  (+2pp 
compared  with  2017).  The  increase  reflects  a 
combination of three factors: higher coverage of 
AIFs,  valuation  effects  and  net  inflows  into  PE 
funds. The PE fund industry is concentrated in a 
few  countries  (ASR-AIF.64),  with  the  top  five 
accounting  for  87%  of  the  NAV  and  the  UK 
the  NAV 
for  almost  half  of 
accounting 
(47%, +9pp). 

Private  Equity  Fund  types:  PE  investment 
strategies  are  diversified,  with  39%  of  the  NAV 
invested  in  growth  capital,  followed  by  venture 
capital  (12%)  and  mezzanine  capital  (4%). 
Almost half of the NAV (45%) is related to other 
unspecified  strategies  (ASR-AIF.64).  The  large 
residual  category  can  be  explained  by 
classification  issues,  as  PE  fund  types  do  not 
include  leveraged  buyouts,  which  account  for  a 
significant proportion of the PE industry (around 
70%  of  fundraising  in  2018  according  to  Invest 
Europe)8.  

Distribution:  As  for  other  types  of  AIFs,  the 
majority  of  PE  funds  have  access  to  the  EU 
passport, with 60% able to be sold throughout the 
EU (ASR-AIF.66). 

Private  Equity  Fund  investors:  Among  AIFs, 
PE  funds  have  the  lowest  proportion  of  retail 
investors  (5%).  Among  PE  fund  types,  venture 
capital has a larger proportion of retail investors, 
the  NAV  (ASR-AIF.61).  Among 
at  17%  of 
professional 
in 
investors, 
composition occurred in 2018. Investment funds 
and  pension 
funds  experienced  a  sizeable 
decline in their proportion (-7pp at 18% and -2pp 
at 17% respectively), as the proportion of general 
government  surged  11pp  to  16%  of  the  NAV  in 
2018 
government 
includes public agencies, which invest primarily in 

(ASR-AIF.62).  General 

important  shifts 

8 See “European Private Equity Activity 2018”. 

0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth CapitalRetail investorsProfessional investorsNote:Clientsofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

25 

ASR-AIF.62 
Financial leverage 
Limited borrowing except for mezzanine capital 

ASR-AIF.63 
Unencumbered cash 
High levels of cash 

The  low  level  of  leverage  is  explained  by  the 
structures  used  by  PE  funds.  PE  funds  are  not 
in  a  portfolio 
usually 
company  that  could  be  leveraged.  According  to 
the  AIFMD,  leverage  at  the  portfolio  company 
level should not be reported by the AIF.9 

leveraged  but 

invest 

Liquidity risk: Most PE funds are closed-ended 
funds  (94%  of  the  NAV)  and  the  redemption 
frequency  for  open-ended  PE  funds  is  usually 
weekly  to  monthly.  PE  funds  tend  to  have  high 
levels  of  unencumbered  cash  compared  with 
‘other  AIFs’  at  26%  of  the  NAV  (+19pp),  with 
some  dispersion  across  PE  fund  types  (ASR-
AIF.63). Other  PE funds account for  the bulk of 
unencumbered cash (77%), which stands higher 
than their relative proportion of NAV.  The level of 
cash  can  be  explained  by 
temporary  and 
structural factors. Temporary factors include the 
length  of  time  between  the  fund  receiving  the 
called committed capital and the fund investing it, 
and  the  length  of  time  between  the  sale  of  the 
stakes  of  the  fund  and  the  return  of  cash  to 
the 
investors.  Structural 
operational  needs  of  the  fund.  Overall,  the  high 
level of cash cannot be explained by these factors 
and requires further analysis at fund level. 

factors 

relate 

to 

9   According to recital 78  of the AIFMD:  “for private equity 
and  venture  capital  funds  this  means  that leverage  that 
exists at the level of a portfolio company is not intended 
to be included”. 

0%2%4%6%8%10%12%GrowthcapitalMezzaninecapitalMulti-strategyPEQFOther PEQFVentureCapitalUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Cashandsecuritiesborrowedbyprivateequityfunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PEQF=PrivateEquityFund.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%10%20%30%40%50%GrowthcapitalMezzaninecapitalMulti-strategyPEOtherPEVentureCapitalUnencumbered cashNote:Unencumberedcashheldbyprivateequityfunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

26 

ASR-AIF.64 
Size of PE funds 
Concentration in a few countries 

  ASR-AIF.65 
  PE fund strategies 
  Diversified strategies 

ASR-AIF.66 
EU passport 
High access to passport 

  ASR-AIF.67 
  PE fund investors 

Increase of general government 

ASR-AIF.68 
Regional investment focus 
Mostly EEA 

ASR-AIF.69 
  Gross exposures 
  Mainly unlisted securities 

ASR-AIF.70 
Leverage 
Limited use of leverage 

ASR-AIF.71 
  Redemption rights 
  Mainly closed-ended funds 

16662572510725050100150200UKLUFRNLDEESOther20172018Note:NAVbyPEmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Growth Capital39%Mezzanine Capital4%Other private equity45%Venture Capital12%Note:Investmentstrategiesofprivateequityfunds,endof2018,in%ofNAV.Privateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU passport60%EU w/o passport20%Non-EU w/o passport3%Non-EU not marketed in EU17%Note:NAVofprivateequityfundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassport,subthresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassport.Datafor25EEAcountriesSources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth CapitalBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia7%EEA68%Other Europe4%North America19%Supra National0%Rest2%Note:Regionalinvestmentfocusofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,andthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-strategyPEOtherPEVentureCapitalSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyprivateequityfunds'investmentstrategies,endof2018,in%oftotal.AIFsmangedand/ormarketedbyauthorisedEUAIFMs.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%120%GrowthcapitalMezzaninecapitalOther PEVenturecapitalTotalAdjusted gross leverageLeverage (AuM/NAV)Note:Adjustedgrossleverageofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-strategyOther PEVentureCapitalOpen-endClosed-endNote:Redemptionrightsprovidedintheordinarycoursetoinvestorsinprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

27 

Other AIFs 

Other AIFs account for  61% of  the NAV  of  EU  AIFs, at  EUR 3,553bn. This residual category of the 
Alternative Investment Fund Managers Directive (AIFMD) reporting regime covers a range of strategies, 
with fixed income and equity strategies accounting for 67% of NAV and an additional residual category 
accounting for 29% of NAV. In the additional residual category, 25% of the funds are leveraged and 
tend to be more concentrated. Although most types of ‘other AIFs’ have very limited liquidity risk, the 
residual category faces some liquidity mismatch. 

‘Other  AIFs’: market  size  and 
structure 

The 

transparency 

Size: The ‘other AIFs’ category is the largest type 
of AIF, with a NAV of around EUR 3,553bn (+6pp 
compared  with  2017),  concentrated  in  a  few 
countries  (ASR-AIF.75).  Overall,  half  of  the  EU 
AIFs  fall  into  this  heterogeneous  group  of 
strategies. 
obligations 
established by the AIFMD require AIFMs to make 
available to investors and NCAs a description of 
the fund strategy and the type of assets in which 
it  may 
fund 
classification  –  shedding  light  on  ‘other  AIFs’, 
provides a detailed description of the AIFs in this 
category  and  the  related  potential  classification 
issues.  In relative terms, ‘‘other AIFs’’ constitutes 
in  most  EU  countries, 
the  main  AIF 
accounting  for  more  than  70%  of  the  NAV  in 
Germany,  Ireland,  the  Netherlands,  Poland  and 
Spain,  and  close  to  50%  or  more  in  France, 
Luxembourg and the United Kingdom. 

invest.  The  section 

“AIFMD 

type 

funds  and 

the  NAV  (ASR-AIF.73).  Among  professional 
investors,  pension 
insurance 
companies are the main investors, accounting for 
33% and 20% of the NAV respectively. However, 
there  are  large  differences  by  strategy  (ASR-
AIF.77).  The  high  proportion  of  pension  funds 
might  be  partly  explained  by  country-specific 
factors.  In  the  euro  area,  Dutch  pension  funds 
account for 60% of all assets. In the Netherlands, 
pension  funds  account  for  close  to  90%  of  the 
NAV  of  AIFs  (close  to  EUR  550bn).  Dutch 
pension funds typically invest in fixed income and 
equity AIFs which are classified as ‘‘other AIFs’’, 
partially  explaining  the  higher  proportion  of 
pension  funds  in  this  type  of  AIF  at  European 
level. 

ASR-AIF.72 
AIF investors 
Predominantly professional investors 

‘Other  AIF’  types:  ‘other  AIFs’  can  use  very 
different  strategies  (ASR-AIF.75).  The  main 
strategies are related to fixed income (41% of the 
NAV) —  which  includes  money-market  AIFs — 
and equity (26%). A significant portion of the NAV 
of ‘other AIFs’ (29%, +2pp) is difficult to identify, 
as managers did not refer to a specified strategy. 
These AIFs with an undefined strategy could be 
largely described as mixed funds, that is investing 
in  both  equity  and  bonds  with  no  prevalence  of 
one  instrument,  but  also  showing  significant 
exposure to CIUs and derivatives, accompanied 
by  relatively  higher  levels  of  leverage  and  a 
concentrated ownership.  

Distribution:  Like  most  types  of  AIF,  ‘‘other 
AIFs’’ have access to the EU passport to a large 
extent,  with  80%  (+3pp)  able 
to  be  sold 
throughout the EU (ASR-AIF.77). 

‘Other  AIFs’  investors:  ‘other  AIFs’  are  sold 
mainly  to  professional  investors  (86%,  +2pp), 
although retail investor presence is higher for the 
residual category (‘other’), accounting for 24% of 

focus. 

Geographical 
The 
investment 
exposures  of  ‘‘other  AIFs’’  remained  stable  in 
2018,  as  they  invested  primarily  in  the  EEA 
(61%), followed by North America (17%) and Asia 
(7%). (ASR-AIF.79). 

Leverage and liquidity risks 

Gross  exposures:  AIF  gross  exposures  are  in 
line with the strategy used (ASR-AIF.73). Equity 
and  fixed-income  AIFs  are  exposed  mainly  to 
securities  (listed  equities  for  equity  AIFs  and 
mainly sovereign and investment grade corporate 
bonds for fixed income AIFs). Infrastructure AIFs 
have  significant  exposures  to  physical  assets, 

0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityRetail investorsProfessional investorsNote:ClientsofAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

28 

and commodity AIFs have significant exposures 
to  other  derivatives,  which  include  commodity 
derivatives. The residual category ( ‘other-other’) 
is  more  diversified,  reflecting  very  different 
strategies pursued by the managers.  

ASR-AIF.73 
Gross exposures 
Mostly securities 

ASR-AIF.74 
Unencumbered cash 
Sizeable buffers for commodity funds 

Leverage:  ‘Other  AIFs’  display  limited  use  of 
leverage:  regulatory  AuM  to  NAV  is  162%  on 
aggregate,  as  they  have  limited  exposures  to 
derivatives  and  have 
financial 
leverage (less than 5% of the NAV). Among ‘other 
AIFs’ strategies, leverage remains limited (ASR-
AIF.79). 

little  use  of 

Liquidity  risk:  Regarding  liquidity  risk,  around 
70%  of  ‘other  AIFs  are  open-ended  funds,  with 
the exception of infrastructure funds (only 13%). 
Open-ended  AIFs  offer  mainly  daily  liquidity  to 
investors  (70%)  or  weekly  and  monthly  liquidity 
(27%;  ASR-AIF.81),  with  some  rebalancing 
towards  slightly  longer  frequencies  (-10pp  for 
daily redemptions and +9pp for weekly to monthly 
redemption 
the 
aggregate  level,  the  liquidity  profile  of  ‘other 
AIFs’  points  to  very  limited  liquidity  mismatch: 
within one week, investors can redeem up to 66% 
of the NAV, whereas 80%  of the  assets can  be 
liquidated within this time frame (ASR-AIF.81). 

in  2018).  At 

frequencies 

cash 

Some  types  of  ‘other  AIFs’  report  high  levels  of 
unencumbered 
for 
commodity  funds  cash  accounts  for  42%  of  the 
NAV (+14pp). Such a high level of cash is in line 
with  the  reliance  on  commodity  derivatives  for 
this type of AIF. 

(ASR-AIF.74): 

0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOtherfundsSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofexposuresbyinvestmentstrategiesofAIFsclassifiedasOther,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%5%10%15%20%25%30%CommodityEquityFixedincomeInfra-structureOtherfundsUnencumbered cashNote:UnencumberedcashheldbyAIFsclassifiedasOther,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

29 

ASR-AIF.75 
Size of ‘other AIFs’ 
Main AIF type in most countries 

ASR-AIF.76 
‘other AIFs’ strategies 
Fixed income and equity dominant 

ASR-AIF.77 
EU passport 
Most ‘other AIFs’ can be passported 

ASR-AIF.78 
‘other AIFs’ investors types 
  Mainly pension funds 

ASR-AIF.79 
Regional investment focus 
Mostly EEA 

ASR-AIF.80 
Leverage 
Limited use of leverage 

ASR-AIF.81 
Redemption frequency 
Mainly daily to monthly frequency 

ASR-AIF.82 
Liquidity profile 

  Moderate liquidity mismatch 

128457253534028028925202004006008001,0001,2001,400DEUKNLFRLUIEOther20172018Note:NAVbyOtherAIFsmanagedand/ormarketedbyauthorizedAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commodity1%Equity26%Fixed income41%Infrastructure3%Other29%Note:InvestmentstrategiesofAIFsclassifiedasOther,endof2018,in%ofNAV.AIFsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor24EEAcountries.Sources:NationalCompetentAuthorities,ESMA.EU passport80%EU w/o passport16%Non-EU w/o passport1%Non-EU not marketed in EU3%Note:NAVofAIFsclassifiedasOtherbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUsOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.CIUs=Collectiveinvestmentundertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia7%EEA61%Other Europe4%North America17%Supra National7%Rest4%Note:RegionalinvestmentfocusofEUAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%50%100%150%200%CommodityEquityFixedincomeInfra-structureOther fundsAdjusted gross leverageNote:AdjustedgrossleverageoffundsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOtherfundsDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.34%66%74%80%83%100%44%80%85%88%90%91%10%14%11%8%7%4%0%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorliquidityprofilesofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

30 

Non-EU AIFs (NPPR)  

Under Article 42 of the AIFMD, a Member State can allow non-EU AIFMs to market units or shares of 
AIFs  that  they  manage  without  benefiting  from  the  AIFMD  passport  under  the  National  Private 
Placement  Regime  (NPPR).  The  NPPR  market  stands  at  EUR  1.7tn  NAV  and  therefore  warrants 
dedicated analysis. NPPR fund marketing is concentrated in a small number of member states and 98% 
of  investors  are  professional  investors.  Hedge  funds  marketed  under  the  NPPR  are  predominantly 
domiciled in the Cayman Islands, ‘other AIFs’ marketed under the NPPR are predominantly US-based 
exchange-traded  funds  (ETFs).  Overall,  risk  profiles  for  NPPR  funds  are  comparable  to  EU  AIFs. 
However, the geographical investment focus is different as NPPR funds invest predominantly in non-
EU areas.

AIFs marketed under the NPPR: 
market size and structure 

is  a  mechanism 

AIF size: At EUR 1.7tn NAV, the NPPR market is 
equivalent to one fifth of the EU AIF market. The 
NPPR 
to  allow  non-EU 
managers  to  market  investment  funds  that  are 
not  allowed  to  be  marketed  under  the  AIFMD 
domestic marketing or passporting regimes. This 
principally  relates  to  the  marketing  of  non-EU 
AIFs by non-EU AIFMs. NPPRs are not a form of 
cross-border distributions and NPPRs’ rules vary 
significantly  across jurisdictions.  Non-EU  AIFMs 
are subject to reporting under the AIFMD in each 
jurisdiction in which they are authorised to market 
their  products.  Because  under  the  NPPR  rules, 
the same AIFs can be marketed under  different 
jurisdictions,  the  full  assessment  of  the  non-EU 
AIF market in terms of size, composition and risks 
for financial stability depends on the possibility of 
uniquely identifying AIFs. International identifiers 
(i.e., Legal Entity Identifiers (LEIs) or International 
Securities  Identification  Numbers  (ISINs))  are 
used to analyse this segment of the AIF industry 
to avoid overestimating market shares for funds 
reporting in different countries.  

AIF  domicile  and  EU  jurisdictions:  According 
to  data 
reported  by  National  Competent 
Authorities, non-EU AIFs are marketed in 13 EU 
member  states.  Around  900  non-EU  AIFs 
marketed  under  the  NPPR  can  be  uniquely 
identified.10  The  total  regulatory  AuM  of  these 
uniquely identified AIFs reach EUR 10.3tn for the 
NPPR  market.  The  considerable  difference 
between  the  NAV  and  the  regulatory  AuM  is 
owing to the large exposure of off-shore HFs to 
IRDs.  In  terms  of  cross-country  distribution,  the 
AIF  industry  is  concentrated  in  a  few  countries. 
The UK is the country with the largest presence 

10   Around 2000 AIFs marketed under NPPR in different EU 
jurisdictions cannot be uniquely identified owing to the 
lack of international identifiers. 

of non-EU AIFs (ASR-AIF.88). The vast majority 
of HFs are domiciled in the Cayman Islands and 
marketed in UK (ASR-AIF.83).  

ASR-AIF.83 
Domicile of AIFs marketed under NPPR (Article 42) 
Large presence of US AIFs and off-shore HFs 

The  AIF  market  regulated  by  Article  42  of  the 
AIFMD  appears  extremely  concentrated:  6%  of 
NPPR AIFs have a NAV higher than EUR 5bn — 
these funds represent 71% of the NPPR NAV.  

In terms of NAV, the NPPR segment is dominated 
by US ETFs (mostly equity) that are classified as 
‘other’ (ASR-AIF.88). When considering the total 
exposure, the top 10 AIFs marketed under NPPR 
are off-shore HFs and alone account for 65% of 
the regulatory AuM. 

Non-EU AIF investors: AIFs marketed under the 
NPPR  are  sold  almost  entirely  to  professional 
investors  (98%),  except  for  RE  funds  and  FoFs 
(ASR-AIF.84).  With  the  exception  of  RE  funds 
and  US  ETFs,  non-EU  AIFs  shares  display  a 
highly  concentrated  ownership,  with  the  top-5 
holders accounting for around 70% of the NAV. A 
large  proportion  of  NPPR  investors  cannot  be 
identified  (40%  of  the  NAV).  Banks,  pension 
funds  and  insurance  companies  have  only  a 

0%1300%2600%3900%05001,0001,500USKYJPVIGSYSGFoFHFPEREOtherNoneLeverage (rhs)Note:NAVbydomicileofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
  
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

31 

limited exposure, amounting to 5% of NAV (ASR-
AIF.90).  

ASR-AIF.85 
Financial leverage 
Sizeable secured borrowing 

ASR-AIF.84 
AIF investors 
Predominantly professional investors 

Geographical investment focus: Non-EU funds 
appear  not  to  be  focused  on  EU  assets.  Their 
investments  are  domiciled  mostly  in  North-
America  (63%)  and  Asia  (14%)  (ASR-AIF.92). 
This result is primarily due to the high number of 
US domiciled ETFs.  

Leverage and liquidity risks 

Gross  exposures:  The  asset  exposure  of  non-
EU AIFs is similar to that of EU-domiciled funds  
with RE funds exposed to physical assets, FoFs 
investing  in  collective  investment  schemes  and 
hedge  funds  heavily  exposed  to  interest  rate 
derivatives (ASR-AIF.92).  

Leverage:  With  the  exception  of  HFs,  non-EU 
funds  make  limited  use  of  leverage.  Regulatory 
AuM  to  NAV  is  118%  on  aggregate  when 
excluding HFs, as the exposures to derivatives is 
limited.  When  the  effect  of  IRDs  is  netted,  HFs 
pass from a level of leverage of 2,300% to 600% 
(ASR-AIF.86).  The  ratio  of  regulatory  AuM  to 
NAV  reaches  3,300%  for  HFs  domiciled  in  the 
Cayman Islands.  

Non-EU  HFs  borrowings  stand  at  160%  of  their 
NAV  (ASR-AIF.85).  Whereas  EU  HFs  increase 
their  financial  leverage  by  engaging  in  repo 
trades, non-EU HFs borrow comparatively more 
from  their  prime  broker.  Non-EU  RE  funds  also 
use financial leverage extensively but, in contrast 
to  EU  RE  funds,  most  of  the  borrowing  is 
unsecured. 

ASR-AIF.86 
Leverage 
Limited except for hedge funds 

Liquidity risk: Around 80% of non-EU AIFs are 
open-ended,  with  variation  across  fund  types. 
The vast majority offer daily or weekly liquidity to 
their investors. In the case of US ETFs, more than 
90% of their NAV is redeemable on a daily basis 
(ASR-AIF.94). At the aggregate level, the liquidity 
profile of non-EU AIFs points to potential liquidity 
risk at the short end: within a day, investors can 
redeem up to 73% of the NAV, whereas only 54% 
of  the  assets  can  be  liquidated  within  this  time 
frame. The liquidity gap reduces within the one-
month bucket (ASR-AIF.87).  

0%20%40%60%80%100%FoFHedge fundPrivate equityReal estateOther AIFTotal NPPRRetail investorsProfessional investorsNote:ClientsofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%40%80%120%160%FoFHedge fundPrivateequityReal estateOther AIFUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Cashandsecuritiesborrowed,endof2018,in%ofNAV.marketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.FoF=FundsofFunds,None=NopredominanttypeSources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%1200%2400%3600%0%200%400%600%800%FoFHedgefundPrivateequityRealestateOtherAIFNoneAdjusted gross leverageAuM/NAV (rhs)Note:AdjustedgrossleverageofAIFsAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

32 

ASR-AIF.87 
Liquidity profile 
Moderate liquidity mismatch 

As  for  EU  AIFs,  data  on  LMTs  cover  only  a 
fraction of the analysed sample and the assessed 
proportion  of  NAV  covered  by  special  liquidity 
arrangement  is  negligible.  However,  more  than 
50%  of  the  analysed  non-EU  AIFs  adopt  and 
report  contractual  liquidity  arrangements.  The 
notice  period  for  investors  varies  substantially 
across  fund  types,  depending  on  the  relative 
illiquidity  of  the  underlying  assets.  Non-EU  PE 
and RE funds require on average more than four 
months’  notice  from  investors  to  redeem  their 
fund shares. The notice periods for HFs and AIFs 
classified 
‘other’  category 
residual 
(including  US  ETFs)  is,  respectively,  of  one 
month and two weeks. 

the 

in 

73%73%80%86%88%91%100%54%55%73%80%88%90%-19%-18%-7%-6%0%-1%0%-25%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorsliquidityprofilesofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

33 

ASR-AIF.88 
NPPR market by country 
Non-EU AIFs marketed in a small number of countries   US ETFs dominant in terms of NAV 

ASR-AIF.89 
NPPR strategies 

ASR-AIF.90 
EU passport 
Large funds dominating the segment 

ASR-AIF.91 
NPPR investors types 
Large proportion of ownership unidentified  

ASR-AIF.92 
Regional investment focus 
Mostly North America 

ASR-AIF.93 
Leverage 
Use of derivatives limited to HFs 

ASR-AIF.94 
Investor concentration 
Less concentrated then EU AIFs 

ASR-AIF.95 
Redemption frequency 

  Mainly weekly to monthly frequency 

05001,0001,5002,0002,500UKLUFIIEDEBEOtherFoFHFPEREOtherNoneNote:NAVbyauthorisingEUcountryofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commercial real estate4%Equity fund55%Event Driven2%Fixed income10%HF Equity Long/Short3%HF Macro1%Remaining strategies25%Note:InvestmentstrategiesofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bnNAVNumber of AIFsNote:ShareofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD)bysize,endof2018.In%.AIFsidentifiedviainternationalstandardidentifiers(LEI,ISIN,Cusip).Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other AIFReal estatePrivate equityHedge fundFoFTotalBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia15%EEA13%North America63%Other Europe2%Rest6%Supra National1%Note:RegionalinvestmentfocusofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbnGeo-focusdeterminedaccordingtothedomicileofinvestments,supranationalcategoryincludinginvestmentswithoutpredominantgeo-focus.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofgrossexposuresbyAIFtype,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIFTop 5 beneficial investorsMedianAverageNote:InvestorconcentrationofEUpassportedAIFs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds,None=NoPredominantType.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

34 

Statistical methods 

 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

35 

AIFMD  fund  classification  – 
shedding light on ‘other AIFs’ 

Under the AIFMD fund classification the category of ‘other AIFs’ is supposed to be a residual category. 
However, around half of the reported AIFs accounting for 61% of NAV are classified as  ‘other AIFs’, 
pointing  to  a  classification  issue.  This  section  explores  the  reasons  behind  this,  and  which  types  of 
funds belong to this category. Using other data sources, we show that the main strategies are related 
to fixed income (which includes money-market AIFs) and equity. In terms of NAV around 30% of ‘other 
AIFs’ are part of a further residual category with a non-defined strategy (‘other-’other AIFs’’); these could 
be  largely  described  as  mixed  funds,  investing  in  both  equity  and  bonds  with  no  prevalent  policy  in 
favour of one instrument or the other. These tend to be more leveraged, making use of derivatives, and 
have a more concentrated ownership. 

Introduction 

According  to  the  AIFMD  fund  classification  the 
category  of  ‘other  AIFs’  is  to  be  a  residual 
category.  However,  around  half  of  the  reported 
AIFs, accounting for 61% of NAV, are classified 
as  ‘other  AIF’.  Within  ‘other  AIFs’  there  is  an 
additional  residual  fund  category  accounting  for 
around  EUR  900bn.  This  article  analyses  the 
reasons  why  this  residual  category  is  large,  the 
underlying  strategies  and  the  activities  of  ‘other 
AIFs’ and aims to provide clarification on potential 
classification issues.   

Regulatory background 

for 

funds  marketed 
the  same 

The AIFMD defines the level of harmonization for 
the regulation and supervision of AIFMs and the 
managed  AIF,  and  in  essence  constitutes  the 
basis 
to  professional 
the  AIFMD’s 
investors.  At 
standard for professional investors functions as a 
minimum  standard 
fund  managers  who 
market  their  products  to  retail  investors.  At 
country  level,  additional  product-related  rules 
may  be  set  for  AIFs  marketed  to  sophisticated 
investors or to allow the marketing of AIFs to retail 
clients.  

time, 

for 

The concept of AIF is central and determines the 
scope of the AIFMD. Unlike the UCITS Directive, 
the  AIFMD  and  its  implementing  regulation 
refrain from prescribing investment strategies for 
AIFs.11  Similarly,  the  AIFMD  is  not  prescriptive 
with respect to the product and distribution rules 
aimed at the protection of retail investors and the 

national requirements for sub-threshold AIFMs.12 
In  identifying  its  object,  the  AIFMD  follows  a 
functional approach, setting out a broad definition 
of  alternative  funds  that  is  independent  of  the 
structure or the organizational form of a collective 
investment  undertaking,  attempting 
to  close 
potential  regulatory  loopholes  and  mitigate  the 
risk of regulatory arbitrage. 

Alternative investments 

leverage.  The 

The line between traditional and alternative asset 
management is difficult to draw, and the concept 
of  alternative  strategies  tends  to  encompass  all 
styles  other  than  simple  diversified  long-term 
investments  in  plain  vanilla  stocks  and  bonds 
jargon 
characterised  by  no 
common to the industry refers to hedge funds and 
private  equity  funds  as  ‘alternative’  investments 
because  they  provide  material  alternatives  to 
traditional funds by showing low correlation with 
traditional  asset  classes,  dynamic 
trading 
strategies,  and  the  use  of  a  wide  range  of 
techniques 
this 
perspective,  alternative  funds  would  attempt  to 
provide  investors  with  returns  by  adopting  so-
called  alpha-strategies,  as  opposed  to  more 
traditional 
their 
behaviour  to  the  development  of  a  reference 
market (Longo, 2013). The interest of institutional 
investors in alternative investments has resulted 
over  time  in  a  significant  expansion  of  their 
allocation  to  these  strategies,  a  trend  that  has 

instruments.  From 

that  compare 

investments 

and 

11   See recital 10 of the AIFMD. 

12   For  further  details  on  the  distinction  between  full  scope 
authorised  and  sub-threshold  AIFMs,  see  the  section 

‘Fundamental  issues 
statistics”, ESMA (2019) pp. 32-45. 

in  AIFMD  data  handling  and 

 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

36 

been documented since before the financial crisis 
(BIS, 2006).13 

The  AIFMD  uses  the  term  ‘alternative’  in  a 
different way to include all investment funds not 
governed by the UCITS Directive.14 The AIFMD 
encompasses all non-UCITS funds, regardless of 
their  market  classification,  and  captures 
in 
particular  hedge  funds,  private  equity  and  real 
estate funds.15 

Investment  in  accordance  with  a 
defined investment policy  

The definition of an AIF is not restricted to funds 
investing  in  specific  asset  classes.16  On  the 
contrary, it covers both traditional asset classes 
such as equities, bonds and real estate and non-
traditional asset classes such as venture capital, 
precious metals, derivatives and any combination 
of  these  assets.  From  this  perspective,  the 
AIFMD  applies  to  all  types  of  assets  and 
investment  strategies.17    To  provide  clarity  to 
investors,  one  of  the  main  characteristics  of  an 
AIF is the definition of its investment policy. 

to  AIF 

reporting 

information 

The  transparency  obligations  for  AIFMs  include 
disclosing 
investors  details  of  key 
information relating to each AIF  that it manages 
relevant 
and 
competent  authorities.  AIFMs  are  required  to 
make  available  to  investors  and  NCAs18  a 
description of the AIF’s investment strategy and 
its objectives, the types of assets in which it may 
invest,  the  techniques  it  may  employ,  and  all 
associated risks (including the use of leverage).19 

the 

to 

Classification of AIFs under AIFMD 

As the AIF investment universe is unconstrained, 
the  AIFMD  and  its  Implementing  Regulation  do 
not regulate AIFs’ structure or the composition of 

13   See  BIS  (2006),  Growing  exposure  of 

institutional 

investors to alternative investments. 

14   Directive 2009/65/EC of the European Parliament and of 
the Council of 13 July 2009 on the coordination of laws, 
regulations  and  administrative  provisions  relating  to 
undertakings  for  collective  investment  in  transferable 
securities. 

15   This  scope 

is 

the  ESMA 
guidelines  on  the  key  concepts  of  the  AIFMD  and  the 
Q&As published by the European Commission. 

further  substantiated  by 

16   It is irrelevant whether or not a concentrated or diversified 
investment  strategy  is  pursued.  The  number  of  assets 
also  does  not  matter,  and  single  asset  companies  fall 
within the scope of the directive. 

17   The application to all possible investment policies follows 
from Article 4(1)(a) of the AIFMD which does not foreclose 
its application to certain investment strategies. 

18   See Article 23 AIFMD. 

portfolios.20  As  a  consequence,  AIF  types  and 
strategies  are  not  formally  defined  under  the 
AIFMD.21  

In the Level II Regulation22 AIFs are classified into 
five main types: hedge funds, real estate funds, 
funds-of-funds,  private  equity  funds,  and  ‘other 
AIFs’.23  According  to  the  ESMA  Guidelines 
(2014)  the  choice  between  these  AIF  types  is 
mutually exclusive  and  the selection  of the type 
should be based on the NAV of the fund. For each 
type  of  AIF,  a  list  of  admitted 
investment 
strategies is detailed by the reporting framework 
set  out  in  Annex  IV  to  the  Level  II  Regulation. 
Overall,  this  classification  by  fund  type  and 
strategy reflects the fact that AIFs can invest in a 
variety  of  assets,  often  having  a  high  degree  of 
flexibility 
this 
they 
perspective,  the  broadest  set  of  investment 
strategies is indicated for the hedge funds, which 
are able to fully exploit this flexibility in managing 
complex 
employing 
elaborated investment techniques and high levels 
of leverage. 

invest.  From 

portfolios, 

in  how 

possibly 

There  are  35  possible  investment  strategies 
admitted by the Level II Regulation, however the 
top five alone (fixed income, ‘other-other’, equity, 
other funds of funds and commercial real estate) 
account  for  around  80%  of  total  assets  (ASR-
AIF.96). 

19   The  criteria  that  can  help  to  establish  an  investment 
strategy as a defined investment policy are described by 
ESMA (2013). 

20   Given  that  the  AIFMD  does  not  regulate  investment 
strategies,  NCAs  can  rely  on  only  the  fund  type 
established  by  domestic  regulation  for  restricting  the 
AIFM’s licence. For example, an AIFM may be licensed 
as a real estate manager and be restricted with respect to 
all other investment strategies. 

21   As discussed above, AIFs are regulated at national level. 

See recital 10 and Article 8 of the AIFMD. 

22    Commission Delegated Regulation (EU) No 231/2013. 

23   According to the ESMA Guidelines, AIFMs should select 
“None  of  the  previous  type”  as  predominant  AIF  type 
where the investment strategy of the AIF does not permit 
the identification of a predominant AIF type. AIFs with no 
predominant strategy represent 1% of the total net assets. 

 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

37 

—  the absence of borrowing restrictions, usually 
accompanied by a high level of leverage, 

—  the presence of performance fees in addition 

to an annual management fee, 

—  significant participation  by the manager and 
limited redemption windows for investors, 

—  the  presence  of  complex  underlying 
products,  diverse  exposures  and  the  use  of 
derivatives, often for speculative purposes.  

ASR-AIF.98 
Hedge fund strategies admitted under the AIFMD 
Ample variety of HF strategies 

Hedge funds 
strategies 

Credit 

Managed futures/CTA 

Equity 

Event driven 

Macro 

Relative value 

Other HF strategies 

Multi-strategy 

Number of 
AIFs (%) 

NAV             

(EUR bn) 

9 

12 

37 

5 

9 

4 

22 

2 

27 

39 

140 

46 

39 

49 

23 

- 

1,449 AIFs 

Total hedge funds 

333 
Note: AIFs  classified  as  HFs  under  the  AIFMD,  end  of  2018. 
Statistics  for  total  HFs  include  62  multi-strategy  HFs,  strategies 
identified according to the fund primary strategy. Equity HFs: Long 
Bias, Long/Short, Market Neutral, Short Bias; Relative value HFs: 
Fixed  Income  Arbitrage,  Convertible  Bond  Arbitrage,  Volatility 
Arbitrage; 
Event Driven HFs: Distressed/Restructuring, Risk Arbitrage/Merger 
Arbitrage, Equity Special Situations; Credit HFs: Credit Long/Short, 
Credit Asset Based Lending; Managed Futures/CTA: Fundamental, 
Quantitative. 
Sources: AIFMD database, National Competent Authorities, 
ESMA. 

Private equity  

Private equity funds are only indirectly defined in 
the AIFMD as AIFs that acquire control of a non-
listed  company.24  Private  equity  funds  typically 
make  use  of  a  variety  of  investment  strategies. 
Whereas  some  private  equity 
firms  merely 
concentrate  on  buy-outs  of  listed  companies, 
others focus on obtaining non-controlling stakes 
and  syndicated  structures.  The  common 
denominator  is  investment  in  non-listed,  i.e. 
private firms (Lerner and Gompers, 1999). 

ASR-AIF.96 
AIF strategy by NAV 
Five dominant investment strategies  

From  a  purely  functional  perspective,  the  five 
fund  types  detailed  under  the  AIFMD  reporting 
framework can be broadly described as follows.  

Funds of Funds 

Funds  of  funds  invest  in  underlying  collective 
investment undertakings  and serve the purpose 
of  diversifying 
relieving 
fund-specific 
burdens on investors to perform due diligence on 
individual  fund  managers.  Funds-of-funds  are 
initial 
diversified  and  usually 
investment  than  regular  hedge  funds,  so  are 
easier to access, especially for retail investors.  

require 

risk, 

less 

ASR-AIF.97 
Funds of funds strategies admitted under AIFMD 
Mainly outside of and HFs 

Funds of Funds 
strategies 

Funds of HFs 

Funds of PE funds 

Other funds of 
funds 

Number of 
AIFs (%) 

NAV             

(EUR bn) 

8 

16 

76 

95 

106 

640 

Total funds of 
funds 

5,430 AIFs  

841 

Note: AIFs classified as funds of funds under AIFMD, end of 2018. 
Strategies identified according to the fund primary strategy  
Sources: AIFMD database, National Competent Authorities, 
ESMA. 

Hedge funds  

Despite its common  use, the expression  ‘hedge 
fund’  is  not  a  well-defined  term.  There  is  no 
commonly  agreed  definition  of  hedge  fund  in 
either the industry or regulation (see Kahan and 
Rock,  2007).  According  to  IOSCO  (2009),  all 
investment schemes displaying a combination of 
some  of 
following  characteristics  are 
the 
considered as hedge funds:   

24   See Art. 26(1)(a) of the AIFMD. 

Commercial RE7%Equity16%Fixed income 25%Other FoF11%Other PE3%Other RE2%Other-other18%All remaining strategies18%Note:InvestmentstrategyofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.FoF=Fundoffunds,PE=Privateequityfunds,RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

38 

ASR-AIF.99 
Private equity strategies admitted under AIFMD 
Mainly growth and venture capital 

ASR-AIF.101 
‘Other’ AIFs strategies admitted under AIFMD 
Diversified set of strategies 

139 

13 

156 

43 

- 

352 

Real estate 
strategies 

Equity 

Fixed income 

Infrastructure 

Commodity 

Other-other 

Number of 
AIFs (%) 

NAV             

(EUR bn) 

26 

41 

3 

1 

29 

941 

1,463 

97 

32 

1,021 

15,180 AIFs 

Total ‘other AIFs’ 

3,553 
Note: AIFs  classified  as  ‘‘other  AIFs’’  under  the  AIFMD,  end  of 
2018. Strategies identified according to the fund primary strategy. 
Sources: AIFMD database, National Competent Authorities, 
ESMA. 

ASR-AIF.102 
German AIFs 
Importance of Spezialfonds 
In some EU countries, qualifying investor funds (QIFs) referred 
to as ‘special funds’ are created for investors with a special set 
of  needs  and  not  offered  to  the  general  public.  QIF  for 
professional  investors  such  as  pension  funds,  insurance 
companies, or companies that seek an adequate investment 
for their excess cash are particularly important and tend to be 
very  big.  These  investors  may  typically  consider  the  fund 
structure  to  adequately  meet  their  needs  and  deal  with  the 
valuation  of  illiquid  assets,  benefiting  from  the  standardised 
disclosures and the investor protection standards ensured by 
the AIFMD.  
In  some  Member  States  such  as  Germany,  special  investor 
funds – also known as Spezialfonds – set-up by professional 
and semi-professional investors (sophisticated investors with 
a  minimum  commitment  of  EUR  200,000)  account  for  the 
overwhelming majority of AIFs. In fact, German Spezialfonds 
are  always  AIFs.    Overall,  Spezialfonds  account  for  around 
three quarters of the German fund industry at the end of 2018 
according  to  the  Bundesverband  Investment  und  Asset 
management (BVI) (ASR-AIF.103). 

ASR-AIF.103. 
Spezialfonds and AIFs 
Similar size 

Number of 
AIFs (%) 

NAV             

(EUR bn) 

Private equity 
strategies 

Growth capital 

Mezzanine capital 

Venture capital 

Other PE 

Multi-strategy 

33 

3 

34 

29 

1 

Total private 
equity funds 

4,369 AIFs 

Note: AIFs classified as private equity funds under the AIFMD, end 
of 2018. Statistics for total PE funds include 64 multi-strategy funds, 
strategies identified according to the fund primary strategy. 
Sources: AIFMD database, National Competent Authorities, 
ESMA. 

Real estate 

Real estate funds typically invest in real estate or 
real  estate  holding  companies,  aiming  at 
providing  investors  with  exposure  to  residential 
and  commercial  real  estate  markets,  with  a 
domestic and/or an international focus. 

ASR-AIF.100 
Real estate strategies admitted under AIFMD 
Mainly commercial and residential 

Real estate 
strategies 

Commercial 

Industrial 

Residential 

Other RE 

Multi-strategy 

Number of 
AIFs (%) 

52 

3 

25 

16 

5 

Total real  
estate funds 

3,442 AIFs 

NAV             

(EUR bn) 

430 

39 

135 

126 

- 

730 

Note: AIFs  classified  as  real  estate  funds  under  AIFMD,  end  of 
2018. Statistics for total RE funds include 172 multi-strategy funds, 
strategies identified according to the fund primary strategy. 
Source: AIFMD database, National Competent Authorities, ESMA. 

‘Other AIFs’ 

investment 

The  residual  category  of  ‘other  AIFs’  covers 
commodity and infrastructure funds together with 
funds 
conventional  non-UCITS 
pursuing more traditional strategies and targeting 
primarily 
traditional  asset  classes  such  as 
equities and bonds. The ‘other AIF’ type includes 
a  further  residual  category  of  other  unspecified 
strategies, ‘other-other’. Often ‘special funds’ set 
up 
insurance 
investors 
undertakings  and  pension  funds  fall  into  this 
residual category (ASR-AIF.102). 

single 

like 

by 

1,593 1,618 1,597 1,666 05001,0001,5002,00020172018SpezialfondsAIFsNote:NAVofGermanSpezialfondsandAIFsmanagedbyGermanAIFMs,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,BVI,ESMA.. 
 
  
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

39 

—  the  domicile,  the  name  and  the  identifiers 
(e.g. ISIN, LEI) of a fund and its manager, 

—  a flag indicating if a fund is UCITS compliant, 

—  the  type  of  investment fund, that is whether 
the fund is an ETF or a private equity fund, 

—  the investment policy of the fund. 

Given  the  difficulties  in  adopting  harmonised 
(NBCs) 
definitions,  National  Central  Banks 
classify  collective  investment  undertakings  into 
six  sectors  by  the  nature  of  their  investments: 
equity  funds,  bond  funds,  mixed  funds,  real 
estate funds, hedge funds, and other funds as a 
residual  category.  The  criteria  adopted  for  the 
purposes  of  the  statistical  classification  are 
derived  directly  from  public  prospectuses,  fund 
rules,  investment contracts or  other documents. 
This  classification  harmonises  the  mixed  funds 
category, which includes funds with no prevalent 
investment policy in favour of equity or bonds.  

In the context of this data collection, hedge funds 
are  defined  for  statistical  purposes  as  collective 
investment  undertakings  that  apply  relatively 
unconstrained  investment  strategies  to  achieve 
positive absolute returns, and whose managers, 
in addition to management fees, are remunerated 
in  relation  to  the  fund’s  performance.  This 
definition also covers funds that invest, in full or 
in part, in other hedge funds, i.e. funds of hedge 
funds, including funds that track indices of hedge 
funds, thereby providing investors with exposure 
to multiple hedge funds in a single product.  

Benchmarking the strategies self-reported under 
the  AIFMD  with  this  data  collection  will  help  to 
clarify  the  characteristics  of  the  investment 
policies  of  those  AIFs  classified  in  residual 
categories. 

Comparison  with  other  data 
sources 

For analytical purposes, the information available 
on  the  AIF  classification  can  be  enriched  by 
making use of commercial and institutional data 
sources to the extent that LEIs and ISINs of funds 
are available (ASR-AIF.104).  

Fewer than 50% of EU AIFs possess and report 
an  LEI.25  The  G20  and  the  Financial  Stability 
Board  have  emphasised  the  need  to  make  the 
LEI a public good and that its global adoption has 
financial 
the  potential 
stability  objectives,  including    improved  risk 
management  in  financial  firms  and  a  better 
assessment of micro- and macroprudential risks, 
supporting higher accuracy of financial data. 

to  underpin  multiple 

Overall,  around  37%  of  AIFS  (or  around  9,000 
funds) cannot be fully identified owing to the lack 
of reported ISINs and LEIs. 

The  ECB  publishes 
list  of  European 
investment funds based on information provided 
regularly by all members of the ESCB.26 

the 

ASR-AIF.104 
International identifiers availability 
Lack of LEIs  

AIF type 

LEI 

ISIN 

FoF  
HFs 
RE funds 
PE funds 
Other AIF 
None 

7.7 
1.4 
3.5 
1.2 
33.6 
1.1 

1.7 
0.1 
0.9 
3.8 
1.6 
- 

LEI + 
ISIN 

1.7 
0.5 
0.4 
0.8 
3.2 
0.1 

No 
ID 

7.3 
0.8 
6.3 
7.3 
14.8 
0.3 

Total (%) 
Number of 
AIFs 

48.5 

8.1 

6.8 

36.7 

12,178 

2,027 

1,701 

9,222 

Total 

18.4 
2.9 
11 
13.1 
53.1 
1.5 

100 
25,12
8 

Note: Percentage of AIFs with an international identifier. EU AIFs 
domiciled  in  Member  States  also  covered  by  the  ESCB  data 
collection. UK and Norway domiciled AIF excluded. 
Source: AIFMD database, National Competent Authorities, ESMA. 

This list contains a series of interesting attributes 
for  the  identification  of  collective  undertaking 
schemes  and  their  activities,27  including  the 
following:28 

25   Under EMIR  and  SFTR,  the LEI is  mandatory  for  the 
identification  of  all  legal  entities  involved  in  derivative 
contracts and repo transactions. 

26   Regulation (EC) No 1073/2013 of the European Central 
Bank  of  18  October  2013  concerning  statistics  on  the 
assets and liabilities of investment funds (ECB/2013/38) 

27   Funds  domiciled  in  Denmark,  Norway  and  the  United 

Kingdom are not covered. 

28   MMF and Pension funds are excluded from the definition 
of investment fund adopted for ESCB data collection. 

 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

40 

Therefore, the mapping of AIFMD and ECB data 
provides  more  detailed  insight  into  the  ‘other 
AIFs’  category  under  the  AIFMD.  The  vast 
majority of ‘other AIFs’ that can be identified with 
the ECB data, are fixed income and equity AIFs, 
as well as funds reporting into the further residual 
strategy,  the  so-called  ‘other-other’  AIFs.  Under 
the AIFMD reporting framework, this last strategy 
alone  is  used  by  one  third  of  EU  AIFs  and 
represents  almost  20%  of  the  total  net  assets 
(EUR 900bn). 

ASR-AIF.107 
‘Other AIFs’ mapped into ECB investment policy 
Mainly captured by bond and mixed strategies 

The  sample  of  equity  AIFs  is  mostly  consistent 
with  the  investment  policies  as  defined  by  the 
ECB. Overall, only one third of AIFs reported as 
fixed income under the AIFMD would be primarily 
investing in bonds (around EUR 490bn).  A large 
proportion  of  fixed  income  (33%)  and  ‘other-
other’  AIFs  (40%)  seems  instead  to  be  well 
described as mixed funds. (ASR-AIF.107).  

Traded  instruments  and  portfolio 
characteristics 

Using  reported  information  on  the  five  main 
instruments in which AIFs trade, it is possible to 
gain some insights into the portfolio composition 
of  ‘‘other  AIFs’’  and  obtain  a  clearer  picture  of 
their activities. 

ASR-AIF.105 
AIF enriched with ECB classification 
42% of AIFs can be mapped into ECB classification 

Using all LEIs and ISINs available, 42% of funds 
reported  under  the  AIFMD  can  be  mapped  into 
the  ECB  investment  fund  list,  representing  51% 
of  total  assets  (around  EUR  3.1bn).29  For  each 
AIF, 
is 
considered for the purposes of the exercise as it 
should be the one that best describes the fund’s 
activity  among  those  proposed  in  the  reporting 
framework (ASR-AIF.105). 

the  self-reported  primary  strategy 

ASR-AIF.106 
NAV of AIFs mapped into ECB investment policy 
Mapping provides more clarity on ‘other AIFs’  

funds  with  a  hedge 

Not  surprisingly, 
fund 
investment  policy  in  the  ECB  classification  are 
reported under the AIFMD as hedge funds (EUR 
62bn) or either as funds of funds (EUR 50bn). Still 
some  AIFs  with  the  characteristics  of  hedge 
funds  could  be  potentially  mis-classified  and 
reported  under  different  AIF  types.  Real  estate 
funds  show  a  high  degree  of  correspondence 
between the two classifications, whereas 40% of 
funds-of-funds’  NAV 
falls, 
surprisingly,  into  the  mixed  fund  class  (ASR-
AIF.106).  

(EUR  170bn) 

Around  50%  of  funds  enriched  by  the  matching 
exercise are classified under the AIFMD as ‘other 
AIFs’. This proportion is even higher in terms of 
NAV,  i.e.  66%,  and  amounts  to  EUR  2tn. 

29   Feeder  AIFs  are  excluded  from  the  exercise  to  avoid 

double counting. 

Note:AIFsidentifiedbyanLEIoranISINaftermatchingwithECBlistofcollectiveinvestmentundertaking.Source:AIFMDdatabase,NationalCompetentAuthorities,ESMA.BondsEquitiesHedgeMixedOtherRE02505007501000OtherAIFREPEQHFFoFBondsEquitiesHedgeMixedOtherRENote:NAVofAIFsreportedunderAIFMDmappedintoECBinvestmentpolicyclassification.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.040080012001600CommodityEquityFixedincomeInfra-structureOtherfundBondsEquitiesHedgeMixedOtherReal estateNot mappedNote:NAVofEUAIFsclassifiedasOtherunderAIFMDmappedintotheECBinvestmentpolicyclassification,endof2018,EURbn.AIFMDdatabase,NationalCompetentAuthorities,ESMA,ECB. 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

41 

ASR-AIF.108 
Portfolio concentration 
Low concentration for Equity and Fixed income  

could  use  derivatives  to  adjust  exposures  to 
interest rate, credit, and currency risk; second, a 
flexible  and  less  capital-intensive  alternative  to 
other assets to enhance the risk-return profile of 
the fund through leverage.  

ASR-AIF.110 
Investor concentration and leverage 
Leveraged other-’other AIFs’ more concentrated 

The  typical  equity  and  fixed  income  AIFs  have 
around 25% of their long-position assets invested 
in  their  five  largest  positions.  Commodity  and 
infrastructure  AIFs  appear  more  concentrated 
with  more  than  60%  invested  in  the  top-five 
assets  (ASR-AIF.108).  The  ‘other-other’  AIFs 
show  a  higher  degree  of  asset  concentration, 
implying that the returns of these AIFs depend on 
the performance of a small number of key assets. 
Whereas 
the  portfolio  concentration  differs 
across  fund  strategies,  the  level  of  portfolio 
density  is  similar,  with  the  highest  ranked  asset 
already  accounting 
the  main 
instruments in which AIFs are trading. 

for  half  of 

ASR-AIF.109 
Main instruments 
Diverse use of instruments 

AIF type 

Cash and equivalent 
Equity 
Corporate bonds 
Sovereign bonds 
Convertible bonds 
Structured products 
Derivative (incl. CDS) 
IRDs and FX derivatives 
Other derivatives (incl. 
commodity) 
Real/physical assets 
CIU (incl. ETF and MMF) 
Other asset classes 

Fixed 
Income 
% 
2.1 
0.1 
1.4 
4.8 
0.1 
0.2 
3.2 
9.1 
0.3 

- 
4.5 
0.2 

    Other-
other 
% 
1.8 
5.1 
0.7 
7.9 
- 
0.5 
4.1 
5.2 
1.1 

0.2 
9.2 
1.9 

Total 

26.4 

39.1 

Note: Five main instruments in which fixed income and other-’other 
AIFs’ are trading.  
Source: AIFMD database, National Competent Authorities, ESMA 

For  ‘other-other  AIFs’,  the  top  five  instruments 
show  sizable  shares  of  CIUs  and  sovereign 
bonds, 9% and 8%, respectively. Looking at the 
use of derivatives, fixed income and ‘other-other 
AIFs’ rely to some extent on IRDs, FX derivatives 
and CDS (ASR-AIF.109). The use of derivatives 
in funds engaging into bond trading can serve the 
following two purposes: first, a risk management 
tool,  e.g.  managers  investing  in  debt  securities 

fixed 

Leveraged  and  unleveraged  fixed  income  and 
‘other-other  AIFs’  add  up  to  EUR  550bn  and 
EUR 1.7tn  of  NAV  respectively.  Both  leveraged 
and  unleveraged 
funds  show 
comparable  levels  of  investor  concentration,  on 
average  80%.  In  the  case  of  the  residual  ‘other 
AIFs’, the economic leverage, represented by the 
ratio between the regulatory AuM and NAV, tends 
to  increase  together  with  investor  concentration 
(ASR-AIF.110).  

income 

References 

BIS  (2006),  Growing  exposure  of  institutional 
investors to alternative investments. 

ESMA (2013), Final report — Guidelines on key 
concepts of the AIFMD. 

ESMA  (2014),  Final  report —  Guidelines  on 
reporting  obligations  under  Articles 3(3)(d)  and 
24(1), (2) and (4) of the AIFMD. 

ESMA  (2019),  Annual  Statistical  Report  —  EU 
Alternative Investment Funds. 

IOSCO  (2009),  Hedge  Funds  oversight —  Final 
report. 

Kahan,  M.,  Rock,  E.  (2007),  Hedge  Funds  in 
Corporate 
Corporate 
Control, University 
Law 
Review, 155. 

and 
of  Pennsylvania 

Governance 

Lerner,  J.,  Gompers,  P.  (1999),  The  venture 
capital 
of 
Technology. 

cycle, Massachusetts 

Institute 

Longo,  J.  M.  (2013),  Hedge  Funds:  Overview, 
Strategies,  and  Trends. Encyclopaedia  of 
Finance, 621-632. 

63.224.926.462.139.10%17%34%51%68%CommodityFixedincomeOther fundHundredsRank 1Rank 2Rank 3Rank 4Rank5Note:PorfolioconcentrationofEUAIF,endof2018,in%ofAuM.Portfoliodensitycomputedastotalvalueoftop5instrumentsinportfoliowithrespectAuM.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.82%91%85%75%226%316%139%155%0%80%160%240%320%03006009001200FixedincomeOther-otherFixedincomeOther-otherLeveragedUnleveragedNAVAvg investor concentration (rhs)Leverage (rhs)Note:NAV,leverageandinvestorconcentrationofleveraged/unleveragedfixedincomeandOther-otherAIFs,endof2018,NAVinEURbn.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds   2020 

42 

Exposures of AIFs to 
leveraged loans and CLOs 

The issuance of leveraged loans and CLOs has surged over the last few years. Higher indebtedness 
of  borrowers  and  looser  underwriting  standards  amid  compressed  spreads  have  raised  concerns 
among policymakers, especially given data gaps on ultimate investors into those markets. This section 
focuses on the exposures of AIFs to leveraged loans and CLOs and analyses potential risks related to 
these exposures. Overall, exposures  have  increased by  15% to reach EUR 108bn by the end of 2018, 
but liquidity risk and leverage remain limited, with the exception of a few funds.

The exposures of AIFs managed by European 
AIFMs  increased  by  15%  to  EUR  109bn  in 
2018,  compared  with  EUR  95bn  in  2017. 
Overall,  exposures  are  spread  across  more 
than  650  AIFs,  with  a  combined  NAV  of  EUR 
570bn,  accounting  for  fewer  than  10%  of  all 
AIFs. More than 80% of AIFs exposures relate 
to  leveraged  loans  rather  than  CLOs  (ASR-
AIF.111). The importance of leveraged loans in 
AIF  portfolios  mirrors  the  relative  size  of  both 
markets,  as  leveraged  loans  are  four  times 
larger  than  CLOs  according  to  the  Financial 
Stability  Board 
in 
exposures  comes  from  AIFs  with  no  previous 
exposures 
loan  market. 
Indeed, AIFs that had already invested in CLOs 
and 
their 
exposures stable (EUR 74bn in 2018 compared 
with EUR 72bn in 2017). 
ASR-AIF.111 
AIFs exposures  
Growing loan exposures 

in  2017  kept 

(2019).  The 

leveraged 

leveraged 

increase 

loans 

the 

to 

Introduction 

The  leveraged  loan  market  has  been  buoyant 
over  the  last  few  years,  as  investors  are 
attracted  by  the  higher  yields  on  leveraged 
loans  than  on  investment  grade  corporate 
bonds,  while  corporate  borrowers  are  able  to 
funding.  Several 
obtain 
authorities 
financial 
institutions have recently raised concerns about 
the rapid growth of the leveraged loan market, 
amid  a  deterioration  of  credit  quality  of 
corporates (Bank of England, 2019, ECB, 2019; 
IMF, 2019).  

relatively  cheap 
and 

international 

In  this  context,  reliable  data  on  exposures  of 
financial  institutions  to  leveraged  loans  and 
CLOs are key to assess potential vulnerabilities 
in the financial system (Bouveret et al., 2019). 
This  article  uses  AIFMD  data  to  shed  light  on 
AIFs exposures to leveraged loans and CLOs, 
and  assesses  potential  risks  stemming  from 
AIFs. 

AIFs  exposures 
loans and CLOs  

to 

leveraged 

Two main sources of data under the AIFMD can 
be used to assess AIFs’ exposures to specific 
asset classes. 

•  Under Article 24(2) of the AIFMD, AIFs 
have  to  report  detailed  data  on  their 
exposures  (long  and  short),  including 
specifically  on  some  asset  classes. 
AIFs  report  exposures  on  leveraged 
loans  and  on  CDO/CLOs,  where  both 
securitised  products  are  grouped 
together. 

•  Under  Article 3(3)(d),  funds  have  to 
report  at  security-level  the  top  five 
instruments in which they are trading. 

7890181902040608010012020172018Leveraged loansCLOsNote:ExposuresofAIFstoleveragedloansandCLOs,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

43 

ASR-AIF.112 
AIFs exposures by country 
Exposures vary by fund domicile 

insurance companies can get exposures to the 
leveraged  loan  market  by  investing  in  an  AIF 
rather than by directly purchasing the loans. In 
that  context,  AIFMD  reporting  can  shed  some 
lights  on 
indirect  exposures  because 
managers  have  to  report  information  on  the 
type of investors. 

the 

funds  and 

Overall,  pension 
insurance 
companies are the most exposed to leveraged 
loans  and  CLOs  through  their  investment  in 
AIFs, with overall exposures of EUR 33bn and 
EUR  19bn  respectively.  Insurance  companies 
are  the  most  exposed  to  CLOs  at  around 
EUR 7bn. These exposures are more than two 
times  higher  than  direct  exposures  to  CLOs 
reported  by  EU  insurance  companies,  which 
amounted  to  EUR 3bn  at  the  end  of  2018 
according to EIOPA (2019). Although part of the 
difference  might  be  owing  to  non-European 
insurance  companies  investing  in  AIFs,  it 
remains 
insurance  companies’ 
indirect exposures through AIFs are larger than 
their direct exposures. 

likely 

that 

ASR-AIF.114  
Exposures to leveraged loans and CLOs by investor type 
High exposures for pension funds and insurers 

Most  AIFs  with  exposures  to  leveraged  loans 
and CLOs are domiciled in a few countries: the 
top 
for  90%  of 
exposures. 

five  countries  account 

Looking  at  exposures  by  AIF  types,  around 
75%  of  exposures  are  concentrated  in  ‘‘other 
AIFs’’,  a  residual  category,  followed  by  hedge 
funds  (11%)  and  real  estate  funds  (9%).  This 
finding  is  in  line  with  Bouveret  et  al.  (2019) 
which show that ‘‘other AIFs’’ account for close 
to two-thirds of the NAV of the sector. However, 
the  proportion  of  exposures  by  ‘other  AIFs’ 
declined from 84% in 2017 to 76% in 2018, as 
absolute  exposures  remained  broadly  stable 
(+4%), while they increased for other types of 
AIFs (ASR-AIF.113). In contrast,  among other 
types,  hedge  funds  increased  their  exposures 
the most, with a 150% rise to EUR 12.2bn. 

ASR-AIF.113 
AIFs exposures by type 
Loans mainly concentrated in ‘other AIFs’ 

AIFs exposed to leveraged loans and CLOs are 
characterized  by  a  very  high  concentration  of 
ownership: 
of  AIFs 
(accounting  for  85%  of  NAV)  are  entirely  held 
by their top-five investors. 

two-thirds 

around 

Investor types 

The  assessment  of  risks  related  to  leveraged 
loans  and  CLOs  is  hampered  by  data  gaps 
regarding investors’ exposures. Although direct 
exposures  of  financial  institutions  such  as 
banks and insurance companies are recorded, 
it is difficult to estimate indirect exposures that 
financial  institutions  could  have.  For  example, 

AIF concentration of exposures 

Most  exposures  are  concentrated  in  a  few 
funds,  with  the  top-20  funds  accounting  for 
around 40% of all exposures and the top 50 for 
60%  of  all  exposures.  AIFs  with  the  largest 
exposures to leveraged loans and CLOs tend to 
invest  mainly  in  these  two  asset  classes:  on 
average, they account for 60% of assets under 
management for the top twenty AIFs. For those 
AIFs,  leverage  –  as  measured  by  the  ratio  of 
AuM  to  NAV  –  is  relatively  limited  at  the 
aggregate  level  at  150%  of  NAV.  However,  a 
few AIFs with large loans and CLOs exposures 

051015202530UKIELUDEFROthercountries20172018Note:ExposuresofAIFstoleveragedloansandCLOsbydomicile,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%120%140%160%0102030405060708090FoFsPE fundsRE fundsHedgefundsOtherAIFs20172018YoY growth (rhs)Note:ExposuresofAIFstoleveragedloansandCLOsbytype,inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.05101520253035PensionfundsInsurancecorp.FundsBanksOtherfinancialsOthersCLOsLeveraged loansNote:IndirectexposurestoleveragedloansandCDO/CLOsbyinvestortypes,basedAIFsexposures. 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

44 

exhibit large leverage values (higher than 600% 
of NAV). 

ASR-AIF.115 
Exposures of top-20 AIFs 
Limited leverage with a few exceptions 

ASR-AIF.116 
Liquidity profile 
Limited liquidity mismatch 

Conclusion 

Liquidity mismatch 

Finally,  we  look  at  potential  liquidity  mismatch 
for  the  50  AIFs  with  the  highest  exposures  to 
leveraged loans and CLOs. Redemptions from 
investors, in a context of stress in the leveraged 
loan  and  CLO  markets,  could  force  fund 
managers  to  liquidate  their  assets,  thereby 
amplifying  shocks  to  the  financial  system. 
Liquidity  mismatch  is  assessed  by  comparing 
the  liquidity  of  the  portfolio  and  the  investors’ 
liquidity.  

liquidity  mismatch: 

At  the  aggregate  level,  the  top-50  AIFs  face 
limited 
investors  can 
redeem  up  to  3%  of  the  NAV  within  one  day, 
the  assets  can  be 
whereas  only  1%  of 
liquidated  over  this  time  frame,  resulting  in  a 
liquidity  mismatch  equal  to  2%  of  NAV  (ASR-
AIF.116).    Over  longer  time  horizons  the 
mismatch  remains  limited,  with  1%  over  one 
week and close to zero afterwards.  

However,  at  the  individual  fund-level,  a  few 
AIFs  face  significant  liquidity  mismatch.  Four 
AIFs  offer  daily  redemptions  to  investors  and 
less than 30% of their portfolio can be liquidated 
within one day. In addition, some of these funds 
are  exclusively  exposed  to  the  CLO  market, 
which exposes them to risks if the CLO market 
were  to  experience  turbulence.  The  AIFs  with 
the largest liquidity mismatch make limited use 
of leverage with  their AuM-to-NAV ratio below 
150%.  

AIFs  exposures  to  leveraged  loans  and  CLOs 
have  increased  in  2018,  as  the  market  has 
continued  to  grow  rapidly.  Overall,  exposures 
remain  limited  and  most  AIFs  investing  in 
leveraged loans and CLOs make limited use of 
leverage  and  do  not  face  significant  liquidity 
mismatch.  However,  AIF  exposures  require 
active monitoring in the context of deterioration 
of  underwriting  standards  and  lower  credit 
quality  of 
loans.  First,  AIFs 
exposures  are  highly  concentrated  in  a  few 
funds,  which  invest  mainly  in  these  asset 
classes.  Second,  a  few  funds  use  leverage, 
which  could  amplify  market  movements  and 
transmit  shocks  to  the  financial  system.  AIF 
data also show that some financial institutions 
have  indirect  exposures  through  AIFs,  which 
are 
than  direct  exposures,  which 
warrants further analysis.   

leveraged 

larger 

References 

Bank  of  England  (2019),  “Financial  stability 
risks from collateralised obligations”,  Financial 
Stability Report, July. 

Bouveret, A., Canto, S. and Colesnic, E. (2019), 
“Leveraged  loans,  CLOs  —  trends  and  risks”, 
Trends,  Risks  and  Vulnerabilities  No.2, 
September. 

(2019), 

ECB 
“CLOs:  a 
perspective”, Financial Stability Report, May. 

financial  stability 

International  Monetary  Fund  (2019),  “Global 
corporate 
vulnerabilities”,  Global 
Financial Stability Report Chapter 2, October.

sector 

0%100%200%300%400%500%600%700%800%0%20%40%60%80%100%1234567891011121314151617181920Exposures to AuM in percentLeverage (rhs)Note:GrossexposurestoleveragedloansandCDO/CLOsin%ofAuMandleveragedefinedasAuMtoNAV.Dataforthetop20AIFswiththelargestexposurestoleveragedloansandCDOs/CLOsinabsoluteamounts.HedgefundsAIFsareindicatedbyapatternfill.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.-3%-1%-1%-1%-2%-1%-20%0%20%40%60%80%100%1D1W1M3M6M1 Y>1YMismatchInvestor liquidityPortfolio liquidityNote:Portfolioandinvestorliquidity,in%ofNAV,weightedaverage.PortfolioliquidityindicatesthecumulativeshareofNAVthatcanbeliquidatedovertime,andinvestorliquidityisthecumulaiveshareofNAVthatcanberedeemedoverthesametimehorizon.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

45 

Definition of the AIF reference 
sample 

AIF-specific  information  should  be  reported  at 
the  level  of  the  compartments  or  sub-funds 
when  the  AIF  takes  the  form  of  an  umbrella 
fund. ESMA Guidelines specify that AIFMs and 
AIFs  that  have  commenced  have  to  start 
reporting  from  the  first  day  of  the  calendar 
quarter  following  authorisation  or  registration. 
AIFMs  and  AIFs  that  have  not  started  any 
activity must still report a nil return to the home 
competent authority. Relatedly, AIFMs have to 
provide  a  report  upon  liquidation  of  the  AIFs 
they  manage.  Each  AIF  managed  within  the 
scope  of  the  Directive  must  have  only  one 
AIFM,  responsible  for  compliance  with  the 
requirements of the AIFMD. For this reason, the 
inclusion  in  the  analysis  of  products  marketed 
by  non-EU  sub-threshold  managers  does  not 
introduce any bias or create double counting of 
entities, as their AIFs cannot be passported. 

As of 31 August 2018, NCAs have gathered and 
made available to ESMA 35,048 reports for the 
end of 2018 of AIFs managed and/or marketed 
by authorised EU and sub-threshold AIFMs. Of 
the  initial  data  intake,  around  2,344  AIFs 
reported a nil return. The definition of the AIFs’ 
reference  sample  for  the  analysis  requires 
and 
further 
consistency checks (ASR-AIF.117).  

operations 

cleaning 

data 

The  final  reference  sample  is  constituted  by 
them  are 
30,357  AIFs.  Overall,  79%  of 
managed  by  full-scope  AIFMs  benefiting  from 
the EU passport. The final sample includes 487 
AIFs without a predominant type (i.e., reported 
as ‘None’). 

ASR-AIF.117 
Data cleaning 
Definition of the AIF reference sample 

A series of preliminary operations are performed to define the 
sample  of  analysed  AIFs  and  their  characteristics.  These 
include the following:  

—  Exclusion of reports that are not workable. 

As for AIFMs, AIFs’ reports may indicate that there is no 
information  to  be  reported  for  the  specified  reporting 
period  (nil  return).  Firms  also  have  the  opportunity  to 
cancel previously submitted erroneous reports or amend 
existing ones. For this reason, multiple amended reports 
by the same fund for the same reporting period have to 
be  detected  so 
the  data  can  be  properly 
consolidated. 

that 

—  Exclusion of files missing critical information 

In a few cases, AIF reports do not provide any indication 
of the investment strategy. Overall, the number of cases 
is  negligible.  In  particular,  at  the  end  of  2018  only  14 
funds-of-funds  and  2  RE  funds  reporting  NAV  equal  0, 
and one PE fund with NAV of EUR 0.2bn did not provide 
indication of their primary investment strategy. 

— 

Identification of feeder and master AIFs  

— 

Identification  of  each  AIFM  jurisdiction  and  managed 
and/o marketed AIFs domicile 

Feeder  funds  are  excluded  from  analysis  to 
avoid  any  double  counting  of  assets  (ASR-
AIF.118).  

ASR-AIF.118 
Feeder AIFs 
Prevalence of EU master-feeder AIFs  

Feeder AIFs 

 EU 

 Non-EU 

Total 

with EU master 
without EU master 

935 
531 

464 
209 

1399 
740 

AIFs filing 

Total 

1,466 

673 

2,139 

with EU master 
without EU master 

NAV (EUR bn) 
143,8 
45.3 

144,3 
37.5 

288.1 
82.8 

Total 

181.7 

189.1 

370.8 

Note: Number and NAV of feeder AIFs by domicile, end of 2018. 
Source: AIFMD database, National Competent Authorities, ESMA. 

 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

46 

Alternative 
EU 
Investment  Funds 
statistics 

 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

47 

Market overview 

AIF characteristics 

ASR-AIF-S.1 
AIFMD passport 

  ASR-AIF-S.2 
  EU and non-EU AIFs 

ASR-AIF-S.3 
AIF distribution by size 

  ASR-AIF-S.4 
  AIF types 

ASR-AIF-S.5 
AIF strategies 

  ASR-AIF-S.6 

Investment regions 

ASR-AIF-S.7 
Base currencies 

  ASR-AIF-S.8 
  Clients 

EU passport76%EU w/o passport17%Non-EU w/o passport3%Non-EU not marketed in EU 4%Note:NAVofAIFsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOtherNoneEUNon-EUNote:ShareofEUandnon-EUAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%onNAV.Non-EUAIFsmarketedw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bnNAVNumber of AIFsNote:ShareofAIFsbysize,endof2018,in%.AIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.FoF14%Hedge fund6%Private equity6%Real estate12%Other61%None1%Note:NAVbytypeofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commercial RE7%Equity16%Fixed income 25%Other FoF11%Other PE3%Other RE2%Other-other18%All remaining strategies18%Note:InvestmentstrategyofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.FoF=Fundoffunds,PE=Privateequityfunds,RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia5%EEA63%North America16%Other Europe4%Rest3%Supra National9%Note:RegionalinvestmentfocusofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,supranationalcategoryincludinginvestmentswithoutpredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%CZKNOKSEKJPYPLNUSDGBPEURNote:Basecurrencymanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%FoFHedge fundPrivate equityReal estateOther AIFTotal EURetail investorsProfessional investorsNote:ClientsofAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

48 

Liquidity and counterparty risk profile 

ASR-AIF-S.9 
Ownership of AIF 

  ASR-AIF-S.10 
  Top 5 beneficial owners 

ASR-AIF-S.11 
FoFs: Liquidity profile 

  ASR-AIF-S.12 
  HFs: Liquidity profile 

ASR-AIF-S.13 
PE funds: Liquidity profile 

  ASR-AIF-S.14 
  RE funds: Liquidity profile 

ASR-AIF-S.15 
Funds classified as ‘Other’: Liquidity profile 

  ASR-AIF-S.16 
  EU AIFs: Liquidity mismatch 

0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTotal EUBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.FoF=Fundoffunds;None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedge fundPrivateequityReal estateOtherAIFEU passportEU w/o passportNon-EU w/o passportNote:InvestorconcentrationofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.35%63%70%74%78%80%100%24%77%80%82%83%-11%12%7%6%4%3%0%-15%8%31%54%77%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.16%28%64%80%90%100%6%35%39%80%98%2%19%11%16%18%9%0%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.2%2%3%3%7%100%1%2%-10%12%34%56%78%100%1 day orless2-7d8-30d31-90d91-180d181-365d> 365dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.8%14%16%22%29%42%100%2%7%15%28%-6%-10%-12%-15%-14%-14%0%-25%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorliquidityprofilesofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.34%66%74%80%83%100%44%80%85%88%90%91%10%14%11%8%7%4%0%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorliquidityprofilesofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%-7%-3%1%5%1 d orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d20172018Average 2017Average 2018Note:LiquiditymismatchofEUAIFs.Mismatchdefinedasdifferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhigherthaninvestoliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

49 

ASR-AIF-S.17 
FoFs: Liquidity mismatch 

  ASR-AIF-S.18 
  HFs: Liquidity mismatch 

ASR-AIF-S.19 
RE funds: Liquidity mismatch 

  ASR-AIF-S.20 
  PE funds: Liquidity mismatch 

ASR-AIF-S.21 
Funds classified as ‘Other’: Liquidity mismatch 

  ASR-AIF-S.22 

Liquidity financing 

ASR-AIF-S.23 
Redemption rights to investors 

  ASR-AIF-S.24 

Liquidity financing 

0%-13%-7%-1%5%11%1 d orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d20172018Average 2017Average 2018Note:LiquiditymismatchofEUfundsoffunds.Mismatchdefinedasdifferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption..Positivevaluesreflectingportfolioliquidityhigherthaninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%0%6%12%18%24%1 d orless2-7 d8-30 d31-90 d91-180d181-365d> 365 d20172018Average 2017Average 2018Note:LiquiditymismatchofEUhedgefunds.Mismatchdefinedasdifferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhigherthaninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%-22%-17%-12%-7%-2%3%1 day orless2-7d8-30d31-90d91-180d181-365d> 365d20172018Average 2017Average 2018Note:LiquiditymismatchofEUrealestatefunds.Mismatchdefinedasdifferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhigherthaninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%-8%-6%-4%-2%0%1 day orless2-7d8-30d31-90d91-180d181-365d> 365d20172018Average 2017Average 2018Note:LiquiditygapofEUprivateequityfunds.Liquiditygapdefinedasdiferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhighertheninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%0%4%8%12%1 day orless2-7d8-30d31-90d91-180d181-365d> 365d20172018Average 2017Average 2018Note:LiquiditymismatchofEUAIFsclassifiedasOther.Mismatchdefinedasdiferencebetweenshareoffunds’portfolioscapableofbeingliquidatedandinvestorabilitytoreceiveredemptionpayments.Averageweightedbyextremesoftimebucketsreflectingdaysrequiredforassetliquidationandinvestorredemption.Positivevaluesreflectingportfolioliquidityhigherthaninvestorliquidity.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%25%50%75%100%TotalEUFoFHedgefundPrivateequityRealestateOtherAIFNoneDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundofFunds,None=NoPredominantType.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Total EUFoFHedgefundPrivateequityRealestateOtherAIFNoneOpen-endClosed-endNote:RedemptionrightsprovidedintheordinarycoursetoinvestorsinAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.7%47%50%58%100%42%85%100%7%28%61%100%27%100%20%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dFoFHedge fundOther AIFNoneReal estateNote:LiquidityfinancingofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.FoF=Fundoffunds,None=NoPredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

50 

ASR-AIF-S.25 
Securities trading 

  ASR-AIF-S.26 
  Derivatives trading 

ASR-AIF-S.27 
Repo trades clearing 

  ASR-AIF-S.28 
  Derivative transactions clearing 

Leverage and exposure 

ASR-AIF-S.29 
Adjusted gross leverage 

  ASR-AIF-S.30 

Leverage and unleveraged AIFs 

ASR-AIF-S.31 
Borrowing embedded in financial instruments 

  ASR-AIF-S.32 
  Unencumbered cash 

0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTot. EURegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTot. EURegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedmarketbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTot. EUCCPTri-partyBilateralNote:EstimatedmarketvalueofrepotradesclearedbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%NoneOther AIFReal estatePrivate equityHedge fundFoFTot. EUCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1200%2400%3600%4800%6000%0%200%400%600%800%FoFHedgefundPrivateequityRealestateOtherAIFNoneAdjusted gross leverageAuM/NAV (rhs)Note:AdjustedgrossleverageofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0100020003000FoFHedge fundPrivateequityRealestateOther AIFLeveraged AIFsUnleveraged AIFsNote:LeveragedandunleveragedAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundoffunds.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneCash and securitiesOTC derivativesExchange-traded derivativesNote:Borrowingofcashandsecuritiesorembeddedinderivatives,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.OTCandexchange-tradedderiativesnetofmargins.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.00.0650.130.1950.26Total EUFoFHedgefundPrivateequityRealestateOtherAIFNoneUnencumbered cashNote:Unencumberedcash,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

51 

ASR-AIF-S.33 
Financial leverage 

  ASR-AIF-S.34 
  Decomposition of exposures 

ASR-AIF-S.35 
Total exposures 

  ASR-AIF-S.36 
  Corporate bond quality 

ASR-AIF-S.37 

Cash and cash equivalents 

  ASR-AIF-S.38 
  Cash and cash equivalents by AIF type 

ASR-AIF-S.39 
Equities 

  ASR-AIF-S.40 
  Equities by AIF type 

0%2%4%6%8%10%12%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:Cashandsecuritiesborrowed,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Total EUFoFHedgefundPrivateequityRealestateOtherAIFNoneSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofgrossexposuresbyAIFtype,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.061218241Q182Q183Q184Q18FoFHedge fundPrivate equityReal estateOther AIFNoneNote:ExposuresofAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%1Q182Q183Q184Q18Corp bonds IG by fin instCorp bonds nonIG by finCorp bonds IG by fin instIG corp bonds by non-fin instNote:Corporatebondsexposure,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%5%10%15%20%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:Cashandcashequivalentsexposure,fundsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromothercashequivalents.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%60%120%180%1Q182Q183Q184Q18HundredsFoFHedge fundPrivate equityReal estateOther AIFsNote:CashandcashequivalentsexposurebyAIFtype,fundsquarterlyreported,in%ofNAV.Datafor25EEAcountries.FoF=Fundsoffunds.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%5%10%15%20%25%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:Exposuretoequities,fundsquarterlyreported,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%1Q182Q183Q184Q18HundredsFoFHedge fundPrivate equityReal estateOther AIFsNote:EquitiesexposurebyAIFtype,fundsquarterlyreported,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.FoF=FundsofFunds.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

52 

ASR-AIF-S.41 
Sovereign bonds 

  ASR-AIF-S.42 
  Sovereign bonds by AIF type 

ASR-AIF-S.43 
CIUs  

  ASR-AIF-S.44 
  CIUs by AIF type 

ASR-AIF-S.45 
Structured products 

  ASR-AIF-S.46 
  Structured products by AIF type 

0%7%14%21%28%1Q182Q183Q184Q18HundredsEU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:Sovereignbondsexposure,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%50%100%150%200%250%1Q182Q183Q184Q18HundredsFoFHedge fundPrivate equityReal estateOther AIFsNote:SovereignbondsexposurebyAIFtype,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=FundsofFunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%7%14%21%28%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:Collectiveinvestmentundertakingsexposure,fundsreportedquaterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%1Q182Q183Q184Q18HundredsFoFHedge fundPrivate equityReal estateOther AIFsNote:CollectiveinvestmentundertakingsexposurebyAIFtype,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=FundsofFunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0.0%0.6%1.2%1.8%2.4%3.0%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:Structuredproductsexposure,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%4%8%12%1Q182Q183Q184Q18HundredsFoFHedge fundPrivate equityReal estateOther AIFsNote:StructuredproductsexposurebyAIFtype,fundsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundsoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

53 

Funds of Funds 

AIF characteristics 

ASR-AIF-S.47 
AIFMD passport 

  ASR-AIF-S.48 
  EU and non-EU AIFs 

ASR-AIF-S.49 
Market concentration 

  ASR-AIF-S.50 

Investment strategies by NAV 

ASR-AIF-S.51 
Investment regions by NAV 

  ASR-AIF-S.52 
Investor type 

EU passport76%EU w/o passport17%Non-EU w/o passport3%Non-EU not marketed in EU 4%Note:NAVoffundsoffundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFEUNon-EUNote:ShareofEUandnon-EUfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Non-EUAIFsmarketedw/opassport.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0255075100top 10top 20top 50top 100top 500top 1,000Market concentrationNote:Marketconcentrationofthelargest10-to-1,000fundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.Fund of HF9%Fund of PE10%Other FoF81%Note:Investmentstrategiesoffundsoffunds,endof2018,in%ofNAV.Fundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabaseNationalCompetentAuthorities,ESMA.Asia2%EEA56%Other Europe4%North America10%Supra National23%Rest5%Note:Regionalinvestmentfocusoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other FoFFund of HFFund ofPERetail investorsProfessional investorsNote:Clientsoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictionsat,endof2018,in%ofNAV.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

54 

Liquidity and counterparty risk profile 

ASR-AIF-S.53 
Ownership of AIFs  

  ASR-AIF-S.54 
  Top five beneficial owners 

ASR-AIF-S.55 
Funds of HFs: liquidity profile 

  ASR-AIF-S.56 
  Funds of PE funds: liquidity profile 

ASR-AIF-S.57 
FoFs: liquidity profile 

  ASR-AIF-S.58 
  Redemption frequencies 

ASR-AIF-S.59 
Redemption rights to investors 

  ASR-AIF-S.60 

Liquidity financing 

0%20%40%60%80%100%Other FoFFund of PEFund of HFBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.FoF=Fundoffunds;PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEQFOther FoFEU passportEU w/o passportNon-EU w/o passportNote:Investorconcentrationoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.FoF=FundofFunds,PEQF=PrivateEquityFund,HF=HedgeFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.4%6%14%31%51%59%1%2%6%31%59%64%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.3%3%8%1%1%1%2%3%3%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.43%78%86%88%90%92%46%86%89%90%91%92%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:PortfolioandinvestorliquidityprofilesoffundsoffundspursuingstrategiesclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundoffunds,PE=Privateequityfund,HF=HedgeFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFOpen-endClosed-endNote:Redemptionrightsprovidedintheordinarycoursetoinvestorsinfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.HF=Hedgefund;PE=Privateequity;FoF=Fundoffunds,PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.1%38%44%100%61%90%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dFund of HFFund of PEOther FoFNote:Liquidityfinancingoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.Datafor25EEAcountries.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

55 

ASR-AIF-S.61 
Securities trading 

  ASR-AIF-S.62 
  Derivatives trading 

ASR-AIF-S.63 
Repo trades clearing 

  ASR-AIF-S.64 
  Derivatives trades clearing  

Leverage and exposure 

ASR-AIF-S.65 
Adjusted gross leverage 

  ASR-AIF-S.66 

Leveraged and unleveraged AIFs 

ASR-AIF-S.67 
Borrowing embedded in financial instruments 

  ASR-AIF-S.68 
  Unencumbered cash 

0%20%40%60%80%100%Other FoFFund of PEQFFund of HFRegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other FoFFund of PEFund of HFRegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexchangemarketsbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other FoFFund of PEFund of HFCCPTri-partyBilateralNote:Estimatedmarketvalueofrepotradesclearedbymarketbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other FoFFund of PEFund of HFCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.FoF=Fundoffunds,PEQF=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%40%80%120%160%Fund of HFFund of PEOther FoFAdjusted gross leverageAuM/NAVNote:Adjustedgrossleverageoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0200400600Fund of HFFund of PEQOther FoFLeveraged AIFsUnleveraged AIFsNote:Leveragedandunleveragedfundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundsoffunds,HF=Hedgefunds,PEQ=Privateequityfunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%6%12%18%24%Fund of HFFund of PEOther FoFCash and securitiesOTCExchange-tradedNote:Borrowingofcashandsecuritiesorembeddedinderivativesbyfundsoffunds,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds.HF=Hedgefund,PE=PrivateequityFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%2%3%5%Fund of HFFund of PEOther FoFUnencumbered cashNote:Unencumberedcashheldbyfundsoffunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundsoffunds,HF=Hedgefund,PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

56 

ASR-AIF-S.69 
Financial leverage 

  ASR-AIF-S.70 
  Financial leverage composition 

ASR-AIF-S.71 
Total exposures 

  ASR-AIF-S.72 
  Decomposition of exposures 

ASR-AIF-S.73 
Cash and cash equivalents 

  ASR-AIF-S.74 

 Cash and cash equivalents in Q4 2018 

ASR-AIF-S.75 
Equities 

  ASR-AIF-S.76 
  Equities in 4Q18 

0.0%0.2%0.4%0.6%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:Cashandsecuritiesborrowedbyfunds-of-funds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEQFOther FoFUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Shareofcashandsecuritiesborrowedbyfunds-of-funds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,HF=HedgeFund,PEQF=PrivateEquityFund.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.00.30.60.91.21Q182Q183Q184Q18Fund of HFFund of PEOther FoFNote:Exposuresoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundofFunds,HF=Hedgefund.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%Fund of HFFund of PEOther FoFSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyfundsoffunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%2%3%5%6%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:Cashandcashequivalentsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromothercashequivalents.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Certificates of deposit2%Commercial papers5%Other cash equivalent54%Other deposits39%Note:Shareofcashandcashequivalentsheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%2%3%5%6%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:Fundsoffunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Listed financial inst.13%Other listed51%Unlisted36%Note:Shareofequitiesheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

57 

ASR-AIF-S.77 
Sovereign bonds  

  ASR-AIF-S.78 
  Sovereign bonds in 4Q18 

ASR-AIF-S.79 
Collective investment undertakings 

  ASR-AIF-S.80 
  Collective investment undertakings in 4Q18 

ASR-AIF-S.81 
Structured products 

  ASR-AIF-S.82 
  Structured products in 4Q18 

ASR-AIF-S.83 
Corporate bond quality 

  ASR-AIF-S.84 
  Corporate bonds in 4Q18 

0%1%2%3%1Q182Q183Q184Q18HundredsEU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:Sovereignbondsexposureexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU Sov >1Y TM62%EU Sov up 1Y TM14%G10 Sov >1Y TM13%G10 Sov up 1Y TM2%Non-G10 Sov >1Y TM8%Note:Shareofsovereignbondsheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sov=Sovereignbonds,TM=TimetoMaturity.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%20%40%60%80%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:Collectiveinvestmentundertakingsexposureexposureoffunds-of-funds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.CIUs by the AIFM35%CIUs by others56%ETF by the AIFM1%ETF  by others3%MMFs by the AIFM2%MMFs by others3%Note:Shareofcollectiveinvestmentundertakingsheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.0%0.1%0.2%0.3%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:Structuredandsecuritisedproductsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.ABS24%Agency MBS8%ETP8%Other36%RMBS4%Structured certificate20%Note:Shareofstructuredandsecuritisedproductsheldbyfundsoffundsin4Q18.AIFsmangedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%1%2%3%4%1Q182Q183Q184Q18IG by fin. inst.IG by non-fin. inst.Non-IG by fin. inst.Non-IG by non-fin. inst.Note:Corporatebondsexposureoffundsoffunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.IG by fin. inst.43%Non-IG by fin. inst.4%IG by non-fin. inst.37%Non-IG by non-fin. inst.16%Note:Shareofcorporatebondsheldbyfundsoffundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

58 

Real Estate Funds 

AIF characteristics 

ASR-AIF-S.85 
AIFMD passport 

  ASR-AIF-S.86 
  EU and non-EU AIFs 

ASR-AIF-S.87 
Market concentration 

  ASR-AIF-S.88 

Investment strategies by NAV 

ASR-AIF-S.89 
Investment regions by NAV 

  ASR-AIF-S.90 
Investor type 

EU passport75%EU w/o passport16%Non-EU w/o passport9%Non-EU not marketed in EU0%Note:NAVofrealestateAIFsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategyOther REResidentialEUNon-EUNote:ShareofEUandnon-EUrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Non-EUAIFsmarketedw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0255075100top 10top 20top 50top 100top 500top 1,000Market concentrationNote:Marketconcentrationofthelargest10-to-1,000realestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsaccessingAIFMDpassportandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commercial63%Industrial4%Other RE21%Residential 12%Note:Investmentstrategiesofrealestatefunds,endof2018,in%ofNAV.Realestatefundsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia5%EEA78%Other Europe2%North America14%Supra National1%Rest>1%Note:Regionalinvestmentfocusofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOtherMulti-strategyIndustrialCommercialRetail investorsProfessional investorsNote:Clientsofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

59 

Liquidity and counterparty risk profile 

ASR-AIF-S.91 
Ownership of RE funds 

  ASR-AIF-S.92 
  Top five beneficial owners 

ASR-AIF-S.93 
Commercial RE: liquidity profile 

  ASR-AIF-S.94 

Industrial RE: liquidity profile 

ASR-AIF-S.95 
Residential RE: liquidity profile 

  ASR-AIF-S.96 
  Other RE: liquidity profile 

ASR-AIF-S.97 
Multi-strategy RE: liquidity profile 

  ASR-AIF-S.98 
  Redemption frequencies 

0%20%40%60%80%100%ResidentialOther REMulti-strategy REIndustrialCommercialBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinrealestatefundsAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%IndustrialMulti-strategy REOther REResidentialEU passportEU w/o passportNon-EU w/o passportNote:Investorconcentrationofrealestatemanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.13%19%22%25%35%50%5%6%6%10%23%34%100%0%25%50%75%100%1 dayor less2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorsliquidityprofilesoffundsofcommercialrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.2%2%2%3%22%46%0%0%0%2%17%41%100%0%25%50%75%100%1 dayor less2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorsliquidityprofilesoffundsofindustrialrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.9%18%20%30%34%39%1%4%4%19%24%26%100%0%25%50%75%100%1 dayor less2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorsliquidityprofilesoffundsofresidentailrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.3%11%12%16%22%27%1%6%7%10%14%16%100%0%25%50%75%100%1 dayor less2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorsliquidityprofilesofrealestatefundspursuingstrategiesclassifiedas"other"managedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.1%7%12%17%32%100%1%1%2%3%8%32%100%0%25%50%75%100%1 dayor less2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofmulti-strategyrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

60 

ASR-AIF-S.99 
Redemption rights to investors 

  ASR-AIF-S.100 

Liquidity financing 

ASR-AIF-S.101 
Securities trading 

  ASR-AIF-S.102 
  Derivatives trading 

ASR-AIF-S.103 
Repo trades clearing 

  ASR-AIF-S.104 
  Derivatives clearing 

0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialOpen-endClosed-endNote:Redemptionrightsprovidedintheordinarycoursetoinvestorsinrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.18%20%39%2%7%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dCommercialIndustrialOther REResidentialNote:Liquidityfinancingofrealestatefundsmanagedand/ormarketedbyEUauthorisedAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOther REMultistrategy REIndustrialCommercialRegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOther REMulti-strategy REIndustrialCommercialRegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexchangemarketsbyrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOther REMultistrategy RECommercialCCPTri-partyBilateralNote:Estimatedmarketvalueofrepotradesclearedbybyrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%ResidentialOther REMultistrategy REIndustrialCommercialCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

61 

Leverage and exposure 

ASR-AIF-S.105 
Adjusted gross leverage 

  ASR-AIF-S.106 

Leveraged and unleveraged AIFs 

ASR-AIF-S.107 
Borrowings embedded in derivatives 

  ASR-AIF-S.108 
  Unencumbered cash 

ASR-AIF-S.109 
Financial leverage 

  ASR-AIF-S.110 
  Financial leverage composition 

ASR-AIF-S.111 
Total exposures 

  ASR-AIF-S.112 
  Decomposition of exposures 

0%40%80%120%160%ComercialIndustrialMulti-strategy REOtherREResidentialMedian adjusted gross leverageAuM/NAVNote:Adjustedgrossleverageofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.070140210280CommercialIndustrialMulti-strategyOther REResidentialLeveraged AIFsUnleveraged AIFsNote:LeveragedandunleveragedrealestateAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%8%16%24%CommercialIndustrialMulti-strategy REOtherREResidentialCash and securitiesOTCExchange-tradedNote:Borrowingofcashandsecuritiesorembeddedinderivativesbyrealestatefunds,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed.OTCandexchange-tradedderiativesnetofmargins.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%2%4%6%8%10%12%14%CommercialIndustrialMulti-strategy REOther REResidentialUnencumbered cashNote:Unencumberedcashheldbyrealestatefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0.0%1.5%3.0%4.5%6.0%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:Cashandsecuritiesborrowedbyrealestatefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Sharecashandsecuritiesborrowedbyrealestatefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=RealEstate.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.00.20.40.60.811Q182Q183Q184Q18Commercial REIndustrial REMulti-strategy REOther REResidential RENote:Exposureofrealestatefundsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommercialIndustrialMulti-strategy REOther REResidentialSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyrealestatefunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.RE=Realestate.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

62 

ASR-AIF-S.113 
Cash and cash equivalents 

  ASR-AIF-S.114 
  Cash and cash equivalents in 4Q18 

ASR-AIF-S.115 
Equities 

  ASR-AIF-S.116 
  Equities in 4Q18 

ASR-AIF-S.117 
Sovereign bonds 

  ASR-AIF-S.118 
  Sovereign bonds in 4Q18 

ASR-AIF-S.119 
Collective investment undertakings 

  ASR-AIF-S.120 
  Collective investment undertakings in 4Q18 

0%3%6%9%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:Cashandcashequivalentsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromothercashequivalents.Datafor25EEAcountries;UKdataavailableonlyin4Q18.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Certificates of deposit>1%Other cash equivalent79%Other deposits21%Note:Shareofcashandcashequivalentsheldbyrealestatefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%3%6%9%12%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:Realestatefunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Listed financial inst.1%Other listed56%Unlisted43%Note:Shareofequitiesheldbyrealestatefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.0%0.1%0.2%0.3%0.4%1Q182Q183Q184Q18HundredsEU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:Sovereignbondsexposureexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU Sov >1Y TM25%EU Sov up 1Y TM53%Non-G10 Sov >1Y TM18%Non-G10 Sov up 1Y TM4%Note:Shareofsovereignbondsheldbyrealestatefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sov=Sovereignbonds,TM=TimetoMaturity.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%3%5%8%10%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:Note:Collectiveinvestmentundertakingsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.CIUs by the AIFM23%CIUs by others58%MMFs by the AIFM2%MMFs by others17%Note:Shareofcollectiveinvestmentundertakingsheldbyrealestatefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

63 

ASR-AIF-S.121 
Structured products  

  ASR-AIF-S.122 
  Structured products in 4Q18 

ASR-AIF-S.123 
Corporate bond quality 

  ASR-AIF-S.124 
  Corporate bonds in 4Q18 

0.00%0.03%0.06%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:Structuredandsecuritisedproductsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.ABS75%CMBS25%Note:Shareofstructuredandsecuritisedproductsheldbyrealestatefundsin4Q18.AIFsmangedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.0%0.2%0.4%0.6%0.8%1.0%1Q182Q183Q184Q18HundredsIG by fin. inst.IG by non-fin. inst.Non-IG by fin. inst.Non-IG by non-fin. inst.Note:Corporatebondsexposureofrealestatefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.IG by fin. inst.52%Non-IG by fin. inst.8%IG by non-fin. inst.33%Non-IG by non-fin. inst.7%Note:Shareofcorporatebondsheldbyrealestatefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

64 

Hedge Funds 

AIF characteristics 

ASR-AIF-S.125 
AIFMD passport 

  ASR-AIF-S.126 
  EU and non-EU AIFs 

ASR-AIF-S.127 
Market concentration 

  ASR-AIF-S.128 

Investment strategies by NAV 

ASR-AIF-S.129 
Investment regions by NAV 

  ASR-AIF-S.130 
Investor type 

EU passport30%EU w/o passport3%Non-EU w/o passport38%Non-EU not marketed in EU29%Note:NAVofhedgefundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccessAIFMDpassportormarketingnon-EUAIFsw/opassport,subthresholdmanagersareregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventMacroMulti-strategyHFOtherHFRel.valueEUNon-EUNote:ShareofEUandnon-EUhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Non-EUAIFsmarketedw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0255075100top 10top 20top 50top 100top 500Market concentrationNote:Marketconcentrationofthelargest10-to-500hedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Credit5%CTA11%Equity46%Event Driven4%Macro14%Other HF13%Relative Value7%Note:Investmentstrategiesofhedgefunds,endof2018,in%ofNAV.Hedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia7%EEA31%Other Europe4%North America47%Supra National6%Rest5%Note:Regionalinvestmentfocusofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,andthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative ValueOther HFMulti-strategy HFMacroEvent DrivenEquityCTACreditRetail investorsProfessional investorsNote:Clientsofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

65 

Liquidity and counterparty risk profile 

ASR-AIF-S.131 
Ownership of AIFs 

  ASR-AIF-S.132 
  Top five beneficial owners 

ASR-AIF-S.133 
Credit HF: liquidity profile 

  ASR-AIF-S.134 
  CTA: liquidity profile 

ASR-AIF-S.135 
Equity HF: liquidity profile 

  ASR-AIF-S.136 
  Event driven: liquidity profile 

ASR-AIF-S.137 
Macro HF: liquidity profile 

  ASR-AIF-S.138 
  Relative value: liquidity profile 

0%20%40%60%80%100%Relative ValueOther HFMulti-strategy HFMacroEvent DrivenEquityCTACreditBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueEU passportEU w/o passportNon-EU w/o passportNote:Investorconcentrationofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.HF=HedgeFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%14%42%61%66%32%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofcredithedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.4%68%96%29%99%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:PortfolioandinvestorliquidityprofilesofCTAmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.3%10%19%61%85%22%44%55%72%89%91%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofequityhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.2%2%10%42%57%84%6%26%29%33%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofeventdrivenhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.19%44%91%93%98%50%85%100%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofmacrohedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.2%3%7%40%75%100%3%5%11%67%100%100%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofrelativevaluehedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

66 

ASR-AIF-S.139 
Other HF: liquidity profile 

  ASR-AIF-S.140 
  Redemption frequencies 

ASR-AIF-S.141 
Redemption rights to investors 

  ASR-AIF-S.142 

Liquidity financing 

ASR-AIF-S.143 
Securities trading 

  ASR-AIF-S.144 
  Derivatives trading 

ASR-AIF-S.145 
Repo trades clearing 

  ASR-AIF-S.146 
  Derivative transactions clearing 

3%8%13%58%84%94%5%10%71%75%80%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:PortfolioandinvestorliquidityprofilesofhedgefundspursuingstrategiesclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventDrivenMacroMulti-strategyOtherHFRel.ValueOpen-endClosed-endNote:Redemptionrightsprovidedintheordinarycoursetoinvestorsinhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAF.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.47%54%31%79%88%75%84%10%22%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dCreditCTAEquityEvent drivenMacroRel. valueNote:Liquidityfinancingofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative valueOther HFMulti-strategy HFMacroEvent drivenEquityCTACreditRegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative valueOther HFMulti-strategy HFMacroEvent drivenEquityCTACreditRegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexchangemarketsbyhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative valueOther HFMultistrategy HFMacroEvent drivenEquityCreditCCPTri-partyBilateralNote:Estimatedmarketvalueofrepotradesclearedbyhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Relative valueOther HFMultistrategy HFMacroEvent drivenEquityCTACreditCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

67 

Leverage and exposure 

ASR-AIF-S.147 
Adjusted gross leverage 

  ASR-AIF-S.148 

Leveraged and unleveraged AIFs 

ASR-AIF-S.149 
Borrowing embedded in financial instruments 

  ASR-AIF-S.150 
  Unencumbered cash 

ASR-AIF-S.151 
Financial leverage 

  ASR-AIF-S.152 
  Financial leverage composition 

ASR-AIF-S.153 
Total exposures 

  ASR-AIF-S.154 
  Decomposition of exposures 

0%5000%10000%15000%20000%25000%0%1400%2800%4200%5600%CreditCTAEquityEventdrivenMacroMulti-stratsOtherHFRel.valueAdjusted gross leverageAuM/NAV (rhs)Note:Adjustedgrossleverageoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.04080120160CreditCTAEquityEventdrivenMacroMulti-strategyOtherHFRelativevalueLeveraged AIFsUnleveraged AIFsNote:Leveragedandunleveragedhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%25%50%75%100%125%CreditCTAEquityEventdrivenMacroMulti-strategyOtherHFRel.valueCash and securitiesOTCExchange-tradedNote:Borrowingofcashandsecuritiesorembeddedinderivativesbyhedgefunds,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.OTCandexchange-tradedderiativesnetofmargins.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%50%100%150%200%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueUnencumbered cashNote:Unencumberedcashheldbyhedgefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%45%90%135%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:Cashandsecuritiesborrowedbyhedgefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,0%25%50%75%100%CreditCTAEquityEventDrivenMacroMulti-strategyHFOtherHFRel.ValueUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Shareofashandsecuritiesborrowedbyhedgefunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=NopredominanttypeSources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.03.5710.51417.51Q182Q183Q184Q18CreditCTAEquityEvent drivenMacroMulti-strategy HFOther HFRelative valueNote:Exposuresofhedgefundsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CreditCTAEquityEventdrivenMacroMulti-strategyHFOtherHFRel.valueSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyhedgefunds'investmentstrategies,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

68 

ASR-AIF-S.155 
Cash and cash equivalents 

  ASR-AIF-S.156 
  Cash and cash equivalents in 4Q18 

ASR-AIF-S.157 
Equities 

  ASR-AIF-S.158 
  Equities in 4Q18 

ASR-AIF-S.159 
Sovereign bonds 

  ASR-AIF-S.160 
  Sovereign bonds in 4Q18 

ASR-AIF-S.161 
Collective investment undertakings 

  ASR-AIF-S.162 
  Collective investment undertakings in 4Q18 

0%40%80%120%160%200%240%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:Cashandcashequivalentsexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromtheothercashequivalents.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Certificates of deposit>1%Commercial papers>1%Other cash equivalent75%Other deposits25%Note:Shareofcashandcashequivalentsheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%18%36%54%72%90%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:Hedgefunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Listed financial inst.12%Other listed86%Unlisted2%Note:Shareofequitiesheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%40%80%120%160%200%240%280%1Q182Q183Q184Q18HundredsEU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:Sovereignbondsexposureexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU Sov >1Y TM40%EU Sov up 1Y TM6%G10 Sov >1Y TM30%G10 Sov up 1Y TM5%Non-G10 Sov >1Y TM15%Non-G10 Sov up 1Y TM>1%Note:Shareofsovereignbondsheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sov=Sovereignbonds,TM=TimetoMaturity.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%5%10%15%20%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:Collectiveinvestmentundertakingsexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.CIUs by the AIFM27%CIUs by others15%ETF by the AIFM1%ETF  by others8%MMFs by the AIFM4%MMFs by others45%Note:Shareofcollectiveinvestmentundertakingsheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

69 

ASR-AIF-S.163 
Structured products 

  ASR-AIF-S.164 
  Structured products in 4Q18 

ASR-AIF-S.165 
Corporate bond quality 

  ASR-AIF-S.166 
  Corporate bonds in 4Q18 

0%4%8%12%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:Structuredandsecuritisedproductsexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarktedbyauthorised.Datafor25EEAcountries.ABS14%Agency MBS40%CDO/CLO15%CMBS3%ETP1%Other23%RMBS3%Structured certificate>1%Note:Shareofstructuredandsecuritisedproductsheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries..Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%2%4%6%8%10%1Q182Q183Q184Q18HundredsIG by fin. inst.IG by non-fin. inst.Non-IG by fin. inst.Non-IG by non-fin. inst.Note:Corporatebondsexposureofhedgefunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.IG by fin. inst.30%Non-IG by fin. inst.15%IG by non-fin. inst.27%Non-IG by non-fin. inst.28%Note:Shareofcorporatebondsheldbyhedgefundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

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Private Equity Funds 

AIF characteristics 

ASR-AIF-S.167 
AIFMD passport 

  ASR-AIF-S.168 
  EU and non-EU AIFs 

ASR-AIF-S.169 
Market concentration 

  ASR-AIF-S.170 

Investment strategies by NAV 

ASR-AIF-S.171 
Investment regions by NAV 

  ASR-AIF-S.172 
Investor type 

EU passport60%EU w/o passport20%Non-EU w/o passport3%Non-EU not marketed in EU17%Note:NAVofprivateequityfundsbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassport,subthresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassport.Datafor25EEAcountriesSources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-strategyOther PEVentureCapitalEUNon-EUNote:ShareofEUandnon-EUprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Non-EUAIFsmarketedw/opassport.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0255075100top 10top 20top 50top 100top 500top 1,000Market concentrationNote:Marketconcentrationofthelargest10-to-1,000privateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsaccessingAIFMDpassportandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Growth Capital30%Mezzanine Capital4%Other private equity52%Venture Capital14%Note:Investmentstrategiesofprivateequityfunds,endof2018,in%ofNAV.Privateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia7%EEA68%Other Europe4%North America19%Supra National>1%Rest2%Note:Regionalinvestmentfocusofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestments,andthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth CapitalRetail investorsProfessional investorsNote:Clientsofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

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Liquidity and counterparty risk profile 

ASR-AIF-S.173 
Ownership of PE funds 

  ASR-AIF-S.174 
  Top five beneficial owners 

ASR-AIF-S.175 
Growth capital: liquidity profile 

  ASR-AIF-S.176 
  Mezzanine capital: liquidity profile 

ASR-AIF-S.177 
Other PE funds: liquidity profile 

  ASR-AIF-S.178 
  Venture capital: liquidity profile 

ASR-AIF-S.179 
Multi-strategy PE funds: liquidity profile 

  ASR-AIF-S.180 
  Redemption frequency 

0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth CapitalBanksGeneral governmentHouseholdInsurancesNon-profitNoneOther CIUsOth. fin. institutionsPension fundsUnknownNote:Ownershipofunitsinprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%125%GrowthcapitalMezzaninecapitalMulti-strategyPEQFOtherPEQFVenturecapitalEU passportEU w/o passportNon-EU w/o passportNote:Investorconcentrationofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%0%0%0%1%3%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofgrowthcapitalfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%0%1%1%2%2%0%0%0%0%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofmezzaninecapitalfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.6%7%8%9%10%14%1%1%1%1%1%6%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:PortfolioandinvestorliquidityprofilesofprivateequityfundspursuingstrategiesclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%0%1%1%1%2%0%0%0%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofventurecapitalfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.2%21%25%100%3%3%3%22%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofmulti-strategyprivateequityfundsfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-strategyOther PEVenturecapitalDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PEQF=PrivateEquityFund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

72 

ASR-AIF-S.181 
Redemption rights to investors 

  ASR-AIF-S.182 

Liquidity financing 

ASR-AIF-S.183 
Securities trading 

  ASR-AIF-S.184 
  Derivatives trading 

ASR-AIF-S.185 
Repo trades clearing 

  ASR-AIF-S.186 
  Derivatives transactions clearing 

0%25%50%75%100%GrowthCapitalMezzanineCapitalMulti-strategyOther PEVentureCapitalOpen-endClosed-endNote:Redemptionrightsprovidedintheordinarycoursetoinvestorsinprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0.0289%11%72%73%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dGrowth CapitalMezzanine CapitalVenture CapitalNote:Liquidityfinancingofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture CapitalOther PEQFMulti-strategyPEQFMezzanine CapitalGrowth CapitalRegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture CapitalOther PEMulti-strategy PEMezzanine CapitalGrowth CapitalRegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexchangemarketsbyprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture capitalOther PEQFMultistrategyMezzanine capitalCCPTri-partyBilateralNote:Estimatedmarketvalueofrepotradesclearedbyprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Venture capitalOther PEMultistrategyMezzanine capitalGrowth capitalCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,in%.PEQF=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

73 

Leverage and exposure 

ASR-AIF-S.187 
Adjusted gross leverage 

  ASR-AIF-S.188 
  Adjusted gross leverage 

ASR-AIF-S.189 
Borrowing embedded in financial instruments 

  ASR-AIF-S.190 
  Unencumbered cash 

ASR-AIF-S.191 
Financial leverage 

  ASR-AIF-S.192 
  Financial leverage composition 

ASR-AIF-S.193 
Total exposures 

  ASR-AIF-S.194 
  Decomposition of exposures 

0%40%80%120%160%GrowthcapitalMezzaninecapitalMulti-strategyOther PEVenturecapitalMedian adjusted gross leverageAuM/NAVNote:Adjustedgrossleverageofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.03570105140GrowthMezzanineMulti-strategyOther PEQVentureCapitalLeveraged AIFsUnleveraged AIFsNote:Leveragedandunleveragedprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA.0%8%16%24%Growth CapitalMezzanine CapitalOther PECash and securitiesOTCExchange-tradedNote:Borrowingofcashandsecuritiesorembeddedinderivativesbyprivateequityfunds,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed.OTCandexchange-tradedderiativesnetofmargins.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%10%20%30%40%50%GrowthcapitalMezzaninecapitalMulti-strategyPEOtherPEVentureCapitalUnencumbered cashNote:Unencumberedcashheldbyprivateequityfunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0.0%0.5%1.0%1.5%2.0%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:Cashandsecuritiesborrowedbyprivateequityfunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-strategyPEQFOther PEQFVentureCapitalUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Sharecashandsecuritiesborrowedbyprivateequityfunds,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PEQF=PrivateEquityFund.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0501001502001Q182Q183Q184Q18Other PEMezzanine CapitalVenture CapitalMulti-strategyGrowth CapitalNote:Exposureofprivateequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%GrowthcapitalMezzaninecapitalMulti-strategyPEOtherPEVentureCapitalSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:Shareofexposuresbyprivateequityfunds'investmentstrategies,endof2018,in%oftotal.AIFsmangedand/ormarketedbyauthorisedEUAIFMs.PE=Privateequityfund.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

74 

ASR-AIF-S.195 
Cash and cash equivalents 

  ASR-AIF-S.196 
  Cash and cash equivalents in 4Q18 

ASR-AIF-S.197 
Equities 

  ASR-AIF-S.198 
  Equities in 4Q18 

ASR-AIF-S.199 
Sovereign bonds 

  ASR-AIF-S.200 
  Sovereign bonds in 4Q18 

ASR-AIF-S.201 
Collective investment undertakings 

  ASR-AIF-S.202 
  Collective investment undertakings in 4Q18 

0%2%4%6%8%10%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:Cashandcashequivalentsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromothercashequivalents.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Other cash equivalent99%Other deposits1%Note:Shareofcashandcashequivalentsheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%20%40%60%80%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:Privateequityfunds'exposuretoequity,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Listed financial inst.4%Other listed2%Unlisted94%Note:Shareofequitiesheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.0%0.1%0.2%1Q182Q183Q184Q18EU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:Sovereignbondsexposureexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Non-G10 Sov >1Y TM100%Note:Shareofsovereignbondsheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sov=Sovereignbonds,TM=TimetoMaturity.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%3%5%8%10%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:Collectiveinvestmentundertakingsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.CIUs by the AIFM15%CIUs by others76%ETF by the AIFM4%MMFs by others5%Note:Shareofcollectiveinvestmentundertakingsheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

75 

ASR-AIF-S.203 
Structured products in 4Q18 

  ASR-AIF-S.204 
  Structured products in 4Q18 

ASR-AIF-S.205 
Corporate bond quality 

  ASR-AIF-S.206 
  Corporate bonds in 4Q18 

0.0%0.2%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:Structuredandsecuritisedproductsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.RMBS100%Note:Shareofstructuredandsecuritisedproductsheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.0%0.5%1.0%1.5%2.0%2.5%1Q182Q183Q184Q18HundredsIG by fin. inst.IG by non-fin. inst.Non-IG by fin. inst.Non-IG by non-fin. inst.Note:Corporatebondsexposureofprivateequityfunds,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.IG by fin. inst.1%Non-IG by non-fin. inst.99%Note:Shareofcorporatebondsheldbyprivateequityfundsin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

76 

‘Other AIFs’ 

AIF characteristics 

ASR-AIF-S.207 
AIFMD passport 

  ASR-AIF-S.208 
  EU and non-EU AIFs 

ASR-AIF-S.209 
Market concentration 

  ASR-AIF-S.210 

Investment strategy by NAV 

ASR-AIF-S.211 
Investment regions by NAV 

  ASR-AIF-S.212 
Investor type 

EU passport80%EU w/o passport16%Non-EU w/o passport1%Non-EU not marketed in EU3%Note:NAVofAIFsclassifiedasOtherbymanager'saccesstoAIFMDpassport,endof2018,in%.AuthorisedEUAIFMswithaccesstoAIFMDpassportormarketingnon-EUAIFsw/opassport,sub-thresholdmanagersregisteredonlyinnationaljuridisdictionsw/opassportingrights.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfrastructureOtherEUNon-EUNote:ShareofEUandnon-EUAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Non-EUAIFsmarketedw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalcompetentAuthorities,ESMA.0255075100top 10top 20top 50top 100top 500top 1,000Market concentrationNote:Marketconcentrationofthelargest10-to-1,000AIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commodity1%Equity28%Fixed income41%Infrastructure2%Other28%Note:InvestmentstrategiesofAIFsclassifiedasOther,endof2018,in%ofNAV.AIFsmanagedand/ormarketedbyfullscopeEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions.Datafor25EEAcountries.Sources:NationalCompetentAuthorities,ESMA.Asia7%EEA61%Other Europe4%North America17%Supra National7%Rest4%Note:RegionalinvestmentfocusofEUAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Geo-focusdeterminedaccordingtothedomicileofinvestmentsandthesupranationalcategoryincludinginvestmentswithoutapredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityRetail investorsProfessional investorsNote:ClientsofAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

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Liquidity and counterparty risk profile 

ASR-AIF-S.213 
Ownership of ‘other AIFs’ 

  ASR-AIF-S.214 
  Top five beneficial owners 

ASR-AIF-S.215 
Commodity: liquidity profile 

  ASR-AIF-S.216 
  Equity: liquidity profile 

ASR-AIF-S.217 
Fixed income: liquidity profile 

  ASR-AIF-S.218 

Infrastructure: liquidity profile 

ASR-AIF-S.219 
Other: liquidity profile 

  ASR-AIF-S.220 
  Redemption frequencies 

0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUsOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsclassifiedasOtherAIFsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.CIUs=Collectiveinvestmentundertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOther fundEU passportEU w/o passportNon-EU w/o passportNote:InvestorconcentrationofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.Datafor25EEAcountries..Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.6%25%17%66%78%78%78%78%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofcommodityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.24%59%68%76%80%85%37%83%90%94%95%96%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesofequityfundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA..37%71%78%84%86%90%40%79%85%89%92%94%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffixedincomefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.6%6%7%7%8%9%3%3%3%3%3%3%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:Portfolioandinvestorliquidityprofilesoffundsofinfrastracturefundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.38%68%76%83%87%89%44%73%77%79%82%84%100%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioNote:PortfolioandinvestorliquidityprofilesofAIFsclassifiedasOtherandpursuing"other"strategiesmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.d=Days.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOtherfundsDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

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ASR-AIF-S.221 
Redemption rights to investors 

  ASR-AIF-S.222 

Liquidity financing 

ASR-AIF-S.223 
Securities trading 

  ASR-AIF-S.224 
  Derivatives trading 

ASR-AIF-S.225 
Repo trades clearing 

  ASR-AIF-S.226 
  Derivative transactions clearing 

Leverage and exposure 

ASR-AIF-S.227 
Adjusted gross leverage 

  ASR-AIF-S.228 

Leveraged and unleveraged AIFs 

0%25%50%75%100%CommodityEquityFixedincomeInfrastructureOtherfundsOpen-endClosed-endNote:RedemptionrightsprovidedintheordinarycoursetoinvestorsinAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.100%26%100%0%48%53%100%10%100%0%25%50%75%100%1 day2-7  d8-30 d31-90 d91-180 d181-365d> 365 dCommodityEquityFixed incomeInfrastructureOtherNote:LiquidityfinancingofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,endof2018.Aggregateamountofborrowingandcashfinancingdivideddependingonlongestperiodforwhichcreditorsarecontractuallycommittedtoprovidesuchfinancing,Borrowingandcashfinancingincludedrawnandundrawn,committedanduncommittedlinesofcreditaswellasanytermfinancing.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityRegulated marketOTCNote:EstimatedmarketvalueofsecuritiestradedonOTCandregulatedexchangemarketsbyAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,in%.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%OtherInfrastructureFixed incomeEquityCommodityRegulated marketOTCNote:EstimatedvolumeofderivativestradedonOTCandregulatedexchangemarketsbyAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,in%.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other fundsFixed incomeEquityCommodityCCPTri-partyBilateralNote:EstimatedmarketvalueofrepotradesclearedbyAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,in%.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%Other fundsInfrastructureFixed incomeEquityCommodityCCPBilateralNote:EstimatedvolumeofderivativesclearedbilaterallyandviaCCPbyAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,in%.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%60%120%180%240%300%CommodityEquityFixedincomeInfra-structureOther fundsMedian adjusted gross leverageAuM/NAVNote:Adjustedgrossleverageoffundsoffundsmanagedand/ormarketedbyauthorisedEUAIFMs,endof2018,in%ofNAV.AdjustedgrossleveragecomputedastotalexposurelessIRDswithrespecttoNAV.FoF=Fundsoffunds,PE=Privateequityfund,HF=Hedgefund.Datafor25EEAcountries.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.035070010501400CommodityEquityFixedincomeInfra-structureOtherLeveraged AIFsUnleveraged AIFsNote:LeveragedandunleveragedofAIFsclassifiedasOtherandmanagedand/ormarketedbyauthorisedEUAIFMsandsub-thresholdmanagersregisteredonlyinnationaljurisdictions,endof2018,EURbn.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalComptentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

79 

ASR-AIF-S.229 
Borrowing embedded in financial instruments 

  ASR-AIF-S.230 
  Unencumbered cash 

ASR-AIF-S.231 
Financial leverage 

  ASR-AIF-S.232 
  Financial leverage composition 

ASR-AIF-S.233 
Total exposures 

  ASR-AIF-S.234 
  Decomposition of exposures 

ASR-AIF-S.235 
Cash and cash equivalents 

  ASR-AIF-S.236 
  Cash and cash equivalents in 4Q18 

0%8%16%24%CommodityEquityFixedincomeInfra-structureOtherCash and securitiesOTCExchange-tradedNote:BorrowingofcashandsecuritiesorembeddedinderivativesbyAIFsclassifiedasOther,endof2018,in%oftotalexposure.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.OTCandexchange-tradedderiativesnetofmargins.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%7%14%21%28%CommodityEquityFixedincomeInfra-structureOtherfundsUnencumbered cashNote:UnencumberedcashheldbyAIFsclassifiedasOther,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1%2%3%4%UnsecuredborrowingSecured viaPBReverserepoSecured viaotherSecuritiesborrowedfor shortingNote:CashandsecuritiesborrowedbybyAIFsclassifiedasOther,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=FundsofFunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOtherUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:SharecashandsecuritiesborrowedbyAIFsclassifiedasOther,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Sources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.01234561Q182Q183Q184Q18EquityFixed incomeInfrastructureOther fundsCommodityNote:ExposuresofAIFsclassifiedasOthermanagedand/ormarketedbyauthorisedEUAIFMs,fundsquarterlyreported,EURtn.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%CommodityEquityFixedincomeInfra-structureOtherfundsSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofexposuresbyinvestmentstrategiesofAIFsclassifiedasOther,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%3%6%9%1Q182Q183Q184Q18HundredsCertificates of depositCommercial papersOther cash equivalentOther depositsNote:CashandcashequivalentsexposurefundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.Governmentbondsexcludedfromothercashequivalents.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Certificates of deposit4%Commercial papers8%Other cash equivalent69%Other deposits19%Note:ShareofcashandcashequivalentsheldbyfundsclassifiedasOtherin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

80 

ASR-AIF-S.237 
Equities 

  ASR-AIF-S.238 
  Equities in 4Q18 

ASR-AIF-S.239 
Sovereign bonds 

  ASR-AIF-S.240 
  Sovereign bonds in 4Q18 

ASR-AIF-S.241 
Collective investment undertakings 

  ASR-AIF-S.242 
  Collective investment undertakings in 4Q18 

ASR-AIF-S.243 
Structured products 

  ASR-AIF-S.244 
  Structured products in 4Q18 

0%7%14%21%28%35%1Q182Q183Q184Q18HundredsListed financial inst.Other listedUnlistedNote:ExposuretoequityoffundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Listed financial inst.16%Other listed78%Unlisted6%Note:ShareofequitiesheldbyfundsclassifiedasOtherin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor24EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%6%12%18%24%30%1Q182Q183Q184Q18EU Sov >1Y TMEU Sov up 1Y TMG10 Sov >1Y TMG10 Sov up 1Y TMNon-G10 Sov >1Y TMNon-G10 Sov up 1Y TMNote:SovereignbondsexposureexposureofclassifiedasOther,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Sov=Sovereignbonds,TM=TimetoMaturity.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.EU Sov >1Y TM78%EU Sov up 1Y TM4%G10 Sov >1Y TM5%G10 Sov up 1Y TM2%Non-G10 Sov >1Y TM10%Non-G10 Sov up 1Y TM1%Note:ShareofsovereignbondsheldbyfundsclassifiedasOtherin4Q178AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sov=Sovereignbonds,TM=TimetoMaturity.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0%5%10%15%20%1Q182Q183Q184Q18HundredsCIUs by the AIFMCIUs by othersETF by the AIFMETF  by othersMMFs by the AIFMMMFs by othersNote:CollectiveinvestmentundertakingsexposureoffundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.CIUs by the AIFM31%CIUs by others52%ETF by the AIFM1%ETF  by others6%MMFs by the AIFM5%MMFs by others5%Note:ShareofcollectiveinvestmentundertakingsheldbyfundsclassifiedasOtherin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.CIUs=CollectiveInvestmentUndertakings.Datafor254EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA0.00%1.00%2.00%3.00%1Q182Q183Q184Q18HundredsABCPABSAgency MBSCDO/CLOCMBSETPOtherRMBSStructured certificateNote:StructuredandsecuritisedproductsexposureoffundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.ABS17%Agency MBS22%CDO/CLO14%CMBS2%ETP3%Other27%RMBS12%Structured certificate3%Note:ShareofstructuredandsecuritisedproductsheldbyfundsclassifiedasOtherin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

81 

ASR-AIF-S.245 
Corporate bond quality:  

  ASR-AIF-S.246 
  Corporate bonds in 4Q18 

0%7%14%21%28%1Q182Q183Q184Q18HundredsIG by fin. inst.IG by non-fin. inst.Non-IG by fin. inst.Non-IG by non-fin. inst.Note:CorporatebondsexposureoffundsclassifiedasOther,AIFsreportedquarterly,in%ofNAV.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.IG by fin. inst.37%Non-IG by fin. inst.4%IG by non-fin. inst.48%Non-IG by non-fin. inst.11%Note:ShareofcorporatebondsheldbyfundsclassifiedasOtherin4Q18.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

82 

Non-EU AIFs (NPPR) 

AIF characteristics 

ASR-AIF-S.247 
EU jurisdictions 

  ASR-AIF-S.248 
  Non-EU AIFs’ domicile 

ASR-AIF-S.249 
AIF distribution by size 

  ASR-AIF-S.250 

Investment strategy by NAV 

ASR-AIF-S.251 
Investment regions by NAV 

  ASR-AIF-S.252 
Investor type 

05001,0001,5002,0002,500UKLUFIIEDEBEOtherFoFHFPEREOtherNoneNote:NAVbyauthorisingEUcountryofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1300%2600%3900%05001,0001,500USKYJPVIGSYSGFoFHFPEREOtherNoneLeverage (rhs)Note:NAVbydomicileofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%<100mn100-500mn500mn-1bn1-5bn>5bnNAVNumber of AIFsNote:ShareofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD)bysize,endof2018.In%.AIFsidentifiedviainternationalstandardidentifiers(LEI,ISIN,Cusip).Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Commercial real estate4%Equity fund55%Event Driven2%Fixed income10%HF Equity Long/Short3%HF Macro1%Remaining strategies25%Note:InvestmentstrategiesofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.Asia15%EEA13%North America63%Other Europe2%Rest6%Supra National1%Note:RegionalinvestmentfocusofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.Geo-focusdeterminedaccordingtothedomicileofinvestments,supranationalcategoryincludinginvestmentswithoutpredominantgeo-focus.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%20%40%60%80%100%FoFHedge fundPrivate equityReal estateOther AIFTotal NPPRRetail investorsProfessional investorsNote:ClientsofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

83 

Liquidity and counterparty risk profile 

ASR-AIF-S.253 
Ownership of ‘other AIFs’ 

  ASR-AIF-S.254 
  Top five beneficial owners 

ASR-AIF-S.255 
Non-EU AIFs: Liquidity profile 

  ASR-AIF-S.256 
  Non-EU FoFs: Liquidity profile 

ASR-AIF-S.257 
Non-EU HFs: Liquidity profile 

  ASR-AIF-S.258 
  Non-EU PE funds: Liquidity profiles 

ASR-AIF-S.259 
Non-EU RE funds: Liquidity profiles 

  ASR-AIF-S.260 
  Non-EU AIFs classified as Other: Liquidity profile 

0%20%40%60%80%100%Other AIFReal estatePrivate equityHedge fundFoFTotalBanksGeneral gov.HouseholdsInsurancesNon-profitNoneOth. CIUOth. fin. institutionsPension fundsUnknownNote:OwnershipofunitsinAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds;Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedge fundPrivateequityReal estateOther AIFTop 5 beneficial investorsMedianAverageNote:InvestorconcentrationofEUpassportedAIFs,endof2018,in%ofNAV.InvestorconcentrationcomputedasshareofAIFequitybeneficiallyownedbythe5largestinvestors.FoF=Fundoffunds.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.73%73%80%86%88%91%100%54%55%73%80%88%90%-19%-18%-7%-6%0%-1%0%-25%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorsliquidityprofilesofAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.22%23%24%69%79%80%100%6%6%6%43%58%60%-16%-17%-18%-21%-20%0%-25%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorsliquidityprofilesoffundsoffundsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.12%12%39%61%71%82%100%49%49%75%83%94%97%37%37%36%22%23%15%0%0%25%50%75%100%1 day orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorsliquidityprofilesofhedgefundsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%0%0%0%19%100%0%14%-1%-5%0%-10%15%40%65%90%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorsliquidityprofilesofprivateequityfundsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1%1%22%26%27%100%0%0%0%18%20%20%-1%-4%-6%-7%0%-25%0%25%50%75%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:Portfolioandinvestorsliquidityprofilesofrealestatefundsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.94%94%97%98%98%99%100%91%93%96%97%97%97%-3%-1%-1%-1%-1%-2%0%-10%12%34%56%78%100%1 d orless2-7 d8-30 d31-90 d91-180 d181-365d> 365 dInvestorPortfolioLiquidity mismatchNote:PortfolioandinvestorsliquidityprofilesofAIFsclassifiedasOthermarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).Portfolioprofiledeterminedbypercentageofthefunds’portfolioscapableofbeingliquidatedwithineachspecifiedperiod,investorliquidityprofiledependsonshortestperiodwithineachfundcouldbewithdrawnorinvestorscouldreceiveredemptionpayments.d=Days.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

84 

ASR-AIF-S.261 
Redemption frequencies 

  ASR-AIF-S.262 
  Redemption rights to investors 

Leverage and exposure 

ASR-AIF-S.263 
Adjusted gross leverage 

  ASR-AIF-S.264 
  Financial leverage 

ASR-AIF-S.265 
Unencumbered cash 

  ASR-AIF-S.266 
  Decomposition of exposures 

0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneDailyWeeklyto monthlyQuarterlyQuarterlyto yearlyOtherNote:Investorredemptionfrequenciesallowedbyopen-endAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=FundofFunds,None=NoPredominantType.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneClosed-endOpen-endNote:RedemptionrightsprovidedintheordinarycoursetoinvestorsinAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).FoF=Fundoffunds,None=Nopredominanttype.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%1200%2400%3600%0%200%400%600%800%FoFHedgefundPrivateequityRealestateOtherAIFNoneAdjusted gross leverageAuM/NAV (rhs)Note:AdjustedgrossleverageofAIFsAIFsmarketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,in%ofNAV.AdjustedgrossleveragedoesnotincludeIRDs.FoF=Fundoffunds,None=Nopredominanttype.Sources:AIFMDdatabase,Nationalcompetentauthorities,ESMA.0%40%80%120%160%FoFHedge fundPrivateequityReal estateOther AIFUnsecured borrowingSecured via PBReverse repoSecured via otherShort position borrowing sec.Note:Cashandsecuritiesborrowed,endof2018,in%ofNAV.marketedbynon-EUAIFMsw/opassportingrights(art.42ofAIFMD),endof2018,inEURbn.AIFsidentifiedviainternationalstandardidentifiers(LEIs,ISIN,Cusip).inEURbn.FoF=FundsofFunds,None=NopredominanttypeSources:AIFMDdatabse,NationalCompetentAuthorities,ESMA.0%8%16%24%32%40%FoFHedge fundPrivateequityReal estateOther AIFUnencumbered cashNote:Unencumberedcash,endof2018,in%ofNAV.EUandnon-EUAIFsbyauthorisedEUAIFMsmarketed,respectively,w/andw/opassport.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA.0%25%50%75%100%FoFHedgefundPrivateequityRealestateOther AIFNoneSecuritiesCIUsPhysical assetsIRDsFXCDSOther derivativesNote:ShareofgrossexposuresbyAIFtype,endof2018,in%oftotal.AIFsmanagedand/ormarketedbyauthorisedEUAIFMs.FoF=Fundoffunds,None=Nopredominanttype.Datafor25EEAcountries.Sources:AIFMDdatabase,NationalCompetentAuthorities,ESMA. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

85 

Annex 

 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

86 

Data inventory 

Indicator 

Description and reporting guidelines 

Reporting 
content 

Reporting 
items 

Technical 
guidance 

Data availability 

Investment 
regions 

Top five 
beneficial  
owners 

Clients 

Geographical breakdown of the 
investments held by the AIF by 
percentage of the total NAV of the AIF. 
See: ESMA guidelines, point 83; Q&As 
Section III, 4 and 73. 

NAV held by the five beneficial owners 
that have the largest equity interests in 
the AIF.  
See: ESMA guidelines, point 100. 
Note: 11% of AIFs (sold mostly to retail 
investors), report 0. 

Investor concentration for retail and 
professional investors.  
See: ESMA guidelines, point 101; Q&As 
Section III, 80. 

3(3)(d)- and 
24(1) 

78-85 

Mandatory 
(all AIFs) 

3(3)(d) and 
24(1) 

118 

Mandatory 
(all AIFs) 

3(3)(d) and 
24(1) 

119-120 

Mandatory 
(all AIFs) 

Ownership 

Ownership of units in the AIF beneficially 
owned by investor type. 
See: ESMA guidelines, point 123 and 
Annex II. 

24(2) 

208-209 

Mandatory 
(all AIFs) 

Redemption 
rights 

AIF investors provided with withdrawal / 
redemption rights in the ordinary course 

24(2) 

193 

Redemption  
frequencies 

Frequency of investor redemptions. In 
case of multiple classes of shares or 
units, the largest share class by NAV shall 
be considered. 
See: ESMA guidelines, point 121 and 
Annex II. 

24(2) 

194 

Liquidity profile – 
Portfolio 

Portfolio liquidity profile. 
See: ESMA guidelines, points 118-120; 
Q&As Section III, 10, 11, 42 and 78. 

24(2) 

178-184,  
186-192 

Liquidity profile –  
Investor 

Investor liquidity profiles. 
See: ESMA guidelines, points 118-120; 
Q&As Section III, 10, 11, 42 and 78. 

24(2) 

178-184,  
186-192 

Liquidity 
financing 

Total financing amount by the longest 
period during which the creditor is 
contractually committed to providing such 
financing. 
See: Q&As Section III, 2, 67 

24(2) 

211-217 

Unencumbered 
cash 

 Value of unencumbered cash. 

24(2) 

185 

Optional 
(AIFs must 
report if true) 

Optional 
(AIFs must 
report if 
information is 
available) 

Mandatory 
(all AIFs 
reporting 
under 
Article 24(2)) 

Mandatory 
(all AIFs 
reporting 
under 
Article 24(2)) 

Optional 
(AIFs must 
report if 
information is 
available) 

Optional 
(AIFs must 
report if 
information is 
available) 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

Total  
FoF 
HF 
PE 
RE 
OTH 

100% 
100% 
100% 
100% 
100% 
100% 

100% 
100% 
100% 
100% 
100% 
100% 

98% 
97% 
98% 
99% 
99% 
98% 

98% 
99% 
99% 
93% 
99% 
99% 

88% 
87% 
93% 
84% 
84% 
89% 

96% 
97% 
99% 
96% 
97% 
95% 

90% 
94% 
94% 
82% 
88% 
93% 

86% 
91% 
92% 
67% 
80% 
92% 

28% 
22% 
33% 
35% 
41% 
27% 

91% 
95% 
94% 
71% 
88% 
93% 

24(2) 

148-149 

Total EU 

53% 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

87 

Securities 
trading 

Estimated % in terms of market value of 
securities traded on regulated exchange 
and OTC markets.  
See: Q&As Section III, 8 and 27. 

Derivatives 
trading 

Estimated % in terms of trade volumes of 
derivatives that are traded on regulated 
exchange and OTC markets. 
See: Q&As Section III, 9. 

24(2) 

150-151 

Derivatives 
clearing 

Estimated % in terms of trade volumes of 
derivatives transactions that are cleared 
by a CCP and bilaterally. 
See: ESMA guidelines, point 112; Q&As 
Section III, 22. 

24(2) 

152-153 

Repo clearing 

Estimated % in terms of market value of 
repo trades that are cleared by a CCP, 
bilaterally and via tri-party repo. 
See: ESMA guidelines point 113; Q&As 
Section III, 23. 

24(2) 

154-156 

Financial 
leverage 

Leverage created by direct borrowing of 
money or securities from counterparties. 
See: ESMA guidelines, point 124; Q&As 
Section III, 34, 44 and 69. 

24(2) and 
24(4) 

283-286, 
289 

Optional 
(AIFs must 
report if 
information is 
available) 

Optional 
(AIFs must 
report if 
information is 
available) 

Optional 
(AIFs must 
report if 
information is 
available) 

Optional 
(AIFs must 
report if 
information is 
available) 

Optional 
(AIFs must 
report if 
information is 
available) 

FoF 
HF 
PE 
RE 
OTH 

Total EU 
FoF 
HF 
PE 
RE 
OTH 

Total EU 
FoF 
HF 
PE 
RE 
OTH 

Total EU 
FoF 
HF 
PE 
RE 
OTH 

Total EU 
FoF 
HF 
PE 
RE 
OTH 

39% 
71% 
36% 
17% 
68% 

32% 
34% 
57% 
9% 
11% 
45% 

25% 
19% 
50% 
4% 
2% 
32% 

6% 
2% 
9% 
<1% 
2% 
9% 

44% 
45% 
54% 
21% 
38% 
48% 

Note: Main indicators and reporting template items analysed in the report. Relative coverage defined as the ratio of the total number of AIFs reporting 
it to the number of AIFs expected to report it. Optional items filled only when information is applicable. 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

88 

Glossary 

Alternative  Investment  Fund  (AIF):  An  AIF  is  a  collective  investment  undertaking,  including 
investment compartments of such an undertaking, that raises capital to invest it in accordance with a 
defined  investment  policy  for  the  benefit  of  investors.  An  AIF  does  not  include  an  undertaking  that 
requires authorisation under the UCITS directive. 

Alternative  Investment  Fund  Manager  (AIFM):  An  AIFM  is  an  entity  that  provides  portfolio-
management and risk-management services to one or more AIFs as its regular business, irrespective 
of where the AIFs are located or what legal form the AIFM takes. 

AIFMD passport: The AIFMD passport allows AIFMs to manage or market AIFs across the EU, on the 
basis of a single authorisation in one EU Member State. Currently, only EU-authorised AIFMs managing 
or marketing EU-domiciled AIFs have access to the passport. 

Assets under management (AuM): Under the AIFMD, AuM are defined as the value of all assets in a 
portfolio, including all assets acquired through the use of leverage (borrowing of cash or securities and 
leverage embedded in derivative positions). This concept of AuM is different from the industry approach 
to AuM, which typically relates to the assets of the balance sheet of the AIF. 

Authorised  Alternative Investment  Fund Manager  (AIFM): Authorised AIFMs  are subject to more 
stringent requirements than registered AIFMs and can manage or market their AIFs across the EU. 

Commitment  leverage:  Ratio  of  exposures  to  the  NAV,  where  exposures  are  computed  using  the 
commitment approach, which takes into account netting and hedging, and adjusts IRDs by duration. 

Financial  leverage:  The  ratio  of  total  assets  to  equity  (NAV  for  funds),  also  called  balance-sheet 
leverage. Financial leverage involves outright borrowing and is defined as the ratio of  total assets to 
equity (or NAV for funds), in percentage. It can be measured by aggregating unsecured cash borrowing, 
the value  of securities borrowed for short positions, collateralised/secured cash  borrowing via prime 
broker, reverse repo or by other means. 

Gross exposure: The absolute sum of all portfolio’s positions, long and short. It includes gross notional 
value  for  derivatives.  This  measure  provides  a  complete  appreciation  of  all  the  leverage  that  is 
employed by a fund to gain market exposure. 

Gross leverage: Leverage computed under the gross method, as indicated in Commission Delegated 
Regulation  (EU)  No 231/2013.  It  is  expressed  as  the  proportion  of  total  gross  exposure  to  NAV,  in 
percentage. Under the gross method, exposures are calculated as the absolute value of all positions in 
the portfolio by including all assets and liabilities, relevant borrowings, derivatives (converted into their 
equivalent  underlying  positions)  and  all  other  positions,  even  those  held  purely  for  risk-reduction 
purposes. Cash held in the base currency of the AIF is excluded. 

Interest  rate  derivatives  (IRDs):  Under  the  AIFMD  reporting  requirements,  IRDs  exposures  are 
reported  as  the  total  gross  notional  value  of  the  AIF’s  outstanding  IRD  contracts,  including  the  total 
notional value of futures and the delta-adjusted notional value of options. For the purpose of computing 
the commitment leverage, IRDs are adjusted for duration. 

Leverage: Ratio of fund market exposures to NAV. Market exposures can be defined according to a 
variety of approaches, including the gross approach and the commitment approach. 

Liquidity management tools (LMTs): Provisions and techniques established by a fund manager as 
part  of  the  share  redemption  policy  for  its  funds.  LMTs  are  generally  communicated  upfront  in  fund 
disclosure documents. 

Net asset value (NAV): The net value of the  assets of the  AIF (as opposed to  the NAV  per unit or 
proportion of the AIF). 

Registered  Alternative  Investment  Fund  Manager:  Registered  AIFMs  are  subject  to  lighter 
requirements than authorised AIFMs and do not have access to the AIFMD passport. 

 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

89 

List of abbreviations 

AIF 
AIFM 
AIFMD 
AuM 
CIU 
CLO 
CRE 
CTA 
ECB 
EEA 
EFAMA 
ESCB 
ESMA 
ETF 
FoF 
HF 
IOSCO 
IRD 
ISIN 
LEI 
LMT 
MMF 
NAV 
NCA 
NPPR 
PE 
pp 
QIF 
RE 
SEC 
UCITS 

Alternative Investment Fund 
Alternative Investment Fund Manager 
Alternative Investment Fund Manager Directive 
Assets under Management 
Collective Investment Undertakings 
Collateralised Loan Obligation 
Commercial Real Estate 
Commodity Trading Advisor 
European Central Bank 
European Economic Area 
European Fund and Asset Management Association 
European System of Central Banks 
European Securities and Markets Authority 
exchange-traded fund 
Fund of Funds 
Hedge Funds 
International Organization of Securities Commissions 
Interest rate derivative 
International Securities Identification Number 
Legal Entity Identifier 
liquidity management tools 
Money Market Fund 
net asset value 
National Competent Authority 
national private placement regime 
Private Equity 
percentage point 
qualifying investor fund 
Real Estate 
Securities and Exchange Commission 
Undertakings for the Collective Investment in Transferable Securities 

 
 
 
 
 
 
 
 
ESMA Annual Statistical Report on EU Alternative Investment Funds    2020 

90 

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