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U.S. Securities and Exchange Commission
Annual Staff Report Relating to the Use of Data
Collected from Private Fund Systemic Risk Reports
This is a report of the Staff of the Division of Investment Management
of the U.S. Securities and Exchange Commission.
The Commission has expressed no view regarding
the analysis, findings, or conclusions contained herein.
August 23, 2016
Executive Summary
The Dodd-Frank Act directed the Commission to require registered investment advisers to
maintain records and file reports regarding the hedge funds, private equity funds, and other
private funds they advise. The Commission implemented this aspect of the Dodd-Frank Act in
2011 when it adopted a form (Form PF) that requires certain registered investment advisers that
advise private funds to report information to the Commission.
While the primary aim of this Dodd-Frank provision was to create a source of data for the
Financial Stability Oversight Council (FSOC) to use in assessing systemic risk, the Commission,
as provided by the Dodd-Frank Act, is using the information to support its own regulatory
programs, including examinations, investigations, and investor protection efforts relating to
private fund advisers. The Dodd-Frank Act also required that the Commission report annually to
Congress on how it has used the data to protect investors and the integrity of the markets. This is
the fourth annual report submitted to Congress to satisfy this obligation.
During the past year, the Commission’s staff has focused its efforts on using Form PF data: (i) in
examinations and investigations of private fund advisers; (ii) in the Commission’s risk
monitoring activities; (iii) to inform regulatory initiatives; and (iv) when working with other
federal regulators and international organizations in areas of mutual interest relating to private
fund advisers.
Additionally, staff of the Division of Investment Management began publishing quarterly reports
in October 2015 that include highly aggregated information and statistics that private fund
advisers have reported to the Commission on Form PF. Appendix A, attached, is a copy of the
most recent version of the staff’s quarterly report.
1
I.
Introduction
The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) 1 Section
404 directed the U.S. Securities and Exchange Commission (Commission) to establish reporting
requirements for investment advisers to private funds as necessary and appropriate in the public
interest and for the protection of investors or for the assessment of systemic risk by the Financial
Stability Oversight Council (FSOC). 2 The Dodd-Frank Act specifies that such reporting must
include certain information about private funds, including but not limited to the amount of assets
under management, use of leverage, counterparty credit risk exposure, and trading practices for
each private fund managed by the adviser. 3 In 2011, the Commission adopted Form PF and
Advisers Act rule 204(b)–1 that established filing requirements for private fund advisers
regarding information for the assessment of systemic risk. 4
The Commission is required to submit an annual report to Congress regarding how the
Commission has used the data collected regarding private funds under the Dodd-Frank Act to
protect investors and the integrity of the markets. 5 This report is being submitted to Congress in
satisfaction of that requirement. This is a report of the Staff of the Division of Investment
Management, and the Commission has expressed no view regarding the analysis, findings, or
conclusions contained herein.
II.
Background
The Commission adopted Form PF to obtain, on behalf of FSOC, data that FSOC can use to
monitor systemic risk in U.S. financial markets. Form PF was designed in consultation with
FSOC members and their staffs and provides FSOC and the Commission with information about
the operations and strategies of private funds. 6 Investment advisers registered, or required to be
1
Public Law 111-203, 124 Stat. 1376 (2010).
2
Section 404 of the Dodd-Frank Act. Public Law No. 111-203, § 404, 124 Stat. 1376, 1571-74 (2010)
(codified at Section 204(b) of the Investment Advisers Act of 1940, as amended (“Advisers Act”)). FSOC
was created pursuant to the Dodd-Frank Act to monitor risks to the U.S. financial system. See Dodd-Frank
Act sections 111 and 112.
3
Section 404 of the Dodd-Frank Act.
4
See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and
Commodity Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (October 31, 2011),
76 FR 71128 (November 16, 2011) (“Adopting Release”). In 2012, the CFTC adopted rule 4.27 under the
Commodity Exchange Act to implement systemic risk reporting requirements for registered commodity
pool operators (“CPOs”) and commodity trading advisors (“CTAs”); the rule also permits CPOs and CTAs
registered with the CFTC that are registered with the Commission as investment advisers to file Form PF
with the Commission in lieu of filing certain systemic risk reports with the CFTC. See Commodity Pool
Operators and Commodity Trading Advisors: Amendments to Compliance Obligations, 77 FR 11252
(February 24, 2012).
5
Section 404 of the Dodd-Frank Act.
6
To implement the reporting requirements, the Commission developed an electronic filing system, the
Private Fund Reporting Depository (PFRD) through which advisers submit the information required by
Form PF to the Commission. PFRD is operated under contract with the Financial Industry Regulatory
Authority (FINRA) as an extension of the existing Investment Adviser Registration Depository (IARD)
2
registered, with the Commission that have at least $150 million in private fund regulatory assets
under management (RAUM) 7 are required to periodically file Form PF with the Commission.
The amount of information required to be reported and the frequency with which Form PF must
be filed depend on the amount of the adviser’s RAUM and the types of private funds managed.
Most advisers are required to file Form PF once a year and report only basic information
regarding the private funds they advise. This annual filing requirement includes general data
such as the types of private funds that an adviser advises (e.g., private equity or hedge funds) and
information relating to such funds’ size, leverage, types of investors, liquidity, and performance.
Advisers managing hedge funds also must report information about fund strategy, counterparty
credit risk, and the use of trading and clearing mechanisms.
Large private fund advisers, however, must provide more detailed information. The content and
frequency of this more detailed reporting is different depending on the type of private funds the
large adviser manages. For example, advisers with at least $1.5 billion in hedge fund RAUM
must file Form PF quarterly and provide aggregate information on their hedge funds’ exposures,
geographical concentrations, and turnover by asset class (but not position-level information). In
addition, for each Qualifying Hedge Fund (i.e., $500 million or more in net assets), advisers
provide additional information. Advisers with at least $1 billion in combined liquidity fund and
registered money market fund RAUM must file Form PF quarterly and provide information
regarding their liquidity funds’ exposures, geographical concentrations, turnover by asset class,
and direct and indirect forms of leverage and liquidity. 8 Advisers with at least $2 billion in
private equity fund RAUM must file Form PF annually and provide additional information
relating to their private equity funds’ use of direct and indirect leverage and investments in
financial institutions.
The Dodd-Frank Act provides specific confidentiality protections for proprietary information of
private fund investment advisers collected by the Commission on Form PF. Consistent with the
enhanced confidentiality provisions established under the Dodd-Frank Act, Commission staff has
designed and implemented controls and systems for the handling of Form PF data across the
agency. Senior staff members from various Divisions and Offices within the Commission are
members of a Steering Committee that is tasked with developing and overseeing a consistent and
agency-wide approach to accessing, and the using, sharing, and security of, Form PF data.
system (the online reporting platform advisers use to register on Form ADV with the Commission). See
Adopting Release at Section II.E.
7
RAUM is defined, for a private fund, as the private fund’s gross assets plus any uncalled capital
commitments. See Form PF: Glossary of Terms; see also Instruction 5.b for Form ADV: Instructions for
Part 1A.
8
The Commission adopted amendments to Form PF to obtain additional information regarding private
liquidity funds in conjunction with amendments to rules for registered money market funds. Money
Market Fund Reform; Amendments to Form PF, Securities Act Release No. 9616 (July 23, 2014), 79 FR
47736 (August 14, 2014) (“Money Market Fund Reform Release”).
3
III.
How the Commission Uses PF Data
The information collected on Form PF primarily is intended to assist FSOC in its systemic risk
monitoring obligations under the Dodd-Frank Act. To that end, the Form PF database was made
available to FSOC through the Office of Financial Research (OFR) in 2013, subject to agreement
regarding appropriate use and confidentiality protections of Form PF data by OFR. 9
In addition, the Commission is using information obtained from Form PF in its regulatory
programs and investor protection efforts relating to private fund advisers. 10 As more fully
discussed below, within the Commission, Form PF data principally is used by the Office of
Compliance Inspections and Examinations (OCIE), the Division of Economic and Risk Analysis
(DERA), the Division of Enforcement (Enforcement), and the Division of Investment
Management (IM). A copy of the most recent version of a quarterly report by the staff of the
Division of Investment Management concerning private fund industry statistics and trends can be
found in the attached Appendix A. These quarterly reports, which the staff began publishing in
October 2015, include highly aggregated information and statistics that private fund advisers
have reported to the Commission on Form PF.
During the past year, the Commission primarily used Form PF data in examinations of registered
investment advisers to private funds. In addition, the Commission used Form PF data in its
enforcement program regarding private fund advisers. Commission staff also continued to focus
its efforts on incorporating Form PF data into the Commission’s risk monitoring activities,
informing regulatory initiatives, and working with other federal regulators and international
organizations regarding issues relating to private fund advisers.
Examinations and Investigations
The Commission staff uses Form PF data in its examination and enforcement programs
regarding registered investment advisers that manage private funds. Because examination and
enforcement matters are generally non-public, 11 the following summarizes how Form PF data
has been integrated generally into examination and enforcement matters.
DERA, OCIE, and IM staff use Form PF data to help OCIE and IM identify potential
examination candidates, such as private fund advisers whose activities either involve areas of
specific examination focus or may present heightened compliance risks. Furthermore, prior to an
examination of a private fund adviser that files Form PF, OCIE and IM staff review the adviser’s
Form PF filing as a part of a routine pre-examination evaluation. This review, in conjunction
with other data sources, provides the staff with an understanding of the nature of an adviser’s
business and investment strategy. OCIE and IM staff also generally review information
contained in the Form PF filing for inconsistencies with other information obtained from an
adviser during an examination, such as due diligence reports, pitch books, offering documents,
9
OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties.
See section 152 of the Dodd-Frank Act.
10
See Adopting Release at Section V.A.
11
See, e.g., Advisers Act Section 210(b).
4
operating agreements, and books and records. Furthermore, OCIE and IM staff typically look
for discrepancies between an adviser’s Form PF filing and any publicly-available documents
related to the adviser, including the adviser’s Form ADV and brochure. In addition to reviewing
Form PF filings for background and to identify inconsistencies with other documents, OCIE staff
also often reviews an adviser’s Form PF filing in order to confirm that the investment strategies
disclosed to investors match the information contained in the adviser’s Form PF filing,
particularly with respect to holdings, leverage, liquidity, derivatives, and counterparties. After
completing this analysis, OCIE staff requests additional documentation from advisers to
substantiate or explain any inconsistency or red flag. In some cases, this process may lead to an
examination deficiency letter.
Enforcement staff also obtains and reviews the Form PF filings of certain advisers in connection
with ongoing investigations. Among other Enforcement staff, the Asset Management Unit
(AMU) uses Form PF data in investigations of private fund advisers.
Risk Monitoring
The Commission has continued to develop the use of Form PF data in its ongoing risk
monitoring activities. SEC staff in Washington, DC and in the regional offices access reports
generated by DERA and IM that use Form PF data, and also access Form PF filings directly to
assist in risk monitoring activities.
DERA continues to develop its suite of proprietary analytical tools (the DERA Database),
including the incorporation of certain data from Form PF, to assist staff in risk monitoring
activities. For example, OCIE staff in its Private Fund Unit and Office of Risk Analysis and
Surveillance (RAS) queries the DERA Database and works with DERA and IM’s Risk and
Examinations Office (REO) to develop reports to identify advisers engaging in activities
implicating particular areas of examination focus (e.g., exposures, valuations, etc.), and to
identify possible red flags at firms that may trigger examinations. OCIE, DERA, and IM staff
are also developing periodic reports that analyze data across a wide spectrum of filers to help
identify trends and possible emerging risks in the private fund industry. In particular, as part of
their ongoing monitoring of the money market fund industry, DERA and REO staff have been
monitoring data reported on Form PF by private liquidity funds (an alternative to money market
funds). Furthermore, REO staff reviews Form PF data to identify funds and advisers that might
be particularly affected by impending or recent market or geopolitical events.
Enforcement’s AMU, in partnership with OCIE, IM, DERA, and Enforcement’s Center for Risk
and Quantitative Analytics (CRQA), has accessed Form PF data to conduct its ongoing
Aberrational Performance Inquiry (API). API, which seeks to identify hedge fund advisers that
report aberrational returns relative to certain benchmarks for further investigation or
examination, has resulted in the identification of fraudulent or improper conduct. Staff in OCIE
and IM’s REO also use Form PF data to inform engagement meetings with private fund advisers
and to inform the Commission staff’s general knowledge of the private fund industry.
IM, DERA, Enforcement, and OCIE staff continue to work to develop additional analytical tools
and reports focusing on different types of Form PF data as their familiarity and experience with
Form PF data continues to grow.
5
Regulatory Initiatives
IM staff uses Form PF data to inform policy and rulemaking initiatives relevant to the asset
management industry generally and private funds specifically. For example, IM staff found
Form PF data regarding private liquidity funds informative when analyzing the money market
fund reforms and amendments made to the liquidity fund section of Form PF to collect more
granular data on liquidity fund holdings. 12 IM staff was also informed by its experiences of
receiving and analyzing Form PF data when creating the proposed Form N-PORT, a portfolio
holdings disclosure form for registered investment companies. 13
In addition, in an effort to improve data quality, IM staff continues to respond to filer inquiries
and contact filers to inform them of anomalous data that may require the submission of curative
amendments to their Form PF filings.
Consultation
Commission staff uses Form PF data in conjunction with other federal regulators in areas of
mutual interest and in international collaborative efforts regarding private funds and their
investment advisers. For example, Form PF reports have been used by Commission staff in
connection with its participation in FSOC’s systemic risk efforts in the private fund space,
including in discussions with other federal regulators. Also, as it has done in previous years,
Commission staff provided certain aggregated, non-proprietary Form PF data to the Financial
Stability Board (FSB) as part of an information sharing exercise related to an FSB workstream.
In addition, the Commission has approved a Memorandum of Understanding with the Board of
Governors of the Federal Reserve System (Board) that will allow the Commission to share Form
PF data with the Board, provided the Board implements and follows certain protocols to ensure
the confidentiality and appropriate use of such data.
IV.
Conclusion
During the past year, the Commission’s staff has focused its efforts on using Form PF data: (i) in
examinations and investigations of private fund advisers; (ii) in the Commission’s risk
monitoring activities; (iii) to inform regulatory initiatives; and (iv) when working with other
federal regulators and international organizations in areas of mutual interest relating to private
fund advisers. Additionally, IM staff began publishing quarterly reports that include highly
aggregated information and statistics that private fund advisers have reported to the Commission
on Form PF.
12
See Money Market Fund Reform Release.
13
See Investment Company Reporting Modernization, Investment Company Act Release No. 31610 (May 20,
2015), 80 FR 33589 (June 12, 2015).
6
Appendix A
(Private Funds Statistics, Fourth Calendar Quarter 2015)
A-1
Division of Investment Management
Risk and Examinations Office
Private Funds Statistics
Fourth Calendar Quarter 2015
July 22, 2016
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.
July 22, 2016
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 First Calendar Quarter 2014 through Fourth Calendar Quarter
2015 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 Fourth Calendar Quarter
2015 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Fourth
Calendar Quarter 2015-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
July 22, 2016
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 Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
5
7
8
III
Fund Domiciles and Adviser Main Offices
10
IV
Beneficial Ownership
12
V
Derivatives
16
VI
High Frequency Trading
17
VII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
18
18
20
21
22
VIII Qualifying Hedge Fund Specific Information
A Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
24
26
27
28
IX
Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
29
30
30
X
Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .
31
31
32
33
XI
Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
35
35
35
2
July 22, 2016
Risk and Examinations Office
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
35
36
36
36
37
37
38
39
July 22, 2016
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
2014Q1
7,645
8,500
3,753
2,200
1,546
1,416
1,191
435
71
46
23,070
2014Q2
7,664
8,608
3,758
2,201
1,546
1,462
1,208
435
70
44
23,190
2014Q3
7,629
8,684
3,752
2,209
1,534
1,499
1,196
438
70
44
23,177
2014Q4
8,243
8,672
4,244
2,387
1,794
1,538
1,328
508
70
45
24,795
2015Q1
8,305
8,846
4,234
2,391
1,792
1,560
1,348
505
69
42
25,018
2015Q2
8,341
8,863
4,217
2,390
1,794
1,591
1,349
506
68
42
25,073
2015Q3
8,258
8,919
4,236
2,364
1,798
1,624
1,351
508
67
40
25,054
2015Q4
9,614
8,752
4,154
2,732
2,037
1,639
1,411
636
65
41
26,605
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
2014Q1
864
1,595
527
196
245
471
141
69
35
24
2,578
2014Q2
866
1,595
525
196
245
494
143
69
34
23
2,582
2014Q3
867
1,599
526
195
244
505
141
70
34
23
2,583
2014Q4
921
1,662
559
210
262
524
153
85
36
24
2,717
2015Q1
922
1,666
561
209
262
525
155
85
35
22
2,718
2015Q2
925
1,664
561
209
264
527
155
85
35
22
2,720
2015Q3
924
1,663
561
209
264
536
156
86
34
21
2,716
2015Q4
1,013
1,680
570
241
285
534
157
97
37
21
2,814
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
July 22, 2016
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
2014Q1
5,657
4,585
1,841
1,269
953
356
334
250
247
30
9,406
2014Q2
5,892
4,827
1,845
1,270
957
362
334
274
262
30
9,670
2014Q3
6,115
5,032
1,838
1,274
960
357
334
286
281
30
9,880
2014Q4
6,027
4,922
1,887
1,352
999
378
351
274
272
39
9,934
2015Q1
6,432
5,312
1,890
1,352
994
382
351
290
287
39
10,350
2015Q2
6,353
5,274
1,893
1,351
982
383
351
265
263
39
10,252
2015Q3
6,246
5,191
1,854
1,337
980
383
351
274
267
39
10,106
2015Q4
6,071
4,987
2,056
1,472
976
417
396
286
283
55
10,244
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
2014Q1
3,162
2,472
1,699
1,204
824
122
266
249
246
28
6,336
2014Q2
3,309
2,627
1,702
1,205
828
126
266
273
261
28
6,512
2014Q3
3,361
2,657
1,694
1,209
831
126
265
283
279
28
6,551
5
2014Q4
3,402
2,669
1,745
1,275
890
114
279
272
271
37
6,718
2015Q1
3,581
2,838
1,749
1,274
896
115
279
287
284
37
6,915
2015Q2
3,594
2,864
1,751
1,273
878
116
280
264
262
37
6,907
2015Q3
3,480
2,759
1,713
1,259
876
116
280
274
267
37
6,758
2015Q4
3,457
2,733
1,880
1,377
875
136
318
285
282
52
6,993
July 22, 2016
Risk and Examinations Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
NAV ($Billions)
8
7
6
5
4
3
2
1
0
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
GAV ($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 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
NAV ($Millions)
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
1600
1400
1200
1000
800
600
400
200
0
(b) Qualifying Hedge Fund NAV
20
GAV ($Millions)
(a) Qualifying Hedge Fund GAV
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
July 22, 2016
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
2014Q1
46.9
39.2
36.9
12.5
2.4
2.1
4.2
0.9
0.0
0.0
2014Q2
46.4
37.9
36.6
12.5
2.4
2.1
4.2
0.9
0.0
0.0
2014Q3
47.1
38.0
36.6
12.5
2.4
2.1
4.1
0.9
0.0
0.0
2014Q4
47.9
38.3
36.1
13.6
4.0
2.3
2.9
0.6
0.0
0.0
2015Q1
46.6
38.1
35.3
13.2
4.0
2.3
2.8
0.6
0.0
0.0
2015Q2
46.6
38.8
36.1
13.2
4.0
2.3
2.8
0.6
0.0
0.0
2015Q3
46.3
39.1
36.4
13.2
4.1
2.3
2.8
0.6
0.0
0.0
2015Q4
50.6
38.2
35.6
13.4
4.8
3.4
2.3
0.4
0.0
0.0
Figure 2: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
Total Borrowings ($Billions)
700
600
500
400
300
200
100
0
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
(a) All Private Funds
(b) Qualifying Hedge Funds
20
B
Risk and Examinations Office
7
July 22, 2016
C
Risk and Examinations Office
Parallel Managed Accounts4
Table 6: 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
2014Q1
683
342
188
211
57
46
***
17
15
***
1,305
2014Q2
690
342
195
221
57
46
***
17
14
***
1,318
2014Q3
704
340
197
218
57
46
***
17
15
***
1,332
2014Q4
708
398
210
227
60
51
***
16
14
***
1,415
2015Q1
714
388
210
233
63
51
***
17
15
***
1,411
2015Q2
700
391
213
246
63
51
***
17
15
***
1,402
2015Q3
706
393
211
246
63
51
***
15
12
***
1,400
2015Q4
693
410
250
246
82
49
***
14
13
***
1,442
Table 7: 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
2014Q1
612
1,455
122
431
17
11
***
334
330
***
2,596
2014Q2
612
1,450
124
439
17
11
***
326
321
***
2,581
2014Q3
797
1,272
124
418
17
11
***
339
335
***
2,601
2014Q4
723
1,443
107
516
16
11
***
349
345
***
2,726
2015Q1
774
1,413
106
544
16
11
***
363
359
***
2,750
2015Q2
701
1,411
106
528
16
11
***
347
343
***
2,658
2015Q3
664
1,403
106
489
16
11
***
278
271
***
2,544
2015Q4
654
1,324
96
478
19
10
***
250
245
***
2,485
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.
8
July 22, 2016
Risk and Examinations Office
Figure 3: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
Parallel Managed Assets ($Billions)
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
20
14
Parallel Managed Assets ($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
9
July 22, 2016
III
Risk and Examinations Office
Fund Domiciles and Adviser Main Offices
Table 8: 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
2014Q1 2014Q2 2014Q3 2014Q4 2015Q1
50.6
50.1
50.1
49.6
49.3
37.3
37.6
37.6
37.7
37.9
4.2
4.4
4.6
4.7
4.6
2.7
2.7
2.7
2.6
2.8
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
0.7
0.6
0.6
1.0
1.0
2.1
2.1
2.0
1.9
2.0
Qualifying Hedge Funds
2014Q1 2014Q2 2014Q3 2014Q4 2015Q1
55.3
55.3
55.3
55.4
55.9
31.3
31.6
31.9
31.5
31.2
6.2
6.1
6.0
6.1
6.2
2.2
2.2
2.2
2.4
2.2
1.4
1.4
1.4
1.4
1.3
1.6
1.6
1.5
1.3
1.2
2.0
1.9
1.8
1.9
1.8
Section 3 Liquidity Funds
2014Q1 2014Q2 2014Q3 2014Q4 2015Q1
***
***
***
***
***
33.2
34.1
32.3
30.6
32.8
8.8
***
8.2
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2014Q1 2014Q2 2014Q3 2014Q4 2015Q1
66.5
66.4
66.5
63.3
63.5
28.2
28.2
28.2
30.7
30.7
1.3
1.3
1.3
2.3
2.4
0.9
0.9
0.9
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.8
1.8
1.8
1.4
1.2
10
2015Q2
49.4
38.0
4.6
2.7
1.2
1.2
1.0
1.9
2015Q3
49.4
38.0
4.6
2.6
1.2
1.2
1.1
1.9
2015Q4
49.9
37.8
4.1
2.3
1.3
1.3
1.0
2.2
2015Q2
55.6
31.6
6.0
2.4
1.4
1.2
1.8
2015Q3
55.5
31.5
6.0
2.5
1.5
1.1
1.9
2015Q4
55.7
32.0
5.3
2.5
1.5
1.2
1.9
2015Q2
***
32.1
***
***
2015Q3
***
32.2
***
***
2015Q4
***
33.4
***
***
2015Q2
63.5
30.6
2.4
1.0
1.3
1.2
2015Q3
63.2
30.8
2.4
1.0
1.3
1.2
2015Q4
62.3
30.0
2.5
1.3
1.2
2.6
July 22, 2016
Risk and Examinations Office
Table 9: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2014Q1
89.3
6.6
4.1
Country
United States
United Kingdom
Hong Kong
Australia
Other
2014Q1
89.4
5.7
***
***
3.1
Country
United States
United Kingdom
France
2014Q1
67.2
***
***
Country
United States
Canada
Other
2014Q1
97.4
***
***
All Private Funds
2014Q2 2014Q3 2014Q4 2015Q1
88.9
88.8
89.8
89.9
7.0
7.3
6.4
6.4
4.1
4.0
3.7
3.7
Qualifying Hedge Funds
2014Q2 2014Q3 2014Q4 2015Q1
89.4
89.8
90.0
90.8
5.8
5.6
4.9
4.9
***
***
***
***
***
***
***
***
2.9
2.7
2.7
2.0
Section 3 Liquidity Funds
2014Q2 2014Q3 2014Q4 2015Q1
68.5
65.3
63.6
65.6
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2014Q2 2014Q3 2014Q4 2015Q1
97.4
97.4
97.8
97.8
***
***
***
***
***
***
***
***
11
2015Q2
89.8
6.4
3.8
2015Q3
89.8
6.5
3.7
2015Q4
90.4
6.1
3.5
2015Q2
90.5
4.8
***
***
2.1
2015Q3
90.7
5.0
***
***
2.0
2015Q4
90.0
5.0
***
***
2.3
2015Q2
64.0
***
***
2015Q3
64.9
***
***
2015Q4
57.4
***
***
2015Q2
97.8
***
***
2015Q3
97.7
***
***
2015Q4
97.2
***
***
July 22, 2016
IV
Risk and Examinations Office
Beneficial Ownership
Table 10: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
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.
Broker-Dealers
SEC-Registered Investment Companies
State/Muni. Govt. Entities
2014Q1
1,287
664
836
810
700
645
342
248
189
177
154
103
86
69
2014Q2
1,315
692
839
823
716
669
350
253
211
174
156
109
98
83
2014Q3
1,326
715
834
824
717
678
347
254
195
196
157
112
88
85
2014Q4
1,357
766
859
844
741
690
361
263
193
185
142
116
89
90
2015Q1
1,375
777
868
885
758
714
363
268
212
189
148
116
123
93
2015Q2
1,372
789
872
891
760
710
362
268
205
180
149
113
118
92
2015Q3
1,344
769
854
867
742
689
363
264
204
180
143
113
110
92
2015Q4
1,359
894
894
889
756
707
382
277
201
169
147
112
106
99
2015Q3
19.9
11.4
12.6
12.8
11.0
10.2
5.4
3.9
3.0
2.7
2.1
1.7
1.6
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
1.6
1.5
1.4
Table 11: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
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.
Broker-Dealers
SEC-Registered Investment Companies
State/Muni. Govt. Entities
2014Q1
20.3
10.5
13.2
12.8
11.0
10.2
5.4
3.9
3.0
2.8
2.4
1.6
1.4
1.1
2014Q2
20.2
10.6
12.9
12.6
11.0
10.3
5.4
3.9
3.2
2.7
2.4
1.7
1.5
1.3
12
2014Q3
20.2
10.9
12.7
12.6
10.9
10.4
5.3
3.9
3.0
3.0
2.4
1.7
1.4
1.3
2014Q4
20.2
11.4
12.8
12.6
11.0
10.3
5.4
3.9
2.9
2.8
2.1
1.7
1.3
1.3
2015Q1
19.9
11.2
12.5
12.8
11.0
10.3
5.3
3.9
3.1
2.7
2.1
1.7
1.8
1.3
2015Q2
19.9
11.4
12.6
12.9
11.0
10.3
5.2
3.9
3.0
2.6
2.2
1.6
1.7
1.3
July 22, 2016
Risk and Examinations Office
Table 12: 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.
Broker-Dealers
Insurance Companies
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2014Q1
526
323
308
242
303
254
129
85
61
62
48
61
26
36
2014Q2
547
349
323
271
322
254
137
89
65
68
58
66
38
36
2014Q3
556
360
326
286
322
252
134
91
65
69
50
68
39
36
2014Q4
558
357
334
300
321
256
133
93
65
68
49
59
41
33
2015Q1
581
379
366
322
340
264
134
91
68
71
81
56
44
38
2015Q2
581
382
374
339
341
269
134
90
68
70
76
57
44
37
2015Q3
556
370
361
326
323
260
134
86
67
67
69
55
44
35
2015Q4
549
369
358
333
316
265
136
83
68
66
63
50
42
31
2015Q3
20.2
13.4
13.1
11.8
11.7
9.4
4.9
3.1
2.4
2.4
2.5
2.0
1.6
1.3
2015Q4
20.1
13.5
13.1
12.2
11.6
9.7
5.0
3.0
2.5
2.4
2.3
1.8
1.5
1.1
Table 13: 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.
Broker-Dealers
Insurance Companies
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2014Q1
21.3
13.1
12.5
9.8
12.3
10.3
5.2
3.4
2.5
2.5
2.0
2.5
1.1
1.5
2014Q2
20.8
13.3
12.3
10.3
12.3
9.7
5.2
3.4
2.5
2.6
2.2
2.5
1.5
1.4
13
2014Q3
20.9
13.6
12.3
10.8
12.1
9.5
5.1
3.4
2.5
2.6
1.9
2.6
1.5
1.4
2014Q4
20.9
13.4
12.5
11.3
12.0
9.6
5.0
3.5
2.4
2.5
1.8
2.2
1.5
1.3
2015Q1
20.5
13.4
12.9
11.4
12.0
9.3
4.7
3.2
2.4
2.5
2.9
2.0
1.6
1.3
2015Q2
20.3
13.3
13.1
11.8
11.9
9.4
4.7
3.1
2.4
2.4
2.7
2.0
1.5
1.3
July 22, 2016
Risk and Examinations Office
Table 14: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Unknown Non-U.S. Investors
Non-U.S. Individuals
SEC-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Pension Plans
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
Non-Profits
U.S. Individuals
2014Q1
67
37
46
22
17
16
***
***
9
7
***
***
***
0
2014Q2
75
37
37
38
18
17
***
11
7
***
***
***
***
0
2014Q3
80
43
58
20
17
19
***
***
9
6
***
***
***
0
2014Q4
75
63
40
20
15
14
***
11
10
5
***
***
***
0
2015Q1
86
45
44
35
17
***
***
***
9
6
***
***
***
0
2015Q2
77
44
36
31
17
***
***
***
9
5
***
***
***
0
2015Q3
86
42
43
29
13
***
***
***
8
6
***
***
***
***
2015Q4
82
51
45
28
16
***
***
***
8
5
***
***
***
***
2015Q3
32.2
15.8
16.1
10.8
4.7
***
***
***
3.0
2.1
***
***
***
***
2015Q4
29.0
17.9
15.8
10.0
5.8
***
***
***
2.9
1.9
***
***
***
***
Table 15: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Unknown Non-U.S. Investors
Non-U.S. Individuals
SEC-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Pension Plans
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
Non-Profits
U.S. Individuals
2014Q1
27.4
15.0
18.6
9.0
6.8
6.4
***
***
3.7
2.9
***
***
***
0.0
2014Q2
28.8
14.2
14.3
14.7
7.0
6.5
***
4.1
2.8
***
***
***
***
0.0
14
2014Q3
28.7
15.5
20.9
7.3
6.2
6.8
***
***
3.3
2.1
***
***
***
0.0
2014Q4
27.7
23.4
14.9
7.3
5.6
5.2
***
4.1
3.5
1.9
***
***
***
0.0
2015Q1
30.5
15.7
15.6
12.3
5.9
***
***
***
3.2
2.0
***
***
***
0.0
2015Q2
29.5
16.9
13.6
11.7
6.5
***
***
***
3.3
2.0
***
***
***
0.0
July 22, 2016
Risk and Examinations Office
Table 16: 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
2014Q1
284
266
95
118
112
72
77
71
33
45
15
14
2
1
2014Q2
284
266
95
118
113
72
77
71
33
45
15
14
2
1
2014Q3
286
268
96
119
113
72
76
72
33
45
15
14
2
1
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
Table 17: 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
2014Q1
23.6
22.1
7.9
9.8
9.3
6.0
6.4
5.9
2.7
3.8
1.2
1.1
0.2
0.1
2014Q2
23.6
22.1
7.9
9.8
9.4
6.0
6.4
5.9
2.7
3.8
1.2
1.1
0.2
0.1
15
2014Q3
23.7
22.1
8.0
9.8
9.3
5.9
6.3
5.9
2.7
3.7
1.2
1.1
0.2
0.1
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
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
July 22, 2016
V
Risk and Examinations Office
Derivatives
Table 18: 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
2014Q1
14,382
12,704
101
47
43
12
45
0
***
0
14,583
2014Q2
16,984
15,426
102
47
43
12
45
0
***
0
17,185
2014Q3
15,922
14,314
101
48
43
12
45
0
0
0
16,107
2014Q4
14,603
13,118
127
66
60
13
27
***
0
***
14,819
2015Q1
14,478
13,123
121
69
60
13
29
***
***
***
14,693
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
12,959
11,851
103
54
42
21
12
***
***
***
13,149
Table 19: 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
2014Q1
454.8
513.9
12.2
2.8
3.5
4.4
37.3
0.0
***
0.2
230.2
2014Q2
513.3
587.3
12.3
2.8
3.5
4.4
35.9
0.0
***
0.2
263.9
2014Q3
473.7
538.6
12.1
2.8
3.5
4.4
35.6
0.0
0.0
0.2
245.9
16
2014Q4
429.3
491.4
14.3
3.8
4.7
4.6
23.4
***
0.0
***
220.6
2015Q1
404.3
462.4
13.5
3.9
4.7
4.6
25.4
***
***
***
212.5
2015Q2
383.6
438.2
12.1
4.0
4.7
4.6
25.1
***
***
***
202.8
2015Q3
403.2
463.4
12.3
4.3
4.7
4.6
24.4
***
***
***
210.9
2015Q4
374.8
433.6
11.8
2.9
3.1
6.7
8.6
***
***
***
188.0
July 22, 2016
Risk and Examinations Office
Figure 4: Distribution of Derivative Notional Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
8
6
4
2
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
0
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
10
(b) Qualifying Hedge Funds
20
VI
12
(a) All Private Funds
14
Total Derivative Value ($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
High Frequency Trading
Table 20: 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
2014Q1
6,801
57
27
2014Q2
6,931
55
24
2014Q3
7,001
53
28
2014Q4
7,180
45
28
2015Q1
7,321
39
25
2015Q2
7,340
39
24
2015Q3
7,406
33
10
2015Q4
7,362
40
8
Table 21: 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
2014Q1
3,045
78
19
2014Q2
3,205
54
31
2014Q3
3,259
37
30
2014Q4
3,300
35
32
17
2015Q1
3,470
41
34
2015Q2
3,479
43
36
2015Q3
3,365
43
34
2015Q4
3,336
77
2
July 22, 2016
VII
A
Risk and Examinations Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 5: 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
20
20
14
12
10
8
6
4
2
0
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
12
10
8
6
4
2
0
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
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)
18
(b) Gross Exposure without IRDs
14
-03
14
(a) Long Exposure with IRDs
8
6
4
2
0
(c) Short Exposure with IRDs
19
4-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
0
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
2
20
1
4
20
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
4-0
3
10
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
1
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
July 22, 2016
Risk and Examinations Office
Figure 6: 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
July 22, 2016
B
Risk and Examinations Office
Industry Concentration
Table 22: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2014-01
2014-02
2014-03
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
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
Top 10 Advisers (NAV)
17.8
18.0
18.0
17.7
17.7
17.7
16.9
16.9
16.9
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
Top 20 Advisers (NAV)
27.6
27.9
27.9
27.1
27.1
27.1
26.5
26.5
26.5
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
27.0
20
Top 10 Advisers (GNE)
45.4
45.8
43.3
40.7
41.7
40.3
40.6
41.7
40.9
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
37.6
Top 20 Advisers (GNE)
57.7
58.0
56.1
54.0
54.7
53.4
54.1
55.1
53.7
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
51.7
July 22, 2016
Portfolio Turnover
Table 23: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2014-01
2014-02
2014-03
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
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
Futures
10,957
9,985
17,827
9,899
11,116
20,520
9,232
9,417
13,113
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
Listed equities
1,968
1,886
1,860
2,357
2,077
2,200
1,746
1,452
1,524
2,304
1,534
1,656
1,812
1,712
1,858
1,993
1,916
1,957
2,112
2,103
1,876
7,582
6,658
7,098
Sov. and muni. bonds
2,357
2,190
2,395
2,319
2,276
2,341
2,350
2,224
2,583
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
1,921
Corporate bonds
99
92
109
108
100
100
89
66
108
118
88
74
92
109
124
112
104
90
99
74
91
100
85
70
Convertible bonds
30
29
55
20
23
29
19
15
23
20
17
17
17
23
25
23
23
22
15
14
17
20
16
19
Total
15,411
14,182
22,247
14,704
15,591
25,191
13,436
13,174
17,351
17,864
12,049
15,310
13,987
14,191
15,810
12,321
13,679
17,136
12,531
14,605
14,446
17,402
17,791
18,952
Figure 7: 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.
50
40
30
20
10
20
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
0
18
16
14
12
10
8
6
4
2
0
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-12
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
60
20
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Risk and Examinations Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
21
July 22, 2016
D
Risk and Examinations Office
Region and Country Exposure
Table 24: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ 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
2014Q1
3,539
1,323
559
76
71
41
13
22
2014Q2
3,840
1,354
687
90
86
42
12
26
2014Q3
4,007
1,298
636
100
84
41
13
25
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
95
69
34
18
22
2015Q4
3,767
1,095
578
90
66
33
23
21
Table 25: 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
2014Q1
132.4
49.5
20.9
2.8
2.6
1.5
0.5
0.8
2014Q2
134.3
47.4
24.0
3.1
3.0
1.5
0.4
0.9
2014Q3
139.3
45.1
22.1
3.5
2.9
1.4
0.5
0.9
2014Q4
129.9
37.1
20.1
3.0
2.3
1.3
0.5
0.7
22
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
2015Q4
129.0
37.5
19.8
3.1
2.3
1.1
0.8
0.7
July 22, 2016
Risk and Examinations Office
Table 26: 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
2014Q1
3,360
237
112
31
22
14
2014Q2
3,635
266
202
43
27
17
2014Q3
3,805
247
135
39
25
16
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
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
Table 27: 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
2014Q1
125.7
8.8
4.2
1.2
0.8
0.5
2014Q2
127.1
9.3
7.1
1.5
0.9
0.6
2014Q3
132.3
8.6
4.7
1.4
0.9
0.6
23
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
July 22, 2016
VIII
A
Risk and Examinations Office
Qualifying Hedge Fund Specific Information
Gross Exposure by Strategy5
Table 28: 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
2014Q1
1,339
867
254
210
8
667
654
414
114
54
46
25
403
291
65
46
1
365
196
109
60
278
254
24
58
***
***
47
3,811
2014Q2
1,453
909
275
263
5
712
689
433
128
59
48
21
438
306
79
53
1
412
192
140
80
299
273
25
67
***
***
49
4,119
2014Q3
1,464
912
297
250
5
735
779
524
133
54
48
19
414
308
51
54
0
432
186
146
100
291
264
27
82
***
***
52
4,248
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
841
578
139
53
50
21
476
380
47
48
1
417
185
150
82
291
261
29
96
***
***
50
4,544
2015Q2
1,643
1,001
349
285
7
755
787
524
144
49
48
23
515
440
43
32
1
430
182
151
97
301
269
33
91
***
***
49
4,572
2015Q3
1,555
933
348
268
6
745
783
536
139
45
39
24
559
485
38
33
2
386
179
126
81
285
250
35
94
***
***
48
4,455
2015Q4
1,525
923
317
278
6
735
722
491
129
41
38
23
546
474
36
34
2
377
173
111
93
278
248
30
98
***
***
45
4,326
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.
24
July 22, 2016
Risk and Examinations Office
Table 29: 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
2014Q1
51.6
33.4
9.8
8.1
0.3
25.7
25.2
15.9
4.4
2.1
1.8
1.0
15.5
11.2
2.5
1.8
0.0
14.1
7.5
4.2
2.3
10.7
9.8
0.9
2.2
***
***
1.8
146.7
2014Q2
52.6
33.0
10.0
9.5
0.2
25.8
25.0
15.7
4.6
2.1
1.8
0.8
15.9
11.1
2.9
1.9
0.0
14.9
7.0
5.1
2.9
10.8
9.9
0.9
2.4
***
***
1.8
149.3
25
2014Q3
52.5
32.7
10.6
9.0
0.2
26.4
27.9
18.8
4.8
1.9
1.7
0.7
14.8
11.0
1.8
1.9
0.0
15.5
6.7
5.2
3.6
10.4
9.5
1.0
2.9
***
***
1.9
152.4
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
2015Q2
55.5
33.8
11.8
9.6
0.2
25.5
26.6
17.7
4.9
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
54.3
32.6
12.2
9.4
0.2
26.0
27.3
18.7
4.9
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
8.7
1.2
3.3
***
***
1.7
155.6
2015Q4
53.8
32.6
11.2
9.8
0.2
25.9
25.5
17.3
4.6
1.4
1.3
0.8
19.3
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
July 22, 2016
Liquidity
Table 30: 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
2014Q1
9.9
11.9
26.3
44.9
59.5
76.0
2014Q2
7.8
11.0
24.3
44.2
58.4
75.6
2014Q3
6.4
10.3
24.1
45.9
62.1
75.7
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
45.8
60.1
74.8
2015Q3
7.1
13.6
26.5
46.8
62.6
74.7
2015Q4
7.1
13.3
25.4
45.4
58.3
72.8
Table 31: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 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
2014Q1
29.4
58.0
75.5
83.2
87.1
90.5
2014Q2
29.7
57.9
75.1
82.8
86.7
90.4
2014Q3
29.6
57.8
75.1
83.3
87.5
90.9
2014Q4
29.1
56.6
74.3
83.3
87.5
90.8
2015Q1
30.1
58.0
74.9
83.5
87.4
90.9
2015Q2
30.1
57.9
74.3
82.8
86.8
90.5
2015Q3
31.1
58.3
74.0
82.5
86.4
90.2
2015Q4
30.0
57.5
73.2
81.1
85.2
88.9
Figure 8: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity Reported on Form PF as of Fourth Calendar Quarter 2015
day
s
mo
At
st 3
65
day
s
80
st 1
mo
mo
At
26
At
mo
st 9
0d
ays
Investor Liquidity
At
day
s
st 7
mo
At
st 1
mo
st 3
0d
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, 32, and 50.
At
B
Risk and Examinations Office
July 22, 2016
Risk and Examinations Office
Table 32: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Gated
Side Pocketed
Suspended
2014Q1
1,987
1,279
29
37
10
2014Q2
2,105
1,365
32
42
9
2014Q3
2,136
1,395
30
39
8
2014Q4
2,140
1,406
41
39
13
2015Q1
2,320
1,476
43
37
12
2015Q2
2,340
1,472
41
38
12
2015Q3
2,236
1,399
38
35
12
2015Q4
2,197
1,374
38
37
14
Figure 9: Distribution of the Ratio of Qualifying Hedge Fund
Assets Held in Side Pockets to NAV
35
30
25
20
15
10
5
0
As reported on Form PF, Questions 9 and 48.
20
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q4
NAV in Side-Pocket (%)
See Appendix C for an explanation of boxplots.
C
Borrowings
Table 33: 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
2014Q1
1,777
997
500
279
10
1,787
2014Q2
1,807
990
547
270
11
1,818
2014Q3
1,898
1,025
586
287
11
1,910
27
2014Q4
1,874
1,039
555
280
9
1,883
2015Q1
2,014
1,078
660
276
8
2,022
2015Q2
2,035
1,131
649
255
11
2,046
2015Q3
2,018
1,051
717
250
11
2,029
2015Q4
1,893
1,024
604
266
10
1,903
July 22, 2016
Central Clearing
Figure 10: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
30
Percent of Funds
Percent of NAV
25
20
15
10
5
28
20
15
Q4
20
15
Q3
20
15
Q2
20
15
Q1
20
14
Q4
20
14
Q3
20
14
Q2
0
20
14
Q1
D
Risk and Examinations Office
July 22, 2016
IX
A
Risk and Examinations Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 34: 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
2014Q1
70.3
91.0
99.6
100.0
100.0
100.0
2014Q2
68.7
90.6
99.2
100.0
100.0
100.0
2014Q3
70.8
91.4
99.3
100.0
100.0
100.0
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
Table 35: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2014Q1
229
202
0
0
2014Q2
243
214
0
0
2014Q3
265
234
0
0
2014Q4
255
223
0
0
29
2015Q1
268
233
0
0
2015Q2
248
215
0
0
2015Q3
252
222
0
0
2015Q4
268
235
0
0
July 22, 2016
B
Risk and Examinations Office
Rule 2a-7 Compliance
Table 36: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
2014Q1
63.0
60.9
60.9
60.9
54.3
34.8
2014Q2
63.6
61.4
61.4
61.4
56.8
34.1
2014Q3
65.9
63.6
63.6
63.6
56.8
31.8
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
Table 37: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
C
2014Q1
28.1
28.0
27.6
27.6
26.6
71.8
2014Q2
27.6
27.5
27.0
27.0
26.2
72.3
2014Q3
24.9
24.9
24.5
24.5
23.8
74.9
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
Methods of Calculating NAV
Table 38: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2014Q1
84.8
15.2
2014Q2
***
***
2014Q3
***
***
2014Q4
84.4
15.6
2015Q1
***
***
2015Q2
***
***
2015Q3
***
***
2015Q4
***
***
Table 39: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2014Q1
72.4
27.6
2014Q2
***
***
2014Q3
***
***
2014Q4
71.9
28.1
30
2015Q1
***
***
2015Q2
***
***
2015Q3
***
***
2015Q4
***
***
July 22, 2016
Risk and Examinations Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 40: 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
31
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
5.9
4.7
3.7
2.6
2.3
1.9
1.7
1.7
1.7
1.4
1.4
1.3
1.2
1.2
1.1
1.0
July 22, 2016
CPC Financial Leverage
Figure 11: 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
Q4
15
20
Q4
14
20
20
Q4
0
13
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 12: 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
32
Q4
15
20
Q4
14
20
13
Q4
0
20
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Risk and Examinations Office
July 22, 2016
C
Risk and Examinations Office
CPC Investments by Region and Country
Table 41: 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 42: 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
33
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
July 22, 2016
Risk and Examinations Office
Table 43: 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 44: 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
34
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
July 22, 2016
XI
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.
35
July 22, 2016
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.
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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 13 for
an explanation of each feature.
Figure 13: 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.
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July 22, 2016
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.
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July 22, 2016
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 borrow
ings, 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 invest
ment 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 unre
alized 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 hedg
ing 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.
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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 in
vestment 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 credi
tor, “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.
40
This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.