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The AIFM Directive was adopted in June 2011 and provides a harmonised supervisory framework for all managers throughout the European Union, as well as enhancing their transparency, securing the investments as well as supervising and limiting systemic risks. The reporting requirements in the Directive are central to risk monitoring and supervision of AIFs. The managers must disclose detailed information to the national authorities on their investments and investors, notably their principal exposures, their liquidity risk and the liquidity management tools employed, or their level of leverage.
The AMF study was conducted on the basis of AIFM reporting through to the end of 2017 and other data at the disposal of the regulator, and it notes the following trends:
hedge funds represent a small proportion of the AIFs subject to reporting in France (0.6% of total net assets). Most of the AIFs have similar characteristics to those of more traditional, lower-risk funds: 59% of total net assets are made up of equity, bond or diversified funds;
the portfolios are sufficiently liquid to cope with investor redemption frequencies in normal market conditions. With the exception of real estate and private equity funds, whose assets are held on a long-term basis, the AIFs can liquidate the majority of their assets within one day or less;
leverage levels are in line with the investment strategies employed, on the whole;
exposures are consistent with the strategies of the AIFs: for real estate funds, 71% of their exposure is to physical assets, for private equity funds 85% to securities, for funds of funds 58% to collective investment undertakings, and “other” strategy funds 60% to Securities.
Aside from these trends, the study shows the limits of the reporting based on the Directive. Concerning the types of AIFs, it would appear that the majority of funds do not recognise themselves among the principal strategies proposed by the reporting, which prevents the funds being classified correctly. AIFM reporting is also based largely on variables that are optional, making their statistical processing difficult. The amount of data collected and work required to enhance its quality highlight the room for improvement that exists in the use of this reporting. Future editions of this panorama may therefore include more risk indicators or supervision tools, better data coverage or possible revisions.