# U.S. Securities and Exchange Commission > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A6c107f73f2fb440d ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text 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. 36 July 22, 2016 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. 37 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. 38 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. 39 July 22, 2016 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 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A6c107f73f2fb440d. Public record. Not legal advice.