# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A7c838e7ad34e6dbc ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Registered Fund Statistics Form N-PORT Data, period ending December 2023 May 17, 2024 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. Information presented in this report reflects staff’s compilation and analysis of data reported to the Commission on Form N-PORT, certain other filings (e.g., Form N-CEN), and supplemental third-party data. The presented information does not reflect any filings or amended filings submitted after May 16, 2024. May 17, 2024 Analytics Office Introduction This report provides statistics and trends for SEC-registered investment companies that file reports of portfolio holdings on Form N-PORT each month, reflecting data collected through Form N-CEN and Form N-PORT filings received through May 16, 2024 for reporting periods from March 2019 through December 2023. The table below provides information on investment companies which are required to file on Form N-PORT and are captured in this report. Fund Type Mutual Funds registered on Form N-1A (excluding money market funds) Exchange-Traded Funds (ETFs) registered on Form N-1A, or as a unit investment trust on Form N-8B-2 Closed-End Funds registered on Form N-2 as a management investment company (including interval funds and non-traded funds registered on Form N-2) Seperate accounts offering variable annuity contracts on Form N-3 Business Development Companies (BDCs) Money Market Funds regulated under rule 2a-7 Small business investment companies registered on Form N-5 Unit Investment Trusts registered on Form N-4 or N-6 Unit Investment Trusts registered on Forms S-6 and N-8B-2 (excluding ETFs) Required to File Form N-PORT? Yes No X X X X X X X X X Please see the Division of Investment Management’s “Money Market Fund Statistics” report on SEC.gov for information and statistics relating to money market funds reporting on Form N-MFP. The Commission began receiving Form N-PORT filings from Large Entities — funds that together with other investment companies in the same group of related investment companies have net assets of $1 billion or more — for the March 2019 reporting period. A full data set, including information from non-Large Entities, was not collected until the March 2020 reporting period. Please see the Appendix to this report for definitions of capitalized terms and other technical descriptions including explanation of consensus categories, prevalent asset classes, and techniques used to minimize the effects of outliers. Filers may file amendments to current or historical Form N-PORT filings at any time. This report utilizes the most recently reported data for each fund for a given report period, based on Form N-PORT filings received through May 16, 2024. 1 May 17, 2024 Analytics Office Funds must file reports on Form N-PORT with the Commission for each month in the fiscal quarter not later than 60 days after the end of that fiscal quarter. A complete picture of registered fund exposures for a given calendar quarter is therefore not available to Commission Staff until approximately four months following the end of that period. As noted on Form N-PORT, the Commission does not intend to make public information reported on Form N-PORT for the first and second month of each fund’s fiscal quarter and certain other information that is identifiable to any particular fund or adviser. Accordingly, statistics involving non-public Form N-PORT data provided in this report are anonymized, and are aggregated, rounded, and/or masked. Masked data in this report is denoted by “***”. Commission Staff works with the reported information and with filers to identify and correct filing errors and employs certain methodologies and assumptions in aggregating the data. Commission Staff updates reported statistics from time to time to reflect corrected and amended filings and any adjustments to methodologies and assumptions, which may result in changes to previously reported statistics. A downloadable Excel file published alongside this report provides the most recently updated historical data and includes methodological notes and assumptions, including a description of significant changes. If you have any questions or comments about Registered Fund Statistics (December 2023), please contact: Tim Dulaney, PhD, Juan Carlos Forero Penaranda, or Trevor Tatum with subject line “Registered Fund Statistics (December 2023)”. 2 May 17, 2024 Analytics Office Contents 1 Number of Funds 4 2 Total Fund Assets 5 3 Flows and Returns 9 4 Fund Portfolio Investments by Category 12 5 Fund Portfolio Investments by Currency 24 6 Fund Portfolio Investments by Country 25 7 Fund Derivative Investments 27 8 Liquidity Classifications 31 9 Fair Value Levels 35 10 Interest Rate Risk 41 11 Securities Lending 43 12 Borrowing 47 13 Appendices 48 3 May 17, 2024 1 Analytics Office Number of Funds1 Table 1.1: Number of Funds, by Fund Type and Prevalent Asset Class This table includes fund of funds. “Fund of fund” is defined in the appendix. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Multi-Asset Taxable Bond Global Equity Municipal Bond Subtotal US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Subtotal Taxable Bond Multi-Asset Municipal Bond US Equity Global Equity Subtotal Total Jan 2023 3,015 2,221 1,842 1,405 551 9,034 1,244 685 573 353 66 2,921 199 191 119 89 54 652 12,607 Feb 2023 3,011 2,214 1,838 1,403 555 9,021 1,255 684 569 352 68 2,928 200 190 119 89 54 652 12,601 Mar 2023 3,011 2,209 1,834 1,401 555 9,010 1,264 686 576 356 70 2,952 201 189 118 92 52 652 12,614 Apr 2023 3,003 2,198 1,827 1,402 557 8,987 1,266 683 582 353 70 2,954 202 187 117 89 52 647 12,588 May 2023 2,990 2,217 1,831 1,402 555 8,995 1,269 686 591 352 72 2,970 204 184 117 92 52 649 12,614 Jun 2023 2,989 2,180 1,827 1,405 554 8,955 1,278 688 602 346 72 2,986 209 184 117 93 51 654 12,595 Jul 2023 2,990 2,188 1,811 1,404 553 8,946 1,280 687 612 351 75 3,005 206 182 116 93 51 648 12,599 Aug 2023 2,985 2,170 1,807 1,405 550 8,917 1,303 689 618 347 76 3,033 202 182 118 92 51 645 12,595 Sep 2023 2,995 2,159 1,802 1,406 546 8,908 1,323 694 642 351 78 3,088 201 192 118 88 52 651 12,647 Oct 2023 2,959 2,137 1,790 1,403 545 8,834 1,330 686 660 366 79 3,121 201 189 115 89 52 646 12,601 Nov 2023 2,940 2,110 1,785 1,402 545 8,782 1,360 688 674 363 80 3,165 199 189 115 89 52 644 12,591 Dec 2023 2,936 2,100 1,773 1,398 543 8,750 1,380 698 682 359 82 3,201 197 192 115 89 52 645 12,596 Table 1.2: Number of Index and Non-Index Funds, by Prevalent Asset Class This table includes fund of funds. “Fund of fund” is defined in the appendix. Index fund indication drawn from Form N-CEN, Item C.3. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Multi-Asset Taxable Bond Global Equity Municipal Bond Subtotal US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Subtotal Total Jan 2023 3,239 2,511 2,124 1,489 697 10,060 1,109 655 490 254 39 2,547 12,607 Feb 2023 3,243 2,504 2,122 1,488 702 10,059 1,112 653 485 252 40 2,542 12,601 Mar 2023 3,255 2,498 2,127 1,487 701 10,068 1,112 652 484 256 42 2,546 12,614 Apr 2023 3,249 2,489 2,127 1,489 702 10,056 1,109 648 484 249 42 2,532 12,588 May 2023 3,244 2,506 2,139 1,492 701 10,082 1,107 648 487 247 43 2,532 12,614 Jun 2023 3,250 2,466 2,149 1,498 700 10,063 1,110 646 489 244 43 2,532 12,595 Jul 2023 3,251 2,477 2,140 1,500 701 10,069 1,112 642 489 244 43 2,530 12,599 Aug 2023 3,263 2,460 2,138 1,500 701 10,062 1,117 645 489 239 43 2,533 12,595 Sep 2023 3,278 2,471 2,147 1,506 699 10,101 1,128 646 498 231 43 2,546 12,647 Oct 2023 3,255 2,456 2,153 1,504 696 10,064 1,123 637 498 236 43 2,537 12,601 Nov 2023 3,275 2,431 2,161 1,508 698 10,073 1,114 634 497 231 42 2,518 12,591 Dec 2023 3,301 2,424 2,161 1,516 699 10,101 1,104 632 491 227 41 2,495 12,596 1 “Mutual Funds” exclude ETFs. “Closed-End Funds” include interval funds and non-traded funds registered on Form N-2. Please see Appendix 13.5 for definitions of other capitalized terms used in this report. 4 May 17, 2024 2 Analytics Office Total Fund Assets2 Table 2.1: Aggregate Total Assets ($Billions), by Fund Type and Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive total assets (Form N-PORT, Item B.1.a). Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Taxable Bond Multi-Asset Municipal Bond US Equity Global Equity Subtotal Total Jan 2023 9,275 4,112 3,030 1,584 787 18,789 4,273 1,307 1,204 109 72 6,965 144 90 89 87 27 438 26,192 Feb 2023 9,025 4,035 2,923 1,527 769 18,280 4,161 1,289 1,160 105 79 6,794 143 87 87 84 26 427 25,501 Mar 2023 9,179 4,165 3,010 1,567 778 18,700 4,218 1,343 1,191 107 71 6,931 144 87 87 86 27 431 26,061 Apr 2023 9,244 4,113 3,040 1,567 780 18,744 4,256 1,370 1,208 108 66 7,008 144 87 87 85 26 429 26,180 May 2023 9,199 4,090 2,954 1,536 771 18,549 4,257 1,368 1,173 108 70 6,976 143 86 86 85 26 426 25,951 Jun 2023 9,760 4,072 3,088 1,568 776 19,263 4,572 1,370 1,220 109 77 7,348 145 88 86 88 27 435 27,046 Jul 2023 10,056 4,087 3,181 1,602 779 19,705 4,776 1,380 1,278 111 83 7,627 146 89 86 91 27 440 27,771 Aug 2023 9,808 4,082 3,067 1,556 768 19,280 4,674 1,370 1,222 111 83 7,460 147 91 85 86 26 436 27,177 Sep 2023 9,319 4,027 2,947 1,497 743 18,533 4,475 1,356 1,182 109 71 7,193 149 91 82 82 25 429 26,155 Oct 2023 9,021 3,950 2,833 1,469 725 17,998 4,369 1,350 1,135 111 56 7,021 147 90 80 80 24 421 25,441 Nov 2023 9,800 4,095 3,066 1,542 756 19,260 4,846 1,414 1,235 121 62 7,678 151 94 85 86 26 441 27,379 Dec 2023 10,275 4,170 3,191 1,578 769 19,983 5,187 1,458 1,293 124 68 8,130 155 99 86 85 26 452 28,566 Table 2.2: Aggregate Index Fund and Non-Index Fund Total Assets ($Billions), by Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive total assets (Form N-PORT, Item B.1.a). Index fund indication drawn from Form N-CEN, Item C.3. Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal Total Jan 2023 5,862 3,487 2,407 1,630 885 14,269 7,774 2,077 1,855 117 100 11,923 26,192 Feb 2023 5,702 3,425 2,326 1,567 864 13,884 7,567 2,043 1,784 126 97 11,617 25,501 Mar 2023 5,776 3,529 2,393 1,606 873 14,176 7,708 2,123 1,835 119 99 11,884 26,061 Apr 2023 5,807 3,468 2,416 1,606 875 14,171 7,779 2,158 1,860 114 99 12,009 26,180 May 2023 5,774 3,454 2,343 1,575 865 14,012 7,767 2,146 1,811 116 99 11,939 25,951 Jun 2023 6,114 3,435 2,449 1,607 871 14,476 8,307 2,152 1,885 126 100 12,570 27,046 Jul 2023 6,297 3,446 2,519 1,643 875 14,780 8,625 2,167 1,966 131 102 12,991 27,771 Aug 2023 6,135 3,443 2,429 1,598 864 14,468 8,433 2,157 1,886 131 101 12,709 27,177 Sep 2023 5,829 3,418 2,329 1,543 835 13,953 8,046 2,114 1,826 116 99 12,201 26,155 Oct 2023 5,633 3,360 2,239 1,514 815 13,562 7,836 2,088 1,754 101 101 11,879 25,441 Nov 2023 6,124 3,473 2,424 1,586 852 14,459 8,608 2,188 1,903 111 109 12,920 27,379 Dec 2023 6,404 3,523 2,519 1,625 868 14,939 9,143 2,260 1,992 119 112 13,627 28,566 2 As of December 2023, there are 13 N-3 funds reporting an aggregate $241.91 billion in net assets (roughly 1.04% of aggregate mutual fund net assets). Additionally, there are 85 Interval funds registered on Form N-2 reporting an aggregate $75.12 billion in net assets (roughly 20.22% of aggregate closed-end fund net assets). 5 May 17, 2024 Analytics Office Table 2.3: Aggregate Net Assets ($Billions), by Fund Type and Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Subtotal Total Jan 2023 9,173 3,753 2,991 1,499 765 18,181 4,200 1,237 1,175 108 62 6,782 99 78 73 58 24 332 25,295 Feb 2023 8,925 3,705 2,881 1,449 750 17,711 4,086 1,218 1,132 104 59 6,599 99 76 71 56 22 324 24,633 Mar 2023 9,078 3,750 2,955 1,464 759 18,007 4,148 1,263 1,160 107 63 6,741 98 75 72 56 23 325 25,073 Apr 2023 9,141 3,766 2,989 1,474 758 18,129 4,189 1,282 1,180 107 62 6,819 99 76 73 56 23 327 25,275 May 2023 9,097 3,736 2,910 1,439 751 17,934 4,190 1,280 1,144 107 64 6,785 99 75 72 56 22 323 25,042 Jun 2023 9,653 3,745 3,046 1,480 756 18,680 4,500 1,290 1,192 108 71 7,162 101 76 75 56 23 331 26,173 Jul 2023 9,954 3,772 3,144 1,504 758 19,132 4,702 1,302 1,248 110 76 7,439 103 77 77 56 24 337 26,907 Aug 2023 9,716 3,759 3,027 1,463 748 18,714 4,606 1,297 1,193 110 77 7,282 103 78 73 55 23 332 26,328 Sep 2023 9,226 3,677 2,903 1,406 723 17,934 4,400 1,280 1,152 108 66 7,006 103 78 69 52 22 324 25,265 Oct 2023 8,931 3,610 2,796 1,372 703 17,412 4,302 1,277 1,108 110 52 6,848 102 78 67 50 21 318 24,578 Nov 2023 9,704 3,738 3,027 1,447 738 18,654 4,768 1,338 1,207 120 59 7,491 105 82 72 56 22 337 26,483 Dec 2023 10,181 3,844 3,156 1,498 753 19,432 5,110 1,385 1,266 124 63 7,949 109 86 72 58 23 347 27,727 Table 2.4: Aggregate Index Fund and Non-Index Fund Net Assets ($Billions) This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Index fund indication drawn from Form N-CEN, Item C.3. Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal Total Jan 2023 5,771 3,091 2,372 1,532 831 13,597 7,675 1,999 1,818 107 99 11,698 25,295 Feb 2023 5,614 3,057 2,288 1,478 814 13,251 7,468 1,965 1,747 106 96 11,383 24,633 Mar 2023 5,686 3,075 2,347 1,491 824 13,424 7,612 2,036 1,792 112 98 11,649 25,073 Apr 2023 5,715 3,083 2,370 1,503 823 13,494 7,688 2,064 1,822 109 99 11,780 25,275 6 May 2023 5,685 3,056 2,303 1,468 815 13,327 7,675 2,059 1,773 111 98 11,715 25,042 Jun 2023 6,020 3,065 2,412 1,508 821 13,825 8,207 2,071 1,849 120 100 12,348 26,173 Jul 2023 6,204 3,088 2,486 1,533 824 14,134 8,529 2,089 1,930 125 101 12,773 26,907 Aug 2023 6,051 3,078 2,394 1,493 813 13,830 8,344 2,080 1,849 125 100 12,499 26,328 Sep 2023 5,745 3,019 2,290 1,439 785 13,278 7,950 2,041 1,786 111 98 11,987 25,265 Oct 2023 5,553 2,970 2,206 1,405 764 12,898 7,747 2,018 1,719 97 100 11,680 24,578 Nov 2023 6,033 3,070 2,389 1,480 805 13,776 8,512 2,111 1,868 107 109 12,707 26,483 Dec 2023 6,317 3,147 2,488 1,533 823 14,308 9,046 2,191 1,957 114 111 13,419 27,727 May 17, 2024 Analytics Office Table 2.5: Aggregate Net Assets ($Billions), by Fund Type and Bucketed by Net Assets This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). See the appendix for a review of interval notation used here. Fund Size $10 billion or more [$500 million,$10 billion) [$50 million,$500 million) ($0,$50 million) Total Fund Type Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Total Jan 2023 11,315 *** *** 16,349 6,229 1,575 229 8,033 610 179 78 866 28 18 1 47 25,295 Feb 2023 10,979 *** *** 15,814 6,087 1,587 218 7,891 617 182 81 880 28 18 1 48 24,633 Mar 2023 11,243 4,952 25 16,220 6,127 1,590 221 7,938 608 181 78 868 28 18 1 48 25,073 Apr 2023 11,364 *** *** 16,423 6,132 1,584 222 7,938 606 183 79 868 27 18 1 46 25,275 May 2023 11,248 *** *** 16,286 6,047 1,570 217 7,834 611 184 80 876 28 18 1 48 25,042 Jun 2023 11,876 5,329 26 17,231 6,174 1,625 225 8,025 603 188 79 870 27 19 1 47 26,173 Jul 2023 12,249 *** *** 17,837 6,259 1,669 232 8,159 598 190 77 866 26 18 1 45 26,907 Aug 2023 11,969 *** *** 17,410 6,112 1,658 225 7,995 606 192 79 878 26 18 1 46 26,328 Sep 2023 11,370 5,188 28 16,586 5,928 1,609 215 7,751 610 190 80 880 27 19 1 47 25,265 Oct 2023 10,975 *** *** 16,053 5,798 1,584 210 7,592 613 194 78 885 27 20 1 47 24,578 Nov 2023 12,023 *** *** 17,647 6,002 1,685 228 7,914 604 192 79 875 26 20 1 47 26,483 Dec 2023 12,678 5,998 30 18,706 6,129 1,729 239 8,097 600 201 77 878 25 20 1 46 27,727 Table 2.6: Number of Funds, by Fund Type and Bucketed by Net Assets This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). See the appendix for a review of interval notation used here. Fund Size $10 billion or more [$500 million,$10 billion) [$50 million,$500 million) ($0,$50 million) Total Fund Type Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Total Jan 2023 294 *** *** 427 2,844 649 185 3,678 2,820 938 346 4,104 1,408 1,060 49 2,517 10,726 Feb 2023 289 *** *** 417 2,796 649 175 3,620 2,840 947 356 4,143 1,428 1,068 49 2,545 10,725 Mar 2023 291 128 2 421 2,806 657 179 3,642 2,822 949 350 4,121 1,424 1,079 51 2,554 10,738 Apr 2023 292 *** *** 424 2,806 659 178 3,643 2,822 957 351 4,130 1,394 1,066 45 2,505 10,702 7 May 2023 289 *** *** 420 2,769 653 173 3,595 2,824 972 357 4,153 1,429 1,072 46 2,547 10,715 Jun 2023 301 132 2 435 2,817 667 180 3,664 2,793 987 353 4,133 1,363 1,056 48 2,467 10,699 Jul 2023 307 *** *** 445 2,846 684 183 3,713 2,779 1,007 346 4,132 1,330 1,033 45 2,408 10,698 Aug 2023 304 *** *** 439 2,796 680 177 3,653 2,808 1,020 352 4,180 1,334 1,055 43 2,432 10,704 Sep 2023 294 132 2 428 2,740 676 170 3,586 2,826 1,012 358 4,196 1,369 1,118 49 2,536 10,746 Oct 2023 284 *** *** 415 2,696 664 169 3,529 2,852 1,031 356 4,239 1,332 1,132 46 2,510 10,693 Nov 2023 304 *** *** 442 2,758 701 176 3,635 2,806 1,045 350 4,201 1,258 1,112 43 2,413 10,691 Dec 2023 317 143 2 462 2,788 708 185 3,681 2,782 1,068 345 4,195 1,212 1,110 42 2,364 10,702 May 17, 2024 Analytics Office Table 2.7: Distribution of Net Assets, by Fund Type ($Billions) This exhibit includes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Fund Type Mutual Fund ETF Closed-End Fund Percentile 10th 25th 50th 75th 90th 10th 25th 50th 75th 90th 10th 25th 50th 75th 90th Jan 2023 0.018 0.080 0.344 1.232 4.097 0.005 0.022 0.109 0.598 3.301 0.049 0.117 0.267 0.579 1.273 Feb 2023 0.017 0.078 0.336 1.203 3.960 0.005 0.022 0.110 0.586 3.224 0.049 0.116 0.257 0.571 1.276 Mar 2023 0.017 0.078 0.338 1.207 4.040 0.005 0.022 0.111 0.584 3.278 0.047 0.115 0.259 0.570 1.293 Apr 2023 0.018 0.079 0.341 1.221 4.064 0.005 0.022 0.114 0.593 3.308 0.051 0.119 0.256 0.575 1.301 May 2023 0.016 0.076 0.331 1.192 4.045 0.005 0.022 0.111 0.575 3.231 0.050 0.114 0.254 0.566 1.290 Jun 2023 0.017 0.080 0.344 1.242 4.202 0.006 0.024 0.114 0.596 3.370 0.043 0.113 0.256 0.575 1.330 Jul 2023 0.018 0.082 0.349 1.273 4.307 0.006 0.025 0.119 0.618 3.511 0.044 0.114 0.263 0.586 1.363 Aug 2023 0.018 0.081 0.342 1.244 4.188 0.006 0.024 0.112 0.602 3.345 0.051 0.117 0.259 0.577 1.367 Sep 2023 0.017 0.077 0.330 1.195 4.047 0.005 0.022 0.107 0.565 3.147 0.047 0.108 0.246 0.565 1.310 Oct 2023 0.018 0.078 0.326 1.167 3.935 0.005 0.021 0.104 0.531 2.981 0.046 0.110 0.243 0.551 1.286 Nov 2023 0.020 0.085 0.348 1.245 4.167 0.005 0.023 0.107 0.580 3.268 0.048 0.117 0.259 0.596 1.357 Dec 2023 0.021 0.089 0.363 1.308 4.357 0.006 0.024 0.109 0.606 3.472 0.050 0.118 0.267 0.613 1.389 Table 2.8: Percent of Aggregate Net Assets Reported, by Fund Type and Cumulative Percentile This exhibit includes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Fund Type All Funds Mutual Fund ETF Closed-End Fund Percentile Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Jan 2023 53.15 68.25 79.76 92.18 49.61 64.86 76.88 90.64 *** 75.66 87.22 96.42 21.03 32.80 47.27 70.52 Feb 2023 53.14 68.24 79.75 92.16 49.55 64.88 76.93 90.64 *** 75.40 87.00 96.33 21.14 32.88 47.35 70.57 Mar 2023 53.49 68.55 80.00 92.29 49.89 65.22 77.17 90.76 57.87 75.76 87.27 96.39 *** 33.23 47.71 70.77 Apr 2023 53.56 68.68 80.07 92.31 50.05 65.31 77.24 90.80 57.86 75.85 87.30 96.37 20.67 33.40 47.57 70.70 May 2023 53.84 68.92 80.27 92.41 50.26 65.55 77.45 90.91 58.22 76.12 87.46 96.42 20.67 33.43 47.66 70.91 8 Jun 2023 53.97 69.07 80.38 92.44 50.33 65.65 77.50 90.90 *** 76.33 87.56 96.43 *** 33.35 48.09 71.15 Jul 2023 54.09 69.18 80.46 92.48 50.48 65.75 77.60 90.94 58.73 76.26 87.52 96.41 20.63 33.43 47.80 71.33 Aug 2023 54.13 69.25 80.50 92.49 50.46 65.83 77.64 90.95 58.69 76.34 87.59 96.42 20.65 33.47 47.88 71.26 Sep 2023 54.15 69.30 80.53 92.52 50.44 65.79 77.62 90.94 *** 76.55 87.71 96.47 *** 33.81 48.42 71.60 Oct 2023 54.30 69.40 80.59 92.51 50.51 65.85 77.63 90.89 59.35 76.85 87.91 96.50 21.38 34.22 48.32 71.67 Nov 2023 54.49 69.61 80.74 92.60 50.66 66.01 77.77 90.94 59.79 76.99 88.02 96.57 20.85 33.90 48.34 71.58 Dec 2023 54.64 69.72 80.85 92.65 50.71 66.05 77.80 90.97 60.14 77.10 88.14 96.60 *** 33.58 48.07 71.57 May 17, 2024 Analytics Office 3 Flows and Returns 3.1 Fund Flows Table 3.1: Aggregate Inflows, Outflows, and Net Flows of Index and NonIndex Funds ($Billions) This table excludes flows from fund of funds (Form N-PORT, Item B.6), index fund indication drawn from Form N-CEN, Item C.3. Since both ETFs and Mutual Funds can be index funds, both contribute to the rows in this table. Fund Type All Index Non-Index Flow Type Inflow Net Outflow Inflow Net Outflow Inflow Net Outflow Jan 2023 628 17 -610 321 42 -279 307 -25 -332 Feb 2023 559 -1 -560 271 -1 -272 288 0 -288 Mar 2023 705 -28 -733 429 32 -396 276 -60 -336 Apr 2023 502 -8 -510 268 32 -236 234 -40 -274 May 2023 566 -24 -590 306 26 -280 260 -50 -309 Jun 2023 699 25 -674 426 61 -366 272 -36 -308 Jul 2023 619 26 -593 373 55 -319 246 -29 -275 Aug 2023 571 -33 -605 307 9 -299 264 -42 -306 Sep 2023 581 -20 -600 346 31 -315 234 -51 -285 Oct 2023 621 -47 -667 346 18 -328 275 -65 -340 Nov 2023 701 44 -656 401 90 -310 300 -46 -346 Dec 2023 861 33 -828 544 115 -429 317 -81 -399 Table 3.2: Aggregate Inflows, Outflows, and Net Flows of Index and NonIndex Funds (Percent of Net Assets) This table excludes flows from fund of funds (Form N-PORT, Item B.6), index fund indication drawn from Form N-CEN, Item C.3. Since both ETFs and Mutual Funds can be index funds, both contribute to the rows in this table. Percentages are calculated using lagged net assets (Form N-PORT, Item B.1.c.). Fund Type All Index Non-Index Flow Type Inflow Net Outflow Inflow Net Outflow Inflow Net Outflow Jan 2023 2.67 0.07 -2.59 2.93 0.39 -2.54 2.44 -0.20 -2.64 Feb 2023 2.24 -0.00 -2.24 2.32 -0.00 -2.32 2.17 -0.00 -2.17 Mar 2023 2.90 -0.11 -3.01 3.77 0.28 -3.48 2.14 -0.47 -2.60 Apr 2023 2.03 -0.03 -2.06 2.30 0.28 -2.02 1.79 -0.31 -2.09 May 2023 2.27 -0.10 -2.36 2.60 0.22 -2.38 1.97 -0.38 -2.35 9 Jun 2023 2.83 0.10 -2.73 3.64 0.52 -3.12 2.10 -0.27 -2.37 Jul 2023 2.40 0.10 -2.30 3.02 0.44 -2.58 1.82 -0.22 -2.04 Aug 2023 2.15 -0.13 -2.28 2.41 0.07 -2.34 1.91 -0.30 -2.22 Sep 2023 2.23 -0.08 -2.31 2.77 0.25 -2.52 1.74 -0.38 -2.11 Oct 2023 2.49 -0.19 -2.68 2.88 0.15 -2.73 2.12 -0.50 -2.62 Nov 2023 2.89 0.18 -2.71 3.43 0.77 -2.66 2.38 -0.37 -2.75 Dec 2023 3.29 0.13 -3.17 4.28 0.90 -3.38 2.36 -0.61 -2.97 May 17, 2024 Analytics Office Table 3.3: Aggregate Net Flows, by Prevalent Asset Class and Fund Type ($Billions) This table excludes flows from fund of funds (Form N-PORT, Item B.6). Closed-End Funds generally do not report flows and are therefore excluded. Fund Type ETF Mutual Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Municipal Bond Multi-Asset Taxable Bond Global Equity US Equity Subtotal Total Jan 2023 1 28 21 0 -3 46 8 -2 16 -15 -35 -29 17 Feb 2023 -7 3 8 -1 0 3 2 -2 22 -3 -22 -4 -1 Mar 2023 3 26 0 0 1 31 -3 -8 -20 -5 -24 -59 -28 Apr 2023 11 16 3 1 0 31 -1 -7 -2 -11 -17 -39 -8 May 2023 16 14 5 1 -1 34 -2 -9 1 -6 -41 -58 -24 Jun 2023 43 16 11 1 1 72 0 -6 8 -6 -44 -47 25 Jul 2023 38 14 7 1 -1 59 1 -7 16 -7 -36 -33 26 Aug 2023 3 7 1 1 2 15 -2 -10 4 -4 -37 -48 -33 Sep 2023 27 10 1 1 1 39 -6 -9 -8 -6 -31 -59 -20 Oct 2023 22 13 -3 3 1 36 -10 -12 -17 -11 -33 -83 -47 Nov 2023 73 26 6 5 0 110 -4 -7 -7 -11 -37 -65 44 Dec 2023 88 21 19 2 -1 129 -2 -10 -13 -20 -52 -96 33 Table 3.4: Aggregate Net Flows, by Prevalent Asset Class and Fund Type (Percent) This table excludes flows from fund of funds (Form N-PORT, Item B.6). Closed-End Funds generally do not report flows and are therefore excluded. Percentages are calculated using lagged net assets (Form N-PORT, Item B.1.c.). Fund Type ETF Mutual Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Municipal Bond Taxable Bond US Equity Global Equity Multi-Asset Subtotal Total Jan 2023 0.02 2.35 1.98 -0.09 -5.67 0.73 1.03 0.45 -0.41 -0.55 -0.16 -0.17 0.07 Feb 2023 -0.18 0.20 0.70 -0.75 0.43 0.04 0.24 0.57 -0.24 -0.10 -0.16 -0.02 -0.00 Mar 2023 0.08 2.16 -0.00 0.46 1.82 0.47 -0.34 -0.54 -0.27 -0.16 -0.56 -0.33 -0.11 Apr 2023 0.26 1.29 0.30 0.62 -0.45 0.46 -0.11 -0.06 -0.19 -0.37 -0.49 -0.22 -0.03 10 May 2023 0.38 1.07 0.46 0.50 -2.04 0.50 -0.20 0.02 -0.45 -0.22 -0.64 -0.32 -0.10 Jun 2023 1.02 1.23 1.00 1.11 1.72 1.06 0.02 0.22 -0.48 -0.19 -0.41 -0.26 0.10 Jul 2023 0.84 1.06 0.57 1.16 -1.11 0.82 0.12 0.43 -0.38 -0.22 -0.48 -0.18 0.10 Aug 2023 0.07 0.52 0.11 0.93 3.15 0.20 -0.24 0.11 -0.37 -0.13 -0.64 -0.25 -0.13 Sep 2023 0.58 0.76 0.05 1.03 0.85 0.53 -0.74 -0.20 -0.32 -0.19 -0.61 -0.31 -0.08 Oct 2023 0.50 0.99 -0.24 2.70 1.11 0.51 -1.44 -0.45 -0.36 -0.38 -0.82 -0.46 -0.19 Nov 2023 1.69 2.06 0.56 4.35 -0.38 1.60 -0.56 -0.19 -0.41 -0.38 -0.49 -0.37 0.18 Dec 2023 1.84 1.59 1.58 1.44 -1.06 1.73 -0.23 -0.34 -0.54 -0.65 -0.67 -0.52 0.13 May 17, 2024 3.2 Analytics Office Total Returns Table 3.5: Median Total Return of Index and Non-Index Funds, by Prevalent Asset Class (Percent) This table relies on Form N-PORT Item B.5 and excludes fund of funds. Index fund indication is drawn from Form N-CEN, Item C.3. Fund Type All Index Non-Index Prevalent Asset Class US Equity Global Equity Multi-Asset Taxable Bond Municipal Bond US Equity Multi-Asset Global Equity Taxable Bond Municipal Bond US Equity Global Equity Multi-Asset Taxable Bond Municipal Bond Jan 2023 7.23 8.32 4.67 3.02 2.86 7.35 *** 8.21 2.56 *** 7.20 8.36 4.45 3.11 2.89 Feb 2023 -2.33 -3.48 -2.46 -1.61 -2.28 -2.44 -3.15 -3.57 -1.58 *** -2.26 -3.47 -2.38 -1.62 -2.28 Mar 2023 0.29 2.44 1.39 1.23 1.81 0.53 1.82 2.33 1.90 *** 0.24 2.49 1.38 1.13 1.80 Apr 2023 0.52 1.26 0.79 0.58 -0.07 0.45 0.30 1.54 0.57 *** 0.55 1.17 0.83 0.58 -0.06 May 2023 -1.47 -3.32 -1.00 -0.86 -0.76 -1.76 -1.44 -3.83 -0.95 *** -1.40 -3.15 -0.96 -0.84 -0.76 Jun 2023 6.68 4.45 3.38 0.32 0.79 6.79 6.40 4.47 -0.19 *** 6.61 4.44 3.23 0.39 0.79 Jul 2023 3.36 3.43 2.05 0.56 0.23 3.58 4.23 4.07 0.31 *** 3.23 3.19 1.94 0.62 0.23 Aug 2023 -2.27 -3.92 -1.62 -0.24 -1.16 -2.55 -3.33 -4.05 -0.02 *** -2.20 -3.79 -1.51 -0.30 -1.17 Sep 2023 -4.80 -3.84 -3.35 -1.41 -2.77 -4.97 -5.15 -3.44 -1.30 *** -4.72 -4.01 -3.21 -1.43 -2.78 Oct 2023 -3.24 -3.68 -2.08 -1.07 -1.45 -3.60 -4.02 -3.74 -0.85 *** -3.11 -3.64 -1.98 -1.13 -1.49 Nov 2023 8.67 8.42 6.02 3.96 6.14 9.11 *** 8.44 3.40 *** 8.45 8.41 5.85 4.03 6.20 Dec 2023 5.59 4.96 3.88 3.22 2.42 6.16 5.78 5.26 2.80 *** 5.49 4.86 3.77 3.26 2.43 Table 3.6: Weighted-Average Total Return of Index and Non-Index Funds, by Prevalent Asset Class (Percent) This table relies on Form N-PORT Item B.5 and excludes fund of funds, index fund indication drawn from Form N-CEN, Item C.3. Total returns are weighted by lagged fund net assets from Form N-PORT, Item B.1.c. Fund Type All Index Non-Index Prevalent Asset Class US Equity Global Equity Multi-Asset Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Taxable Bond Municipal Bond US Equity Global Equity Multi-Asset Taxable Bond Municipal Bond Jan 2023 6.84 8.32 4.76 2.79 2.87 *** 6.85 8.38 2.65 *** 6.83 8.26 4.27 2.87 2.90 Feb 2023 -2.46 -3.86 -2.79 -1.85 -2.24 -3.51 -2.44 -4.26 -2.05 *** -2.48 -3.55 -2.74 -1.73 -2.26 Mar 2023 1.91 2.68 1.89 1.69 1.73 5.59 2.10 2.71 2.23 *** 1.66 2.66 1.62 1.35 1.69 Apr 2023 0.83 1.36 1.11 0.52 -0.04 -0.64 0.87 1.55 0.50 *** 0.78 1.22 1.24 0.53 -0.02 11 May 2023 -0.08 -3.00 -1.11 -0.91 -0.72 4.53 -0.11 -3.44 -0.98 *** -0.04 -2.66 -1.52 -0.87 -0.72 Jun 2023 6.62 4.62 3.56 0.07 0.77 8.85 6.81 4.45 -0.26 *** 6.36 4.75 3.17 0.30 0.77 Jul 2023 3.51 3.59 2.29 0.33 0.21 5.62 3.58 3.98 -0.01 *** 3.41 3.29 2.02 0.56 0.22 Aug 2023 -2.05 -4.08 -1.80 -0.41 -1.15 -4.70 -2.07 -4.42 -0.46 *** -2.03 -3.81 -1.56 -0.37 -1.18 Sep 2023 -4.72 -3.79 -3.48 -1.80 -2.70 -7.75 -4.81 -3.33 -2.05 *** -4.60 -4.14 -3.12 -1.63 -2.74 Oct 2023 -2.88 -3.44 -2.16 -1.14 -1.36 -5.16 -2.83 -3.57 -1.13 *** -2.94 -3.34 -1.92 -1.15 -1.41 Nov 2023 9.11 8.37 6.54 3.68 5.90 *** 9.26 8.37 3.82 *** 8.91 8.37 6.15 3.58 5.96 Dec 2023 5.61 5.02 4.43 3.13 2.39 8.37 5.62 4.98 3.33 *** 5.58 5.06 4.15 2.98 2.42 May 17, 2024 Analytics Office 4 Fund Portfolio Investments by Category 4.1 All Funds Table 4.1: Aggregate Gross Value of Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Preferred Equity Rate Derivative Private Fund Equity Derivative Cash Other Debt FX Derivative Structured Note Other Types Commodity Commodity Derivative Credit Derivative Asset-Backed CP Other Derivative Total Jan 2023 18,981 2,386 2,230 1,741 1,243 1,005 806 362 198 152 157 109 113 90 76 72 89 58 26 22 16 *** 8 5 *** 2 29,956 Feb 2023 18,407 2,313 2,168 1,740 1,199 982 800 349 194 154 157 123 108 94 77 63 88 55 31 22 16 *** 6 4 *** 2 29,161 Mar 2023 18,748 2,360 2,183 1,805 1,293 993 798 362 186 155 156 126 104 92 77 71 87 60 24 20 16 *** 6 4 *** 2 29,739 Apr 2023 18,911 2,389 2,198 1,797 1,272 995 832 367 186 156 156 122 103 87 78 68 88 65 24 20 16 *** 7 4 *** 2 29,951 May 2023 18,729 2,355 2,182 1,770 1,303 986 797 358 179 157 157 109 101 84 76 70 87 62 36 20 16 *** 8 4 *** 1 29,656 12 Jun 2023 19,862 2,443 2,195 1,777 1,301 994 773 368 182 158 159 120 103 90 78 77 84 58 25 21 16 *** 6 5 *** 1 30,904 Jul 2023 20,567 2,492 2,209 1,788 1,309 999 784 372 185 159 161 114 104 92 79 86 79 58 21 21 17 *** 7 5 *** 1 31,721 Aug 2023 20,002 2,441 2,192 1,791 1,316 985 768 365 185 163 162 106 100 85 79 74 74 56 25 21 17 *** 6 4 *** 1 31,031 Sep 2023 19,063 2,343 2,141 1,765 1,302 952 775 353 190 165 166 103 96 97 79 68 86 56 25 22 17 *** 10 3 *** 1 29,886 Oct 2023 18,475 2,270 2,096 1,742 1,307 931 746 347 186 171 165 97 92 105 79 70 84 50 19 21 16 *** 5 3 *** 1 29,090 Nov 2023 20,137 2,438 2,208 1,783 1,395 980 750 368 188 173 169 104 98 81 81 76 82 50 27 22 18 *** 9 4 *** 1 31,254 Dec 2023 21,241 2,545 2,263 1,840 1,425 1,002 733 379 191 173 172 104 102 97 82 82 81 50 25 22 17 *** 6 5 *** 1 32,650 May 17, 2024 Analytics Office Table 4.2: Number of Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Preferred Equity Rate Derivative Private Fund Equity Derivative Cash Other Debt FX Derivative Structured Note Other Types Commodity Commodity Derivative Credit Derivative Asset-Backed CP Other Derivative Total Jan 2023 7,130 2,358 2,263 1,767 1,196 811 2,128 467 371 473 473 508 244 227 433 594 709 159 83 *** 22 *** 46 *** *** 14 12,607 Feb 2023 7,125 2,337 2,257 1,762 1,197 812 2,174 474 374 479 478 532 245 231 445 561 665 166 88 24 18 *** 44 *** *** 15 12,601 Mar 2023 7,119 2,354 2,241 1,776 1,205 813 2,162 472 372 482 473 529 234 225 437 594 645 188 65 24 *** 10 41 *** *** *** 12,614 Apr 2023 7,096 2,353 2,232 1,780 1,194 806 2,126 459 373 487 467 508 231 211 445 576 617 200 80 23 17 *** 47 *** *** 12 12,588 May 2023 7,094 2,328 2,243 1,762 1,211 807 2,060 455 373 489 478 490 230 192 415 570 644 174 88 23 19 *** 62 *** *** 13 12,614 13 Jun 2023 7,100 2,327 2,246 1,761 1,209 801 2,009 452 378 489 479 491 225 192 416 558 591 173 72 24 *** 10 47 *** *** *** 12,595 Jul 2023 7,102 2,319 2,241 1,775 1,214 801 1,947 457 376 496 485 462 219 190 422 619 589 170 76 25 27 *** 55 *** *** 15 12,599 Aug 2023 7,107 2,301 2,242 1,801 1,220 799 1,883 452 381 499 493 473 232 177 422 580 557 160 79 25 22 *** 39 10 *** 13 12,595 Sep 2023 7,119 2,327 2,236 1,839 1,221 797 2,025 441 379 513 504 479 213 218 426 594 596 169 62 *** *** 10 48 *** *** *** 12,647 Oct 2023 7,084 2,283 2,237 1,810 1,230 793 2,035 431 379 521 506 482 212 228 434 587 565 147 74 23 23 *** 34 *** *** 14 12,601 Nov 2023 7,108 2,281 2,223 1,769 1,231 792 1,957 427 367 519 495 484 208 172 431 565 535 148 74 23 21 *** 41 *** *** 12 12,591 Dec 2023 7,120 2,252 2,222 1,787 1,229 791 1,800 422 364 500 493 471 206 203 392 535 539 165 77 *** *** 11 47 *** *** *** 12,596 May 17, 2024 4.2 Analytics Office Mutual Funds3 Table 4.3: Aggregate Gross Value of Mutual Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security US Treasury Debt Municipal Debt STIV Non US Sovereign Debt Other Types Other Asset-Backed Security Collateralized Obligation Loan Repurchase Agreement Cash Preferred Equity Private Fund Total Jan 2023 13,530 2,338 1,712 1,101 1,206 808 636 279 230 145 142 143 86 72 62 23 22,513 Feb 2023 13,119 2,267 1,672 1,059 1,207 791 636 270 227 146 141 138 101 71 60 23 21,928 Mar 2023 13,368 2,313 1,687 1,146 1,236 800 628 281 227 147 140 131 103 65 58 22 22,354 Apr 2023 13,476 2,342 1,691 1,126 1,224 801 656 284 225 148 140 130 99 67 56 24 22,487 May 2023 13,331 2,308 1,679 1,155 1,197 793 624 277 231 148 140 125 88 66 55 23 22,240 Jun 2023 14,100 2,393 1,686 1,150 1,194 799 611 284 222 149 142 126 99 65 56 24 23,099 Jul 2023 14,545 2,440 1,693 1,157 1,206 802 617 286 226 149 143 128 93 62 56 24 23,626 Aug 2023 14,138 2,390 1,683 1,164 1,206 791 602 281 212 152 143 128 84 57 54 23 23,107 Sep 2023 13,454 2,294 1,646 1,151 1,174 762 610 272 222 154 145 130 81 66 51 23 22,235 Oct 2023 13,023 2,221 1,616 1,155 1,145 743 585 268 220 159 144 126 75 67 49 23 21,619 Nov 2023 14,124 2,383 1,690 1,233 1,171 777 589 281 205 160 147 126 85 63 52 23 23,108 Dec 2023 14,823 2,486 1,717 1,253 1,214 793 577 290 222 161 149 126 87 62 54 23 24,037 Table 4.4: Number of Mutual Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Mutual Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security US Treasury Debt Municipal Debt STIV Non US Sovereign Debt Other Types Other Asset-Backed Security Collateralized Obligation Loan Repurchase Agreement Cash Preferred Equity Private Fund Total Jan 2023 5,091 2,027 1,715 1,022 1,422 613 1,595 376 583 397 365 224 336 443 122 137 9,034 Feb 2023 5,074 2,010 1,714 1,025 1,420 614 1,610 382 575 401 369 227 358 414 122 138 9,021 Mar 2023 5,078 2,025 1,709 1,033 1,439 614 1,574 382 616 403 362 224 363 388 114 128 9,010 Apr 2023 5,053 2,031 1,701 1,021 1,439 609 1,569 369 614 406 356 224 351 382 112 141 8,987 May 2023 5,048 2,007 1,706 1,035 1,411 608 1,493 365 576 407 365 224 339 388 109 130 8,995 Jun 2023 5,043 2,008 1,701 1,034 1,411 604 1,452 362 558 410 366 226 336 353 105 124 8,955 Jul 2023 5,041 1,998 1,697 1,034 1,414 600 1,407 363 595 412 366 223 316 338 102 137 8,946 Aug 2023 5,028 1,981 1,697 1,036 1,429 599 1,375 363 529 411 369 229 327 324 111 140 8,917 Sep 2023 5,019 2,000 1,685 1,034 1,441 595 1,455 355 582 424 377 226 334 342 102 135 8,908 Oct 2023 5,003 1,941 1,684 1,040 1,386 593 1,449 346 522 426 382 225 329 306 98 135 8,834 Nov 2023 4,991 1,923 1,671 1,036 1,346 591 1,385 340 471 424 367 216 331 286 100 139 8,782 Dec 2023 4,979 1,896 1,663 1,029 1,363 589 1,260 337 519 406 364 212 332 276 97 112 8,750 3 “Mutual Funds” exclude ETFs. Please see Appendix 13.5 for a more detailed definition and definitions of other capitalized terms used in this report. 14 May 17, 2024 4.3 Analytics Office ETFs Table 4.5: Aggregate Gross Value of ETF Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security STIV Municipal Debt Non US Sovereign Debt Other Types Registered Fund Preferred Equity Loan Cash Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Total Jan 2023 5,318 530 456 123 161 107 79 67 39 39 13 13 7 5 8 6,966 Feb 2023 5,160 528 437 121 156 104 75 65 38 38 12 13 8 5 8 6,766 Mar 2023 5,251 565 438 126 162 106 77 67 38 36 11 17 8 5 8 6,918 Apr 2023 5,306 569 449 127 167 107 79 67 39 36 11 17 8 5 9 6,995 May 2023 5,272 569 445 129 164 107 77 68 39 36 10 17 8 6 7 6,953 Jun 2023 5,631 578 451 132 152 109 80 75 41 37 11 15 9 6 7 7,332 Jul 2023 5,887 577 457 133 158 111 82 82 43 38 11 13 9 7 7 7,615 Aug 2023 5,733 581 451 133 157 110 80 76 43 36 11 12 10 7 7 7,448 Sep 2023 5,483 585 437 131 156 108 77 77 41 35 12 16 11 8 6 7,182 Oct 2023 5,331 592 423 132 149 109 76 72 41 34 12 14 11 8 8 7,011 Nov 2023 5,883 607 459 142 150 120 83 84 46 37 12 15 12 9 6 7,665 Dec 2023 6,284 621 484 151 145 123 86 84 50 38 14 14 13 9 4 8,121 Table 4.6: Number of ETFs Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of ETFs, and not the sum of the preceding rows. Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security STIV Municipal Debt Non US Sovereign Debt Other Types Registered Fund Preferred Equity Loan Cash Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Total Jan 2023 1,857 302 333 101 424 71 58 585 283 53 24 204 37 45 110 2,921 Feb 2023 1,871 300 329 102 434 72 59 593 281 54 24 191 37 45 112 2,928 Mar 2023 1,868 296 322 101 462 74 58 586 281 53 24 203 39 45 *** 2,952 Apr 2023 1,872 305 322 103 435 74 58 581 276 52 24 185 40 46 102 2,954 May 2023 1,873 312 325 105 444 76 57 586 274 52 24 200 42 46 *** 2,970 15 Jun 2023 1,886 317 330 105 436 75 56 580 274 56 24 194 41 44 *** 2,986 Jul 2023 1,887 332 332 109 414 79 60 611 273 54 23 185 48 48 *** 3,005 Aug 2023 1,899 338 335 113 403 78 57 607 274 55 22 179 51 53 *** 3,033 Sep 2023 1,918 360 342 115 443 80 54 619 281 51 22 201 53 55 *** 3,088 Oct 2023 1,903 385 346 119 441 81 55 663 296 53 21 211 51 60 *** 3,121 Nov 2023 1,934 385 348 124 439 82 57 642 311 54 20 195 54 60 *** 3,165 Dec 2023 1,956 390 352 128 421 83 57 609 308 54 20 210 53 59 *** 3,201 May 17, 2024 4.4 Analytics Office Closed-End Funds4 Table 4.7: Aggregate Gross Value of Closed-End Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Municipal Debt Other Types Corporate Debt Loan Mortgage-Backed Security Repurchase Agreement STIV Preferred Equity Collateralized Obligation Registered Fund US Treasury Debt Cash Other Asset-Backed Security Non US Sovereign Debt Total Jan 2023 133 90 64 61 42 19 15 9 11 8 9 5 4 2 4 477 Feb 2023 128 87 64 60 43 19 14 9 11 8 8 5 4 3 4 466 Mar 2023 129 87 65 58 43 20 15 9 10 8 8 5 4 3 4 467 Apr 2023 129 87 64 58 45 20 14 9 11 8 8 5 4 3 4 469 May 2023 126 86 65 58 43 19 14 9 10 8 8 5 4 3 4 463 Jun 2023 131 87 66 58 45 19 14 9 10 9 8 5 4 3 4 473 Jul 2023 135 86 66 59 46 19 14 10 10 9 8 5 4 3 4 480 Aug 2023 131 85 67 58 46 20 15 10 10 9 9 5 4 3 4 476 Sep 2023 125 81 68 58 48 20 16 10 10 9 8 5 4 3 4 469 Oct 2023 121 79 67 57 48 20 14 12 9 9 8 5 4 3 4 459 Nov 2023 130 84 69 59 50 20 13 11 10 10 9 5 4 3 4 481 Dec 2023 133 86 70 62 51 21 13 11 10 10 9 5 5 3 3 493 Table 4.8: Number of Closed-End Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Closed-End Funds, and not the sum of the preceding rows. Investment Type Common Equity Municipal Debt Other Types Corporate Debt Loan Mortgage-Backed Security Repurchase Agreement STIV Preferred Equity Collateralized Obligation Registered Fund US Treasury Debt Cash Other Asset-Backed Security Non US Sovereign Debt Total Jan 2023 236 128 162 224 123 75 62 111 69 71 48 52 62 31 35 652 Feb 2023 233 127 161 223 123 72 62 130 69 72 46 51 60 33 35 652 Mar 2023 227 126 166 219 124 73 55 127 67 72 48 50 54 34 34 652 Apr 2023 224 124 166 218 125 72 55 123 67 71 46 45 51 35 34 647 May 2023 227 124 165 221 125 73 52 124 69 71 47 48 57 36 35 649 Jun 2023 225 123 167 224 128 72 59 124 64 72 45 42 44 35 36 654 Jul 2023 228 123 164 221 130 73 56 127 63 71 48 38 66 36 36 648 Aug 2023 233 123 165 219 130 73 56 106 66 73 46 43 54 35 34 645 Sep 2023 235 123 172 218 131 74 55 127 60 74 *** 47 53 34 34 651 Oct 2023 232 120 171 216 133 73 56 147 61 73 46 48 48 35 32 646 Nov 2023 237 120 165 213 131 73 53 134 54 74 47 47 55 35 32 644 Dec 2023 238 120 163 216 132 74 53 120 55 76 *** 43 53 35 30 645 4 “Closed-End Funds” include interval funds and non-traded funds registered on Form N-2. Please see Appendix 13.5 for definitions of other capitalized terms used in this report. 16 May 17, 2024 4.5 Analytics Office Non-Index Funds Table 4.9: Aggregate Gross Value of Non-Index Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security Municipal Debt US Treasury Debt STIV Other Types Loan Other Asset-Backed Security Collateralized Obligation Non US Sovereign Debt Repurchase Agreement Cash Preferred Equity Total Jan 2023 9,517 2,296 1,602 991 901 786 604 326 194 151 155 162 97 77 71 17,928 Feb 2023 9,223 2,226 1,566 951 881 785 607 323 190 152 155 158 112 75 69 17,472 Mar 2023 9,374 2,272 1,570 1,036 890 800 599 327 182 153 154 160 115 67 66 17,764 Apr 2023 9,436 2,299 1,574 1,015 891 788 628 327 183 154 154 161 109 68 64 17,850 May 2023 9,314 2,266 1,565 1,047 883 762 602 333 176 155 154 155 97 68 63 17,638 Jun 2023 9,831 2,348 1,569 1,043 889 761 586 328 178 156 157 159 108 67 63 18,244 Jul 2023 10,135 2,395 1,575 1,047 893 769 589 340 181 157 158 161 102 65 63 18,630 Aug 2023 9,839 2,346 1,566 1,056 880 770 577 323 181 161 159 158 94 62 61 18,232 Sep 2023 9,359 2,254 1,535 1,048 849 751 585 336 185 163 163 152 94 68 58 17,599 Oct 2023 9,049 2,183 1,510 1,057 827 731 566 333 181 169 162 146 85 71 56 17,126 Nov 2023 9,810 2,342 1,575 1,131 867 741 570 327 183 171 166 152 93 64 59 18,250 Dec 2023 10,285 2,442 1,598 1,149 886 768 555 345 185 171 169 157 97 63 61 18,931 Table 4.10: Number of Non-Index Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. The “Total” row below indicates the number of Non-Index Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security Municipal Debt US Treasury Debt STIV Other Types Loan Other Asset-Backed Security Collateralized Obligation Non US Sovereign Debt Repurchase Agreement Cash Preferred Equity Total Jan 2023 5,280 2,176 2,034 1,131 771 1,535 1,753 1,080 368 470 473 420 290 590 205 10,060 Feb 2023 5,270 2,160 2,029 1,131 771 1,532 1,818 1,080 371 476 478 427 316 549 205 10,059 Mar 2023 5,272 2,177 2,017 1,139 770 1,547 1,793 1,091 369 479 473 426 301 515 194 10,068 Apr 2023 5,252 2,178 2,008 1,128 763 1,546 1,769 1,129 370 484 467 413 291 505 193 10,056 May 2023 5,254 2,152 2,018 1,145 763 1,535 1,709 1,092 370 487 478 410 275 532 192 10,082 17 Jun 2023 5,259 2,151 2,020 1,143 757 1,531 1,660 1,061 375 487 479 409 277 471 184 10,063 Jul 2023 5,262 2,146 2,015 1,148 758 1,544 1,634 1,118 373 495 485 412 258 478 179 10,069 Aug 2023 5,266 2,132 2,016 1,154 755 1,563 1,564 1,072 379 496 493 407 261 446 192 10,062 Sep 2023 5,274 2,159 2,011 1,155 753 1,587 1,681 1,125 377 510 504 400 272 479 177 10,101 Oct 2023 5,256 2,112 2,012 1,165 749 1,556 1,689 1,095 377 518 506 389 264 450 177 10,064 Nov 2023 5,295 2,106 2,004 1,167 750 1,530 1,618 1,044 365 517 495 386 269 425 171 10,073 Dec 2023 5,311 2,088 2,004 1,165 750 1,540 1,494 1,050 362 498 493 381 272 426 171 10,101 May 17, 2024 4.6 Analytics Office Index Funds Table 4.11: Aggregate Gross Value of Index Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security Non US Sovereign Debt STIV Municipal Debt Registered Fund Other Types Preferred Equity Cash Repurchase Agreement Loan Collateralized Obligation Other Asset-Backed Security Total Jan 2023 9,464 955 628 252 200 202 104 90 58 42 12 12 *** *** 2 12,027 Feb 2023 9,185 955 602 248 191 194 101 87 56 40 13 11 *** *** 2 11,689 Mar 2023 9,375 1,006 613 257 202 200 103 89 55 38 20 10 *** *** 2 11,975 Apr 2023 9,475 1,009 624 258 206 203 104 90 52 39 20 13 *** *** 2 12,101 May 2023 9,415 1,008 618 256 202 195 103 89 54 38 20 12 3 2 2 12,018 Jun 2023 10,030 1,016 626 258 209 186 105 95 58 40 18 11 *** *** 2 12,659 Jul 2023 10,431 1,019 634 262 212 196 106 97 58 41 14 12 *** *** 2 13,091 Aug 2023 10,163 1,022 626 260 208 191 105 96 56 39 12 12 *** *** 2 12,799 Sep 2023 9,703 1,014 606 254 201 190 103 90 53 38 18 9 *** *** 2 12,288 Oct 2023 9,426 1,011 587 250 201 179 104 87 49 36 14 11 *** *** 2 11,964 Nov 2023 10,327 1,042 633 264 215 180 113 96 55 39 18 11 *** *** 2 13,004 Dec 2023 10,956 1,072 665 276 222 179 116 103 54 41 17 8 *** *** 2 13,720 Table 4.12: Number of Index Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. The “Total” row below indicates the number of Index Funds, and not the sum of the preceding rows. Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security Non US Sovereign Debt STIV Municipal Debt Registered Fund Other Types Preferred Equity Cash Repurchase Agreement Loan Collateralized Obligation Other Asset-Backed Security Total Jan 2023 1,850 232 229 65 47 375 *** 182 375 39 119 218 *** 0 *** 2,547 Feb 2023 1,855 230 228 66 47 356 41 177 373 40 116 216 *** 0 *** 2,542 Mar 2023 1,847 229 224 66 46 369 43 177 392 40 130 *** *** 0 *** 2,546 Apr 2023 1,844 234 224 66 46 357 43 175 361 38 112 217 *** 0 *** 2,532 May 2023 1,840 227 225 66 45 351 44 176 351 38 112 215 *** 0 *** 2,532 18 Jun 2023 1,841 230 226 66 43 349 44 176 356 41 120 *** *** 0 *** 2,532 Jul 2023 1,840 231 226 66 45 313 43 173 375 40 111 204 *** 0 *** 2,530 Aug 2023 1,841 238 226 66 45 319 44 169 355 40 111 212 *** 0 *** 2,533 Sep 2023 1,845 252 225 66 41 344 44 168 368 36 117 *** *** 0 *** 2,546 Oct 2023 1,828 254 225 65 42 346 44 171 381 35 115 218 *** 0 *** 2,537 Nov 2023 1,813 239 219 64 41 339 42 175 358 37 110 215 *** 0 *** 2,518 Dec 2023 1,809 247 218 64 41 306 41 164 339 35 113 *** *** 0 *** 2,495 May 17, 2024 4.7 Analytics Office US Equity Funds Table 4.13: Aggregate Gross Value of US Equity Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity STIV Other Types Preferred Equity Registered Fund Cash Repurchase Agreement US Treasury Debt Corporate Debt Loan Total Jan 2023 13,912 262 65 50 27 18 *** 8 6 *** 14,366 Feb 2023 13,528 250 62 49 24 20 17 7 6 0 13,965 Mar 2023 13,770 251 66 48 24 21 16 7 *** *** 14,208 Apr 2023 13,874 255 68 47 25 21 *** 6 6 *** 14,318 May 2023 13,831 241 71 46 24 20 *** 6 6 *** 14,260 Jun 2023 14,730 245 72 46 26 24 17 5 *** *** 15,171 Jul 2023 15,258 245 79 46 24 19 *** 5 6 *** 15,698 Aug 2023 14,899 231 74 45 27 19 *** 5 6 *** 15,323 Sep 2023 14,179 238 72 43 24 23 14 6 *** *** 14,606 Oct 2023 13,772 227 74 42 23 27 13 5 6 1 14,190 Nov 2023 15,047 235 79 44 24 21 15 6 6 1 15,480 Dec 2023 15,907 231 85 46 26 20 16 7 *** *** 16,345 Table 4.14: Number of US Equity Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of US Equity Funds, and not the sum of the preceding rows. Investment Type Common Equity STIV Other Types Preferred Equity Registered Fund Cash Repurchase Agreement US Treasury Debt Corporate Debt Loan Total Jan 2023 4,131 480 434 58 96 147 87 71 31 *** 4,348 Feb 2023 4,133 492 424 58 100 143 90 72 36 *** 4,355 Mar 2023 4,135 478 455 59 109 141 95 78 35 3 4,367 Apr 2023 4,122 476 458 55 113 150 77 73 36 *** 4,358 May 2023 4,124 488 436 56 98 140 85 72 41 *** 4,351 19 Jun 2023 4,132 465 426 51 104 122 85 74 39 3 4,360 Jul 2023 4,132 411 449 47 97 121 68 71 38 *** 4,363 Aug 2023 4,142 404 438 54 99 124 78 72 34 *** 4,380 Sep 2023 4,158 439 462 50 121 136 77 78 34 3 4,406 Oct 2023 4,151 466 451 52 97 129 83 57 38 *** 4,378 Nov 2023 4,160 420 433 50 89 120 81 47 33 *** 4,389 Dec 2023 4,174 377 445 50 87 114 *** 48 32 1 4,405 May 17, 2024 4.8 Analytics Office Taxable Bond Funds Table 4.15: Aggregate Gross Value of Taxable Bond Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Corporate Debt US Treasury Debt Mortgage-Backed Security Non US Sovereign Debt Other Types STIV Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Total Jan 2023 1,960 1,564 1,133 341 287 289 182 138 142 78 6,114 Feb 2023 1,904 1,572 1,096 328 285 294 179 139 142 90 6,030 Mar 2023 1,917 1,635 1,181 342 277 274 170 140 142 94 6,172 Apr 2023 1,932 1,632 1,161 347 276 301 171 141 141 88 6,190 May 2023 1,918 1,612 1,192 339 280 295 163 142 142 79 6,161 Jun 2023 1,928 1,620 1,194 348 278 267 166 143 144 86 6,174 Jul 2023 1,940 1,629 1,201 352 278 278 169 144 145 84 6,220 Aug 2023 1,923 1,624 1,208 346 262 284 169 147 146 76 6,185 Sep 2023 1,881 1,597 1,192 335 281 281 173 149 149 76 6,113 Oct 2023 1,841 1,582 1,194 330 268 275 169 155 148 70 6,033 Nov 2023 1,937 1,625 1,270 350 264 268 172 157 152 76 6,270 Dec 2023 1,989 1,675 1,308 361 280 255 174 158 154 76 6,431 Table 4.16: Number of Taxable Bond Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Taxable Bond Funds, and not the sum of the preceding rows. Investment Type Corporate Debt US Treasury Debt Mortgage-Backed Security Non US Sovereign Debt Other Types STIV Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Total Jan 2023 1,825 1,281 1,016 410 817 761 328 455 448 296 2,614 Feb 2023 1,816 1,273 1,018 416 796 753 329 460 452 307 2,607 Mar 2023 1,806 1,270 1,021 410 806 726 331 463 447 302 2,611 Apr 2023 1,801 1,268 1,014 398 803 730 331 468 442 298 2,611 May 2023 1,813 1,263 1,028 395 806 695 332 472 452 277 2,626 20 Jun 2023 1,813 1,273 1,031 393 798 687 339 473 453 297 2,638 Jul 2023 1,811 1,281 1,034 396 812 710 332 482 458 292 2,629 Aug 2023 1,808 1,304 1,035 395 763 666 335 485 463 287 2,627 Sep 2023 1,805 1,332 1,039 385 811 696 333 495 471 296 2,645 Oct 2023 1,803 1,345 1,047 376 807 688 333 504 473 290 2,651 Nov 2023 1,798 1,333 1,050 374 783 722 324 503 463 296 2,658 Dec 2023 1,798 1,352 1,053 373 796 665 320 486 464 297 2,652 May 17, 2024 4.9 Analytics Office Multi-Asset Funds Table 4.17: Aggregate Gross Value of Multi-Asset Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Registered Fund Common Equity Corporate Debt Other Types US Treasury Debt STIV Mortgage-Backed Security Loan Non US Sovereign Debt Preferred Equity Total Jan 2023 2,326 988 258 207 165 143 110 16 18 17 4,247 Feb 2023 2,258 957 253 201 158 136 102 15 17 16 4,114 Mar 2023 2,304 965 255 206 161 141 111 15 17 15 4,189 Apr 2023 2,330 973 255 198 156 145 111 15 16 14 4,214 May 2023 2,298 952 253 198 150 141 111 15 16 14 4,147 Jun 2023 2,384 996 257 203 149 138 106 15 16 13 4,277 Jul 2023 2,437 1,015 258 205 151 142 107 15 16 13 4,360 Aug 2023 2,382 983 256 201 158 134 108 15 16 13 4,266 Sep 2023 2,287 934 249 198 158 128 110 16 15 12 4,107 Oct 2023 2,216 897 243 197 151 128 112 16 14 12 3,984 Nov 2023 2,382 951 256 198 147 136 124 15 15 12 4,237 Dec 2023 2,487 996 261 203 153 137 117 16 15 12 4,397 Table 4.18: Number of Multi-Asset Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Multi-Asset Funds, and not the sum of the preceding rows. Investment Type Registered Fund Common Equity Corporate Debt Other Types US Treasury Debt STIV Mortgage-Backed Security Loan Non US Sovereign Debt Preferred Equity Total Jan 2023 2,105 782 387 686 387 622 176 40 50 57 2,765 Feb 2023 2,091 780 385 695 389 634 175 42 50 55 2,756 Mar 2023 2,087 777 382 687 409 637 178 38 54 50 2,754 Apr 2023 2,089 763 379 659 416 593 175 39 51 50 2,738 May 2023 2,084 750 371 676 404 593 178 38 50 49 2,753 21 Jun 2023 2,077 746 376 636 394 555 173 36 52 48 2,710 Jul 2023 2,084 748 376 635 394 546 176 41 54 48 2,721 Aug 2023 2,067 741 381 629 399 535 183 43 51 48 2,699 Sep 2023 2,060 725 380 626 403 593 180 43 52 47 2,702 Oct 2023 2,042 717 379 602 382 601 180 43 51 47 2,692 Nov 2023 2,049 720 376 586 362 583 178 41 49 50 2,662 Dec 2023 2,028 718 375 562 362 532 172 43 46 48 2,651 May 17, 2024 4.10 Analytics Office Global Equity Funds Table 4.19: Aggregate Gross Value of Global Equity Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity STIV Other Types Preferred Equity Cash Total Jan 2023 4,058 101 41 30 13 4,243 Feb 2023 3,900 110 41 28 12 4,091 Mar 2023 3,992 123 43 28 13 4,199 Apr 2023 4,042 120 44 28 20 4,254 May 2023 3,925 110 42 28 20 4,126 Jun 2023 4,113 112 42 31 14 4,312 Jul 2023 4,270 109 40 32 14 4,466 Aug 2023 4,096 110 44 30 14 4,294 Sep 2023 3,925 120 41 29 15 4,130 Oct 2023 3,784 105 41 27 14 3,972 Nov 2023 4,115 104 43 30 17 4,310 Dec 2023 4,313 102 40 32 12 4,498 Table 4.20: Number of Global Equity Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Global Equity Funds, and not the sum of the preceding rows. Investment Type Common Equity STIV Other Types Preferred Equity Cash Total Jan 2023 2,133 215 162 62 78 2,144 Feb 2023 2,132 238 171 64 52 2,141 Mar 2023 2,128 265 176 59 62 2,139 Apr 2023 2,128 269 177 59 62 2,137 May 2023 2,132 235 161 59 62 2,140 22 Jun 2023 2,136 245 148 64 56 2,144 Jul 2023 2,132 207 144 62 57 2,142 Aug 2023 2,134 216 151 66 47 2,145 Sep 2023 2,142 251 155 58 54 2,152 Oct 2023 2,131 219 149 58 54 2,141 Nov 2023 2,132 195 143 59 42 2,142 Dec 2023 2,136 196 132 58 37 2,148 May 17, 2024 4.11 Analytics Office Municipal Bond Funds Table 4.21: Aggregate Gross Value of Municipal Bond Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Municipal Debt Other Types STIV Cash Corporate Debt Total Jan 2023 954 14 11 5 2 987 Feb 2023 933 13 10 3 2 962 Mar 2023 943 13 9 2 2 971 Apr 2023 945 13 10 2 2 974 May 2023 937 11 9 2 2 962 Jun 2023 944 11 9 3 2 970 Jul 2023 950 11 11 2 2 977 Aug 2023 939 11 10 2 2 963 Sep 2023 907 11 8 2 2 930 Oct 2023 888 10 10 2 2 911 Nov 2023 936 10 8 2 2 959 Dec 2023 955 11 8 3 2 979 Table 4.22: Number of Municipal Bond Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Municipal Bond Funds, and not the sum of the preceding rows. Investment Type Municipal Debt Other Types STIV Cash Corporate Debt Total Jan 2023 736 43 50 20 11 736 Feb 2023 742 44 57 17 12 742 Mar 2023 743 34 56 *** *** 743 Apr 2023 741 41 58 7 *** 744 May 2023 744 38 49 12 *** 744 23 Jun 2023 741 38 57 15 *** 743 Jul 2023 743 42 73 11 *** 744 Aug 2023 744 43 62 9 *** 744 Sep 2023 742 41 46 *** *** 742 Oct 2023 738 44 61 11 *** 739 Nov 2023 740 43 37 10 *** 740 Dec 2023 740 41 30 *** *** 740 May 17, 2024 5 Analytics Office Fund Portfolio Investments by Currency5 Table 5.1: Aggregate Gross Value of Fund Investments, by Fund Type and Currency ($Billions) This table includes holdings reported by fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by currency code (Form N-PORT, Item C.2.b). This table does not reflect the notional value of derivatives but uses the value reported in Item C.2.c. Reported currency codes with a value of “N/A” are aggregated with the “Other” category. Currency codes are reported pursuant to the International Organization for Standardization (ISO) 4217 standard. Currency code mappings presented below are derived from ISO 4217 mappings as of January 1, 2024. Fund Type Mutual Fund ETF Closed-End Fund Total Currency USD - US Dollar EUR - Euro JPY - Yen GBP - Pound Sterling CAD - Canadian Dollar CHF - Swiss Franc INR - Indian Rupee HKD - Hong Kong Dollar TWD - New Taiwan Dollar KRW - Won Other Subtotal USD - US Dollar EUR - Euro JPY - Yen GBP - Pound Sterling HKD - Hong Kong Dollar INR - Indian Rupee CHF - Swiss Franc CAD - Canadian Dollar TWD - New Taiwan Dollar KRW - Won Other Subtotal USD - US Dollar EUR - Euro GBP - Pound Sterling CAD - Canadian Dollar JPY - Yen INR - Indian Rupee CHF - Swiss Franc HKD - Hong Kong Dollar TWD - New Taiwan Dollar KRW - Won Other Subtotal Total Jan 2023 19,475 861 367 349 186 170 119 209 95 89 522 22,441 5,820 236 164 103 113 48 57 59 51 40 262 6,953 435 18 5 3 2 1 1 1 0 1 6 473 29,867 Feb 2023 18,999 850 352 341 176 160 114 186 93 83 504 21,858 5,660 236 159 103 101 45 56 56 50 38 250 6,753 424 17 5 2 2 1 1 1 0 0 6 462 29,073 Mar 2023 19,367 875 364 344 175 164 117 192 98 86 507 22,289 5,781 244 164 102 106 46 58 57 52 39 252 6,900 424 18 5 2 2 1 1 1 1 0 6 463 29,652 Apr 2023 19,457 893 359 360 180 172 123 187 92 84 515 22,420 5,838 252 166 107 103 48 61 59 50 38 256 6,979 425 19 6 2 2 1 1 1 0 0 6 464 29,863 May 2023 19,313 845 361 340 170 164 125 167 100 90 500 22,174 5,828 240 170 101 93 50 59 56 54 40 245 6,936 420 18 6 2 2 1 1 1 1 0 6 459 29,569 Jun 2023 20,064 886 374 353 177 168 132 175 102 92 510 23,033 6,163 252 180 103 98 53 60 58 54 41 255 7,317 429 18 6 2 2 1 1 1 1 0 6 469 30,819 Jul 2023 20,511 906 381 366 183 171 137 187 100 96 525 23,564 6,396 259 187 108 107 56 63 60 55 44 268 7,602 435 19 6 2 2 1 1 1 1 0 6 476 31,642 Aug 2023 20,122 867 373 352 179 165 134 167 96 90 505 23,050 6,280 249 184 103 96 56 61 59 52 41 254 7,435 433 18 6 2 2 1 1 1 1 0 6 472 30,957 Sep 2023 19,364 813 357 345 175 154 135 157 93 87 490 22,170 6,050 235 179 102 92 58 57 57 51 39 247 7,167 427 18 6 2 2 1 1 1 1 0 6 464 29,801 Oct 2023 18,848 788 345 332 165 147 130 151 91 83 470 21,552 5,921 228 174 99 87 56 55 55 49 37 237 6,998 419 17 5 2 2 1 1 1 1 0 5 456 29,006 Nov 2023 20,132 863 370 356 175 157 137 151 103 95 507 23,046 6,479 253 187 106 87 61 60 60 55 43 257 7,649 438 19 6 2 2 1 1 1 1 0 6 477 31,172 Dec 2023 20,930 894 387 372 182 166 148 147 109 100 539 23,975 6,878 264 196 111 86 68 64 64 58 45 272 8,107 448 19 6 2 2 1 1 1 1 0 6 488 32,570 5 Per N-PORT General Instruction G, N-PORT filers must report applicable three-letter alphabetic currency codes pursuant to the International Organization for Standardization (ISO) 4217 standard. Please refer to the ISO for additional information on currency code definitions and mappings. 24 May 17, 2024 6 Analytics Office Fund Portfolio Investments by Country6 Table 6.1: Aggregate Gross Value of Fund Investments, by Fund Type and Country of Investment ($Billions) This table includes holdings reported by fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by country of investment (Form N-PORT, Item C.5.a), adjusted for consensus — see the appendix for more details. Reported country codes with a value of “N/A” are aggregated with the “Other” category. Fund Type Mutual Fund ETF Closed-End Fund Total Country United States of America United Kingdom Japan Canada France Switzerland Netherlands Ireland Germany Cayman Islands Other Subtotal United States of America Japan United Kingdom Canada France Switzerland Ireland Germany Netherlands Cayman Islands Other Subtotal United States of America Cayman Islands United Kingdom Canada France Netherlands Germany Japan Switzerland Ireland Other Subtotal Total Jan 2023 18,204 480 399 343 308 255 234 202 194 205 1,617 22,441 5,519 176 124 102 79 74 60 61 52 59 649 6,953 384 18 9 8 6 3 2 2 3 2 35 473 29,867 Feb 2023 17,762 473 383 327 306 241 228 199 189 191 1,559 21,858 5,372 170 122 96 79 72 58 60 51 53 620 6,753 376 17 9 8 6 3 2 2 3 2 34 462 29,073 Mar 2023 18,126 471 395 329 316 242 237 203 198 195 1,577 22,289 5,496 176 121 98 81 73 59 63 53 56 627 6,900 376 17 9 8 6 3 2 2 2 2 35 463 29,652 Apr 2023 18,219 488 390 340 329 254 227 206 202 185 1,580 22,420 5,551 178 126 99 85 77 60 65 52 52 635 6,979 376 17 10 8 6 3 3 2 2 2 35 464 29,863 May 2023 18,100 463 391 325 306 243 230 204 188 178 1,548 22,174 5,545 181 119 95 80 75 60 61 52 48 619 6,936 372 17 10 7 6 3 3 2 2 2 34 459 29,569 Jun 2023 18,804 476 405 339 323 249 242 217 196 182 1,600 23,033 5,865 192 122 100 84 76 65 64 56 51 644 7,317 380 17 10 8 6 3 3 2 2 2 35 469 30,819 Jul 2023 19,223 491 412 350 329 256 249 219 201 190 1,644 23,564 6,085 198 127 102 86 79 67 66 59 58 675 7,602 386 18 10 7 6 3 3 2 2 2 36 476 31,642 Aug 2023 18,864 475 403 342 320 246 230 218 194 181 1,576 23,050 5,976 196 123 99 84 76 67 63 55 53 644 7,435 384 18 10 7 6 3 3 2 2 2 35 472 30,957 Sep 2023 18,127 468 386 332 302 236 215 209 182 181 1,532 22,170 5,752 190 122 95 79 73 63 59 52 50 631 7,167 377 18 10 7 6 3 2 2 2 2 34 464 29,801 Oct 2023 17,659 454 372 314 293 227 206 200 174 175 1,478 21,552 5,636 185 118 92 77 71 61 57 50 48 602 6,998 371 18 10 7 5 3 2 2 2 2 33 456 29,006 Nov 2023 18,873 476 398 338 315 244 229 219 190 177 1,588 23,046 6,165 198 125 101 84 79 68 63 57 51 657 7,649 388 19 10 8 6 3 3 2 2 2 35 477 31,172 Dec 2023 19,642 492 414 352 325 254 240 228 197 177 1,654 23,975 6,549 207 131 106 87 84 74 66 60 51 692 8,107 396 20 10 8 6 3 3 2 2 2 35 488 32,570 6 Per the N-PORT instructions to Item C.5.a. and C.5.b., filers must report country codes pursuant to the International Organization for Standardization (ISO) standard. Please refer to the ISO for additional information on country code definitions and mappings. 25 May 17, 2024 Analytics Office Table 6.2: Aggregate Gross Value of Fund Investments, by Fund Type and Country of Risk ($Billions) This table includes holdings reported by fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by country of risk (Form N-PORT, Item C.5.b), adjusted for consensus — see the appendix for more details. Reported country codes with a value of “N/A” are aggregated with the “Other” category. Fund Type Mutual Fund ETF Closed-End Fund Total Country United States of America United Kingdom Japan Canada France Germany Netherlands Switzerland Ireland Cayman Islands Other Subtotal United States of America Japan United Kingdom Canada France Germany Switzerland Netherlands Ireland Cayman Islands Other Subtotal United States of America Cayman Islands United Kingdom Canada France Germany Netherlands Japan Switzerland Ireland Other Subtotal Total Jan 2023 18,459 474 403 321 322 212 174 172 69 71 1,763 22,441 5,604 177 119 97 78 65 47 41 19 5 703 6,953 389 12 9 8 6 3 3 2 2 1 38 473 29,867 Feb 2023 18,014 470 388 305 316 206 169 164 68 71 1,687 21,858 5,458 171 119 92 75 64 46 41 18 5 666 6,753 381 12 9 7 6 3 3 2 2 1 37 462 29,073 Mar 2023 18,423 426 401 306 321 216 175 165 70 71 1,715 22,289 5,594 177 105 92 76 66 46 42 18 5 678 6,900 382 12 9 7 6 3 3 2 2 1 37 463 29,652 Apr 2023 18,524 441 395 315 334 220 170 173 69 70 1,709 22,420 5,653 179 110 94 80 69 49 41 19 5 680 6,979 381 12 9 7 6 3 3 2 2 1 37 464 29,863 26 May 2023 18,403 420 396 302 309 205 173 166 70 69 1,660 22,174 5,645 182 104 91 75 65 47 42 19 5 660 6,936 377 12 9 7 6 3 3 2 2 1 36 459 29,569 Jun 2023 19,133 430 410 315 326 212 181 170 72 69 1,716 23,033 5,975 193 106 95 79 67 48 44 20 5 686 7,317 385 13 9 7 6 3 3 2 2 1 37 469 30,819 Jul 2023 19,555 443 417 324 331 217 187 175 73 67 1,774 23,564 6,198 199 111 97 81 70 50 45 20 6 725 7,602 392 13 10 7 6 3 3 2 2 1 37 476 31,642 Aug 2023 19,191 428 408 318 322 212 171 170 73 67 1,688 23,050 6,087 197 106 94 79 67 48 42 21 6 687 7,435 390 13 9 7 6 3 3 2 2 1 36 472 30,957 Sep 2023 18,449 419 391 309 304 199 161 162 66 68 1,640 22,170 5,859 191 105 91 74 64 47 40 18 6 671 7,167 384 13 9 7 6 3 3 2 2 1 35 464 29,801 Oct 2023 17,965 404 377 296 298 191 159 155 63 67 1,578 21,552 5,740 186 101 88 73 61 45 40 17 6 640 6,998 377 13 9 6 5 3 3 2 2 1 34 456 29,006 Nov 2023 19,196 425 402 320 320 211 175 167 69 67 1,695 23,046 6,279 199 108 96 79 68 50 44 19 7 701 7,649 394 13 10 7 6 3 3 2 2 1 36 477 31,172 Dec 2023 19,981 440 419 333 329 217 183 176 73 67 1,758 23,975 6,673 208 113 101 82 71 54 47 20 7 732 8,107 402 15 10 8 6 3 3 2 2 1 36 488 32,570 May 17, 2024 Analytics Office Fund Derivative Investments7 7 Table 7.1: Aggregate Notional of Fund Investments in Derivatives, by Fund Type and Derivative Type ($Billions) Relies on Form N-PORT, Item C.4 and Item C.11. Fund Type Mutual Fund ETF Closed-End Fund Total Derivative Type Interest Rate Future Interest Rate Swap Foreign Exchange Forward Equity Option Credit Swap Equity Future Other Interest Rate Swaption Equity Swap Foreign Exchange Option Commodity Future Subtotal Equity Swap Equity Option Foreign Exchange Forward Interest Rate Future Equity Future Commodity Future Other Interest Rate Swap Credit Swap Interest Rate Swaption Foreign Exchange Option Subtotal Equity Option Interest Rate Swap Foreign Exchange Forward Interest Rate Future Foreign Exchange Option Interest Rate Swaption Credit Swap Equity Swap Other Equity Future Commodity Future Subtotal Total Jan 2023 943.7 645.4 731.1 190.2 180.1 143.1 231.6 186.7 66.3 50.8 35.4 3,404.3 140.6 77.5 104.2 13.5 17.0 11.3 6.6 4.5 1.1 *** *** 378.7 28.3 29.1 18.3 10.2 *** *** 2.5 2.2 1.2 *** *** 102.3 3,885.4 Feb 2023 1,033.1 712.9 755.6 184.9 175.9 145.1 341.3 159.9 65.1 52.7 35.0 3,661.5 138.6 78.7 103.9 13.2 18.4 11.0 6.7 4.0 1.2 *** *** 378.8 30.2 29.6 20.4 9.7 *** *** 2.4 2.3 1.1 *** *** 106.6 4,146.9 Mar 2023 1,003.3 779.3 767.2 181.1 183.5 137.5 308.2 118.4 65.8 42.3 33.5 3,620.0 146.4 87.7 99.7 17.8 19.5 10.4 6.6 3.3 1.0 *** *** 394.4 31.7 29.0 19.8 9.0 *** 3.5 2.3 *** 1.1 *** *** 106.6 4,121.0 Apr 2023 1,085.4 847.9 753.2 182.0 190.5 142.8 278.4 103.2 64.6 40.5 34.3 3,722.8 146.6 93.1 105.6 17.4 19.9 10.7 6.4 3.4 1.0 *** *** 406.3 32.3 39.4 18.8 8.5 *** *** 2.4 2.1 1.1 *** *** 116.3 4,245.3 May 2023 1,128.9 975.4 799.3 186.3 195.2 143.0 168.9 94.7 64.5 44.5 35.7 3,836.5 154.9 100.7 109.7 16.5 19.2 10.0 5.6 3.3 0.9 *** *** 423.2 38.7 42.1 21.2 8.1 *** *** 2.4 2.3 1.5 *** *** 131.8 4,391.4 Jun 2023 1,120.4 983.6 747.3 192.1 185.1 152.3 107.1 88.4 65.2 32.7 31.5 3,705.5 169.7 109.2 108.2 17.5 18.4 9.8 5.6 3.1 0.8 *** *** 444.5 39.2 41.3 19.8 7.8 *** 4.4 2.5 *** 1.6 *** *** 126.8 4,276.8 Jul 2023 1,095.2 995.4 786.1 197.3 177.4 153.7 110.6 125.1 66.8 35.3 35.1 3,777.8 178.1 111.1 112.4 19.5 18.2 9.9 6.0 3.2 1.4 *** *** 462.2 42.6 39.2 19.9 8.0 *** *** 2.6 2.4 1.5 *** *** 128.4 4,368.4 Aug 2023 1,099.7 961.4 797.0 202.4 168.6 145.3 109.2 133.5 64.9 49.0 38.6 3,769.5 173.3 115.6 117.6 19.5 19.2 10.5 6.1 3.4 1.3 *** *** 468.5 42.7 37.8 21.6 7.9 7.0 *** 2.7 2.4 1.5 0.5 *** 129.1 4,367.2 Sep 2023 1,166.3 867.4 758.0 193.5 160.9 144.3 106.9 146.3 65.2 52.8 40.0 3,701.6 152.9 118.6 120.5 19.7 17.8 10.2 6.2 3.5 0.9 *** *** 452.4 43.7 31.2 19.6 8.2 *** 5.1 3.0 *** 1.4 *** *** 121.9 4,276.0 Oct 2023 1,202.1 894.5 748.7 189.7 159.7 139.7 97.1 130.5 63.5 69.3 36.5 3,731.3 139.5 126.6 113.5 21.6 17.0 11.3 6.5 3.9 0.9 *** *** 442.7 38.2 32.1 18.3 8.5 *** *** 2.4 *** 1.5 *** *** 115.1 4,289.1 Nov 2023 1,162.6 880.6 805.8 189.4 166.6 147.2 84.4 120.3 63.4 49.3 35.1 3,704.8 171.0 133.3 126.0 25.5 19.2 11.6 6.8 4.5 0.9 *** *** 500.7 36.6 31.5 22.1 8.2 *** *** 2.6 2.0 1.5 *** *** 114.8 4,320.3 Dec 2023 1,099.9 891.0 730.9 195.2 159.1 156.6 140.5 89.7 66.8 59.5 31.8 3,621.0 189.5 140.2 132.2 24.6 17.3 10.3 7.2 4.6 0.9 *** *** 527.6 32.8 32.2 15.3 8.0 6.8 3.0 2.6 *** 1.3 *** *** 104.6 4,253.2 7 Non-USD-notional values are converted to USD using foreign-exchange rates sourced from Bloomberg. Notional values are not delta or duration adjusted and include derivatives reported by fund of funds. The total notional value, as a fraction of net assets, of each fund is winsorized at the 99th percentile across funds each month. 27 May 17, 2024 Analytics Office Table 7.2: Number of Funds with Investments in Derivatives With a Notional Value Exceeding Five Percent of Net Assets, by Fund Type and Derivative Type Relies on Form N-PORT, Item C.4 and Item C.11. Fund Type Mutual Fund ETF Closed-End Fund Total Derivative Type Interest Rate Future Interest Rate Swap Foreign Exchange Forward Equity Option Credit Swap Equity Future Other Interest Rate Swaption Equity Swap Foreign Exchange Option Commodity Future Subtotal Equity Swap Equity Option Foreign Exchange Forward Interest Rate Future Equity Future Commodity Future Other Interest Rate Swap Credit Swap Interest Rate Swaption Foreign Exchange Option Subtotal Equity Option Interest Rate Swap Foreign Exchange Forward Interest Rate Future Foreign Exchange Option Interest Rate Swaption Credit Swap Equity Swap Other Equity Future Commodity Future Subtotal Total Jan 2023 1,075 393 685 310 308 479 231 93 272 73 104 2,169 210 252 53 79 45 39 28 14 14 *** *** 662 61 54 75 82 *** *** 31 6 12 *** *** 214 3,044 Feb 2023 1,098 398 695 310 298 475 248 88 274 74 105 2,175 203 246 54 88 41 40 30 13 16 *** *** 657 62 54 77 81 *** *** 29 7 12 *** *** 216 3,047 Mar 2023 1,098 381 692 308 294 465 218 83 274 75 104 2,219 201 267 56 90 50 40 34 13 13 *** *** 679 61 51 79 71 *** 6 29 *** 11 *** *** 213 3,110 Apr 2023 1,094 376 685 318 299 438 182 76 273 65 105 2,181 195 273 56 89 46 41 30 13 14 *** *** 678 59 48 79 69 *** *** 27 7 11 *** *** 210 3,068 28 May 2023 1,114 384 705 293 317 449 184 87 266 76 104 2,186 188 270 58 92 34 44 32 14 14 *** *** 681 62 53 81 61 *** *** 29 6 11 *** *** 207 3,073 Jun 2023 1,088 398 700 292 306 427 214 90 269 65 104 2,175 189 269 58 88 44 45 32 13 14 *** *** 676 60 54 77 64 *** 7 28 *** 13 *** *** 206 3,056 Jul 2023 1,089 398 685 297 295 443 220 81 264 64 108 2,163 189 285 59 93 46 46 35 14 17 *** *** 695 61 54 80 61 *** *** 28 6 12 *** *** 207 3,064 Aug 2023 1,097 410 697 299 304 429 213 83 266 73 112 2,190 192 297 60 97 31 47 39 18 15 *** *** 709 57 52 80 66 7 *** 28 6 12 4 *** 205 3,103 Sep 2023 1,153 411 686 293 288 460 204 84 265 71 108 2,209 197 308 57 103 45 51 42 21 18 *** *** 732 59 53 80 66 *** 6 27 *** 13 *** *** 207 3,147 Oct 2023 1,149 404 682 246 291 475 207 83 263 67 107 2,151 198 328 57 106 49 53 46 23 17 *** *** 760 56 52 81 74 *** *** 23 *** 12 *** *** 212 3,122 Nov 2023 1,102 408 687 237 274 448 189 84 261 69 106 2,087 202 342 58 103 44 54 45 23 13 *** *** 778 51 51 84 71 *** *** 25 6 12 *** *** 204 3,068 Dec 2023 1,097 409 662 226 249 440 184 70 262 70 102 2,074 202 338 56 111 55 52 48 27 13 *** *** 787 51 50 82 58 4 5 28 *** 14 *** *** 195 3,055 May 17, 2024 Analytics Office Table 7.3: Percent of Aggregate Derivative Notional Reported, by Cumulative Percentile Relies on Form N-PORT, Item C.11. and B.1.a. This figure excludes fund of funds and removes any observations without derivative exposure or non-positive total assets. Fund Type All Funds Mutual Fund ETF Closed-End Fund Percentile Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Jan 2023 60.07 75.51 86.18 96.28 59.53 75.31 86.24 96.42 *** 72.07 83.89 96.18 *** 57.63 70.45 88.04 Feb 2023 62.73 77.04 87.01 96.48 62.66 77.19 87.27 96.68 56.36 71.04 83.46 95.85 *** 59.80 72.11 88.87 Mar 2023 62.34 76.61 86.69 96.42 62.55 76.86 87.05 96.65 56.25 71.14 83.31 95.83 42.48 61.14 *** 88.76 Apr 2023 62.57 76.59 86.62 96.46 62.73 76.99 87.05 96.72 *** 70.37 82.76 95.76 *** *** 73.00 89.28 May 2023 61.08 75.60 86.10 96.18 60.72 75.53 86.32 96.41 56.02 70.70 82.82 95.61 *** 63.75 75.60 90.17 Jun 2023 59.64 74.91 85.60 96.05 59.15 74.85 85.82 96.26 57.61 71.41 83.19 95.77 41.36 *** *** 89.55 Jul 2023 59.27 74.53 85.31 95.94 58.77 74.43 85.58 96.20 57.05 70.67 82.56 95.40 *** 63.10 75.24 89.88 Aug 2023 59.94 75.25 85.87 96.10 59.80 75.11 86.25 96.40 56.76 70.48 82.62 95.34 *** 64.08 76.04 90.15 Sep 2023 60.86 76.00 86.37 96.28 60.95 76.04 86.91 96.60 55.96 70.16 82.40 95.33 44.28 62.45 *** 89.62 Oct 2023 61.04 75.69 86.06 96.16 60.94 76.01 86.74 96.50 *** 67.93 81.12 95.07 *** 60.96 73.78 89.48 Nov 2023 60.51 75.24 85.77 96.01 60.49 75.31 86.26 96.34 55.81 69.81 82.16 95.02 *** 60.20 73.59 89.40 Dec 2023 61.08 75.47 86.01 96.12 60.68 75.60 86.41 96.37 57.72 71.57 83.39 95.67 41.82 *** *** 88.56 Table 7.4: Distribution of the Ratio of Aggregate Derivative Notional to Total Assets, by Fund Type (Percent) Relies on Form N-PORT, Item C.11. and B.1.a. This figure excludes fund of funds and removes any observations without derivative exposure or non-positive total assets. Fund Type Mutual Fund ETF Closed-End Fund Percentile 50th 75th 90th 50th 75th 90th 50th 75th 90th Jan 2023 10.9 61.0 161.9 8.0 136.1 282.0 14.8 42.6 90.3 Feb 2023 11.2 61.0 163.2 7.0 134.8 284.5 14.7 48.2 92.9 Mar 2023 10.5 59.6 153.2 8.6 140.4 277.0 15.3 45.9 *** Apr 2023 10.1 59.9 154.8 8.2 162.6 281.2 17.3 50.8 84.8 May 2023 11.1 60.1 153.0 7.1 160.9 282.0 19.6 48.9 88.4 29 Jun 2023 10.3 59.3 149.1 5.9 158.0 274.9 20.2 47.3 *** Jul 2023 10.6 60.6 148.0 9.1 157.6 275.3 19.3 46.8 88.0 Aug 2023 9.9 59.2 148.2 9.8 168.5 279.3 19.4 45.9 80.5 Sep 2023 9.5 59.4 150.5 12.3 166.4 289.2 18.8 46.0 85.2 Oct 2023 9.1 55.1 139.3 19.8 179.9 *** 17.7 46.7 77.9 Nov 2023 9.1 54.7 131.4 19.9 182.1 286.1 16.8 46.3 86.8 Dec 2023 8.8 52.4 125.0 15.0 171.2 284.2 17.1 41.1 *** May 17, 2024 Analytics Office Table 7.5: Aggregate Derivative Notional, by Counterparty ($Billions) This table relies only on publicly-available information on Form N-PORT, Item C.11 corresponding to the third month of the fiscal quarter of each fund and presents counterparty information (including central counterparties) by legal identity. This table includes fund of funds and, for derivatives reported with multiple counterparties, the notional value is divided equally among the counterparties. Valid LEIs are mapped to their legal name using reference information sourced from GLEIF. Each legal name in the table below is hyperlinked to the GLEIF website. Counterparty CHICAGO MERCANTILE EXCHANGE... LCH LTD CHICAGO BOARD OF TRADE OPTIONS CLEARING CORP CME GROUP INC UBS AG JPMORGAN CHASE BANK NA CITIBANK NA BANK OF AMERICA NA INTERCONTINENTAL EXCHANGE INC MORGAN STANLEY CO LLC STATE STREET BANK BNP PARIBAS GOLDMAN SACHS CO LLC BARCLAYS BANK PLC JP MORGAN SECURITIES LLC LCHCLEARNET LLC GOLDMAN SACHS INTL MORGAN STANLEY CAPITAL... LCH GROUP HOLDINGS LTD DEUTSCHE BANK AG TORONTODOMINION BANK MORGAN STANLEY CO INTL PLC SOCIETE GENERALE NEW CBOE GLOBAL MARKETS INC UK CLEARING HOUSE LTD WELLS FARGO BANK NA CITIGROUP GLOBAL MARKETS INC EUREX CLEARING AG HSBC UK BANK PLC STANDARD CHARTERED BANK GOLDMAN SACHS BANK USA SOCIETE GENERALE HSBC BANK PLC SG AMERICAS SECURITIES LLC UBS SECURITIES LLC BOFA SECURITIES INC ROYAL BANK OF CANADA EUREX FRANKFURT AG ICE FUTURES US INC HSBC SECURITIES USA INC BANK OF NEW YORK MELLON UBS AG HSBC BANK USA NA MERRILL LYNCH PIERCE FENNER... ICE FUTURES EUROPE BNP PARIBAS SECURITIES CORP LONDON METAL EXCHANGE COMMONWEALTH BANK OF AUSTRALIA ICE CLEAR US INC Other Counterparties Invalid LEI Total Jan 2023 570.7 63.9 384.2 154.7 135.5 62.0 100.3 203.4 115.9 119.2 93.0 79.6 49.7 83.9 49.6 61.5 64.5 96.6 54.0 17.0 34.5 49.4 57.3 0.2 25.8 15.2 28.6 29.5 30.3 44.0 22.3 15.2 13.2 29.4 5.9 7.0 16.9 13.0 5.0 12.9 6.3 14.6 5.0 14.3 10.6 7.6 5.6 8.1 13.1 7.5 197.2 502.1 3,806.5 Feb 2023 598.4 62.2 388.0 157.9 137.1 61.8 103.3 202.5 117.0 117.6 92.9 79.5 49.4 80.5 48.9 58.8 73.6 96.4 54.3 17.8 34.3 48.3 57.1 0.2 28.6 15.7 28.6 32.7 29.9 44.0 22.2 15.3 12.0 29.7 5.8 6.9 15.4 16.6 5.7 12.5 6.4 14.4 5.1 14.3 11.1 9.7 5.3 7.5 13.1 7.5 192.0 506.0 3,851.9 Mar 2023 600.2 66.7 400.2 171.7 130.1 73.4 103.9 280.3 133.3 112.2 82.2 70.7 54.9 65.6 56.0 60.2 83.4 75.8 67.2 20.9 58.2 51.3 51.3 0.2 26.2 17.5 28.0 37.5 25.5 44.3 18.7 18.1 20.9 28.0 5.6 7.4 14.6 26.1 3.6 11.1 10.4 14.6 5.1 12.4 18.3 9.5 6.1 7.1 13.1 7.4 192.0 622.3 4,121.2 Apr 2023 612.4 62.0 390.4 165.2 128.9 75.2 111.2 284.9 129.2 114.0 84.8 68.0 58.9 60.6 55.8 56.5 84.8 73.6 81.7 22.3 50.2 47.4 47.0 0.2 26.2 24.3 20.4 37.9 25.3 33.2 24.4 18.4 21.1 27.0 9.6 7.4 13.9 36.2 3.5 11.0 9.7 25.1 5.1 13.3 18.2 9.7 8.0 7.4 5.2 7.0 159.4 628.9 4,102.1 30 May 2023 612.3 62.4 398.4 164.4 134.3 75.5 116.1 298.0 131.5 111.8 88.0 68.8 57.7 62.9 56.0 58.2 73.3 75.1 81.4 22.1 49.8 47.1 47.5 0.2 29.8 25.0 20.5 36.9 25.9 33.2 24.7 18.3 21.8 26.5 9.7 7.2 14.8 36.4 3.0 11.2 9.5 25.9 4.9 13.6 17.5 9.2 8.1 7.9 5.2 7.3 162.7 640.6 4,150.3 Jun 2023 705.0 556.7 400.8 170.5 147.6 62.0 132.7 116.0 133.2 108.4 86.5 73.6 89.9 64.2 50.4 59.8 62.4 62.8 75.8 39.7 25.3 54.8 34.0 0.2 33.5 34.0 21.2 36.7 25.8 32.9 30.0 16.1 17.5 20.4 9.9 7.2 14.5 30.2 20.9 11.5 6.3 26.6 4.9 12.5 11.3 13.5 8.5 7.9 5.2 7.9 169.1 278.2 4,226.5 Jul 2023 749.1 560.1 374.4 175.4 146.8 67.9 135.6 122.2 130.7 103.0 86.4 78.0 110.9 67.8 54.3 59.8 61.6 60.8 60.6 39.9 24.9 42.8 34.2 15.5 33.9 34.0 19.0 35.7 26.4 27.8 32.1 17.1 18.4 19.5 13.6 7.2 13.9 27.0 21.0 11.4 5.4 27.5 4.9 13.7 11.7 14.6 6.6 7.6 12.5 7.9 179.5 280.7 4,293.8 Aug 2023 738.3 559.9 380.8 176.5 147.4 63.4 131.5 114.3 131.6 103.9 90.2 77.4 121.9 64.1 64.3 70.3 63.1 72.8 61.5 40.4 25.1 42.4 42.6 15.5 39.3 34.4 19.0 33.2 26.6 27.8 32.0 16.8 24.9 19.6 13.7 7.0 10.8 30.1 21.3 11.5 5.6 27.1 12.4 14.0 12.5 15.9 6.5 7.4 12.6 7.7 165.1 243.6 4,297.3 Sep 2023 728.1 464.4 396.1 182.9 150.0 73.0 127.6 146.2 134.9 92.4 96.4 70.7 124.8 66.4 69.9 70.4 60.9 70.7 53.3 38.7 25.8 39.7 48.4 15.5 37.1 36.2 18.9 30.0 27.0 27.9 27.6 18.7 18.3 26.0 13.6 17.8 10.6 40.1 18.1 12.7 4.0 26.6 12.3 14.6 8.1 13.6 9.6 7.1 12.6 7.9 158.5 252.1 4,254.5 Oct 2023 697.0 464.8 428.7 180.3 149.2 69.7 123.4 140.9 119.1 93.8 88.6 81.4 111.2 63.3 62.9 70.5 58.0 66.0 53.6 38.9 35.2 56.2 45.7 44.7 37.0 44.0 29.1 29.5 26.5 24.0 22.6 17.3 18.2 28.6 16.1 17.7 9.2 32.1 17.8 13.2 4.3 11.0 12.3 12.7 8.6 13.9 11.8 7.7 7.9 7.9 156.8 249.4 4,230.4 Nov 2023 711.2 463.3 427.2 178.0 148.5 69.7 122.1 138.3 116.8 92.7 95.7 82.1 114.0 62.3 62.6 68.2 62.5 67.1 53.8 39.0 35.7 56.9 43.7 44.7 42.8 44.1 29.1 29.6 26.3 24.0 22.5 17.8 18.1 28.7 16.5 18.3 10.6 28.8 17.8 13.0 4.8 11.5 11.7 12.6 8.5 12.6 11.7 8.1 7.7 7.6 158.6 256.1 4,255.4 Dec 2023 684.9 460.9 398.8 175.7 174.3 118.9 110.6 109.4 105.4 104.4 102.1 101.8 95.6 73.8 65.2 63.3 62.5 58.7 52.8 51.7 51.0 47.5 44.8 44.7 43.6 35.3 30.9 29.7 26.1 24.1 23.8 22.6 19.6 19.4 16.6 16.2 16.1 15.8 13.6 12.9 12.9 12.8 12.2 11.2 11.1 10.2 8.6 8.6 7.7 7.3 162.5 190.7 4,180.8 May 17, 2024 Analytics Office 8 Liquidity Classifications 8.1 Mutual Funds Table 8.1: Aggregate Gross Value of Mutual Fund Investments by Liquidity Classification ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) and liquidity classifications (Form N-PORT, Item C.7). Prevalent Asset Class US Equity Taxable Bond Multi-Asset Global Equity Municipal Bond Total Classification Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Total Jan 2023 9,880 26 7 28 9,942 4,350 90 147 37 4,623 3,923 36 17 13 3,988 2,731 109 9 23 2,872 757 10 6 12 786 22,211 Feb 2023 9,609 22 5 27 9,664 4,303 85 140 37 4,564 3,800 36 15 13 3,864 2,632 111 5 21 2,769 741 10 5 13 769 21,631 Mar 2023 9,786 20 5 28 9,839 4,390 88 144 38 4,660 3,869 34 17 12 3,932 2,689 107 20 28 2,844 749 11 5 12 777 22,052 Apr 2023 9,855 24 6 28 9,912 4,399 91 131 34 4,655 3,900 39 16 11 3,966 2,600 230 20 23 2,874 752 11 5 11 779 22,186 31 May 2023 9,799 24 5 28 9,856 4,386 84 128 33 4,632 3,836 35 16 13 3,899 2,649 103 13 22 2,787 742 10 5 11 768 21,942 Jun 2023 10,389 18 6 29 10,442 4,392 80 129 34 4,635 3,955 33 15 13 4,016 2,813 72 12 24 2,921 746 10 5 11 773 22,786 Jul 2023 10,706 24 5 30 10,764 4,417 84 131 35 4,666 4,033 32 16 12 4,093 2,844 126 20 24 3,014 751 11 5 12 779 23,315 Aug 2023 10,437 21 7 30 10,495 4,403 80 131 33 4,647 3,931 34 15 12 3,992 2,784 80 15 23 2,902 740 10 5 12 766 22,803 Sep 2023 9,926 22 7 29 9,983 4,333 81 131 37 4,582 3,784 30 17 14 3,844 2,552 154 31 49 2,786 713 10 4 12 739 21,934 Oct 2023 9,611 23 4 33 9,671 4,274 78 127 35 4,515 3,685 29 15 12 3,742 2,464 182 13 23 2,682 695 10 4 11 720 21,329 Nov 2023 10,427 28 6 29 10,489 4,431 80 128 37 4,676 3,925 31 15 11 3,981 2,730 137 14 23 2,904 723 12 4 12 752 22,802 Dec 2023 10,952 19 10 28 11,010 4,548 77 126 34 4,785 4,068 32 18 11 4,128 2,740 120 141 27 3,029 739 11 5 13 767 23,719 May 17, 2024 Analytics Office Table 8.2: Aggregate Net Assets of Mutual Funds Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Illiquid ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifications (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 4,130 461 98 2,433 522 99 1,644 546 14 1,589 67 80 396 148 54 Feb 2023 4,028 421 97 2,396 518 100 1,607 530 18 1,560 60 83 388 139 59 Mar 2023 4,334 440 94 2,356 572 144 1,482 604 20 1,571 48 87 398 164 36 Apr 2023 4,268 442 94 2,370 546 113 1,555 548 14 1,601 51 78 401 145 53 May 2023 4,381 442 92 2,357 560 103 1,615 542 22 1,579 40 90 388 166 34 Jun 2023 4,519 486 82 2,409 555 124 1,591 567 20 1,575 52 90 413 152 34 Jul 2023 4,640 503 83 2,395 566 120 1,771 579 18 1,593 45 91 403 161 34 Aug 2023 4,612 528 81 2,419 522 118 1,591 601 20 1,572 48 86 406 160 39 Sep 2023 4,455 520 73 2,335 577 131 1,273 610 251 1,514 51 101 401 147 37 Oct 2023 4,762 588 79 2,307 464 212 1,478 511 35 1,504 36 92 387 143 40 Nov 2023 4,651 544 80 2,402 374 241 1,599 594 19 1,568 59 74 386 179 37 Dec 2023 4,836 576 38 2,506 497 105 1,656 574 25 1,599 102 42 407 154 58 Table 8.3: Number of Mutual Funds Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Illiquid This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifications (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond US Equity Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 758 143 46 565 73 25 519 57 17 339 31 38 176 66 15 Feb 2023 756 146 47 584 68 25 581 50 17 327 28 44 181 65 17 Mar 2023 772 151 49 615 61 25 492 52 20 332 26 38 180 64 17 32 Apr 2023 766 141 44 562 67 26 483 47 20 316 24 34 179 61 16 May 2023 758 155 46 572 57 24 532 49 23 316 23 38 174 69 14 Jun 2023 769 151 48 562 60 22 485 53 16 307 26 37 180 60 13 Jul 2023 769 142 49 555 65 19 541 63 16 310 24 36 178 60 15 Aug 2023 754 149 43 587 66 21 496 58 22 302 27 36 176 64 18 Sep 2023 746 164 60 602 71 21 436 97 108 302 32 43 177 58 19 Oct 2023 754 144 44 639 73 26 491 61 19 306 32 37 175 59 22 Nov 2023 763 146 45 584 71 21 498 49 22 298 30 33 173 62 18 Dec 2023 767 134 44 565 69 16 473 47 21 293 45 20 179 57 21 May 17, 2024 8.2 Analytics Office ETFs Table 8.4: Aggregate Gross Value of ETF Investments by Liquidity Classification ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) and liquidity classifications (Form N-PORT, Item C.7). This table does not generally cover in-kind ETFs as defined in Rule 22e-4 under the Investment Company Act of 1940 (17 CFR 270.22e-4). Prevalent Asset Class US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Total Classification Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Total Jan 2023 2,800 1 0 1 2,802 1,153 3 14 2 1,172 827 14 1 7 850 89 0 1 0 90 77 1 0 0 78 4,992 Feb 2023 2,731 1 0 0 2,733 1,132 3 13 3 1,150 793 15 1 7 816 87 0 1 0 87 72 1 0 0 73 4,860 Mar 2023 2,753 1 0 1 2,755 1,179 4 12 1 1,196 811 14 2 8 835 89 0 1 0 90 74 1 0 0 75 4,950 Apr 2023 2,776 1 0 1 2,777 1,196 3 12 1 1,212 804 30 2 7 844 90 0 1 0 90 71 1 0 0 72 4,994 May 2023 2,762 1 0 1 2,763 1,203 3 11 1 1,218 797 15 2 7 821 89 1 0 0 90 72 1 0 0 73 4,966 Jun 2023 2,971 1 0 0 2,972 1,208 4 11 2 1,224 841 9 1 7 858 90 1 0 0 92 77 1 0 0 78 5,225 Jul 2023 3,110 1 0 1 3,112 1,218 4 12 1 1,235 875 19 2 7 904 92 1 0 0 94 84 1 0 0 85 5,429 Aug 2023 3,060 1 0 1 3,062 1,205 4 12 1 1,221 842 12 2 7 862 92 1 0 0 94 88 1 0 0 89 5,329 Sep 2023 2,924 1 0 1 2,926 1,181 4 17 3 1,204 766 44 2 23 835 91 1 0 0 93 79 1 0 0 80 5,137 Oct 2023 2,858 1 0 2 2,861 1,176 4 12 1 1,193 722 68 1 7 798 93 1 0 0 95 65 1 0 0 66 5,013 Nov 2023 3,165 2 0 0 3,168 1,237 4 17 1 1,259 836 22 1 7 867 101 1 0 0 103 68 1 0 0 69 5,466 Dec 2023 3,381 0 0 0 3,381 1,279 5 15 1 1,299 828 14 58 8 909 104 1 0 0 106 73 1 0 0 74 5,770 Table 8.5: Aggregate Net Assets of ETFs Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Illiquid ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifications (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Municipal Bond Multi-Asset Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 1,312 *** *** 553 *** *** 665 *** *** *** *** *** 8 *** *** Feb 2023 1,273 *** *** 590 132 *** 587 *** *** *** *** *** 9 *** *** Mar 2023 1,224 *** *** 532 137 *** 674 *** *** *** *** *** 7 *** *** Apr 2023 1,287 *** *** 515 *** *** 540 *** *** *** *** *** 8 *** *** 33 May 2023 1,333 *** *** 554 141 *** 625 3 *** *** *** *** 9 *** *** Jun 2023 1,457 *** *** 513 139 *** 639 8 *** *** *** *** 8 *** *** Jul 2023 1,465 *** *** 540 *** *** 553 *** *** 68 *** *** 7 *** *** Aug 2023 1,487 *** *** 571 *** *** 511 *** *** *** *** *** *** *** *** Sep 2023 1,423 *** *** 391 215 108 400 *** *** *** *** *** 8 *** *** Oct 2023 1,580 *** *** 515 133 *** 427 *** *** *** *** *** 8 *** *** Nov 2023 1,509 *** *** 569 *** *** 440 *** *** *** *** *** *** *** *** Dec 2023 1,613 *** *** 576 *** *** 429 *** *** 77 *** *** 7 *** *** May 17, 2024 Analytics Office Table 8.6: Number of ETFs Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Illiquid This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifications (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class Global Equity Taxable Bond US Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 186 *** *** 106 *** *** 97 *** *** 10 *** *** *** *** *** Feb 2023 214 11 *** 101 *** *** 101 *** *** 11 *** *** *** *** *** Mar 2023 189 13 *** 130 *** *** 99 *** *** 11 *** *** *** *** *** 34 Apr 2023 174 *** *** 102 *** *** 96 *** *** 12 *** *** *** *** *** May 2023 192 12 *** 107 10 *** 106 *** *** 14 *** *** *** *** *** Jun 2023 165 9 *** 109 15 *** 106 *** *** 13 *** *** *** *** *** Jul 2023 173 *** *** 103 *** *** 102 *** *** 12 *** *** 11 *** *** Aug 2023 174 *** *** 98 *** *** 104 *** *** *** *** *** *** *** *** Sep 2023 147 31 36 100 *** *** 115 *** *** 9 *** *** *** *** *** Oct 2023 171 10 *** 105 *** *** 125 *** *** 8 *** *** *** *** *** Nov 2023 174 *** *** 113 *** *** 113 *** *** *** *** *** *** *** *** Dec 2023 171 *** *** 104 *** *** 108 *** *** 15 *** *** 13 *** *** May 17, 2024 Analytics Office 9 Fair Value Levels8 9.1 Mutual Funds Table 9.1: Aggregate Gross Value of Mutual Fund Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class US Equity Taxable Bond Multi-Asset Global Equity Municipal Bond Total 8 Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Jan 2023 9,758 187 23 26 9,994 253 4,361 26 2 4,643 2,953 815 6 235 4,009 976 2,026 4 4 3,010 15 770 *** *** 786 22,441 Feb 2023 9,542 123 24 27 9,716 253 4,301 26 3 4,583 2,933 718 5 228 3,885 1,566 1,329 5 5 2,904 14 755 *** *** 769 21,858 Mar 2023 9,658 186 23 27 9,894 239 4,411 26 3 4,679 2,919 803 5 229 3,957 1,030 1,943 4 6 2,983 13 763 *** *** 777 22,289 Apr 2023 9,727 189 23 27 9,966 258 4,387 26 3 4,675 2,950 800 6 231 3,987 1,043 1,960 5 6 3,014 13 765 *** *** 779 22,420 May 2023 9,734 127 23 27 9,911 257 4,367 25 2 4,651 2,971 717 5 227 3,921 1,577 1,342 4 0 2,923 11 756 *** *** 768 22,174 Jun 2023 10,274 176 23 28 10,501 247 4,378 27 2 4,654 3,013 786 6 235 4,041 1,194 1,862 4 5 3,065 10 762 *** *** 773 23,033 Jul 2023 10,651 123 23 27 10,824 253 4,407 24 2 4,685 3,149 718 6 242 4,116 1,750 1,401 5 4 3,160 11 766 *** *** 779 23,564 Aug 2023 10,391 117 23 26 10,556 252 4,387 24 2 4,666 3,059 714 6 237 4,016 1,688 1,348 4 4 3,045 10 755 *** *** 766 23,050 Sep 2023 9,827 166 22 25 10,040 260 4,314 23 2 4,601 2,874 762 6 227 3,869 1,171 1,742 5 4 2,922 9 729 *** *** 739 22,170 Oct 2023 9,518 161 21 24 9,725 251 4,251 28 2 4,533 2,779 758 6 220 3,763 1,006 1,798 4 4 2,812 8 709 *** *** 720 21,552 Nov 2023 10,394 109 21 25 10,550 242 4,420 30 2 4,694 3,045 719 5 234 4,004 1,690 1,349 4 4 3,046 8 742 *** *** 752 23,046 Dec 2023 10,863 162 22 27 11,073 254 4,518 30 2 4,804 3,117 790 5 241 4,154 1,406 1,764 4 3 3,177 9 756 *** *** 767 23,975 See U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement) for more information. 35 May 17, 2024 Analytics Office Table 9.2: Aggregate Net Assets of Mutual Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 3,667 416 57 2,079 9 *** 1,521 303 116 1,185 33 37 218 *** *** Feb 2023 3,687 371 91 2,005 40 3 1,486 260 155 1,164 23 35 217 *** *** Mar 2023 3,701 *** *** 1,979 43 *** 1,506 259 172 1,163 *** 37 221 *** 0 Apr 2023 3,712 397 71 2,045 20 3 1,638 260 158 1,186 17 39 248 *** *** May 2023 3,786 407 67 2,027 17 6 1,673 300 118 1,164 23 28 264 *** *** Jun 2023 4,002 *** *** 2,115 *** *** 1,566 330 119 1,194 *** 38 248 *** *** Jul 2023 4,169 449 63 2,188 *** *** 2,063 333 98 1,139 35 40 228 *** *** Aug 2023 4,058 451 47 2,051 35 3 1,571 323 115 1,148 30 36 342 *** *** Sep 2023 3,936 411 *** 1,953 61 *** 1,566 297 116 1,135 *** 50 218 *** *** Oct 2023 3,775 411 55 1,938 35 *** 1,890 223 239 1,175 21 43 194 *** *** Nov 2023 4,118 464 44 2,059 39 3 1,508 237 246 1,239 17 37 233 *** *** Dec 2023 4,371 *** *** 2,168 *** *** 1,494 231 261 1,281 24 38 247 *** *** Table 9.3: Number of Mutual Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond US Equity Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 494 76 31 413 44 14 378 8 *** 233 16 18 80 *** *** Feb 2023 501 72 31 442 39 25 404 9 7 243 11 19 85 *** *** Mar 2023 481 79 34 415 *** *** 356 9 *** 222 *** 18 86 *** 0 36 Apr 2023 503 74 28 416 42 21 366 10 7 221 10 20 94 *** *** May 2023 541 75 29 420 38 15 377 8 8 218 10 9 81 *** *** Jun 2023 528 82 31 417 *** *** 369 *** *** 213 *** 16 80 *** *** Jul 2023 502 78 30 427 41 17 404 *** *** 200 14 21 82 *** *** Aug 2023 503 81 28 433 45 15 384 9 5 193 15 16 92 *** *** Sep 2023 511 74 28 430 42 *** 384 10 *** 197 *** 19 89 *** *** Oct 2023 519 69 28 445 40 16 387 9 *** 200 14 17 82 *** *** Nov 2023 524 75 26 421 44 13 369 8 6 203 10 11 92 *** *** Dec 2023 500 67 33 432 *** *** 372 *** *** 197 10 11 94 *** *** May 17, 2024 9.2 Analytics Office ETFs Table 9.4: Aggregate Gross Value of ETF Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Total Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Jan 2023 4,215 46 0 3 4,264 62 1,218 0 0 1,280 392 800 0 1 1,193 1 106 *** *** 107 79 30 0 0 109 6,953 Feb 2023 4,095 44 0 3 4,143 62 1,193 0 0 1,255 385 762 1 1 1,149 1 103 *** *** 104 76 26 0 0 103 6,753 Mar 2023 4,158 44 0 4 4,206 67 1,240 0 0 1,307 391 785 0 1 1,177 1 105 *** *** 106 81 24 0 0 105 6,900 Apr 2023 4,195 46 0 4 4,245 73 1,258 0 0 1,331 394 800 0 1 1,194 1 106 *** *** 106 79 22 0 0 102 6,979 37 May 2023 4,195 44 0 3 4,242 72 1,257 0 0 1,329 386 770 0 1 1,157 0 105 *** *** 106 79 22 0 0 101 6,936 Jun 2023 4,502 50 0 4 4,556 58 1,279 0 0 1,337 403 803 0 1 1,207 0 107 *** *** 108 84 25 0 1 110 7,317 Jul 2023 4,703 55 0 4 4,761 60 1,288 0 0 1,349 434 829 0 1 1,265 0 109 *** *** 110 90 27 0 0 118 7,602 Aug 2023 4,602 53 0 4 4,659 63 1,275 0 0 1,338 415 792 0 1 1,208 1 109 *** *** 109 89 32 0 0 121 7,435 Sep 2023 4,403 51 0 4 4,459 58 1,265 0 0 1,323 403 764 0 1 1,168 0 107 *** *** 107 79 30 0 0 109 7,167 Oct 2023 4,297 54 0 5 4,356 59 1,256 0 0 1,315 389 732 0 1 1,123 1 108 *** *** 109 66 28 0 0 94 6,998 Nov 2023 4,754 61 0 6 4,821 62 1,325 0 0 1,387 429 792 0 1 1,221 1 118 *** *** 119 72 28 0 0 101 7,649 Dec 2023 5,097 65 0 5 5,166 57 1,372 0 0 1,429 430 852 0 1 1,283 1 122 *** *** 123 75 31 0 0 106 8,107 May 17, 2024 Analytics Office Table 9.5: Aggregate Net Assets of ETFs Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 1,184 0 0 874 1 *** 92 0 0 1 0 0 0 *** *** Feb 2023 1,281 0 0 894 1 0 92 0 0 2 0 0 0 *** *** Mar 2023 1,170 *** *** 822 1 *** 62 1 0 2 *** 0 0 *** 0 Apr 2023 1,178 0 0 868 0 0 91 0 0 2 0 0 0 *** *** May 2023 1,261 0 0 841 1 0 97 1 0 3 0 0 0 *** *** Jun 2023 1,391 *** *** 838 *** *** 76 0 0 2 *** 0 0 *** *** Jul 2023 1,438 0 0 879 *** *** 177 1 0 1 0 0 0 *** *** Aug 2023 1,434 0 0 872 1 0 78 1 0 2 0 0 0 *** *** Sep 2023 1,496 0 *** 851 0 *** 77 1 0 2 *** 0 0 *** *** Oct 2023 1,392 0 0 805 1 *** 170 1 0 0 0 0 0 *** *** Nov 2023 1,475 0 0 874 1 0 85 1 0 2 0 0 0 *** *** Dec 2023 1,591 *** *** 925 *** *** 114 1 0 2 0 0 0 *** *** Table 9.6: Number of ETFs Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Global Equity US Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 171 3 *** 71 1 0 38 0 3 7 0 0 1 *** *** Feb 2023 193 4 1 81 1 1 39 2 2 9 0 0 1 *** *** Mar 2023 173 6 *** 77 *** *** 35 5 1 8 *** 0 1 *** 0 38 Apr 2023 170 5 1 77 0 1 38 1 2 8 0 0 1 *** *** May 2023 173 4 0 81 0 0 39 3 2 10 0 0 1 *** *** Jun 2023 165 *** *** 85 *** *** 43 3 4 7 *** 4 1 *** *** Jul 2023 155 *** *** 82 2 0 43 3 2 6 0 0 2 *** *** Aug 2023 153 3 0 95 1 0 43 2 2 5 0 1 1 *** *** Sep 2023 167 2 *** 105 1 *** 42 4 2 5 *** 0 1 *** *** Oct 2023 147 4 *** 102 2 1 44 2 2 4 1 0 1 *** *** Nov 2023 151 4 1 95 0 0 50 1 1 5 1 0 1 *** *** Dec 2023 157 *** *** 103 *** *** 48 4 3 8 1 0 1 *** *** May 17, 2024 9.3 Analytics Office Closed-End Funds Table 9.7: Aggregate Gross Value of Closed-End Fund Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class Taxable Bond Multi-Asset Municipal Bond US Equity Global Equity Total Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Jan 2023 7 109 36 4 155 26 17 23 47 112 1 88 *** *** 89 80 5 3 1 90 15 11 1 0 27 473 Feb 2023 6 109 36 4 155 25 15 23 47 110 1 85 *** *** 86 77 5 3 1 86 16 9 1 0 26 462 Mar 2023 7 108 36 4 154 24 15 22 48 109 1 85 *** *** 86 78 4 4 1 88 14 11 1 0 26 463 Apr 2023 6 107 38 4 156 24 15 23 47 109 1 85 *** *** 86 77 5 4 1 87 15 11 1 0 26 464 39 May 2023 6 105 37 4 152 24 15 23 47 109 1 84 *** *** 85 76 5 4 2 87 16 9 1 0 25 459 Jun 2023 6 107 39 4 155 25 15 23 48 111 1 85 *** *** 86 80 5 4 2 91 15 10 1 0 26 469 Jul 2023 6 108 40 4 158 26 15 24 47 112 1 85 *** *** 86 82 5 5 2 93 17 9 1 0 27 476 Aug 2023 6 108 41 4 158 27 15 25 47 113 2 84 *** *** 86 79 4 5 2 90 16 9 1 0 26 472 Sep 2023 5 109 42 4 160 26 14 25 49 113 1 80 *** *** 82 73 4 5 2 84 15 9 1 0 24 464 Oct 2023 6 104 44 4 158 25 14 26 47 112 2 78 *** *** 80 71 4 5 2 82 15 8 1 0 24 456 Nov 2023 7 106 46 4 163 27 15 28 47 117 1 83 *** *** 85 76 4 5 2 88 16 9 1 0 25 477 Dec 2023 8 107 48 5 168 29 15 29 49 122 1 85 *** *** 87 77 4 4 0 86 16 9 1 0 26 488 May 17, 2024 Analytics Office Table 9.8: Aggregate Net Assets of Closed-End Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 20 5 56 15 7 34 12 3 14 22 *** *** 5 0 *** Feb 2023 19 8 54 13 6 34 12 3 14 21 *** *** 4 0 2 Mar 2023 20 8 54 13 *** 33 12 *** *** 22 *** 0 7 0 *** Apr 2023 21 7 56 13 7 33 14 2 15 22 *** *** 5 0 2 May 2023 22 10 55 13 7 33 12 2 15 22 *** *** 7 0 2 Jun 2023 20 10 56 10 *** 34 11 *** *** 23 *** *** 4 *** *** Jul 2023 20 7 59 11 7 36 15 2 16 22 *** *** 5 *** *** Aug 2023 19 10 59 13 7 36 13 2 16 20 *** *** 5 0 2 Sep 2023 18 9 60 12 *** 36 11 3 *** 19 *** *** 4 0 *** Oct 2023 19 8 62 5 7 44 11 2 14 19 *** *** 4 0 *** Nov 2023 19 9 61 6 4 50 12 2 15 22 *** *** 4 0 2 Dec 2023 22 7 65 6 10 48 13 *** *** 23 *** *** 4 *** *** Table 9.9: Number of Closed-End Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classified as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Jan 2023 51 17 78 25 6 46 12 4 17 19 *** *** 12 2 *** Feb 2023 49 18 78 23 7 46 12 4 17 18 *** *** 12 2 2 Mar 2023 49 16 81 21 *** 47 13 *** *** 20 *** 1 14 2 *** 40 Apr 2023 59 19 76 22 7 45 14 3 18 20 *** *** 13 2 2 May 2023 61 19 80 22 8 44 13 3 18 21 *** *** 15 1 3 Jun 2023 58 20 83 17 *** 43 12 *** *** 22 *** *** 13 *** *** Jul 2023 53 17 86 16 9 44 14 3 19 21 *** *** 13 *** *** Aug 2023 52 20 83 18 9 44 15 3 19 20 *** *** 14 1 3 Sep 2023 48 21 81 19 *** 46 12 5 *** 20 *** *** 13 2 *** Oct 2023 54 23 81 17 10 50 13 3 19 22 *** *** 13 2 *** Nov 2023 49 21 79 17 10 54 12 2 19 23 *** *** 12 2 2 Dec 2023 50 21 80 17 12 54 13 *** *** 24 *** *** 12 *** *** May 17, 2024 10 Analytics Office Interest Rate Risk9 Table 10.1: Aggregate Interest Rate Risk, by Prevalent Asset Class and Fund Type ($Billions) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Subtotal Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Subtotal Municipal Bond Taxable Bond Multi-Asset US Equity Global Equity Subtotal Total Jan 2023 185.0 45.5 32.5 0.2 0.0 263.1 69.0 6.1 0.3 *** *** 75.5 4.6 3.2 0.5 *** *** 8.4 347.0 Feb 2023 184.8 44.4 32.9 *** *** 262.3 66.3 6.0 0.3 *** *** 72.6 3.6 3.2 0.4 *** *** 7.3 342.2 Mar 2023 186.7 45.1 32.9 *** *** 264.9 69.6 6.1 0.3 *** *** 76.1 3.6 3.1 0.4 *** *** 7.2 348.2 Apr 2023 189.7 45.3 32.9 0.3 0.0 268.1 70.3 6.1 0.3 *** *** 76.8 4.5 3.1 0.4 *** *** 8.1 353.0 May 2023 190.0 44.9 33.8 *** *** 269.1 69.7 6.0 0.3 *** *** 76.0 4.4 3.0 0.4 *** *** 7.9 352.9 Jun 2023 192.2 45.1 34.0 *** *** 271.5 70.6 6.1 0.3 *** *** 77.0 4.6 3.0 0.4 0.0 0.0 8.1 356.6 Jul 2023 193.9 45.3 34.0 0.2 0.0 273.5 71.5 6.2 0.3 *** *** 78.1 5.0 3.1 0.3 *** *** 8.5 360.1 Aug 2023 192.1 45.7 33.8 *** *** 271.8 70.5 6.4 0.3 *** *** 77.2 3.1 3.0 0.4 *** *** 6.6 355.6 Sep 2023 185.8 45.4 32.3 0.2 0.0 263.8 67.1 6.5 0.3 *** *** 73.9 1.7 3.0 0.4 0.0 0.0 5.3 343.0 Oct 2023 181.5 44.9 31.8 0.3 0.0 258.4 66.1 6.6 0.3 *** *** 73.0 1.7 3.1 0.4 *** *** 5.2 336.7 Nov 2023 190.1 45.2 33.8 *** *** 269.7 70.5 6.9 0.4 *** *** 77.7 3.6 3.0 0.4 *** *** 7.1 354.5 Dec 2023 195.7 44.9 34.5 0.4 0.1 275.6 74.4 7.0 0.4 0.0 0.0 81.9 5.7 3.1 0.5 0.1 0.0 9.3 366.7 Table 10.2: Aggregate Interest Rate Risk, by Prevalent Asset Class and Fund Type (Percent of Aggregate NAV) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Fund Type ETF Closed-End Fund Mutual Fund Prevalent Asset Class Municipal Bond Taxable Bond US Equity Multi-Asset Global Equity Municipal Bond Taxable Bond Multi-Asset US Equity Global Equity Municipal Bond Taxable Bond Multi-Asset US Equity Global Equity Jan 2023 5.56 4.60 *** 2.10 *** 10.60 3.48 2.07 *** *** 5.96 4.81 1.98 0.48 0.00 Feb 2023 5.61 4.48 *** 2.89 *** 10.06 3.46 1.92 *** *** 5.93 4.87 2.05 *** *** Mar 2023 5.59 4.56 *** 2.87 *** 10.13 3.39 1.82 *** *** 5.97 4.87 2.02 *** *** Apr 2023 5.61 4.56 *** 3.04 *** 10.66 3.39 1.70 *** *** 5.98 4.93 2.01 0.60 0.00 May 2023 5.50 4.52 *** 2.95 *** 10.63 3.32 1.76 *** *** 6.00 4.97 2.11 *** *** Jun 2023 5.48 4.56 *** 2.69 *** 10.67 3.24 1.72 0.86 0.67 5.98 5.01 2.07 *** *** Jul 2023 5.52 4.57 *** 2.60 *** 10.88 3.23 1.62 *** *** 5.98 5.02 2.04 0.22 0.38 Aug 2023 5.66 4.49 *** 2.79 *** 10.22 3.12 1.71 *** *** 6.11 4.98 2.07 *** *** Sep 2023 5.84 4.39 *** 2.78 *** 9.24 3.14 1.89 1.65 0.74 6.29 4.93 2.05 0.67 0.27 Oct 2023 5.89 4.28 *** 2.69 *** 9.37 3.24 1.91 *** *** 6.39 4.90 2.08 0.72 0.25 Nov 2023 5.61 4.45 *** 3.57 *** 10.38 3.10 1.86 *** *** 6.13 4.97 2.11 *** *** Dec 2023 5.54 4.57 3.78 3.63 1.99 10.92 3.02 1.75 1.51 0.65 5.97 4.97 2.10 0.58 0.47 9 When not presenting individual maturities we aggregate DV100 values across all maturities reported. Aggregate NAV used as denominator in percentage calculations only includes funds reporting DV100 in the given categories. 41 May 17, 2024 Analytics Office Table 10.3: Aggregate Interest Rate Risk, by Currency and Maturity ($Billions) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Currency USD EUR JPY GBP CAD Other Total Maturity 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal Total Jan 2023 3.8 34.1 104.0 107.9 69.2 319.0 0.7 1.3 3.8 4.0 2.2 11.9 0.2 0.2 1.6 2.6 1.9 6.4 0.1 0.2 0.4 0.8 0.7 2.2 0.0 0.1 0.4 0.5 0.3 1.3 0.1 0.9 2.1 2.2 0.7 6.1 347.0 Feb 2023 4.3 34.5 101.9 106.3 67.8 314.8 0.6 1.3 3.7 4.0 2.0 11.7 0.1 0.2 1.5 2.4 1.9 6.1 0.1 0.3 0.5 0.9 0.6 2.4 0.1 0.1 0.3 0.4 0.3 1.3 0.1 0.9 2.1 2.1 0.7 5.9 342.2 Mar 2023 4.5 35.1 103.7 107.3 69.4 320.1 0.4 1.3 3.8 4.2 2.2 12.0 0.2 0.2 1.6 2.6 2.0 6.5 0.1 0.2 0.5 0.9 0.7 2.4 0.0 0.1 0.3 0.4 0.3 1.2 0.1 0.9 2.1 2.2 0.7 6.0 348.2 Apr 2023 4.1 35.4 104.6 109.2 71.1 324.3 0.5 1.4 4.0 4.4 2.2 12.4 0.1 0.2 1.6 2.5 2.0 6.4 0.1 0.2 0.6 0.9 0.7 2.5 0.0 0.1 0.3 0.4 0.3 1.2 0.1 0.9 2.1 2.3 0.7 6.2 353.0 May 2023 4.7 36.7 105.4 108.7 69.2 324.8 0.6 1.3 3.9 4.1 2.1 12.0 0.1 0.2 1.6 2.4 1.9 6.2 0.1 0.3 0.6 1.0 0.6 2.6 0.1 0.1 0.3 0.4 0.3 1.3 0.1 0.8 2.1 2.3 0.7 6.1 352.9 42 Jun 2023 4.6 36.8 106.4 109.7 69.8 327.2 0.7 1.3 3.9 4.4 2.2 12.6 0.1 0.2 1.5 2.4 1.9 6.2 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.2 0.4 0.5 0.3 1.4 0.2 0.8 2.1 2.5 0.8 6.4 356.6 Jul 2023 4.4 36.8 108.2 111.4 69.9 330.6 0.8 1.3 4.1 4.5 2.2 12.8 0.1 0.2 1.4 2.3 1.9 5.9 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.2 0.4 0.4 0.3 1.4 0.2 0.9 2.2 2.6 0.8 6.6 360.1 Aug 2023 4.5 36.3 107.0 110.5 68.4 326.7 0.6 1.3 4.1 4.4 2.2 12.6 0.1 0.2 1.4 2.2 1.8 5.6 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.3 0.4 0.4 0.3 1.4 0.2 0.9 2.3 2.4 0.8 6.6 355.6 Sep 2023 5.2 35.1 104.6 106.3 63.4 314.5 1.2 1.2 4.1 4.1 2.1 12.7 0.1 0.2 1.3 2.1 1.7 5.4 0.2 0.2 0.6 0.9 0.6 2.4 0.1 0.3 0.4 0.4 0.3 1.5 0.2 0.9 2.3 2.3 0.7 6.5 343.0 Oct 2023 5.5 35.2 102.8 104.3 61.1 308.9 1.0 1.2 4.2 4.0 2.0 12.4 0.1 0.2 1.3 2.0 1.6 5.3 0.1 0.2 0.6 0.9 0.6 2.4 0.1 0.3 0.4 0.4 0.3 1.4 0.2 0.9 2.3 2.2 0.7 6.3 336.7 Nov 2023 5.5 36.3 107.8 108.7 66.5 324.8 0.7 1.3 4.3 4.5 2.4 13.2 0.1 0.3 1.5 2.1 1.7 5.7 0.1 0.2 0.6 0.9 0.6 2.5 0.1 0.3 0.4 0.5 0.3 1.6 0.2 0.9 2.4 2.5 0.8 6.8 354.5 Dec 2023 5.4 37.5 109.4 112.5 70.5 335.4 0.6 1.3 4.4 4.7 2.7 13.7 0.1 0.3 1.6 2.2 1.8 6.0 0.1 0.3 0.8 1.0 0.8 3.0 0.1 0.3 0.4 0.5 0.4 1.6 0.1 0.9 2.5 2.6 0.9 7.0 366.7 May 17, 2024 11 Analytics Office Securities Lending Table 11.1: Aggregate Gross Value of Securities on Loan by Funds, by Fund Type and Investment Category of Security on Loan ($Billions) This table reports the gross value of securities on loan (Form N-PORT, Item C.12.c). Investment category from asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Fund Type Mutual Fund ETF Closed-End Fund Total Investment Category Common Equity Corporate Debt US Treasury Debt Other Subtotal Common Equity Corporate Debt US Treasury Debt Other Subtotal Common Equity Corporate Debt US Treasury Debt Other Subtotal Total Jan 2023 102 14 9 10 134 81 19 5 4 109 4 *** *** 0 5 248 Feb 2023 109 13 10 10 142 81 18 6 3 108 4 *** *** 0 5 255 Mar 2023 125 13 9 10 157 85 16 9 4 114 4 *** *** *** 5 275 Apr 2023 117 13 9 11 150 82 18 14 4 117 4 *** 0 *** 5 272 May 2023 97 12 8 10 128 79 18 10 2 109 4 *** *** 0 5 242 Jun 2023 111 12 6 9 138 81 18 4 2 106 3 *** *** *** 5 249 Jul 2023 98 12 11 10 132 83 *** *** 3 108 4 *** 0 *** 5 244 Aug 2023 99 12 11 12 133 81 18 9 3 111 4 1 *** *** 5 249 Sep 2023 102 12 10 12 136 79 17 6 3 104 4 *** *** *** 5 245 Oct 2023 89 12 9 11 121 74 *** *** 3 101 4 *** 0 *** 5 227 Nov 2023 101 13 10 10 134 80 17 6 3 107 4 1 *** *** 5 246 Dec 2023 103 12 5 9 130 77 17 7 2 103 4 *** *** *** 5 238 Table 11.2: Number of Funds with Securities on Loan, by Fund Type and Investment Category of Sec [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A7c838e7ad34e6dbc. Public record. Not legal advice.