# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A1a0460c356999a94 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Fund Statistics First 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 October 04, 2024.1 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. This report reflects data from First Calendar Quarter 2022 through First 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 First Calendar Quarter 2024 Private Fund Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “First 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 65 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 2022Q1 18,977 9,657 6,296 3,787 2,231 2,251 79 43,278 2022Q2 19,017 9,761 6,285 3,790 2,289 2,257 79 43,478 2022Q3 19,070 9,795 6,287 3,790 2,290 2,257 78 43,567 2022Q4 20,939 9,803 6,762 4,273 2,990 2,461 71 47,299 2023Q1 20,959 9,862 6,901 4,274 2,993 2,470 70 47,529 2023Q2 20,972 9,861 6,858 4,276 3,002 2,474 69 47,512 2023Q3 20,980 9,962 6,830 4,265 2,998 2,479 68 47,582 2023Q4 23,081 9,671 7,130 4,254 3,251 2,702 72 50,161 2024Q1 23,134 9,777 7,130 4,270 3,253 2,731 73 50,368 Table 1.2: Number of Funds Reported by Large Filers Fund Type Section 4 Private Equity Fund Qualifying Hedge Fund Section 3 Liquidity Fund 2022Q1 6,652 2,094 54 2022Q2 6,650 2,061 52 2022Q3 6,650 2,041 51 2022Q4 7,494 2,075 50 2023Q1 7,404 2,047 50 2023Q2 7,487 2,091 50 2023Q3 7,486 2,100 50 2023Q4 8,561 2,107 51 2024Q1 8,563 2,087 48 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 2022Q1 1,641 1,864 436 741 430 238 175 608 39 23 3,685 2022Q2 1,645 1,868 436 737 432 240 175 600 39 22 3,690 2022Q3 1,647 1,866 437 735 432 241 173 584 39 21 3,685 2022Q4 1,762 1,862 454 762 460 284 178 593 34 21 3,807 2023Q1 1,764 1,863 452 765 460 286 176 576 33 21 3,811 2023Q2 1,764 1,862 454 767 461 287 175 591 33 21 3,810 2023Q3 1,765 1,863 453 767 461 285 174 589 33 21 3,809 2023Q4 1,860 1,850 486 782 466 316 176 595 37 22 3,922 2024Q1 1,857 1,852 488 778 467 317 176 592 37 19 3,923 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 2022Q1 1,718 863 733 329 42 3,685 2022Q2 1,717 864 735 330 44 3,690 2022Q3 1,710 868 733 330 44 3,685 2022Q4 1,736 870 775 381 45 3,807 2023Q1 1,735 873 775 382 46 3,811 2023Q2 1,735 870 776 384 45 3,810 2023Q3 1,731 872 776 384 46 3,809 2023Q4 1,745 900 819 406 52 3,922 2024Q1 1,751 898 814 409 51 3,923 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 Appendix 11.4 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 2022Q1 9,782 6,389 1,766 968 869 333 318 20,426 2022Q2 9,443 6,401 1,740 970 868 334 335 20,091 2022Q3 9,279 6,407 1,716 976 869 334 335 19,915 2022Q4 9,360 6,713 1,646 1,140 923 375 321 20,479 2023Q1 9,501 6,649 1,605 1,139 925 374 320 20,512 2023Q2 9,895 6,660 1,577 1,138 923 374 332 20,899 2023Q3 10,212 6,667 1,569 1,129 924 374 361 21,235 2023Q4 10,755 7,408 1,732 1,078 1,024 400 361 22,758 2024Q1 11,112 7,423 1,735 1,081 1,031 400 339 23,122 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 2022Q1 8,263 4,953 314 2022Q2 7,917 4,953 331 2022Q3 7,698 4,953 331 2022Q4 7,827 5,279 319 2023Q1 7,998 5,223 319 2023Q2 8,432 5,235 330 2023Q3 8,753 5,235 359 2023Q4 9,208 5,870 359 2024Q1 9,434 5,874 333 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 2022Q1 5,733 5,151 1,582 745 313 313 265 14,102 2022Q2 5,742 4,914 1,558 746 314 327 264 13,865 2022Q3 5,746 4,851 1,534 751 314 331 264 13,792 2022Q4 6,030 4,817 1,417 859 342 318 264 14,048 2023Q1 5,973 4,858 1,373 859 341 313 265 13,982 2023Q2 5,983 4,912 1,346 859 341 319 265 14,026 2023Q3 5,992 4,932 1,339 850 341 346 264 14,064 2023Q4 6,738 4,992 1,541 822 375 352 284 15,103 2024Q1 6,752 5,213 1,541 826 375 331 288 15,325 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 2022Q1 4,486 4,145 309 2022Q2 4,487 3,873 324 2022Q3 4,487 3,766 327 4 2022Q4 4,780 3,791 316 2023Q1 4,727 3,878 311 2023Q2 4,737 3,935 317 2023Q3 4,737 3,960 345 2023Q4 5,381 3,964 350 2024Q1 5,386 4,101 325 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 2022Q1 0.2 0.6 1.4 3.0 6.6 3.9 0.2 0.5 1.0 2.0 4.4 2.0 2022Q2 0.2 0.6 1.3 2.8 6.3 3.8 0.2 0.5 0.9 1.8 4.0 1.9 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 6.6 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 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 2022Q1 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 2022Q2 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 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 5 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 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 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 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 2022Q1 12,953 721 189 130 3,403 475 156 94 2022Q2 12,730 698 212 119 3,114 481 181 81 2022Q3 12,632 711 235 106 2,995 488 201 69 2022Q4 12,906 674 249 105 3,051 434 215 70 2023Q1 12,797 695 272 108 3,098 449 239 73 2023Q2 12,809 747 236 122 3,108 517 209 88 2023Q3 12,861 699 245 146 3,148 468 217 112 2023Q4 13,798 742 232 174 3,106 512 194 133 2024Q1 14,014 714 252 188 3,252 479 213 146 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 2022Q1 33,541 1,828 492 1,371 1,741 259 42 30 2022Q2 33,649 1,851 484 1,381 1,707 256 40 29 2022Q3 33,633 1,866 494 1,385 1,687 261 43 24 6 2022Q4 36,753 2,018 495 1,577 1,717 258 47 22 2023Q1 36,925 2,030 504 1,573 1,699 238 54 24 2023Q2 37,031 2,050 493 1,576 1,729 274 45 26 2023Q3 37,042 2,005 499 1,585 1,763 244 41 34 2023Q4 39,509 2,020 561 1,609 1,755 246 42 32 2024Q1 39,640 2,028 568 1,620 1,753 236 45 36 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 Securitized Asset Fund Qualifying Hedge 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 2022Q1 49.7 43.3 39.9 12.3 3.6 5.5 5.5 0.7 0.0 0.0 2022Q2 49.3 43.4 39.8 12.3 3.5 5.4 5.4 0.7 0.0 0.0 2022Q3 49.4 43.5 40.0 12.5 3.7 5.4 5.5 0.7 0.0 0.0 2022Q4 56.5 44.8 41.1 14.0 5.6 5.7 5.7 0.6 0.0 0.0 2023Q1 53.6 47.3 43.5 13.2 5.8 5.8 5.6 0.6 0.0 0.0 2023Q2 53.6 48.5 44.5 13.2 5.9 5.8 5.6 0.6 0.0 0.0 2023Q3 53.3 48.3 44.5 13.6 5.9 5.8 5.5 0.6 0.0 0.0 2023Q4 56.6 50.7 46.5 14.8 5.2 5.0 4.9 0.6 0.0 0.0 2024Q1 53.4 52.6 47.8 14.0 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 2022Q1 0.0 0.3 0.6 1.1 0.5 0.3 1.2 3.7 8.8 2.8 2022Q2 0.0 0.3 0.6 1.1 0.5 0.3 1.1 3.3 8.7 2.7 2022Q3 0.0 0.3 0.6 1.1 0.5 0.3 1.0 3.4 8.5 2.6 7 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 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 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 2022Q1 7,051 6,159 663 149 80 1,102 2,300 550 140 52 2022Q2 6,918 6,092 670 92 93 939 2,229 555 85 65 2022Q3 6,826 6,129 642 107 87 865 2,214 532 100 56 2022Q4 6,840 6,322 660 127 99 882 2,208 511 119 72 2023Q1 6,815 6,243 652 160 112 948 2,197 497 151 86 2023Q2 6,858 6,212 688 161 107 996 2,158 546 151 85 2023Q3 6,822 6,260 700 173 110 947 2,206 557 163 88 2023Q4 7,616 6,527 657 160 143 975 2,215 512 145 117 2024Q1 7,703 6,616 673 190 143 1,003 2,276 529 178 115 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 2022Q1 28,751 7,068 1,059 147 2,682 811 989 240 29 25 2022Q2 28,842 7,086 1,083 136 2,708 772 1,000 234 26 29 2022Q3 28,908 7,129 1,078 126 2,707 747 1,013 234 17 30 2022Q4 31,432 7,695 1,175 150 3,054 774 1,008 238 21 34 2023Q1 31,716 7,623 1,153 161 3,053 772 997 221 30 27 2023Q2 31,816 7,597 1,176 161 3,059 801 991 247 27 25 2023Q3 31,870 7,646 1,145 154 3,067 801 1,012 233 27 27 2023Q4 34,249 7,908 1,144 233 3,058 814 1,008 220 24 41 2024Q1 34,507 7,850 1,143 208 3,047 808 993 224 25 37 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 2022Q1 66.4 30.6 3.1 0.9 2022Q2 66.6 30.3 3.0 0.9 2022Q3 67.7 28.8 3.3 1.0 2022Q4 66.5 29.4 3.3 0.9 8 2023Q1 66.4 30.5 3.1 0.8 2023Q2 66.3 30.9 3.0 0.7 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 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 2022Q1 4,640 3,828 6,837 2,879 2022Q2 4,592 3,835 6,847 2,861 2022Q3 4,564 3,798 6,809 2,870 2022Q4 4,155 3,597 7,569 3,080 2023Q1 4,089 3,563 7,476 3,059 2023Q2 4,067 3,515 7,480 3,056 2023Q3 4,062 3,518 7,469 3,064 2023Q4 4,858 3,890 8,320 3,608 2024Q1 4,885 3,909 8,350 3,601 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 2022Q1 1,693 1,350 377 2,271 2022Q2 1,686 1,369 340 2,272 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 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 2022Q1 3,560 2,368 1,504 1,818 2022Q2 3,524 2,379 1,507 1,799 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 3,935 2,481 1,734 2,413 2024Q1 3,961 2,501 1,739 2,424 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 2022Q1 1,645 1,234 127 1,390 2022Q2 1,639 1,254 91 1,389 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 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 2022Q1 3,148 2,105 1,226 1,559 2022Q2 3,117 2,113 1,230 1,545 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 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 2022Q1 1,532 1,146 119 1,231 2022Q2 1,527 1,165 82 1,231 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 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 2022Q1 369 259 3,966 550 2022Q2 369 259 3,976 551 2022Q3 368 259 3,976 555 2022Q4 204 153 4,357 548 2023Q1 201 152 4,298 561 2023Q2 201 152 4,297 562 2023Q3 202 152 4,298 570 2023Q4 217 157 4,907 597 2024Q1 217 157 4,928 578 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 2022Q1 15 25 27 314 2022Q2 15 25 27 314 2022Q3 15 25 27 316 2022Q4 13 20 21 342 10 2023Q1 14 20 21 340 2023Q2 14 20 21 341 2023Q3 14 20 21 339 2023Q4 14 22 20 334 2024Q1 13 22 20 335 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 2022Q1 321 182 3,138 359 2022Q2 320 182 3,137 359 2022Q3 320 182 3,137 359 2022Q4 171 121 3,505 358 2023Q1 170 121 3,456 356 2023Q2 170 121 3,458 357 2023Q3 170 121 3,458 357 2023Q4 184 115 4,032 383 2024Q1 184 115 4,034 383 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 2022Q1 11 6 9 245 2022Q2 11 6 8 245 2022Q3 11 6 8 245 2022Q4 7 10 8 275 11 2023Q1 7 10 8 272 2023Q2 7 10 8 272 2023Q3 7 10 8 272 2023Q4 11 8 9 265 2024Q1 11 8 9 265 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 2022Q1 580 504 307 89 30 *** *** 1,522 2022Q2 578 503 319 89 30 *** *** 1,531 2022Q3 576 499 318 89 30 *** *** 1,524 2022Q4 566 478 343 67 39 *** *** 1,503 2023Q1 562 481 419 68 39 *** *** 1,579 2023Q2 559 458 425 68 39 *** *** 1,559 2023Q3 570 445 425 68 39 *** *** 1,557 2023Q4 559 441 483 80 28 *** *** 1,601 2024Q1 529 438 405 78 28 *** *** 1,487 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 2022Q1 211 141 *** 2022Q2 202 141 *** 2022Q3 208 141 *** 2022Q4 214 158 *** 2023Q1 207 158 *** 2023Q2 203 164 *** 2023Q3 218 164 *** 2023Q4 218 199 *** 2024Q1 201 199 *** 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 2022Q1 840 2,671 122 16 2 *** *** 4,027 2022Q2 765 3,451 154 16 2 *** *** 4,784 2022Q3 729 3,416 154 16 2 *** *** 4,707 2022Q4 725 2,369 120 14 2 *** *** 3,611 2023Q1 695 2,367 131 15 2 *** *** 3,598 2023Q2 693 1,535 125 15 2 *** *** 2,748 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 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 2022Q1 538 105 *** 2022Q2 483 113 *** 2022Q3 438 113 *** 2022Q4 435 120 *** 2023Q1 385 120 *** 2023Q2 405 114 *** 2023Q3 426 114 *** 2023Q4 472 146 *** 2024Q1 444 146 *** 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 2022Q1 52.2 32.7 4.1 3.9 1.0 0.9 0.9 4.3 51.0 34.9 2.4 3.1 2.8 1.7 4.2 *** 28.5 *** *** 56.9 29.6 2.0 1.4 1.2 9.0 2022Q2 52.5 32.4 4.1 3.9 1.0 0.9 0.9 4.2 52.3 35.7 2.4 3.0 3.1 1.7 1.8 *** 27.3 *** *** 56.9 29.5 2.0 1.4 1.2 9.0 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 53.6 31.5 5.0 3.4 1.0 0.9 0.6 3.9 53.6 35.3 3.1 2.6 2.2 1.7 1.5 *** 21.5 *** *** 57.8 27.5 2.3 1.3 1.1 10.1 2024Q1 53.6 31.6 5.0 3.2 1.1 0.9 0.6 4.0 53.6 35.5 2.9 2.6 2.2 1.4 1.8 *** 23.3 *** *** 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 2022Q1 90.9 *** *** 88.5 3.9 *** 1.6 *** 56.8 *** *** 95.5 *** *** 2022Q2 91.8 *** *** 90.7 3.7 *** 1.6 *** 59.3 *** *** 95.5 *** *** 13 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 *** *** 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 *** *** 92.3 3.5 *** 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 *** *** 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 Other Private Funds 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 2022Q1 2,445 2,637 1,883 1,418 1,298 1,376 1,000 705 402 226 306 194 162 45 2022Q2 2,408 2,594 1,872 1,373 1,247 1,340 1,004 703 396 222 312 193 152 44 2022Q3 2,416 2,589 1,863 1,367 1,256 1,271 1,010 704 393 224 305 196 149 42 2022Q4 2,542 2,595 1,913 1,324 1,246 1,310 1,083 745 376 241 285 193 150 38 2023Q1 2,558 2,596 1,907 1,336 1,254 1,306 1,069 755 314 248 251 190 152 40 2023Q2 2,556 2,612 1,915 1,348 1,269 1,294 1,081 762 317 249 253 178 147 38 2023Q3 2,577 2,633 1,919 1,351 1,261 1,283 1,089 760 316 260 242 179 147 40 2023Q4 2,940 2,858 1,982 1,469 1,327 1,309 1,167 795 331 266 245 192 160 58 2024Q1 2,958 2,908 2,015 1,501 1,358 1,321 1,195 806 331 272 238 196 161 56 Table 4.2: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Private Funds 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 2022Q1 17.3 18.7 13.4 10.1 9.2 9.8 7.1 5.0 2.8 1.6 2.2 1.4 1.2 0.3 2022Q2 17.4 18.7 13.5 9.9 9.0 9.7 7.2 5.1 2.9 1.6 2.2 1.4 1.1 0.3 2022Q3 17.5 18.8 13.5 9.9 9.1 9.2 7.3 5.1 2.8 1.6 2.2 1.4 1.1 0.3 14 2022Q4 18.1 18.5 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 18.3 18.6 13.6 9.6 9.0 9.3 7.6 5.4 2.2 1.8 1.8 1.4 1.1 0.3 2023Q2 18.2 18.6 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 18.3 18.7 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 19.5 18.9 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 19.3 19.0 13.1 9.8 8.9 8.6 7.8 5.3 2.2 1.8 1.6 1.3 1.1 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 2022Q1 732 604 581 473 462 476 266 147 171 61 82 40 39 9 2022Q2 702 571 546 432 453 449 268 150 107 58 47 38 39 9 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 747 590 546 440 471 407 302 164 102 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 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 2022Q1 17.7 14.6 14.0 11.4 11.1 11.5 6.4 3.5 4.1 1.5 2.0 1.0 0.9 0.2 2022Q2 18.1 14.8 14.1 11.2 11.7 11.6 6.9 3.9 2.8 1.5 1.2 1.0 1.0 0.2 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 15 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 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 4.2 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 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 Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Insurance Companies SEC-Registered Investment Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Non-Profits State/Muni. Govt. Entities State/Muni. Govt. Pension Plans U.S. Individuals 2022Q1 103 51 58 *** *** 8 24 5 *** *** 3 *** 1 *** 2022Q2 100 64 65 *** *** 9 16 5 *** *** 3 *** *** *** 2022Q3 106 68 64 *** *** 8 15 *** *** *** 3 *** *** *** 2022Q4 108 65 56 *** *** 10 14 *** *** *** 2 *** 1 *** 2023Q1 106 63 50 *** *** 12 17 *** *** *** 3 *** *** *** 2023Q2 114 64 49 *** *** 11 16 5 *** *** 3 *** *** *** 2023Q3 135 52 64 *** *** 10 16 *** *** *** 3 *** *** *** 2023Q4 135 60 53 *** *** 12 14 *** *** *** 3 *** *** 1 2024Q1 118 56 54 *** *** 12 *** *** *** *** 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 Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Insurance Companies SEC-Registered Investment Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Non-Profits State/Muni. Govt. Entities State/Muni. Govt. Pension Plans U.S. Individuals 2022Q1 33.4 16.6 18.6 *** *** 2.6 7.8 1.7 *** *** 1.0 *** 0.3 *** 2022Q2 30.8 19.9 19.9 *** *** 2.8 4.9 1.5 *** *** 0.9 *** *** *** 2022Q3 32.4 20.7 19.6 *** *** 2.5 4.6 *** *** *** 0.8 *** *** *** 16 2022Q4 34.1 20.6 17.8 *** *** 3.0 4.3 *** *** *** 0.8 *** 0.4 *** 2023Q1 34.1 20.2 15.9 *** *** 3.9 5.4 *** *** *** 0.9 *** *** *** 2023Q2 35.8 20.1 15.5 *** *** 3.6 5.0 1.5 *** *** 0.8 *** *** *** 2023Q3 39.1 15.0 18.5 *** *** 2.9 4.6 *** *** *** 0.8 *** *** *** 2023Q4 38.6 17.1 15.1 *** *** 3.5 4.1 *** *** *** 0.9 *** *** 0.2 2024Q1 36.4 17.1 16.6 *** *** 3.7 *** *** *** *** 1.1 *** *** *** 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 2022Q1 975 802 850 477 326 256 238 265 82 78 51 49 34 3 2022Q2 974 802 851 477 326 256 238 265 82 78 51 49 34 3 2022Q3 974 802 851 477 326 256 238 265 82 78 51 49 34 3 2022Q4 1,032 887 887 525 363 284 259 245 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 1,197 1,090 937 577 393 299 280 275 98 73 63 56 35 5 2024Q1 1,197 1,094 938 576 394 299 280 276 98 74 63 55 35 5 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 2022Q1 21.7 17.9 18.9 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q2 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 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 17 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 21.5 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 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 5.6 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 Venture Capital Fund Securitized Asset Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Total 2022Q1 58.9 54.6 57.5 51.0 49.1 52.5 37.5 44.7 48.1 47.7 52.4 2022Q2 59.0 55.0 57.1 51.9 49.1 52.3 37.6 44.7 46.7 46.4 52.5 2022Q3 58.7 54.8 57.5 51.6 49.1 52.4 37.8 44.7 46.5 46.1 52.4 2022Q4 56.9 55.4 59.0 52.1 49.8 49.9 41.6 46.5 45.1 44.8 52.9 2023Q1 57.0 56.3 58.4 52.0 49.4 49.9 42.3 45.9 44.3 44.1 52.9 2023Q2 57.0 56.3 58.3 51.9 49.5 49.9 41.8 46.0 43.1 42.9 52.9 2023Q3 57.4 56.7 57.9 52.1 49.4 49.9 41.9 46.0 44.5 44.4 53.0 2023Q4 59.4 56.6 56.3 52.5 50.2 47.5 47.6 46.9 41.9 41.7 53.1 2024Q1 59.5 56.3 56.1 51.9 50.3 47.5 47.1 46.9 44.4 43.5 53.1 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 2022Q1 32.0 51.0 85.0 74.5 29.0 43.0 68.0 67.3 2022Q2 32.0 51.0 85.0 74.5 30.0 43.0 69.5 68.3 2022Q3 32.0 51.0 86.0 74.6 30.0 44.0 70.0 68.4 18 2022Q4 32.0 51.0 86.0 74.6 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 2023Q2 32.0 52.0 86.0 74.8 30.0 44.0 68.0 68.1 2023Q3 32.0 52.0 86.0 74.9 30.0 44.0 68.5 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 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 2022Q1 15,866 69 110 41 5 *** *** 16,092 2022Q2 14,942 69 110 41 5 *** *** 15,168 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 16,767 109 97 64 *** 0 *** 17,038 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 2022Q1 14,268 *** *** 2022Q2 13,260 54 0 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 14,904 111 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 2022Q1 308.0 344.2 1.2 1.2 7.0 5.6 1.8 0.1 *** *** 114.1 2022Q2 304.1 342.4 1.2 1.2 7.1 5.5 1.8 0.1 *** *** 109.4 2022Q3 294.0 337.2 1.2 1.2 7.3 5.5 1.8 0.1 *** *** 105.1 2022Q4 309.0 343.2 1.5 2.6 7.4 8.4 2.1 0.1 *** *** 108.4 19 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 2023Q3 314.0 352.6 1.5 2.7 7.6 7.6 1.4 0.1 *** *** 112.4 2023Q4 307.0 354.8 2.1 2.0 6.5 7.8 0.3 0.1 *** *** 103.4 2024Q1 321.7 363.5 2.1 1.6 6.3 7.7 0.3 0.1 *** *** 111.2 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 2022Q1 8,510 4,300 822 182 306 659 2,314 723 166 283 2022Q2 8,477 4,132 748 205 323 572 2,166 646 188 301 2022Q3 8,490 4,060 770 161 330 557 2,096 664 140 309 2022Q4 8,650 4,207 700 204 301 572 2,163 594 182 279 2023Q1 8,583 4,176 684 236 318 634 2,171 566 213 293 2023Q2 8,608 4,192 703 205 332 636 2,203 595 187 314 2023Q3 8,605 4,197 736 195 345 624 2,205 631 174 326 2023Q4 9,502 4,348 693 225 350 612 2,237 580 207 328 2024Q1 9,543 4,491 669 272 364 652 2,330 540 244 334 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 2022Q1 31,244 5,132 739 152 2,027 468 1,192 266 58 110 2022Q2 31,336 5,132 770 157 2,047 459 1,159 264 60 117 2022Q3 31,416 5,137 789 158 2,033 445 1,160 267 52 114 20 2022Q4 34,526 5,334 769 165 2,247 475 1,177 244 68 110 2023Q1 34,693 5,324 771 167 2,284 478 1,165 235 60 108 2023Q2 34,799 5,312 748 179 2,309 486 1,189 231 73 110 2023Q3 34,867 5,290 765 175 2,321 474 1,211 233 64 118 2023Q4 37,602 5,298 762 174 2,204 486 1,206 219 67 128 2024Q1 37,762 5,305 726 182 2,226 495 1,208 199 69 116 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 2022Q1 8,538 45 15 2022Q2 8,626 45 16 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 8,823 44 11 2024Q1 8,906 45 11 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 2022Q1 4,998 70 64 2022Q2 4,757 68 66 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 4,907 64 13 2024Q1 5,078 88 14 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 2022Q1 7.6 13.5 19.5 27.6 41.9 55.4 2022Q2 7.8 13.5 19.4 27.3 41.4 54.8 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 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 2022Q1 15.8 25.6 33.5 41.9 54.5 66.0 2022Q2 16.7 26.1 34.1 42.4 54.6 66.0 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 21 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 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 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 2022Q1 34.1 48.5 60.9 71.4 83.3 90.7 2022Q2 34.5 50.0 61.7 72.0 83.0 90.5 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 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 2022Q1 38.3 55.3 67.9 79.2 90.3 95.4 2022Q2 39.3 55.6 67.4 78.9 90.0 95.2 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 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 2022Q1 34.7 48.7 60.1 70.9 82.9 90.8 2022Q2 34.6 49.2 60.6 70.9 82.8 90.5 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 22 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 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 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 Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Subtotal Total 2022Q1 312 298 26 1 637 649 73 72 144 46 19 10 76 32 11 9 2 1 55 34 10 4 *** *** 15 *** *** 7 1,434 2022Q2 281 273 *** *** 589 648 72 72 144 47 18 10 75 32 11 9 3 2 56 33 10 4 *** *** 15 *** *** 6 1,386 23 2022Q3 273 252 29 2 556 657 77 73 150 48 19 9 76 32 11 8 3 1 55 32 11 4 *** *** 16 *** *** 6 1,369 2022Q4 272 251 28 1 551 658 86 77 163 50 26 7 83 37 11 7 3 2 59 32 9 4 *** *** 14 *** *** 6 1,384 2023Q1 262 259 27 1 549 667 87 93 179 49 26 5 80 38 11 7 5 2 63 39 8 4 *** *** 13 *** *** 6 1,419 2023Q2 294 263 27 1 584 673 94 77 170 51 27 4 82 37 12 7 7 2 64 39 9 4 1 0 14 *** *** 6 1,442 2023Q3 280 254 26 1 562 674 96 79 174 50 21 5 76 37 12 7 6 2 64 39 12 5 1 0 18 *** *** 6 1,438 2023Q4 289 271 27 2 589 650 100 71 171 54 21 5 80 39 12 8 7 1 68 44 11 5 *** *** 16 *** *** 7 1,440 2024Q1 324 271 26 2 623 678 101 73 174 54 22 6 82 41 13 10 7 2 73 47 17 5 *** *** 23 *** *** 7 1,502 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 Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Subtotal Total 2022Q1 482 618 51 8 1,154 1,072 200 198 395 179 60 21 259 93 54 22 19 14 189 263 19 17 *** *** 48 *** *** 24 3,182 2022Q2 477 626 *** *** 1,156 1,095 197 210 404 189 60 21 270 99 59 23 20 19 198 264 19 17 *** *** 48 *** *** 23 3,222 24 2022Q3 476 629 50 9 1,159 1,116 207 218 422 195 61 21 276 100 58 26 20 19 201 260 19 16 *** *** 45 *** *** 22 3,271 2022Q4 494 584 47 13 1,132 1,166 211 220 428 212 68 19 298 107 58 26 18 18 212 305 18 15 *** *** 44 *** *** 23 3,343 2023Q1 497 585 47 12 1,135 1,190 211 232 440 211 68 19 297 119 59 24 18 18 219 329 18 15 *** *** 44 *** *** 23 3,413 2023Q2 513 578 45 12 1,138 1,217 219 238 454 218 69 19 305 123 57 24 18 18 221 332 21 15 *** *** 46 *** *** 24 3,468 2023Q3 527 587 46 13 1,163 1,230 225 241 463 219 66 19 303 130 66 24 19 19 230 337 21 16 *** *** 48 *** *** 24 3,525 2023Q4 490 595 49 18 1,143 1,151 215 216 426 218 67 20 305 142 69 23 22 16 245 374 32 16 *** *** 58 *** *** 28 3,428 2024Q1 490 587 49 18 1,135 1,177 210 223 428 220 66 21 306 149 67 24 22 20 251 390 37 18 *** *** 65 *** *** 26 3,489 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 Active Trading Currency 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 2022Q1 731 321 *** *** 1,145 269 8 *** *** 280 776 284 75 24 28 22 434 216 81 297 *** *** 231 120 34 30 185 33 2,391 2022Q2 649 280 *** *** 1,018 288 8 *** *** 299 736 309 75 27 18 13 442 207 83 290 *** *** 206 120 30 30 180 30 2,216 25 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 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 *** *** 1,014 531 6 *** *** 539 765 258 78 23 20 15 394 234 116 350 *** *** 214 133 25 20 178 34 2,206 2024Q1 720 235 *** *** 1,058 596 6 *** *** 604 791 242 76 21 18 17 374 244 123 367 *** *** 282 138 25 23 186 46 2,272 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 Active Trading Currency 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 2022Q1 632 394 *** *** 1,097 167 40 *** *** 213 876 59 146 26 92 25 302 259 111 367 *** *** 113 221 70 50 316 103 3,160 2022Q2 632 388 *** *** 1,096 171 38 *** *** 212 893 59 148 25 88 26 301 259 113 369 *** *** 120 223 70 49 318 106 3,187 26 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 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 561 347 *** *** 985 167 35 *** *** 210 959 57 143 28 87 20 288 305 137 438 *** *** 123 224 72 42 314 96 3,174 2024Q1 557 351 *** *** 984 170 37 *** *** 213 953 48 144 27 83 20 285 303 140 439 *** *** 121 221 71 42 310 94 3,165 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 Mar 2023 1,798 1,074 431 431 543 2,109 963 595 210 401 Apr 2023 1,901 999 443 445 530 2,137 1,014 510 251 406 May 2023 1,913 1,010 350 491 554 2,118 1,021 507 254 419 Jun 2023 1,780 1,136 361 493 549 2,071 1,031 443 360 414 Jul 2023 1,818 1,059 367 434 615 2,096 1,008 348 402 439 Aug 2023 1,802 1,068 380 479 564 2,082 985 395 399 432 Sep 2023 1,742 1,142 351 494 563 2,012 1,071 438 334 439 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 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 Mar 2023 223 217 68 59 81 263 203 77 49 56 Apr 2023 241 208 72 63 80 273 207 76 51 57 May 2023 242 211 63 63 84 269 211 71 53 59 Jun 2023 222 229 68 62 82 255 220 70 60 58 Jul 2023 233 212 72 61 84 267 209 68 57 61 27 Aug 2023 238 209 71 61 83 269 205 76 55 57 Sep 2023 227 222 69 62 82 258 220 72 53 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 Feb 2024 241 206 68 55 90 268 205 71 47 69 Mar 2024 229 209 76 56 90 256 212 72 54 66 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 Mar 2023 2,391 915 372 275 324 2,587 1,023 229 312 127 Apr 2023 2,521 793 453 219 332 2,712 914 280 287 125 May 2023 2,428 909 396 252 333 2,646 973 265 244 190 Jun 2023 2,347 878 514 161 418 2,574 1,023 284 242 196 Jul 2023 2,321 878 483 228 384 2,505 1,048 275 247 218 Aug 2023 2,368 888 451 206 380 2,582 934 323 241 212 Sep 2023 2,314 915 470 241 352 2,573 928 331 249 212 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 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 Mar 2023 318 188 51 44 47 351 184 51 35 27 Apr 2023 341 180 55 39 49 367 182 56 31 28 May 2023 334 186 50 45 48 364 184 48 40 27 Jun 2023 311 206 54 39 53 347 198 53 34 31 Jul 2023 308 205 57 34 58 337 206 54 31 34 28 Aug 2023 322 198 52 36 54 354 193 49 35 31 Sep 2023 311 204 57 39 51 350 195 51 36 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 Feb 2024 336 176 52 35 61 375 162 47 42 34 Mar 2024 313 195 56 39 57 339 198 52 36 35 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 Mar 2023 3,070 423 301 197 286 3,470 335 89 252 131 Apr 2023 3,124 389 315 191 299 3,485 326 116 247 145 May 2023 3,121 389 278 202 328 3,449 365 106 250 148 Jun 2023 3,088 390 297 212 332 3,452 305 169 245 148 Jul 2023 3,104 376 208 263 341 3,397 303 175 261 157 Aug 2023 3,094 357 220 267 355 3,395 301 179 258 159 Sep 2023 3,057 404 200 261 371 3,371 394 107 272 149 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 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 Mar 2023 490 55 30 31 42 523 51 24 25 25 Apr 2023 499 55 38 26 46 532 50 29 26 27 May 2023 497 57 32 27 50 527 56 26 26 28 Jun 2023 499 52 34 28 50 531 47 33 24 28 Jul 2023 501 48 33 31 49 530 48 29 28 27 29 Aug 2023 501 47 34 30 50 531 47 31 24 29 Sep 2023 500 53 26 32 51 528 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 Feb 2024 500 46 31 28 55 527 51 21 33 28 Mar 2024 491 51 36 29 53 522 54 26 32 26 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 Mar 2023 17.5 32.8 47.1 62.5 84.2 Apr 2023 17.7 33.0 47.0 62.3 84.0 May 2023 17.7 33.0 47.0 62.3 84.0 Jun 2023 17.7 33.0 47.0 62.3 84.0 Jul 2023 18.0 33.0 47.2 62.4 84.0 Aug 2023 18.0 33.0 47.2 62.4 84.0 Sep 2023 18.0 33.0 47.2 62.4 84.0 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 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 Mar 2023 41.9 63.2 75.9 86.0 94.8 Apr 2023 42.9 64.0 76.4 86.5 95.1 May 2023 43.0 64.3 76.8 86.9 95.3 Jun 2023 42.2 63.5 76.0 86.1 94.8 Jul 2023 42.3 65.0 77.8 87.4 95.4 Aug 2023 43.1 65.8 78.5 87.7 95.6 30 Sep 2023 42.3 64.3 77.3 86.8 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 66.7 79.5 88.4 95.8 Feb 2024 50.0 70.7 82.0 89.7 96.3 Mar 2024 44.2 65.6 78.4 87.7 95.4 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 Mar 2023 32,291 7,334 4,935 252 39 44,851 Apr 2023 16,689 5,691 3,844 164 30 26,418 May 2023 21,107 7,484 4,704 244 43 33,582 Jun 2023 17,995 7,088 4,719 215 41 30,058 Jul 2023 19,497 7,105 4,471 198 60 31,332 Aug 2023 24,576 8,724 5,416 195 85 38,997 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 41,973 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 Mar 2023 2,567 330 227 368 130 653 Apr 2023 2,844 312 256 252 126 528 May 2023 2,746 301 219 327 109 615 Jun 2023 2,694 295 243 324 158 603 Jul 2023 2,815 221 314 248 113 580 Aug 2023 2,653 390 196 312 84 656 Sep 2023 2,772 288 198 340 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 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 Mar 2023 366 60 55 55 24 83 Apr 2023 417 61 56 38 26 61 May 2023 399 63 53 46 21 77 Jun 2023 396 69 51 42 30 71 Jul 2023 422 55 51 33 19 78 Aug 2023 401 67 50 42 22 76 31 Sep 2023 405 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 Mar 2024 405 57 58 34 24 77 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 Middle East Africa 2022Q1 5,854 1,633 716 416 92 42 27 28 2022Q2 5,583 1,480 713 324 81 38 26 22 2022Q3 5,423 1,433 737 336 81 32 46 21 2022Q4 5,544 1,657 750 356 86 27 26 24 2023Q1 5,852 1,529 731 372 83 34 26 21 2023Q2 6,177 1,455 753 393 90 36 31 23 2023Q3 6,371 1,497 782 415 89 37 29 23 2023Q4 6,759 1,625 823 421 125 39 31 24 2024Q1 7,080 1,784 875 439 126 48 37 29 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 Middle East Africa 2022Q1 132.1 36.9 16.2 9.4 2.1 0.9 0.6 0.6 2022Q2 132.0 35.0 16.9 7.7 1.9 0.9 0.6 0.5 2022Q3 131.4 34.7 17.9 8.1 2.0 0.8 1.1 0.5 2022Q4 133.9 40.0 18.1 8.6 2.1 0.7 0.6 0.6 32 2023Q1 136.8 35.7 17.1 8.7 1.9 0.8 0.6 0.5 2023Q2 143.0 33.7 17.4 9.1 2.1 0.8 0.7 0.5 2023Q3 148.4 34.9 18.2 9.7 2.1 0.9 0.7 0.5 2023Q4 153.7 37.0 18.7 9.6 2.8 0.9 0.7 0.5 2024Q1 157.8 39.7 19.5 9.8 2.8 1.1 0.8 0.6 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 2022Q1 5,543 213 204 48 39 5 2022Q2 5,288 240 198 47 34 5 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 5,992 380 128 47 38 8 2023Q4 6,414 435 123 47 49 2 2024Q1 6,718 444 133 54 44 2 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 2022Q1 125.1 4.8 4.6 1.1 0.9 0.1 2022Q2 125.0 5.7 4.7 1.1 0.8 0.1 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 33 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 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 9.9 3.0 1.2 1.0 0.0 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 Mar 2023 1,890 983 366 355 570 2,189 969 261 279 466 Apr 2023 2,032 906 330 362 578 2,278 893 316 248 472 May 2023 2,018 912 329 349 600 2,282 896 268 279 482 Jun 2023 1,916 995 343 352 602 2,176 986 256 308 482 Jul 2023 1,955 979 329 380 606 2,218 948 253 329 501 Aug 2023 1,961 961 332 385 610 2,237 932 300 270 510 Sep 2023 1,932 998 326 382 611 2,192 968 273 309 507 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 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 Mar 2023 1,051 521 163 128 184 1,195 480 134 100 138 Apr 2023 1,133 473 156 136 195 1,259 434 152 111 137 May 2023 1,140 473 151 127 200 1,277 424 135 116 139 Jun 2023 1,076 527 162 127 199 1,220 469 142 121 139 Jul 2023 1,130 495 148 124 203 1,269 438 129 118 146 34 Aug 2023 1,137 496 138 128 201 1,278 429 140 108 145 Sep 2023 1,106 520 150 123 201 1,247 453 144 112 144 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 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 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 Mar 2023 2,385 837 344 217 381 2,642 808 236 210 268 Apr 2023 2,474 832 300 207 395 2,709 790 226 220 263 May 2023 2,449 842 318 189 409 2,709 778 219 228 275 Jun 2023 2,385 870 333 169 450 2,655 768 281 220 283 Jul 2023 2,379 924 311 202 433 2,661 782 297 208 301 Aug 2023 2,402 906 299 208 434 2,736 712 266 232 302 Sep 2023 2,398 914 299 210 429 2,754 735 227 237 295 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 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 Mar 2023 1,268 458 122 82 117 1,379 424 96 76 72 Apr 2023 1,342 412 126 94 119 1,433 399 111 84 66 May 2023 1,341 416 124 86 124 1,440 391 108 81 71 Jun 2023 1,289 467 121 92 122 1,392 432 108 85 74 Jul 2023 1,318 449 116 83 134 1,423 408 117 70 82 35 Aug 2023 1,336 437 113 83 131 1,442 402 97 83 76 Sep 2023 1,322 454 111 84 129 1,435 410 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 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 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 Mar 2023 3,047 410 113 225 368 3,296 310 126 230 201 Apr 2023 3,081 416 141 177 393 3,317 328 120 226 216 May 2023 3,083 410 135 183 397 3,301 340 97 184 286 Jun 2023 3,103 353 172 182 399 3,287 339 114 183 283 Jul 2023 3,099 389 160 184 418 3,276 376 123 172 302 Aug 2023 3,097 410 143 181 417 3,285 369 96 191 308 Sep 2023 3,100 389 157 175 428 3,279 380 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 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 Mar 2023 1,679 141 59 68 100 1,761 112 55 58 61 Apr 2023 1,709 143 57 77 107 1,791 121 61 61 59 May 2023 1,713 133 58 76 111 1,789 119 58 61 64 Jun 2023 1,715 127 63 74 112 1,783 119 62 62 65 Jul 2023 1,722 124 60 69 125 1,786 127 52 60 75 36 Aug 2023 1,725 132 53 65 125 1,791 124 48 64 73 Sep 2023 1,727 130 55 66 122 1,790 127 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 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 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 Commodity Currency 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 2022Q1 1,102 577 *** *** 2,033 1,483 740 73 *** *** 850 676 110 112 74 70 1,043 359 127 485 202 91 136 429 *** *** 238 75 6,635 2022Q2 972 467 *** *** 1,776 1,441 737 88 39 2 867 684 113 89 79 62 1,028 350 132 482 201 90 112 403 *** *** 215 69 6,280 2022Q3 941 414 *** *** 1,687 1,427 740 92 44 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 58 37 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 *** *** 259 107 6,832 2023Q4 1,096 448 *** *** 1,889 1,524 1,181 30 34 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 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 Commodity Currency 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 2022Q1 26.6 13.9 *** *** 49.0 35.8 17.8 1.8 *** *** 20.5 16.3 2.7 2.7 1.8 1.7 25.2 8.7 3.1 11.7 4.9 2.2 3.3 10.3 *** *** 5.7 1.8 160.1 2022Q2 25.1 12.1 *** *** 45.9 37.2 19.0 2.3 1.0 0.1 22.4 17.7 2.9 2.3 2.0 1.6 26.6 9.0 3.4 12.4 5.2 2.3 2.9 10.4 *** *** 5.5 1.8 162.1 38 2022Q3 25.0 11.0 *** *** 44.8 37.9 19.7 2.4 1.2 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 1.5 1.0 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 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 11.0 *** *** 45.3 38.9 25.2 0.8 *** *** 26.8 19.2 3.4 2.3 2.0 1.6 28.6 9.4 4.3 13.7 5.3 2.5 2.1 9.9 *** *** 6.5 2.7 172.5 2023Q4 27.6 11.3 *** *** 47.6 38.4 29.8 0.7 0.9 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 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 2022Q1 1,995 1,107 1,270 921 1,166 331 353 106 48 2022Q2 1,648 1,183 1,315 880 1,130 328 321 139 59 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 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 2022Q1 1,271 808 354 205 252 210 201 71 39 2022Q2 1,040 780 391 201 229 201 198 73 39 2022Q3 988 728 435 199 223 196 197 80 37 2022Q4 1,021 748 392 205 218 183 191 74 44 39 2023Q1 1,019 776 411 209 226 178 178 84 44 2023Q2 1,094 780 399 206 213 192 176 83 41 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 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 Multi-Strategy Equity Relative Value Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds 2022Q1 793 893 828 501 239 89 25 78 7 2022Q2 800 747 823 493 250 92 27 76 9 2022Q3 855 752 762 476 239 95 29 57 6 2022Q4 939 799 703 516 254 105 33 54 6 2023Q1 1,067 873 705 560 260 124 41 55 9 2023Q2 1,180 921 808 635 219 122 47 58 16 2023Q3 1,245 859 755 618 219 121 50 43 17 2023Q4 844 938 1,349 725 230 119 74 38 15 2024Q1 1,377 1,046 886 811 242 136 60 47 1 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 Multi-Strategy Relative Value Managed Futures/CTA Equity Other Credit Event Driven Investment in other funds 2022Q1 5,409 3,202 2,942 1,042 1,173 1,077 251 126 67 2022Q2 4,826 3,301 2,439 1,216 970 997 254 114 93 2022Q3 4,691 2,774 2,334 1,109 1,327 885 277 95 98 2022Q4 5,654 3,241 1,814 988 1,363 842 251 98 74 40 2023Q1 4,933 3,307 2,018 930 1,418 868 265 95 103 2023Q2 5,465 3,242 2,346 1,317 1,011 891 267 115 93 2023Q3 5,566 3,471 2,340 1,285 1,001 844 294 119 86 2023Q4 5,907 2,328 3,799 832 971 804 270 101 46 2024Q1 6,130 3,441 2,717 1,208 1,129 844 303 71 50 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 Credit Equity Other Investment in other funds Event Driven 2022Q1 4.6 6.0 3.1 1.5 1.6 1.6 1.4 1.2 1.4 2022Q2 4.5 6.5 3.0 1.9 1.6 1.6 1.4 1.5 1.4 2022Q3 4.6 6.2 2.9 1.6 1.7 1.6 1.5 1.4 1.3 2022Q4 4.9 5.9 3.5 1.5 1.7 1.6 1.5 1.3 1.3 2023Q1 5.1 5.8 3.6 1.6 1.7 1.6 1.5 1.4 1.3 2023Q2 5.7 6.2 3.9 1.5 1.8 1.7 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 1.8 1.7 1.4 1.3 1.2 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 Credit Equity Investment in other funds Other Event Driven 2022Q1 33.8 25.4 15.0 14.9 3.2 2.9 2.8 3.1 1.9 2022Q2 30.1 24.8 16.5 13.2 3.1 2.9 4.1 2.9 2.0 2022Q3 29.3 23.8 14.0 11.0 3.2 3.4 4.0 2.9 1.8 2022Q4 34.4 21.3 14.3 14.0 3.2 3.5 3.0 2.9 1.8 2023Q1 35.2 23.1 12.1 14.1 3.4 3.6 3.7 2.7 2.1 2023Q2 39.5 25.5 17.1 14.8 3.5 3.1 3.8 2.7 2.1 2023Q3 40.6 25.4 18.6 15.6 3.4 3.1 3.8 2.7 1.9 2023Q4 40.8 27.4 14.8 14.1 3.4 3.1 3.6 2.7 1.8 2024Q1 46.0 26.5 22.1 16.5 3.6 3.2 3.0 2.6 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 Relative Value Multi-Strategy Equity Other Event Driven Credit Investment in other funds 2022Q1 51.0 45.4 23.3 23.9 10.4 11.3 10.7 6.8 4.9 2022Q2 56.0 45.8 23.8 27.7 12.7 11.5 9.6 8.3 6.8 2022Q3 54.2 43.6 25.0 27.9 13.7 12.3 10.0 7.3 5.5 2022Q4 49.3 45.7 23.5 30.5 13.9 11.5 9.8 8.9 6.1 41 2023Q1 39.9 43.3 25.9 27.3 12.4 9.5 8.1 8.5 7.9 2023Q2 38.8 41.4 26.6 25.7 11.1 9.0 8.4 7.4 12.0 2023Q3 45.3 42.2 25.4 26.0 11.4 8.7 7.5 7.2 12.4 2023Q4 44.0 40.3 25.4 20.6 11.2 8.6 7.7 6.1 1.5 2024Q1 41.4 33.4 25.5 24.9 9.2 8.6 6.9 5.8 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 Non-Financial Listed Equities U.S. Treasury Securities Repurchase Agreements Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Non-Financial Unlisted Equities Credit Derivatives Cash/Cash Equivalents - Other Leveraged Loans Financial Listed Equities Commodity Derivatives Non-Financial Corporate Bonds Other Private Funds MBS Cash/Cash Equivalents - Deposits Physical Real Estate Sovereign Bonds - Other Other Loans (Excluding Repo) Cash/Cash Equivalents - MMFs Non-Financial Convertible Bonds Non-U.S. Currency Holdings Other Other Derivatives Financial Equity Derivatives Other ABS/Structured Products Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Mar 2023 3,442 1,832 1,470 1,138 1,014 786 685 499 337 385 300 210 224 203 175 151 196 191 140 138 186 121 136 97 115 54 48 62 29 36 39 16 15 8 4 Apr 2023 3,289 1,977 1,459 1,163 984 834 682 471 362 370 283 219 218 206 170 159 163 78 143 127 183 121 152 95 107 66 51 61 30 36 34 19 16 7 4 May 2023 3,441 2,149 1,476 1,203 1,010 889 678 472 392 385 283 212 204 211 170 168 181 78 138 126 187 121 161 94 102 57 54 62 34 35 33 18 16 7 4 Jun 2023 3,347 2,081 1,550 1,265 1,005 887 661 510 401 400 313 225 210 214 177 174 173 203 148 145 174 126 159 100 113 63 147 65 41 36 35 19 16 7 4 Jul 2023 3,512 2,168 1,596 1,400 1,072 960 733 492 398 386 285 226 227 215 173 174 144 78 153 129 150 126 160 115 111 63 54 61 53 37 35 17 11 7 4 42 Aug 2023 3,645 2,428 1,558 1,453 1,199 950 754 492 418 390 285 221 219 214 175 183 140 78 143 128 148 124 146 122 106 61 52 59 57 37 35 17 11 7 4 Sep 2023 3,646 2,239 1,518 1,437 1,060 890 696 527 432 374 320 217 218 217 182 183 151 204 130 145 164 122 136 136 112 59 55 60 53 37 35 17 11 7 4 Oct 2023 3,765 2,380 1,436 1,485 1,069 831 732 483 403 358 297 212 194 216 193 201 157 72 137 128 162 123 130 128 100 58 60 60 48 37 30 16 10 7 3 Nov 2023 4,017 2,605 1,535 1,497 1,147 928 849 489 393 414 299 227 201 221 189 197 165 73 155 129 156 131 137 127 123 65 67 62 57 38 33 17 11 8 4 Dec 2023 3,854 2,134 1,620 1,610 1,036 886 868 521 379 436 332 243 191 223 194 198 162 171 167 148 174 139 123 129 121 65 67 63 53 40 33 17 12 8 4 Jan 2024 3,907 2,336 1,611 1,645 1,126 870 906 500 423 393 303 242 203 220 183 202 171 74 170 134 162 134 148 115 139 71 61 63 59 40 35 16 12 8 4 Feb 2024 3,918 2,462 1,695 1,592 1,160 965 917 498 426 415 303 250 194 221 184 192 188 74 162 133 149 138 155 124 132 79 57 63 52 41 35 15 12 8 4 Mar 2024 3,907 2,378 1,763 1,629 1,128 960 853 540 465 405 347 263 235 225 199 192 179 167 160 153 146 144 141 132 129 83 64 64 51 42 36 16 11 9 4 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 Non-Financial Listed Equities U.S. Treasury Securities Repurchase Agreements Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Non-Financial Unlisted Equities Credit Derivatives Cash/Cash Equivalents - Other Leveraged Loans Financial Listed Equities Commodity Derivatives Non-Financial Corporate Bonds Other Private Funds MBS Cash/Cash Equivalents - Deposits Physical Real Estate Sovereign Bonds - Other Other Loans (Excluding Repo) Cash/Cash Equivalents - MMFs Non-Financial Convertible Bonds Non-U.S. Currency Holdings Other Other Derivatives Financial Equity Derivatives Other ABS/Structured Products Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Mar 2023 3,506 1,572 730 732 1,334 780 716 1 400 85 7 101 167 63 *** 28 106 *** 64 15 *** 2 95 16 88 40 8 15 12 5 0 0 0 0 0 Apr 2023 3,549 1,603 728 800 1,330 813 737 1 433 96 6 106 169 69 0 31 77 *** 69 15 *** 2 98 19 97 45 8 14 20 5 0 0 0 0 0 May 2023 3,844 1,707 733 878 1,470 864 760 1 449 86 6 106 177 68 0 34 79 *** 72 15 0 2 114 20 99 45 13 15 26 5 0 *** 0 0 0 Jun 2023 3,808 1,667 773 989 1,483 848 757 1 444 96 8 113 166 68 0 33 75 *** 69 16 *** 2 104 20 106 45 14 16 28 5 0 *** 0 0 0 Jul 2023 3,879 1,629 780 1,220 1,573 905 871 1 438 100 8 113 151 68 0 31 91 *** 73 15 *** 2 108 19 97 46 17 18 30 5 0 0 0 0 0 43 Aug 2023 3,989 1,739 754 1,160 1,653 947 899 1 442 173 7 108 163 69 0 35 90 *** 73 15 *** 2 139 20 100 46 15 19 32 5 0 0 0 0 0 Sep 2023 4,018 1,695 741 1,207 1,633 915 843 1 463 113 9 105 175 67 0 39 107 *** 75 15 *** 2 111 21 106 51 14 18 29 5 0 0 0 0 0 Oct 2023 3,991 1,724 723 1,205 1,575 902 864 1 462 105 9 104 165 65 0 44 115 *** 81 14 *** 2 113 22 101 52 15 18 28 4 0 *** 0 0 0 Nov 2023 4,092 1,785 778 1,188 1,812 912 912 1 466 107 9 116 165 68 0 40 109 *** 86 14 *** 2 134 21 106 53 21 17 24 4 0 *** 0 0 0 Dec 2023 3,903 1,558 808 1,259 1,802 853 926 4 446 150 5 119 160 71 0 45 97 *** 92 15 *** 2 107 24 98 54 20 17 27 4 0 *** 0 0 0 Jan 2024 4,046 1,766 802 1,373 1,959 845 962 1 451 140 9 113 182 72 0 49 107 *** 89 15 0 2 125 23 110 65 19 18 35 4 0 *** 0 0 0 Feb 2024 4,138 1,837 843 1,346 1,934 924 995 1 452 138 9 118 177 72 0 43 116 *** 92 14 0 2 150 24 121 70 17 18 32 4 0 *** 0 0 0 Mar 2024 4,199 1,819 882 1,348 1,836 916 976 1 491 150 9 122 184 74 0 42 116 *** 85 15 0 2 145 25 107 84 20 19 31 4 0 *** 0 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 Mar 2023 305 1,023 1,281 299 358 898 Apr 2023 445 1,021 1,190 325 333 894 May 2023 443 1,022 1,182 318 345 898 Jun 2023 282 1,084 1,262 337 341 900 Jul 2023 450 1,032 1,195 295 346 931 Aug 2023 452 1,026 1,195 295 348 933 Sep 2023 287 1,048 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 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 Mar 2023 237 626 663 192 154 175 Apr 2023 312 600 652 202 153 174 May 2023 306 608 643 200 155 179 Jun 2023 225 655 674 204 156 177 Jul 2023 314 610 654 188 154 180 Aug 2023 317 616 642 188 157 180 Sep 2023 233 663 673 193 164 174 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 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 Mar 2023 1,016 1,843 896 253 156 Apr 2023 1,307 1,697 815 225 164 May 2023 1,312 1,686 745 296 169 Jun 2023 1,072 1,790 870 315 160 Jul 2023 1,342 1,669 828 226 184 Aug 2023 1,300 1,683 824 276 167 Sep 2023 1,077 1,806 887 289 189 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 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 Mar 2023 524 903 428 138 54 Apr 2023 653 838 410 137 55 May 2023 647 832 404 151 57 Jun 2023 531 906 444 158 52 Jul 2023 661 847 404 133 55 Aug 2023 653 844 421 126 56 44 Sep 2023 535 911 463 135 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 Mar 2024 526 886 477 135 63 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 2022Q1 7.5 10.9 23.5 39.7 50.1 62.2 2022Q2 5.8 8.6 20.0 36.6 46.9 60.4 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 44.8 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 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 2022Q1 35.3 53.4 64.8 71.1 75.5 80.5 2022Q2 33.5 51.4 62.3 68.3 73.5 79.3 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 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 Side-Pocketed Gated Suspended 2022Q1 2,884 1,878 104 74 17 2022Q2 2,660 1,847 97 74 14 2022Q3 2,534 1,754 96 75 13 2022Q4 2,499 1,728 90 81 20 45 2023Q1 2,555 1,757 87 80 22 2023Q2 2,566 1,762 90 81 23 2023Q3 2,563 1,754 86 76 20 2023Q4 2,543 1,733 89 84 17 2024Q1 2,648 1,814 95 92 16 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%] 2022Q1 3,667 315 93 71 2022Q2 3,443 286 80 64 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 3,536 293 76 55 2023Q4 3,536 295 71 61 2024Q1 3,660 303 73 65 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%] 2022Q1 1,944 104 28 18 2022Q2 1,918 102 23 18 2022Q3 1,900 101 24 16 2022Q4 1,938 102 22 13 46 2023Q1 1,910 105 19 13 2023Q2 1,957 98 23 13 2023Q3 1,961 104 22 13 2023Q4 1,965 105 20 17 2024Q1 1,946 104 18 19 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 Subtype Prime Broker Reverse Repo Other Secured Subtotal Subtotal Total Mar 2023 1,739 1,432 568 3,739 40 3,779 Apr 2023 1,709 1,426 511 3,646 25 3,671 May 2023 1,786 1,606 497 3,890 26 3,916 Jun 2023 1,871 1,633 546 4,050 38 4,088 Jul 2023 1,883 1,654 512 4,049 26 4,075 Aug 2023 1,828 1,706 517 4,052 27 4,079 Sep 2023 1,807 1,604 563 3,973 37 4,010 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 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 Mar 2023 36.7 54.7 69.0 81.7 94.6 Apr 2023 34.8 52.8 67.5 80.5 94.3 May 2023 35.8 53.4 68.3 81.1 94.4 Jun 2023 36.7 54.7 68.6 81.1 94.5 Jul 2023 35.4 53.8 68.3 81.0 94.5 Aug 2023 35.0 53.8 68.5 81.1 94.5 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 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 Mar 2023 57.0 83.0 93.1 97.8 99.9 Apr 2023 58.7 82.8 92.7 97.6 99.9 May 2023 58.8 82.9 93.4 97.8 99.9 Jun 2023 58.5 83.2 93.1 97.8 99.9 Jul 2023 58.2 83.7 93.6 98.0 99.9 Aug 2023 59.1 83.7 93.5 98.0 99.9 Sep 2023 58.8 84.1 93.4 97.9 99.9 47 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 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 Mar 2023 2,954 1,398 4,352 1,453 702 2,155 940 535 1,475 561 161 723 Apr 2023 2,866 1,358 4,224 1,437 674 2,110 939 526 1,465 491 158 649 May 2023 2,971 1,501 4,472 1,471 712 2,183 1,017 631 1,648 483 158 641 Jun 2023 3,126 1,546 4,673 1,546 736 2,282 1,024 649 1,674 557 161 717 Jul 2023 3,105 1,516 4,621 1,585 702 2,287 1,038 651 1,689 481 163 645 Aug 2023 3,176 1,523 4,700 1,621 687 2,308 1,065 679 1,744 490 156 647 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 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% Mar 2023 412 89 1,238 25 1,171 236 232 177 159 1,047 1,342 1,351 Apr 2023 432 266 1,011 61 1,099 266 200 169 142 1,023 1,274 1,349 May 2023 405 166 1,216 292 1,142 173 210 149 137 1,161 1,423 1,305 Jun 2023 447 337 1,087 339 1,028 266 260 125 161 1,295 1,220 1,534 Jul 2023 513 112 1,259 270 1,208 176 217 161 134 1,520 1,168 1,361 Aug 2023 454 132 1,243 297 1,157 252 219 167 131 1,254 1,352 1,446 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 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% Mar 2023 115 156 426 34 117 168 185 73 257 266 214 685 Apr 2023 122 157 420 47 113 167 151 75 238 246 223 670 May 2023 134 167 412 71 96 165 156 75 237 277 208 664 Jun 2023 132 168 412 61 104 162 179 83 258 287 219 679 Jul 2023 145 156 412 56 98 167 180 76 237 289 215 652 48 Aug 2023 145 152 412 59 97 163 186 74 229 291 204 659 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 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 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 2022Q1 35.6 46.3 63.7 76.6 93.9 95.2 2022Q2 36.9 47.2 64.8 76.3 93.0 94.3 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 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 2022Q1 63.7 35.4 0.9 0.0 2022Q2 63.9 35.4 0.7 0.0 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 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 2022Q1 278 138 188 300 161 891 1,614 2022Q2 258 117 193 316 198 783 1,566 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 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 2022Q1 412 300 205 146 62 127 33 2022Q2 416 303 202 130 83 120 35 2022Q3 427 285 196 136 99 116 30 2022Q4 412 301 199 139 82 122 36 49 2023Q1 403 309 203 128 85 112 40 2023Q2 409 290 224 128 90 110 44 2023Q3 413 316 185 142 94 104 48 2023Q4 393 319 179 148 86 107 47 2024Q1 425 295 177 155 90 94 53 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 2022Q1 15.9 14.7 2022Q2 14.2 13.6 2022Q3 13.5 13.2 2022Q4 12.9 12.3 50 2023Q1 12.8 12.5 2023Q2 14.0 13.2 2023Q3 14.1 13.2 2023Q4 13.8 13.3 2024Q1 13.9 13.1 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 2022Q1 684 267 210 202 52 1,410 2022Q2 652 274 193 181 52 1,409 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 1,463 2023Q4 628 284 172 159 51 1,479 2024Q1 596 261 163 157 53 1,491 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 2022Q1 4,441 2,146 1,029 695 1,124 3,821 2022Q2 4,309 2,138 966 625 1,114 3,608 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 3,665 2023Q4 5,395 3,062 946 535 1,559 3,813 2024Q1 5,459 3,058 996 601 1,523 3,975 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 2022Q1 1,544 608 460 422 191 2,601 2022Q2 1,411 597 391 368 192 2,462 2022Q3 1,417 612 372 373 200 2,349 2022Q4 1,350 585 373 330 191 2,441 51 2023Q1 1,345 588 367 325 199 2,533 2023Q2 1,356 599 352 329 209 2,580 2023Q3 1,355 610 341 319 225 2,605 2023Q4 1,329 607 338 309 211 2,636 2024Q1 1,356 607 349 323 223 2,745 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 2022Q1 570 479 114 931 2022Q2 580 465 72 944 2022Q3 588 458 105 890 2022Q4 577 466 73 959 2023Q1 555 469 69 954 2023Q2 576 467 70 978 2023Q3 568 466 69 997 2023Q4 552 480 76 999 2024Q1 524 432 72 1,059 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 2022Q1 4,100 1,548 341 2,273 2022Q2 4,075 1,450 234 2,158 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 2,257 2023Q4 5,125 1,486 270 2,327 2024Q1 5,198 1,555 261 2,420 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 2022Q1 1,296 904 248 1,697 2022Q2 1,267 850 144 1,612 2022Q3 1,259 821 159 1,527 2022Q4 1,212 843 138 1,598 52 2023Q1 1,209 860 136 1,673 2023Q2 1,219 872 137 1,708 2023Q3 1,219 879 136 1,726 2023Q4 1,172 913 156 1,723 2024Q1 1,200 952 156 1,793 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 2022Q1 875 721 765 649 530 443 291 252 2022Q2 863 735 770 656 526 455 287 252 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 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 2022Q1 5,079 4,862 4,554 4,351 3,796 3,846 1,184 970 2022Q2 5,077 4,799 4,481 4,333 3,787 3,975 1,123 936 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 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 2022Q1 1,962 1,648 1,686 1,453 1,192 1,151 504 422 2022Q2 1,887 1,622 1,631 1,441 1,176 1,169 484 409 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 53 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 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 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 2022Q1 1,045 212 129 83 100 126 167 81 151 2022Q2 1,016 208 126 80 99 131 168 79 154 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 1,066 209 127 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 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 2022Q1 2,615 432 568 306 344 871 2,123 341 662 2022Q2 2,392 412 431 279 417 811 2,193 335 647 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 2,573 397 435 327 414 663 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 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 2022Q1 1,946 276 294 212 182 302 509 174 252 2022Q2 1,756 255 269 190 169 281 543 160 249 2022Q3 1,686 234 259 183 191 267 544 169 233 2022Q4 1,735 241 256 206 175 264 540 142 232 54 2023Q1 1,809 246 258 212 168 281 517 149 238 2023Q2 1,845 246 259 217 158 272 553 148 237 2023Q3 1,862 259 270 226 153 274 559 139 218 2023Q4 1,879 262 259 217 165 241 566 139 237 2024Q1 1,948 275 245 245 147 275 577 145 243 Analytics Office 9 Section 3 Liquidity Fund Specific Information 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 62. 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 2022Q1 69.5 91.6 96.0 97.9 99.5 99.8 2022Q2 66.4 91.8 96.5 98.5 99.6 99.8 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 Table 9.2: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 61 Type May Suspend May Have Gates Suspended Gated 9.2 2022Q1 290 261 0 0 2022Q2 310 281 0 0 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 Portfolio Characteristics Table 9.3: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) As reported on Form PF, Questions 55(d). Statistic Average WAM Asset-Weighted WAM Mar 2023 25.9 24.4 Apr 2023 28.1 24.1 May 2023 29.5 26.2 Jun 2023 29.8 30.0 Jul 2023 29.3 29.9 Aug 2023 28.1 34.3 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 Table 9.4: Weighted-Average Life of Section 3 Liquidity Funds (Days) As reported on Form PF, Questions 55(e). Statistic Average WAL Asset-Weighted WAL Mar 2023 42.8 42.4 Apr 2023 45.7 41.6 May 2023 47.9 45.4 Jun 2023 46.7 49.6 Jul 2023 47.3 52.4 Aug 2023 45.6 54.7 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 Table 9.5: Seven-Day Gross Yield of Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(f). Statistic Average Gross Yield Asset-Weighted Gross Yield Mar 2023 4.7 4.5 Apr 2023 4.8 4.6 May 2023 5.0 4.8 Jun 2023 5.1 4.9 Jul 2023 5.2 5.0 55 Aug 2023 5.5 5.2 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 Analytics Office Table 9.6: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(g). Ratios are capped at 100%. Statistic Average DLA Asset-Weighted DLA Mar 2023 53.2 58.9 Apr 2023 53.5 58.1 May 2023 52.8 57.7 Jun 2023 52.1 52.3 Jul 2023 54.4 56.4 Aug 2023 54.6 53.9 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 Table 9.7: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(h). Ratios are capped at 100%. Statistic Average WLA Asset-Weighted WLA Mar 2023 63.4 71.3 Apr 2023 63.4 73.0 May 2023 60.9 69.0 Jun 2023 61.0 64.8 Jul 2023 63.0 67.8 Aug 2023 62.4 64.8 56 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 Analytics Office 9.3 Rule 2a-7 Compliance Table 9.8: Rule 2a-7 Compliance (Percent of Section 3 Liquidity Funds) Question 54 Type None Credit Quality Maturity Diversification Liquidity Fully 2022Q1 51.9 48.1 44.4 44.4 40.7 37.0 2022Q2 53.8 46.2 42.3 42.3 36.5 34.6 2022Q3 52.9 47.1 39.2 43.1 37.3 35.3 2022Q4 52.0 48.0 44.0 44.0 38.0 36.0 2023Q1 52.0 48.0 44.0 44.0 38.0 36.0 2023Q2 52.0 48.0 44.0 44.0 38.0 36.0 2023Q3 52.0 48.0 44.0 44.0 38.0 36.0 2023Q4 52.9 47.1 43.1 43.1 37.3 35.3 2024Q1 54.2 45.8 41.7 41.7 35.4 33.3 Table 9.9: Rule 2a-7 Compliance (Percent of Section 3 Liquidity Fund Aggregate NAV) Questions 9 and 54 Type None Credit Quality Maturity Diversification Fully Liquidity 9.4 2022Q1 81.3 18.7 17.2 17.2 15.0 17.0 2022Q2 83.9 16.1 14.6 14.6 12.5 13.4 2022Q3 84.3 15.7 14.3 14.4 12.3 13.2 2022Q4 84.1 15.9 14.6 14.6 12.7 13.3 2023Q1 83.6 16.4 15.1 15.1 12.9 13.7 2023Q2 84.2 15.8 14.5 14.5 12.5 13.2 2023Q3 85.2 14.8 13.7 13.7 11.8 12.5 2023Q4 86.0 14.0 13.0 13.0 11.2 11.8 2024Q1 85.4 14.6 13.3 13.3 12.0 12.0 Methods of Calculating NAV Table 9.10: NAV Calculation Method (Percent of Section 3 Liquidity Funds) Questions 52 and 53 Type Stable Floating 2022Q1 74.1 25.9 2022Q2 71.2 28.8 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 Table 9.11: NAV Calculation Method (Percent of Section 3 Liquidity Fund Aggregate NAV) Questions 9, 52, and 53 Type Stable Floating 2022Q1 67.2 32.8 2022Q2 61.2 38.8 2022Q3 62.1 37.9 2022Q4 65.9 34.1 2023Q1 68.8 31.2 57 2023Q2 69.1 30.9 2023Q3 63.6 36.4 2023Q4 66.1 33.9 2024Q1 65.7 34.3 Analytics Office 9.5 Aggregate Portfolio Holdings7 Table 9.12: Aggregate Product Exposures of Section 3 Liquidity Funds ($Billions) As reported on Form PF, Question 63 Investment Type U.S. Treasuries Deposits Repo - Govt. Collateral Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt Mar 2023 32.7 69.4 103.7 45.1 14.5 16.9 10.9 13.9 0.7 Apr 2023 25.6 75.3 105.4 47.8 21.8 17.7 11.2 13.1 1.0 May 2023 27.2 81.7 104.9 47.0 15.3 17.8 10.0 10.7 1.0 Jun 2023 58.5 75.3 75.3 47.7 21.0 18.2 11.1 6.3 0.9 Jul 2023 53.4 81.9 82.4 45.6 14.5 19.1 12.1 5.4 0.6 Aug 2023 78.6 86.3 71.3 43.4 17.1 19.6 10.7 4.0 0.1 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 *** 7 Note that prior to 2016Q2, portfolio holdings were reported on a quarterly, rather than monthly, frequency. For more information see Release No. 33-9616. 58 Analytics Office 10 Section 4 Private Equity Fund Specific Information 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 77. 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 59 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 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 77. 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 1,271 846 436 764 480 383 320 360 347 174 40 186 221 173 150 69 115 117 267 46 56 66 157 113 2023Q4 1,424 935 467 805 578 439 379 388 367 221 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 71 and 72. 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 16.5 40.5 14.4 2022Q4 1.3 5.5 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 73. 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 63.0 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 67, 68, and 69. 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 4,717 669 480 430 0 4,505 687 619 743 492 5,216 359 238 249 2022Q4 239 5,371 753 614 516 0 5,129 709 783 872 513 5,951 423 289 317 2023Q4 329 6,186 851 605 590 0 5,890 829 811 1,031 630 6,750 461 339 381 Table 10.6: CPC Gross Assets of Section 4 Private Equity Funds by Debtto-Equity Ratio of CPCs As reported on Form PF Question 67, 68, 69, and 70. 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 1,178 1,523 1,373 1,542 1,704 0 924 966 1,637 3,795 1,533 4,396 426 630 337 2014Q4 451 1,817 1,512 1,585 1,054 0 870 609 1,915 3,023 1,498 3,847 350 509 213 2015Q4 451 1,858 1,315 1,165 854 0 996 933 1,229 2,486 879 3,870 471 252 173 2016Q4 262 1,798 1,771 831 736 0 878 1,172 1,311 2,038 715 3,650 543 245 244 62 2017Q4 309 1,794 2,126 811 577 0 882 1,219 1,562 1,952 921 3,730 525 229 210 2018Q4 404 2,104 1,875 1,015 774 0 859 1,224 1,798 2,291 925 4,133 486 375 253 2019Q4 392 2,250 2,581 1,357 1,013 0 1,168 1,239 2,308 2,878 1,031 4,988 704 407 462 2020Q4 218 4,146 2,612 1,568 1,707 0 1,653 1,608 2,934 4,057 1,116 7,286 738 447 665 2021Q4 463 5,041 2,739 3,340 3,222 0 2,998 2,110 2,641 7,056 3,676 9,123 757 582 667 2022Q4 402 5,519 3,933 3,503 2,854 0 3,029 2,276 4,100 6,806 3,465 9,903 1,265 702 876 2023Q4 820 6,498 3,663 2,980 1,841 0 3,470 2,554 4,192 5,588 4,391 8,868 1,150 774 619 Analytics Office 10.4 CPC Investments by Region and Country8 Table 10.7: Aggregate Gross Asset [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%3A1a0460c356999a94. Public record. Not legal advice.