# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A55ccfde9d5758b09 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Risk and Examinations Office Private Funds Statistics Third Calendar Quarter 2016 April 24, 2017 This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office (REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. April 24, 2017 Risk and Examinations Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings.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. This report reflects data from Fourth Calendar Quarter 2014 through Third Calendar Quarter 2016 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. Form PF is still a relatively new reporting requirement for advisers to private funds. The Staff continues to work with the data and filers to identify and correct filing errors. In some instances, the Staff has made adjustments to the summary statistics presented here to correct what appear to be clear filing errors. In addition, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies could lead to changes in reported statistics. If you have any questions or comments about Third Calendar Quarter 2016 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Third Calendar Quarter 2016-Private Funds 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 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. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis. 1 April 24, 2017 Risk and Examinations Office Contents I II Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 29 31 33 34 35 37 40 41 42 X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 43 43 46 46 2 April 24, 2017 Risk and Examinations Office E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 48 48 49 50 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 52 52 52 53 53 53 54 54 55 56 XI 3 April 24, 2017 I Risk and Examinations Office Number of Funds and Advisers3 Table 1: Number of Funds 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 Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2014Q4 8,249 8,671 4,197 2,387 1,802 1,538 1,326 508 68 45 24,821 2015Q1 8,300 8,846 4,180 2,391 1,800 1,560 1,345 505 68 42 25,044 2015Q2 8,332 8,845 4,200 2,390 1,801 1,592 1,347 506 68 42 25,099 2015Q3 8,250 8,903 4,197 2,364 1,806 1,625 1,349 508 67 40 25,080 2015Q4 9,637 8,765 4,125 2,736 2,056 1,640 1,406 636 65 41 26,690 2016Q1 9,699 8,892 4,096 2,742 2,093 1,597 1,421 635 64 36 26,900 2016Q2 9,710 8,893 4,122 2,744 2,091 1,608 1,418 646 66 37 26,946 2016Q3 9,719 8,947 4,112 2,744 2,108 1,616 1,416 651 67 36 27,020 Table 2: 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 Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2014Q4 921 1,664 555 210 262 524 153 85 35 24 2,720 2015Q1 922 1,668 556 209 263 525 154 85 35 22 2,721 2015Q2 924 1,666 557 209 264 528 154 85 35 22 2,723 2015Q3 923 1,664 556 209 265 537 154 86 34 21 2,719 2015Q4 1,014 1,684 568 243 288 535 155 97 37 21 2,825 2016Q1 1,016 1,687 559 244 290 525 157 97 37 19 2,826 2016Q2 1,016 1,681 562 244 288 525 156 98 37 19 2,821 2016Q3 1,015 1,675 562 244 290 514 154 100 37 19 2,816 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 E for definitions of other capitalized terms used in this report. 4 April 24, 2017 Risk and Examinations Office II Gross and Net Assets A Aggregate Assets by Fund Type over Time Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. 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 Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 6,025 4,922 1,889 1,352 981 377 352 273 272 39 9,936 2015Q1 6,432 5,312 1,882 1,352 976 382 352 289 287 39 10,352 2015Q2 6,350 5,278 1,884 1,351 981 384 352 265 263 39 10,255 2015Q3 6,246 5,194 1,844 1,337 970 382 353 274 267 39 10,109 2015Q4 6,071 4,990 2,057 1,472 969 416 397 286 283 55 10,251 2016Q1 6,162 4,991 2,058 1,473 965 420 405 273 247 55 10,337 2016Q2 6,327 5,101 2,060 1,473 970 420 405 287 258 56 10,525 2016Q3 6,462 5,242 2,061 1,473 973 420 405 292 249 55 10,669 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. 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 Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 3,402 2,669 1,746 1,275 869 113 280 272 271 37 6,719 2015Q1 3,581 2,838 1,741 1,274 875 115 280 286 284 37 6,916 2015Q2 3,591 2,867 1,742 1,273 877 116 280 264 262 37 6,908 5 2015Q3 3,480 2,762 1,704 1,259 867 116 281 274 267 37 6,759 2015Q4 3,457 2,736 1,882 1,377 868 135 319 285 282 52 6,998 2016Q1 3,407 2,653 1,881 1,378 864 138 323 272 246 52 6,937 2016Q2 3,434 2,669 1,883 1,378 869 138 323 285 256 53 6,985 2016Q3 3,494 2,736 1,883 1,378 874 139 323 290 247 52 7,056 April 24, 2017 Risk and Examinations Office Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. 20 20 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 NAV ($Billions) Q4 8 7 6 5 4 3 2 1 0 14 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 15 20 20 14 Q4 GAV ($Billions) As reported on Form PF, Questions 8 and 9. 8 7 6 5 4 3 2 1 0 1600 1400 1200 1000 800 600 400 200 0 20 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 NAV ($Millions) 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 1600 1400 1200 1000 800 600 400 200 0 (b) Qualifying Hedge Fund NAV 20 GAV ($Millions) (a) Qualifying Hedge Fund GAV (c) Section 4 Private Equity Fund GAV (d) Section 4 Private Equity Fund NAV 6 April 24, 2017 Risk and Examinations Office Figure 2: Ratio of GAV to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 2.0 1.5 1.0 0.5 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 0.0 3.0 2.5 2.0 1.5 1.0 0.5 0.0 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) 2.5 20 20 14 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 8, 9, and 10. 3.0 (a) All Private Funds (b) Qualifying Hedge Funds 7 April 24, 2017 Borrowings Table 5: 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 Private Equity Fund Section 4 Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2014Q4 48.0 38.3 36.2 13.8 4.0 2.3 3.0 0.6 0.0 0.0 2015Q1 46.6 38.1 35.3 13.3 3.9 2.3 2.9 0.6 0.0 0.0 2015Q2 46.5 38.8 36.1 13.3 4.0 2.3 2.8 0.6 0.0 0.0 2015Q3 46.3 39.1 36.4 13.3 4.0 2.3 2.9 0.6 0.0 0.0 2015Q4 50.7 38.2 35.6 13.3 4.8 3.4 2.3 0.4 0.0 0.0 2016Q1 48.9 39.1 36.8 13.4 4.8 3.4 2.2 0.4 0.0 0.0 2016Q2 48.7 38.2 36.2 13.4 4.9 3.4 2.2 0.4 0.0 0.0 2016Q3 48.4 39.9 38.0 13.4 4.9 3.4 2.2 0.4 0.0 0.0 Figure 3: Distribution of Total Borrowings for All Private Funds and Qualifying Hedge Funds See Appendix C for an explanation of boxplots. Total Borrowings ($Billions) 700 600 500 400 300 200 100 0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 20 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Total Borrowings ($Millions) As reported on Form PF, Questions 12 and 43 (Third Month). 20 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 B Risk and Examinations Office (a) All Private Funds (b) Qualifying Hedge Funds 8 April 24, 2017 Risk and Examinations Office Figure 4: Ratio of Borrowings to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 20 20 14 Q Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 (a) All Private Funds (b) Qualifying Hedge Funds 9 April 24, 2017 C Risk and Examinations Office Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2014Q4 2,819 2,619 2,212 1,488 2015Q1 2,377 2,313 2,152 1,266 2015Q2 2,356 2,353 2,161 1,270 2015Q3 2,299 2,359 2,144 1,255 2015Q4 2,741 2,451 2,337 1,756 2016Q1 2,473 2,140 2,265 1,589 2016Q2 2,457 2,071 2,258 1,548 2016Q3 2,478 2,064 2,271 1,546 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2014Q4 677 424 79 457 2015Q1 632 461 74 589 2015Q2 614 491 79 585 2015Q3 605 498 89 573 10 2015Q4 627 335 110 498 2016Q1 668 476 111 676 2016Q2 680 424 107 698 2016Q3 677 428 106 699 April 24, 2017 D Risk and Examinations Office Parallel Managed Accounts4 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 710 398 210 227 60 51 *** 16 14 *** 1,419 2015Q1 717 388 207 233 63 51 *** 17 15 *** 1,415 2015Q2 702 391 210 246 63 51 *** 17 15 *** 1,406 2015Q3 709 386 208 246 63 51 *** 15 12 *** 1,404 2015Q4 698 409 249 246 82 49 *** 14 13 *** 1,454 2016Q1 692 411 249 233 82 52 *** 16 15 *** 1,455 2016Q2 695 409 249 235 82 52 *** 15 15 *** 1,455 2016Q3 690 412 248 232 82 52 *** 15 15 *** 1,452 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 720 1,443 107 516 16 11 *** 349 345 *** 2,727 2015Q1 771 1,413 94 544 16 11 *** 363 359 *** 2,750 2015Q2 698 1,411 94 528 16 11 *** 347 343 *** 2,659 2015Q3 665 1,399 94 489 16 11 *** 278 271 *** 2,544 2015Q4 654 1,329 96 478 19 10 *** 250 245 *** 2,495 2016Q1 612 1,325 96 437 19 11 *** 321 316 *** 2,521 2016Q2 632 1,307 96 458 19 11 *** 306 306 *** 2,508 2016Q3 598 1,361 96 436 19 11 *** 312 312 *** 2,533 4 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. 11 April 24, 2017 Risk and Examinations Office Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Parallel Managed Assets ($Billions) 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 20 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 20 14 Parallel Managed Assets ($Billions) As reported on Form PF, Question 11. 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 (a) All Private Funds (b) Qualifying Hedge Funds 12 April 24, 2017 III Risk and Examinations Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Virgin Islands, British Luxembourg Bermuda United Kingdom Other Country Cayman Islands United States Virgin Islands, British Ireland Bermuda Luxembourg Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Bermuda Canada Other All Private Funds 2014Q4 2015Q1 2015Q2 2015Q3 2015Q4 49.6 49.3 49.4 49.4 50.1 37.7 37.9 38.0 38.0 37.8 4.7 4.6 4.6 4.6 3.9 2.6 2.8 2.7 2.6 2.3 1.2 1.2 1.2 1.2 1.3 1.2 1.2 1.2 1.2 1.3 1.0 1.0 1.0 1.1 1.0 1.9 2.0 1.9 1.9 2.2 Qualifying Hedge Funds 2014Q4 2015Q1 2015Q2 2015Q3 2015Q4 55.4 55.9 55.6 55.6 55.7 31.5 31.2 31.5 31.5 31.9 6.1 6.2 6.0 6.0 5.4 2.4 2.2 2.4 2.5 2.5 1.4 1.4 1.4 1.5 1.5 1.3 1.2 1.2 1.1 1.2 1.9 1.8 1.8 1.9 1.9 Section 3 Liquidity Funds 2014Q4 2015Q1 2015Q2 2015Q3 2015Q4 *** *** *** *** *** 30.6 32.8 32.1 32.2 35.0 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2014Q4 2015Q1 2015Q2 2015Q3 2015Q4 63.3 63.5 63.5 63.2 62.3 30.7 30.7 30.6 30.8 30.0 2.3 2.4 2.4 2.4 2.5 1.0 1.0 1.0 1.0 1.3 1.3 1.3 1.3 1.3 1.2 1.4 1.2 1.2 1.2 2.6 13 2016Q1 50.7 37.4 3.8 2.4 1.3 1.3 1.0 2.1 2016Q2 50.7 37.3 3.9 2.3 1.4 1.3 1.1 2.1 2016Q3 50.8 37.2 3.9 2.3 1.5 1.2 1.1 2.1 2016Q1 54.7 32.7 5.7 2.6 1.4 1.2 1.8 2016Q2 54.5 33.0 5.7 2.5 1.4 1.2 1.7 2016Q3 53.8 33.7 5.5 2.6 1.4 1.3 1.7 2016Q1 *** 36.5 *** *** 2016Q2 *** 34.2 *** *** 2016Q3 *** 34.1 *** *** 2016Q1 62.4 30.0 2.5 1.3 1.2 2.6 2016Q2 62.3 30.0 2.5 1.3 1.2 2.6 2016Q3 62.3 30.0 2.5 1.3 1.2 2.6 April 24, 2017 Risk and Examinations Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2014Q4 89.6 6.4 3.9 Country United States United Kingdom Hong Kong Australia Other 2014Q4 89.8 4.9 *** *** 2.8 Country United States United Kingdom France 2014Q4 63.6 *** *** Country United States Canada Other 2014Q4 97.8 *** *** All Private Funds 2015Q1 2015Q2 2015Q3 2015Q4 89.6 89.5 89.4 89.9 6.4 6.4 6.6 6.3 4.0 4.1 4.0 3.8 Qualifying Hedge Funds 2015Q1 2015Q2 2015Q3 2015Q4 90.4 90.1 90.1 89.2 4.9 4.9 5.1 5.6 *** *** *** *** *** *** *** *** 2.4 2.5 2.4 2.6 Section 3 Liquidity Funds 2015Q1 2015Q2 2015Q3 2015Q4 65.6 64.0 64.9 57.4 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2015Q1 2015Q2 2015Q3 2015Q4 97.8 97.8 97.7 97.2 *** *** *** *** *** *** *** *** 14 2016Q1 89.6 6.5 3.9 2016Q2 89.6 6.5 3.9 2016Q3 89.7 6.5 3.8 2016Q1 89.3 5.7 *** *** 2.5 2016Q2 89.5 5.6 *** *** 2.4 2016Q3 89.4 5.7 *** *** 2.4 2016Q1 58.4 *** *** 2016Q2 59.4 *** *** 2016Q3 64.1 *** *** 2016Q1 97.2 *** *** 2016Q2 97.2 *** *** 2016Q3 97.2 *** *** April 24, 2017 IV Risk and Examinations Office Beneficial Ownership Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2014Q4 1,357 859 766 844 741 690 361 263 193 185 142 89 116 90 2015Q1 1,376 868 777 885 759 714 363 268 212 189 148 123 116 93 2015Q2 1,372 872 790 891 761 710 362 268 205 180 149 118 113 92 2015Q3 1,344 854 770 867 743 689 363 264 204 180 143 110 113 92 2015Q4 1,360 895 896 889 759 707 382 278 201 169 147 106 112 99 2016Q1 1,327 908 881 880 766 702 381 274 196 163 144 123 107 87 2016Q2 1,323 917 894 891 769 700 385 276 199 171 149 120 104 89 2016Q3 1,321 931 919 906 777 720 386 275 200 170 145 119 97 90 2016Q2 18.9 13.1 12.8 12.8 11.0 10.0 5.5 4.0 2.8 2.5 2.1 1.7 1.5 1.3 2016Q3 18.7 13.2 13.0 12.8 11.0 10.2 5.5 3.9 2.8 2.4 2.1 1.7 1.4 1.3 Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2014Q4 20.2 12.8 11.4 12.6 11.0 10.3 5.4 3.9 2.9 2.8 2.1 1.3 1.7 1.3 2015Q1 19.9 12.5 11.2 12.8 11.0 10.3 5.3 3.9 3.1 2.7 2.1 1.8 1.7 1.3 15 2015Q2 19.9 12.6 11.4 12.9 11.0 10.3 5.2 3.9 3.0 2.6 2.2 1.7 1.6 1.3 2015Q3 19.9 12.6 11.4 12.8 11.0 10.2 5.4 3.9 3.0 2.7 2.1 1.6 1.7 1.4 2015Q4 19.4 12.8 12.8 12.7 10.8 10.1 5.5 4.0 2.9 2.4 2.1 1.5 1.6 1.4 2016Q1 19.1 13.1 12.7 12.7 11.0 10.1 5.5 3.9 2.8 2.3 2.1 1.8 1.5 1.3 April 24, 2017 Risk and Examinations Office Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. SEC-Registered Investment Companies Broker-Dealers Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2014Q4 558 357 334 300 321 256 133 49 93 68 65 59 41 33 2015Q1 581 379 366 322 340 264 134 81 91 71 68 56 44 38 2015Q2 583 382 374 340 341 269 134 76 90 70 68 57 44 37 2015Q3 558 370 361 327 324 261 134 69 86 67 67 55 44 35 2015Q4 550 370 358 334 316 265 136 63 83 66 68 50 42 31 2016Q1 513 363 347 323 305 272 137 77 77 64 64 48 31 30 2016Q2 510 358 352 333 308 278 136 76 76 65 65 46 32 32 2016Q3 504 378 364 356 319 291 140 75 69 66 65 46 33 30 2016Q2 19.1 13.4 13.2 12.5 11.5 10.4 5.1 2.9 2.8 2.4 2.4 1.7 1.2 1.2 2016Q3 18.4 13.8 13.3 13.0 11.7 10.6 5.1 2.7 2.5 2.4 2.4 1.7 1.2 1.1 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. SEC-Registered Investment Companies Broker-Dealers Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2014Q4 20.9 13.4 12.5 11.3 12.0 9.6 5.0 1.8 3.5 2.5 2.4 2.2 1.5 1.3 2015Q1 20.5 13.4 12.9 11.4 12.0 9.3 4.7 2.9 3.2 2.5 2.4 2.0 1.6 1.3 16 2015Q2 20.3 13.3 13.0 11.9 11.9 9.4 4.7 2.6 3.1 2.4 2.4 2.0 1.5 1.3 2015Q3 20.2 13.4 13.1 11.8 11.7 9.4 4.9 2.5 3.1 2.4 2.4 2.0 1.6 1.3 2015Q4 20.1 13.5 13.1 12.2 11.6 9.7 5.0 2.3 3.0 2.4 2.5 1.8 1.5 1.1 2016Q1 19.3 13.7 13.1 12.2 11.5 10.2 5.1 2.9 2.9 2.4 2.4 1.8 1.2 1.1 April 24, 2017 Risk and Examinations Office Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2014Q4 75 40 63 15 *** 14 10 5 20 11 *** *** *** 0 2015Q1 86 44 45 17 *** *** 9 6 35 *** *** *** *** 0 2015Q2 77 36 44 17 *** *** 9 5 31 *** *** *** *** 0 2015Q3 86 43 42 13 *** *** 8 6 29 *** *** *** *** *** 2015Q4 82 45 51 16 *** *** 8 5 28 *** *** *** *** *** 2016Q1 79 *** 38 17 *** *** 7 5 17 *** *** *** *** *** 2016Q2 79 *** 38 17 *** *** 8 5 17 *** *** *** *** *** 2016Q3 80 60 40 18 *** *** 8 *** 4 *** *** *** *** *** 2016Q2 30.8 *** 14.7 6.6 *** *** 3.3 1.8 6.8 *** *** *** *** *** 2016Q3 32.3 24.2 16.2 7.1 *** *** 3.2 *** 1.6 *** *** *** *** *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2014Q4 27.7 14.9 23.4 5.6 *** 5.2 3.5 1.9 7.3 4.1 *** *** *** 0.0 2015Q1 30.5 15.6 15.7 5.9 *** *** 3.2 2.0 12.3 *** *** *** *** 0.0 17 2015Q2 29.5 13.6 16.9 6.5 *** *** 3.3 2.0 11.7 *** *** *** *** 0.0 2015Q3 32.2 16.1 15.8 4.7 *** *** 3.0 2.1 10.8 *** *** *** *** *** 2015Q4 29.0 15.8 17.9 5.8 *** *** 2.9 1.9 10.0 *** *** *** *** *** 2016Q1 32.2 *** 15.5 7.1 *** *** 2.9 1.9 6.9 *** *** *** *** *** April 24, 2017 Risk and Examinations Office Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Pension Plans Sov. Wealth Funds and For. Official Inst. U.S. Individuals Non-Profits Insurance Companies Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2014Q4 300 277 110 123 124 79 80 75 33 35 16 11 3 1 2015Q1 301 278 110 123 124 79 80 76 32 35 16 11 3 1 2015Q2 301 277 110 123 124 79 80 76 32 35 16 11 3 1 2015Q3 297 276 108 119 123 79 79 75 32 35 16 11 3 1 2015Q4 326 270 140 137 132 95 87 84 35 32 19 15 5 1 2016Q1 326 270 140 138 132 95 87 84 35 32 19 15 5 1 2016Q2 326 270 140 137 132 95 87 84 35 32 19 15 5 1 2016Q3 326 270 140 137 132 95 87 84 35 32 19 15 5 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Pension Plans Sov. Wealth Funds and For. Official Inst. U.S. Individuals Non-Profits Insurance Companies Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2014Q4 23.6 21.8 8.6 9.6 9.7 6.2 6.3 5.9 2.6 2.8 1.2 0.9 0.2 0.1 2015Q1 23.6 21.8 8.6 9.7 9.7 6.2 6.3 5.9 2.5 2.8 1.2 0.9 0.2 0.1 18 2015Q2 23.6 21.8 8.6 9.7 9.7 6.2 6.3 5.9 2.5 2.8 1.2 0.9 0.2 0.1 2015Q3 23.6 21.9 8.6 9.4 9.8 6.3 6.3 6.0 2.5 2.8 1.2 0.9 0.2 0.1 2015Q4 23.7 19.6 10.2 10.0 9.6 6.9 6.3 6.1 2.6 2.3 1.4 1.1 0.4 0.0 2016Q1 23.7 19.6 10.2 10.0 9.6 6.9 6.3 6.1 2.5 2.3 1.4 1.1 0.4 0.0 2016Q2 23.7 19.6 10.2 10.0 9.6 6.9 6.3 6.1 2.5 2.3 1.4 1.1 0.4 0.0 2016Q3 23.7 19.6 10.2 10.0 9.6 6.9 6.3 6.1 2.5 2.3 1.4 1.1 0.4 0.0 April 24, 2017 V Risk and Examinations Office Derivatives Table 20: Aggregate Derivative Notional ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 14,584 13,118 127 66 60 13 27 *** 0 *** 14,800 2015Q1 14,452 13,123 121 69 60 13 29 *** *** *** 14,667 2015Q2 13,787 12,550 106 71 60 13 29 *** *** *** 14,007 2015Q3 14,032 12,785 107 73 60 13 28 *** *** *** 14,253 2015Q4 12,960 11,852 103 54 42 21 12 *** *** *** 13,149 2016Q1 13,912 12,716 103 54 42 21 11 *** *** *** 14,097 2016Q2 14,130 12,817 103 54 42 21 11 *** *** *** 14,319 2016Q3 15,743 14,489 106 53 42 21 10 *** *** *** 15,935 Table 21: Aggregate Derivative Notional (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2014Q4 428.6 491.4 14.7 3.8 4.7 4.6 23.5 *** 0.0 *** 220.3 2015Q1 403.5 462.4 13.8 4.0 4.7 4.6 25.5 *** *** *** 212.1 2015Q2 383.9 437.8 12.1 4.1 4.7 4.6 25.1 *** *** *** 202.8 19 2015Q3 403.2 462.9 12.4 4.3 4.7 4.6 24.6 *** *** *** 210.9 2015Q4 374.8 433.2 11.9 2.9 3.1 6.7 8.6 *** *** *** 187.9 2016Q1 408.3 479.2 11.9 2.9 3.1 6.7 8.2 *** *** *** 203.2 2016Q2 411.4 480.2 11.9 2.8 3.1 6.7 7.7 *** *** *** 205.0 2016Q3 450.6 529.6 12.1 2.8 3.1 6.7 7.5 *** *** *** 225.8 April 24, 2017 Risk and Examinations Office Figure 6: Distribution of Derivative Notional Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. 12 10 8 6 4 2 0 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) 20 20 14 Q 20 4 15 Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 13 and 44 (Third Month). 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 (a) All Private Funds VI (b) Qualifying Hedge Funds High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2014Q4 7,182 45 28 2015Q1 7,323 39 25 2015Q2 7,342 39 24 2015Q3 7,408 33 10 2015Q4 7,374 40 8 2016Q1 7,451 63 6 2016Q2 7,467 64 7 2016Q3 7,502 70 6 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2014Q4 3,300 35 32 2015Q1 3,470 41 34 2015Q2 3,479 43 36 2015Q3 3,365 43 34 20 2015Q4 3,336 77 2 2016Q1 3,284 84 2 2016Q2 3,318 83 2 2016Q3 3,374 84 2 April 24, 2017 VII Risk and Examinations Office Hedge Fund Industry Concentration Table 24: 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 2014Q4 8.0 13.7 19.9 29.1 44.7 58.9 2015Q1 8.4 14.4 20.8 29.8 45.4 59.4 2015Q2 8.1 14.4 20.9 29.8 45.4 59.3 2015Q3 8.0 14.1 20.6 29.3 44.7 58.4 2015Q4 7.9 14.0 20.8 29.5 44.8 58.5 2016Q1 7.9 13.7 20.5 29.2 44.4 57.9 2016Q2 7.8 13.6 20.4 29.1 44.2 57.7 2016Q3 7.9 13.8 20.6 29.2 44.3 57.7 Table 25: 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 2014Q4 13.0 21.2 29.0 38.5 53.9 66.6 2015Q1 14.6 23.1 30.4 40.0 55.2 67.6 2015Q2 13.5 21.7 29.3 39.1 54.4 67.0 2015Q3 14.6 23.1 30.4 40.0 54.8 67.1 2015Q4 13.5 21.4 28.8 38.9 53.7 66.1 2016Q1 15.0 23.3 30.5 40.1 54.4 66.5 2016Q2 15.0 23.6 31.2 40.8 54.9 66.8 2016Q3 14.4 22.9 31.2 41.0 55.2 67.0 Table 26: 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 2014Q4 31.4 42.2 54.3 66.0 81.0 90.0 2015Q1 32.7 43.5 54.3 66.3 81.1 90.1 2015Q2 31.4 42.3 53.3 65.3 80.3 89.7 2015Q3 32.6 43.5 54.7 66.6 81.1 90.1 21 2015Q4 30.6 41.1 52.4 65.0 79.8 89.2 2016Q1 32.7 43.9 54.5 66.3 80.6 89.5 2016Q2 32.8 45.4 56.2 67.7 80.8 89.6 2016Q3 32.8 45.5 56.6 68.7 81.8 90.2 April 24, 2017 Risk and Examinations Office Table 27: Percent of Aggregate Hedge Fund Derivative Notional Value Reported by Top Hedge Funds Sorted by Derivative Notional Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2014Q4 50.6 63.3 72.4 81.1 90.3 95.4 2015Q1 47.1 60.3 70.4 80.0 89.8 95.1 2015Q2 45.3 58.5 68.5 78.7 89.3 94.8 2015Q3 46.0 61.0 71.1 80.2 89.9 95.2 2015Q4 47.5 60.2 69.8 78.9 89.2 94.8 2016Q1 49.2 61.6 71.1 79.7 89.7 95.1 2016Q2 49.3 62.0 71.0 80.1 89.9 95.1 2016Q3 55.8 66.7 74.4 82.3 91.1 95.8 Table 28: 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 2014Q4 27.8 41.7 53.8 66.3 81.1 91.2 2015Q1 27.0 41.8 53.9 66.2 81.4 91.2 2015Q2 27.4 41.7 53.1 65.2 80.7 90.8 2015Q3 28.5 44.8 56.3 67.6 81.9 91.3 22 2015Q4 29.4 43.3 55.0 66.7 81.5 91.1 2016Q1 32.7 46.4 57.9 68.9 82.7 91.8 2016Q2 33.2 45.9 56.7 68.2 82.2 91.3 2016Q3 37.6 49.8 60.0 70.4 83.3 91.7 April 24, 2017 VIII A Risk and Examinations Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 14 12 10 8 6 4 2 0 20 20 1 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 14 12 10 8 6 4 2 0 4-1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 Ratio of GNE to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 3(a) and 26. (a) Gross Exposure with Interest Rate Derivatives (IRDs) 23 (b) Gross Exposure without IRDs (a) Long Exposure with IRDs 8 6 4 2 0 (c) Short Exposure with IRDs 24 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 0 14 -1 2 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 4 20 6 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 8 14 -1 10 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 4-1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 20 1 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10 20 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 15 20 -12 14 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) April 24, 2017 Risk and Examinations Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value Distribution See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 26. 10 8 6 4 2 0 (b) Long Exposure without IRDs 10 8 6 4 2 0 (d) Short Exposure without IRDs April 24, 2017 B Risk and Examinations Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2014-10 2014-11 2014-12 2015-01 2015-02 2015-03 2015-04 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 Top 10 Advisers (NAV) 20.6 20.6 20.6 17.3 17.2 17.2 17.5 17.5 17.5 17.0 17.0 17.0 17.1 17.1 17.2 17.6 17.4 17.4 17.9 18.0 18.0 17.9 17.9 18.0 Top 20 Advisers (NAV) 30.0 30.0 30.0 26.8 26.7 26.7 26.8 26.8 26.8 26.7 26.7 26.8 26.8 26.8 26.9 27.5 27.3 27.3 27.7 27.9 27.9 27.9 27.9 28.0 25 Top 10 Advisers (GNE) 41.6 42.1 41.1 40.0 40.1 37.9 37.8 39.0 37.2 39.4 40.1 39.9 40.6 41.5 37.0 39.5 41.6 38.6 39.3 40.3 38.0 41.0 42.0 42.2 Top 20 Advisers (GNE) 54.2 54.5 53.4 53.1 53.2 51.8 52.3 53.0 51.6 53.7 54.0 54.4 54.7 55.7 51.3 53.2 54.5 51.6 53.2 53.8 52.1 55.0 55.7 55.9 April 24, 2017 Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2014-10 2014-11 2014-12 2015-01 2015-02 2015-03 2015-04 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 Futures 12,662 8,427 11,353 9,726 10,042 11,429 7,521 9,177 12,231 8,270 10,121 10,025 7,499 8,896 9,844 8,762 10,272 11,639 8,478 9,578 12,912 7,647 9,563 11,717 Sov. and muni. bonds 2,760 1,983 2,210 2,339 2,304 2,375 2,673 2,460 2,837 2,035 2,293 2,437 2,200 2,136 2,046 2,264 2,441 2,105 2,070 2,585 2,792 2,346 2,514 3,111 Listed equities 2,304 1,534 1,656 1,812 1,712 1,858 1,993 1,916 1,957 2,112 2,103 1,876 7,583 6,658 7,098 2,190 2,239 2,036 1,973 1,967 2,107 1,823 1,874 1,937 Corporate bonds 118 88 74 92 109 124 112 104 90 99 74 91 100 85 70 110 101 119 111 109 99 89 90 104 Convertible bonds 20 17 17 17 23 25 23 23 22 15 14 17 20 16 19 15 15 18 22 17 21 14 19 20 Total 17,864 12,049 15,310 13,987 14,191 15,810 12,321 13,679 17,136 12,531 14,605 14,446 17,403 17,792 19,077 13,341 15,066 15,917 12,654 14,256 17,931 11,919 14,060 16,889 Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 27. Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) 50 40 30 20 10 15 10 5 0 20 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 0 20 20 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 Total Turnover ($Billions) Winsorized (limits=[1%,99%]) C Risk and Examinations Office (a) Total Turnover (b) Total Turnover to NAV Ratio 26 April 24, 2017 D Risk and Examinations Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2014Q4 3,954 1,129 612 92 71 39 14 20 2015Q1 3,969 1,234 605 86 73 41 17 24 2015Q2 3,965 1,197 611 91 73 34 16 19 2015Q3 3,845 1,170 573 94 69 34 18 22 2015Q4 3,767 1,095 578 90 66 33 23 21 2016Q1 3,878 1,218 623 101 61 30 22 21 2016Q2 3,945 1,199 605 91 63 30 21 20 2016Q3 4,111 1,221 616 91 67 33 20 19 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2014Q4 129.9 37.1 20.1 3.0 2.3 1.3 0.5 0.7 2015Q1 131.6 40.9 20.0 2.9 2.4 1.4 0.6 0.8 2015Q2 130.5 39.4 20.1 3.0 2.4 1.1 0.5 0.6 2015Q3 132.1 40.2 19.7 3.2 2.4 1.2 0.6 0.8 27 2015Q4 129.0 37.5 19.8 3.1 2.3 1.1 0.8 0.7 2016Q1 134.0 42.1 21.5 3.5 2.1 1.0 0.8 0.7 2016Q2 136.4 41.5 20.9 3.2 2.2 1.0 0.7 0.7 2016Q3 138.5 41.2 20.8 3.1 2.3 1.1 0.7 0.6 April 24, 2017 Risk and Examinations Office Table 33: 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) Brazil India Russia 2014Q4 3,757 237 142 41 27 10 2015Q1 3,762 230 149 41 33 9 2015Q2 3,786 254 161 39 33 9 2015Q3 3,658 249 137 45 31 7 2015Q4 3,597 259 145 41 30 8 2016Q1 3,637 291 140 42 29 11 2016Q2 3,660 265 129 35 30 13 2016Q3 3,924 265 137 36 36 15 2016Q2 126.5 9.2 4.5 1.2 1.0 0.4 2016Q3 132.2 8.9 4.6 1.2 1.2 0.5 Table 34: 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) Brazil India Russia 2014Q4 123.4 7.8 4.7 1.3 0.9 0.3 2015Q1 124.7 7.6 5.0 1.4 1.1 0.3 2015Q2 124.6 8.3 5.3 1.3 1.1 0.3 28 2015Q3 125.7 8.5 4.7 1.5 1.1 0.2 2015Q4 123.2 8.9 5.0 1.4 1.0 0.3 2016Q1 125.7 10.1 4.8 1.4 1.0 0.4 April 24, 2017 Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 14 12 10 8 6 4 2 0 20 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 14 12 10 8 6 4 2 0 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 26, and 30. 20 A Qualifying Hedge Fund Specific Information Ratio of GNE to NAV Winsorized (limits=[0%,98%]) IX Risk and Examinations Office (a) Including IRDs (b) Excluding IRDs 29 -12 14 (c) SNE Including IRDs 30 (a) LNE Including IRDs -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 15 20 -12 14 7 6 5 4 3 2 1 0 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 14 20 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 7 6 5 4 3 2 1 0 20 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 20 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) April 24, 2017 Risk and Examinations Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 7 6 5 4 3 2 1 0 (b) LNE Excluding IRDs 7 6 5 4 3 2 1 0 (d) SNE Excluding IRDs April 24, 2017 B Risk and Examinations Office Gross Exposure by Strategy5 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Market Neutral Long Bias Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2014Q4 1,508 924 309 270 5 750 717 470 128 51 49 19 438 330 59 48 1 403 178 138 88 299 272 27 90 *** *** 49 4,254 2015Q1 1,609 983 *** 265 *** 764 842 578 139 53 50 21 476 380 47 48 1 417 185 150 82 291 261 29 96 *** *** 50 4,544 2015Q2 1,646 1,005 349 285 7 755 787 524 144 49 48 23 515 440 43 32 1 430 182 151 97 302 270 33 91 *** *** 49 4,576 2015Q3 1,558 936 348 268 6 745 782 536 139 45 39 24 559 485 38 33 2 386 179 126 81 286 251 35 94 *** *** 48 4,459 2015Q4 1,528 926 317 278 6 735 722 491 129 41 38 23 546 474 36 34 2 377 173 111 93 279 249 30 98 *** *** 45 4,329 2016Q1 1,407 867 266 268 5 811 785 548 127 45 38 28 559 486 35 *** *** 361 172 97 92 357 316 41 106 *** *** 40 4,426 2016Q2 1,421 853 288 273 6 826 783 542 129 42 35 34 601 523 38 *** *** 327 166 85 76 364 328 36 123 117 6 42 4,487 2016Q3 1,490 881 321 284 5 835 765 518 130 43 38 36 674 599 37 *** *** 337 173 92 73 267 228 40 132 *** *** 41 4,541 5 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. 31 April 24, 2017 Risk and Examinations Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Market Neutral Long Bias Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2014Q4 53.9 33.0 11.1 9.6 0.2 26.8 25.6 16.8 4.6 1.8 1.7 0.7 15.7 11.8 2.1 1.7 0.0 14.4 6.3 4.9 3.1 10.7 9.7 1.0 3.2 *** *** 1.8 152.1 2015Q1 53.7 32.8 *** 8.8 *** 25.5 28.1 19.3 4.6 1.8 1.7 0.7 15.9 12.7 1.6 1.6 0.0 13.9 6.2 5.0 2.7 9.7 8.7 1.0 3.2 *** *** 1.7 151.7 32 2015Q2 55.6 33.9 11.8 9.6 0.2 25.5 26.6 17.7 4.8 1.7 1.6 0.8 17.4 14.9 1.4 1.1 0.0 14.5 6.1 5.1 3.3 10.2 9.1 1.1 3.1 *** *** 1.7 154.5 2015Q3 54.4 32.6 12.1 9.4 0.2 26.0 27.3 18.7 4.8 1.6 1.4 0.8 19.5 16.9 1.3 1.2 0.1 13.5 6.3 4.4 2.8 10.0 8.8 1.2 3.3 *** *** 1.7 155.6 2015Q4 53.9 32.7 11.2 9.8 0.2 25.9 25.5 17.3 4.6 1.4 1.3 0.8 19.2 16.7 1.3 1.2 0.1 13.3 6.1 3.9 3.3 9.8 8.8 1.1 3.5 *** *** 1.6 152.7 2016Q1 51.0 31.4 9.6 9.7 0.2 29.4 28.5 19.8 4.6 1.6 1.4 1.0 20.3 17.6 1.3 *** *** 13.1 6.2 3.5 3.3 12.9 11.5 1.5 3.8 *** *** 1.4 160.4 2016Q2 51.3 30.8 10.4 9.9 0.2 29.8 28.3 19.6 4.7 1.5 1.3 1.2 21.7 18.9 1.4 *** *** 11.8 6.0 3.1 2.7 13.2 11.9 1.3 4.5 4.2 0.2 1.5 162.1 2016Q3 52.3 30.9 11.3 9.9 0.2 29.3 26.8 18.2 4.5 1.5 1.3 1.3 23.6 21.0 1.3 *** *** 11.8 6.1 3.2 2.5 9.4 8.0 1.4 4.6 *** *** 1.4 159.3 April 24, 2017 C Risk and Examinations Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Equity Credit Other Event Driven Managed Futures/CTA Investment in other funds 2014Q4 4.3 2.5 1.8 1.6 1.6 1.5 1.3 1.2 1.1 2015Q1 4.9 2.3 1.8 1.6 1.7 1.5 1.3 1.1 1.1 2015Q2 4.2 2.2 2.4 1.6 1.6 1.3 1.4 1.2 1.1 2015Q3 4.6 2.5 2.2 1.6 1.6 1.6 1.4 1.2 1.1 2015Q4 4.3 2.5 1.7 1.6 1.6 1.5 1.4 1.2 1.1 2016Q1 4.5 2.8 1.9 1.6 1.5 1.6 1.4 1.2 1.1 2016Q2 4.8 3.1 1.8 1.6 1.5 1.6 1.4 1.2 1.1 2016Q3 4.1 3.1 2.4 1.6 1.6 1.6 1.3 1.2 1.1 Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Multi-Strategy Managed Futures/CTA Other Equity Credit Event Driven Investment in other funds 2014Q4 15.9 14.4 5.5 8.6 3.8 2.9 6.4 2.2 1.9 2015Q1 15.7 15.7 5.6 7.8 3.6 3.2 5.6 2.2 1.7 2015Q2 15.8 13.4 7.7 10.2 3.0 3.2 5.3 2.3 1.7 2015Q3 17.3 15.3 7.3 13.5 3.8 3.1 4.9 2.2 1.4 2015Q4 16.7 15.0 6.0 10.6 3.8 3.2 4.1 2.1 1.5 2016Q1 20.0 16.2 6.9 9.6 4.1 3.4 4.1 2.1 1.9 2016Q2 17.0 17.1 7.1 7.2 4.5 3.1 4.0 2.1 1.4 2016Q3 17.5 16.8 10.9 8.0 4.6 3.1 2.9 2.0 1.5 Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Other Multi-Strategy Relative Value Event Driven Equity Credit Investment in other funds 2014Q4 61.0 46.7 25.9 21.2 24.5 10.9 11.3 15.3 19.5 2015Q1 52.6 46.7 27.0 23.1 20.9 9.3 10.7 14.1 19.7 2015Q2 64.0 45.4 25.3 24.4 23.3 8.6 11.7 14.4 18.8 33 2015Q3 57.5 45.4 25.6 28.7 22.0 8.6 12.0 13.2 17.7 2015Q4 68.6 44.7 24.9 26.3 27.1 10.8 13.1 14.0 12.1 2016Q1 57.2 44.0 24.6 25.6 27.8 10.0 13.1 12.0 10.3 2016Q2 68.1 42.8 26.5 26.4 27.3 11.9 13.9 14.1 7.7 2016Q3 68.7 40.9 26.8 26.8 21.3 11.7 11.2 11.1 6.2 April 24, 2017 D Risk and Examinations Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - MBS Securities - Corp. Bonds Securities - Other Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2014Q4 689 2,114 927 794 259 234 219 82 73 3,160 2,527 911 972 292 113 962 620 2015Q1 680 2,231 1,034 810 248 270 215 82 82 3,558 2,796 979 859 263 142 1,046 695 2015Q2 677 2,328 1,034 759 265 261 201 88 79 3,656 2,518 1,023 841 268 146 1,038 649 2015Q3 684 2,136 1,054 712 279 249 209 90 105 4,002 2,586 871 773 221 137 1,101 659 2015Q4 701 2,161 939 690 250 236 206 82 64 3,935 2,366 883 681 212 123 961 614 2016Q1 717 2,039 999 735 237 245 208 79 67 4,571 2,632 947 718 246 133 1,032 642 2016Q2 729 2,001 1,058 722 250 243 233 73 64 4,207 2,566 1,007 596 289 118 1,060 650 2016Q3 692 2,139 1,115 796 258 251 212 76 71 5,146 2,474 1,082 624 307 138 1,113 667 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - MBS Securities - Corp. Bonds Securities - Other Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2014Q4 90.7 70.8 67.1 55.9 76.4 84.9 75.9 98.2 95.1 45.9 48.3 55.8 44.6 59.6 58.7 46.8 86.9 2015Q1 88.2 70.6 70.7 54.3 81.2 84.5 75.4 99.1 95.3 48.5 48.6 55.9 44.2 57.2 59.1 46.6 86.8 2015Q2 87.4 71.2 72.4 52.6 78.9 84.6 73.8 99.1 94.6 47.9 48.2 55.2 44.1 56.8 57.2 45.1 89.0 34 2015Q3 88.3 70.2 72.4 58.2 77.2 83.3 74.3 99.3 96.2 50.9 49.4 51.3 41.9 55.1 58.1 43.2 88.2 2015Q4 88.7 69.8 71.5 55.9 79.3 81.4 70.8 99.1 94.7 51.6 48.5 53.2 43.9 52.8 53.5 44.3 90.1 2016Q1 87.0 69.3 69.6 56.5 78.7 80.6 74.9 99.1 93.3 51.6 50.4 53.5 46.0 59.3 57.1 43.3 90.5 2016Q2 88.3 69.2 66.8 55.5 76.5 80.8 71.5 99.4 95.2 54.5 52.5 54.9 44.7 62.2 59.8 43.4 90.4 2016Q3 87.2 69.7 66.7 53.4 74.7 82.7 77.9 99.0 95.5 52.0 51.7 55.2 47.3 63.4 60.2 45.3 89.6 April 24, 2017 Liquidity Table 42: 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 2014Q4 7.6 11.4 25.9 49.7 59.0 75.5 2015Q1 6.9 13.0 27.3 46.7 60.5 75.3 2015Q2 7.1 13.3 26.0 45.9 60.1 74.9 2015Q3 7.1 13.5 26.5 46.8 62.6 74.7 2015Q4 7.1 13.3 25.4 45.4 58.4 72.9 2016Q1 7.7 14.0 27.4 47.0 60.4 75.3 2016Q2 8.0 14.0 27.2 46.6 60.1 75.5 2016Q3 8.3 14.3 26.4 47.3 61.9 74.7 Table 43: 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 2014Q4 39.9 62.7 77.9 85.7 89.5 92.4 2015Q1 40.0 63.8 78.4 85.8 89.4 92.5 2015Q2 39.5 63.3 77.5 85.0 88.6 92.0 2015Q3 40.8 63.7 77.1 84.4 87.9 91.3 2015Q4 40.1 63.3 76.6 83.4 87.1 90.5 2016Q1 40.6 64.4 77.0 83.2 86.5 90.1 2016Q2 40.6 64.0 76.6 82.5 86.2 90.0 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity s 65 mo At st 3 80 mo st 1 day s day ays 35 At mo st 9 At 0d mo st 3 At 0d ays 7d ost At m mo st 1 Investor Liquidity ays Portfolio Liquidity 90 80 70 60 50 40 30 20 10 0 day Percent of Fund Net Assets (%) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2016. At E Risk and Examinations Office 2016Q3 39.3 62.9 76.1 82.5 85.9 89.6 April 24, 2017 Risk and Examinations Office Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. 2014Q4 2,140 1,406 39 41 13 2015Q1 2,320 1,476 37 43 12 2015Q2 2,343 1,475 38 41 12 2015Q3 2,238 1,402 35 38 12 2015Q4 2,200 1,377 37 38 14 2016Q1 2,122 1,295 38 34 14 2016Q2 2,141 1,314 38 32 16 Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. 20 1 5Q 20 1 15 Q 20 2 15 Q 20 3 15 Q 20 4 16 Q 20 1 16 Q 20 2 16 Q3 35 30 25 20 15 10 5 0 4Q 4 NAV in Side-Pocket (%) See Appendix C for an explanation of boxplots. 20 1 Type May Suspend May Have Gates Side-Pocketed Gated Suspended 36 2016Q3 2,178 1,337 38 36 16 April 24, 2017 F Risk and Examinations Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2014Q4 1,874 1,039 555 280 9 1,883 2015Q1 2,014 1,078 660 276 8 2,022 2015Q2 2,036 1,132 649 255 11 2,047 2015Q3 2,019 1,052 717 250 11 2,030 2015Q4 1,894 1,025 604 266 10 1,904 2016Q1 1,942 977 696 269 10 1,952 2016Q2 1,937 978 691 267 9 1,946 2016Q3 2,079 1,084 729 267 11 2,090 Table 46: Aggregate Borrowing by Creditor Entity 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 2014Q4 61.1 38.5 *** *** 2015Q1 62.2 37.3 *** *** 2015Q2 64.4 35.1 *** *** 2015Q3 63.6 35.9 *** *** 2015Q4 63.6 35.9 *** *** 2016Q1 62.8 36.7 0.4 0.1 2016Q2 62.2 37.4 0.3 0.1 2016Q3 64.7 34.8 0.3 0.2 Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2014Q4 1,356 886 470 585 471 114 310 208 102 2,251 2015Q1 1,407 922 485 697 548 149 305 211 94 2,409 2015Q2 1,431 949 483 693 522 170 284 195 88 2,408 37 2015Q3 1,346 870 475 751 574 177 289 210 79 2,386 2015Q4 1,313 837 476 632 476 157 314 239 74 2,259 2016Q1 1,253 801 452 718 547 171 319 240 79 2,290 2016Q2 1,228 774 455 711 518 193 308 230 78 2,247 2016Q3 1,339 861 478 774 574 200 312 235 77 2,425 (b) Prime Broker Borrowing 38 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 14 20 8 7 6 5 4 3 2 1 0 Collateral/Reverse Repo Borrowing Winsorized (limits=[0%,98%]) 14 -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 20 Collateral/Prime Broker Borrowing Winsorized (limits=[0%,98%]) -1 20 2 15 -0 20 3 15 -0 20 6 15 -0 20 9 15 -1 20 2 16 -0 20 3 16 -0 20 6 16 -09 14 20 Collateral/Total Secured Borrowing Winsorized (limits=[0%,98%]) April 24, 2017 Risk and Examinations Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Question 43. 8 7 6 5 4 3 2 1 0 (a) Total Secured Borrowing 8 7 6 5 4 3 2 1 0 (c) Reverse Repo Borrowing April 24, 2017 Risk and Examinations Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2014Q4 39.4 50.3 63.8 82.1 95.4 97.9 2015Q1 44.5 52.6 65.2 80.3 95.8 98.2 2015Q2 43.5 51.7 63.5 78.9 94.7 97.8 2015Q3 43.9 53.2 65.3 79.4 95.0 97.6 2015Q4 31.0 38.8 66.2 77.7 88.9 98.3 2016Q1 43.3 52.7 66.5 81.8 96.1 97.6 2016Q2 43.5 52.8 65.8 81.7 95.9 97.4 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of Third Calendar Quarter 2016. Financing Liquidity st 1 Percent of Available Financing (%) day 100 80 60 40 20 s mo st 3 At 65 day s mo st 1 80 day ays 39 At mo At st 9 0d mo At st 3 0d ays s day st 7 mo At At mo 0 2016Q3 37.1 53.6 65.2 80.8 96.0 97.5 April 24, 2017 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Percent of Funds 30 Percent of NAV 25 20 15 10 5 40 3 16 Q 20 2 16 Q 20 1 16 Q 20 4 15 Q 20 3 15 Q 20 2 15 Q 20 1 15 Q 20 14 Q 4 0 20 G Risk and Examinations Office April 24, 2017 H Risk and Examinations Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2014Q4 582 235 177 176 27 956 2015Q1 598 228 182 201 27 962 2015Q2 612 230 188 206 34 980 2015Q3 620 233 191 205 38 1,005 2015Q4 623 233 194 203 38 1,017 2016Q1 622 240 192 196 38 975 2016Q2 627 237 191 188 41 981 2016Q3 622 239 193 185 46 994 Table 50: 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 Parametric Monte Carlo Simulation Other VaR Not Used 2014Q4 2,899 1,546 698 597 245 2,023 2015Q1 3,254 1,678 874 665 287 2,058 2015Q2 3,183 1,660 809 686 314 2,095 2015Q3 3,200 1,667 816 688 307 1,994 2015Q4 3,020 1,554 729 633 333 1,970 2016Q1 3,079 1,602 729 648 317 1,912 2016Q2 3,206 1,688 757 628 321 1,895 2016Q3 3,267 1,762 746 640 344 1,975 Table 51: 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 Parametric Monte Carlo Simulation Other VaR Not Used 2014Q4 1,219 501 403 330 59 1,451 2015Q1 1,339 507 497 363 58 1,499 2015Q2 1,361 519 493 372 74 1,506 41 2015Q3 1,316 498 463 369 78 1,446 2015Q4 1,305 482 468 356 91 1,431 2016Q1 1,270 463 457 346 88 1,384 2016Q2 1,294 483 450 336 90 1,375 2016Q3 1,308 501 462 340 94 1,428 April 24, 2017 I Risk and Examinations Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2014Q4 508 441 74 515 2015Q1 513 428 85 534 2015Q2 528 428 84 552 2015Q3 535 462 85 543 2015Q4 541 456 82 561 2016Q1 538 444 84 531 2016Q2 545 454 82 527 2016Q3 547 447 75 547 Table 53: 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 2014Q4 2,667 1,086 232 937 2015Q1 3,028 1,076 226 982 2015Q2 2,971 1,085 212 1,010 2015Q3 2,985 1,065 215 930 2015Q4 2,799 1,032 221 938 2016Q1 2,861 1,011 218 901 2016Q2 3,001 1,008 205 887 2016Q3 3,088 1,030 179 946 Table 54: 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 2014Q4 1,092 716 127 735 2015Q1 1,193 718 147 780 2015Q2 1,223 712 138 793 2015Q3 1,176 713 141 733 42 2015Q4 1,165 694 140 736 2016Q1 1,144 669 125 715 2016Q2 1,162 666 132 709 2016Q3 1,191 666 117 762 April 24, 2017 Risk and Examinations Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. 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 2014Q4 71.9 91.4 99.3 100.0 100.0 100.0 2015Q1 73.2 92.0 99.4 100.0 100.0 100.0 2015Q2 73.8 92.1 99.4 100.0 100.0 100.0 2015Q3 74.1 92.3 99.4 100.0 100.0 100.0 2015Q4 74.4 92.2 99.4 100.0 100.0 100.0 2016Q1 81.2 96.0 99.7 100.0 100.0 100.0 2016Q2 77.4 96.0 99.7 100.0 100.0 100.0 2016Q3 80.1 98.3 99.9 100.0 100.0 100.0 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2015Q1 268 233 0 0 2015Q2 248 215 0 0 2015Q3 252 222 0 0 2015Q4 268 235 0 0 2016Q1 232 200 0 0 2016Q2 241 207 0 0 2016Q3 232 199 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average WAM 50 Asset-Weighted WAM 40 30 20 10 43 6-0 9 20 1 6-0 6 20 1 6-0 3 20 1 5-1 2 20 1 5-0 9 20 1 5-0 6 20 1 5-0 3 20 1 4-1 2 0 20 1 Weighted Average Maturity (WAM) in Days B 2014Q4 255 223 0 0 April 24, 2017 Risk and Examinations Office Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds -09 16 20 16 20 -06 16 20 -03 15 20 -12 15 20 -09 15 20 15 20 -03 14 20 Asset-Weighted WAL -06 Average WAL 90 80 70 60 50 40 30 20 10 0 -12 Weighted Average Life (WAL) in Days As reported on Form PF, Question 55. Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average Yield Asset-Weighted Yield 0.4 0.3 0.2 0.1 44 -09 16 20 -06 16 20 -03 16 20 -12 20 15 -09 15 20 -06 15 20 -03 15 20 14 -12 0.0 20 Seven-Day Gross Yield (%) 0.5 April 24, 2017 Risk and Examinations Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds As reported on Form PF, Question 55. Average DLA Asset-Weighted DLA 80 60 40 20 -09 16 20 -06 16 20 -03 16 20 -12 15 20 -09 15 20 -06 15 20 15 20 14 20 -03 0 -12 Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) 100 Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average WLA 100 Asset-Weighted WLA 80 60 40 20 45 -09 16 20 -06 16 20 -03 16 20 -12 15 20 -09 15 20 -06 15 20 -03 15 20 14 -12 0 20 Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) As reported on Form PF, Question 55. April 24, 2017 C Risk and Examinations Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None 2014Q4 60.0 57.8 57.8 57.8 51.1 37.8 2015Q1 61.9 59.5 59.5 59.5 54.8 35.7 2015Q2 61.9 59.5 59.5 59.5 54.8 35.7 2015Q3 60.0 57.5 57.5 57.5 52.5 37.5 2015Q4 63.4 61.0 61.0 61.0 56.1 34.1 2016Q1 61.1 58.3 58.3 52.8 47.2 36.1 2016Q2 64.9 62.2 62.2 54.1 48.6 32.4 2016Q3 61.1 58.3 58.3 55.6 50.0 36.1 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None D 2014Q4 24.7 24.7 24.3 24.3 23.8 75.2 2015Q1 23.8 23.8 23.4 23.4 22.9 76.1 2015Q2 23.6 23.6 23.5 23.5 22.7 76.2 2015Q3 21.8 21.8 21.5 21.5 20.8 78.1 2015Q4 22.4 22.4 22.3 22.3 21.5 77.4 2016Q1 16.2 16.2 16.0 10.8 10.0 83.6 2016Q2 17.9 17.9 17.6 11.2 10.4 82.0 2016Q3 13.5 13.5 13.5 12.2 11.0 86.1 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2014Q4 84.4 15.6 2015Q1 *** *** 2015Q2 *** *** 2015Q3 *** *** 2015Q4 *** *** 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2014Q4 71.9 28.1 2015Q1 *** *** 2015Q2 *** *** 2015Q3 *** *** 46 2015Q4 *** *** 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** April 24, 2017 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 As reported on Form PF, Question 56. Product Type U.S. Treasuries Other Deposits Repo - Govt. Collateral Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 2014Q4 69.9 43.3 53.0 37.4 38.4 12.0 11.4 5.5 0.7 2015Q1 73.5 49.4 47.1 41.5 42.9 14.2 13.9 5.2 0.5 2015Q2 61.7 49.6 40.8 38.9 41.1 14.0 10.2 5.7 0.4 2015Q3 *** 53.6 37.3 44.2 37.3 12.3 9.2 6.4 *** 2015Q4 80.5 51.3 42.7 33.1 34.1 13.9 7.4 8.7 0.5 2016Q1 79.7 39.2 32.6 30.9 22.8 12.8 *** 5.5 *** Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 6-0 9 201 8 201 67.0 59.8 41.0 31.5 25.0 13.9 *** 4.5 *** 69.9 54.6 35.7 31.9 24.2 16.7 *** 5.6 *** 70.3 61.7 36.6 29.3 27.1 19.0 *** 5.9 *** 67.2 58.1 41.7 31.6 26.0 20.2 *** 5.0 *** 64.8 55.3 35.9 33.7 26.9 22.8 6.4 5.9 1.1 6-0 201 6-0 7 201 6-0 66.7 52.8 43.0 28.7 25.8 12.7 *** 4.6 *** 47 6 5 6-0 Product Type U.S. Treasuries Deposits Repo - Govt. Collateral Other Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 201 As reported on Form PF, Question 63. 201 6-0 4 E Risk and Examinations Office April 24, 2017 XI A Risk and Examinations Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 63: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Oil & Gas Extraction Software Publishers Electric Power Generation, Transmission & Distribution Telecommunications Data Processing Services Pipeline Transportation Other Information Services Other Financial Investment Activities Data Processing, Hosting, & Related Services Limited-Service Eating Places Custom Computer Programming Services Pharmaceutical & Medicine Mfg Activities Related to Credit Intermediation Educational Services Support Activities for Mining Electronic Shopping & Mail-Order Houses Management, Scientific, & Technical Consulting Services 48 2013Q4 7.5 3.0 4.0 2.6 2.3 2.1 1.9 3.7 1.0 0.9 0.9 1.4 1.1 1.2 0.8 1.0 2014Q4 7.5 3.8 3.6 2.3 2.4 2.1 1.7 2.2 1.3 0.9 1.2 1.2 1.0 1.5 1.5 1.1 2015Q4 5.8 4.7 3.7 2.6 2.2 1.9 1.7 1.7 1.7 1.4 1.4 1.3 1.2 1.2 1.1 1.0 April 24, 2017 CPC Financial Leverage Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities to Total Liabilities of Section 4 Private Equity Funds See Appendix C for an explanation of boxplots. 60 50 40 30 20 10 15 20 Q4 14 20 Q4 13 Q4 0 20 Ratio of Portfolio Company Current Liabilities to Total Liabilities (%) As reported on Form PF, Questions 71 and 72. Figure 23: Distribution of CPC Payment-in-Kind or Zero Coupon Borrowings to Total Borrowings Ratio See Appendix C for an explanation of boxplots. 50 As reported on Form PF, Question 73. 40 30 20 10 49 Q4 15 20 Q4 14 20 13 Q4 0 20 CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) B Risk and Examinations Office April 24, 2017 C Risk and Examinations Office CPC Investments by Region and Country Table 64: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 5,274 1,423 571 75 65 25 20 8 2014Q4 4,501 1,259 462 85 67 9 12 12 2015Q4 4,132 941 447 58 23 21 12 9 Table 65: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 70.7 19.1 7.6 1.0 0.9 0.3 0.3 0.1 50 2014Q4 70.2 19.6 7.2 1.3 1.0 0.1 0.2 0.2 2015Q4 73.2 16.7 7.9 1.0 0.4 0.4 0.2 0.2 April 24, 2017 Risk and Examinations Office Table 66: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Japan Brazil Russia 2013Q4 5,035 171 63 233 45 3 2014Q4 4,300 186 83 98 58 2 2015Q4 3,943 173 89 85 41 5 Table 67: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Japan Brazil Russia 2013Q4 67.5 2.3 0.8 3.1 0.6 0.0 51 2014Q4 67.1 2.9 1.3 1.5 0.9 0.0 2015Q4 69.9 3.1 1.6 1.5 0.7 0.1 April 24, 2017 XII A Risk and Examinations Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 52 April 24, 2017 3 Risk and Examinations Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 53 April 24, 2017 B Risk and Examinations Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for an explanation of each feature. Figure 24: How to Read a Boxplot 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 54 April 24, 2017 D Risk and Examinations Office Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While REO staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 55 April 24, 2017 E Risk and Examinations Office Definitions Included by reference are all definitions included in the glossary of Form PF. Aggregate Exposure A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets. Borrowing In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements). CPC Controlled portfolio company, as defined in Form PF. Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF. IRDs Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging. Large Hedge Fund Adviser An adviser that has at least $1.5 billion in hedge fund assets under management. 56 April 24, 2017 Risk and Examinations Office Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management. Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets under management. Parallel Managed Account An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the reporting fund. Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser. Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser. Value For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors. 57 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A55ccfde9d5758b09. Public record. Not legal advice.