# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A0c4d0decee84c4be ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Fund Statistics Third Calendar Quarter 2024 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. Analytics Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected from Form PF and Form ADV filings received through March 21, 2025.1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. Masked data in this report is denoted by “***”. Please see the Division of Investment Management’s “Investment Adviser Statistics” report on SEC.gov for information and statistics relating to advisers not presented in this report. For complementary aggregate information based upon Form PF data, see the Federal Reserve’s Financial Accounts of the United States. Please see the Appendix to this report for definitions of capitalized terms, other technical descriptions, and significant changes to Form PF over time. This report reflects data from Third Calendar Quarter 2022 through Third Calendar Quarter 2024 as reported by Form PF filers.2 Please see the Appendix for further information on the categories of Form PF filers, including Qualifying Hedge Funds, Section 3 Liquidity Funds, Section 4 Private Equity Funds, as well as the definitions of capitalized terms and other technical descriptions. Commission Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Commission Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, Commission Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about Third Calendar Quarter 2024 Private Fund Statistics, please contact: IM-Analytics (IM-Analytics@sec.gov) with subject line “Third Calendar Quarter 2024-Private Fund Statistics”. 1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers (RIAs) with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. 1 Contents 1 Number of Funds and Advisers 3 2 Aggregate Fund Assets 4 3 Fund Domiciles and Adviser Main Offices 13 4 Beneficial Ownership of Funds 14 5 Fund Investments in Derivatives 19 6 Additional Hedge Fund Industry Information 21 7 Information Reported by Large Hedge Fund Advisers 27 8 Qualifying Hedge Fund Specific Information 34 9 Section 3 Liquidity Fund Specific Information 55 10 Section 4 Private Equity Fund Specific Information 59 11 Appendices 63 2 Analytics Office 1 Number of Funds and Advisers3 Table 1.1: Number of Funds Fund Type Private Equity Fund Hedge Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Liquidity Fund Total 2022Q3 19,078 9,795 6,287 3,790 2,290 2,257 78 43,575 2022Q4 20,949 9,803 6,767 4,273 2,990 2,461 71 47,314 2023Q1 20,969 9,862 6,906 4,274 2,993 2,470 70 47,544 2023Q2 20,982 9,861 6,864 4,276 3,002 2,474 69 47,528 2023Q3 20,990 9,962 6,836 4,265 2,998 2,479 68 47,598 2023Q4 23,096 9,675 7,134 4,254 3,252 2,702 72 50,185 2024Q1 23,149 9,781 7,134 4,270 3,254 2,731 73 50,392 2024Q2 23,118 9,850 7,160 4,266 3,254 2,736 75 50,459 2024Q3 23,203 9,919 7,172 4,249 3,258 2,735 76 50,612 Table 1.2: Number of Funds Reported by Large Filers Fund Type Section 4 Private Equity Fund Qualifying Hedge Fund Section 3 Liquidity Fund 2022Q3 6,658 2,041 51 2022Q4 7,506 2,075 50 2023Q1 7,416 2,047 50 2023Q2 7,499 2,091 50 2023Q3 7,498 2,101 50 2023Q4 8,573 2,107 51 2024Q1 8,575 2,087 48 2024Q2 8,545 1,998 51 2024Q3 8,547 2,050 51 Table 1.3: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2022Q3 1,648 1,866 438 735 432 241 173 584 39 21 3,686 2022Q4 1,763 1,862 455 763 460 284 178 593 34 21 3,808 2023Q1 1,765 1,863 453 766 460 286 176 576 33 21 3,812 2023Q2 1,765 1,862 455 769 461 287 175 591 33 21 3,812 2023Q3 1,766 1,863 454 769 461 285 174 590 33 21 3,811 2023Q4 1,862 1,853 487 784 466 317 176 595 37 22 3,927 2024Q1 1,859 1,855 489 780 467 318 176 592 37 19 3,928 2024Q2 1,858 1,852 487 783 464 318 177 593 38 21 3,927 2024Q3 1,855 1,858 488 785 462 321 175 605 39 21 3,930 Table 1.4: Numbers of Advisers Reporting Private Funds, Bucketed by Number of Private Funds Reported In this table, advisers are counted for three quarters following each quarter they report a private fund. See the appendix for a review of interval notation used here. Private Funds Reported Fewer than 5 [5,10) [10,25) [25,100) 100 or more Total 2022Q3 1,710 869 733 330 44 3,686 2022Q4 1,736 870 776 381 45 3,808 2023Q1 1,735 873 776 382 46 3,812 2023Q2 1,736 870 777 384 45 3,812 2023Q3 1,732 872 777 384 46 3,811 2023Q4 1,748 901 820 406 52 3,927 2024Q1 1,754 899 815 409 51 3,928 2024Q2 1,754 894 819 408 52 3,927 2024Q3 1,758 899 815 406 52 3,930 3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that file a Form PF to report private funds. Please see the Form PF Glossary of Terms and Appendix 11.5 for definitions of other capitalized terms used in this report. 3 Analytics Office 2 Aggregate Fund Assets 2.1 Aggregate Assets by Fund Type over Time Table 2.1: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. Fund Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Total 2022Q3 9,279 6,410 1,716 976 869 334 335 19,918 2022Q4 9,360 6,714 1,646 1,140 923 375 321 20,480 2023Q1 9,501 6,650 1,605 1,139 925 374 320 20,513 2023Q2 9,895 6,661 1,577 1,138 923 374 332 20,900 2023Q3 10,211 6,668 1,569 1,129 924 374 361 21,236 2023Q4 10,756 7,410 1,732 1,078 1,024 400 361 22,761 2024Q1 11,113 7,425 1,735 1,081 1,031 400 339 23,125 2024Q2 11,338 7,416 1,743 1,078 1,031 400 352 23,357 2024Q3 12,230 7,410 1,753 1,070 1,027 400 379 24,269 Table 2.2: Aggregate Private Fund GAV Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 8. Fund Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2022Q3 7,698 4,956 331 2022Q4 7,827 5,280 319 2023Q1 7,998 5,223 319 2023Q2 8,432 5,235 330 2023Q3 8,755 5,235 359 2023Q4 9,208 5,871 359 2024Q1 9,434 5,875 333 2024Q2 9,573 5,873 349 2024Q3 10,364 5,877 375 Table 2.3: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. Fund Type Private Equity Fund Hedge Fund Other Private Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2022Q3 5,749 4,851 1,534 751 314 331 264 13,794 2022Q4 6,031 4,817 1,417 859 342 318 264 14,049 2023Q1 5,974 4,858 1,373 859 341 313 265 13,983 2023Q2 5,984 4,912 1,346 859 341 319 265 14,027 2023Q3 5,993 4,931 1,339 850 341 346 264 14,065 2023Q4 6,739 4,993 1,542 822 375 352 284 15,106 2024Q1 6,753 5,213 1,541 826 375 331 288 15,327 2024Q2 6,745 5,215 1,552 823 374 342 288 15,340 2024Q3 6,738 5,385 1,560 818 375 368 288 15,531 Table 2.4: Aggregate Private Fund NAV Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 9. Fund Type Section 4 Private Equity Fund Qualifying Hedge Fund Section 3 Liquidity Fund 2022Q3 4,489 3,766 327 2022Q4 4,780 3,791 316 2023Q1 4,727 3,878 311 4 2023Q2 4,738 3,935 317 2023Q3 4,738 3,963 345 2023Q4 5,382 3,964 350 2024Q1 5,386 4,101 325 2024Q2 5,385 4,096 340 2024Q3 5,389 4,260 364 Analytics Office 2.2 Distribution of Assets by Fund Type over Time Table 2.5: Qualifying Hedge Fund GAV and NAV Distribution ($ Billions) As reported on Form PF, Questions 8 and 9. Asset Type GAV NAV Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2022Q3 0.2 0.6 1.2 2.8 6.3 3.8 0.1 0.5 0.9 1.8 3.9 1.8 2022Q4 0.2 0.6 1.2 2.6 6.1 3.8 0.1 0.5 0.9 1.8 3.9 1.8 2023Q1 0.2 0.6 1.3 2.8 6.4 3.9 0.1 0.5 0.9 1.9 4.0 1.9 2023Q2 0.2 0.6 1.3 2.8 6.5 4.0 0.2 0.5 0.9 1.9 4.0 1.9 2023Q3 0.2 0.6 1.2 2.8 6.5 4.2 0.2 0.5 0.9 1.9 4.0 1.9 2023Q4 0.2 0.6 1.3 2.8 6.6 4.4 0.2 0.5 0.9 1.8 4.0 1.9 2024Q1 0.2 0.6 1.3 2.9 6.9 4.5 0.2 0.6 1.0 1.9 4.2 2.0 2024Q2 0.3 0.7 1.4 3.0 7.2 4.8 0.3 0.6 1.0 2.0 4.3 2.1 2024Q3 0.3 0.7 1.4 3.1 7.5 5.1 0.3 0.6 1.0 2.0 4.4 2.1 Table 2.6: Section 4 Private Equity Fund GAV and NAV Distribution ($ Billions) As reported on Form PF, Questions 8 and 9. Asset Type GAV NAV Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2022Q3 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 2022Q4 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q1 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q2 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 5 2023Q3 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q4 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2024Q1 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2024Q2 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2024Q3 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 Analytics Office Table 2.7: Aggregate Net Assets of Private Funds by GAV to NAV Ratio ($ Billions) As reported on Form PF, Questions 8, 9, and 10. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio [1,2) [2,5) [5,10) 10 or more [1,2) [2,5) [5,10) 10 or more 2022Q3 12,635 711 235 106 2,995 488 201 69 2022Q4 12,907 674 249 105 3,051 434 215 70 2023Q1 12,798 695 272 108 3,098 449 239 73 2023Q2 12,810 747 236 122 3,108 517 209 88 2023Q3 12,862 699 245 146 3,151 468 217 112 2023Q4 13,801 742 232 174 3,106 512 194 133 2024Q1 14,017 714 252 188 3,252 479 213 146 2024Q2 14,012 759 207 213 3,230 518 168 169 2024Q3 14,131 776 244 225 3,332 537 206 171 Table 2.8: Number of Private Funds by GAV to NAV Ratio As reported on Form PF, Questions 8, 9, and 10. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio [1,2) [2,5) [5,10) 10 or more [1,2) [2,5) [5,10) 10 or more 2022Q3 33,641 1,866 494 1,385 1,687 261 43 24 2022Q4 36,806 2,019 495 1,577 1,717 258 47 22 2023Q1 36,978 2,031 504 1,573 1,699 238 54 24 6 2023Q2 37,084 2,051 493 1,576 1,729 274 45 26 2023Q3 37,095 2,006 499 1,585 1,764 244 41 34 2023Q4 39,541 2,020 561 1,609 1,755 246 42 32 2024Q1 39,672 2,028 568 1,620 1,753 236 45 36 2024Q2 39,689 2,053 579 1,627 1,655 239 46 39 2024Q3 39,654 2,094 587 1,638 1,682 259 47 44 Analytics Office 2.3 Fund Borrowings Table 2.9: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Qualifying Hedge Fund Securitized Asset Fund Hedge Fund Real Estate Fund Other Private Fund Section 4 Private Equity Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2022Q3 43.5 49.4 40.0 12.5 3.7 5.4 5.5 0.7 0.0 0.0 2022Q4 44.8 56.5 41.1 14.0 5.6 5.7 5.7 0.6 0.0 0.0 2023Q1 47.3 53.6 43.5 13.2 5.8 5.8 5.6 0.6 0.0 0.0 2023Q2 48.5 53.6 44.5 13.2 5.9 5.8 5.6 0.6 0.0 0.0 2023Q3 48.3 53.3 44.5 13.6 5.9 5.8 5.5 0.6 0.0 0.0 2023Q4 50.7 56.6 46.5 14.8 5.2 5.0 4.9 0.6 0.0 0.0 2024Q1 52.6 53.4 47.8 14.0 5.2 5.0 4.8 0.6 0.0 0.0 2024Q2 53.5 53.3 48.7 14.0 5.2 5.0 4.8 0.6 0.0 0.0 2024Q3 56.3 52.9 51.6 14.3 5.2 5.0 4.8 0.6 0.0 0.0 Table 2.10: Distribution of Fund Borrowing ($ Billions) As reported on Form PF, Questions 12 and 43 (Third Month). Funds with no borrowing were removed from this analysis. Fund Type All Private Funds Qualifying Hedge Funds Statistic Median 75th Percentile 90th Percentile 95th Percentile Mean Median 75th Percentile 90th Percentile 95th Percentile Mean 2022Q3 0.0 0.3 0.6 1.1 0.5 0.3 1.0 3.4 8.5 2.6 2022Q4 0.0 0.3 0.6 1.0 0.5 0.3 1.0 3.3 8.7 2.7 2023Q1 0.0 0.3 0.6 1.0 0.5 0.3 1.1 3.5 10.3 3.0 7 2023Q2 0.0 0.3 0.6 1.1 0.6 0.3 1.1 3.8 10.5 3.2 2023Q3 0.0 0.3 0.6 1.1 0.6 0.3 1.2 3.7 10.0 3.3 2023Q4 0.0 0.3 0.6 1.0 0.6 0.3 1.1 3.9 11.4 3.7 2024Q1 0.0 0.3 0.6 1.1 0.6 0.3 1.3 4.4 12.4 3.9 2024Q2 0.0 0.3 0.6 1.1 0.6 0.3 1.3 4.7 12.8 4.0 2024Q3 0.0 0.3 0.6 1.2 0.7 0.3 1.4 4.9 14.6 4.5 Analytics Office Table 2.11: Aggregate Net Assets of Private Funds by Borrowing to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,4) [4,9) 9 or more 0 (0,1) [1,4) [4,9) 9 or more 2022Q3 6,827 6,131 642 107 87 865 2,214 532 100 56 2022Q4 6,841 6,322 660 127 99 882 2,208 511 119 72 2023Q1 6,816 6,243 652 160 112 948 2,197 497 151 86 2023Q2 6,859 6,212 688 161 107 996 2,158 546 151 85 2023Q3 6,823 6,260 700 173 110 949 2,206 557 163 88 2023Q4 7,617 6,529 657 160 143 975 2,215 512 145 117 2024Q1 7,704 6,618 673 190 143 1,003 2,276 529 178 115 2024Q2 7,730 6,571 731 155 153 1,014 2,237 578 141 125 2024Q3 7,793 6,675 688 198 176 1,053 2,343 539 185 140 Table 2.12: Number of Private Funds by Borrowing to NAV Ratio As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,4) [4,9) 9 or more 0 (0,1) [1,4) [4,9) 9 or more 2022Q3 28,912 7,133 1,078 126 2,707 747 1,013 234 17 30 2022Q4 31,485 7,695 1,176 150 3,054 774 1,008 238 21 34 2023Q1 31,769 7,623 1,154 161 3,053 772 997 221 30 27 2023Q2 31,869 7,597 1,177 161 3,059 801 991 247 27 25 2023Q3 31,923 7,646 1,146 154 3,067 802 1,012 233 27 27 2023Q4 34,275 7,911 1,146 233 3,050 814 1,008 220 24 41 2024Q1 34,533 7,853 1,145 208 3,039 808 993 224 25 37 2024Q2 34,460 7,840 1,182 214 3,129 728 984 224 27 35 2024Q3 34,630 7,835 1,190 223 3,048 756 995 225 33 41 Table 2.13: Aggregate Borrowing by Creditor Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2022Q3 67.7 28.8 3.3 1.0 2022Q4 66.5 29.4 3.3 0.9 2023Q1 66.4 30.5 3.1 0.8 2023Q2 66.3 30.9 3.0 0.7 8 2023Q3 65.3 31.9 2.8 0.7 2023Q4 64.0 33.0 2.7 0.4 2024Q1 67.3 30.3 2.7 0.4 2024Q2 67.2 30.5 2.7 0.4 2024Q3 64.2 33.7 2.5 0.4 Analytics Office 2.4 Fair Value Hierarchy4 Table 2.14: Private Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 4,564 3,798 6,809 2,871 2022Q4 4,155 3,597 7,569 3,080 2023Q1 4,089 3,563 7,476 3,060 2023Q2 4,067 3,515 7,481 3,057 2023Q3 4,062 3,518 7,469 3,064 2023Q4 4,859 3,890 8,321 3,608 2024Q1 4,885 3,909 8,352 3,602 2024Q2 4,890 3,913 8,361 3,598 2024Q3 4,909 3,934 8,363 3,616 Table 2.15: Private Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 1,692 1,328 342 2,279 2022Q4 1,584 1,494 377 2,584 2023Q1 1,590 1,473 377 2,579 2023Q2 1,591 1,439 391 2,579 2023Q3 1,594 1,446 381 2,573 2023Q4 1,870 1,578 410 3,761 2024Q1 1,872 1,687 416 3,763 2024Q2 1,874 1,670 415 3,773 2024Q3 1,878 1,743 410 3,782 Table 2.16: Hedge Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 3,518 2,343 1,463 1,801 2022Q4 3,212 2,250 1,603 1,955 2023Q1 3,154 2,214 1,601 1,924 2023Q2 3,153 2,177 1,606 1,916 2023Q3 3,149 2,184 1,598 1,914 2023Q4 3,936 2,481 1,734 2,413 2024Q1 3,962 2,501 1,739 2,424 2024Q2 3,965 2,510 1,746 2,416 2024Q3 3,985 2,525 1,756 2,431 Table 2.17: Hedge Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 1,644 1,212 93 1,395 2022Q4 1,538 1,349 97 1,621 2023Q1 1,544 1,329 97 1,617 2023Q2 1,544 1,295 111 1,617 2023Q3 1,547 1,303 100 1,613 2023Q4 1,825 1,427 105 2,764 2024Q1 1,828 1,535 107 2,764 2024Q2 1,830 1,519 106 2,776 2024Q3 1,834 1,591 101 2,786 4 Contributions to the “cost-based” rows include investments in other funds and cash. For related guidance, see Form PF frequently asked questions here. 9 Analytics Office Table 2.18: Qualifying Hedge Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 3,107 2,079 1,188 1,548 2022Q4 2,850 2,007 1,319 1,651 2023Q1 2,793 1,972 1,323 1,631 2023Q2 2,796 1,956 1,328 1,624 2023Q3 2,785 1,951 1,321 1,610 2023Q4 3,507 2,223 1,414 2,095 2024Q1 3,529 2,208 1,419 2,103 2024Q2 3,530 2,209 1,427 2,099 2024Q3 3,553 2,229 1,436 2,106 Table 2.19: Qualifying Hedge Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 1,532 1,127 84 1,237 2022Q4 1,424 1,274 88 1,456 2023Q1 1,427 1,263 89 1,450 2023Q2 1,428 1,248 100 1,452 2023Q3 1,422 1,248 89 1,446 2023Q4 1,673 1,370 96 2,560 2024Q1 1,678 1,443 98 2,558 2024Q2 1,680 1,425 97 2,565 2024Q3 1,685 1,488 92 2,571 Table 2.20: Private Equity Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 368 259 3,977 556 2022Q4 204 153 4,358 549 2023Q1 201 152 4,298 561 2023Q2 201 152 4,298 563 2023Q3 202 152 4,298 570 2023Q4 217 157 4,908 597 2024Q1 217 157 4,930 579 2024Q2 218 157 4,923 578 2024Q3 215 156 4,925 580 Table 2.21: Private Equity Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 15 25 27 316 2022Q4 13 20 21 342 2023Q1 14 20 21 340 2023Q2 14 20 21 341 10 2023Q3 14 20 21 339 2023Q4 14 22 20 335 2024Q1 13 22 20 336 2024Q2 13 22 20 335 2024Q3 13 22 20 333 Analytics Office Table 2.22: Section 4 Private Equity Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 320 182 3,138 360 2022Q4 171 121 3,506 358 2023Q1 170 121 3,456 356 2023Q2 170 121 3,459 357 2023Q3 170 121 3,458 357 2023Q4 184 115 4,032 383 2024Q1 184 115 4,035 383 2024Q2 183 115 4,035 382 2024Q3 183 119 4,035 384 Table 2.23: Section 4 Private Equity Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2022Q3 11 6 8 246 2022Q4 7 10 8 275 2023Q1 7 10 8 272 2023Q2 7 10 8 272 11 2023Q3 7 10 8 272 2023Q4 11 8 9 265 2024Q1 11 8 9 265 2024Q2 11 8 9 264 2024Q3 11 8 9 266 Analytics Office 2.5 Parallel Managed Accounts5 Table 2.24: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. Fund Type Hedge Fund Other Private Fund Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2022Q3 576 499 321 89 30 *** *** 1,527 2022Q4 566 481 345 67 39 *** *** 1,508 2023Q1 562 484 421 68 39 *** *** 1,584 2023Q2 559 461 427 68 39 *** *** 1,564 2023Q3 570 448 427 68 39 *** *** 1,562 2023Q4 560 441 488 80 28 *** *** 1,607 2024Q1 530 438 410 78 28 *** *** 1,493 2024Q2 545 459 390 78 28 *** *** 1,511 2024Q3 549 463 391 78 28 *** *** 1,520 Table 2.25: Number of Funds with Parallel Managed Accounts Reported by Large Filers As reported on Form PF, Question 11. Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2022Q3 208 144 *** 2022Q4 214 163 *** 2023Q1 207 163 *** 2023Q2 203 169 *** 2023Q3 218 169 *** 2023Q4 218 204 *** 2024Q1 201 204 *** 2024Q2 214 204 11 2024Q3 223 205 11 Table 2.26: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. Fund Type Hedge Fund Other Private Fund Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2022Q3 729 3,416 156 16 2 *** *** 4,710 2022Q4 725 2,369 120 14 2 *** *** 3,611 2023Q1 695 2,367 131 15 2 *** *** 3,598 2023Q2 693 1,536 125 15 2 *** *** 2,749 2023Q3 706 1,495 125 15 2 *** *** 2,751 2023Q4 754 1,708 154 31 1 *** *** 3,058 2024Q1 725 1,707 142 31 1 *** *** 2,997 2024Q2 736 1,721 116 31 1 *** *** 3,002 2024Q3 788 1,735 116 31 1 *** *** 3,088 Table 2.27: Aggregate Value in Parallel Managed Accounts Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 11. Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2022Q3 438 115 *** 2022Q4 435 120 *** 2023Q1 385 120 *** 2023Q2 405 114 *** 2023Q3 426 114 *** 2023Q4 472 146 *** 2024Q1 444 146 *** 2024Q2 460 134 396 2024Q3 514 142 418 5 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 12 Analytics Office 3 Fund Domiciles and Adviser Main Offices Table 3.1: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Fund Universe All Private Funds Qualifying Hedge Funds Section 3 Liquidity Funds Section 4 Private Equity Funds Country United States Cayman Islands Luxembourg Ireland Bermuda United Kingdom Virgin Islands, British Other Cayman Islands United States Luxembourg Ireland Virgin Islands, British Bermuda Other Ireland United States Cayman Islands Other United States Cayman Islands Canada United Kingdom Bermuda Other 2022Q3 52.9 32.7 4.1 3.9 1.0 0.9 0.9 3.6 53.1 35.0 2.3 2.8 3.1 1.9 1.7 *** 25.5 *** *** 56.9 29.5 2.0 1.4 1.2 9.0 2022Q4 52.7 32.1 5.0 3.6 1.0 0.9 0.8 3.7 52.4 35.7 2.7 3.0 2.9 1.9 1.4 *** 23.4 *** *** 56.1 28.0 2.1 1.4 1.0 11.3 2023Q1 52.5 32.5 5.0 3.6 1.0 0.9 0.8 3.6 52.8 35.6 2.9 2.7 2.6 1.7 1.6 *** 23.9 *** *** 56.4 28.1 2.1 1.4 1.0 11.0 2023Q2 52.5 32.7 4.9 3.6 1.0 0.9 0.8 3.6 53.2 35.4 3.0 2.7 2.5 1.6 1.6 *** 23.5 *** *** 56.4 28.0 2.1 1.4 1.0 11.0 2023Q3 52.4 32.7 4.9 3.7 1.0 0.9 0.8 3.6 53.3 35.3 3.0 2.6 2.4 1.7 1.6 *** 25.5 *** *** 56.4 28.0 2.1 1.4 1.0 11.0 2023Q4 53.7 31.5 4.9 3.4 1.0 0.9 0.6 3.9 53.8 35.5 2.8 2.5 2.2 1.7 1.5 *** 21.5 *** *** 57.8 27.5 2.3 1.3 1.1 10.1 2024Q1 53.7 31.6 4.8 3.2 1.1 0.9 0.6 4.0 53.7 35.6 2.6 2.5 2.2 1.6 1.8 *** 23.4 *** *** 57.9 27.4 2.3 1.3 1.1 10.0 2024Q2 53.6 31.6 4.9 3.3 1.1 0.9 0.6 3.9 53.6 35.7 2.7 2.6 2.1 1.7 1.7 *** 22.0 *** *** 57.9 27.4 2.3 1.3 1.1 10.0 2024Q3 53.4 31.7 4.9 3.5 1.1 0.9 0.6 3.9 53.3 35.9 2.8 2.6 2.0 1.6 1.7 *** 21.7 *** *** 57.9 27.4 2.3 1.3 1.1 10.0 Table 3.2: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Fund Universe All Private Funds Qualifying Hedge Funds Section 3 Liquidity Funds Section 4 Private Equity Funds Country United States United Kingdom Other United States United Kingdom Australia Hong Kong Other United States United Kingdom France United States Canada Other 2022Q3 91.9 *** *** 91.1 3.5 *** 1.4 *** 57.1 *** *** 95.5 *** *** 2022Q4 92.3 *** *** 90.5 4.1 *** 0.4 *** 53.0 *** *** 95.4 *** *** 13 2023Q1 91.9 *** *** 90.7 4.0 *** 0.3 *** 52.3 *** *** 95.4 *** *** 2023Q2 91.8 *** *** 91.6 4.0 *** 0.3 *** 51.3 *** *** 95.4 *** *** 2023Q3 92.0 *** *** 92.2 3.6 *** 0.2 *** 55.6 *** *** 95.4 *** *** 2023Q4 93.4 *** *** 92.1 3.8 *** 0.3 *** 53.1 *** *** 96.8 *** *** 2024Q1 93.3 *** *** 92.1 3.9 *** 0.2 *** 55.7 *** *** 96.8 *** *** 2024Q2 93.3 *** *** 92.2 3.9 *** 0.2 *** 56.1 *** *** 96.8 *** *** 2024Q3 93.2 *** *** 92.1 3.9 *** 0.2 *** 56.7 *** *** 96.8 *** *** Analytics Office 4 Beneficial Ownership of Funds 4.1 All Private Funds Table 4.1: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans U.S. Individuals Non-Profits Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2022Q3 2,589 2,416 1,863 1,367 1,256 1,272 1,011 704 393 224 305 196 149 42 2022Q4 2,595 2,543 1,913 1,325 1,246 1,310 1,083 745 376 241 285 193 150 38 2023Q1 2,597 2,558 1,907 1,336 1,254 1,306 1,069 755 314 248 251 190 152 40 2023Q2 2,612 2,556 1,915 1,348 1,269 1,294 1,081 762 317 249 253 178 147 38 2023Q3 2,634 2,577 1,919 1,351 1,261 1,283 1,089 760 316 260 242 179 147 40 2023Q4 2,859 2,941 1,982 1,469 1,327 1,309 1,167 795 332 266 245 192 160 58 2024Q1 2,909 2,959 2,015 1,501 1,358 1,322 1,195 806 331 272 238 196 161 56 2024Q2 2,955 2,901 2,019 1,493 1,346 1,314 1,194 795 333 273 271 225 155 56 2024Q3 2,994 2,933 2,010 1,510 1,373 1,319 1,220 819 341 275 269 243 156 61 Table 4.2: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans U.S. Individuals Non-Profits Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2022Q3 18.8 17.5 13.5 9.9 9.1 9.2 7.3 5.1 2.8 1.6 2.2 1.4 1.1 0.3 2022Q4 18.5 18.1 13.6 9.4 8.9 9.3 7.7 5.3 2.7 1.7 2.0 1.4 1.1 0.3 2023Q1 18.6 18.3 13.6 9.6 9.0 9.3 7.6 5.4 2.2 1.8 1.8 1.4 1.1 0.3 14 2023Q2 18.6 18.2 13.7 9.6 9.0 9.2 7.7 5.4 2.3 1.8 1.8 1.3 1.0 0.3 2023Q3 18.7 18.3 13.6 9.6 9.0 9.1 7.7 5.4 2.2 1.9 1.7 1.3 1.0 0.3 2023Q4 18.9 19.5 13.1 9.7 8.8 8.7 7.7 5.3 2.2 1.8 1.6 1.3 1.1 0.4 2024Q1 19.0 19.3 13.1 9.8 8.9 8.6 7.8 5.3 2.2 1.8 1.6 1.3 1.1 0.4 2024Q2 19.3 18.9 13.2 9.7 8.8 8.6 7.8 5.2 2.2 1.8 1.8 1.5 1.0 0.4 2024Q3 19.3 18.9 12.9 9.7 8.8 8.5 7.9 5.3 2.2 1.8 1.7 1.6 1.0 0.4 Analytics Office 4.2 Qualifying Hedge Funds Table 4.3: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2022Q3 697 564 559 423 432 381 266 149 102 59 42 41 38 8 2022Q4 691 562 528 425 446 408 289 148 102 59 46 38 38 9 2023Q1 712 590 537 425 455 415 283 164 104 62 45 38 37 9 2023Q2 734 594 549 440 467 409 291 161 103 63 45 36 32 9 2023Q3 747 592 546 440 471 407 302 164 102 72 46 34 28 9 2023Q4 743 603 554 451 460 405 298 164 99 72 52 34 23 9 2024Q1 777 623 580 468 458 415 317 173 99 77 45 35 21 9 2024Q2 824 615 570 459 457 408 314 169 93 78 43 32 21 9 2024Q3 853 641 593 473 454 420 348 181 101 79 45 35 25 9 Table 4.4: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2022Q3 18.5 15.0 14.8 11.2 11.5 10.1 7.1 4.0 2.7 1.6 1.1 1.1 1.0 0.2 2022Q4 18.2 14.8 13.9 11.2 11.8 10.8 7.6 3.9 2.7 1.5 1.2 1.0 1.0 0.2 2023Q1 18.4 15.2 13.9 11.0 11.7 10.7 7.3 4.2 2.7 1.6 1.2 1.0 0.9 0.2 15 2023Q2 18.6 15.1 14.0 11.2 11.9 10.4 7.4 4.1 2.6 1.6 1.1 0.9 0.8 0.2 2023Q3 18.9 14.9 13.8 11.1 11.9 10.3 7.6 4.1 2.6 1.8 1.2 0.8 0.7 0.2 2023Q4 18.7 15.2 14.0 11.4 11.6 10.2 7.5 4.1 2.5 1.8 1.3 0.9 0.6 0.2 2024Q1 18.9 15.2 14.1 11.4 11.2 10.1 7.7 4.2 2.4 1.9 1.1 0.8 0.5 0.2 2024Q2 20.1 15.0 13.9 11.2 11.2 10.0 7.7 4.1 2.3 1.9 1.0 0.8 0.5 0.2 2024Q3 20.0 15.1 13.9 11.1 10.7 9.9 8.2 4.3 2.4 1.9 1.1 0.8 0.6 0.2 Analytics Office 4.3 Section 3 Liquidity Funds Table 4.5: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Unknown Non-U.S. Investors Other Banking/Thrift Inst. Private Funds Broker-Dealers Insurance Companies SEC-Registered Investment Companies Pension Plans Sov. Wealth Funds And For. Official Inst. State/Muni. Govt. Entities Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals 2022Q3 68 106 *** 64 *** 8 15 *** *** *** 3 *** *** *** 2022Q4 65 108 *** 56 *** 10 14 *** *** *** 2 *** 1 *** 2023Q1 63 106 *** 50 *** 12 17 *** *** *** 3 *** *** *** 2023Q2 64 114 *** 49 *** 11 16 5 *** *** 3 *** *** *** 2023Q3 52 135 *** 64 *** 10 16 *** *** *** 3 *** *** *** 2023Q4 60 135 *** 53 *** 12 14 *** *** *** 3 *** *** 1 2024Q1 56 118 *** 54 *** 12 *** *** *** *** 3 *** *** *** 2024Q2 91 70 *** 50 *** 14 *** *** *** *** 3 *** *** *** 2024Q3 93 73 *** 52 *** 16 *** *** *** *** 3 *** *** *** Table 4.6: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Unknown Non-U.S. Investors Other Banking/Thrift Inst. Private Funds Broker-Dealers Insurance Companies SEC-Registered Investment Companies Pension Plans Sov. Wealth Funds And For. Official Inst. State/Muni. Govt. Entities Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals 2022Q3 20.7 32.4 *** 19.6 *** 2.5 4.6 *** *** *** 0.8 *** *** *** 2022Q4 20.6 34.1 *** 17.8 *** 3.0 4.3 *** *** *** 0.8 *** 0.4 *** 2023Q1 20.2 34.1 *** 15.9 *** 3.9 5.4 *** *** *** 0.9 *** *** *** 16 2023Q2 20.1 35.8 *** 15.5 *** 3.6 5.0 1.5 *** *** 0.8 *** *** *** 2023Q3 15.0 39.1 *** 18.5 *** 2.9 4.6 *** *** *** 0.8 *** *** *** 2023Q4 17.1 38.6 *** 15.1 *** 3.5 4.1 *** *** *** 0.9 *** *** 0.2 2024Q1 17.1 36.4 *** 16.6 *** 3.7 *** *** *** *** 1.1 *** *** *** 2024Q2 26.7 20.7 *** 14.7 *** 4.2 *** *** *** *** 0.9 *** *** *** 2024Q3 25.6 20.1 *** 14.2 *** 4.3 *** *** *** *** 0.9 *** *** *** Analytics Office 4.4 Section 4 Private Equity Funds Table 4.7: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2022Q3 974 802 851 478 327 256 238 265 82 78 51 49 34 3 2022Q4 1,032 887 887 525 363 284 259 246 94 68 50 47 33 3 2023Q1 1,019 876 875 515 363 282 259 246 94 67 49 44 33 3 2023Q2 1,021 877 876 515 364 284 259 246 95 67 49 45 33 3 2023Q3 1,021 877 876 515 364 284 259 246 95 67 49 45 33 3 2023Q4 1,198 1,090 937 577 394 299 280 275 98 73 63 56 35 5 2024Q1 1,197 1,094 938 576 394 299 280 276 98 74 63 55 35 5 2024Q2 1,197 1,094 938 575 394 299 280 276 98 73 63 55 35 5 2024Q3 1,197 1,094 940 575 395 299 280 276 98 73 63 55 35 5 Table 4.8: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2022Q3 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q4 21.6 18.6 18.6 11.0 7.6 5.9 5.4 5.1 2.0 1.4 1.0 1.0 0.7 0.1 2023Q1 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 17 2023Q2 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q3 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q4 22.3 20.3 17.4 10.7 7.3 5.6 5.2 5.1 1.8 1.4 1.2 1.0 0.6 0.1 2024Q1 22.2 20.3 17.4 10.7 7.3 5.5 5.2 5.1 1.8 1.4 1.2 1.0 0.6 0.1 2024Q2 22.2 20.3 17.4 10.7 7.3 5.5 5.2 5.1 1.8 1.4 1.2 1.0 0.6 0.1 2024Q3 22.2 20.3 17.4 10.7 7.3 5.5 5.2 5.1 1.8 1.4 1.2 1.0 0.6 0.1 Analytics Office 4.5 Concentration Table 4.9: NAV-Weighted Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Real Estate Fund Hedge Fund Other Private Fund Qualifying Hedge Fund Private Equity Fund Securitized Asset Fund Venture Capital Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Total 2022Q3 58.7 54.8 57.5 51.6 49.2 37.8 52.4 44.7 46.5 46.1 52.4 2022Q4 56.9 55.4 59.0 52.1 49.8 41.6 49.9 46.5 45.1 44.8 52.9 2023Q1 57.0 56.3 58.4 52.0 49.4 42.3 49.9 45.9 44.3 44.1 52.9 2023Q2 57.0 56.3 58.3 51.9 49.5 41.8 49.9 46.0 43.1 42.9 52.9 2023Q3 57.4 56.7 57.9 52.1 49.4 41.9 49.9 46.0 44.5 44.4 53.0 2023Q4 59.4 56.6 56.3 52.5 50.2 47.6 47.5 46.9 41.9 41.7 53.1 2024Q1 59.5 56.3 56.2 51.9 50.3 47.1 47.5 46.9 44.4 43.5 53.2 2024Q2 59.5 57.0 56.3 52.6 50.2 47.3 47.5 46.9 41.1 40.8 53.3 2024Q3 59.6 57.2 56.4 53.0 50.1 47.6 47.5 46.9 40.7 40.2 53.4 Table 4.10: Distribution of Beneficial Ownership Attributable to the Top 5 Owners (Percent) As reported on Form PF, Question 15. Fund Type All Private Funds Qualifying Hedge Funds Statistic 10th Percentile 25th Percentile Median Mean 10th Percentile 25th Percentile Median Mean 2022Q3 32.0 51.0 86.0 74.6 30.0 44.0 70.0 68.4 2022Q4 32.0 51.0 86.0 74.7 30.0 44.0 69.0 68.4 2023Q1 32.0 52.0 86.0 74.8 30.0 44.0 69.0 68.3 18 2023Q2 32.0 52.0 86.0 74.9 30.0 44.0 68.0 68.1 2023Q3 32.0 52.0 86.0 74.9 30.0 44.0 68.0 68.3 2023Q4 32.0 51.0 86.0 74.7 30.0 44.0 69.0 68.4 2024Q1 32.0 51.0 86.0 74.7 30.0 44.0 68.0 68.1 2024Q2 32.0 51.0 86.0 74.7 30.0 43.2 67.0 67.2 2024Q3 32.0 52.0 86.0 74.8 30.0 44.0 67.0 67.7 Analytics Office 5 Fund Investments in Derivatives Table 5.1: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Total 2022Q3 14,261 71 112 41 5 *** *** 14,489 2022Q4 14,882 158 105 72 *** 0 *** 15,224 2023Q1 15,251 159 103 76 *** 0 *** 15,596 2023Q2 15,207 159 104 78 *** 0 *** 15,553 2023Q3 15,484 159 101 65 *** 0 *** 15,814 2023Q4 15,323 136 99 64 *** 0 *** 15,623 2024Q1 16,763 109 97 64 *** 0 *** 17,034 2024Q2 17,678 109 97 64 *** 0 *** 17,950 2024Q3 19,508 110 97 64 *** 0 *** 19,780 Table 5.2: Aggregate Derivative Value Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2022Q3 12,698 54 0 2022Q4 13,013 73 0 2023Q1 12,985 72 0 2023Q2 13,816 72 0 2023Q3 13,965 72 0 2023Q4 14,067 111 0 2024Q1 14,901 111 0 2024Q2 15,857 111 0 2024Q3 17,198 111 0 Table 5.3: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Section 4 Private Equity Fund Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2022Q3 294.0 337.2 1.2 1.2 7.3 5.5 1.8 0.1 *** *** 105.0 2022Q4 309.0 343.2 1.5 2.6 7.4 8.4 2.1 0.1 *** *** 108.4 2023Q1 313.9 334.9 1.5 2.7 7.5 8.9 2.1 0.1 *** *** 111.5 2023Q2 309.6 351.1 1.5 2.7 7.8 9.0 1.4 0.1 *** *** 110.9 19 2023Q3 314.0 352.4 1.5 2.7 7.6 7.6 1.4 0.1 *** *** 112.4 2023Q4 306.9 354.8 2.1 2.0 6.5 7.8 0.3 0.1 *** *** 103.4 2024Q1 321.5 363.4 2.1 1.6 6.3 7.7 0.3 0.1 *** *** 111.1 2024Q2 339.0 387.1 2.1 1.6 6.3 7.8 0.3 0.1 *** *** 117.0 2024Q3 362.3 403.7 2.1 1.6 6.2 7.8 0.3 0.1 *** *** 127.4 Analytics Office Table 5.4: Aggregate Net Assets of Private Funds by Derivatives to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 13, and 44 (Third Month). The ratio of derivative value to net assets is calculated for each fund, and the net assets of the funds with a ratio in a given range are summed. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,5) [5,10) 10 or more 0 (0,1) [1,5) [5,10) 10 or more 2022Q3 8,493 4,060 770 161 330 557 2,096 664 140 309 2022Q4 8,651 4,207 700 204 301 572 2,163 594 182 279 2023Q1 8,584 4,176 684 236 318 634 2,171 566 213 293 2023Q2 8,609 4,192 703 205 332 636 2,203 595 187 314 2023Q3 8,606 4,197 736 195 345 624 2,207 631 174 326 2023Q4 9,503 4,349 693 225 350 612 2,237 580 207 328 2024Q1 9,545 4,492 669 272 364 652 2,330 540 244 334 2024Q2 9,566 4,516 703 172 397 666 2,347 574 144 365 2024Q3 9,602 4,599 691 202 451 669 2,439 568 174 410 Table 5.5: Number of Private Funds by Derivatives to NAV Ratio As reported on Form PF, Questions 9, 10, 13, and 44 (Third Month). The ratio of derivative value to net assets is calculated for each fund, and the number funds with a ratio in a given range are then counted. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,5) [5,10) 10 or more 0 (0,1) [1,5) [5,10) 10 or more 2022Q3 31,424 5,137 789 158 2,033 445 1,160 267 52 114 2022Q4 34,580 5,334 769 165 2,247 475 1,177 244 68 110 2023Q1 34,747 5,324 771 167 2,284 478 1,165 235 60 108 20 2023Q2 34,853 5,312 748 179 2,309 486 1,189 231 73 110 2023Q3 34,921 5,290 765 175 2,321 474 1,212 233 64 118 2023Q4 37,632 5,300 762 174 2,196 486 1,206 219 67 128 2024Q1 37,791 5,307 727 183 2,217 495 1,208 199 69 116 2024Q2 37,742 5,292 743 177 2,317 463 1,151 214 58 112 2024Q3 37,903 5,286 760 167 2,254 478 1,173 230 50 119 Analytics Office 6 Additional Hedge Fund Industry Information 6.1 High Frequency Trading Table 6.1: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. See the appendix for a review of interval notation used here. Fraction of NAV 0% (0%,26%) 26% or More 2022Q3 8,685 43 15 2022Q4 8,708 47 14 2023Q1 8,789 47 14 2023Q2 8,870 46 13 2023Q3 8,914 49 12 2023Q4 8,827 44 11 2024Q1 8,910 45 11 2024Q2 8,972 48 10 2024Q3 8,983 48 10 Table 6.2: Aggregate Net Assets of Hedge Fund Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. See the appendix for a review of interval notation used here. Fraction of NAV 0% (0%,26%) 26% or More 6.2 2022Q3 4,683 132 11 2022Q4 4,665 71 66 2023Q1 4,689 75 71 2023Q2 4,749 71 71 2023Q3 4,745 74 74 2023Q4 4,908 64 13 2024Q1 5,079 88 14 2024Q2 5,090 100 4 2024Q3 5,210 111 4 Industry Concentration Table 6.3: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2022Q3 8.1 13.7 19.6 27.6 41.6 54.8 2022Q4 7.8 13.3 19.1 27.0 41.2 54.6 2023Q1 7.9 13.4 19.3 27.3 41.6 54.8 2023Q2 7.8 13.2 19.4 27.3 41.5 54.7 2023Q3 8.0 13.6 19.5 27.5 41.7 54.7 2023Q4 7.7 13.1 19.0 26.9 41.2 54.1 2024Q1 8.0 13.3 19.1 27.3 41.5 54.5 2024Q2 8.0 13.4 19.3 27.5 41.8 54.8 2024Q3 8.1 13.5 19.5 27.6 41.9 54.9 Table 6.4: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2022Q3 16.9 25.7 33.7 42.4 54.7 65.9 2022Q4 17.7 26.3 34.5 43.0 55.1 66.3 2023Q1 17.7 26.7 34.8 43.3 55.5 66.6 2023Q2 18.9 28.0 36.2 44.6 56.5 67.3 2023Q3 19.7 29.1 37.6 46.0 57.8 68.3 21 2023Q4 20.9 30.4 39.0 47.2 58.7 68.9 2024Q1 19.9 29.7 38.6 46.9 58.6 68.8 2024Q2 19.1 29.6 38.7 47.1 59.0 69.2 2024Q3 19.9 30.6 39.9 48.8 60.4 70.4 Analytics Office Table 6.5: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2022Q3 34.1 50.1 62.0 72.3 83.4 90.5 2022Q4 36.5 51.0 63.3 73.6 84.2 91.0 2023Q1 35.8 51.2 64.1 74.5 85.0 91.5 2023Q2 37.0 52.3 64.7 74.9 85.4 92.0 2023Q3 37.4 53.0 65.8 75.7 86.0 92.3 2023Q4 39.1 55.1 68.0 77.5 86.9 92.8 2024Q1 38.2 55.0 67.5 77.1 86.8 93.1 2024Q2 36.3 54.4 67.1 77.0 87.0 93.1 2024Q3 37.7 55.2 68.4 78.5 88.1 93.7 Table 6.6: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2022Q3 41.3 56.2 68.3 79.4 90.1 95.2 2022Q4 38.4 55.8 69.0 80.2 90.5 95.4 2023Q1 41.4 56.9 68.7 80.2 90.7 95.6 2023Q2 41.0 55.4 67.8 79.5 90.6 95.5 2023Q3 39.9 55.0 67.7 79.4 90.8 95.6 2023Q4 41.3 56.2 68.6 80.0 90.6 95.4 2024Q1 41.0 55.2 68.3 79.7 90.8 95.6 2024Q2 40.9 56.2 69.1 80.7 91.1 95.6 2024Q3 41.2 57.2 70.1 81.4 91.5 95.9 Table 6.7: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2022Q3 35.0 50.0 61.0 71.6 83.1 90.6 2022Q4 34.3 50.2 61.7 72.6 83.9 91.1 2023Q1 36.9 51.6 62.3 73.2 84.2 91.3 2023Q2 37.0 50.7 61.7 72.9 84.2 91.2 2023Q3 36.9 51.8 63.5 74.1 85.1 91.8 22 2023Q4 38.9 53.8 64.6 74.9 85.5 92.0 2024Q1 38.1 53.5 64.6 75.0 85.6 92.1 2024Q2 38.4 54.5 65.4 75.8 86.1 92.3 2024Q3 39.0 56.0 67.4 77.4 87.1 92.8 Analytics Office 6.3 NAV Allocation of Single-Strategy US-Domiciled Hedge Funds Table 6.8: NAV Allocation of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Relative Value Event Driven Macro Investment in other funds Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. F.I. Sov. Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Quantitative Fundamental Subtotal Total 2022Q3 273 252 29 2 556 657 77 73 150 32 8 11 3 1 55 48 19 9 76 11 4 *** *** 16 32 *** *** 6 1,369 2022Q4 272 251 28 1 551 658 86 77 163 37 7 11 3 2 59 50 26 7 83 9 4 *** *** 14 32 *** *** 6 1,384 23 2023Q1 262 259 27 1 549 667 87 93 179 38 7 11 5 2 63 49 26 5 80 8 4 *** *** 13 39 *** *** 6 1,419 2023Q2 294 263 27 1 584 673 94 77 170 37 7 12 7 2 64 51 27 4 82 9 4 1 0 14 39 *** *** 6 1,442 2023Q3 280 254 26 1 562 674 96 79 174 37 7 12 6 2 64 50 21 5 76 12 5 1 0 18 39 *** *** 6 1,438 2023Q4 290 271 27 2 589 651 100 71 171 39 8 12 7 1 68 54 21 5 80 11 5 *** *** 16 44 *** *** 7 1,441 2024Q1 324 271 26 2 623 678 101 73 174 41 10 13 7 2 73 54 22 6 82 17 5 *** *** 23 47 *** *** 7 1,503 2024Q2 320 269 27 2 617 679 101 79 179 44 11 13 8 1 77 56 20 6 82 15 5 *** *** 21 48 *** *** 7 1,519 2024Q3 341 282 37 2 663 713 106 86 192 46 17 13 11 2 89 58 22 6 86 23 8 *** *** 31 49 *** *** 11 1,634 Analytics Office Table 6.9: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Relative Value Event Driven Macro Investment in other funds Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. F.I. Sov. Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Quantitative Fundamental Subtotal Total 2022Q3 476 629 50 9 1,159 1,116 207 218 422 100 26 58 20 19 201 195 61 21 276 19 16 *** *** 45 260 *** *** 22 3,271 2022Q4 494 584 47 13 1,132 1,166 211 220 428 107 26 58 18 18 212 212 68 19 298 18 15 *** *** 44 305 *** *** 23 3,343 24 2023Q1 497 585 47 12 1,135 1,190 211 232 440 119 24 59 18 18 219 211 68 19 297 18 15 *** *** 44 329 *** *** 23 3,413 2023Q2 513 578 45 12 1,138 1,217 219 238 454 123 24 57 18 18 221 218 69 19 305 21 15 *** *** 46 332 *** *** 24 3,468 2023Q3 527 587 46 13 1,163 1,230 225 241 463 130 24 66 19 19 230 219 66 19 303 21 16 *** *** 48 337 *** *** 24 3,525 2023Q4 489 595 49 18 1,142 1,147 216 216 427 142 23 69 22 16 245 218 67 20 305 32 16 *** *** 58 374 *** *** 28 3,425 2024Q1 489 587 49 18 1,134 1,173 211 223 429 149 24 67 22 20 251 220 66 21 306 37 18 *** *** 65 390 *** *** 26 3,486 2024Q2 508 580 49 17 1,145 1,179 207 227 429 148 24 57 22 13 240 232 64 20 316 35 17 *** *** 62 381 *** *** 26 3,511 2024Q3 532 602 54 19 1,190 1,219 224 233 452 154 28 62 26 18 254 235 70 21 324 37 19 *** *** 64 408 *** *** 30 3,606 Analytics Office 6.4 NAV Allocation of Single-Strategy Non-US-Domiciled Hedge Funds Table 6.10: NAV Allocation of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Macro Other Relative Value Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Global Macro Commodity Currency Active Trading Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Subtotal Total 2022Q3 620 259 *** *** 965 306 6 *** *** 322 715 283 74 23 17 12 409 219 89 309 *** *** 240 119 25 29 173 30 2,142 2022Q4 669 261 *** *** 1,019 309 7 *** *** 321 760 248 71 20 17 12 369 221 93 314 *** *** 190 117 28 21 166 27 2,152 25 2023Q1 696 230 *** *** 1,028 309 7 *** *** 319 756 256 68 20 19 14 377 227 94 321 *** *** 226 371 28 21 420 32 2,144 2023Q2 667 226 *** *** 996 399 7 *** *** 408 762 229 68 23 18 14 352 232 101 333 *** *** 285 132 27 22 182 38 2,175 2023Q3 651 217 *** *** 966 422 7 *** *** 433 761 228 74 20 19 14 355 231 102 333 *** *** 273 131 24 25 179 35 2,171 2023Q4 679 233 *** *** 1,015 531 6 *** *** 539 765 258 78 23 20 15 394 234 116 350 *** *** 214 133 25 20 178 34 2,206 2024Q1 720 235 *** *** 1,059 596 6 *** *** 604 790 242 76 21 18 17 374 244 123 367 *** *** 282 138 25 23 186 46 2,272 2024Q2 734 242 *** *** 1,085 577 6 *** *** 585 818 254 76 20 18 12 381 243 129 372 *** *** 279 137 24 20 181 40 2,287 2024Q3 735 261 *** *** 1,120 737 4 *** *** 742 831 273 83 22 18 13 409 255 135 390 *** *** 276 143 25 21 189 42 2,344 Analytics Office Table 6.11: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Macro Other Relative Value Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Global Macro Commodity Currency Active Trading Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Subtotal Total 2022Q3 630 385 *** *** 1,093 170 39 *** *** 215 882 61 150 24 90 24 305 266 117 380 *** *** 121 223 69 47 314 110 3,189 2022Q4 605 392 *** *** 1,085 164 45 *** *** 216 924 60 139 29 87 24 294 269 112 378 *** *** 125 219 75 43 313 113 3,222 26 2023Q1 602 351 *** *** 1,041 162 40 *** *** 212 941 59 143 29 91 24 300 279 113 389 *** *** 129 223 70 44 313 114 3,204 2023Q2 593 347 *** *** 1,023 164 40 *** *** 213 942 59 147 30 90 25 303 285 123 405 *** *** 126 227 70 44 317 118 3,218 2023Q3 593 344 *** *** 1,021 165 46 *** *** 217 954 60 145 30 91 24 301 284 125 406 *** *** 126 229 70 43 318 111 3,219 2023Q4 563 348 *** *** 989 167 35 *** *** 210 963 57 143 28 87 20 288 305 138 439 *** *** 123 224 72 42 314 96 3,181 2024Q1 559 352 *** *** 988 170 37 *** *** 213 957 48 144 27 83 20 285 303 141 440 *** *** 121 221 71 42 310 94 3,172 2024Q2 556 352 *** *** 981 166 37 *** *** 208 962 54 148 26 86 20 292 305 144 445 *** *** 118 224 75 43 314 99 3,176 2024Q3 562 353 *** *** 994 159 36 *** *** 201 948 49 138 28 88 30 296 308 146 450 *** *** 114 226 74 42 315 98 3,172 Analytics Office 7 Information Reported by Large Hedge Fund Advisers 7.1 Economic Leverage Table 7.1: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by GNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 1,742 1,142 351 495 563 2,012 1,071 438 335 439 Oct 2023 2,005 1,007 389 435 561 2,340 849 483 283 442 Nov 2023 2,002 967 386 474 567 2,272 898 376 401 449 Dec 2023 1,868 1,111 352 437 629 2,115 1,067 375 396 444 Jan 2024 1,962 1,102 395 460 570 2,352 927 402 336 470 Feb 2024 1,940 1,145 357 469 576 2,209 1,022 451 323 482 Mar 2024 1,812 1,228 367 509 572 2,062 1,169 426 365 465 Apr 2024 1,965 1,034 433 387 646 2,246 935 439 357 489 May 2024 1,942 1,037 433 465 588 2,214 953 455 362 481 Jun 2024 1,804 1,197 433 435 598 2,124 1,066 439 359 479 Jul 2024 1,904 1,059 415 495 617 2,234 924 462 376 494 Aug 2024 1,847 1,124 470 443 608 2,172 983 502 332 502 Sep 2024 1,678 1,290 398 508 618 1,954 1,211 470 342 515 Table 7.2: Number of Large Hedge Fund Advisers Reporting by GNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 227 222 69 63 82 258 220 72 54 59 Oct 2023 264 206 62 54 92 294 203 64 48 69 Nov 2023 257 200 69 57 95 288 200 68 52 70 Dec 2023 241 216 73 56 92 269 219 69 54 67 Jan 2024 248 212 58 56 86 277 210 56 50 67 27 Feb 2024 241 206 68 55 90 268 205 71 47 69 Mar 2024 229 209 76 56 90 256 212 72 54 66 Apr 2024 243 195 79 49 92 271 195 73 54 65 May 2024 235 200 78 55 90 267 192 80 52 67 Jun 2024 221 215 78 54 91 255 207 76 55 66 Jul 2024 247 197 71 57 92 276 190 77 53 68 Aug 2024 245 201 74 53 93 272 195 81 48 70 Sep 2024 224 217 76 52 97 252 218 73 50 73 Analytics Office Table 7.3: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by LNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 2,314 915 470 242 352 2,573 928 331 250 212 Oct 2023 2,640 757 414 149 438 2,866 808 265 248 209 Nov 2023 2,551 775 445 183 443 2,799 833 282 273 210 Dec 2023 2,438 869 349 292 448 2,591 1,010 309 273 213 Jan 2024 2,592 830 401 274 391 2,855 833 278 304 216 Feb 2024 2,535 895 446 206 405 2,878 791 278 315 226 Mar 2024 2,463 929 458 252 385 2,663 982 338 278 228 Apr 2024 2,569 873 378 227 420 2,813 826 298 287 241 May 2024 2,492 876 458 249 389 2,749 869 311 292 245 Jun 2024 2,446 933 454 181 453 2,611 1,005 353 253 246 Jul 2024 2,499 896 354 227 515 2,724 911 321 260 275 Aug 2024 2,507 930 322 240 492 2,706 951 262 314 257 Sep 2024 2,379 966 350 329 467 2,569 1,042 305 271 304 Table 7.4: Number of Large Hedge Fund Advisers Reporting by LNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 311 204 57 40 51 350 195 51 37 30 Oct 2023 362 168 49 38 61 397 164 40 40 37 Nov 2023 343 178 54 39 64 379 177 44 40 38 Dec 2023 314 206 56 38 64 346 208 47 36 41 Jan 2024 347 170 48 38 57 378 166 42 42 32 28 Feb 2024 336 176 52 35 61 375 162 47 42 34 Mar 2024 313 195 56 39 57 339 198 52 36 35 Apr 2024 331 183 48 39 57 365 175 42 44 32 May 2024 318 190 55 40 55 355 178 52 39 34 Jun 2024 303 205 55 41 55 338 198 51 38 34 Jul 2024 331 187 43 40 63 359 182 48 35 40 Aug 2024 331 188 42 40 65 363 183 41 37 42 Sep 2024 314 199 48 39 66 346 192 49 33 46 Analytics Office Table 7.5: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by SNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 3,058 404 200 261 371 3,372 394 107 272 149 Oct 2023 3,226 381 235 199 357 3,499 359 113 274 151 Nov 2023 3,242 286 315 122 432 3,519 277 157 229 215 Dec 2023 3,260 314 235 239 348 3,543 312 109 205 227 Jan 2024 3,332 270 338 174 373 3,557 338 131 220 241 Feb 2024 3,323 230 385 151 399 3,590 328 102 239 229 Mar 2024 3,308 226 403 163 388 3,469 433 135 236 214 Apr 2024 3,280 344 204 219 419 3,523 347 121 241 233 May 2024 3,210 366 319 158 414 3,491 356 144 225 250 Jun 2024 3,173 404 323 165 403 3,545 326 133 212 253 Jul 2024 3,183 409 297 86 515 3,479 358 170 206 276 Aug 2024 3,157 443 295 110 486 3,572 260 183 228 248 Sep 2024 3,166 350 381 141 454 3,548 274 175 216 278 Table 7.6: Number of Large Hedge Fund Advisers Reporting by SNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 501 53 26 32 51 529 56 24 27 27 Oct 2023 517 47 25 30 59 545 50 18 30 35 Nov 2023 514 46 30 27 61 543 46 23 32 34 Dec 2023 521 46 29 26 56 548 48 19 28 35 Jan 2024 501 55 26 25 53 526 51 24 28 31 29 Feb 2024 500 46 31 28 55 527 51 21 33 28 Mar 2024 491 51 36 29 53 522 54 26 32 26 Apr 2024 500 46 24 34 54 521 58 19 29 31 May 2024 487 60 27 31 53 517 56 26 27 32 Jun 2024 491 55 31 28 54 521 55 25 25 33 Jul 2024 497 57 23 28 59 524 56 23 24 37 Aug 2024 495 60 26 25 60 531 51 25 23 36 Sep 2024 500 50 31 24 61 531 47 24 24 40 Analytics Office 7.2 Industry Concentration Table 7.7: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Large Hedge Fund Advisers Sorted by Hedge Fund Net Asset Value As reported on Form PF, Question 3(a). Top 10 Top 25 Top 50 Top 100 Top 250 Sep 2023 18.0 33.0 47.2 62.4 83.9 Oct 2023 18.2 33.4 47.5 62.8 84.1 Nov 2023 18.2 33.4 47.5 62.8 84.1 Dec 2023 18.2 33.4 47.5 62.8 84.1 Jan 2024 18.1 33.8 47.9 62.9 84.0 Feb 2024 18.1 33.8 47.9 62.9 84.0 Mar 2024 18.1 33.8 47.9 62.9 84.0 Apr 2024 18.5 34.0 48.0 62.9 84.1 May 2024 18.5 34.0 48.0 62.9 84.1 Jun 2024 18.5 34.0 48.0 62.9 84.0 Jul 2024 15.8 31.4 45.9 61.4 83.2 Aug 2024 15.8 31.4 45.9 61.4 83.2 Sep 2024 15.8 31.4 45.9 61.4 83.2 Table 7.8: Percent of Aggregate Gross Notional Exposure Reported by Top Large Hedge Fund Advisers Sorted by Gross Notional Exposure As reported on Form PF, Questions 26. Top 10 Top 25 Top 50 Top 100 Top 250 Sep 2023 42.3 64.3 77.3 86.7 95.1 Oct 2023 43.6 65.2 78.6 87.9 95.8 Nov 2023 43.7 66.0 79.0 88.1 95.9 Dec 2023 43.6 65.1 77.9 87.2 95.3 Jan 2024 45.2 66.8 79.5 88.4 95.8 Feb 2024 50.1 70.7 82.0 89.7 96.3 30 Mar 2024 44.2 65.7 78.4 87.7 95.4 Apr 2024 44.9 67.1 79.8 88.5 95.9 May 2024 44.8 67.9 80.1 88.7 95.9 Jun 2024 44.8 67.1 78.9 87.8 95.5 Jul 2024 45.1 67.8 80.1 88.9 96.0 Aug 2024 46.6 68.3 80.9 89.2 96.1 Sep 2024 45.1 67.4 80.0 88.5 95.8 Analytics Office 7.3 Portfolio Turnover Table 7.9: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Asset Class Futures Sov. and muni. bonds Listed equities Corporate bonds Convertible bonds Total Sep 2023 20,516 7,606 4,668 221 75 33,086 Oct 2023 20,629 8,124 4,861 234 56 33,905 Nov 2023 28,723 9,031 4,628 257 69 42,708 Dec 2023 26,297 7,794 4,564 171 92 38,918 Jan 2024 20,839 8,789 4,831 316 110 34,884 Feb 2024 24,011 8,792 4,864 435 104 38,206 Mar 2024 28,252 8,173 4,929 459 160 41,974 Apr 2024 16,639 9,349 5,246 615 116 31,965 May 2024 19,469 10,615 5,481 662 149 36,377 Jun 2024 17,131 11,045 4,858 525 121 33,680 Jul 2024 15,298 9,979 4,696 217 41 30,232 Aug 2024 22,257 11,320 4,644 216 43 38,479 Sep 2024 20,258 8,418 4,481 276 55 33,489 Table 7.10: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting a Ratio of Aggregate Turnover to Aggregate Hedge Fund Net Assets ($ Billions) As reported on Form PF, Questions 3 and 27. See the appendix for a review of interval notation used here. Ratio [0,0.5) [0.5,1) [1,2) [2,5) [5,10) 10 or more Sep 2023 2,773 288 198 340 54 639 Oct 2023 2,920 254 288 193 170 569 Nov 2023 2,867 315 142 325 87 658 Dec 2023 2,829 386 155 297 94 634 Jan 2024 3,013 311 227 193 161 581 Feb 2024 2,915 348 178 293 143 608 Mar 2024 2,903 224 331 277 81 669 Apr 2024 2,786 442 248 226 89 673 May 2024 2,714 332 355 301 90 672 Jun 2024 2,819 311 278 267 123 667 Jul 2024 2,777 356 359 213 92 691 Aug 2024 2,768 352 236 315 108 710 Sep 2024 2,859 238 198 371 175 648 Table 7.11: Number of Large Hedge Fund Advisers Reporting a Ratio of Aggregate Turnover to Aggregate Hedge Fund Net Assets As reported on Form PF, Questions 3 and 27. See the appendix for a review of interval notation used here. Ratio [0,0.5) [0.5,1) [1,2) [2,5) [5,10) 10 or more Sep 2023 406 63 53 43 17 77 Oct 2023 417 54 62 38 23 73 Nov 2023 405 69 43 47 24 79 Dec 2023 418 68 42 43 20 76 Jan 2024 424 54 50 35 22 70 Feb 2024 418 55 42 41 25 74 31 Mar 2024 405 57 58 34 24 77 Apr 2024 411 59 45 39 20 79 May 2024 394 58 56 48 18 79 Jun 2024 403 70 39 46 18 78 Jul 2024 412 63 47 40 19 75 Aug 2024 407 65 45 43 18 79 Sep 2024 409 62 49 39 25 73 Analytics Office 7.4 Region and Country Exposure Table 7.12: Large Hedge Fund Adviser Hedge Fund Regional Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Africa Middle East 2022Q3 5,423 1,433 737 336 81 32 21 46 2022Q4 5,544 1,657 750 356 86 27 24 26 2023Q1 5,852 1,529 731 372 83 34 21 26 2023Q2 6,177 1,455 753 393 90 36 23 31 2023Q3 6,372 1,498 782 415 89 37 23 29 2023Q4 6,759 1,625 823 421 125 39 24 31 2024Q1 7,077 1,779 866 437 125 48 29 37 2024Q2 7,296 1,598 872 478 119 50 34 31 2024Q3 7,790 1,820 977 550 122 46 35 32 Table 7.13: Large Hedge Fund Adviser Hedge Fund Regional Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Africa Middle East 2022Q3 131.4 34.7 17.9 8.1 2.0 0.8 0.5 1.1 2022Q4 133.9 40.0 18.1 8.6 2.1 0.7 0.6 0.6 2023Q1 136.8 35.7 17.1 8.7 1.9 0.8 0.5 0.6 2023Q2 143.0 33.7 17.4 9.1 2.1 0.8 0.5 0.7 32 2023Q3 148.4 34.9 18.2 9.7 2.1 0.9 0.5 0.7 2023Q4 153.7 37.0 18.7 9.6 2.8 0.9 0.5 0.7 2024Q1 157.7 39.7 19.3 9.7 2.8 1.1 0.6 0.8 2024Q2 163.4 35.8 19.5 10.7 2.7 1.1 0.8 0.7 2024Q3 173.5 40.5 21.8 12.2 2.7 1.0 0.8 0.7 Analytics Office Table 7.14: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) India Brazil Russia 2022Q3 5,147 266 174 49 34 5 2022Q4 5,275 337 171 44 34 3 2023Q1 5,555 332 171 44 31 3 2023Q2 5,887 354 138 50 40 3 2023Q3 5,993 380 128 47 38 8 2023Q4 6,414 435 123 47 49 2 2024Q1 6,717 437 132 54 43 2 2024Q2 6,944 430 143 53 43 1 2024Q3 7,400 467 166 *** 45 *** Table 7.15: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) India Brazil Russia 2022Q3 124.8 6.4 4.2 1.2 0.8 0.1 2022Q4 127.4 8.1 4.1 1.1 0.8 0.1 2023Q1 129.9 7.8 4.0 1.0 0.7 0.1 2023Q2 136.3 8.2 3.2 1.2 0.9 0.1 33 2023Q3 139.6 8.9 3.0 1.1 0.9 0.2 2023Q4 145.9 9.9 2.8 1.1 1.1 0.1 2024Q1 149.7 9.7 2.9 1.2 1.0 0.0 2024Q2 155.5 9.6 3.2 1.2 1.0 0.0 2024Q3 164.8 10.4 3.7 *** 1.0 *** Analytics Office 8 Qualifying Hedge Fund Specific Information 8.1 Economic Leverage Table 8.1: Aggregate Net Assets of Qualifying Hedge Funds by GNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 1,935 998 326 382 611 2,194 968 273 309 507 Oct 2023 2,089 891 307 336 621 2,342 856 285 255 506 Nov 2023 2,043 937 261 362 640 2,303 866 243 297 534 Dec 2023 1,936 1,036 285 293 694 2,201 960 211 330 542 Jan 2024 2,173 930 294 336 657 2,424 874 250 303 538 Feb 2024 2,131 941 295 359 665 2,407 850 257 342 533 Mar 2024 2,001 1,034 319 337 699 2,278 971 250 331 559 Apr 2024 2,196 957 294 331 662 2,445 890 245 370 491 May 2024 2,183 929 320 352 655 2,427 903 231 388 491 Jun 2024 2,073 1,067 304 335 661 2,335 994 234 369 509 Jul 2024 2,322 942 338 293 714 2,577 894 252 327 559 Aug 2024 2,257 960 376 318 700 2,529 929 257 355 539 Sep 2024 2,143 1,084 363 306 715 2,467 987 253 327 576 Table 8.2: Number of Qualifying Hedge Funds by GNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 1,107 520 150 123 201 1,248 453 144 112 144 Oct 2023 1,177 456 138 111 225 1,304 396 144 100 163 Nov 2023 1,149 476 130 119 233 1,286 408 139 106 168 Dec 2023 1,100 522 144 109 232 1,243 449 137 112 166 Jan 2024 1,174 476 123 101 213 1,317 395 119 96 160 34 Feb 2024 1,158 476 135 104 214 1,298 405 120 108 156 Mar 2024 1,116 494 155 101 221 1,249 443 128 104 163 Apr 2024 1,076 457 149 100 216 1,202 404 136 107 149 May 2024 1,064 462 146 108 218 1,195 409 122 121 151 Jun 2024 1,020 508 151 102 218 1,159 448 133 100 159 Jul 2024 1,098 480 143 108 220 1,239 414 129 109 158 Aug 2024 1,102 471 150 113 214 1,244 411 135 105 155 Sep 2024 1,046 517 158 115 214 1,199 451 131 108 161 Analytics Office Table 8.3: Aggregate Net Assets of Qualifying Hedge Funds by LNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 2,400 914 299 210 429 2,757 735 227 237 295 Oct 2023 2,536 755 313 175 465 2,789 676 233 228 317 Nov 2023 2,451 794 309 210 480 2,723 691 272 236 321 Dec 2023 2,375 855 345 197 471 2,649 743 284 249 318 Jan 2024 2,622 781 294 244 449 2,876 684 259 249 323 Feb 2024 2,582 792 296 259 460 2,821 721 272 248 328 Mar 2024 2,516 849 286 278 461 2,687 822 276 281 323 Apr 2024 2,648 806 313 222 451 2,813 773 278 246 330 May 2024 2,631 806 309 244 450 2,786 781 321 207 345 Jun 2024 2,571 876 262 269 463 2,743 823 308 227 340 Jul 2024 2,778 832 265 230 505 2,921 803 278 244 364 Aug 2024 2,772 824 264 231 518 2,936 782 295 248 348 Sep 2024 2,709 855 298 200 548 2,881 813 266 259 391 Table 8.4: Number of Qualifying Hedge Funds by LNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 1,323 454 111 84 129 1,436 410 97 86 72 Oct 2023 1,386 379 107 83 152 1,483 356 92 70 106 Nov 2023 1,346 402 110 92 157 1,450 380 97 77 103 Dec 2023 1,307 435 127 90 148 1,409 404 111 84 99 Jan 2024 1,392 373 97 88 137 1,486 336 97 79 89 35 Feb 2024 1,369 396 96 86 140 1,458 363 99 76 91 Mar 2024 1,334 423 102 85 143 1,418 397 94 87 91 Apr 2024 1,273 403 106 80 136 1,360 374 96 80 88 May 2024 1,274 399 101 84 140 1,358 370 99 83 88 Jun 2024 1,231 440 96 92 140 1,322 410 92 87 88 Jul 2024 1,305 413 103 78 150 1,397 384 89 84 95 Aug 2024 1,314 404 100 79 153 1,406 377 94 78 95 Sep 2024 1,277 429 107 83 154 1,370 406 97 80 97 Analytics Office Table 8.5: Aggregate Net Assets of Qualifying Hedge Funds by SNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 3,103 389 157 175 428 3,282 380 97 196 296 Oct 2023 3,135 319 158 209 423 3,311 321 115 183 313 Nov 2023 3,135 273 191 176 468 3,316 298 128 190 311 Dec 2023 3,134 282 163 250 414 3,298 318 120 183 325 Jan 2024 3,231 347 178 194 440 3,408 359 109 178 335 Feb 2024 3,238 290 185 224 453 3,416 315 149 176 333 Mar 2024 3,224 273 232 209 452 3,409 264 180 217 319 Apr 2024 3,300 297 182 201 459 3,493 247 212 161 326 May 2024 3,289 294 173 221 462 3,475 295 200 126 344 Jun 2024 3,278 315 202 188 457 3,468 313 177 136 347 Jul 2024 3,441 292 169 209 497 3,620 313 137 176 363 Aug 2024 3,416 327 231 135 500 3,661 268 168 154 359 Sep 2024 3,417 314 204 168 508 3,661 231 193 155 372 Table 8.6: Number of Qualifying Hedge Funds by SNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Sep 2023 1,728 130 55 66 122 1,791 127 50 67 66 Oct 2023 1,732 104 57 69 145 1,792 112 46 63 94 Nov 2023 1,726 107 61 68 145 1,799 101 52 63 92 Dec 2023 1,730 108 60 78 131 1,792 113 49 66 87 Jan 2024 1,726 108 51 75 127 1,785 114 40 63 85 36 Feb 2024 1,726 106 52 70 133 1,782 114 48 60 83 Mar 2024 1,716 108 52 75 136 1,778 112 44 69 84 Apr 2024 1,639 105 46 70 138 1,698 102 55 60 83 May 2024 1,631 108 46 72 141 1,690 108 55 59 86 Jun 2024 1,631 108 52 74 134 1,692 109 52 59 87 Jul 2024 1,685 105 51 70 138 1,751 105 45 55 93 Aug 2024 1,681 117 54 60 138 1,755 104 49 49 93 Sep 2024 1,679 116 60 55 140 1,751 105 49 51 94 Analytics Office 8.2 NAV Allocation by Strategy6 Table 8.7: NAV Allocation of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Macro Relative Value Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Global Macro Currency Commodity Active Trading Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Subtotal Total 2022Q3 941 414 *** *** 1,687 1,427 740 44 92 2 879 638 115 84 72 60 969 367 140 507 201 93 101 394 *** *** 258 68 6,189 2022Q4 1,020 438 *** *** 1,797 1,464 895 37 58 2 992 627 121 82 54 66 950 378 149 527 203 72 96 371 *** *** 196 71 6,369 2023Q1 1,053 448 *** *** 1,851 1,489 813 *** 44 *** 890 706 103 88 76 61 1,035 390 154 543 201 75 106 382 *** *** 195 84 6,470 2023Q2 1,063 453 *** *** 1,886 1,514 980 *** 40 *** 1,052 722 129 94 85 61 1,091 370 168 538 210 85 102 397 *** *** 287 86 6,851 2023Q3 1,033 434 *** *** 1,796 1,542 996 *** 33 *** 1,062 761 135 93 79 64 1,132 372 170 542 208 99 85 392 *** *** 259 109 6,834 2023Q4 1,096 448 *** *** 1,889 1,524 1,181 34 30 2 1,246 943 144 103 94 65 1,349 382 191 573 213 87 88 388 *** *** 211 104 7,283 2024Q1 1,177 466 *** *** 2,010 1,586 1,258 38 38 2 1,336 879 140 109 90 57 1,275 391 199 591 219 106 79 404 *** *** 249 94 7,545 2024Q2 1,189 479 *** *** 2,058 1,631 1,246 31 28 1 1,306 904 145 115 72 57 1,295 408 196 604 219 106 80 405 *** *** 276 86 7,660 2024Q3 1,214 515 *** *** 2,149 1,716 1,514 39 32 1 1,586 1,040 154 126 82 68 1,470 419 201 620 226 111 84 421 *** *** 277 96 8,336 6 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 37 Analytics Office Table 8.8: NAV Allocation of Qualifying Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Macro Relative Value Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Global Macro Currency Commodity Active Trading Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Subtotal Total 2022Q3 25.0 11.0 *** *** 44.8 37.9 19.7 1.2 2.4 0.1 23.3 16.9 3.1 2.2 1.9 1.6 25.7 9.8 3.7 13.5 5.3 2.5 2.7 10.5 *** *** 6.8 1.8 164.3 2022Q4 26.9 11.6 *** *** 47.4 38.6 23.6 1.0 1.5 0.1 26.2 16.6 3.2 2.2 1.4 1.7 25.1 10.0 3.9 13.9 5.4 1.9 2.5 9.8 *** *** 5.2 1.9 168.1 38 2023Q1 27.1 11.6 *** *** 47.7 38.4 21.0 *** 1.1 *** 22.9 18.2 2.7 2.3 2.0 1.6 26.7 10.0 4.0 14.0 5.2 1.9 2.7 9.9 *** *** 5.0 2.2 166.8 2023Q2 27.0 11.5 *** *** 47.9 38.5 24.9 *** 1.0 *** 26.7 18.3 3.3 2.4 2.2 1.6 27.7 9.4 4.3 13.7 5.3 2.2 2.6 10.1 *** *** 7.3 2.2 174.1 2023Q3 26.1 10.9 *** *** 45.3 38.9 25.1 *** 0.8 *** 26.8 19.2 3.4 2.3 2.0 1.6 28.6 9.4 4.3 13.7 5.2 2.5 2.1 9.9 *** *** 6.5 2.8 172.5 2023Q4 27.6 11.3 *** *** 47.6 38.4 29.8 0.9 0.7 0.0 31.4 23.8 3.6 2.6 2.4 1.6 34.0 9.6 4.8 14.5 5.4 2.2 2.2 9.8 *** *** 5.3 2.6 183.7 2024Q1 28.7 11.4 *** *** 49.1 38.7 30.7 0.9 0.9 0.0 32.6 21.4 3.4 2.7 2.2 1.4 31.1 9.6 4.9 14.4 5.3 2.6 1.9 9.9 *** *** 6.1 2.3 184.1 2024Q2 29.0 11.7 *** *** 50.2 39.8 30.4 0.8 0.7 0.0 31.9 22.1 3.5 2.8 1.8 1.4 31.6 10.0 4.8 14.7 5.3 2.6 2.0 9.9 *** *** 6.7 2.1 187.0 2024Q3 28.5 12.1 *** *** 50.5 40.3 35.6 0.9 0.8 0.0 37.3 24.4 3.6 2.9 1.9 1.6 34.5 9.8 4.7 14.6 5.3 2.6 2.0 9.9 *** *** 6.5 2.3 195.8 Analytics Office 8.3 Aggregates by Strategy Table 8.9: Aggregate Qualifying Hedge Fund GAV, by Strategy As reported on Form PF, Questions 8, 10 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Gross asset value is then summed for each strategy in each quarter. Strategy Equity Multi-Strategy Relative Value Macro Other Credit Event Driven Managed Futures/CTA Investment in other funds 2022Q3 1,581 1,276 1,213 917 1,070 331 299 131 51 2022Q4 1,664 1,363 1,082 936 1,104 348 292 109 57 2023Q1 1,655 1,490 1,029 916 1,143 359 295 133 59 2023Q2 1,813 1,563 1,192 1,001 1,120 363 287 128 59 2023Q3 1,747 1,705 1,136 1,023 1,068 396 266 124 65 2023Q4 1,795 1,213 1,836 1,145 1,134 402 264 91 44 2024Q1 1,946 1,728 1,274 1,231 1,149 424 254 110 39 2024Q2 2,108 1,595 1,379 1,158 1,164 446 254 116 40 2024Q3 2,329 1,604 1,469 1,434 1,283 467 271 131 41 Table 8.10: Aggregate Qualifying Hedge Fund NAV, by Strategy As reported on Form PF, Questions 9, 10 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Net asset value is then summed for each strategy in each quarter. Strategy Equity Other Multi-Strategy Credit Event Driven Relative Value Macro Managed Futures/CTA Investment in other funds 2022Q3 988 728 435 199 223 196 197 80 37 2022Q4 1,021 748 392 205 218 183 191 74 44 2023Q1 1,019 776 411 209 226 178 178 84 44 2023Q2 1,094 780 399 206 213 192 176 83 41 39 2023Q3 1,055 738 424 229 207 182 175 75 42 2023Q4 1,063 778 309 233 206 267 191 60 28 2024Q1 1,148 796 402 237 204 193 186 59 30 2024Q2 1,220 803 309 259 202 188 172 61 30 2024Q3 1,218 846 363 269 215 202 187 53 31 Analytics Office Table 8.11: Aggregate Qualifying Hedge Fund Borrowing, by Strategy As reported on Form PF, Questions 43 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Borrowing is then summed for each strategy in each quarter. Strategy Equity Multi-Strategy Macro Relative Value Other Credit Managed Futures/CTA Event Driven Investment in other funds 2022Q3 752 855 476 762 239 95 29 57 6 2022Q4 799 939 516 703 254 105 33 54 6 2023Q1 873 1,067 560 705 260 124 41 55 9 2023Q2 921 1,180 635 808 219 122 47 58 16 2023Q3 859 1,245 618 755 219 121 50 43 17 2023Q4 938 844 725 1,349 230 119 74 38 15 2024Q1 1,046 1,377 811 886 242 136 60 47 1 2024Q2 1,168 1,349 764 942 257 138 65 49 2 2024Q3 1,381 1,328 1,149 1,029 310 149 55 50 3 Table 8.12: Aggregate Qualifying Hedge Fund Derivatives, by Strategy As reported on Form PF, Questions 44 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Derivatives is then summed for each strategy in each quarter. Strategy Macro Relative Value Multi-Strategy Equity Managed Futures/CTA Other Credit Event Driven Investment in other funds 2022Q3 4,691 2,334 2,774 1,327 1,109 885 277 95 98 2022Q4 5,654 1,814 3,241 1,363 988 842 251 98 74 2023Q1 4,933 2,018 3,307 1,418 930 868 265 95 103 2023Q2 5,465 2,346 3,242 1,011 1,317 891 267 115 93 40 2023Q3 5,566 2,340 3,471 1,001 1,285 844 294 119 86 2023Q4 5,907 3,799 2,328 971 832 804 270 101 46 2024Q1 6,128 2,717 3,441 1,129 1,208 844 303 71 50 2024Q2 5,783 3,183 3,718 1,333 1,409 861 339 74 46 2024Q3 6,775 3,637 3,187 2,061 1,277 1,061 333 73 54 Analytics Office 8.4 Leverage by Strategy Table 8.13: NAV-Weighted Average Ratio of GAV to NAV, by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Macro Relative Value Multi-Strategy Managed Futures/CTA Equity Credit Other Investment in other funds Event Driven 2022Q3 4.6 6.2 2.9 1.6 1.6 1.7 1.5 1.4 1.3 2022Q4 4.9 5.9 3.5 1.5 1.6 1.7 1.5 1.3 1.3 2023Q1 5.1 5.8 3.6 1.6 1.6 1.7 1.5 1.4 1.3 2023Q2 5.7 6.2 3.9 1.5 1.7 1.8 1.4 1.4 1.3 2023Q3 5.8 6.2 4.0 1.7 1.7 1.7 1.4 1.6 1.3 2023Q4 6.0 6.9 3.9 1.5 1.7 1.7 1.5 1.6 1.3 2024Q1 6.6 6.6 4.3 1.9 1.7 1.8 1.4 1.3 1.2 2024Q2 6.7 7.3 5.2 1.9 1.7 1.7 1.5 1.3 1.3 2024Q3 7.7 7.3 4.4 2.5 1.9 1.7 1.5 1.3 1.3 Table 8.14: NAV-Weighted Average Ratio of GNE to NAV, by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Equity Credit Investment in other funds Other Event Driven 2022Q3 29.3 23.8 14.0 11.0 3.4 3.2 4.0 2.9 1.8 2022Q4 34.4 21.3 14.3 14.0 3.5 3.2 3.0 2.9 1.8 2023Q1 35.2 23.1 12.1 14.1 3.6 3.4 3.7 2.7 2.1 2023Q2 39.5 25.5 17.1 14.8 3.1 3.5 3.8 2.7 2.1 2023Q3 40.6 25.4 18.6 15.6 3.1 3.4 3.8 2.7 1.9 2023Q4 40.8 27.4 14.8 14.1 3.1 3.4 3.6 2.7 1.8 2024Q1 46.0 26.5 22.1 16.5 3.2 3.6 3.0 2.6 1.7 2024Q2 46.2 30.5 24.9 22.8 3.3 3.5 3.0 2.7 1.7 2024Q3 52.2 31.5 26.4 17.4 4.4 3.5 3.2 3.0 1.7 Table 8.15: NAV-Weighted Average Percent of Unencumbered Cash, by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Managed Futures/CTA Macro Multi-Strategy Relative Value Equity Other Event Driven Credit Investment in other funds 2022Q3 54.2 43.6 27.9 25.0 13.7 12.3 10.0 7.3 5.5 2022Q4 49.3 45.7 30.5 23.5 13.9 11.5 9.8 8.9 6.1 2023Q1 39.9 43.3 27.3 25.9 12.4 9.5 8.1 8.5 7.9 2023Q2 38.8 41.4 25.7 26.6 11.1 9.0 8.4 7.4 12.0 41 2023Q3 45.3 42.2 26.0 25.4 11.4 8.7 7.5 7.2 12.4 2023Q4 44.0 40.3 20.6 25.4 11.2 8.6 7.7 6.1 1.5 2024Q1 41.4 33.4 24.9 25.5 9.2 8.6 6.9 5.8 1.1 2024Q2 45.1 35.3 25.1 23.3 9.6 8.4 7.4 5.2 1.0 2024Q3 38.6 33.4 23.8 22.8 9.5 8.2 7.1 5.7 1.1 Analytics Office 8.5 Investment Exposures Table 8.16: Aggregate Qualifying Hedge Fund Long Notional Exposure, by Investment Type ($ Billions) As reported on Form PF, Questions 26 and 30. Type Interest Rate Derivatives Foreign Exchange Derivatives U.S. Treasury Securities Non-Financial Listed Equities Repurchase Agreements Sovereign Bonds - Non-U.S. G10 Non-Financial Equity Derivatives Non-Financial Unlisted Equities Credit Derivatives Cash/Cash Equivalents - Other Leveraged Loans Financial Listed Equities MBS Non-Financial Corporate Bonds Commodity Derivatives Sovereign Bonds - Other Other Private Funds Cash/Cash Equivalents - Deposits Other Derivatives Cash/Cash Equivalents - MMFs Other Loans (Excluding Repo) Physical Real Estate Non-Financial Convertible Bonds Non-U.S. Currency Holdings Other Financial Equity Derivatives U.S. Agency and GSE Securities Financial Corporate Bonds Other ABS/Structured Products CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Sep 2023 3,646 2,239 1,437 1,518 1,060 696 890 527 432 374 320 217 183 217 218 130 184 151 112 164 145 204 122 136 136 59 53 60 55 37 35 17 11 7 4 Oct 2023 3,765 2,380 1,485 1,436 1,069 732 831 483 403 358 297 212 201 216 194 137 193 157 100 162 128 72 123 130 128 58 48 60 60 37 30 16 10 7 3 Nov 2023 4,017 2,605 1,497 1,535 1,147 849 928 489 393 414 299 227 197 221 201 155 189 165 123 156 129 73 131 137 127 65 57 62 67 38 33 17 11 8 4 Dec 2023 3,854 2,134 1,610 1,620 1,036 868 886 521 379 436 332 243 198 223 191 167 194 162 121 174 148 171 139 123 129 65 53 63 67 40 33 17 12 8 4 Jan 2024 3,896 2,345 1,645 1,611 1,126 906 870 500 423 393 303 242 202 220 203 170 183 171 139 162 134 74 134 148 115 71 59 63 61 40 35 16 12 8 4 42 Feb 2024 3,908 2,471 1,592 1,695 1,160 917 965 498 426 415 303 250 192 221 194 162 184 188 132 149 133 74 138 155 124 79 52 63 57 41 35 15 12 8 4 Mar 2024 3,897 2,386 1,629 1,763 1,128 853 960 540 465 405 347 263 192 225 235 160 199 179 129 146 153 167 144 141 132 83 51 64 64 42 36 16 11 9 4 Apr 2024 3,984 2,637 1,525 1,704 1,148 876 963 506 476 417 296 256 184 219 323 155 182 183 333 146 137 69 138 139 118 87 48 62 60 38 35 15 13 8 4 May 2024 4,083 2,897 1,604 1,747 1,165 928 1,030 509 490 423 302 264 187 225 389 172 183 192 134 147 136 69 147 153 121 89 49 64 59 40 34 16 14 8 4 Jun 2024 4,028 2,649 1,717 1,781 1,083 877 962 551 489 435 345 264 196 224 314 172 199 195 130 151 158 163 147 141 123 80 53 62 68 41 35 17 14 8 4 Jul 2024 4,378 3,158 1,927 1,755 1,116 1,077 1,068 531 508 446 316 275 211 225 225 201 197 203 131 146 138 72 147 159 124 77 57 67 70 40 37 17 14 10 5 Aug 2024 4,699 3,115 1,993 1,763 1,144 1,043 1,096 531 517 465 320 274 230 224 223 203 198 258 146 153 142 72 145 169 118 79 69 66 64 40 37 17 15 11 5 Sep 2024 4,834 2,796 2,040 1,830 1,147 1,122 1,062 630 534 485 343 282 238 231 230 220 208 182 180 171 164 161 149 142 130 81 75 70 66 42 39 17 14 11 5 Analytics Office Table 8.17: Aggregate Qualifying Hedge Fund Short Notional Exposure, by Investment Type ($ Billions) As reported on Form PF, Questions 26 and 30. Type Interest Rate Derivatives Foreign Exchange Derivatives U.S. Treasury Securities Non-Financial Listed Equities Repurchase Agreements Sovereign Bonds - Non-U.S. G10 Non-Financial Equity Derivatives Non-Financial Unlisted Equities Credit Derivatives Cash/Cash Equivalents - Other Leveraged Loans Financial Listed Equities MBS Non-Financial Corporate Bonds Commodity Derivatives Sovereign Bonds - Other Other Private Funds Cash/Cash Equivalents - Deposits Other Derivatives Cash/Cash Equivalents - MMFs Other Loans (Excluding Repo) Physical Real Estate Non-Financial Convertible Bonds Non-U.S. Currency Holdings Other Financial Equity Derivatives U.S. Agency and GSE Securities Financial Corporate Bonds Other ABS/Structured Products CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Sep 2023 4,018 1,695 1,207 741 1,633 843 915 1 463 113 9 105 39 67 175 75 0 107 106 *** 15 *** 2 111 21 51 29 18 14 5 0 0 0 0 0 Oct 2023 3,991 1,724 1,205 723 1,575 864 902 1 462 105 9 104 44 65 165 81 0 115 101 *** 14 *** 2 113 22 52 28 18 15 4 0 *** 0 0 0 Nov 2023 4,092 1,785 1,188 778 1,812 912 912 1 466 107 9 116 40 68 165 86 0 109 106 *** 14 *** 2 134 21 53 24 17 21 4 0 *** 0 0 0 Dec 2023 3,903 1,558 1,259 808 1,802 926 853 4 446 150 5 119 45 71 160 92 0 97 98 *** 15 *** 2 107 24 54 27 17 20 4 0 *** 0 0 0 Jan 2024 4,044 1,766 1,373 802 1,959 962 845 1 451 140 9 113 49 72 182 89 0 107 110 0 15 *** 2 125 23 65 35 18 19 4 0 *** 0 0 0 43 Feb 2024 4,137 1,837 1,346 843 1,934 995 924 1 452 138 9 118 43 72 177 92 0 116 121 0 14 *** 2 150 24 70 32 18 17 4 0 *** 0 0 0 Mar 2024 4,198 1,819 1,348 882 1,836 976 916 1 491 150 9 122 42 74 184 85 0 116 107 0 15 *** 2 145 25 84 31 19 20 4 0 *** 0 0 0 Apr 2024 4,293 1,908 1,254 871 1,898 1,009 940 1 480 145 8 118 37 76 217 92 *** 129 116 0 15 *** 2 146 25 77 25 20 19 4 0 0 4 0 0 May 2024 4,548 2,024 1,332 900 1,999 1,027 1,004 1 501 158 9 120 38 80 225 92 *** 128 114 0 15 *** 2 153 26 88 21 20 15 4 0 0 4 0 0 Jun 2024 4,346 1,996 1,372 895 2,008 955 961 1 549 189 9 119 43 77 213 77 0 149 98 0 15 *** 2 149 27 75 22 20 19 4 0 *** 4 0 0 Jul 2024 4,465 2,306 1,598 898 2,229 1,125 1,034 1 569 161 10 121 47 81 215 90 *** 146 64 0 14 *** 2 179 28 66 22 18 21 4 0 0 5 0 0 Aug 2024 4,462 2,203 1,632 911 2,287 1,091 1,048 2 569 196 10 129 52 80 202 88 *** 175 68 0 15 *** 2 171 28 69 31 19 20 4 0 0 6 0 0 Sep 2024 4,558 1,996 1,669 924 2,489 1,176 1,030 4 596 173 11 127 56 81 194 93 0 107 75 0 15 *** 2 160 28 73 33 19 22 4 0 *** 6 0 0 Analytics Office 8.6 Number of Positions Table 8.18: Aggregate Net Assets of Qualifying Hedge Funds with Open Positions ($ Billions) As reported on Form PF, Questions 9, 10, and 34. See the appendix for a review of interval notation used here. Open Positions Less than 10 [10,100) [100,500) [500,1000) [1000,2500) 2500 or more Sep 2023 287 1,051 1,321 304 358 931 Oct 2023 413 1,028 1,244 302 367 890 Nov 2023 416 1,003 1,269 296 355 904 Dec 2023 294 1,053 1,315 324 355 902 Jan 2024 442 1,046 1,309 293 370 929 Feb 2024 437 1,056 1,303 288 374 932 Mar 2024 300 1,098 1,371 298 375 948 Apr 2024 523 1,063 1,269 286 381 918 May 2024 524 1,058 1,270 291 377 919 Jun 2024 377 1,091 1,360 308 380 925 Jul 2024 532 1,104 1,353 276 397 947 Aug 2024 517 1,103 1,371 270 398 951 Sep 2024 360 1,171 1,396 303 425 954 Table 8.19: Number of Qualifying Hedge Funds with Open Positions As reported on Form PF, Questions 9, 10, and 34. See the appendix for a review of interval notation used here. Open Positions Less than 10 [10,100) [100,500) [500,1000) [1000,2500) 2500 or more Sep 2023 233 664 673 193 164 174 Oct 2023 320 625 640 188 158 176 Nov 2023 328 614 647 182 156 180 Dec 2023 259 660 668 186 161 173 Jan 2024 323 617 653 173 153 168 Feb 2024 318 624 650 173 152 170 Mar 2024 241 662 685 168 155 176 Apr 2024 318 573 622 159 156 170 May 2024 319 575 618 160 155 171 Jun 2024 231 625 649 167 152 175 Jul 2024 335 589 627 163 157 178 Aug 2024 336 587 636 154 155 182 Sep 2024 244 634 666 158 164 184 Table 8.20: Aggregate Net Assets of Qualifying Hedge Funds with Open Positions that Represent Five Percent or More of Net Assets ($ Billions) As reported on Form PF, Questions 9, 10, and 35. See the appendix for a review of interval notation used here. Large Open Positions None Less than 5 [5,10) [10,25) 25 or more Sep 2023 1,077 1,806 889 289 189 Oct 2023 1,364 1,665 817 235 162 Nov 2023 1,356 1,593 857 277 160 Dec 2023 1,100 1,691 907 354 190 Jan 2024 1,377 1,589 907 310 207 Feb 2024 1,359 1,561 947 330 192 Mar 2024 1,122 1,806 919 337 205 Apr 2024 1,386 1,718 856 276 204 May 2024 1,391 1,718 842 276 213 Jun 2024 1,112 1,810 999 316 204 Jul 2024 1,443 1,692 1,022 234 217 Aug 2024 1,436 1,717 903 320 234 Sep 2024 1,175 1,801 1,127 270 236 Table 8.21: Number of Qualifying Hedge Funds with Open Positions that Represent Five Percent or More of Net Assets As reported on Form PF, Questions 9, 10, and 35. See the appendix for a review of interval notation used here. Large Open Positions None Less than 5 [5,10) [10,25) 25 or more Sep 2023 535 911 464 135 56 Oct 2023 668 858 410 118 53 Nov 2023 665 848 417 125 52 Dec 2023 550 891 465 152 49 Jan 2024 646 829 426 128 58 Feb 2024 639 809 455 125 59 44 Mar 2024 526 886 477 135 63 Apr 2024 623 770 416 128 61 May 2024 625 764 418 129 62 Jun 2024 501 846 444 149 59 Jul 2024 648 797 417 123 64 Aug 2024 645 798 408 136 63 Sep 2024 524 854 456 152 64 Analytics Office 8.7 Liquidity Table 8.22: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2022Q3 5.5 8.2 19.0 35.5 47.3 59.0 2022Q4 5.6 8.2 18.5 37.7 45.4 58.3 2023Q1 5.4 7.5 18.6 34.4 45.3 56.6 2023Q2 5.6 7.8 17.9 34.1 44.3 56.4 2023Q3 5.4 7.5 17.2 33.3 44.9 55.2 2023Q4 6.0 8.2 17.8 33.5 43.6 55.5 2024Q1 5.9 7.8 17.8 33.3 44.0 56.5 2024Q2 7.3 9.2 18.3 34.1 44.8 57.7 2024Q3 7.4 9.5 18.7 34.5 45.9 57.2 Table 8.23: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2022Q3 33.5 50.3 61.2 67.5 72.8 78.6 2022Q4 32.2 49.3 60.2 66.4 71.7 77.8 2023Q1 31.4 48.9 59.0 65.1 70.7 76.5 2023Q2 31.2 49.0 59.6 65.6 70.6 76.6 2023Q3 30.3 48.3 58.2 64.3 69.4 75.6 2023Q4 30.7 48.7 58.9 65.2 69.9 76.1 2024Q1 30.8 48.7 59.2 65.2 69.9 76.1 2024Q2 31.2 48.9 59.2 64.9 69.7 75.8 2024Q3 31.0 48.6 59.0 64.9 69.5 75.9 Table 8.24: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Gated Side-Pocketed Suspended 2022Q3 2,534 1,754 75 96 13 2022Q4 2,499 1,728 81 90 20 2023Q1 2,555 1,757 80 87 22 2023Q2 2,566 1,762 81 90 23 45 2023Q3 2,565 1,757 76 86 20 2023Q4 2,543 1,733 84 89 17 2024Q1 2,648 1,814 92 95 16 2024Q2 2,659 1,825 87 89 17 2024Q3 2,766 1,848 102 90 23 Analytics Office Table 8.25: Aggregate Net Assets of Qualifying Hedge Funds by Percent of NAV Side-Pocketed ($ Billions) As reported on Form PF, Questions 9 and 48(a). See the appendix for a review of interval notation used here. Percent of NAV 0% (0%,25%] (25%,50%] (50%,100%] 2022Q3 3,336 290 78 62 2022Q4 3,368 295 70 57 2023Q1 3,443 307 72 55 2023Q2 3,499 292 89 55 2023Q3 3,538 293 76 55 2023Q4 3,536 295 71 61 2024Q1 3,660 303 73 65 2024Q2 3,676 291 72 57 2024Q3 3,819 313 70 58 Table 8.26: Number of Qualifying Hedge Funds by Percent of NAV SidePocketed As reported on Form PF, Questions 9 and 48(a). See the appendix for a review of interval notation used here. Percent of NAV 0% (0%,25%] (25%,50%] (50%,100%] 2022Q3 1,900 101 24 16 2022Q4 1,938 102 22 13 2023Q1 1,910 105 19 13 2023Q2 1,957 98 23 13 46 2023Q3 1,962 104 22 13 2023Q4 1,965 105 20 17 2024Q1 1,946 104 18 19 2024Q2 1,860 105 19 14 2024Q3 1,916 105 16 13 Analytics Office 8.8 Borrowings Table 8.27: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43. Type Secured Unsecured Total Sep 2023 1,807 1,604 563 3,973 37 4,010 Subtype Prime Broker Reverse Repo Other Secured Subtotal Subtotal Total Oct 2023 1,791 1,676 491 3,958 27 3,986 Nov 2023 1,940 1,843 493 4,275 27 4,303 Dec 2023 2,075 1,765 547 4,387 35 4,422 Jan 2024 2,066 1,945 509 4,520 29 4,549 Feb 2024 2,177 1,940 504 4,622 29 4,651 Mar 2024 2,298 1,821 550 4,669 43 4,712 Apr 2024 2,246 1,876 509 4,630 23 4,653 May 2024 2,348 1,984 515 4,847 23 4,870 Jun 2024 2,325 1,969 549 4,843 33 4,876 Jul 2024 2,405 2,184 487 5,076 23 5,099 Aug 2024 2,436 2,263 493 5,191 23 5,215 Sep 2024 2,518 2,465 545 5,528 33 5,561 Table 8.28: Percent of Aggregate Qualifying Hedge Fund Prime Broker Borrowings Reported by Top Qualfiying Hedge Funds Sorted by Prime Broker Borrowings As reported on Form PF, Question 43. Top 10 Top 25 Top 50 Top 100 Top 250 Sep 2023 34.9 53.7 68.5 81.3 94.6 Oct 2023 37.3 56.5 70.9 82.8 95.1 Nov 2023 38.7 57.8 72.1 83.3 95.4 Dec 2023 37.8 57.7 72.1 83.7 95.5 Jan 2024 38.1 57.0 71.7 83.1 95.3 Feb 2024 38.9 58.0 71.6 82.9 95.3 Mar 2024 39.5 58.4 71.7 83.1 95.3 Apr 2024 37.6 56.6 70.7 82.6 95.1 May 2024 37.9 56.3 70.3 82.5 95.1 Jun 2024 38.2 56.4 70.6 82.8 95.1 Jul 2024 37.0 55.4 69.8 82.3 95.0 Aug 2024 37.6 56.4 69.8 82.3 95.2 Sep 2024 37.5 56.3 70.1 82.2 95.0 Table 8.29: Percent of Aggregate Qualifying Hedge Fund Reverse Repo Borrowing Reported by Top Qualfiying Hedge Funds Sorted by Reverse Repo Borrowing As reported on Form PF, Question 43. Top 10 Top 25 Top 50 Top 100 Top 250 Sep 2023 58.8 84.1 93.4 97.9 99.9 Oct 2023 60.8 85.0 93.5 98.1 100.0 Nov 2023 62.1 86.1 94.4 98.3 100.0 Dec 2023 61.8 85.7 93.9 98.1 100.0 Jan 2024 59.5 85.4 94.0 98.2 100.0 Feb 2024 59.2 85.1 93.9 98.3 100.0 Mar 2024 57.9 83.2 93.0 98.1 100.0 47 Apr 2024 59.8 84.6 93.8 98.4 100.0 May 2024 60.6 85.2 94.1 98.5 100.0 Jun 2024 59.7 84.0 93.8 98.5 100.0 Jul 2024 58.4 83.1 93.8 98.4 100.0 Aug 2024 60.1 84.3 94.1 98.5 100.0 Sep 2024 58.2 82.7 93.7 98.5 100.0 Analytics Office Table 8.30: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43. Borrowing Type Total Secured Prime Broker Reverse Repo Other Secured Collateral Type Non-Cash Cash Subtotal Non-Cash Cash Subtotal Non-Cash Cash Subtotal Non-Cash Cash Subtotal Sep 2023 3,103 1,469 4,572 1,513 692 2,205 1,010 627 1,637 580 150 730 Oct 2023 3,016 1,504 4,520 1,482 703 2,185 1,045 664 1,708 490 137 627 Nov 2023 3,227 1,628 4,855 1,605 746 2,351 1,131 747 1,878 490 135 625 Dec 2023 3,390 1,583 4,973 1,689 759 2,448 1,147 672 1,819 554 153 707 Jan 2024 3,450 1,615 5,065 1,732 752 2,483 1,238 715 1,952 481 148 629 Feb 2024 3,535 1,680 5,215 1,824 801 2,625 1,221 734 1,955 490 145 634 Mar 2024 3,608 1,652 5,260 1,885 830 2,715 1,148 686 1,834 575 136 711 Apr 2024 3,527 1,649 5,176 1,822 800 2,622 1,199 706 1,905 506 143 649 May 2024 3,753 1,716 5,469 1,933 841 2,774 1,284 735 2,019 537 140 676 Jun 2024 3,840 1,654 5,494 1,917 831 2,748 1,299 690 1,989 624 133 757 Jul 2024 3,973 1,779 5,753 1,996 865 2,861 1,429 792 2,221 548 123 671 Aug 2024 4,015 1,852 5,867 2,012 918 2,930 1,468 828 2,296 535 106 641 Sep 2024 4,306 1,933 6,239 2,065 909 2,974 1,603 900 2,504 639 123 762 Table 8.31: Aggregate Borrowing of Qualifying Hedge Funds by Collateral to Borrowing Ratio ($ Billions) As reported on Form PF, Question 43. See the appendix for a review of interval notation used here. Borrowing Type Prime Broker Reverse Repo Other Secured Total Secured Ratio Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Sep 2023 424 145 1,238 615 748 241 259 142 162 1,190 1,360 1,423 Oct 2023 436 134 1,221 391 1,192 93 111 245 135 1,190 1,442 1,326 Nov 2023 435 78 1,426 400 1,247 195 215 141 136 1,548 1,132 1,594 Dec 2023 569 114 1,392 100 1,450 215 326 52 169 1,281 1,382 1,725 Jan 2024 463 87 1,516 188 1,656 101 232 142 135 1,318 1,604 1,598 Feb 2024 515 128 1,535 334 1,502 104 148 215 141 1,522 1,591 1,508 Mar 2024 514 141 1,642 633 1,070 119 237 141 172 1,773 1,215 1,681 Apr 2024 559 213 1,474 801 885 189 200 166 143 1,446 1,648 1,535 May 2024 552 208 1,588 371 1,493 121 202 170 143 1,530 1,561 1,756 Jun 2024 573 182 1,570 479 1,363 127 223 151 175 1,526 1,708 1,608 Jul 2024 549 207 1,649 156 1,940 88 177 172 138 1,490 1,791 1,795 Aug 2024 564 213 1,659 508 1,636 119 270 76 146 1,835 1,492 1,864 Sep 2024 711 421 1,386 650 1,570 245 206 162 177 1,697 1,766 2,064 Table 8.32: Number of Qualifying Hedge Funds by Collateral to Borrowing Ratio As reported on Form PF, Question 43. See the appendix for a review of interval notation used here. Borrowing Type Prime Broker Reverse Repo Other Secured Total Secured Ratio Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Sep 2023 142 156 425 68 93 160 196 71 257 305 204 686 Oct 2023 149 150 402 47 106 161 168 73 242 288 205 655 Nov 2023 148 147 394 44 98 173 171 69 236 283 198 651 Dec 2023 159 139 390 35 102 180 189 67 255 306 201 662 Jan 2024 135 157 402 52 95 141 132 66 222 242 226 636 48 Feb 2024 142 141 406 59 91 142 131 66 216 254 199 640 Mar 2024 138 146 407 49 101 141 150 71 249 273 215 664 Apr 2024 138 150 414 60 90 137 136 72 220 254 215 650 May 2024 134 147 409 51 98 137 134 75 221 248 222 642 Jun 2024 137 143 422 53 88 137 154 74 247 272 221 672 Jul 2024 148 130 420 50 99 136 136 82 229 261 221 653 Aug 2024 148 139 406 53 94 136 135 78 219 260 226 635 Sep 2024 146 146 413 56 97 136 158 80 247 285 230 665 Analytics Office Table 8.33: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Questions 46. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2022Q3 27.4 47.2 62.4 75.7 92.8 94.2 2022Q4 25.4 41.5 61.7 75.3 91.8 94.0 2023Q1 28.7 48.1 63.9 76.4 92.8 94.7 2023Q2 28.2 48.7 63.8 77.3 92.8 94.6 2023Q3 25.5 50.1 64.9 78.4 92.6 94.7 2023Q4 26.4 44.8 65.3 78.7 93.5 95.4 2024Q1 31.1 48.7 64.5 78.0 93.6 95.3 2024Q2 37.1 49.7 65.3 78.4 93.7 95.5 2024Q3 39.4 52.2 67.5 78.8 93.2 94.9 Table 8.34: Aggregate Borrowing by Creditor Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2022Q3 65.0 33.8 1.1 0.0 2022Q4 63.7 35.3 1.0 0.1 2023Q1 63.1 36.0 0.8 0.0 2023Q2 63.5 35.8 0.7 0.0 2023Q3 62.4 37.0 0.6 0.1 2023Q4 61.1 38.4 0.5 0.0 2024Q1 65.0 34.3 0.7 0.1 2024Q2 64.8 34.4 0.7 0.1 2024Q3 61.8 37.4 0.7 0.1 Table 8.35: Aggregate Borrowing of Qualifying Hedge Funds Reporting Major Creditors, Bucketed by Number of Creditors to which the Fund Owes Five Percent or More of Net Assets ($ Billions) As reported on Form PF, Question 43 and 47. See the appendix for a review of interval notation used here. Creditors Reported None 1 2 3 4 [5,10) 10 or more 2022Q3 236 114 182 218 308 776 1,511 2022Q4 233 117 182 316 166 765 1,722 2023Q1 247 125 307 229 155 723 1,993 2023Q2 249 128 370 191 229 752 2,169 2023Q3 235 133 183 367 199 794 2,314 2023Q4 266 131 176 389 243 882 2,575 2024Q1 282 130 171 415 270 871 2,820 2024Q2 107 129 173 466 260 1,183 2,798 2024Q3 122 137 186 368 415 1,029 3,572 Table 8.36: Number of Qualifying Hedge Funds Reporting Major Creditors, Bucketed by Number of Creditors to which the Fund Owes Five Percent or More of Net Assets As reported on Form PF, Question 43 and 47. See the appendix for a review of interval notation used here. Creditors Reported None 1 2 3 4 [5,10) 10 or more 2022Q3 427 285 196 136 99 116 30 2022Q4 412 301 199 139 82 122 36 2023Q1 403 309 203 128 85 112 40 2023Q2 409 290 224 128 90 110 44 49 2023Q3 413 316 185 142 94 104 48 2023Q4 393 319 179 148 86 107 47 2024Q1 425 295 177 155 90 94 53 2024Q2 411 282 169 147 95 111 50 2024Q3 412 278 174 152 109 113 52 Analytics Office 8.9 Central Clearing Table 8.37: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Questions 9 and 39. Measure Percent of Funds Percent of NAV 2022Q3 13.5 13.2 2022Q4 12.9 12.3 2023Q1 12.8 12.5 2023Q2 14.0 13.2 50 2023Q3 14.1 13.2 2023Q4 13.8 13.3 2024Q1 13.9 13.1 2024Q2 13.1 11.3 2024Q3 14.0 12.8 Analytics Office 8.10 Value-at-Risk (“VaR”) Reporting Table 8.38: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Questions 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2022Q3 693 283 186 220 50 1,348 2022Q4 650 279 181 181 53 1,425 2023Q1 624 270 181 167 47 1,423 2023Q2 646 283 181 171 51 1,445 2023Q3 637 284 173 169 51 1,464 2023Q4 628 284 172 159 51 1,479 2024Q1 596 261 163 157 53 1,491 2024Q2 626 257 183 167 55 1,372 2024Q3 646 264 187 171 60 1,404 Table 8.39: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2022Q3 4,258 2,138 916 641 1,095 3,439 2022Q4 4,319 2,167 945 556 1,220 3,509 2023Q1 4,427 2,254 938 560 1,233 3,570 2023Q2 4,756 2,486 908 577 1,389 3,676 2023Q3 5,088 2,687 922 558 1,550 3,667 2023Q4 5,395 3,062 946 535 1,559 3,813 2024Q1 5,459 3,058 996 601 1,523 3,975 2024Q2 5,543 3,154 1,240 580 1,323 4,030 2024Q3 6,164 3,557 1,092 646 1,699 4,200 Table 8.40: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2022Q3 1,417 612 372 373 200 2,349 2022Q4 1,350 585 373 330 191 2,441 2023Q1 1,345 588 367 325 199 2,533 2023Q2 1,356 599 352 329 209 2,580 51 2023Q3 1,355 610 341 319 225 2,607 2023Q4 1,329 607 338 309 211 2,636 2024Q1 1,356 607 349 323 223 2,745 2024Q2 1,353 610 377 318 198 2,743 2024Q3 1,403 634 372 323 231 2,857 Analytics Office 8.11 Stress Testing and VaR Table 8.41: Number of Qualifying Hedge Fund Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2022Q3 588 458 105 890 2022Q4 577 466 73 959 2023Q1 555 469 69 954 2023Q2 576 467 70 978 2023Q3 568 466 69 998 2023Q4 552 480 76 999 2024Q1 524 432 72 1,059 2024Q2 529 444 97 928 2024Q3 546 455 100 949 Table 8.42: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2022Q3 3,994 1,384 264 2,056 2022Q4 4,092 1,398 227 2,111 2023Q1 4,207 1,386 221 2,185 2023Q2 4,515 1,427 241 2,248 2023Q3 4,772 1,408 316 2,259 2023Q4 5,125 1,486 270 2,327 2024Q1 5,198 1,555 261 2,420 2024Q2 5,275 1,630 268 2,400 2024Q3 5,858 1,758 306 2,442 Table 8.43: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2022Q3 1,259 821 159 1,527 2022Q4 1,212 843 138 1,598 2023Q1 1,209 860 136 1,673 2023Q2 1,219 872 137 1,708 52 2023Q3 1,219 879 136 1,728 2023Q4 1,172 913 156 1,723 2024Q1 1,200 952 156 1,793 2024Q2 1,193 994 160 1,749 2024Q3 1,240 1,059 163 1,797 Analytics Office 8.12 Stress Testing Table 8.44: Number of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Risk Free Rates Currency Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2022Q3 858 734 777 655 523 451 286 247 2022Q4 856 732 767 656 524 447 288 253 2023Q1 838 717 750 654 511 429 295 258 2023Q2 856 733 770 662 525 440 294 260 2023Q3 843 718 757 652 502 425 276 247 2023Q4 853 721 752 665 511 428 286 265 2024Q1 832 703 671 643 488 408 286 257 2024Q2 845 708 679 643 487 413 274 260 2024Q3 862 720 696 660 488 419 286 263 Table 8.45: Aggregate GAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 8 and 42. Market Factor Equity Prices Risk Free Rates Currency Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2022Q3 4,933 4,699 4,384 4,218 3,707 3,867 1,139 901 2022Q4 5,054 4,801 4,512 4,345 3,842 4,002 1,102 938 2023Q1 5,170 4,874 4,601 4,470 3,864 4,078 1,124 1,093 2023Q2 5,510 5,196 4,903 4,760 4,414 4,372 1,240 1,224 2023Q3 5,739 5,428 5,137 4,966 4,578 4,625 1,178 1,122 2023Q4 6,193 5,843 5,509 5,436 5,019 5,027 1,404 1,347 2024Q1 6,348 5,984 5,601 5,508 5,198 5,117 1,547 1,341 2024Q2 6,479 6,104 5,697 5,617 5,314 5,223 1,536 1,500 2024Q3 7,140 6,750 6,334 6,316 5,875 5,788 1,825 1,727 Table 8.46: Aggregate NAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Risk Free Rates Currency Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2022Q3 1,851 1,618 1,626 1,436 1,166 1,159 471 382 2022Q4 1,826 1,586 1,583 1,408 1,140 1,115 427 390 2023Q1 1,839 1,586 1,594 1,429 1,117 1,123 436 401 2023Q2 1,862 1,600 1,589 1,440 1,185 1,138 438 408 53 2023Q3 1,852 1,593 1,594 1,431 1,153 1,132 405 371 2023Q4 1,851 1,581 1,579 1,438 1,171 1,119 421 400 2024Q1 1,933 1,634 1,608 1,487 1,208 1,160 459 399 2024Q2 1,960 1,646 1,620 1,496 1,209 1,160 454 414 2024Q3 2,049 1,715 1,709 1,586 1,241 1,205 498 445 Analytics Office Table 8.47: Number of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 42. Factors Tested 0 1 2 3 4 5 6 7 8 2022Q3 995 208 128 78 107 127 166 82 150 2022Q4 1,032 206 129 81 100 128 167 82 150 2023Q1 1,023 207 123 81 94 126 158 78 157 2023Q2 1,048 206 123 82 101 134 164 80 153 2023Q3 1,067 209 127 89 101 126 164 72 146 2023Q4 1,075 212 114 85 105 120 165 72 159 2024Q1 1,131 160 109 88 102 123 148 73 153 2024Q2 1,025 165 116 83 110 124 168 61 146 2024Q3 1,049 181 120 83 110 132 155 66 154 Table 8.48: Aggregate GAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2022Q3 2,320 385 407 267 464 738 2,127 373 616 2022Q4 2,338 374 406 297 394 778 2,263 346 632 2023Q1 2,405 377 412 308 404 809 2,124 527 632 2023Q2 2,490 385 426 331 406 627 2,458 583 724 2023Q3 2,575 397 435 327 414 663 2,708 586 651 2023Q4 2,597 423 386 331 445 648 2,927 599 852 2024Q1 2,681 424 372 363 364 791 2,952 632 855 2024Q2 2,669 453 397 339 358 825 3,060 489 983 2024Q3 2,748 494 409 370 393 845 3,377 547 1,180 Table 8.49: Aggregate NAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2022Q3 1,686 234 259 183 191 267 544 169 233 2022Q4 1,735 241 256 206 175 264 540 142 232 2023Q1 1,809 246 258 212 168 281 517 149 238 2023Q2 1,845 246 259 217 158 272 553 148 237 54 2023Q3 1,865 259 270 226 153 274 559 139 218 2023Q4 1,879 262 259 217 165 241 566 139 237 2024Q1 1,948 275 245 245 147 275 577 145 243 2024Q2 1,908 296 253 232 159 278 600 123 247 2024Q3 1,961 325 262 245 168 291 597 134 277 Analytics Office 9 Section 3 Liquidity Fund Specific Information7 9.1 Liquidity Table 9.1: Investor Liquidity for Section 3 Liquidity Funds (Percent of Aggregate Section 3 Liquidity Fund NAV) As reported on Form PF, Questions 9 and 61. Reported percentages over 100% are taken as 100%. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2022Q3 68.1 92.7 97.2 98.5 99.5 99.6 2022Q4 70.7 93.1 97.2 98.3 99.5 99.7 2023Q1 71.1 92.9 97.3 98.2 99.3 99.7 2023Q2 71.0 92.6 97.0 97.9 99.1 99.8 2023Q3 68.7 92.9 97.0 98.0 98.9 99.8 2023Q4 68.0 93.3 97.3 97.9 98.8 99.8 2024Q1 66.6 92.4 96.9 97.6 98.7 99.7 2024Q2 65.3 92.6 96.9 97.8 99.0 99.6 2024Q3 64.4 92.8 96.9 97.6 98.9 99.7 Table 9.2: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 60 Type May Suspend May Have Gates Suspended Gated 2022Q3 313 281 0 0 2022Q4 302 275 0 0 2023Q1 294 266 0 0 2023Q2 301 274 0 0 2023Q3 331 299 0 0 2023Q4 334 303 *** *** 2024Q1 309 282 0 0 2024Q2 322 291 0 *** 2024Q3 345 311 0 0 7 Due to revisions effective June 11, 2024, previously published information on Rule 2a-7 compliance has been removed beginning with the 2024Q2 version of this report. For more information see previously published versions of this report and Release No. IA-6344. 55 Analytics Office 9.2 Portfolio Characteristics8 Table 9.3: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) As reported on Form PF, Question 53(d). Statistic Average WAM Asset-Weighted WAM Sep 2023 29.9 35.5 Oct 2023 33.1 38.2 Nov 2023 34.5 42.3 Dec 2023 35.1 44.5 Jan 2024 37.2 48.6 Feb 2024 36.0 47.5 Mar 2024 38.9 50.5 Apr 2024 39.1 44.8 May 2024 39.2 45.4 Jun 2024 38.7 44.7 Jul 2024 39.8 49.8 Aug 2024 35.5 44.9 Sep 2024 35.3 43.6 Table 9.4: Weighted-Average Life of Section 3 Liquidity Funds (Days) As reported on Form PF, Question 53(e). Statistic Average WAL Asset-Weighted WAL Sep 2023 44.7 54.7 Oct 2023 41.7 52.4 Nov 2023 48.5 59.3 Dec 2023 44.2 56.1 Jan 2024 51.6 68.2 Feb 2024 51.1 70.0 Mar 2024 53.5 71.7 Apr 2024 52.6 70.4 May 2024 52.4 69.8 Jun 2024 52.0 66.5 Jul 2024 52.8 70.7 Aug 2024 48.9 64.9 Sep 2024 53.0 64.9 Table 9.5: Seven-Day Gross Yield of Section 3 Liquidity Funds (Percent) As reported on Form PF, Question 53(f). Statistic Average Gross Yield Asset-Weighted Gross Yield Sep 2023 5.5 5.3 Oct 2023 5.4 5.3 Nov 2023 5.5 5.3 Dec 2023 5.2 5.3 Jan 2024 5.6 5.3 Feb 2024 5.6 5.2 Mar 2024 5.2 5.2 Apr 2024 5.7 5.2 May 2024 5.7 5.2 Jun 2024 5.3 5.2 Jul 2024 5.6 5.2 Aug 2024 5.2 5.2 Sep 2024 5.7 5.0 Table 9.6: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Question 53(g). Ratios are capped at 100%. Statistic Average DLA Asset-Weighted DLA Sep 2023 53.1 52.4 Oct 2023 51.4 52.1 Nov 2023 53.1 49.7 Dec 2023 51.4 46.8 Jan 2024 53.9 46.9 Feb 2024 55.6 48.6 Mar 2024 54.5 47.0 Apr 2024 58.2 50.1 May 2024 59.3 50.5 Jun 2024 57.3 49.4 Jul 2024 58.3 48.9 Aug 2024 56.8 49.2 Sep 2024 52.7 46.1 Table 9.7: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Question 53(h). Ratios are capped at 100%. Statistic Average WLA Asset-Weighted WLA Sep 2023 60.9 62.0 Oct 2023 58.7 62.0 Nov 2023 60.2 58.4 Dec 2023 59.4 60.2 Jan 2024 61.5 59.0 Feb 2024 62.1 60.0 Mar 2024 62.1 61.1 Apr 2024 66.6 63.1 May 2024 66.5 62.5 Jun 2024 64.7 63.8 Jul 2024 62.6 60.2 Aug 2024 61.7 61.5 Sep 2024 59.3 58.6 8 With revisions effective June 11, 2024, Liquidity Fund Advisers are required to calculate WAM and WAL based on the percentage of each security’s market value in the portfolio. For more information see the Form PF Glossary of Terms and Release No. IA-6344. 56 Analytics Office 9.3 Methods of Calculating NAV9 Table 9.8: NAV Calculation Method (Percent of Section 3 Liquidity Funds) As reported on Form PF, Question 52. For Form PF filings made prior to June 11, 2024, calculations were based on responses indicating whether the reporting fund utilized the amortized cost method of valuation or the penny rounding method of pricing in computing its net asset value. On or after June 11, 2024, calculations are based on responses indicating whether the reporting fund seeks to maintain a stable price per share. Type Stable Floating 2022Q3 64.7 35.3 2022Q4 72.0 28.0 2023Q1 72.0 28.0 2023Q2 72.0 28.0 2023Q3 72.0 28.0 2023Q4 70.6 29.4 2024Q1 72.9 27.1 2024Q2 58.8 41.2 2024Q3 52.9 47.1 Table 9.9: NAV Calculation Method (Percent of Section 3 Liquidity Fund Aggregate NAV) As reported on Form PF, Questions 9 and 52. For Form PF filings made prior to June 11, 2024, calculations were based on responses indicating whether the reporting fund utilized the amortized cost method of valuation or the penny rounding method of pricing in computing its net asset value. On or after June 11, 2024, calculations are based on responses indicating whether the reporting fund seeks to maintain a stable price per share. Type Stable Floating 2022Q3 62.1 37.9 2022Q4 65.9 34.1 2023Q1 68.8 31.2 2023Q2 69.1 30.9 2023Q3 63.6 36.4 9 2023Q4 66.1 33.9 2024Q1 65.7 34.3 2024Q2 80.0 20.0 2024Q3 79.3 20.7 For Form PF filings made prior to June 11, 2024, calculations were based on responses indicating whether the reporting fund utilized the amortized cost method of valuation or the penny rounding method of pricing in computing its net asset value. On or after June 11, 2024, calculations are based on responses indicating whether the reporting fund seeks to maintain a stable price per share. For more information see Appendix 11.4 and Release No. IA-6344. 57 Analytics Office 9.4 Aggregate Portfolio Holdings10 Table 9.10: Aggregate Product Exposures of Section 3 Liquidity Funds ($Billions) As reported on Form PF, Question 62. Investment Type U.S. Treasuries Deposits Repo - Govt. Collateral Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt Sep 2023 81.3 76.0 75.1 48.4 23.1 24.3 9.5 4.0 0.1 Oct 2023 84.8 87.4 66.5 46.6 19.6 18.9 12.2 4.0 0.6 Nov 2023 96.6 87.2 61.7 47.8 21.1 19.5 12.3 4.2 0.6 Dec 2023 96.4 78.6 64.8 47.0 22.4 18.6 13.9 4.1 0.6 Jan 2024 86.4 87.2 65.5 48.7 20.0 18.2 14.4 *** *** Feb 2024 93.1 86.4 60.0 46.7 17.9 16.2 *** 3.0 *** Mar 2024 89.6 76.6 56.2 45.2 21.3 16.5 *** 3.1 *** Apr 2024 81.1 77.7 58.9 47.1 23.1 17.7 15.8 2.0 0.6 May 2024 81.8 83.2 63.4 49.7 22.4 18.3 14.9 2.1 0.6 Jun 2024 82.3 74.7 68.8 51.2 22.3 19.6 *** 2.1 *** Jul 2024 82.4 84.3 59.0 50.2 22.3 19.9 *** 2.4 *** Aug 2024 85.6 85.9 62.3 51.7 20.9 20.5 *** 2.5 *** Sep 2024 90.2 82.1 61.3 58.4 28.3 21.3 *** 3.5 *** 10 Note that prior to 2016Q2, portfolio holdings were reported on a quarterly, rather than monthly, frequency. For more information see Appendix 11.4 and Release No. IA-3879. 58 Analytics Office 10 Section 4 Private Equity Fund Specific Information11 10.1 Portfolio Company Industry Concentration Table 10.1: Gross Assets, by Portfolio Company Industry (Percent of Total Section 4 Private Equity Fund GAV) As reported on Form PF, Questions 8 and 80. Industry Software Publishers Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Offices of Physicians Consumer Lending Lessors of Nonresidential Buildings Engineering Services Other Activities Related to Real... Full-Service Restaurants Offices of Other Holding Companies Natural Gas Distribution Commercial Banking Hotels and Motels Home Health Care Services Real Estate Credit Lessors of Residential Buildings... Marketing Research and Public... Offices of Dentists Supermarkets and Other Grocery... 2013Q4 2.8 2.9 0.4 0.9 0.9 0.4 0.5 0.4 0.2 0.3 0.8 0.3 0.4 0.5 0.3 0.5 1.8 0.7 0.4 0.5 0.3 0.2 0.2 0.8 2014Q4 3.8 2.3 0.4 1.0 1.0 0.6 0.8 0.4 0.2 0.6 0.8 0.2 0.5 0.9 0.3 0.4 1.1 0.7 0.3 0.4 0.4 0.2 0.2 0.5 2015Q4 4.9 1.8 0.6 1.5 1.0 0.6 0.6 0.5 0.3 0.8 0.8 0.4 0.3 0.7 0.6 0.6 0.9 0.6 0.3 0.9 0.4 0.2 0.2 0.5 2016Q4 6.1 2.0 1.8 1.5 1.2 0.9 1.0 0.9 0.4 0.9 0.7 0.3 0.4 0.5 0.3 0.7 0.8 0.7 0.3 0.6 0.4 0.2 0.2 0.5 2017Q4 6.0 2.3 1.6 1.5 1.1 0.8 0.8 0.9 0.3 0.8 0.7 0.3 0.4 0.5 0.4 1.0 0.7 0.4 0.3 0.5 0.3 0.2 0.3 0.3 2018Q4 8.0 3.5 1.3 1.8 1.0 1.4 0.6 1.0 0.3 0.6 0.6 0.3 0.3 0.3 0.5 1.0 0.3 0.2 0.4 0.4 0.3 0.1 0.3 0.3 2019Q4 10.6 4.2 1.2 2.1 1.1 1.4 0.6 0.8 0.5 0.6 1.1 0.3 0.3 0.4 0.4 0.7 0.3 0.4 0.5 0.4 0.3 0.2 0.3 0.2 2020Q4 9.7 3.6 1.8 1.9 1.5 1.9 1.0 1.2 0.5 0.7 0.6 0.3 0.3 0.3 0.4 0.8 0.4 0.4 0.6 0.4 0.2 0.2 0.3 0.2 2021Q4 11.7 3.4 2.2 2.5 1.7 1.3 1.6 1.5 0.6 0.6 0.4 0.4 0.4 0.2 0.4 0.6 0.4 0.4 0.4 0.2 0.3 0.2 0.3 0.2 2022Q4 12.0 4.2 2.9 2.8 1.8 1.4 1.1 1.0 0.7 0.5 0.5 0.7 0.6 0.4 0.4 0.6 0.5 0.5 0.4 0.1 0.2 0.2 0.3 0.2 2023Q4 12.8 3.9 2.5 2.3 2.2 1.2 1.2 1.0 0.7 0.6 0.6 0.5 0.5 0.5 0.4 0.4 0.4 0.4 0.3 0.3 0.2 0.2 0.2 0.2 11 Due to revisions effective June 11, 2024, previously published information on private equity fund region and country exposure has been removed beginning with the 2024Q2 version of this report. For more information, see previously published versions of this report and Release No. IA-6279. 59 Analytics Office Table 10.2: Number of Section 4 Private Equity Funds Reporting Investments in Portfolio Companies, by Industry As reported on Form PF, Question 80. Industry Software Publishers Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Offices of Physicians Consumer Lending Lessors of Nonresidential Buildings Engineering Services Other Activities Related to Real... Full-Service Restaurants Offices of Other Holding Companies Natural Gas Distribution Commercial Banking Hotels and Motels Home Health Care Services Real Estate Credit Lessors of Residential Buildings... Marketing Research and Public... Offices of Dentists Supermarkets and Other Grocery... 2013Q4 209 173 56 82 93 73 62 63 42 53 37 46 29 68 29 31 87 30 58 33 16 19 22 20 2014Q4 247 199 52 98 102 112 63 68 54 60 38 42 36 78 22 29 83 46 52 32 20 22 29 42 2015Q4 315 229 67 130 110 123 90 93 64 92 44 55 33 102 28 33 75 55 58 31 25 21 34 32 2016Q4 319 257 123 148 136 157 111 127 78 112 38 52 43 114 59 33 78 79 55 38 28 28 38 41 60 2017Q4 408 328 154 153 163 159 140 138 114 109 34 75 53 98 61 46 87 64 78 29 22 29 60 47 2018Q4 510 423 196 275 204 213 147 213 177 116 38 64 122 146 73 95 88 69 124 50 17 43 77 51 2019Q4 606 454 262 360 260 238 146 228 204 142 50 68 133 177 67 43 100 82 118 50 24 53 80 34 2020Q4 731 493 266 428 336 276 193 229 198 143 45 77 92 122 94 39 84 77 173 42 35 63 112 57 2021Q4 1,101 579 352 610 388 297 282 353 283 166 24 137 151 166 126 50 106 80 216 45 54 58 138 79 2022Q4 1,277 846 436 766 480 383 320 360 349 174 40 186 221 173 150 69 115 117 268 46 56 66 157 113 2023Q4 1,430 935 467 807 578 439 379 388 369 221 70 227 190 183 147 64 132 134 261 67 51 80 177 140 Analytics Office 10.2 CPC Financial Leverage Table 10.3: Ratio of CPC Current Liabilities to Total Liabilities (Percent) Questions 74 and 75. Statistic 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 1.8 5.7 19.6 49.0 17.0 2014Q4 1.4 5.3 17.9 50.0 16.2 2015Q4 1.7 6.0 20.0 49.9 16.7 2016Q4 1.9 6.9 20.7 54.3 17.5 2017Q4 2.1 7.3 21.5 51.8 17.7 2018Q4 1.5 6.0 17.8 49.3 15.4 2019Q4 1.3 5.2 16.8 48.8 15.5 2020Q4 1.4 6.0 18.2 46.9 16.0 2021Q4 1.1 4.6 16.7 42.6 14.7 2022Q4 1.3 5.4 18.2 48.1 15.7 2023Q4 1.4 5.3 16.8 39.5 14.3 Table 10.4: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) Question 76. Statistic 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 4.0 9.0 18.0 33.0 14.8 2014Q4 3.0 8.0 22.0 40.0 16.8 2015Q4 4.0 9.0 22.0 48.0 18.3 2016Q4 4.0 9.0 22.0 48.6 18.6 2017Q4 3.0 8.0 17.0 42.0 16.5 61 2018Q4 3.0 9.0 22.2 57.0 19.5 2019Q4 4.0 11.0 27.0 61.4 21.8 2020Q4 4.0 11.0 32.0 65.0 23.1 2021Q4 4.0 9.0 31.0 88.0 24.2 2022Q4 4.0 11.0 30.0 66.0 22.8 2023Q4 4.0 11.0 27.0 62.2 21.3 Analytics Office 10.3 CPC Debt-to-Equity Ratios Table 10.5: Number of Section 4 Private Equity Funds by Debt-to-Equity Ratio of CPCs As reported on Form PF Question 70, 71, and 72. See the appendix for a review of interval notation used here. Ratio Type Weighted Average High Low Ratio Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more 2013Q4 94 1,342 345 258 193 0 1,223 322 333 354 153 1,639 185 142 113 2014Q4 100 1,474 347 293 201 0 1,371 282 358 404 213 1,746 198 136 122 2015Q4 123 1,744 365 263 246 0 1,653 336 332 420 217 2,065 190 129 140 2016Q4 119 2,015 371 247 249 0 1,891 349 332 429 216 2,329 196 120 140 2017Q4 144 2,351 449 259 278 0 2,208 432 380 461 249 2,691 238 134 169 2018Q4 153 2,635 523 344 280 0 2,516 465 458 496 271 3,060 251 188 165 2019Q4 143 2,925 592 409 325 0 2,777 489 550 578 272 3,428 311 199 184 2020Q4 189 3,686 595 422 381 0 3,471 574 598 630 351 4,171 324 237 190 2021Q4 258 4,725 669 480 430 0 4,513 687 619 743 492 5,224 359 238 249 2022Q4 240 5,382 753 614 516 0 5,141 709 783 872 515 5,961 423 289 317 2023Q4 329 6,198 851 605 590 0 5,898 831 813 1,031 631 6,761 461 339 381 Table 10.6: CPC Gross Assets of Section [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A0c4d0decee84c4be. Public record. Not legal advice.