# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A7d1546b8b324c24d ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Fourth Calendar Quarter 2019 October 2, 2020 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. October 2, 2020 Analytics Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings.1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from First Calendar Quarter 2018 through Fourth Calendar Quarter 2019 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about Fourth Calendar Quarter 2019 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “Fourth Calendar Quarter 2019-Private Funds Statistics”. 1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis. 1 October 2, 2020 Analytics Office Contents I Number of Funds and Advisers 4 II Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 15 16 17 18 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX 29 29 31 33 34 35 37 40 41 42 Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 October 2, 2020 Analytics Office X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 43 43 46 46 47 XI Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 48 48 49 50 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 52 52 52 53 53 53 54 54 55 56 3 October 2, 2020 I Analytics Office Number of Funds and Advisers3 Table 1: Number of Funds The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2018Q1 11,601 9,194 4,608 3,493 2,663 1,772 1,510 866 69 46 30,511 2018Q2 11,621 9,307 4,581 3,493 2,657 1,806 1,510 851 68 45 30,595 2018Q3 11,630 9,382 4,587 3,494 2,664 1,818 1,514 850 68 45 30,695 2018Q4 12,784 9,204 4,898 3,935 2,837 1,827 1,564 970 73 46 32,330 2019Q1 13,013 9,399 4,755 3,932 2,850 1,794 1,569 971 72 45 32,629 2019Q2 13,027 9,496 4,716 3,932 2,851 1,784 1,577 971 72 44 32,710 2019Q3 13,035 9,505 4,703 3,932 2,839 1,803 1,579 969 72 42 32,702 2019Q4 14,314 9,294 4,963 4,379 3,109 1,821 1,717 1,156 65 43 34,618 Table 2: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2018Q1 1,154 1,736 593 296 333 542 155 116 39 23 3,042 2018Q2 1,155 1,739 589 296 333 550 156 116 38 22 3,047 2018Q3 1,158 1,739 590 296 335 545 158 117 38 22 3,047 2018Q4 1,256 1,751 627 308 347 553 153 135 40 23 3,160 2019Q1 1,264 1,744 626 307 349 540 153 134 39 22 3,162 2019Q2 1,266 1,741 628 307 350 536 154 134 39 22 3,160 2019Q3 1,268 1,734 625 307 349 548 154 133 39 21 3,153 2019Q4 1,353 1,731 644 322 372 554 160 153 36 22 3,225 3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized terms used in this report. 4 October 2, 2020 Analytics Office II Gross and Net Assets A Aggregate Assets by Fund Type over Time Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2018Q1 7,520 6,076 2,766 1,978 1,206 505 480 291 289 82 12,849 2018Q2 7,659 6,281 2,769 1,978 1,208 505 488 311 307 81 13,022 2018Q3 7,911 6,386 2,769 1,978 1,222 505 490 314 309 82 13,292 2018Q4 7,594 6,153 3,176 2,329 1,225 568 570 297 292 111 13,541 2019Q1 8,053 6,480 3,260 2,364 1,222 574 573 292 289 112 14,086 2019Q2 8,256 6,735 3,260 2,364 1,214 575 575 294 290 112 14,284 2019Q3 8,101 6,655 3,259 2,364 1,228 575 576 300 293 112 14,150 2019Q4 8,179 6,713 3,731 2,740 1,368 661 649 294 289 144 15,027 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2018Q1 3,974 3,106 2,484 1,789 1,086 394 152 289 287 77 8,456 2018Q2 4,003 3,151 2,488 1,789 1,106 394 154 309 305 76 8,531 2018Q3 4,059 3,188 2,488 1,789 1,096 394 154 311 306 77 8,579 5 2018Q4 3,794 2,968 2,814 2,083 1,085 443 170 295 289 99 8,700 2019Q1 4,007 3,127 2,896 2,116 1,083 448 171 288 285 99 8,992 2019Q2 4,092 3,180 2,896 2,116 1,072 448 172 292 288 98 9,070 2019Q3 4,066 3,189 2,895 2,116 1,087 448 172 297 291 99 9,064 2019Q4 4,135 3,238 3,301 2,440 1,204 503 205 292 286 137 9,777 October 2, 2020 Analytics Office Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. 8 6 6 NAV ($Billions) 4 2 8Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 8Q 1 20 1 8Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 20 1 20 1 2 0 8Q 1 0 4 20 1 GAV ($Billions) As reported on Form PF, Questions 8 and 9. 8 (a) Qualifying Hedge Fund GAV (b) Qualifying Hedge Fund NAV 500 NAV ($Millions) 1000 1000 750 500 250 0 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 (d) Section 4 Private Equity Fund NAV 18 20 (c) Section 4 Private Equity Fund GAV 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 0 20 GAV ($Millions) 1250 6 October 2, 2020 Analytics Office Figure 2: Ratio of GAV to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 2.0 1.5 1.0 0.5 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 0.0 2.5 2.0 1.5 1.0 0.5 0.0 20 20 3.0 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) 2.5 18 Q Ratio of GAV to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 8, 9, and 10. 3.0 (a) All Private Funds (b) Qualifying Hedge Funds 7 October 2, 2020 Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Section 4 Private Equity Fund Private Equity Fund Other Private Fund Venture Capital Fund Section 3 Liquidity Fund Liquidity Fund 2018Q1 51.2 42.9 40.4 13.5 4.6 4.9 2.7 0.5 0.0 0.0 2018Q2 51.2 45.0 41.6 13.2 4.6 4.9 2.7 0.5 0.0 0.0 2018Q3 50.6 44.5 41.3 13.2 4.6 4.9 3.0 0.6 0.0 0.0 2018Q4 53.5 45.1 41.6 14.7 5.2 5.3 3.5 0.9 0.0 0.0 2019Q1 52.7 46.7 43.0 14.9 5.2 5.1 3.4 0.8 0.0 0.0 2019Q2 52.1 47.2 43.3 14.6 5.2 5.1 3.5 0.9 0.0 0.0 2019Q3 52.2 46.7 43.1 14.6 5.2 5.1 3.5 0.9 0.0 0.0 2019Q4 52.5 47.4 43.5 15.0 7.3 6.5 4.6 0.8 0.0 0.0 Figure 3: Distribution of Total Borrowings for All Private Funds and Qualifying Hedge Funds See Appendix C for an explanation of boxplots. 1 0 (a) All Private Funds 20 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 Total Borrowings ($Billions) 0 2 Q1 200 3 18 400 4 20 600 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 Total Borrowings ($Millions) As reported on Form PF, Questions 12 and 43 (Third Month). 20 B Analytics Office (b) Qualifying Hedge Funds 8 October 2, 2020 Analytics Office Figure 4: Ratio of Borrowings to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). 3 2 1 0 4 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 20 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 20 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 4 3 2 1 0 (a) All Private Funds (b) Qualifying Hedge Funds 9 October 2, 2020 C Analytics Office Fair Value Hierarchy4 Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2018Q1 3,324 2,743 2,954 2,257 2018Q2 3,323 2,772 2,965 2,278 2018Q3 3,351 2,775 2,974 2,304 2018Q4 3,227 2,959 3,403 2,511 2019Q1 3,251 2,979 3,476 2,551 2019Q2 3,272 3,044 3,475 2,557 2019Q3 3,233 3,046 3,470 2,551 2019Q4 3,826 3,482 4,056 2,366 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2018Q1 1,270 881 193 1,487 2018Q2 1,267 891 193 1,497 2018Q3 1,274 903 194 1,503 2018Q4 1,226 1,015 195 2,084 2019Q1 1,233 1,030 197 2,104 2019Q2 1,240 1,067 200 2,115 2019Q3 1,233 1,057 202 2,110 2019Q4 1,284 1,033 264 2,231 4 Staff periodically reviews reports and adjusts reported statistics to correct identified errors in filings. Beginning with this report, in Table 6 and Table 7, assets and liabilities reported in Question 14 are summed in absolute terms (i.e., no offsets for liabilities reported as negative). In prior reports negative signs reported in Question 14 led to offsets in the aggregation. In addition, beginning with this report, in both Table 6 and Table 7, annual values reported by quarterly filers are used for up to three quarters following an annual update. In prior reports, if quarterly filers did not update their responses to Question 14 in interim quarters, annual values were not included in the aggregate values reported in the interim quarters. 10 October 2, 2020 D Analytics Office Parallel Managed Accounts5 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2018Q1 674 518 292 233 98 71 16 16 *** *** 1,585 2018Q2 678 514 290 234 98 71 16 16 *** *** 1,583 2018Q3 686 505 279 236 98 71 16 16 *** *** 1,571 2018Q4 663 508 315 231 112 68 18 16 *** *** 1,581 2019Q1 659 509 314 223 112 78 15 13 *** *** 1,584 2019Q2 648 504 315 221 112 78 14 12 *** *** 1,568 2019Q3 652 503 294 227 112 78 15 12 *** *** 1,551 2019Q4 614 506 331 222 136 95 12 11 *** *** 1,565 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2018Q1 770 1,869 37 551 28 6 361 361 *** *** 3,045 2018Q2 769 1,799 37 567 28 6 353 353 *** *** 2,966 2018Q3 813 1,763 37 570 28 6 364 364 *** *** 2,984 2018Q4 770 1,821 48 532 33 4 383 382 *** *** 3,026 2019Q1 721 1,822 48 470 33 5 293 292 *** *** 2,889 2019Q2 713 1,812 48 466 33 5 264 263 *** *** 2,843 2019Q3 712 1,812 48 470 33 5 294 292 *** *** 2,871 2019Q4 717 2,041 58 477 38 10 317 316 *** *** 3,144 5 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11 October 2, 2020 Analytics Office Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 0 20 1 2 1 0 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 Parallel Managed Assets ($Billions) 1 3 8Q 2 4 20 1 3 8Q Parallel Managed Assets ($Billions) As reported on Form PF, Question 11. (a) All Private Funds (b) Qualifying Hedge Funds 12 October 2, 2020 III Analytics Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Virgin Islands, British Bermuda United Kingdom Other Country Cayman Islands United States Virgin Islands, British Ireland Luxembourg Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Canada Bermuda Other All Private Funds 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1 51.0 50.9 50.9 51.7 50.7 35.2 35.2 35.1 34.0 34.7 4.4 4.5 4.6 4.6 4.5 2.0 2.2 2.2 2.9 3.0 1.8 1.8 1.7 1.5 1.5 1.2 1.2 1.2 1.1 1.1 1.3 1.3 1.3 1.3 1.2 2.9 2.9 3.0 3.0 3.3 Qualifying Hedge Funds 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1 51.0 50.9 50.6 50.6 51.5 35.6 35.5 35.1 35.6 34.7 4.4 4.4 4.2 4.1 3.9 3.1 3.2 3.3 3.2 3.2 2.0 2.4 2.7 2.6 2.7 1.7 1.8 1.8 2.0 1.9 2.1 2.0 2.2 1.9 2.0 Section 3 Liquidity Funds 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1 *** *** *** *** *** 35.8 36.9 36.8 32.9 30.0 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1 59.5 59.5 59.5 56.8 56.0 29.8 29.8 29.8 30.6 30.1 2.9 2.9 2.9 2.3 2.3 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.1 1.0 0.9 5.7 5.7 5.7 8.2 9.6 13 2019Q2 50.5 34.9 4.5 3.0 1.5 1.1 1.2 3.3 2019Q3 50.6 34.7 4.7 2.9 1.5 1.2 1.2 3.2 2019Q4 51.4 34.6 4.6 3.2 1.3 1.1 1.0 2.9 2019Q2 51.9 34.5 3.9 3.2 2.7 1.8 1.9 2019Q3 51.6 34.7 3.9 3.1 2.7 2.1 1.9 2019Q4 51.3 35.3 3.6 3.1 2.7 2.1 1.9 2019Q2 *** 29.7 *** *** 2019Q3 *** 26.5 *** *** 2019Q4 *** 22.2 *** *** 2019Q2 56.0 30.1 2.3 1.1 0.9 9.6 2019Q3 56.0 30.1 2.3 1.1 0.9 9.6 2019Q4 56.2 32.0 1.9 1.7 1.0 7.2 October 2, 2020 Analytics Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2018Q1 88.9 6.9 4.3 Country United States United Kingdom Australia Hong Kong Other 2018Q1 88.4 6.6 *** *** 2.3 Country United States United Kingdom 2018Q1 *** *** Country United States Canada Other 2018Q1 94.8 *** *** All Private Funds 2018Q2 2018Q3 2018Q4 2019Q1 88.7 88.8 89.7 89.5 7.0 6.9 6.2 6.3 4.3 4.3 4.1 4.2 Qualifying Hedge Funds 2018Q2 2018Q3 2018Q4 2019Q1 88.7 88.6 89.0 89.0 6.5 6.5 6.1 6.0 *** *** *** *** *** *** *** *** 2.3 2.1 2.1 2.0 Section 3 Liquidity Funds 2018Q2 2018Q3 2018Q4 2019Q1 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2018Q2 2018Q3 2018Q4 2019Q1 94.8 94.8 94.0 94.1 *** *** *** *** *** *** *** *** 14 2019Q2 89.5 6.2 4.2 2019Q3 89.5 6.3 4.2 2019Q4 90.0 5.5 4.5 2019Q2 89.2 5.8 *** *** 2.0 2019Q3 89.4 5.5 *** *** 2.0 2019Q4 88.8 5.5 *** *** 2.1 2019Q2 *** *** 2019Q3 *** *** 2019Q4 *** *** 2019Q2 94.1 *** *** 2019Q3 94.1 *** *** 2019Q4 93.8 *** *** October 2, 2020 IV A Analytics Office Beneficial Ownership All Private Funds Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities SEC-Registered Investment Companies Broker-Dealers 2018Q1 1,515 1,235 1,154 1,046 861 835 540 352 193 191 161 125 133 113 2018Q2 1,533 1,238 1,164 1,049 869 842 544 365 189 193 170 129 129 114 2018Q3 1,534 1,250 1,178 1,048 868 851 544 373 187 195 172 131 127 121 2018Q4 1,518 1,332 1,231 1,044 849 843 555 399 204 205 169 122 118 108 2019Q1 1,550 1,376 1,250 1,068 894 876 604 412 216 209 171 130 126 107 2019Q2 1,563 1,381 1,250 1,083 902 886 611 417 222 210 177 132 125 109 2019Q3 1,556 1,392 1,245 1,079 900 887 609 416 224 209 172 137 125 109 2019Q4 1,671 1,461 1,335 1,164 993 956 658 462 243 224 183 173 137 114 2019Q3 17.2 15.4 13.7 11.9 9.9 9.8 6.7 4.6 2.5 2.3 1.9 1.5 1.4 1.2 2019Q4 17.1 14.9 13.7 11.9 10.2 9.8 6.7 4.7 2.5 2.3 1.9 1.8 1.4 1.2 Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities SEC-Registered Investment Companies Broker-Dealers 2018Q1 17.9 14.6 13.6 12.4 10.2 9.9 6.4 4.2 2.3 2.3 1.9 1.5 1.6 1.3 2018Q2 18.0 14.5 13.6 12.3 10.2 9.9 6.4 4.3 2.2 2.3 2.0 1.5 1.5 1.3 15 2018Q3 17.9 14.6 13.7 12.2 10.1 9.9 6.3 4.3 2.2 2.3 2.0 1.5 1.5 1.4 2018Q4 17.4 15.3 14.1 12.0 9.8 9.7 6.4 4.6 2.3 2.4 1.9 1.4 1.4 1.2 2019Q1 17.2 15.3 13.9 11.9 9.9 9.7 6.7 4.6 2.4 2.3 1.9 1.4 1.4 1.2 2019Q2 17.2 15.2 13.8 11.9 9.9 9.8 6.7 4.6 2.4 2.3 1.9 1.5 1.4 1.2 October 2, 2020 B Analytics Office Qualifying Hedge Funds Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Broker-Dealers Unknown Non-U.S. Investors State/Muni. Govt. Entities SEC-Registered Investment Companies Banking/Thrift Inst. 2018Q1 514 429 416 436 342 342 193 78 76 80 55 47 66 33 2018Q2 517 443 415 443 342 352 197 83 77 81 53 49 61 36 2018Q3 526 442 417 447 348 357 195 91 79 84 53 50 59 38 2018Q4 480 404 399 414 343 323 196 82 75 77 48 39 52 32 2019Q1 508 442 417 428 353 347 198 89 79 77 57 42 54 33 2019Q2 520 449 428 437 357 340 206 90 79 79 58 45 54 36 2019Q3 525 446 422 431 367 342 208 89 83 80 57 47 55 36 2019Q4 532 464 433 427 371 351 209 92 84 81 63 49 43 38 2019Q3 16.4 14.0 13.2 13.5 11.5 10.7 6.5 2.8 2.6 2.5 1.8 1.5 1.7 1.1 2019Q4 16.4 14.3 13.4 13.2 11.5 10.8 6.5 2.8 2.6 2.5 1.9 1.5 1.3 1.2 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Broker-Dealers Unknown Non-U.S. Investors State/Muni. Govt. Entities SEC-Registered Investment Companies Banking/Thrift Inst. 2018Q1 16.5 13.8 13.4 14.0 11.0 11.0 6.2 2.5 2.4 2.6 1.8 1.5 2.1 1.1 2018Q2 16.4 14.1 13.2 14.1 10.9 11.2 6.2 2.6 2.5 2.6 1.7 1.6 1.9 1.1 16 2018Q3 16.5 13.9 13.1 14.0 10.9 11.2 6.1 2.9 2.5 2.6 1.6 1.6 1.8 1.2 2018Q4 16.2 13.6 13.5 14.0 11.6 10.9 6.6 2.8 2.5 2.6 1.6 1.3 1.8 1.1 2019Q1 16.3 14.1 13.3 13.7 11.3 11.1 6.3 2.8 2.5 2.5 1.8 1.3 1.7 1.1 2019Q2 16.4 14.1 13.5 13.7 11.2 10.7 6.5 2.8 2.5 2.5 1.8 1.4 1.7 1.1 October 2, 2020 C Analytics Office Section 3 Liquidity Funds Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Broker-Dealers Banking/Thrift Inst. SEC-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Official Inst. Pension Plans Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans 2018Q1 57 52 94 *** 13 24 9 *** 5 4 *** 1 *** 1 2018Q2 55 52 109 *** 17 24 12 *** 3 4 *** *** *** *** 2018Q3 57 51 105 *** 17 23 12 *** 4 4 *** 1 *** 2 2018Q4 55 54 97 *** *** 18 9 *** 3 5 *** 1 *** 2 2019Q1 57 60 84 *** *** 19 10 *** *** 4 *** 1 *** *** 2019Q2 58 60 84 *** *** 19 10 *** *** 3 *** *** *** *** 2019Q3 75 64 69 *** 16 19 8 *** *** 4 *** 1 *** *** 2019Q4 74 63 62 *** *** 14 8 *** 4 4 *** 2 *** *** 2019Q3 25.8 22.0 23.8 *** 5.6 6.7 2.8 *** *** 1.2 *** 0.4 *** *** 2019Q4 25.8 21.9 21.6 *** *** 4.8 2.8 *** 1.3 1.3 *** 0.8 *** *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Broker-Dealers Banking/Thrift Inst. SEC-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Official Inst. Pension Plans Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans 2018Q1 19.7 18.1 32.6 *** 4.7 8.3 3.3 *** 1.7 1.4 *** 0.5 *** 0.3 2018Q2 17.9 17.0 35.7 *** 5.6 7.9 3.9 *** 1.1 1.2 *** *** *** *** 17 2018Q3 18.7 16.6 34.4 *** 5.4 7.6 3.8 *** 1.2 1.1 *** 0.4 *** 0.6 2018Q4 19.0 18.7 33.6 *** *** 6.2 3.1 *** 0.9 1.7 *** 0.4 *** 0.6 2019Q1 20.0 20.9 29.6 *** *** 6.6 3.5 *** *** 1.3 *** 0.5 *** *** 2019Q2 20.1 20.7 29.1 *** *** 6.6 3.3 *** *** 1.1 *** *** *** *** October 2, 2020 D Analytics Office Section 4 Private Equity Funds Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2018Q1 416 356 225 203 159 109 104 94 28 36 29 16 14 1 2018Q2 416 356 225 203 159 109 104 94 28 36 29 16 14 1 2018Q3 416 356 225 203 159 109 104 94 28 36 29 16 14 1 2018Q4 454 398 322 225 175 127 116 117 36 48 31 17 17 1 2019Q1 454 397 336 244 175 127 116 117 36 48 31 17 17 1 2019Q2 454 397 336 244 175 127 116 117 36 48 31 17 17 1 2019Q3 454 397 336 244 175 127 116 117 36 48 31 17 17 1 2019Q4 514 466 368 278 199 152 139 132 56 51 36 28 19 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2018Q1 23.3 19.9 12.6 11.3 8.9 6.1 5.8 5.2 1.5 2.0 1.6 0.9 0.8 0.1 2018Q2 23.3 19.9 12.6 11.3 8.9 6.1 5.8 5.3 1.5 2.0 1.6 0.9 0.8 0.1 18 2018Q3 23.3 19.9 12.6 11.3 8.9 6.1 5.8 5.2 1.5 2.0 1.6 0.9 0.8 0.1 2018Q4 21.8 19.1 15.4 10.8 8.4 6.1 5.6 5.6 1.7 2.3 1.5 0.8 0.8 0.1 2019Q1 21.4 18.8 15.9 11.5 8.3 6.0 5.5 5.5 1.7 2.3 1.5 0.8 0.8 0.1 2019Q2 21.4 18.8 15.9 11.5 8.3 6.0 5.5 5.5 1.7 2.3 1.5 0.8 0.8 0.1 2019Q3 21.4 18.8 15.9 11.5 8.3 6.0 5.5 5.5 1.7 2.3 1.5 0.8 0.8 0.1 2019Q4 21.1 19.1 15.1 11.4 8.2 6.2 5.7 5.4 2.3 2.1 1.5 1.1 0.8 0.1 October 2, 2020 V Analytics Office Derivatives Table 20: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2018Q1 13,961 11,849 149 40 34 *** *** 17 2 *** 14,154 2018Q2 13,260 11,184 148 40 34 *** *** 17 2 *** 13,465 2018Q3 13,284 10,046 134 40 34 *** *** 17 2 *** 13,504 2018Q4 12,262 9,485 132 38 31 *** *** 17 3 *** 12,503 2019Q1 13,939 11,078 131 37 31 *** *** 17 3 *** 14,163 2019Q2 12,823 11,196 128 37 31 *** *** 17 3 *** 13,046 2019Q3 13,317 11,258 135 37 31 *** *** 17 3 *** 13,344 2019Q4 12,513 10,926 111 95 37 *** *** 18 3 *** 12,663 Table 21: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2018Q1 351.3 381.5 13.7 1.6 1.9 *** *** 4.4 1.6 *** 167.4 2018Q2 331.3 354.9 13.4 1.6 1.9 *** *** 4.4 1.5 *** 157.8 2018Q3 327.3 315.1 12.3 1.6 1.9 *** *** 4.4 1.5 *** 157.4 19 2018Q4 323.2 319.6 12.2 1.3 1.5 *** *** 3.8 1.6 *** 143.7 2019Q1 347.8 354.3 12.1 1.3 1.5 *** *** 3.7 1.6 *** 157.5 2019Q2 313.4 352.1 11.9 1.3 1.5 *** *** 3.7 1.6 *** 143.8 2019Q3 327.5 353.0 12.4 1.3 1.5 *** *** 3.7 1.6 *** 147.2 2019Q4 302.6 337.4 9.2 2.9 1.5 *** *** 3.6 1.5 *** 129.5 October 2, 2020 Analytics Office Figure 6: Distribution of Derivative Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) 1.5 1.0 0.5 10.0 7.5 5.0 2.5 0.0 20 20 12.5 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 0.0 18 Q Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 13 and 44 (Third Month). (a) All Private Funds VI (b) Qualifying Hedge Funds High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2018Q1 7,883 70 11 2018Q2 7,990 69 11 2018Q3 8,057 58 11 2018Q4 7,926 64 8 2019Q1 7,995 67 8 2019Q2 8,064 64 8 2019Q3 8,070 65 8 2019Q4 7,971 51 10 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2018Q1 3,845 46 38 2018Q2 3,894 42 38 2018Q3 3,955 43 39 2018Q4 3,722 43 35 20 2019Q1 3,923 84 2 2019Q2 3,991 85 2 2019Q3 3,955 87 2 2019Q4 4,038 81 3 October 2, 2020 VII Analytics Office Hedge Fund Industry Concentration Table 24: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2018Q1 7.2 13.3 20.2 28.6 43.0 56.4 2018Q2 7.3 13.5 20.1 28.4 42.6 56.0 2018Q3 7.2 13.5 20.1 28.4 42.5 55.9 2018Q4 7.4 13.5 19.7 27.9 42.1 55.6 2019Q1 7.2 13.4 19.7 28.0 42.4 56.1 2019Q2 7.3 13.5 19.8 28.1 42.6 56.1 2019Q3 7.4 13.6 19.9 28.1 42.5 56.0 2019Q4 7.4 13.6 19.6 27.7 42.1 55.5 Table 25: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2018Q1 15.5 24.2 32.6 41.9 55.5 66.9 2018Q2 15.5 23.8 32.0 41.7 55.2 66.7 2018Q3 15.4 24.4 32.9 42.4 56.0 67.2 2018Q4 16.7 26.0 34.2 43.4 56.6 67.6 2019Q1 16.5 25.7 34.2 43.4 57.1 68.1 2019Q2 16.2 25.4 33.7 43.1 56.7 67.9 2019Q3 15.3 24.9 33.4 42.7 56.3 67.5 2019Q4 15.3 24.5 33.2 42.3 55.7 67.0 Table 26: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2018Q1 35.1 49.1 60.0 71.0 82.8 90.4 2018Q2 34.5 48.3 59.6 70.7 82.9 90.6 2018Q3 34.7 48.4 60.0 71.0 82.9 90.6 2018Q4 36.3 51.3 62.9 73.3 84.7 91.6 21 2019Q1 36.1 50.9 63.0 73.3 85.0 91.9 2019Q2 35.2 50.0 62.0 72.8 84.9 91.7 2019Q3 34.1 50.0 61.8 73.0 84.8 91.7 2019Q4 35.5 50.5 62.2 72.9 84.5 91.6 October 2, 2020 Analytics Office Table 27: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2018Q1 32.4 50.3 62.5 74.0 87.1 93.8 2018Q2 31.2 50.2 62.6 73.7 86.4 93.3 2018Q3 31.1 49.2 61.4 73.1 86.2 93.2 2018Q4 33.8 49.9 62.1 73.5 86.5 93.2 2019Q1 32.2 50.2 63.0 74.9 87.8 94.0 2019Q2 29.6 46.9 59.5 72.2 86.1 93.2 2019Q3 31.1 48.4 61.2 73.4 86.9 93.9 2019Q4 29.3 47.3 59.9 71.9 86.4 93.7 Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2018Q1 29.8 46.7 59.3 70.5 84.1 92.0 2018Q2 28.8 45.4 58.2 69.5 82.8 91.2 2018Q3 28.3 44.4 57.5 69.0 82.5 91.0 2018Q4 30.6 47.3 59.7 70.8 83.7 91.7 22 2019Q1 30.3 46.7 59.3 70.8 84.0 91.9 2019Q2 28.6 44.6 57.3 68.9 82.7 91.3 2019Q3 28.9 45.7 57.7 69.2 82.8 91.3 2019Q4 29.2 46.0 58.1 69.7 83.1 91.6 October 2, 2020 VIII A Analytics Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 12.5 10.0 7.5 5.0 2.5 0.0 12.5 10.0 7.5 5.0 2.5 0.0 20 20 18 18 15.0 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 15.0 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 Ratio of GNE to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 3(a) and 26. (a) Gross Exposure with Interest Rate Derivatives (IRDs) 23 (b) Gross Exposure without IRDs 10 8 6 4 2 0 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 2 0 (a) Long Exposure with IRDs (c) Short Exposure with IRDs 24 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 4 18 -0 6 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 8 20 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10 20 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 -03 18 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) October 2, 2020 Analytics Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value Distribution See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 26. 10 8 6 4 2 0 (b) Long Exposure without IRDs 10 8 6 4 2 0 (d) Short Exposure without IRDs October 2, 2020 B Analytics Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2018-01 2018-02 2018-03 2018-04 2018-05 2018-06 2018-07 2018-08 2018-09 2018-10 2018-11 2018-12 2019-01 2019-02 2019-03 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 Top 10 Advisers (NAV) 18.4 18.4 18.4 18.1 18.1 18.1 18.2 18.3 18.3 19.2 19.2 19.2 19.0 18.9 18.9 18.9 18.9 18.9 19.3 19.3 19.4 19.5 19.5 19.5 Top 20 Advisers (NAV) 27.7 27.7 27.7 27.2 27.2 27.2 27.4 27.6 27.6 28.7 28.7 28.7 28.5 28.5 28.5 28.5 28.5 28.5 28.8 28.8 28.9 29.3 29.3 29.3 25 Top 10 Advisers (GNE) 37.5 41.0 40.0 41.0 40.3 38.1 35.4 34.1 34.4 35.4 36.4 36.9 37.4 36.9 36.8 37.7 37.4 36.3 36.7 36.7 37.3 37.7 37.3 36.9 Top 20 Advisers (GNE) 53.6 56.3 55.3 56.4 56.0 53.7 51.2 49.9 49.6 51.9 52.4 52.1 53.2 53.0 53.0 54.1 54.1 52.6 53.7 53.9 54.0 54.0 54.0 53.5 October 2, 2020 Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2018-01 2018-02 2018-03 2018-04 2018-05 2018-06 2018-07 2018-08 2018-09 2018-10 2018-11 2018-12 2019-01 2019-02 2019-03 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 Futures 16,512 18,150 17,329 10,382 15,734 15,104 8,108 11,643 12,915 11,765 13,470 12,715 9,675 11,269 14,103 9,917 18,308 16,336 10,905 15,848 15,763 12,752 14,105 13,352 Sov. and muni. bonds 3,164 3,516 3,238 2,733 3,727 3,080 3,178 3,280 2,953 3,180 3,214 2,911 3,783 4,095 3,779 3,425 3,834 3,866 3,490 4,384 3,941 3,679 3,876 3,367 Listed equities 2,449 2,446 2,273 2,438 2,499 2,582 2,272 2,417 2,110 3,018 2,576 2,189 2,353 2,048 2,295 2,263 2,528 2,188 2,278 2,400 2,226 2,566 2,280 2,302 Corporate bonds 142 132 153 119 132 119 92 96 114 129 112 72 159 135 143 127 134 134 136 116 144 152 134 95 Convertible bonds 33 27 33 22 31 29 17 20 32 23 20 13 23 22 27 18 22 25 21 26 34 19 27 21 Total 22,299 24,271 23,027 15,693 22,122 20,913 13,668 17,455 18,124 18,115 19,393 17,901 15,993 17,569 20,347 15,749 24,826 22,549 16,830 22,774 22,108 19,167 20,422 19,137 Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. 60 40 20 15 10 5 0 20 20 18 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 0 20 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 3(a) and 27. Total Turnover ($Billions) Winsorized (limits=[1%,99%]) C Analytics Office (a) Total Turnover (b) Total Turnover to NAV Ratio 26 October 2, 2020 D Analytics Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2018Q1 4,811 1,990 735 114 86 72 37 30 2018Q2 4,923 1,822 698 112 74 59 33 37 2018Q3 5,112 1,751 678 101 72 60 31 26 2018Q4 5,007 1,822 787 111 70 66 29 27 2019Q1 5,323 1,804 844 115 78 48 31 25 2019Q2 5,522 1,765 840 119 82 38 33 28 2019Q3 5,367 1,734 734 101 82 69 29 26 2019Q4 5,409 1,619 769 121 85 54 33 29 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2018Q1 140.5 58.1 21.5 3.3 2.5 2.1 1.1 0.9 2018Q2 141.4 52.3 20.1 3.2 2.1 1.7 0.9 1.1 2018Q3 147.2 50.4 19.5 2.9 2.1 1.7 0.9 0.7 2018Q4 153.0 55.7 24.0 3.4 2.1 2.0 0.9 0.8 27 2019Q1 154.2 52.3 24.5 3.3 2.3 1.4 0.9 0.7 2019Q2 156.4 50.0 23.8 3.4 2.3 1.1 0.9 0.8 2019Q3 154.9 50.1 21.2 2.9 2.4 2.0 0.8 0.8 2019Q4 151.9 45.5 21.6 3.4 2.4 1.5 0.9 0.8 October 2, 2020 Analytics Office Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2018Q1 4,551 269 178 47 38 16 2018Q2 4,683 244 184 50 36 12 2018Q3 4,869 251 165 42 36 11 2018Q4 4,783 274 147 40 35 9 2019Q1 5,201 265 187 43 36 9 2019Q2 5,233 239 186 46 32 11 2019Q3 5,165 287 176 40 34 11 2019Q4 5,074 264 199 50 37 15 2019Q3 149.1 8.3 5.1 1.2 1.0 0.3 2019Q4 142.5 7.4 5.6 1.4 1.0 0.4 Table 34: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2018Q1 132.9 7.9 5.2 1.4 1.1 0.5 2018Q2 134.5 7.0 5.3 1.4 1.0 0.3 2018Q3 140.2 7.2 4.7 1.2 1.0 0.3 28 2018Q4 146.2 8.4 4.5 1.2 1.1 0.3 2019Q1 150.7 7.7 5.4 1.2 1.0 0.3 2019Q2 148.3 6.8 5.3 1.3 0.9 0.3 October 2, 2020 Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 7.5 5.0 2.5 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 0.0 10.0 7.5 5.0 2.5 0.0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 10.0 12.5 18 -0 12.5 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 26, and 30. 20 20 A Qualifying Hedge Fund Specific Information Ratio of GNE to NAV Winsorized (limits=[0%,98%]) IX Analytics Office (a) Including IRDs (b) Excluding IRDs 29 -03 (a) LNE Including IRDs (c) SNE Including IRDs 30 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 0 18 2 20 4 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 0 -03 2 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 4 18 6 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 18 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 6 20 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 18 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) October 2, 2020 Analytics Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 6 4 2 0 (b) LNE Excluding IRDs 6 4 2 0 (d) SNE Excluding IRDs October 2, 2020 B Analytics Office Gross Exposure by Strategy6 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2018Q1 1,647 925 372 342 8 983 739 496 121 49 51 22 784 698 *** 39 *** 286 248 38 363 165 97 101 138 136 2 44 4,985 2018Q2 1,716 951 392 365 8 984 786 537 127 52 49 21 760 670 45 40 5 297 238 59 360 162 100 98 141 139 2 42 5,086 2018Q3 1,761 956 414 383 8 1,005 774 506 137 56 53 22 819 729 45 41 4 307 247 60 350 165 98 88 157 *** *** 48 5,220 2018Q4 1,477 762 348 360 7 1,013 879 599 145 59 55 21 716 627 47 37 4 321 256 65 304 164 76 64 150 *** *** 44 4,904 2019Q1 1,616 841 384 386 5 1,038 963 686 130 67 60 19 782 695 46 37 4 325 258 66 313 169 80 64 172 *** *** 43 5,251 2019Q2 1,644 867 392 380 5 1,088 1,054 774 134 69 59 18 753 666 *** 38 *** 314 246 68 337 165 86 86 191 *** *** 41 5,422 2019Q3 1,622 833 404 381 4 1,098 1,021 723 159 64 57 19 708 629 *** 34 *** 305 234 71 308 160 78 71 191 *** *** 48 5,301 2019Q4 1,723 880 443 397 3 1,134 1,030 714 177 61 60 18 666 579 44 39 5 315 233 82 311 163 79 69 193 *** *** 48 5,420 6 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 31 October 2, 2020 Analytics Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2018Q1 53.0 29.8 12.0 11.0 0.3 31.7 23.8 16.0 3.9 1.6 1.6 0.7 25.2 22.5 *** 1.3 *** 9.2 8.0 1.2 11.7 5.3 3.1 3.3 4.5 4.4 0.1 1.4 160.5 2018Q2 54.4 30.2 12.4 11.6 0.3 31.2 24.9 17.0 4.0 1.6 1.6 0.7 24.1 21.3 1.4 1.3 0.1 9.4 7.6 1.9 11.4 5.1 3.2 3.1 4.5 4.4 0.1 1.3 161.4 32 2018Q3 55.2 30.0 13.0 12.0 0.2 31.5 24.3 15.9 4.3 1.8 1.7 0.7 25.7 22.9 1.4 1.3 0.1 9.6 7.7 1.9 11.0 5.2 3.1 2.8 4.9 *** *** 1.5 163.7 2018Q4 49.8 25.7 11.7 12.1 0.2 34.1 29.6 20.2 4.9 2.0 1.9 0.7 24.1 21.1 1.6 1.3 0.1 10.8 8.6 2.2 10.2 5.5 2.6 2.1 5.0 *** *** 1.5 165.2 2019Q1 51.7 26.9 12.3 12.4 0.2 33.2 30.8 22.0 4.2 2.2 1.9 0.6 25.0 22.2 1.5 1.2 0.1 10.4 8.3 2.1 10.0 5.4 2.6 2.0 5.5 *** *** 1.4 167.9 2019Q2 51.7 27.3 12.3 12.0 0.1 34.2 33.1 24.3 4.2 2.2 1.9 0.6 23.7 20.9 *** 1.2 *** 9.9 7.7 2.1 10.6 5.2 2.7 2.7 6.0 *** *** 1.3 170.5 2019Q3 50.9 26.1 12.7 11.9 0.1 34.4 32.0 22.7 5.0 2.0 1.8 0.6 22.2 19.7 *** 1.1 *** 9.6 7.3 2.2 9.7 5.0 2.5 2.2 6.0 *** *** 1.5 166.2 2019Q4 53.2 27.2 13.7 12.3 0.1 35.0 31.8 22.0 5.5 1.9 1.8 0.6 20.6 17.9 1.3 1.2 0.2 9.7 7.2 2.5 9.6 5.0 2.5 2.1 5.9 *** *** 1.5 167.4 October 2, 2020 C Analytics Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Other Equity Credit Managed Futures/CTA Event Driven Investment in other funds 2018Q1 5.0 3.9 2.2 1.5 1.7 1.5 1.2 1.3 1.3 2018Q2 5.0 4.1 2.2 1.5 1.6 1.5 1.3 1.3 1.1 2018Q3 4.6 4.4 2.3 1.6 1.7 1.5 1.3 1.3 1.1 2018Q4 5.3 3.9 2.3 1.6 1.7 1.6 1.3 1.3 4.8 2019Q1 5.3 4.2 2.3 1.7 1.7 1.6 1.4 1.3 4.5 2019Q2 5.8 4.5 2.5 1.8 1.6 1.5 1.4 1.3 1.2 2019Q3 5.6 4.2 1.9 1.6 1.6 1.5 1.5 1.3 3.9 2019Q4 5.5 4.3 2.3 1.7 1.6 1.5 1.4 1.3 1.2 Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Other Equity Credit Investment in other funds Event Driven 2018Q1 26.8 21.0 8.4 9.7 4.7 4.0 3.3 2.6 2.0 2018Q2 27.7 19.7 10.5 8.4 4.1 3.3 2.9 2.4 1.9 2018Q3 23.8 18.2 14.0 8.4 4.4 3.6 2.8 3.6 1.9 2018Q4 24.6 20.5 9.7 8.7 4.2 3.5 3.3 14.8 1.8 2019Q1 28.0 20.9 17.9 9.1 4.4 3.6 3.2 12.0 1.8 2019Q2 29.1 22.8 19.9 9.8 4.7 3.3 2.6 2.4 2.0 2019Q3 25.7 21.9 19.8 10.1 4.3 3.3 2.4 10.3 1.9 2019Q4 27.6 23.1 18.5 11.5 4.3 3.1 2.8 1.9 1.9 Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Multi-Strategy Relative Value Other Event Driven Equity Credit Investment in other funds 2018Q1 60.6 37.0 24.7 20.9 18.4 8.0 9.7 8.3 4.2 2018Q2 55.5 36.4 27.1 17.4 18.7 8.6 11.6 7.0 6.6 2018Q3 47.5 36.8 30.6 16.5 19.0 9.6 11.4 7.3 3.6 33 2018Q4 57.4 38.3 29.7 17.9 17.9 12.2 13.5 8.2 12.8 2019Q1 49.9 36.5 23.0 17.8 18.2 9.9 10.6 7.3 14.5 2019Q2 48.5 38.8 25.7 17.0 18.6 7.3 9.6 6.8 5.8 2019Q3 45.2 37.6 22.3 21.6 16.9 9.9 10.7 7.1 13.0 2019Q4 43.4 39.7 22.7 21.4 14.9 10.3 9.3 7.8 6.6 October 2, 2020 D Analytics Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Other Bonds Securities - MBS Securities - Corp. Bonds Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Other Derivatives - Commodity Repurchase Agreements Other 2018Q1 724 3,029 1,182 1,291 286 264 263 93 79 5,656 3,735 1,362 727 541 366 1,405 763 2018Q2 735 2,702 1,268 1,236 285 251 272 97 88 5,316 3,235 1,304 682 549 380 1,447 790 2018Q3 743 2,729 1,364 1,190 298 275 277 93 87 5,306 2,447 1,314 666 295 380 1,441 783 2018Q4 754 2,297 1,630 1,223 310 358 265 86 88 5,174 2,252 1,107 727 286 286 1,626 738 2019Q1 784 2,576 1,770 1,271 322 307 300 87 93 6,436 2,376 1,203 765 263 316 1,905 795 2019Q2 805 2,644 2,046 1,244 339 232 301 89 96 6,583 2,452 1,266 714 274 309 1,896 820 2019Q3 822 2,539 1,967 1,099 336 276 294 96 94 5,933 3,078 1,415 678 220 311 1,843 813 2019Q4 839 2,719 2,033 1,164 350 308 288 98 96 5,572 2,896 1,552 650 411 345 1,871 806 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Other Bonds Securities - MBS Securities - Corp. Bonds Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Other Derivatives - Commodity Repurchase Agreements Other 2018Q1 80.8 75.5 60.3 53.0 72.5 73.2 81.9 88.1 98.2 51.3 56.8 51.5 44.7 45.2 65.8 51.9 88.9 2018Q2 80.1 70.7 62.5 51.9 72.8 74.3 82.6 88.0 95.5 52.2 53.5 51.6 45.3 41.6 62.7 47.7 88.2 2018Q3 81.9 70.8 63.1 49.9 71.0 71.0 82.9 87.8 95.0 49.5 55.6 52.2 45.2 32.8 59.6 47.9 88.0 34 2018Q4 82.7 71.2 65.2 51.8 74.0 67.5 82.4 86.4 96.8 51.2 54.7 51.1 41.4 63.2 56.5 42.9 89.4 2019Q1 81.9 70.7 65.1 51.9 75.7 70.4 83.0 94.2 97.1 52.6 55.1 52.9 43.0 67.8 58.3 39.8 87.6 2019Q2 80.4 70.9 60.9 52.3 79.3 82.7 83.0 94.0 95.6 52.0 54.8 54.5 42.1 63.5 59.4 37.6 87.5 2019Q3 80.1 71.1 62.4 55.2 79.8 82.6 83.6 92.9 96.4 50.2 59.6 54.5 44.9 56.1 59.0 35.9 88.2 2019Q4 79.4 72.1 61.6 54.4 77.2 81.5 84.4 94.9 96.5 48.2 58.4 57.5 49.6 42.1 64.2 36.7 85.9 October 2, 2020 Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2018Q1 8.9 15.4 30.0 48.9 60.3 74.1 2018Q2 9.0 15.2 27.8 47.5 58.8 73.5 2018Q3 8.8 14.9 27.8 47.9 61.2 73.7 2018Q4 8.4 14.8 27.8 50.2 58.4 71.8 2019Q1 8.5 14.5 29.2 47.9 58.5 70.8 2019Q2 8.1 14.0 27.3 46.4 57.4 70.2 2019Q3 7.6 13.8 27.0 47.0 58.5 69.7 2019Q4 7.7 13.1 26.5 46.3 56.9 68.9 Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2018Q1 38.8 62.1 75.0 81.4 84.8 88.7 2018Q2 38.9 62.1 74.9 81.2 84.7 88.9 2018Q3 38.6 61.9 74.9 80.8 84.2 88.2 2018Q4 39.3 61.2 73.6 79.4 82.9 86.8 2019Q1 36.9 60.2 73.0 79.0 82.7 86.7 2019Q2 36.3 59.9 72.5 78.6 82.3 86.5 2019Q3 35.9 58.7 71.4 77.8 81.7 86.0 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Fourth Calendar Quarter 2019. 60 40 20 s 65 mo At st 3 mo st 1 80 day s day ays 35 At mo At st 9 mo At st 3 0d day st 7 mo 0d s ays 0 At st 1 mo Investor Liquidity 80 day Percent of Fund Net Assets (%) Portfolio Liquidity At E Analytics Office 2019Q4 34.8 57.0 70.1 76.4 80.3 85.2 October 2, 2020 Analytics Office Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. 2018Q1 2,411 1,459 39 42 *** 2018Q2 2,431 1,489 32 41 13 2018Q3 2,470 1,512 34 39 12 2018Q4 2,266 1,402 40 42 19 2019Q1 2,396 1,488 39 42 17 2019Q2 2,441 1,519 40 42 16 2019Q3 2,427 1,494 42 45 18 Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement See Appendix C for an explanation of boxplots. NAV in Side-Pocket (%) As reported on Form PF, Questions 9 and 48. 60 40 20 18 Q 20 1 18 Q 20 2 18 Q 20 3 18 Q 20 4 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q4 0 20 Type May Suspend May Have Gates Gated Side-Pocketed Suspended 36 2019Q4 2,430 1,553 42 47 15 October 2, 2020 F Analytics Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Reverse Repo Prime Broker Other Secured Subtotal Total 2018Q1 2,592 780 1,418 394 14 2,606 2018Q2 2,813 894 1,527 392 14 2,827 2018Q3 2,830 862 1,591 377 12 2,842 2018Q4 2,757 1,081 1,289 387 12 2,769 2019Q1 3,016 1,202 1,412 401 13 3,028 2019Q2 3,158 1,291 1,438 429 15 3,173 2019Q3 3,089 1,330 1,358 401 16 3,104 2019Q4 3,163 1,302 1,410 450 18 3,180 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2018Q1 60.5 39.1 *** *** 2018Q2 63.3 36.3 *** *** 2018Q3 63.6 36.1 *** *** 2018Q4 63.0 36.5 *** *** 2019Q1 63.1 36.5 *** *** 2019Q2 63.5 35.9 *** *** 2019Q3 63.6 35.9 *** *** 2019Q4 63.0 36.4 *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Reverse Repo Prime Broker Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2018Q1 781 513 268 1,751 1,225 526 447 296 152 2,979 2018Q2 909 569 340 1,841 1,272 569 468 308 159 3,217 2018Q3 885 573 312 2,148 1,557 591 436 298 138 3,468 37 2018Q4 1,121 702 420 1,597 1,067 530 443 278 165 3,162 2019Q1 1,250 766 484 1,723 1,158 565 456 297 160 3,429 2019Q2 1,355 804 550 1,806 1,222 584 494 324 169 3,654 2019Q3 1,371 836 535 1,706 1,157 549 482 339 143 3,559 2019Q4 1,305 800 506 1,771 1,222 549 498 344 154 3,574 4 2 0 (b) Prime Broker Borrowing 38 -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 6 20 8 Collateral/Reverse Repo Borrowing Winsorized (limits=[0%,98%]) -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 Collateral/Prime Broker Borrowing Winsorized (limits=[0%,98%]) -0 20 3 18 -0 20 6 18 -0 20 9 18 -1 20 2 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -12 18 20 Collateral/Total Secured Borrowing Winsorized (limits=[0%,98%]) October 2, 2020 Analytics Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Question 43. 8 6 4 2 0 (a) Total Secured Borrowing 8 6 4 2 0 (c) Reverse Repo Borrowing October 2, 2020 Analytics Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2018Q1 31.6 51.5 64.9 80.6 95.8 96.9 2018Q2 32.9 52.7 66.7 80.6 95.8 97.1 2018Q3 35.8 51.8 66.0 79.9 96.0 97.2 2018Q4 30.0 50.2 68.6 82.8 95.7 96.8 2019Q1 34.7 51.4 68.6 82.7 95.7 96.7 2019Q2 34.5 51.0 68.0 83.5 95.4 96.5 2019Q3 39.7 54.1 68.9 82.7 95.1 96.2 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) Financing Liquidity 100 80 60 40 20 ays 36 At m ost 18 ost At m mo At 39 5d ays 0d ays 0d 0d st 3 mo At st 9 s day st 7 mo At st 1 mo At ays 0 day Percent of Available Financing (%) As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2019. 2019Q4 29.1 47.9 67.4 82.8 94.9 96.0 October 2, 2020 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Percent of Funds 20 Percent of NAV 15 10 5 40 Q4 19 20 Q3 19 20 Q2 19 20 Q1 19 20 Q4 18 20 Q3 18 20 Q2 18 20 18 Q1 0 20 G Analytics Office October 2, 2020 H Analytics Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2018Q1 660 286 185 175 51 1,112 2018Q2 672 287 193 178 52 1,134 2018Q3 682 298 194 182 52 1,136 2018Q4 684 303 189 186 49 1,143 2019Q1 676 297 191 183 45 1,118 2019Q2 665 305 189 165 46 1,119 2019Q3 668 314 183 167 45 1,135 2019Q4 673 317 182 174 43 1,148 Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2018Q1 3,661 1,969 817 854 496 2,415 2018Q2 3,779 2,027 837 838 522 2,502 2018Q3 3,841 2,017 842 670 759 2,546 2018Q4 3,652 1,954 801 617 742 2,502 2019Q1 3,887 2,104 817 683 833 2,592 2019Q2 4,021 2,212 831 700 851 2,714 2019Q3 3,914 2,071 829 709 868 2,741 2019Q4 3,938 2,062 797 736 913 2,775 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2018Q1 1,423 580 494 375 91 1,683 2018Q2 1,430 570 500 379 96 1,721 2018Q3 1,434 575 496 353 130 1,754 41 2018Q4 1,324 524 460 337 114 1,643 2019Q1 1,385 547 475 345 128 1,742 2019Q2 1,393 561 482 332 131 1,787 2019Q3 1,382 563 461 334 135 1,807 2019Q4 1,378 560 452 351 121 1,861 October 2, 2020 I Analytics Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2018Q1 593 494 67 618 2018Q2 599 490 73 644 2018Q3 613 496 69 640 2018Q4 606 486 78 657 2019Q1 588 453 88 665 2019Q2 587 463 78 656 2019Q3 599 459 69 676 2019Q4 596 448 77 700 Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2018Q1 3,499 1,269 162 1,146 2018Q2 3,612 1,294 168 1,208 2018Q3 3,675 1,300 165 1,246 2018Q4 3,496 1,322 155 1,180 2019Q1 3,684 1,322 203 1,270 2019Q2 3,798 1,380 223 1,334 2019Q3 3,733 1,330 181 1,412 2019Q4 3,750 1,299 188 1,476 Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2018Q1 1,313 746 110 938 2018Q2 1,318 745 112 977 2018Q3 1,320 757 114 998 2018Q4 1,222 704 103 939 42 2019Q1 1,255 728 129 1,014 2019Q2 1,254 740 139 1,048 2019Q3 1,268 740 114 1,068 2019Q4 1,254 741 124 1,120 October 2, 2020 Analytics Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2018Q1 78.9 95.5 99.7 99.9 99.9 100.0 2018Q2 79.1 96.1 99.7 99.9 100.0 100.0 2018Q3 78.8 96.0 99.5 99.8 99.9 100.0 2018Q4 77.9 95.9 99.4 99.8 99.9 99.9 2019Q1 77.9 95.9 99.5 99.9 100.0 100.0 2019Q2 76.2 96.1 99.6 99.9 100.0 100.0 2019Q3 75.5 95.9 99.7 99.8 99.9 100.0 2019Q4 73.6 95.7 99.7 99.8 99.9 99.9 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2018Q2 284 245 0 0 2018Q3 291 255 0 0 2018Q4 278 243 0 0 2019Q1 273 237 0 0 2019Q2 276 241 0 0 2019Q3 277 245 0 0 2019Q4 273 241 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average WAM 50 Asset-Weighted WAM 40 30 20 10 43 -12 19 20 -09 19 20 -06 19 20 -03 20 19 -12 18 20 -09 18 20 -06 18 20 18 -03 0 20 Weighted Average Maturity (WAM) in Days B 2018Q1 269 232 0 0 October 2, 2020 Analytics Office Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Asset-Weighted WAL 80 60 40 20 -12 19 20 -09 19 20 -06 20 19 -03 20 19 -12 20 18 -09 18 20 18 20 18 20 -06 0 -03 Weighted Average Life (WAL) in Days Average WAL Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average Yield Asset-Weighted Yield 2.5 2.0 1.5 1.0 0.5 44 9-1 2 20 1 9-0 9 20 1 9-0 6 20 1 9-0 3 20 1 8-1 2 20 1 8-0 9 20 1 8-0 6 20 1 8-0 3 0.0 20 1 Seven-Day Gross Yield (%) 3.0 October 2, 2020 Analytics Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average DLA 100 Asset-Weighted DLA 80 60 40 20 -12 19 20 -09 19 20 -06 19 20 -03 19 20 -12 18 20 -09 18 20 18 20 18 20 -06 0 -03 Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) As reported on Form PF, Question 55. Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average WLA 100 Asset-Weighted WLA 80 60 40 20 45 19 -12 20 19 -09 20 19 -06 20 19 -03 20 18 -12 20 18 -09 20 18 -06 20 18 -03 0 20 Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) As reported on Form PF, Question 55. October 2, 2020 C Analytics Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None 2018Q1 58.7 54.3 54.3 50.0 45.7 41.3 2018Q2 60.0 55.6 55.6 51.1 46.7 40.0 2018Q3 60.0 55.6 55.6 51.1 46.7 40.0 2018Q4 60.9 56.5 56.5 52.2 47.8 39.1 2019Q1 60.0 55.6 55.6 51.1 46.7 40.0 2019Q2 61.4 56.8 56.8 52.3 47.7 38.6 2019Q3 61.9 57.1 57.1 52.4 47.6 38.1 2019Q4 62.8 58.1 58.1 53.5 48.8 37.2 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity Fully None D 2018Q1 15.9 14.9 14.9 14.5 12.7 84.1 2018Q2 14.6 13.7 13.7 13.4 11.7 85.4 2018Q3 14.5 13.5 13.5 13.3 11.5 85.5 2018Q4 13.4 12.4 12.4 12.2 10.3 86.6 2019Q1 13.8 12.7 12.7 12.5 10.5 86.2 2019Q2 13.6 12.8 12.8 12.6 10.8 86.4 2019Q3 13.6 13.0 13.0 12.8 10.9 86.4 2019Q4 12.9 12.3 12.3 12.1 10.1 87.1 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2018Q1 80.4 19.6 2018Q2 80.0 20.0 2018Q3 77.8 22.2 2018Q4 78.3 21.7 2019Q1 80.0 20.0 2019Q2 75.0 25.0 2019Q3 76.2 23.8 2019Q4 74.4 25.6 Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2018Q1 70.3 29.7 2018Q2 68.4 31.6 2018Q3 68.0 32.0 2018Q4 70.9 29.1 46 2019Q1 74.4 25.6 2019Q2 56.5 43.5 2019Q3 62.9 37.1 2019Q4 64.6 35.4 October 2, 2020 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 2 59.0 54.5 45.3 47.0 49.9 22.0 17.2 4.5 1.0 64.1 53.6 44.8 45.7 47.9 20.2 17.8 4.8 1.2 59.5 51.4 49.3 46.8 47.2 21.8 15.6 3.5 0.9 60.7 57.2 49.9 46.5 42.7 22.7 14.1 3.1 0.9 54.2 60.3 48.3 41.1 46.4 22.4 14.3 3.2 0.9 8-1 61.5 53.3 43.9 50.5 47.3 21.9 17.6 5.1 1.0 8-1 201 1 0 201 64.6 61.9 35.1 42.8 48.6 23.1 16.2 5.7 1.1 8-1 201 -09 201 8 8 60.8 54.5 39.0 44.1 48.1 22.6 19.7 5.2 1.0 8-0 201 7 64.2 56.7 40.6 42.6 45.8 21.9 17.1 4.6 1.2 8-0 6 201 54.3 60.9 34.2 42.2 45.1 21.4 15.8 5.4 1.0 8-0 201 5 201 69.3 54.2 30.5 41.2 47.5 21.3 16.8 5.6 1.0 8-0 201 8-0 4 8-0 3 2 201 Product Type Deposits U.S. Treasuries Repo - Govt. Collateral Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 8-0 201 72.3 54.2 37.3 42.9 48.7 21.7 16.8 4.8 0.9 8-0 201 1 As reported on Form PF, Question 63. Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 64.7 49.8 51.7 43.6 41.7 17.9 10.0 1.9 0.7 70.6 55.3 46.8 42.6 39.9 17.3 9.6 1.9 0.7 65.6 60.0 45.9 41.8 40.1 16.5 8.2 1.8 0.7 9-1 201 2 1 201 66.1 50.2 52.0 40.8 41.9 18.3 9.6 2.2 0.6 9-1 201 0 201 70.1 41.3 60.6 43.2 43.6 18.1 8.0 2.4 0.6 9-1 201 9-0 9 9-0 7 201 67.5 36.6 69.8 40.0 47.4 18.3 11.4 2.3 0.7 9-0 201 9-0 65.8 39.5 62.4 39.6 44.4 18.6 11.9 3.4 0.7 47 8 9-0 5 201 62.3 37.5 59.0 42.0 39.2 21.4 10.6 4.2 0.8 -04 201 9 61.7 40.9 58.0 40.2 41.2 20.3 12.7 3.2 0.8 -03 201 9 57.6 48.9 48.4 37.8 45.4 20.8 12.9 4.4 0.9 9-0 2 201 58.5 46.2 57.6 40.4 45.4 21.9 13.4 3.5 0.9 1 55.0 45.1 58.0 43.9 48.5 24.4 16.8 2.9 1.0 9-0 Product Type Deposits U.S. Treasuries Repo - Govt. Collateral Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 6 As reported on Form PF, Question 63. 201 E Analytics Office October 2, 2020 XI A Analytics Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 63: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Electric Power Generation,... Data Processing, Hosting, &... Oil & Gas Extraction Telecommunications Data Processing... Custom Computer Programming... Other Financial Investment... Pharmaceutical & Medicine Mfg Other Information Services Pipeline Transportation Scientific Research & Development... Management, Scientific, &... Activities Related to Credit... All Other Professional,... Other Financial Vehicles Lessors of Nonresidential Buildings Insurance Agencies & Brokerages Educational Services 2013Q4 2.8 3.8 2.9 7.9 2.6 0.9 2.0 1.0 2.0 2.4 0.9 1.0 1.2 0.4 0.4 0.8 0.9 1.4 2014Q4 3.8 3.8 2.3 7.8 2.5 1.0 1.8 1.3 2.1 2.6 0.9 1.2 1.2 0.6 0.4 0.8 1.0 1.3 48 2015Q4 4.9 3.7 1.8 5.8 2.7 1.5 1.8 1.5 1.9 2.4 1.0 1.1 1.4 0.6 0.6 0.8 1.0 1.3 2016Q4 6.1 4.1 2.0 6.7 2.3 1.5 1.7 1.4 1.8 2.2 0.7 1.3 1.0 0.9 1.8 0.7 1.2 1.2 2017Q4 6.0 4.2 2.3 6.2 2.2 1.5 1.4 1.5 2.0 1.9 1.0 1.6 1.2 0.8 1.6 0.7 1.1 1.4 2018Q4 8.0 4.5 3.5 4.9 2.4 1.8 2.1 2.4 1.7 1.8 1.0 1.4 1.3 1.4 1.3 0.6 1.0 1.2 2019Q4 10.6 4.3 4.2 3.6 2.6 2.1 2.1 2.0 1.9 1.7 1.7 1.6 1.4 1.4 1.2 1.1 1.1 1.1 October 2, 2020 CPC Financial Leverage Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities to Total Liabilities of Section 4 Private Equity Funds See Appendix C for an explanation of boxplots. 50 40 30 20 10 Q4 19 20 Q4 18 20 Q4 17 20 Q4 16 20 Q4 15 20 Q4 14 20 20 Q4 0 13 Ratio of Portfolio Company Current Liabilities to Total Liabilities (%) As reported on Form PF, Questions 71 and 72. Figure 23: Distribution of CPC Payment-in-Kind or Zero Coupon Borrowings to Total Borrowings Ratio See Appendix C for an explanation of boxplots. As reported on Form PF, Question 73. 60 40 20 49 Q4 19 20 Q4 18 20 Q4 17 20 Q4 16 20 Q4 15 20 Q4 14 20 20 Q4 0 13 CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) B Analytics Office October 2, 2020 C Analytics Office CPC Investments by Region and Country Table 64: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2013Q4 5,249 1,432 445 75 25 65 8 21 2014Q4 4,506 1,259 462 85 9 67 12 12 2015Q4 4,132 941 447 58 21 23 9 12 2016Q4 3,942 848 406 111 22 37 15 18 2017Q4 3,961 963 379 184 40 49 23 14 2018Q4 4,211 1,256 435 140 46 55 16 10 2019Q4 5,162 1,547 561 149 69 60 18 15 Table 65: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2013Q4 71.7 19.6 6.1 1.0 0.3 0.9 0.1 0.3 2014Q4 70.2 19.6 7.2 1.3 0.1 1.0 0.2 0.2 2015Q4 73.2 16.7 7.9 1.0 0.4 0.4 0.2 0.2 50 2016Q4 73.0 15.7 7.5 2.0 0.4 0.7 0.3 0.3 2017Q4 70.5 17.1 6.8 3.3 0.7 0.9 0.4 0.3 2018Q4 68.2 20.3 7.0 2.3 0.7 0.9 0.3 0.2 2019Q4 68.0 20.4 7.4 2.0 0.9 0.8 0.2 0.2 October 2, 2020 Analytics Office Table 66: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 5,002 171 63 45 108 3 2014Q4 4,305 186 83 58 98 2 2015Q4 3,943 173 89 41 85 5 2016Q4 3,776 114 92 88 79 4 2017Q4 3,794 147 73 131 52 4 2018Q4 4,015 154 104 96 52 2 2019Q4 4,801 149 128 93 78 1 2018Q4 65.1 2.5 1.7 1.6 0.8 0.0 2019Q4 63.2 2.0 1.7 1.2 1.0 0.0 Table 67: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 68.3 2.3 0.9 0.6 1.5 0.0 2014Q4 67.1 2.9 1.3 0.9 1.5 0.0 2015Q4 69.9 3.1 1.6 0.7 1.5 0.1 51 2016Q4 69.9 2.1 1.7 1.6 1.5 0.1 2017Q4 67.6 2.6 1.3 2.3 0.9 0.1 October 2, 2020 XII A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.7 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.8 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.9 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 7 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 8 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 9 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 52 October 2, 2020 3 Analytics Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.10 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 10 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 53 October 2, 2020 B Analytics Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.11 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for an explanation of each feature. Figure 24: How to Read a Boxplot 11 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 54 October 2, 2020 D Analytics Office Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.12 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 12 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 55 October 2, 2020 E Analytics Office Definitions Included by reference are all definitions included in the glossary of Form PF. Aggregate Exposure A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets. Borrowing In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements). CPC Controlled portfolio company, as defined in Form PF. Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF. IRDs Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging. Large Hedge Fund Adviser An adviser that has at least $1.5 billion in hedge fund assets under management. 56 October 2, 2020 Analytics Office Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management. Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets under management. Parallel Managed Account An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the reporting fund. Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser. Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser. Value For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors. 57 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A7d1546b8b324c24d. Public record. Not legal advice.