2015年-FCA英国金融行为监管局_hedge_fund_survey_34页_945kb

Hedge Fund Survey Summary (June 2015)

Core Content

The Hedge Fund Survey conducted by the Financial Conduct Authority (FCA) in June 2015 provides an overview of the hedge fund industry in the UK, highlighting key trends, risk profiles, and regulatory considerations. The survey data was collected from 52 firms managing a total of USD 623 billion of global hedge fund assets, with USD 418.6 billion captured in the fund-level data. None of the funds surveyed were domiciled in the UK, but they managed USD 265 billion of assets from the UK. The survey covers 132 qualifying funds, representing approximately 13% of the estimated global hedge fund assets under management (AUM).

The survey focuses on portfolio characteristics, leverage usage, trading activity, and regulatory implications, with an emphasis on systemic risk identification and mitigation. The FCA collaborates with the Financial Policy Committee (FPC), the Financial Stability Board (FSB), and the International Organisation of Securities Commissions (IOSCO) to monitor and manage these risks.

Main Points and Key Information

1. Risk Identification and Mitigation

• Hedge funds generally fail without significant systemic impact, but very large funds can pose a risk if they fail in a disorderly manner.
• Risks arise from two channels: the credit channel (losses to counterparties) and the market channel (disruption from liquidation or collateral selling).
• Derivatives are the primary source of leverage, with interest rate derivatives (IRDs) and foreign exchange (FX) derivatives being the most significant.
• Financial leverage is less common, with only 20% of funds using it at all. Most financial borrowing is secured and collateralised, and unsecured borrowing is minimal (around 8%).
• VaR is the most commonly used risk metric, with 67% of funds reporting it. Funds with Macro and Managed Futures strategies tend to have the highest VaR values.
• Funds maintain liquid portfolios and offer terms of redemption that allow for orderly liquidation. 88% of funds have gating and suspension tools to prevent forced selling in stressed conditions, especially in less liquid asset classes.

2. Market Activity and Trading

• Turnover is dominated by the largest funds, with 20% of funds generating over USD 1 trillion in annual turnover.
• Long/short equity and multi-strategy funds account for 40% of the total number of funds in the sample.
• Derivatives make up 48% of the aggregate turnover, with IRDs being the largest contributor. FX derivatives also saw increased activity since March 2014.
• OTC trading remains prevalent, with 63% of derivative trades occurring off-exchange. However, central counterparty (CCP) clearing is increasing, especially among large funds, with 69% of OTC derivative trades being centrally cleared.
• High frequency trading (HFT) is rare, with only one fund reporting its use.

3. Portfolio Characteristics and Leverage Trends

• Gross Notional Exposure (GNE) is used to measure the economic exposure of funds, which is typically larger than the fund’s NAV.
• Leverage is highly concentrated, with the top 10 funds accounting for 63% of the total gross leverage in the sample.
• Median gross leverage has slightly declined to 3.9% of NAV, but the mean is skewed by a few large funds (especially Macro funds) using high levels of leverage.
• Equity Hedge and Multi-Strategy funds are the most leveraged, with interest rate derivatives being the primary source of synthetic leverage.

4. Regulatory and International Cooperation

• The FCA collaborates with the FPC, FSB, and IOSCO to monitor systemic risks and promote regulatory alignment.
• The Financial Stability Board (FSB) is working on a global framework for assessing hedge fund activities, particularly in the shadow banking sector.
• The International Organisation of Securities Commissions (IOSCO) is compiling a similar global survey, expected to be published in the second half of 2015.

5. Industry Concentration and Domicile

• The industry remains highly concentrated, with the top 10 firms controlling 38% of the sample’s NAV and 83% of the GNE.
• Domicile is mostly offshore, with the Cayman Islands being the largest hub.
• Institutional investors (e.g., pension funds and endowments) are the largest source of new money, while funds of funds have decreased in relative terms.

6. Investor Profile and Ownership

• High net worth (HNW) individuals and family offices now own only 13% of hedge fund assets.
• Institutional investors dominate the ownership structure, representing the largest portion of new capital inflows.

Conclusion

The survey underscores the complexity and concentration of the UK hedge fund industry, highlighting the systemic risks associated with large, leveraged funds. It also notes the increasing trend towards central clearing and derivative-based leverage, as well as the regulatory efforts to monitor and manage these risks. Despite the high leverage, the majority of funds maintain liquid portfolios and have risk management frameworks in place. The FCA continues to work closely with international regulators to enhance data collection and risk assessment in the alternative investment sector.