# U.S. Securities and Exchange Commission > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A734af358bf4a8229 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text U.S. Securities and Exchange Commission Annual Staff Report Relating to the Use of Form PF Data This is a report of the Staff of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. December 30, 2019 Executive Summary Since July 2012, the Commission has collected data about hedge funds, private equity funds, and other private funds reported by certain registered investment advisers to private funds on Form PF. This collection is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in 2010, that provide that the Commission require registered investment advisers to maintain records and file reports regarding the private funds they advise, for use by the Commission and by the Financial Stability Oversight Council (“FSOC”). The Commission is the primary regulator of advisers to private funds. Private funds and their advisers play an important role in both private and public capital markets. These funds, including hedge funds, private equity funds and liquidity funds (which operate, in certain respects, similarly to money market funds), currently have more than $8.5 trillion in net assets. Although private fund assets are still less than one half of the total assets of registered investment companies, they represent a much higher proportion of total registered and unregistered investment fund assets than in past decades. Private funds invest in large and small businesses and use strategies that range from long-term investments in equity to rapid trading and investments in complex instruments. Their investors include individuals, institutions, governmental and private pension funds, and non-profit organizations. The economic activity of private funds is significant both to large portions of the capital markets and to many individual American investors. Before Form PF was adopted, the Commission and other regulators had limited visibility into this economic activity. With the significant increase in private fund advisers registered with the Commission in 2012, Form PF represented an improvement in available data about private funds compared with the third party data on which the Commission would otherwise rely. Form PF data allows the Commission to better monitor and identify trends that may affect private funds, advisers and investors. Part III of this seventh Annual Report Relating to the Use of Form PF Data highlights the uses of the Form PF Data by the Commission and Commission staff. These include: • • • • Informing Commission Policy. Commission staff uses data from Form PF to identify trends and develop analyses that deepen staff understanding of private funds, private fund advisers and the markets in which they participate, subject to a framework designed to maintain the security and confidentiality of the data. The data set resulting from Form PF has provided a better perspective of the trading strategies and other activities of private funds, and of how private funds and their advisers may be affected by market and geopolitical events. This enhances the Commission’s ability to evaluate and frame regulatory policy, inform policy discussions of private fund activity and test with evidence assertions about private fund activity. Informing the Public. Staff’s quarterly public report, Private Funds Statistics, provides analyses of aggregated Form PF data, including information about industry trends. Staff also uses Form PF data to conduct and publish research intended to deepen public understanding of private funds and their market activities and risks. Prioritizing and Informing Examination and Enforcement Efforts. Staff reviews and analyzes Form PF data to identify potential compliance risk areas and assist in prioritizing the use of exam and enforcement resources. Reports summarizing key information, which can be rapidly and automatically generated, expedite staff’s preparation and conduct of focused exams by helping to identify areas of inquiry. Facilitating Coordination with Other Regulators. The Commission adopted Form PF in part to obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets. Accordingly, the Commission makes Form PF data available to FSOC through the Office of Financial Research (“OFR”) and to the Federal Reserve Board, subject to agreements regarding appropriate use of and confidentiality protections for Form PF data. Staff also uses Form PF data when coordinating with other federal regulators and international organizations in areas of mutual interest, subject to protections designed to maintain data security. 1 I. Introduction Today’s U.S. private fund industry, including hedge funds, private equity and other private funds, with more than $8.5 trillion in reported net assets as of the first quarter of 2019, 1 plays an active and important role in the U.S. private and public capital markets. Important financial innovations, capital market trends, and new investment strategies and structures have emerged first among private funds and private fund advisers. As the primary U.S. regulator of advisers to private funds, 2 the Commission depends on robust and reliable information to inform its understanding of private funds and private fund advisers, including how private funds and advisers participate in financial markets, so that it can carry out its mission of protecting investors, maintaining fair, orderly and efficient markets and facilitating capital formation. Further, because of private funds’ important role in capital markets, the Commission can better identify potential trends in the markets that it regulates by understanding new developments and trends in private funds. Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered investment advisers to private funds (including hedge funds, private equity funds, private liquidity funds, and other private funds) to file Form PF to report information about the private funds they manage. 3 Section 204(b) of the Advisers Act requires an annual report to Congress regarding how the Commission has used the Form PF data to monitor markets for the protection of investors and the integrity of the markets. 4 This report is being submitted to Congress to satisfy that requirement. 5 This is a report of the staff of the Commission, and the Commission has expressed no view regarding any analysis, findings, or conclusions contained herein. 1 Private Fund Statistics, Table 4, at the Appendix. 2 Section 202(a)(29) defines a “private fund” as “an issuer that would be an investment company, as defined by section 3 of the Investment Company Act, but for section 3(c)(1) or 3(c)(7) of that Act.” Some investment advisers registered with the Commission are also registered with and regulated by the U.S. Commodity Futures Trading Commission as commodity pool operators (“CPOs”) or commodity trading advisers (“CTAs”). 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 (Oct. 31, 2011) at n. 10 and text accompanying n. 49 [76 Fed. Reg. 71128, 71132 (Nov. 16, 2011)], https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the “Adopting Release”). 3 See Adopting Release, supra footnote 2; see also Money Market Fund Reform; Amendments to Form PF, Investment Advisers Act Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)], https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required by private liquidity funds) (the “Money Market Fund Reform Release”). The Commission recently solicited public comment on the collection of information requirements of Form PF, and the Office of Management and Budget (“OMB”) approved the continuation of the collection without change pursuant to the Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et. seq.) (the “PRA”). See Proposed Collection of Information, Comment Request, 83 Fed. Reg. 1278 (Jan. 10, 2018); OMB, Office of Information and Regulatory Affairs, OMB Control Number History, https://www.reginfo.gov/public/do/PRAOMBHistory?ombControlNumber=3235-0679. 4 Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11). 5 See Division of Investment Management, U.S. Securities and Exchange Commission, Annual Staff Report Relating to the Use of Form PF Data, https://www.sec.gov/reports. 2 II. Overview of Form PF and Form PF Data Management at the Commission A. Overview of Form PF Form PF provides the Commission information that it uses in carrying out its mission. 6 Before Form PF was adopted, the Commission and other regulators had more limited visibility into the economic activity of private funds. With the significant increase in private fund advisers registered with the Commission in 2012, Form PF represented an improvement in available data about private funds compared with the third party data on which the Commission would otherwise rely. 7 The data set that is generated from information reported by private fund advisers on Form PF is more reliable and complete when contrasted with private vendor databases that cover only voluntarily-provided private fund data and are not representative of the total population. The Commission adopted Form PF in part to obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets. 8 As required by statute, the Commission designed Form PF in consultation with FSOC. 9 Generally, investment advisers registered (or required to be registered) with the Commission with at least $150 million in private fund assets under management must file Form PF. Most private fund advisers file annually to report general information such as the types of private funds advised (e.g., hedge funds, private equity funds, or liquidity funds), fund size, use of borrowings and derivatives, strategy, and types of investors. Certain larger advisers provide more information on a more frequent basis, including more detailed information on particular hedge funds and liquidity funds. B. How the Commission Secures and Manages Form PF Data Advisers file Form PF using the Private Fund Reporting Depository (“PFRD”), an electronic filing system maintained by the Financial Industry Regulatory Authority (“FINRA”). 10 Commission staff receives Form PF data via a direct feed from FINRA and maintains the data on access-controlled internal data systems. Consistent with provisions under the Advisers Act that provide heightened confidentiality protections for any proprietary information of private fund advisers submitted on Form PF, 11 Commission staff has implemented systems and controls designed to limit access to Form PF data and protect its confidentiality within and outside the agency. This includes limits on access to FINRA’s PFRD system and to internal data systems that contain PF Data to staff experts across the Commission who have been authorized to 6 Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting requirements for private fund advisers as necessary and appropriate in the public interest and for the protection of investors, or for the assessment of systemic risk by FSOC. Section 204(b) was enacted as part of the Dodd- Frank Wall Street Reform and Consumer Protection Act, Public Law No. 111-203, § 404, 124 Stat. 1376 (the “Dodd-Frank Act”). 7 Adopting Release, supra footnote 2, at 71129 n. 11 (describing transition period for registration by private fund advisers that previously relied on the repealed exemption under section 203(b)(3) of the Advisers Act) and 71130 n.19 (citing FSOC 2011 Annual Report, http://www.treasury.gov/initiatives/fsoc/Pages/annualreport.aspx). 8 See note 6, supra. 9 See Advisers Act section 204(b)(3) (requires the Commission to consult with FSOC). 10 The Commission developed PFRD to implement reporting requirements on Form PF. PFRD is operated under a contract between the Commission and FINRA as an extension of the Investment Adviser Reporting Depository system used by advisers to register with the Commission on Form ADV. See Adopting Release, supra footnote 2, at Section II.E 11 Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10). 3 access the data, and processes under which any Form PF data released to the public is reviewed before release so that the data is aggregated and/or masked to avoid public disclosure of proprietary information of private fund advisers. Senior staff members from various Divisions and Offices within the Commission are members of the Form PF Steering Committee tasked with overseeing these systems and controls for access, use, and security of Form PF data. The Committee, on an ongoing basis, monitors and updates these systems and controls and meets regularly to address any new matters arising from time to time relating to the access, use and security of the Form PF data. C. Efforts to Improve the Quality of Form PF Data Commission staff works with filers to improve the quality of data filed on Form PF. For example: • Staff responds to specific, factual inquiries about how to complete and file Form PF on an ongoing basis. Staff maintains a separate email address that advisers and others can use to obtain answers to questions about how to complete and file Form PF. Staff also issued and periodically updates a series of “Frequently Asked Questions” that address specific, factual questions received from advisers and other members of the public related to Form PF. 12 • Staff regularly contacts individual filers when staff members identify anomalous and possibly erroneous data as well as possibly delinquent or missing filings. Staff works with these individual filers to determine steps for improving timeliness and accuracy of filings. • When delinquencies persist, the staff has taken further steps to ensure that information is appropriately filed. 13 D. Analytical Tools Using Form PF Data Commission staff has developed various analytical tools to use Form PF data in support of its monitoring of private funds and private fund advisers, consistent with the systems and controls discussed above in Section II.B. These tools enhance staff’s ability to assess large volumes of data, streamline analysis of the data by automating certain analytical processes, and evaluate Form PF data alongside other relevant datasets. As examples, these analytical tools have enhanced the staff’s ability to: • • identify “outliers” among private funds and private fund advisers using factors such as performance, investment exposures, and liquidity; identify private funds based on one or more areas of policy interest, such as type of strategy, types of investments, use of derivatives, and extent of leverage; 12 The Form PF Frequently Asked Questions (“PF FAQs”), https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml, represent the views of the staff of the Division of Investment Management. The PF FAQs are not a rule, regulation or statement of the Commission, and the Commission has neither approved nor disapproved the information therein. The public Form PF inquiry email address as well as a phone number to reach staff with questions relating to Form PF is published at https://www.sec.gov/divisions/investment/iard/iardhelp.shtml. See also Division of Investment Management: Electronic Filing of Form PF for Investment Advisers on PFRD (PFRD Home Page) at https://www.sec.gov/divisions/investment/pfrd.shtml. 13 The Commission announced settlement orders with 13 registered investment advisers who repeatedly failed to file Form PF providing information about the private funds that they advise. See SEC Charges 13 Private Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at https://www.sec.gov/news/pressrelease/2018-100. 4 • • • III. monitor changes and other trends in industry exposures, asset composition, and trading activity; empirically test claims made in the financial press or other public sources regarding private funds and the private fund industry; and facilitate assessment of the operations and investment activities of private funds and private fund advisers. How the Commission Uses Form PF Data The Commission staff in the various Divisions and Offices use Form PF data in mission-focused activities, including to inform policy by identifying and monitoring private fund trends, inform the public, conduct focused exams, and pursue potential wrongdoing. Additionally, consistent with the Advisers Act, the Commission makes the Form PF database available to FSOC through OFR. 14 Staff also makes the Form PF database available to the Federal Reserve Board and uses Form PF data when coordinating with other federal regulators and international organizations in areas of mutual interest involving private fund advisers, subject to appropriate protections for data security. The following provides more detail on how the Commission staff uses Form PF data. A. Informing Commission Policy The Commission staff analyzes Form PF data to identify trends and possible emerging risks among private funds and private fund advisers and to develop analyses that deepen the Commission’s understanding of private funds, private fund advisers, and the markets in which they participate. As compared to third-party sources, Form PF provides the Commission with a broader perspective and more complete view of the financial markets in general and the private fund industry in particular. Using data collected on Form PF promotes the ability of the Commission staff to analyze information related to private fund activity, evaluate existing regulatory policies and programs directed to private fund advisers, evaluate the impact of policy choices on private funds’ activities, and consider whether activities of private funds may involve any potential wrongdoing that indicates a need for regulatory action. The Commission and its staff use this insight in support of the Commission’s mission to protect investors, maintain fair, orderly and efficient markets, and facilitate capital formation. Some examples of how the Commission and staff use PF Data to inform policy are as follows: Assess Private Funds Activities and Trends. Staff uses Form PF data to identify and monitor the activities of private funds, trends in the private funds industry and the possible effects on the broader financial markets. Through this analysis, staff may consider persistent questions and test perceptions – and in some cases, misconceptions – about the activities of private funds and the effects of these activities in the markets the Commission regulates. For example, staff uses Form PF data to assess funds’ use of borrowing and leverage based on multiple metrics, including gross notional exposure to net asset value (economic leverage), long and short notional exposures, gross and net exposure by investment strategy, aggregate borrowings and posted collateral. Staff also uses Form PF data to consider liquidity trends, including funds’ portfolio, investor and financing liquidity, funds’ usage of derivatives and high frequency trading (among other strategies), and how private fund advisers use risk management tools such as stress tests and value at risk (VaR) reporting in the management of private funds. 15 14 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, supra footnote 7. 15 Staff makes some of this analysis publicly available in Private Funds Statistics, its quarterly report. See Appendix and Section III.B, infra. 5 Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how private funds and private fund advisers might be affected by market and geopolitical events. Staff has assessed the exposure of private funds to various types of assets and financial markets, including their exposure to certain international markets. This type of assessment, aggregated with other industry information that may be available to staff, facilitates development of a broader understanding of the potential effects of certain market or global events for private funds and the financial markets regulated by the Commission in which private funds participate. Identify New Developments in Broader Financial Markets. Form PF data has the potential to capture new developments and trends among private funds and private fund advisers. This provides the Commission and staff with a window into potential new developments and trends in the broader public markets regulated by the Commission. For example, it is well-known that certain “alternative” investment strategies first offered in hedge funds have more recently been developed and modified to be offered by mutual funds. 16 Assess Effects of Rulemaking. The Commission and staff also are using information from Form PF to assess the potential impact of rulemaking proposals and analyze impacts of its rulemaking on markets and market participants. For example, staff has used data about private liquidity funds from Form PF to consider the effects of money market reform implementation 17 and to monitor for potential effects in shortterm financing markets. Staff’s experience with Form PF informed the development of new Form N-PORT, a portfolio holdings reporting form for registered investment companies, and recent amendments to Form ADV filing requirements. 18 B. Informing the Public about the Private Fund Industry The Commission seeks to provide the public with more transparency into and an understanding of the private funds industry by publishing aggregated information and analysis from Form PF, subject to its systems and controls designed to preserve the confidentiality of proprietary information of individual advisers. Following are two examples. Private Funds Statistics. Since October 2015, Commission staff has published a quarterly report, Private Funds Statistics, which contains aggregated private fund industry statistics derived from Form PF 16 See, e.g., FINRA, Alternative Funds Are Not Your Typical Mutual Funds, (describing http://www.finra.org/investors/alerts/alternative-funds-are-not-your-typical-mutual-funds “alternative mutual funds” as funds that seek to accomplish the fund’s objectives through non-traditional investments and trading strategies that “may bring to mind” the strategies and investments of hedge funds). 17 Money Market Fund Reform Release, supra footnote 3. The compliance date for money market reform was October 14, 2016. 18 See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13, 2016) [81 Fed. Reg. 81870 (Nov. 18, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-11-18/pdf/201625349.pdf; Form ADV and Investment Advisers Act Rules, Investment Advisers Act Release No. 4509 (Aug. 25, 2016) [81 Fed. Reg. 60417 (Sept. 1, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-09- 01/pdf/201620832.pdf. See also Investment Company Reporting Modernization Frequently Asked Questions, updated April 27, 2018, https://www.sec.gov/investment/investment-company-reporting-modernization-faq#n-port; Frequently Asked Questions on Form ADV and IARD, https://www.sec.gov/divisions/investment/iard/iardfaq.shtml. 6 data. 19 As supplemented with new data and analysis in May 2017, the report includes [90] separate tables and figures that offer analyses of hedge fund industry practices. 20 To avoid public disclosure of proprietary information of private fund advisers, the Form PF data provided in these reports is aggregated, rounded and/or masked under processes that are reviewed periodically for effectiveness. Information included in the reports is typically at least six months old when published. The Appendix contains the most recent report. 21 Private Funds Statistics is designed to enhance public understanding of the private fund industry and facilitate Commission and staff participation in meetings and discussions with industry professionals, investors, and other regulators. Statistics that are published quarterly in Private Funds Statistics, include, for example, statistics describing numbers and assets of private funds; the extent of private funds’ borrowing and derivatives holdings; comparisons of investor, portfolio and financing liquidity; use of financial and economic leverage by certain hedge funds; and categories of investment exposures. The report also includes information about the characteristics of private liquidity funds that may facilitate comparisons with data published by staff relating to registered money market funds. 22 Staff understands that the financial industry press monitors the release of these quarterly reports and industry participants may use the report to assist investors with investment decisions. 23 Staff Research Publications. Commission staff has used Form PF data to contribute to the Commission’s and investors’ understanding of the economic forces and dynamics underlying the private funds market by conducting and publishing research on various topics, such as characteristics of leverage used by hedge funds and consideration of self-reporting bias in commercial hedge fund databases. Research is aggregated and/or masked under processes that are reviewed periodically for effectiveness to avoid public disclosure of proprietary information of private fund advisers before any publication. Published staff research and white papers have used Form PF data to describe liquidity and other characteristics of certain 19 See SEC Staff Publishes Private Funds Statistics Report, Press Release (Oct. 16, 2015), https://www.sec.gov/news/pressrelease/2015-240.html. 20 See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (May 3, 2017), https://www.sec.gov/news/press-release/2017-92. 21 Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 22 See Division of Investment Management, Money https://www.sec.gov/divisions/investment/mmf-statistics.shtml. 23 See, e.g., Andy Jones, PEI Blog, Private Equity Firms – Form PF Data (Nov. 10, 2018), http://blog.privateequityinfo.com/index.php/2018/11/10/private-equity-firms-form-pf-data/, ICS Group, Summary of the 2017 Q2 Private Fund Statistics (Feb. 23, 2018), https://www.i-csolutions.net/updates/2018/02/23/2017-private-fund-statistics/, Marc Gorfinkle, SS&C Technologies, SEC releases expanded private fund statistics (Dec. 11, 2017), https://www.ssctech.com/blog/sec-releasesexpanded-private-fund-statistics; Crane Data, Prime Streak Ends; Still UP 20% YTD; SEC: Private Funds Drop in Q’17 (Oct. 27, 2017), https://cranedata.com/archives/all-articles/6890/; Lance Pan, Capital Advisors Group, Demystifying Private Liquidity Funds: Reaffirming Advantages of Separately Management Accounts (Mar. 14, 2017), https://www.capitaladvisors.com/research/demystifying-private-liquidity-funds/; Judy Gross, SEC Releases Data on Private Funds: Big Picture of US Private Fund Industry Emerges, Forbes (Oct. 26, 2015), https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-bigpicture-of-us-private-fund-industry-emerges/#6b77bbb393e5. 7 Market Fund Statistics, hedge funds. 24 Another staff white paper used Form PF data to characterize private liquidity funds and compare them to registered money market funds. 25 C. Assisting the Examinations and Enforcement Programs 26 Form PF data allows Commission staff to more efficiently prioritize its examinations and enforcement activities. Commission staff’s analyses of Form PF data include risk-based analysis and monitoring initiatives that facilitate the identification of potential compliance risks and assist in prioritizing the use of exam and enforcement resources. For example, Commission staff may use Form PF data to identify private fund advisers whose activities involve areas of specific examination focus or that may present heightened compliance risks. Before beginning an examination of an investment adviser, staff reviews applicable regulatory filings, such as Form ADV. For advisers that manage private funds, Form PF filings may also be reviewed as part of a routine pre-examination evaluation for risk identification and scoping. This review, in conjunction with other data sources, provides staff with an understanding of an adviser’s current business, operations, and investment strategy as well as an analysis of how this strategy has evolved or changed over different reporting periods. Commission staff has developed automated analyses and risk metrics that summarize and combine Form PF data with Form ADV data about an adviser’s private funds and advisory business. These reports expedite staff preparation for examinations of a private fund adviser and its private funds and are designed to make exams more efficient by helping to focus areas of inquiry. These reports also assist staff in identifying potential reporting errors, compliance issues, or other issues of interest for the examination team to consider in their examination scope. Developed based on examiner insight and experiences, these reports distribute knowledge gained from exams and analysis to relevant staff on a need-to-know basis, which in turn informs monitoring programs. Generated from analytical tools that use custom code developed by staff to automate report production, these reports deliver intuitive and timely output to examiners, using the most recently filed Form PF and Form ADV data. Commission staff also obtains and reviews Form PF information to focus its enforcement investigations, including investigations of private fund advisers. For example, Commission staff used Form PF data together with other information to identify hedge fund advisers whose reported data ― such as returns, 24 See George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Fund Liquidity Management (May 17, 2017), https://www.sec.gov/dera/staffpapers/working-papers/aragon-ergun-getmansky-girardi_HF-Liquidity-Management; George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Funds: Portfolio, Investor and Financing Liquidity (May 17, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/aragon-ergun-getmansky-girardi_HF-Liquidity. These papers report analyses using data reported on Form PF in quarterly filings from 2013 to 2105. 25 See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and https://www.sec.gov/dera/staff-papers/whiteRisk Indicators (Jan. 27, 2017), papers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that, while most private liquidity funds and their parallel accounts did not formally commit to comply with the rule 2a-7 risk limits that apply to registered money market funds, the vast majority held portfolios that were consistent with those limits during the period studied. 26 Because examination and enforcement matters are generally non-public, this report only summarizes generally how Form PF data has been integrated into exam and enforcement matters. See Advisers Act Section 210(b). 8 exposures, liquidity ― appear inconsistent with the funds’ investment strategies or other benchmarks. These reviews have, in certain cases, led to examinations and enforcement investigations D. Coordination and Consultation with Other Financial Regulators As required by statute, and as described above, the Commission adopted Form PF in part to obtain information about the operations and investment activities of private funds for FSOC to use in the assessment of systemic risk in the U.S. financial markets. The Commission has made the Form PF data available to FSOC through OFR since 2013, subject to agreements regarding appropriate use of and confidentiality protections for Form PF data. More recently, beginning in July 2018, the Commission also makes Form PF data available to the Federal Reserve Board under agreements regarding appropriate use of and confidentiality protections for the Form PF data, which are similar to those provided under applicable agreements with OFR. The Commission staff also uses Form PF data in its collaborations with other federal regulators on areas of mutual interest, such as on matters affecting the integrity of the financial markets and in communications with international organizations on areas of mutual interest regarding private funds and their investment advisers. For example, the staff regularly discusses information and analysis of Form PF data with OFR. The staff has also used reports of data from Form PF in connection with its participation in FSOC’s review of asset management products and activities. 27 Commission staff from time to time also may provide certain Form PF data to other federal regulators in connection with compliance and enforcement matters. In every instance where staff shares information with an external regulatory entity, staff seeks to limit the type and amount of data that may be shared consistent with the purpose for sharing, and the information is either subject to assurances of confidentiality or aggregated to prevent disclosure of any proprietary information of private fund advisers. IV. Conclusion During the past year, the Commission staff has continued to use Form PF data to enhance the Commission’s efforts to protect investors and the integrity of our markets, including through our work with other federal regulators and international organizations. 27 See, e.g., Financial Stability Oversight Council 2018 Annual Report (updated June 20, 2019), https://home.treasury.gov/system/files/261/FSOC2018AnnualReport.pdf. Section 4.13.5 of this report includes certain aggregated data from Form PF in describing recent developments relating to alternative funds. 9 Appendix (Private Funds Statistics, First Calendar Quarter 2019) A-1 Division of Investment Management Analytics Office Private Funds Statistics First Calendar Quarter 2019 October 25, 2019 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. October 25, 2019 Analytics 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 Second Calendar Quarter 2017 through First Calendar Quarter 2019 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. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about First Calendar Quarter 2019 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First Calendar Quarter 2019-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 October 25, 2019 Analytics Office Contents I II Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 29 31 33 34 35 37 40 41 42 X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 43 43 46 46 2 October 25, 2019 Analytics Office E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 48 48 49 50 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 52 52 52 53 53 53 54 54 55 56 XI 3 October 25, 2019 I Analytics 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 2017Q2 10,389 9,126 4,499 3,009 2,452 1,717 1,475 787 69 47 28,797 2017Q3 10,298 9,166 4,458 2,989 2,443 1,727 1,477 773 69 46 28,684 2017Q4 11,541 9,036 4,537 3,482 2,653 1,801 1,504 866 70 48 30,207 2018Q1 11,581 9,194 4,608 3,494 2,663 1,772 1,510 866 69 46 30,491 2018Q2 11,601 9,307 4,581 3,494 2,657 1,806 1,510 851 68 45 30,575 2018Q3 11,610 9,382 4,587 3,495 2,664 1,818 1,514 850 68 45 30,675 2018Q4 12,711 9,194 4,898 3,936 2,837 1,827 1,564 961 73 46 32,238 2019Q1 12,941 9,388 4,755 3,933 2,850 1,794 1,569 962 72 45 32,537 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 2017Q2 1,092 1,690 580 250 316 534 153 111 38 24 2,925 2017Q3 1,089 1,691 577 247 315 536 154 110 38 23 2,925 2017Q4 1,145 1,734 586 293 331 551 155 115 39 25 3,030 2018Q1 1,153 1,736 593 296 333 542 155 116 39 23 3,041 2018Q2 1,154 1,739 589 296 333 550 156 116 38 22 3,046 2018Q3 1,157 1,739 590 296 335 545 158 117 38 22 3,046 2018Q4 1,247 1,748 627 308 347 553 153 133 40 23 3,147 2019Q1 1,256 1,741 626 307 349 540 153 132 39 22 3,149 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 October 25, 2019 Analytics 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 Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2017Q2 6,862 5,681 2,324 1,648 1,088 434 454 276 273 65 11,503 2017Q3 7,184 5,856 2,310 1,641 1,061 433 453 282 279 63 11,787 2017Q4 7,242 5,863 2,727 1,941 1,191 500 485 291 289 81 12,517 2018Q1 7,520 6,076 2,766 1,978 1,206 505 480 291 289 82 12,849 2018Q2 7,659 6,281 2,769 1,978 1,208 505 488 311 307 81 13,021 2018Q3 7,911 6,386 2,769 1,978 1,222 505 490 314 309 82 13,292 2018Q4 7,593 6,153 3,175 2,330 1,225 568 570 297 292 111 13,538 2019Q1 8,052 6,480 3,259 2,365 1,222 574 573 292 289 111 14,083 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 Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2017Q2 3,658 2,890 2,082 1,496 995 341 145 275 272 62 7,558 2017Q3 3,780 2,984 2,069 1,489 971 340 144 280 278 61 7,646 2017Q4 3,883 3,047 2,441 1,755 1,076 391 152 291 288 77 8,311 5 2018Q1 3,974 3,106 2,484 1,789 1,086 394 152 289 287 77 8,456 2018Q2 4,003 3,151 2,487 1,789 1,106 394 154 309 305 76 8,530 2018Q3 4,059 3,188 2,487 1,789 1,096 394 154 311 306 77 8,578 2018Q4 3,794 2,968 2,813 2,084 1,085 443 170 295 289 98 8,697 2019Q1 4,007 3,127 2,895 2,117 1,082 448 171 288 285 98 8,989 October 25, 2019 Analytics Office Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. 20 20 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 NAV ($Billions) Q2 8 7 6 5 4 3 2 1 0 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 17 20 20 17 Q2 GAV ($Billions) As reported on Form PF, Questions 8 and 9. 8 7 6 5 4 3 2 1 0 1400 1200 1000 800 600 400 200 0 20 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 NAV ($Millions) 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 1400 1200 1000 800 600 400 200 0 (b) Qualifying Hedge Fund NAV 20 GAV ($Millions) (a) Qualifying Hedge Fund GAV (c) Section 4 Private Equity Fund GAV (d) Section 4 Private Equity Fund NAV 6 October 25, 2019 Analytics Office Figure 2: Ratio of GAV to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 2.0 1.5 1.0 0.5 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 0.0 3.0 2.5 2.0 1.5 1.0 0.5 0.0 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) 2.5 20 20 17 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 8, 9, and 10. 3.0 (a) All Private Funds (b) Qualifying Hedge Funds 7 October 25, 2019 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 Section 4 Private Equity Fund Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2017Q2 48.8 42.3 39.3 12.7 4.0 5.0 2.7 0.5 0.0 0.0 2017Q3 48.4 41.8 39.6 12.7 4.1 5.0 2.7 0.5 0.0 0.0 2017Q4 51.9 41.5 39.4 13.2 4.6 5.2 2.2 0.6 0.0 0.0 2018Q1 51.2 42.9 40.4 13.5 4.6 4.9 2.7 0.5 0.0 0.0 2018Q2 51.2 45.0 41.6 13.2 4.6 4.9 2.7 0.5 0.0 0.0 2018Q3 50.6 44.5 41.3 13.2 4.6 4.9 3.0 0.6 0.0 0.0 2018Q4 53.5 45.1 41.6 14.7 5.2 5.3 3.5 0.9 0.0 0.0 2019Q1 52.7 46.7 43.1 14.9 5.2 5.1 3.4 0.8 0.0 0.0 Figure 3: Distribution of Total Borrowings for All Private Funds and Qualifying Hedge Funds See Appendix C for an explanation of boxplots. Total Borrowings ($Billions) 700 600 500 400 300 200 100 0 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 20 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Total Borrowings ($Millions) As reported on Form PF, Questions 12 and 43 (Third Month). 20 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 B Analytics Office (a) All Private Funds (b) Qualifying Hedge Funds 8 October 25, 2019 Analytics Office Figure 4: Ratio of Borrowings to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 20 20 17 Q Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 (a) All Private Funds (b) Qualifying Hedge Funds 9 October 25, 2019 C Analytics Office Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2017Q2 2,566 2,182 2,515 1,706 2017Q3 2,558 2,223 2,509 1,711 2017Q4 3,269 2,753 2,898 2,225 2018Q1 3,017 2,299 2,859 1,863 2018Q2 2,976 2,320 2,869 1,879 2018Q3 2,856 2,296 2,882 1,840 2018Q4 3,213 2,930 3,400 2,445 2019Q1 2,679 2,517 3,375 1,997 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2017Q2 650 451 140 644 2017Q3 651 455 137 650 2017Q4 647 608 174 479 2018Q1 788 588 174 762 10 2018Q2 780 602 174 773 2018Q3 659 604 177 733 2018Q4 311 714 155 603 2019Q1 651 803 157 1,060 October 25, 2019 D Analytics Office Parallel Managed Accounts4 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2017Q2 661 501 239 220 88 77 16 16 *** *** 1,534 2017Q3 668 499 272 227 88 77 16 16 *** *** 1,571 2017Q4 669 513 292 238 98 71 16 16 *** *** 1,575 2018Q1 674 518 292 233 98 71 16 16 *** *** 1,585 2018Q2 678 514 290 234 98 71 16 16 *** *** 1,583 2018Q3 686 505 279 236 98 71 16 16 *** *** 1,571 2018Q4 663 508 315 231 112 68 18 16 *** *** 1,581 2019Q1 659 509 314 223 112 78 15 13 *** *** 1,584 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2017Q2 680 1,489 28 440 22 6 330 330 *** *** 2,714 2017Q3 714 1,508 28 525 22 6 345 345 *** *** 2,782 2017Q4 827 1,864 37 594 28 6 359 359 *** *** 3,094 2018Q1 770 1,869 37 551 28 6 361 361 *** *** 3,045 2018Q2 769 1,799 37 567 28 6 353 353 *** *** 2,966 2018Q3 813 1,763 37 570 28 6 364 364 *** *** 2,984 2018Q4 770 1,821 48 532 33 4 383 382 *** *** 3,026 2019Q1 721 1,822 48 470 33 5 293 292 *** *** 2,889 4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11 October 25, 2019 Analytics Office Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Parallel Managed Assets ($Billions) 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 20 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 20 17 Parallel Managed Assets ($Billions) As reported on Form PF, Question 11. 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 (a) All Private Funds (b) Qualifying Hedge Funds 12 October 25, 2019 III Analytics Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Virgin Islands, British United Kingdom Bermuda Other Country Cayman Islands United States Virgin Islands, British Ireland Luxembourg Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Canada Bermuda Other All Private Funds 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 51.5 51.0 51.4 51.0 50.9 36.4 36.6 35.4 35.3 35.2 4.2 4.3 4.4 4.4 4.5 1.6 1.6 1.9 2.0 2.2 2.0 2.0 1.8 1.8 1.8 1.1 1.1 1.3 1.3 1.3 1.3 1.3 1.2 1.2 1.2 2.0 2.1 2.6 2.9 2.9 Qualifying Hedge Funds 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 52.4 51.7 51.3 51.0 50.9 35.0 35.3 35.8 35.6 35.5 5.0 4.8 4.5 4.4 4.4 2.7 2.8 2.9 3.1 3.2 1.6 1.7 1.9 2.0 2.4 1.7 1.7 1.6 1.7 1.8 1.6 2.0 2.0 2.1 2.0 Section 3 Liquidity Funds 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 *** *** *** *** *** 36.8 34.7 35.1 35.8 36.9 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 63.8 63.7 60.7 59.5 59.5 29.4 29.5 30.4 29.8 29.8 1.9 2.0 2.7 2.9 2.9 0.9 0.9 1.0 1.0 1.0 1.1 1.1 1.0 1.1 1.1 2.9 2.9 4.2 5.7 5.7 13 2018Q3 50.9 35.1 4.6 2.2 1.7 1.3 1.2 3.0 2018Q4 51.7 34.0 4.6 2.9 1.5 1.3 1.1 3.0 2019Q1 50.7 34.7 4.5 3.0 1.5 1.2 1.1 3.3 2018Q3 50.6 35.1 4.2 3.3 2.7 1.8 2.2 2018Q4 50.6 35.6 4.1 3.2 2.6 2.0 1.9 2019Q1 51.5 34.7 3.9 3.2 2.7 1.9 2.0 2018Q3 *** 36.8 *** *** 2018Q4 *** 32.9 *** *** 2019Q1 *** 30.0 *** *** 2018Q3 59.5 29.8 2.9 1.0 1.1 5.7 2018Q4 56.9 30.6 2.3 1.1 1.0 8.2 2019Q1 56.0 30.1 2.3 1.1 0.9 9.7 October 25, 2019 Analytics Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2017Q2 89.0 6.7 4.2 Country United States United Kingdom Australia Hong Kong Other 2017Q2 89.3 6.2 *** *** 2.3 Country United States United Kingdom 2017Q2 *** *** Country United States Canada Other 2017Q2 95.1 *** *** All Private Funds 2017Q3 2017Q4 2018Q1 2018Q2 88.9 89.5 88.9 88.7 6.8 6.5 6.9 7.0 4.3 4.1 4.3 4.3 Qualifying Hedge Funds 2017Q3 2017Q4 2018Q1 2018Q2 89.0 88.6 88.4 88.7 6.3 6.6 6.6 6.5 *** *** *** *** *** *** *** *** 2.3 2.2 2.3 2.3 Section 3 Liquidity Funds 2017Q3 2017Q4 2018Q1 2018Q2 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2017Q3 2017Q4 2018Q1 2018Q2 95.1 94.8 94.8 94.8 *** *** *** *** *** *** *** *** 14 2018Q3 88.8 6.9 4.3 2018Q4 89.7 6.2 4.1 2019Q1 89.5 6.3 4.2 2018Q3 88.6 6.5 *** *** 2.1 2018Q4 89.0 6.1 *** *** 2.1 2019Q1 89.0 6.0 *** *** 2.0 2018Q3 *** *** 2018Q4 *** *** 2019Q1 *** *** 2018Q3 94.8 *** *** 2018Q4 94.0 *** *** 2019Q1 94.1 *** *** October 25, 2019 IV Analytics Office Beneficial Ownership Table 12: 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 Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Sec-Registered Investment Companies Broker-Dealers 2017Q2 1,371 1,011 1,033 967 779 790 444 312 185 185 143 107 121 107 2017Q3 1,371 1,039 1,048 973 790 799 445 314 188 183 147 108 128 111 2017Q4 1,491 1,189 1,154 1,038 849 818 515 349 195 187 161 122 129 112 2018Q1 1,515 1,234 1,154 1,046 861 835 540 352 193 191 161 125 133 113 2018Q2 1,533 1,238 1,164 1,049 869 842 544 365 189 193 170 129 128 114 2018Q3 1,534 1,250 1,178 1,048 868 851 544 373 187 195 172 131 127 121 2018Q4 1,517 1,332 1,231 1,044 849 842 555 399 204 205 169 122 118 108 2019Q1 1,549 1,375 1,250 1,068 894 875 604 411 216 209 171 130 126 107 2018Q4 17.4 15.3 14.1 12.0 9.8 9.7 6.4 4.6 2.3 2.4 1.9 1.4 1.4 1.2 2019Q1 17.2 15.3 13.9 11.9 9.9 9.7 6.7 4.6 2.4 2.3 1.9 1.4 1.4 1.2 Table 13: 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 Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Sec-Registered Investment Companies Broker-Dealers 2017Q2 18.1 13.4 13.7 12.8 10.3 10.5 5.9 4.1 2.5 2.5 1.9 1.4 1.6 1.4 2017Q3 17.9 13.6 13.7 12.7 10.3 10.4 5.8 4.1 2.5 2.4 1.9 1.4 1.7 1.5 15 2017Q4 17.9 14.3 13.9 12.5 10.2 9.8 6.2 4.2 2.3 2.3 1.9 1.5 1.6 1.3 2018Q1 17.9 14.6 13.6 12.4 10.2 9.9 6.4 4.2 2.3 2.3 1.9 1.5 1.6 1.3 2018Q2 18.0 14.5 13.6 12.3 10.2 9.9 6.4 4.3 2.2 2.3 2.0 1.5 1.5 1.3 2018Q3 17.9 14.6 13.7 12.2 10.1 9.9 6.3 4.3 2.2 2.3 2.0 1.5 1.5 1.4 October 25, 2019 Analytics Office Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Broker-Dealers Unknown Non-U.S. Investors Sec-Registered Investment Companies State/Muni. Govt. Entities Banking/Thrift Inst. 2017Q2 503 404 385 386 314 331 158 73 68 75 52 62 42 33 2017Q3 508 418 409 398 331 340 160 74 70 79 56 65 42 33 2017Q4 503 429 409 414 352 345 166 78 73 79 58 65 42 35 2018Q1 514 429 436 416 342 342 193 78 76 80 55 66 47 33 2018Q2 517 443 443 415 342 352 197 83 77 81 53 61 49 36 2018Q3 526 442 447 417 348 357 195 91 79 84 53 59 50 38 2018Q4 480 404 414 399 343 323 196 82 75 77 48 52 39 32 2019Q1 508 442 428 417 353 347 198 89 79 77 57 54 42 33 2018Q4 16.2 13.6 14.0 13.5 11.6 10.9 6.6 2.8 2.5 2.6 1.6 1.8 1.3 1.1 2019Q1 16.3 14.1 13.7 13.3 11.3 11.1 6.3 2.8 2.5 2.5 1.8 1.7 1.3 1.1 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Broker-Dealers Unknown Non-U.S. Investors Sec-Registered Investment Companies State/Muni. Govt. Entities Banking/Thrift Inst. 2017Q2 17.4 14.0 13.3 13.4 10.9 11.5 5.5 2.5 2.4 2.6 1.8 2.1 1.4 1.1 2017Q3 17.0 14.0 13.7 13.3 11.1 11.4 5.4 2.5 2.3 2.6 1.9 2.2 1.4 1.1 16 2017Q4 16.5 14.1 13.4 13.6 11.5 11.3 5.4 2.5 2.4 2.6 1.9 2.1 1.4 1.1 2018Q1 16.5 13.8 14.0 13.4 11.0 11.0 6.2 2.5 2.4 2.6 1.8 2.1 1.5 1.1 2018Q2 16.4 14.1 14.1 13.2 10.9 11.2 6.2 2.6 2.5 2.6 1.7 1.9 1.6 1.1 2018Q3 16.5 13.9 14.0 13.1 10.9 11.2 6.1 2.9 2.5 2.6 1.6 1.8 1.6 1.2 October 25, 2019 Analytics Office Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other Broker-Dealers Sec-Registered Investment Companies Banking/Thrift Inst. Insurance Companies Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Pension Plans State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2017Q2 89 52 51 *** 21 12 9 *** 4 5 *** 2 1 *** 2017Q3 83 55 51 *** 24 *** 10 *** 4 5 *** 2 1 *** 2017Q4 96 53 55 *** 23 *** 9 *** 4 5 *** 2 1 *** 2018Q1 94 52 57 *** 24 13 9 *** 4 5 *** 1 1 *** 2018Q2 109 52 55 *** 24 17 12 *** 4 3 *** *** *** *** 2018Q3 105 51 57 *** 23 17 12 *** 4 4 *** 1 2 *** 2018Q4 97 54 55 *** 18 *** 9 *** 5 3 *** 1 2 *** 2019Q1 84 60 57 *** 19 *** 10 *** 4 *** *** 1 *** *** 2018Q4 33.6 18.7 19.0 *** 6.2 *** 3.1 *** 1.7 0.9 *** 0.4 0.6 *** 2019Q1 29.6 20.9 20.0 *** 6.6 *** 3.5 *** 1.3 *** *** 0.5 *** *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other Broker-Dealers Sec-Registered Investment Companies Banking/Thrift Inst. Insurance Companies Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Pension Plans State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2017Q2 32.6 19.2 18.7 *** 7.6 4.3 3.3 *** 1.5 1.8 *** 0.6 0.4 *** 2017Q3 30.0 19.8 18.5 *** 8.6 *** 3.7 *** 1.4 1.9 *** 0.6 0.4 *** 17 2017Q4 33.3 18.4 19.1 *** 7.8 *** 3.0 *** 1.3 1.8 *** 0.5 0.4 *** 2018Q1 32.6 18.1 19.7 *** 8.3 4.7 3.3 *** 1.4 1.7 *** 0.5 0.3 *** 2018Q2 35.7 17.0 17.9 *** 7.9 5.6 3.9 *** 1.2 1.1 *** *** *** *** 2018Q3 34.4 16.6 18.7 *** 7.6 5.4 3.8 *** 1.1 1.2 *** 0.4 0.6 *** October 25, 2019 Analytics Office Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2017Q2 366 284 161 154 142 94 88 92 34 22 31 12 14 1 2017Q3 366 284 161 153 139 94 88 90 34 22 31 12 13 1 2017Q4 415 353 212 186 159 109 94 104 36 28 29 16 14 1 2018Q1 416 356 225 203 159 109 94 104 36 28 29 16 14 1 2018Q2 416 356 225 203 159 109 94 104 36 28 29 16 14 1 2018Q3 416 356 225 203 159 109 94 104 36 28 29 16 14 1 2018Q4 454 398 322 225 175 127 118 116 48 36 31 17 17 1 2019Q1 454 397 336 244 175 127 118 116 48 36 31 17 17 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2017Q2 24.5 19.0 10.8 10.3 9.5 6.3 5.9 6.2 2.3 1.5 2.0 0.8 0.9 0.1 2017Q3 24.6 19.1 10.8 10.3 9.4 6.3 5.9 6.1 2.3 1.5 2.1 0.8 0.9 0.1 18 2017Q4 23.6 20.1 12.1 10.6 9.1 6.2 5.3 5.9 2.1 1.6 1.7 0.9 0.8 0.1 2018Q1 23.3 19.9 12.6 11.3 8.9 6.1 5.2 5.8 2.0 1.5 1.6 0.9 0.8 0.1 2018Q2 23.3 19.9 12.6 11.3 8.9 6.1 5.3 5.8 2.0 1.5 1.6 0.9 0.8 0.1 2018Q3 23.3 19.9 12.6 11.3 8.9 6.1 5.2 5.8 2.0 1.5 1.6 0.9 0.8 0.1 2018Q4 21.8 19.1 15.4 10.8 8.4 6.1 5.6 5.6 2.3 1.7 1.5 0.8 0.8 0.1 2019Q1 21.4 18.8 15.9 11.5 8.3 6.0 5.6 5.5 2.3 1.7 1.5 0.8 0.8 0.1 October 25, 2019 V Analytics Office Derivatives Table 20: Aggregate Derivative Value ($ 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 Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2017Q2 10,100 8,765 108 38 34 *** *** 16 14 *** 10,330 2017Q3 11,369 9,583 109 38 34 *** *** 16 13 *** 11,573 2017Q4 12,133 10,127 148 39 33 *** *** 17 3 *** 12,328 2018Q1 14,212 12,095 149 40 34 *** *** 17 2 *** 14,330 2018Q2 13,419 11,314 148 40 34 *** *** 17 2 *** 13,620 2018Q3 13,597 10,331 134 40 34 *** *** 17 2 *** 13,818 2018Q4 12,677 9,871 132 38 31 *** *** 17 3 *** 12,913 2019Q1 14,163 11,298 131 37 31 *** *** 17 3 *** 14,386 Table 21: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2017Q2 276.1 303.3 10.9 1.8 2.3 *** *** 4.7 9.4 *** 136.7 2017Q3 300.8 321.1 11.2 1.8 2.3 *** *** 4.7 9.2 *** 151.4 2017Q4 312.5 332.3 13.7 1.6 1.9 *** *** 4.4 1.7 *** 148.3 19 2018Q1 357.6 389.4 13.7 1.6 1.9 *** *** 4.4 1.6 *** 169.5 2018Q2 335.2 359.0 13.4 1.6 1.9 *** *** 4.4 1.5 *** 159.7 2018Q3 335.0 324.0 12.3 1.6 1.9 *** *** 4.4 1.5 *** 161.1 2018Q4 334.1 332.6 12.2 1.3 1.5 *** *** 3.8 1.6 *** 148.5 2019Q1 353.5 361.3 12.1 1.3 1.5 *** *** 3.7 1.6 *** 160.0 October 25, 2019 Analytics Office Figure 6: Distribution of Derivative Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. 12 10 8 6 4 2 0 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) 20 20 17 Q 20 2 17 Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 13 and 44 (Third Month). 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 (a) All Private Funds VI (b) Qualifying Hedge Funds High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2017Q2 7,668 66 12 2017Q3 7,704 63 13 2017Q4 7,767 42 12 2018Q1 7,883 70 11 2018Q2 7,990 69 11 2018Q3 8,057 58 11 2018Q4 7,918 64 5 2019Q1 7,986 67 5 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2017Q2 3,551 78 3 2017Q3 3,652 43 37 2017Q4 3,771 41 37 2018Q1 3,845 46 38 20 2018Q2 3,894 42 38 2018Q3 3,955 43 39 2018Q4 3,721 43 35 2019Q1 3,922 84 2 October 25, 2019 VII Analytics Office Hedge Fund Industry Concentration Table 24: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2017Q2 7.7 13.5 20.3 28.6 43.5 56.9 2017Q3 7.5 13.2 20.0 28.5 43.4 56.8 2017Q4 7.5 13.4 20.2 28.8 43.2 56.5 2018Q1 7.2 13.3 20.2 28.6 43.0 56.4 2018Q2 7.3 13.5 20.1 28.4 42.6 56.0 2018Q3 7.2 13.5 20.1 28.4 42.5 55.9 2018Q4 7.4 13.5 19.7 27.9 42.1 55.6 2019Q1 7.2 13.4 19.7 28.0 42.4 56.2 Table 25: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2017Q2 14.9 23.2 31.6 41.3 55.1 66.8 2017Q3 15.5 24.2 32.6 42.2 56.0 67.4 2017Q4 15.1 23.7 31.8 41.4 55.3 66.6 2018Q1 15.5 24.2 32.6 41.9 55.5 66.9 2018Q2 15.5 23.8 32.0 41.7 55.2 66.7 2018Q3 15.4 24.4 32.9 42.4 56.0 67.2 2018Q4 16.7 26.0 34.2 43.4 56.6 67.6 2019Q1 16.5 25.7 34.2 43.4 57.1 68.1 Table 26: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2017Q2 33.3 46.2 57.3 69.2 81.8 90.1 2017Q3 35.0 47.5 58.6 70.2 82.6 90.5 2017Q4 34.4 47.5 59.0 70.8 82.6 90.2 2018Q1 35.1 49.1 60.0 71.0 82.8 90.4 21 2018Q2 34.5 48.3 59.6 70.7 82.9 90.6 2018Q3 34.7 48.4 60.0 71.0 82.9 90.6 2018Q4 36.3 51.3 62.9 73.3 84.7 91.6 2019Q1 36.1 50.9 63.0 73.3 85.0 91.9 October 25, 2019 Analytics Office Table 27: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2017Q2 32.4 46.7 59.5 72.1 85.8 92.7 2017Q3 32.6 49.4 61.7 73.7 86.5 93.2 2017Q4 32.6 47.9 60.3 72.8 86.0 93.0 2018Q1 31.8 49.7 62.2 73.9 87.0 93.8 2018Q2 30.8 49.6 62.1 73.3 86.3 93.2 2018Q3 30.4 48.5 61.3 73.0 86.2 93.2 2018Q4 32.7 49.0 62.0 73.6 86.6 93.3 2019Q1 31.7 50.0 63.0 74.9 87.8 94.0 Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2017Q2 30.4 43.5 55.7 67.7 82.0 90.7 2017Q3 30.4 45.2 57.1 68.8 82.6 91.1 2017Q4 30.5 45.1 56.6 68.6 82.6 91.1 2018Q1 29.6 46.3 59.2 70.5 84.0 92.0 22 2018Q2 28.4 44.7 58.1 69.6 82.8 91.2 2018Q3 27.6 44.1 57.8 69.4 82.7 91.1 2018Q4 29.7 47.2 60.2 71.2 83.9 91.8 2019Q1 30.0 47.0 59.7 71.1 84.2 92.0 October 25, 2019 VIII A Analytics Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 14 12 10 8 6 4 2 0 20 20 1 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 14 12 10 8 6 4 2 0 7-0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 Ratio of GNE to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 3(a) and 26. (a) Gross Exposure with Interest Rate Derivatives (IRDs) 23 (b) Gross Exposure without IRDs (a) Long Exposure with IRDs 8 6 4 2 0 (c) Short Exposure with IRDs 24 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 0 17 -0 2 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 4 20 6 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 8 17 -0 10 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 7-0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 20 1 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10 20 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 20 -06 17 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) October 25, 2019 Analytics Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value Distribution See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 26. 10 8 6 4 2 0 (b) Long Exposure without IRDs 10 8 6 4 2 0 (d) Short Exposure without IRDs October 25, 2019 B Analytics Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 2017-10 2017-11 2017-12 2018-01 2018-02 2018-03 2018-04 2018-05 2018-06 2018-07 2018-08 2018-09 2018-10 2018-11 2018-12 2019-01 2019-02 2019-03 Top 10 Advisers (NAV) 18.5 18.5 18.5 18.6 18.6 18.6 18.4 18.4 18.4 18.4 18.4 18.4 18.1 18.1 18.1 18.2 18.3 18.3 19.2 19.2 19.2 19.0 18.9 18.9 Top 20 Advisers (NAV) 28.1 28.1 28.1 28.1 28.1 28.1 27.7 27.7 27.7 27.7 27.7 27.7 27.2 27.2 27.2 27.4 27.6 27.6 28.7 28.7 28.7 28.5 28.5 28.5 25 Top 10 Advisers (GNE) 36.1 36.5 36.3 36.6 37.4 36.2 36.0 36.3 36.5 37.5 41.0 40.0 41.0 40.3 38.1 35.4 34.1 34.4 35.4 36.4 36.9 37.4 36.9 36.8 Top 20 Advisers (GNE) 50.1 50.5 50.5 51.1 52.5 50.8 51.3 52.0 51.8 53.6 56.3 55.3 56.4 56.0 53.7 51.2 49.9 49.6 51.9 52.4 52.1 53.2 53.0 53.0 October 25, 2019 Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 2017-10 2017-11 2017-12 2018-01 2018-02 2018-03 2018-04 2018-05 2018-06 2018-07 2018-08 2018-09 2018-10 2018-11 2018-12 2019-01 2019-02 2019-03 Futures 10,971 11,955 16,994 11,133 10,809 13,460 8,761 10,364 13,350 16,512 18,150 17,329 10,382 15,734 15,104 8,108 11,643 12,915 11,765 13,470 12,715 9,675 11,269 14,103 Sov. and muni. bonds 1,992 3,001 2,963 2,673 2,932 2,997 2,646 2,857 2,459 3,164 3,516 3,238 2,733 3,727 3,080 3,178 3,280 2,953 3,180 3,214 2,911 3,783 4,095 3,779 Listed equities 1,846 2,189 2,187 2,099 2,385 2,259 2,220 2,399 2,081 2,449 2,446 2,273 2,438 2,499 2,582 2,272 2,417 2,110 3,018 2,576 2,189 2,353 2,048 2,295 Corporate bonds 85 131 115 101 92 109 107 210 70 142 132 153 119 132 119 92 96 114 129 112 72 159 135 143 Convertible bonds 16 25 23 17 21 24 29 25 15 33 27 33 22 31 29 17 20 32 23 20 13 23 22 27 Total 14,910 17,300 22,282 16,023 16,239 18,849 13,763 15,856 17,976 22,299 24,271 23,027 15,693 22,122 20,913 13,668 17,455 18,124 18,115 19,393 17,901 15,993 17,569 20,347 Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 27. 25 20 15 10 5 0 20 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) 70 60 50 40 30 20 10 0 20 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 Total Turnover ($Billions) Winsorized (limits=[1%,99%]) C Analytics Office (a) Total Turnover (b) Total Turnover to NAV Ratio 26 October 25, 2019 D Analytics Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2017Q2 4,500 1,669 600 102 78 68 23 23 2017Q3 5,089 1,708 713 108 77 67 24 23 2017Q4 4,527 1,663 673 133 91 75 31 26 2018Q1 4,811 1,990 735 114 86 72 37 30 2018Q2 4,923 1,822 698 112 74 59 33 37 2018Q3 5,112 1,751 678 101 72 60 31 26 2018Q4 5,007 1,822 787 111 70 66 29 27 2019Q1 5,322 1,804 844 115 78 48 31 25 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2017Q2 142.9 53.0 19.0 3.2 2.5 2.2 0.7 0.7 2017Q3 155.9 52.3 21.8 3.3 2.4 2.0 0.7 0.7 2017Q4 135.4 49.7 20.1 4.0 2.7 2.2 0.9 0.8 2018Q1 140.5 58.1 21.5 3.3 2.5 2.1 1.1 0.9 27 2018Q2 141.4 52.3 20.1 3.2 2.1 1.7 0.9 1.1 2018Q3 147.2 50.4 19.5 2.9 2.1 1.7 0.9 0.7 2018Q4 153.0 55.7 24.0 3.4 2.1 2.0 0.9 0.8 2019Q1 154.2 52.3 24.5 3.3 2.3 1.4 0.9 0.7 October 25, 2019 Analytics Office Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2017Q2 4,246 229 144 42 35 13 2017Q3 4,824 233 152 45 37 16 2017Q4 4,312 245 164 60 47 18 2018Q1 4,551 269 178 47 38 16 2018Q2 4,683 244 184 50 36 12 2018Q3 4,869 251 165 42 36 11 2018Q4 4,783 274 147 40 35 9 2019Q1 5,200 265 187 43 36 9 2018Q4 146.2 8.4 4.5 1.2 1.1 0.3 2019Q1 150.7 7.7 5.4 1.2 1.0 0.3 Table 34: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2017Q2 134.9 7.3 4.6 1.3 1.1 0.4 2017Q3 147.8 7.1 4.7 1.4 1.1 0.5 2017Q4 129.0 7.3 4.9 1.8 1.4 0.5 28 2018Q1 132.9 7.9 5.2 1.4 1.1 0.5 2018Q2 134.5 7.0 5.3 1.4 1.0 0.3 2018Q3 140.2 7.2 4.7 1.2 1.0 0.3 October 25, 2019 Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 14 12 10 8 6 4 2 0 20 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 14 12 10 8 6 4 2 0 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 26, and 30. 20 A Qualifying Hedge Fund Specific Information Ratio of GNE to NAV Winsorized (limits=[0%,98%]) IX Analytics Office (a) Including IRDs (b) Excluding IRDs 29 -06 17 (c) SNE Including IRDs 30 (a) LNE Including IRDs -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 20 -06 17 7 6 5 4 3 2 1 0 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 20 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 7 6 5 4 3 2 1 0 20 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 20 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) October 25, 2019 Analytics Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 7 6 5 4 3 2 1 0 (b) LNE Excluding IRDs 7 6 5 4 3 2 1 0 (d) SNE Excluding IRDs October 25, 2019 B Analytics Office Gross Exposure by Strategy5 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven 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 Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2017Q2 1,547 906 *** 330 *** 935 750 507 120 48 47 29 652 570 *** 35 *** 285 240 45 353 167 100 86 137 *** *** 48 4,706 2017Q3 1,635 926 *** 369 *** 968 815 566 119 50 49 31 699 617 *** 38 *** 289 240 49 359 170 100 89 136 134 2 49 4,951 2017Q4 1,664 945 *** 371 *** 999 719 477 119 46 50 27 660 575 *** 40 *** 287 235 51 353 167 101 86 142 *** *** 49 4,873 2018Q1 1,647 925 342 372 8 983 739 496 121 49 51 22 784 698 *** 39 *** 286 248 38 363 165 97 101 138 *** *** 44 4,985 2018Q2 1,716 951 365 392 8 984 786 537 127 52 49 21 760 670 45 40 5 297 238 59 360 162 100 98 141 *** *** 42 5,086 2018Q3 1,761 956 383 414 8 1,005 774 506 137 56 53 22 819 729 45 41 4 307 247 60 350 165 98 88 157 *** *** 48 5,220 2018Q4 1,477 762 360 348 7 1,013 879 599 145 59 55 21 716 627 47 37 4 321 256 65 304 164 76 64 150 *** *** 44 4,904 2019Q1 1,616 841 386 384 5 1,038 963 686 130 67 60 19 782 695 46 37 4 325 258 66 313 169 80 64 172 *** *** 43 5,251 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 31 October 25, 2019 Analytics Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven 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 Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2017Q2 53.5 31.4 *** 11.4 *** 32.3 26.0 17.5 4.2 1.7 1.6 1.0 22.5 19.7 *** 1.2 *** 9.8 8.3 1.6 12.2 5.8 3.5 3.0 4.7 *** *** 1.6 162.9 2017Q3 54.8 31.0 *** 12.4 *** 32.4 27.3 19.0 4.0 1.7 1.7 1.1 23.4 20.7 *** 1.3 *** 9.7 8.1 1.6 12.0 5.7 3.4 3.0 4.6 4.5 0.1 1.6 165.9 32 2017Q4 54.6 31.0 *** 12.2 *** 32.8 23.6 15.7 3.9 1.5 1.6 0.9 21.7 18.9 *** 1.3 *** 9.4 7.7 1.7 11.6 5.5 3.3 2.8 4.6 *** *** 1.6 159.9 2018Q1 53.0 29.8 11.0 12.0 0.3 31.7 23.8 16.0 3.9 1.6 1.6 0.7 25.2 22.5 *** 1.3 *** 9.2 8.0 1.2 11.7 5.3 3.1 3.3 4.5 *** *** 1.4 160.5 2018Q2 54.4 30.2 11.6 12.4 0.3 31.2 24.9 17.0 4.0 1.6 1.6 0.7 24.1 21.3 1.4 1.3 0.1 9.4 7.6 1.9 11.4 5.1 3.2 3.1 4.5 *** *** 1.3 161.4 2018Q3 55.2 30.0 12.0 13.0 0.2 31.5 24.3 15.9 4.3 1.8 1.7 0.7 25.7 22.9 1.4 1.3 0.1 9.6 7.7 1.9 11.0 5.2 3.1 2.8 4.9 *** *** 1.5 163.7 2018Q4 49.8 25.7 12.1 11.7 0.2 34.1 29.6 20.2 4.9 2.0 1.9 0.7 24.1 21.1 1.6 1.3 0.1 10.8 8.6 2.2 10.2 5.5 2.6 2.1 5.0 *** *** 1.5 165.2 2019Q1 51.7 26.9 12.4 12.3 0.2 33.2 30.8 22.0 4.2 2.2 1.9 0.6 25.0 22.2 1.5 1.2 0.1 10.4 8.3 2.1 10.0 5.4 2.6 2.0 5.5 *** *** 1.4 167.9 October 25, 2019 C Analytics Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Investment in other funds Macro Multi-Strategy Equity Other Credit Managed Futures/CTA Event Driven 2017Q2 5.0 1.0 3.6 2.2 1.6 1.6 1.6 1.9 1.3 2017Q3 5.0 *** 3.9 2.3 1.6 1.6 1.5 1.2 1.3 2017Q4 4.7 1.0 3.7 2.2 1.6 1.7 1.5 1.2 1.3 2018Q1 5.0 1.3 3.9 2.2 1.7 1.6 1.5 1.2 1.3 2018Q2 5.1 1.1 4.1 2.2 1.6 1.6 1.5 1.3 1.3 2018Q3 4.7 1.1 4.4 2.3 1.7 1.7 1.5 1.3 1.3 2018Q4 5.4 4.8 3.9 2.3 1.7 1.7 1.6 1.3 1.3 2019Q1 5.4 4.5 4.2 2.3 1.7 1.7 1.6 1.4 1.3 Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Managed Futures/CTA Investment in other funds Multi-Strategy Other Equity Credit Event Driven 2017Q2 18.1 17.6 9.5 1.6 7.9 5.3 3.2 3.0 2.0 2017Q3 20.6 18.5 8.4 *** 9.0 5.4 3.2 3.1 2.0 2017Q4 21.5 18.2 10.0 1.7 8.6 5.4 3.2 3.2 2.0 2018Q1 26.8 20.9 8.4 2.6 9.7 5.0 4.0 3.3 2.0 2018Q2 27.7 19.9 10.5 2.4 8.4 4.4 3.3 2.9 1.9 2018Q3 23.8 19.0 14.0 3.6 8.4 4.7 3.6 2.8 1.9 2018Q4 24.6 21.4 9.7 14.8 8.7 4.5 3.5 3.3 1.8 2019Q1 28.0 22.4 17.9 12.0 9.1 4.4 3.6 3.2 1.8 Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Multi-Strategy Relative Value Other Investment in other funds Equity Event Driven Credit 2017Q2 61.2 40.5 22.4 19.9 20.6 6.2 11.5 11.1 10.9 2017Q3 59.0 40.3 24.9 21.0 21.3 *** 9.8 10.0 9.9 2017Q4 58.0 40.2 24.8 19.3 21.0 9.4 10.2 9.7 9.8 33 2018Q1 60.6 37.0 24.7 20.9 18.5 4.2 9.7 8.1 8.3 2018Q2 55.5 36.4 27.0 18.7 18.8 6.6 11.5 8.6 7.0 2018Q3 47.5 36.8 30.6 18.5 19.2 3.6 11.4 9.6 7.3 2018Q4 57.4 38.3 29.7 20.1 18.1 12.8 13.5 12.2 8.3 2019Q1 49.9 36.5 23.0 19.8 18.2 14.5 10.6 9.9 7.3 October 25, 2019 D Analytics Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Other Bonds Securities - MBS Securities - Corp. Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2017Q2 682 2,393 1,107 1,037 233 241 269 77 89 3,824 2,711 1,215 683 331 273 1,374 725 2017Q3 677 2,521 1,156 1,138 263 254 259 75 82 4,125 3,051 1,283 798 368 267 1,348 775 2017Q4 681 2,600 1,158 1,179 254 266 253 77 82 4,446 3,149 1,331 716 378 412 1,280 748 2018Q1 726 3,037 1,196 1,321 289 264 264 80 94 5,699 3,738 1,364 733 366 568 1,452 764 2018Q2 741 2,713 1,342 1,277 286 252 272 88 97 5,390 3,245 1,307 684 381 580 1,533 792 2018Q3 747 2,740 1,477 1,241 299 276 278 87 93 5,512 2,470 1,317 669 380 339 1,553 784 2018Q4 763 2,300 1,793 1,270 312 358 266 88 86 5,355 2,278 1,110 730 286 319 1,771 741 2019Q1 786 2,580 1,931 1,312 325 309 301 93 87 6,600 2,413 1,208 770 316 263 1,995 796 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Other Bonds Securities - MBS Securities - Corp. Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2017Q2 86.8 70.0 63.2 50.2 77.7 73.6 79.9 98.0 95.6 47.3 50.1 55.6 47.7 58.9 53.3 49.5 90.3 2017Q3 88.0 70.3 62.3 50.3 70.8 71.9 81.2 96.7 94.1 47.7 49.8 56.8 47.4 64.1 51.2 52.0 87.0 2017Q4 85.9 71.9 62.9 50.5 73.6 71.2 81.6 96.8 93.4 49.4 49.9 57.0 47.8 64.5 53.7 52.2 89.9 34 2018Q1 80.8 75.5 60.4 52.5 72.8 73.2 81.9 98.2 88.2 51.2 56.8 51.5 44.8 65.7 46.6 52.0 88.9 2018Q2 79.8 70.7 62.7 51.4 72.9 74.2 82.6 95.5 88.0 52.2 53.5 51.6 45.3 62.7 41.6 47.1 88.1 2018Q3 82.0 70.8 63.1 49.4 71.0 71.0 82.8 95.0 87.8 49.3 55.6 52.2 45.2 59.6 34.4 47.3 87.9 2018Q4 82.9 71.2 64.2 51.4 74.0 67.6 82.4 96.8 86.5 50.9 54.6 51.1 41.4 56.5 60.9 42.2 89.4 2019Q1 82.0 70.7 63.2 51.9 75.6 70.2 83.0 97.1 94.2 52.2 55.1 52.9 43.1 58.3 67.8 39.6 87.5 October 25, 2019 Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2017Q2 8.1 14.4 27.1 46.6 59.3 73.9 2017Q3 8.3 14.6 27.5 48.2 61.6 73.6 2017Q4 8.5 15.0 28.0 50.9 60.0 73.8 2018Q1 8.9 15.4 30.0 48.9 60.3 74.1 2018Q2 9.0 15.2 27.8 47.5 58.8 73.5 2018Q3 8.8 14.9 27.8 47.9 61.2 73.7 2018Q4 8.4 14.8 27.8 50.2 58.4 71.8 2019Q1 8.5 14.5 29.2 47.9 58.5 70.8 Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2017Q2 38.1 61.7 75.6 81.7 85.2 89.0 2017Q3 37.7 61.5 75.5 81.9 85.3 88.9 2017Q4 38.0 61.8 75.3 81.6 85.1 88.9 2018Q1 38.8 62.2 75.0 81.4 84.8 88.7 2018Q2 38.9 62.1 75.0 81.3 84.7 88.9 2018Q3 38.7 61.9 74.9 80.8 84.2 88.2 2018Q4 39.3 61.2 73.7 79.4 83.0 86.8 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity s 65 mo At st 3 80 mo st 1 day s day ays 35 At mo st 9 At 0d mo st 3 At 0d ays 7d ost At m mo st 1 Investor Liquidity ays Portfolio Liquidity 90 80 70 60 50 40 30 20 10 0 day Percent of Fund Net Assets (%) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2019. At E Analytics Office 2019Q1 37.0 60.2 73.0 79.0 82.7 86.7 October 25, 2019 Analytics Office Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. 2017Q2 2,263 1,359 38 28 27 2017Q3 2,325 1,392 39 30 22 2017Q4 2,363 1,405 39 38 17 2018Q1 2,411 1,459 42 39 *** 2018Q2 2,431 1,489 41 32 13 2018Q3 2,470 1,512 39 34 12 2018Q4 2,266 1,402 42 40 19 Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. 20 1 7Q 20 3 17 Q 20 4 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q1 70 60 50 40 30 20 10 0 7Q 2 NAV in Side-Pocket (%) See Appendix C for an explanation of boxplots. 20 1 Type May Suspend May Have Gates Side-Pocketed Gated Suspended 36 2019Q1 2,396 1,488 42 39 17 October 25, 2019 F Analytics Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2017Q2 2,391 1,265 795 331 11 2,402 2017Q3 2,437 1,371 721 345 12 2,448 2017Q4 2,419 1,379 685 356 14 2,433 2018Q1 2,592 1,418 780 394 14 2,606 2018Q2 2,813 1,527 894 392 14 2,827 2018Q3 2,830 1,591 862 377 12 2,842 2018Q4 2,757 1,289 1,081 387 12 2,769 2019Q1 3,016 1,412 1,202 401 13 3,028 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2017Q2 61.1 38.5 0.3 0.1 2017Q3 61.4 38.3 *** *** 2017Q4 61.7 37.9 *** *** 2018Q1 60.5 39.1 *** *** 2018Q2 63.3 36.3 *** *** 2018Q3 63.6 36.1 *** *** 2018Q4 63.0 36.5 *** *** 2019Q1 63.1 36.5 *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2017Q2 1,544 1,022 521 786 506 281 407 251 156 2,737 2017Q3 1,672 1,151 522 734 478 256 423 265 158 2,830 2017Q4 1,685 1,183 502 718 455 263 426 262 165 2,829 37 2018Q1 1,751 1,225 526 781 513 268 447 296 152 2,979 2018Q2 1,841 1,272 569 909 569 340 468 308 159 3,217 2018Q3 2,148 1,557 591 885 573 312 436 298 138 3,468 2018Q4 1,597 1,067 530 1,121 702 420 443 278 165 3,162 2019Q1 1,723 1,158 565 1,250 766 484 456 297 160 3,429 (b) Prime Broker Borrowing 38 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 20 8 7 6 5 4 3 2 1 0 Collateral/Reverse Repo Borrowing Winsorized (limits=[0%,98%]) 17 -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 20 Collateral/Prime Broker Borrowing Winsorized (limits=[0%,98%]) -0 20 6 17 -0 20 9 17 -1 20 2 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -03 17 20 Collateral/Total Secured Borrowing Winsorized (limits=[0%,98%]) October 25, 2019 Analytics Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Question 43. 8 7 6 5 4 3 2 1 0 (a) Total Secured Borrowing 8 7 6 5 4 3 2 1 0 (c) Reverse Repo Borrowing October 25, 2019 Analytics Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2017Q2 34.6 53.4 65.4 80.8 96.2 97.4 2017Q3 35.4 51.7 64.1 79.3 96.0 97.3 2017Q4 34.2 49.5 64.7 80.3 95.9 97.2 2018Q1 31.6 51.5 64.9 80.6 95.8 96.9 2018Q2 32.9 52.7 66.7 80.6 95.8 97.1 2018Q3 35.8 51.8 66.0 79.9 96.0 97.2 2018Q4 30.0 50.2 68.6 82.8 95.7 96.8 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of First Calendar Quarter 2019. Financing Liquidity st 1 Percent of Available Financing (%) day 100 80 60 40 20 s mo st 3 At 65 day s mo st 1 80 day ays 39 At mo At st 9 0d mo At st 3 0d ays s day st 7 mo At At mo 0 2019Q1 34.7 51.4 68.6 82.7 95.7 96.7 October 25, 2019 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Percent of Funds 20 Percent of NAV 15 10 5 40 1 19 Q 20 4 18 Q 20 3 18 Q 20 2 18 Q 20 1 18 Q 20 4 17 Q 20 3 17 Q 20 17 Q 2 0 20 G Analytics Office October 25, 2019 H Analytics Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2017Q2 649 249 190 205 44 1,068 2017Q3 649 271 186 188 42 1,078 2017Q4 663 278 193 186 47 1,138 2018Q1 660 286 185 175 51 1,112 2018Q2 672 287 193 178 52 1,134 2018Q3 682 298 194 182 52 1,136 2018Q4 684 303 189 186 49 1,143 2019Q1 676 297 191 183 45 1,118 Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2017Q2 3,480 1,798 760 938 431 2,201 2017Q3 3,586 1,900 767 930 461 2,269 2017Q4 3,546 1,882 806 835 495 2,317 2018Q1 3,661 1,969 817 854 496 2,415 2018Q2 3,779 2,027 837 838 522 2,502 2018Q3 3,841 2,017 842 670 759 2,546 2018Q4 3,652 1,954 801 617 742 2,502 2019Q1 3,887 2,104 817 683 833 2,592 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2017Q2 1,366 504 474 416 90 1,524 2017Q3 1,394 561 477 386 90 1,590 2017Q4 1,397 562 490 377 89 1,650 41 2018Q1 1,423 580 494 375 91 1,683 2018Q2 1,430 570 500 379 96 1,721 2018Q3 1,434 575 496 353 130 1,754 2018Q4 1,324 524 460 337 114 1,643 2019Q1 1,385 547 475 345 128 1,742 October 25, 2019 I Analytics Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2017Q2 555 457 94 611 2017Q3 555 467 94 611 2017Q4 589 498 74 640 2018Q1 593 494 67 618 2018Q2 599 490 73 644 2018Q3 613 496 69 640 2018Q4 606 486 78 657 2019Q1 588 453 88 665 Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2017Q2 3,209 1,114 271 1,086 2017Q3 3,350 1,178 236 1,091 2017Q4 3,386 1,190 160 1,127 2018Q1 3,499 1,269 162 1,146 2018Q2 3,612 1,294 168 1,208 2018Q3 3,675 1,300 165 1,246 2018Q4 3,496 1,322 155 1,180 2019Q1 3,684 1,322 203 1,270 Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2017Q2 1,219 673 147 850 2017Q3 1,236 712 158 878 2017Q4 1,289 736 108 914 2018Q1 1,313 746 110 938 42 2018Q2 1,318 745 112 977 2018Q3 1,320 757 114 998 2018Q4 1,222 704 103 939 2019Q1 1,255 728 129 1,014 October 25, 2019 Analytics Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2017Q2 79.6 95.2 99.5 99.8 99.9 99.9 2017Q3 79.1 95.5 99.5 99.7 99.8 99.9 2017Q4 80.5 95.5 99.5 99.7 99.8 99.9 2018Q1 78.9 95.5 99.7 99.9 99.9 100.0 2018Q2 79.1 96.1 99.7 99.9 100.0 100.0 2018Q3 78.8 96.0 99.5 99.8 99.9 100.0 2018Q4 77.9 95.9 99.4 99.8 99.9 99.9 2019Q1 77.9 95.9 99.5 99.9 100.0 100.0 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2017Q3 261 226 0 0 2017Q4 273 237 0 0 2018Q1 269 232 0 0 2018Q2 284 245 0 0 2018Q3 291 255 0 0 2018Q4 278 243 0 0 2019Q1 273 237 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average WAM 50 Asset-Weighted WAM 40 30 20 10 43 9-0 3 20 1 8-1 2 20 1 8-0 9 20 1 8-0 6 20 1 8-0 3 20 1 7-1 2 20 1 7-0 9 20 1 7-0 6 0 20 1 Weighted Average Maturity (WAM) in Days B 2017Q2 255 224 0 0 October 25, 2019 Analytics Office Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds -03 19 20 18 20 -12 18 20 -09 18 20 -06 18 20 -03 17 20 17 20 -09 17 20 Asset-Weighted WAL -12 Average WAL 90 80 70 60 50 40 30 20 10 0 -06 Weighted Average Life (WAL) in Days As reported on Form PF, Question 55. Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average Yield Asset-Weighted Yield 2.5 2.0 1.5 1.0 0.5 44 -03 19 20 -12 18 20 -09 18 20 -06 20 18 -03 18 20 -12 17 20 -09 17 20 17 -06 0.0 20 Seven-Day Gross Yield (%) 3.0 October 25, 2019 Analytics Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds As reported on Form PF, Question 55. Average DLA Asset-Weighted DLA 80 60 40 20 -03 19 20 -12 18 20 -09 18 20 -06 18 20 -03 18 20 -12 17 20 17 20 17 20 -09 0 -06 Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) 100 Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average WLA 100 Asset-Weighted WLA 80 60 40 20 45 -03 19 20 -12 18 20 -09 18 20 -06 18 20 -03 18 20 -12 17 20 -09 17 20 17 -06 0 20 Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) As reported on Form PF, Question 55. October 25, 2019 C Analytics Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None 2017Q2 59.6 55.3 55.3 55.3 48.9 38.3 2017Q3 56.5 52.2 52.2 52.2 45.7 41.3 2017Q4 56.2 52.1 52.1 52.1 45.8 41.7 2018Q1 58.7 54.3 54.3 50.0 45.7 41.3 2018Q2 60.0 55.6 55.6 51.1 46.7 40.0 2018Q3 60.0 55.6 55.6 51.1 46.7 40.0 2018Q4 60.9 56.5 56.5 52.2 47.8 39.1 2019Q1 60.0 55.6 55.6 51.1 46.7 40.0 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None D 2017Q2 15.9 14.9 14.7 14.7 12.8 84.1 2017Q3 15.9 14.9 15.0 15.0 12.8 83.9 2017Q4 14.7 13.7 13.7 13.7 11.8 85.2 2018Q1 15.9 14.9 14.9 14.5 12.7 84.1 2018Q2 14.6 13.7 13.7 13.4 11.7 85.4 2018Q3 14.5 13.5 13.5 13.3 11.5 85.5 2018Q4 13.4 12.4 12.4 12.2 10.3 86.6 2019Q1 13.8 12.7 12.7 12.5 10.5 86.2 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2017Q2 78.7 21.3 2017Q3 78.3 21.7 2017Q4 79.2 20.8 2018Q1 80.4 19.6 2018Q2 80.0 20.0 2018Q3 77.8 22.2 2018Q4 78.3 21.7 2019Q1 80.0 20.0 Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2017Q2 68.3 31.7 2017Q3 70.2 29.8 2017Q4 69.1 30.9 2018Q1 70.3 29.7 46 2018Q2 68.4 31.6 2018Q3 68.0 32.0 2018Q4 70.9 29.1 2019Q1 74.4 25.6 October 25, 2019 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 3 73.2 56.4 31.0 41.9 41.9 19.6 16.2 5.6 1.2 66.6 58.2 29.6 46.9 37.5 19.8 15.3 5.6 0.9 72.3 54.2 37.3 48.7 42.9 21.7 16.8 4.8 0.9 69.3 54.2 30.5 47.5 41.2 21.3 16.8 5.6 1.0 54.3 60.9 34.2 45.1 42.2 21.4 15.8 5.4 1.0 8-0 73.6 50.6 32.1 41.6 41.8 20.6 16.7 5.4 1.2 8-0 201 2 1 201 69.7 47.0 30.2 43.5 39.4 21.4 15.2 5.5 0.9 8-0 201 -12 201 7 1 73.9 48.5 29.0 42.7 37.7 18.6 16.7 4.0 0.9 7-1 201 0 74.3 50.9 28.6 43.9 39.6 19.1 16.9 4.3 0.9 7-1 9 201 69.1 47.5 27.5 44.3 36.2 19.8 16.6 5.7 0.9 7-0 201 8 201 72.2 50.4 27.2 44.5 37.6 22.8 16.3 5.0 1.1 7-0 201 7-0 7 7-0 6 5 201 Product Type Deposits U.S. Treasuries Repo - Govt. Collateral Other Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 7-0 201 73.5 55.9 21.0 39.8 34.0 23.4 17.2 4.6 0.9 7-0 201 4 As reported on Form PF, Question 63. Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 55.0 45.1 58.0 48.5 43.9 24.4 16.8 2.9 1.0 58.5 46.2 57.6 45.4 40.4 21.9 13.4 3.5 0.9 57.6 48.9 48.4 45.4 37.8 20.8 12.9 4.4 0.9 9-0 201 3 2 201 54.2 60.3 48.3 46.4 41.1 22.4 14.3 3.2 0.9 9-0 201 1 201 60.7 57.2 49.9 42.7 46.5 22.7 14.1 3.1 0.9 9-0 201 8-1 2 8-1 0 201 59.5 51.4 49.3 47.2 46.8 21.8 15.6 3.5 0.9 8-1 201 8-0 64.1 53.6 44.8 47.9 45.7 20.2 17.8 4.8 1.2 47 1 8-0 8 201 59.0 54.5 45.3 49.9 47.0 22.0 17.2 4.5 1.0 -07 201 8 61.5 53.3 43.9 47.3 50.5 21.9 17.6 5.1 1.0 -06 201 8 64.6 61.9 35.1 48.6 42.8 23.1 16.2 5.7 1.1 8-0 5 201 60.8 54.5 39.0 48.1 44.1 22.6 19.7 5.2 1.0 4 64.2 56.7 40.6 45.8 42.6 21.9 17.1 4.6 1.2 8-0 Product Type Deposits U.S. Treasuries Repo - Govt. Collateral Other Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 9 As reported on Form PF, Question 63. 201 E Analytics Office October 25, 2019 XI A Analytics Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 63: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Oil & Gas Extraction Electric Power Generation,... Data Processing, Hosting, &... Telecommunications Data Processing... Pharmaceutical & Medicine Mfg Other Financial Investment... Medical Equipment & Supplies Mfg Pipeline Transportation Custom Computer Programming... Other Information Services All Other Professional,... Management, Scientific, &... Activities Related to Credit... Other Financial Vehicles Educational Services Insurance Agencies & Brokerages Scientific Research & Development... Support Activities for Mining 2013Q4 2.8 7.9 3.8 2.9 2.6 1.0 2.0 1.1 2.4 0.9 2.0 0.4 1.0 1.2 0.4 1.4 0.9 0.9 1.3 48 2014Q4 3.8 7.8 3.8 2.3 2.5 1.3 1.8 1.3 2.6 1.0 2.1 0.6 1.2 1.2 0.4 1.3 1.0 0.9 1.6 2015Q4 4.9 5.8 3.7 1.8 2.7 1.5 1.8 0.9 2.4 1.5 1.9 0.6 1.1 1.4 0.6 1.3 1.0 1.0 1.2 2016Q4 6.1 6.7 4.1 2.0 2.3 1.4 1.7 0.6 2.2 1.5 1.8 0.9 1.3 1.0 1.8 1.2 1.2 0.7 1.0 2017Q4 6.0 6.2 4.2 2.3 2.2 1.5 1.4 0.7 1.9 1.5 2.0 0.8 1.6 1.2 1.6 1.4 1.1 1.0 1.0 2018Q4 8.0 4.9 4.5 3.5 2.4 2.4 2.1 2.0 1.8 1.8 1.7 1.4 1.4 1.3 1.3 1.2 1.0 1.0 1.0 October 25, 2019 CPC Financial Leverage Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities to Total Liabilities of Section 4 Private Equity Funds See Appendix C for an explanation of boxplots. 60 50 40 30 20 10 Q4 18 20 Q4 17 20 Q4 16 20 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 23: Distribution of CPC Payment-in-Kind or Zero Coupon Borrowings to Total Borrowings Ratio See Appendix C for an explanation of boxplots. 60 As reported on Form PF, Question 73. 50 40 30 20 10 49 Q4 18 20 Q4 17 20 Q4 16 20 Q4 15 20 Q4 14 20 20 Q4 0 13 CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) B Analytics Office October 25, 2019 C Analytics Office CPC Investments by Region and Country Table 64: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Middle East Africa 2013Q4 5,249 1,432 445 75 65 25 8 21 2014Q4 4,506 1,259 462 85 67 9 12 12 2015Q4 4,132 941 447 58 23 21 9 12 2016Q4 3,942 848 406 111 37 22 15 18 2017Q4 3,961 963 379 184 49 40 23 14 2018Q4 4,219 1,256 435 140 55 46 16 10 Table 65: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Middle East Africa 2013Q4 71.7 19.6 6.1 1.0 0.9 0.3 0.1 0.3 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 50 2016Q4 73.0 15.7 7.5 2.0 0.7 0.4 0.3 0.3 2017Q4 70.5 17.1 6.8 3.3 0.9 0.7 0.4 0.3 2018Q4 68.3 20.3 7.0 2.3 0.9 0.7 0.3 0.2 October 25, 2019 Analytics Office Table 66: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 5,002 171 63 45 108 3 2014Q4 4,305 186 83 58 98 2 2015Q4 3,943 173 89 41 85 5 2016Q4 3,776 114 92 88 79 4 2017Q4 3,794 147 73 131 52 4 2018Q4 4,023 154 104 96 52 2 Table 67: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 68.3 2.3 0.9 0.6 1.5 0.0 2014Q4 67.1 2.9 1.3 0.9 1.5 0.0 51 2015Q4 69.9 3.1 1.6 0.7 1.5 0.1 2016Q4 69.9 2.1 1.7 1.6 1.5 0.1 2017Q4 67.6 2.6 1.3 2.3 0.9 0.1 2018Q4 65.1 2.5 1.7 1.6 0.8 0.0 October 25, 2019 XII A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 52 October 25, 2019 3 Analytics Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 53 October 25, 2019 B Analytics Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for an explanation of each feature. Figure 24: How to Read a Boxplot 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 54 October 25, 2019 D Analytics Office Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 55 October 25, 2019 E Analytics Office Definitions Included by reference are all definitions included in the glossary of Form PF. Aggregate Exposure A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets. Borrowing In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements). CPC Controlled portfolio company, as defined in Form PF. Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF. IRDs Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging. Large Hedge Fund Adviser An adviser that has at least $1.5 billion in hedge fund assets under management. 56 October 25, 2019 Analytics Office Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management. Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets under management. Parallel Managed Account An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the reporting fund. Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser. Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser. Value For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors. 57 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A734af358bf4a8229. Public record. Not legal advice.