# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A819b7d525c90ad13 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Fourth Calendar Quarter 2020 August 4, 2021 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. August 4, 2021 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 2019 through Fourth Calendar Quarter 2020 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 2020 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 2020-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 Contents I II III IV V VI Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fund Domiciles and Adviser Main Offices Beneficial Ownership A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Derivatives 5 5 8 10 11 13 15 15 16 17 18 19 20 Additional Hedge Fund Industry Information A High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . D Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . 21 21 22 24 26 VII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 28 30 31 32 VIII Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 34 36 38 39 41 42 44 47 48 2 August 4, 2021 J K Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 50 A B C D E Section 3 Liquidity Fund Specific Information Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 52 52 55 55 56 A B C Section 4 Private Equity Fund Specific Information CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 57 57 58 59 Appendices 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 61 61 61 62 62 62 63 63 64 65 IX X XI Analytics Office A 3 August 4, 2021 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 Securitized Asset Fund Qualifying Hedge Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2019Q1 13,021 9,399 4,755 3,932 2,850 1,569 1,794 971 71 44 32,636 2019Q2 13,035 9,497 4,715 3,932 2,851 1,577 1,784 971 71 43 32,717 2019Q3 13,043 9,507 4,702 3,932 2,839 1,579 1,803 969 71 41 32,710 2019Q4 14,347 9,309 4,966 4,394 3,118 1,719 1,821 1,156 64 42 34,679 2020Q1 14,481 9,384 4,968 4,405 3,119 1,721 1,825 1,158 63 40 34,894 2020Q2 14,493 9,416 4,973 4,405 3,115 1,721 1,814 1,155 66 44 34,939 2020Q3 14,490 9,477 4,961 4,408 3,116 1,726 1,780 1,150 68 46 34,988 2020Q4 15,584 9,370 5,357 5,253 3,288 1,837 1,793 1,413 71 52 36,920 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 Securitized Asset Fund Qualifying Hedge Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2019Q1 1,265 1,744 626 307 349 153 540 134 38 21 3,162 2019Q2 1,267 1,741 628 307 350 154 536 134 38 21 3,160 2019Q3 1,269 1,734 625 307 349 154 548 133 38 20 3,153 2019Q4 1,357 1,734 647 323 375 161 554 153 35 21 3,237 2020Q1 1,361 1,731 643 325 375 160 543 154 35 20 3,238 2020Q2 1,363 1,727 644 325 372 160 540 153 36 21 3,238 2020Q3 1,366 1,728 642 326 373 161 530 152 37 22 3,235 2020Q4 1,437 1,756 683 364 387 161 545 176 36 23 3,359 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 August 4, 2021 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 2019Q1 8,053 6,480 3,260 2,364 1,243 574 573 288 285 112 14,104 2019Q2 8,256 6,735 3,260 2,364 1,234 575 575 289 285 112 14,300 2019Q3 8,101 6,655 3,259 2,364 1,248 575 576 295 288 112 14,166 2019Q4 8,180 6,713 3,736 2,743 1,396 662 649 289 284 144 15,055 2020Q1 7,746 6,322 3,811 2,795 1,367 666 647 295 288 144 14,675 2020Q2 7,780 6,403 3,809 2,795 1,382 666 647 301 297 145 14,729 2020Q3 8,207 6,825 3,811 2,796 1,391 666 649 322 319 150 15,195 2020Q4 8,775 7,096 4,712 3,585 1,475 811 701 318 315 225 17,016 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 2019Q1 4,007 3,127 2,897 2,116 1,104 448 171 284 281 99 9,009 2019Q2 4,092 3,180 2,896 2,116 1,093 448 172 286 283 98 9,086 2019Q3 4,066 3,189 2,895 2,116 1,107 448 172 293 286 99 9,080 5 2019Q4 4,135 3,238 3,305 2,442 1,232 504 205 287 281 137 9,804 2020Q1 3,782 2,917 3,374 2,493 1,204 507 202 291 284 138 9,497 2020Q2 4,092 3,215 3,373 2,493 1,215 507 202 295 292 138 9,824 2020Q3 4,300 3,401 3,374 2,493 1,229 507 204 315 312 144 10,073 2020Q4 4,663 3,574 4,159 3,200 1,298 615 213 313 311 217 11,478 August 4, 2021 Analytics Office Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. 8 6 6 NAV ($Billions) 4 2 (a) Qualifying Hedge Fund GAV (b) Qualifying Hedge Fund NAV NAV ($Millions) 500 1250 1000 750 500 250 0 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 (d) Section 4 Private Equity Fund NAV 19 20 (c) Section 4 Private Equity Fund GAV 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0 20 GAV ($Millions) 1500 1000 9Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 9Q 1 20 1 9Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 20 1 20 1 2 0 9Q 1 0 4 20 1 GAV ($Billions) As reported on Form PF, Questions 8 and 9. 8 6 August 4, 2021 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 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0.0 2.5 2.0 1.5 1.0 0.5 0.0 20 20 3.0 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) 2.5 19 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 August 4, 2021 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 Other Private Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2019Q1 52.7 46.7 43.0 14.9 5.2 3.3 5.1 0.8 0.0 0.0 2019Q2 52.1 47.2 43.3 14.6 5.2 3.4 5.1 0.9 0.0 0.0 2019Q3 52.2 46.7 43.1 14.6 5.2 3.4 5.1 0.9 0.0 0.0 2019Q4 52.5 47.4 43.5 14.8 7.3 4.5 6.5 0.8 0.0 0.0 2020Q1 49.0 45.9 42.3 14.9 7.3 4.8 6.4 0.7 0.0 0.0 2020Q2 47.7 45.3 41.3 14.6 7.3 4.7 6.4 0.8 0.0 0.0 2020Q3 47.5 47.0 43.0 14.6 7.3 4.8 6.4 0.8 0.0 0.0 2020Q4 53.6 45.6 41.0 13.8 5.1 5.0 5.0 0.5 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 (a) All Private Funds 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0 20 0 2 19 200 3 20 400 4 Q1 Total Borrowings ($Billions) 600 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 Total Borrowings ($Millions) As reported on Form PF, Questions 12 and 43 (Third Month). 20 B Analytics Office (b) Qualifying Hedge Funds 8 August 4, 2021 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 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 20 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 4 3 2 1 0 (a) All Private Funds (b) Qualifying Hedge Funds Table 6: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2019Q1 65.6 31.8 2.1 0.8 2019Q2 65.9 31.6 2.2 0.9 2019Q3 66.2 31.3 2.3 0.8 9 2019Q4 65.6 31.1 2.4 1.0 2020Q1 64.9 32.4 2.6 1.0 2020Q2 66.7 30.8 2.5 1.0 2020Q3 64.7 32.9 2.4 1.0 2020Q4 66.3 30.4 2.3 1.0 August 4, 2021 C Analytics Office Fair Value Hierarchy Table 7: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2019Q1 3,269 2,982 3,476 2,547 2019Q2 3,289 3,047 3,475 2,552 2019Q3 3,251 3,050 3,470 2,546 2019Q4 3,849 3,486 4,061 2,362 2020Q1 3,816 3,510 4,113 2,348 2020Q2 3,825 3,500 4,117 2,337 2020Q3 3,836 3,519 4,128 2,334 2020Q4 4,248 3,642 5,075 2,339 Table 8: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 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 10 2020Q1 1,298 1,068 268 2,238 2020Q2 1,289 1,059 268 2,227 2020Q3 1,299 1,066 267 2,228 2020Q4 1,345 1,193 295 2,075 August 4, 2021 D Analytics Office Parallel Managed Accounts4 Table 9: 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 Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 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 614 505 332 222 136 95 *** 12 11 *** 1,565 2020Q1 628 501 331 232 136 95 *** 12 11 *** 1,574 2020Q2 610 500 330 227 135 95 *** 11 11 *** 1,553 2020Q3 601 493 330 221 135 95 *** 11 11 *** 1,537 2020Q4 597 478 311 210 103 73 17 *** 11 *** 1,489 Table 10: 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 Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2019Q1 721 1,842 48 470 33 5 *** 293 292 *** 2,909 2019Q2 713 1,832 48 466 33 5 *** 264 263 *** 2,863 2019Q3 712 1,832 48 470 33 5 *** 294 292 *** 2,891 2019Q4 717 2,068 58 477 38 10 *** 317 316 *** 3,171 2020Q1 637 2,052 58 433 38 10 *** 378 377 *** 3,135 2020Q2 638 2,044 58 434 38 10 *** 366 366 *** 3,117 2020Q3 634 2,028 58 414 38 10 *** 383 383 *** 3,113 2020Q4 764 2,583 98 473 44 7 1 *** 391 *** 3,845 4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11 August 4, 2021 Analytics Office Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. 2 1 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0 20 1 3 2 1 0 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 Parallel Managed Assets ($Billions) 3 4 9Q 4 5 20 1 5 9Q Parallel Managed Assets ($Billions) As reported on Form PF, Question 11. (a) All Private Funds (b) Qualifying Hedge Funds 12 August 4, 2021 III Analytics Office Fund Domiciles and Adviser Main Offices Table 11: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Bermuda Virgin Islands, British Other Country Cayman Islands United States Ireland Luxembourg Virgin Islands, British Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands Canada United Kingdom Bermuda Other All Private Funds 2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 50.6 50.4 50.5 51.2 51.4 34.6 34.8 34.7 34.5 34.1 4.5 4.5 4.7 4.6 4.5 3.0 3.0 2.9 3.2 3.1 1.1 1.1 1.2 1.1 1.1 1.5 1.5 1.5 1.3 1.1 4.8 4.6 4.6 4.1 4.7 Qualifying Hedge Funds 2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 51.5 51.9 51.6 51.4 52.4 34.7 34.5 34.7 35.1 34.9 3.2 3.2 3.1 3.1 2.9 2.7 2.7 2.7 2.7 2.6 3.9 3.9 3.9 3.6 3.2 1.9 1.8 2.1 2.1 2.2 2.0 1.9 1.9 1.9 1.7 Section 3 Liquidity Funds 2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 *** *** *** *** *** 30.5 30.3 26.9 22.6 25.7 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 56.0 56.0 56.0 56.2 55.0 30.1 30.1 30.1 32.0 31.4 1.1 1.1 1.1 1.7 1.8 2.3 2.3 2.3 1.9 1.7 0.9 0.9 0.9 1.0 1.0 9.6 9.6 9.6 7.2 9.1 13 2020Q2 50.9 34.6 4.6 3.1 1.1 1.1 4.6 2020Q3 50.4 35.0 4.8 3.2 1.0 1.1 4.5 2020Q4 51.0 34.3 4.5 3.7 1.0 1.0 4.5 2020Q2 52.5 35.1 3.1 2.5 3.0 2.0 1.8 2020Q3 53.2 34.6 3.1 2.6 2.9 1.9 1.8 2020Q4 53.4 34.1 3.2 2.8 2.8 1.8 1.9 2020Q2 *** 24.8 *** *** 2020Q3 *** 23.4 *** *** 2020Q4 *** 26.2 *** *** 2020Q2 55.1 31.3 1.8 1.7 1.0 9.1 2020Q3 55.1 31.3 1.8 1.7 1.0 9.1 2020Q4 56.4 29.6 2.2 1.5 1.1 9.2 August 4, 2021 Analytics Office Table 12: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2019Q1 89.3 6.2 4.4 Country United States United Kingdom Hong Kong Australia Other 2019Q1 89.0 6.0 *** *** 2.0 Country United States United Kingdom 2019Q1 *** *** Country United States Canada Other 2019Q1 94.1 *** *** All Private Funds 2019Q2 2019Q3 2019Q4 2020Q1 89.4 89.3 89.8 90.2 6.1 6.3 5.4 5.3 4.5 4.5 4.7 4.5 Qualifying Hedge Funds 2019Q2 2019Q3 2019Q4 2020Q1 89.2 89.4 88.8 89.4 5.8 5.5 5.5 5.0 *** *** *** *** *** *** *** *** 2.0 2.0 2.1 2.1 Section 3 Liquidity Funds 2019Q2 2019Q3 2019Q4 2020Q1 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2019Q2 2019Q3 2019Q4 2020Q1 94.1 94.1 93.8 93.8 *** *** *** *** *** *** *** *** 14 2020Q2 90.2 5.2 4.7 2020Q3 90.1 5.3 4.6 2020Q4 90.5 4.6 4.9 2020Q2 89.8 4.5 *** *** 2.0 2020Q3 89.8 4.4 *** *** 1.9 2020Q4 88.8 4.7 *** *** 2.0 2020Q2 *** *** 2020Q3 *** *** 2020Q4 *** *** 2020Q2 93.8 *** *** 2020Q3 93.8 *** *** 2020Q4 94.3 *** *** August 4, 2021 IV A Analytics Office Beneficial Ownership All Private Funds Table 13: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q1 1,554 1,378 1,250 1,072 876 895 604 411 218 215 129 171 126 107 2019Q2 1,567 1,383 1,249 1,087 886 903 611 416 219 221 131 177 125 109 2019Q3 1,561 1,394 1,245 1,083 888 901 609 415 218 223 135 172 125 109 2019Q4 1,677 1,467 1,335 1,169 958 994 658 461 234 242 172 183 137 114 2020Q1 1,644 1,453 1,301 1,105 914 930 648 461 231 230 167 175 127 106 2020Q2 1,673 1,510 1,330 1,142 966 991 670 469 248 237 170 173 130 112 2020Q3 1,713 1,561 1,343 1,164 999 1,018 690 475 258 259 172 172 129 115 2020Q4 2,040 1,820 1,533 1,248 1,163 1,141 803 551 296 276 189 169 134 111 2020Q3 17.0 15.5 13.3 11.6 9.9 10.1 6.9 4.7 2.6 2.6 1.7 1.7 1.3 1.1 2020Q4 17.8 15.9 13.4 10.9 10.1 9.9 7.0 4.8 2.6 2.4 1.6 1.5 1.2 1.0 Table 14: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q1 17.3 15.3 13.9 11.9 9.7 9.9 6.7 4.6 2.4 2.4 1.4 1.9 1.4 1.2 2019Q2 17.2 15.2 13.8 12.0 9.7 9.9 6.7 4.6 2.4 2.4 1.4 1.9 1.4 1.2 15 2019Q3 17.2 15.3 13.7 11.9 9.8 9.9 6.7 4.6 2.4 2.5 1.5 1.9 1.4 1.2 2019Q4 17.1 15.0 13.6 11.9 9.8 10.1 6.7 4.7 2.4 2.5 1.7 1.9 1.4 1.2 2020Q1 17.3 15.3 13.7 11.6 9.6 9.8 6.8 4.9 2.4 2.4 1.8 1.8 1.3 1.1 2020Q2 17.0 15.4 13.5 11.6 9.8 10.1 6.8 4.8 2.5 2.4 1.7 1.8 1.3 1.1 August 4, 2021 B Analytics Office Qualifying Hedge Funds Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q1 508 442 428 417 347 353 198 89 79 57 42 54 33 77 2019Q2 520 449 437 428 340 357 206 90 79 58 45 54 36 79 2019Q3 525 446 431 422 342 367 208 89 83 57 47 55 36 80 2019Q4 532 464 427 433 351 371 209 92 84 63 49 43 38 81 2020Q1 492 410 393 376 316 331 191 89 76 54 45 35 35 73 2020Q2 532 470 428 409 362 356 205 96 91 56 50 45 34 78 2020Q3 564 494 466 429 384 368 220 101 99 60 50 46 37 80 2020Q4 607 539 493 458 415 399 227 113 111 67 53 38 38 17 2020Q3 16.6 14.5 13.7 12.6 11.3 10.8 6.5 3.0 2.9 1.8 1.5 1.3 1.1 2.3 2020Q4 17.0 15.1 13.8 12.8 11.6 11.2 6.3 3.2 3.1 1.9 1.5 1.1 1.1 0.5 Table 16: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q1 16.3 14.1 13.7 13.3 11.1 11.3 6.3 2.8 2.5 1.8 1.3 1.7 1.1 2.5 2019Q2 16.4 14.1 13.7 13.5 10.7 11.2 6.5 2.8 2.5 1.8 1.4 1.7 1.1 2.5 16 2019Q3 16.4 14.0 13.5 13.2 10.7 11.5 6.5 2.8 2.6 1.8 1.5 1.7 1.1 2.5 2019Q4 16.4 14.3 13.2 13.4 10.8 11.5 6.5 2.8 2.6 1.9 1.5 1.3 1.2 2.5 2020Q1 16.9 14.1 13.5 12.9 10.8 11.3 6.6 3.0 2.6 1.8 1.5 1.2 1.2 2.5 2020Q2 16.5 14.6 13.3 12.7 11.3 11.1 6.4 3.0 2.8 1.8 1.5 1.4 1.1 2.4 August 4, 2021 C Analytics Office Section 3 Liquidity Funds Table 17: 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 Sec-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-U.S. Individuals Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals State/Muni. Govt. Entities 2019Q1 56 59 84 19 *** *** *** *** 10 4 1 *** *** *** 2019Q2 57 59 84 19 *** *** *** *** 9 3 *** *** *** *** 2019Q3 74 63 69 19 *** *** *** *** 8 4 1 *** *** *** 2019Q4 73 62 62 14 *** *** *** 4 7 4 2 *** *** *** 2020Q1 74 60 72 12 *** *** *** *** 9 4 1 *** *** *** 2020Q2 90 58 57 17 *** *** *** *** 10 3 1 *** *** *** 2020Q3 92 76 55 18 *** *** *** 5 9 3 2 *** *** *** 2020Q4 87 79 59 20 *** *** *** 9 8 *** 2 1 *** *** 2020Q3 29.3 24.2 17.6 5.8 *** *** *** 1.6 2.9 0.8 0.6 *** *** *** 2020Q4 28.0 25.5 18.8 6.5 *** *** *** 2.7 2.6 *** 0.7 0.3 *** *** Table 18: 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 Sec-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-U.S. Individuals Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals State/Muni. Govt. Entities 2019Q1 19.9 20.9 30.0 6.7 *** *** *** *** 3.5 1.4 0.3 *** *** *** 2019Q2 20.0 20.8 29.6 6.7 *** *** *** *** 3.2 1.1 *** *** *** *** 17 2019Q3 25.8 22.1 24.2 6.8 *** *** *** *** 2.7 1.2 0.3 *** *** *** 2019Q4 25.8 22.1 22.0 4.8 *** *** *** 1.3 2.6 1.3 0.6 *** *** *** 2020Q1 26.1 21.1 25.3 4.4 *** *** *** *** 3.3 1.5 0.4 *** *** *** 2020Q2 30.9 19.9 19.4 5.8 *** *** *** *** 3.6 0.9 0.4 *** *** *** August 4, 2021 D Analytics Office Section 4 Private Equity Funds Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q1 397 454 336 244 175 127 117 116 48 36 31 17 17 1 2019Q2 397 454 336 244 175 127 117 116 48 36 31 17 17 1 2019Q3 397 454 336 244 175 127 117 116 48 36 31 17 17 1 2019Q4 467 514 369 278 199 152 132 139 51 56 36 28 19 1 2020Q1 468 526 392 286 201 154 132 140 54 56 37 28 19 1 2020Q2 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q3 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q4 656 652 512 361 245 189 186 180 65 63 38 27 25 3 Table 20: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q1 18.8 21.4 15.9 11.5 8.3 6.0 5.5 5.5 2.3 1.7 1.5 0.8 0.8 0.1 2019Q2 18.8 21.4 15.9 11.5 8.3 6.0 5.5 5.5 2.3 1.7 1.5 0.8 0.8 0.1 18 2019Q3 18.8 21.4 15.9 11.5 8.3 6.0 5.5 5.5 2.3 1.7 1.5 0.8 0.8 0.1 2019Q4 19.1 21.1 15.1 11.4 8.2 6.2 5.4 5.7 2.1 2.3 1.5 1.1 0.8 0.1 2020Q1 18.8 21.1 15.7 11.5 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q2 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q3 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q4 20.5 20.4 16.0 11.3 7.7 5.9 5.8 5.6 2.0 2.0 1.2 0.8 0.8 0.1 August 4, 2021 E Analytics Office Concentration Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Other Private Fund Real Estate Fund Hedge Fund Venture Capital Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2019Q1 58.4 57.7 55.2 59.1 50.8 50.6 44.5 55.9 55.4 34.5 54.0 2019Q2 58.1 57.7 55.6 59.2 50.8 50.8 44.5 52.8 52.2 34.6 54.0 2019Q3 58.6 57.7 55.7 59.1 50.8 51.1 44.5 49.4 48.4 34.8 54.0 19 2019Q4 58.6 56.7 55.9 54.7 50.5 51.2 45.0 46.2 45.2 39.4 53.8 2020Q1 59.0 56.6 55.5 54.7 50.5 50.5 45.0 49.9 48.9 39.4 53.7 2020Q2 59.1 56.6 55.3 54.8 50.5 50.4 44.9 47.1 46.7 39.5 53.6 2020Q3 58.4 56.6 55.4 54.7 50.5 50.5 44.9 44.8 44.4 39.1 53.5 2020Q4 59.6 56.2 55.4 53.7 50.2 50.7 45.2 44.3 44.1 37.4 53.4 August 4, 2021 V Analytics Office Derivatives Table 22: 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 Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q1 14,163 11,298 131 37 31 17 *** *** 3 *** 14,384 2019Q2 13,082 11,447 134 37 31 17 *** *** 3 *** 13,306 2019Q3 13,568 11,493 135 37 31 17 *** *** 3 *** 13,589 2019Q4 12,765 11,162 111 95 37 18 *** *** 3 *** 12,912 2020Q1 11,977 10,540 108 96 37 18 *** *** 3 *** 12,221 2020Q2 11,057 9,544 108 96 37 18 *** *** 3 *** 11,318 2020Q3 13,752 11,771 106 97 37 18 *** *** 3 *** 14,003 2020Q4 14,158 11,893 134 66 34 19 *** *** 3 *** 14,473 Table 23: 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 Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q1 353.4 361.3 11.9 1.3 1.5 3.7 *** *** 1.6 *** 159.7 2019Q2 319.7 360.0 12.3 1.3 1.5 3.7 *** *** 1.6 *** 146.4 2019Q3 333.7 360.4 12.2 1.3 1.5 3.7 *** *** 1.6 *** 149.7 20 2019Q4 308.7 344.7 9.0 2.9 1.5 3.6 *** *** 1.5 *** 131.7 2020Q1 316.7 361.3 9.0 2.9 1.5 3.6 *** *** 1.5 *** 128.7 2020Q2 270.2 296.9 8.9 2.9 1.5 3.6 *** *** 1.5 *** 115.2 2020Q3 319.8 346.1 8.6 2.9 1.5 3.6 *** *** 1.5 *** 139.0 2020Q4 303.6 332.8 10.3 1.6 1.1 3.1 *** *** 1.3 *** 126.1 August 4, 2021 Analytics Office Figure 6: Distribution of Derivative Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) 1.5 1.0 0.5 7.5 5.0 2.5 0.0 20 20 10.0 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0.0 19 Q Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 13 and 44 (Third Month). (a) All Private Funds VI A (b) Qualifying Hedge Funds Additional Hedge Fund Industry Information High Frequency Trading Table 24: 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 2019Q1 7,995 67 8 2019Q2 8,065 64 8 2019Q3 8,072 65 8 2019Q4 7,973 51 10 2020Q1 8,057 50 9 2020Q2 8,070 51 8 2020Q3 8,133 49 7 2020Q4 8,147 46 6 Table 25: 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 2019Q1 3,923 84 2 2019Q2 3,991 85 2 2019Q3 3,956 87 2 2019Q4 4,038 81 3 21 2020Q1 3,678 84 2 2020Q2 3,969 95 2 2020Q3 4,175 99 2 2020Q4 4,532 99 3 August 4, 2021 B Analytics Office Industry Concentration Table 26: 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 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 2020Q1 7.5 14.0 20.1 28.1 42.3 55.5 2020Q2 7.5 14.0 20.1 28.2 42.7 56.1 2020Q3 7.5 14.0 20.4 28.7 43.4 56.7 2020Q4 7.1 13.5 19.9 28.3 43.0 56.4 Table 27: 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 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 2020Q1 17.0 25.9 34.5 43.5 56.5 67.5 2020Q2 14.8 23.8 32.4 41.6 55.1 66.5 2020Q3 15.3 24.6 33.3 42.4 56.0 67.2 2020Q4 14.9 23.7 32.5 41.5 55.3 66.6 Table 28: 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 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 22 2020Q1 38.5 52.5 63.5 73.5 84.3 91.0 2020Q2 35.0 50.3 62.5 73.5 84.4 91.4 2020Q3 34.6 51.0 62.7 73.9 84.9 91.8 2020Q4 33.5 48.8 61.0 72.2 84.1 91.3 August 4, 2021 Analytics Office Table 29: 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 2019Q1 31.7 50.0 63.0 74.9 87.8 94.0 2019Q2 29.2 47.1 59.8 72.4 86.2 93.2 2019Q3 30.5 48.4 61.3 73.5 87.0 93.9 2019Q4 28.9 47.3 60.1 72.1 86.5 93.7 2020Q1 34.0 52.3 65.0 76.2 88.1 94.3 2020Q2 32.6 48.8 61.5 73.3 87.2 93.9 2020Q3 39.2 53.8 66.1 76.6 89.0 94.9 2020Q4 40.7 55.1 66.8 77.0 89.1 94.9 Table 30: 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 2019Q1 30.0 47.1 59.7 71.2 84.3 92.0 2019Q2 28.3 44.9 57.8 69.3 82.9 91.4 2019Q3 28.7 46.0 58.2 69.6 83.0 91.4 2019Q4 29.1 46.3 58.5 70.1 83.3 91.6 23 2020Q1 33.2 50.8 62.1 72.5 84.6 92.2 2020Q2 31.9 48.1 59.3 70.2 83.0 91.3 2020Q3 35.7 50.6 61.4 71.7 84.1 92.0 2020Q4 35.6 49.2 60.2 70.8 83.4 91.7 August 4, 2021 C Analytics Office Single-Strategy US-Domiciled Hedge Funds Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q1 493 223 236 31 2 464 90 50 41 46 31 9 7 41 24 9 5 1 1 15 20 17 3 *** *** 6 *** *** 1,022 2019Q2 512 239 236 34 2 472 91 48 42 47 30 10 8 43 25 9 6 1 1 22 22 19 3 *** *** 6 *** *** 1,054 24 2019Q3 524 252 234 36 2 474 94 50 44 47 30 10 7 45 27 9 6 1 2 25 18 15 3 *** *** 6 *** *** 1,057 2019Q4 562 276 245 40 2 473 98 50 47 45 30 10 5 43 27 8 5 *** *** 31 15 12 1 *** *** 5 *** *** 1,089 2020Q1 485 235 207 40 2 441 96 48 48 43 31 8 4 40 27 7 3 *** *** 36 11 9 2 *** *** 5 *** *** 1,002 2020Q2 547 269 239 38 2 481 98 52 46 47 32 11 4 43 27 8 5 1 1 30 11 8 2 *** *** 5 *** *** 1,095 2020Q3 567 282 251 33 1 490 103 56 47 47 31 11 5 48 29 9 7 1 1 31 12 9 2 *** *** 5 *** *** 1,140 2020Q4 617 318 268 30 1 538 119 63 56 51 34 12 5 48 28 11 7 2 1 29 11 8 2 *** *** 6 *** *** 1,254 August 4, 2021 Analytics Office Table 32: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q1 1,045 511 468 56 16 910 274 143 133 203 141 36 34 153 72 49 16 10 14 174 58 37 15 *** *** 34 *** *** 2,696 2019Q2 1,053 519 468 56 16 894 285 153 134 206 145 37 33 153 72 48 16 10 14 193 60 38 15 *** *** 34 *** *** 2,711 25 2019Q3 1,055 524 467 54 16 924 289 155 136 221 157 44 30 159 74 51 15 15 16 203 57 35 15 *** *** 32 *** *** 2,734 2019Q4 1,013 521 434 48 17 924 297 155 146 215 153 47 23 151 72 48 16 *** *** 211 44 24 9 *** *** 26 *** *** 2,687 2020Q1 1,007 511 438 47 18 931 303 159 147 220 159 45 23 149 69 47 17 *** *** 215 45 24 14 *** *** 27 *** *** 2,721 2020Q2 993 504 433 45 18 943 313 165 151 227 165 45 24 160 81 49 16 11 12 213 44 22 13 *** *** 27 *** *** 2,746 2020Q3 1,017 522 443 45 17 958 318 168 153 220 156 46 23 172 88 53 17 16 12 219 44 21 13 *** *** 28 *** *** 2,776 2020Q4 1,020 526 443 48 11 962 354 173 184 219 153 50 21 175 93 53 18 16 15 241 46 24 11 *** *** 26 *** *** 2,816 August 4, 2021 D Analytics Office Single-Strategy Non-US-Domiciled Hedge Funds Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Total 2019Q1 855 586 178 91 1 284 150 89 16 21 9 390 378 8 *** *** 488 180 137 43 142 *** *** 124 82 19 23 23 1,712 2019Q2 890 613 185 91 1 355 220 90 17 20 8 384 373 8 *** *** 515 180 137 43 168 *** *** 133 83 27 23 27 1,765 26 2019Q3 868 595 178 95 1 358 222 91 18 19 8 392 380 8 *** *** 538 183 137 46 173 *** *** 122 80 20 22 31 1,750 2019Q4 907 601 211 *** *** 359 224 88 19 17 10 357 346 8 *** *** 560 202 153 49 172 *** *** 121 81 18 21 30 1,805 2020Q1 779 512 190 *** *** 390 248 99 18 16 9 353 344 6 *** *** 529 206 150 56 153 *** *** 111 72 21 18 28 1,653 2020Q2 902 608 224 *** *** 377 256 74 24 12 11 343 332 6 *** *** 538 212 152 61 110 *** *** 117 81 17 19 29 1,820 2020Q3 994 670 249 *** *** 375 252 76 24 12 11 434 425 6 *** *** 565 220 155 65 132 *** *** 136 93 22 21 28 1,938 2020Q4 1,176 801 292 *** *** 408 272 79 29 14 13 379 368 7 *** *** 615 235 175 61 151 *** *** 147 95 28 24 30 2,155 August 4, 2021 Analytics Office Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Total 2019Q1 1,104 651 324 125 7 304 56 128 88 41 30 265 211 41 *** *** 763 336 248 96 132 *** *** 297 198 59 69 94 3,079 2019Q2 1,099 644 327 124 7 297 54 131 88 37 29 256 197 46 *** *** 781 344 254 98 131 *** *** 311 209 60 71 107 3,108 27 2019Q3 1,078 633 317 124 7 291 55 123 85 35 29 246 187 46 *** *** 797 337 246 94 129 *** *** 314 216 57 72 107 3,092 2019Q4 1,055 623 317 *** *** 296 57 130 91 34 28 216 161 44 *** *** 790 334 241 95 122 *** *** 285 195 52 75 130 3,029 2020Q1 1,059 632 317 *** *** 303 56 129 97 34 27 216 163 44 *** *** 828 333 237 99 132 *** *** 295 206 47 78 127 3,078 2020Q2 1,029 620 312 *** *** 300 58 134 97 28 27 209 158 40 *** *** 811 340 244 99 124 *** *** 300 215 44 74 130 3,047 2020Q3 1,030 618 315 *** *** 297 57 138 94 26 26 213 163 41 *** *** 807 345 246 101 121 *** *** 306 223 43 72 126 3,065 2020Q4 1,063 630 337 *** *** 305 60 151 94 25 24 211 163 37 *** *** 828 343 244 102 115 *** *** 303 212 43 77 110 3,087 August 4, 2021 VII 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 19 19 15.0 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 15.0 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -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) 28 (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 29 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 4 19 -0 6 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 8 20 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10 20 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 -03 19 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) August 4, 2021 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 August 4, 2021 B Analytics Office Industry Concentration Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2019-01 2019-02 2019-03 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 Top 10 Advisers (NAV) 19.0 18.9 18.9 18.9 18.9 18.9 19.3 19.3 19.4 19.5 19.5 19.5 19.1 19.1 19.1 18.3 18.3 18.3 18.4 18.4 18.5 16.8 16.8 16.8 Top 20 Advisers (NAV) 28.5 28.5 28.5 28.5 28.5 28.5 28.8 28.8 28.9 29.3 29.3 29.3 29.6 29.6 29.6 29.0 29.0 29.0 29.1 29.1 29.3 26.4 26.4 26.4 30 Top 10 Advisers (GNE) 37.4 36.9 36.8 37.7 37.4 36.3 36.7 36.7 37.3 37.6 37.3 36.9 37.9 38.6 40.9 40.6 40.4 39.7 42.0 40.5 40.2 39.8 39.1 39.2 Top 20 Advisers (GNE) 53.2 53.0 53.0 54.1 54.1 52.6 53.7 53.9 54.0 54.0 54.0 53.5 55.2 55.8 56.5 56.6 56.0 55.5 57.1 56.5 55.9 55.6 56.1 54.4 August 4, 2021 Portfolio Turnover Table 36: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2019-01 2019-02 2019-03 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 Futures 9,675 11,269 14,103 9,917 18,308 16,336 10,905 15,848 15,763 12,752 14,105 13,352 13,069 19,150 25,073 9,351 12,203 12,862 7,968 10,052 11,043 9,346 12,519 17,703 Sov. and muni. bonds 3,783 4,095 3,779 3,425 3,834 3,866 3,490 4,384 3,941 3,679 3,877 3,367 3,799 4,625 6,465 4,464 4,189 4,038 3,345 3,829 3,738 4,159 4,665 4,408 Listed equities 2,353 2,048 2,295 2,263 2,528 2,188 2,278 2,400 2,226 2,566 2,280 2,302 2,719 2,916 4,071 2,658 2,677 3,201 2,928 2,552 2,866 2,756 3,227 2,993 Corporate bonds 159 135 143 127 134 134 136 116 144 152 134 95 176 167 230 226 211 220 164 165 207 189 171 125 Convertible bonds 23 22 27 18 22 25 21 26 34 19 27 21 36 31 36 39 44 51 40 39 38 44 55 56 Total 15,993 17,569 20,347 15,749 24,826 22,549 16,830 22,774 22,108 19,168 20,422 19,137 19,798 26,890 35,875 16,738 19,324 20,372 14,444 16,638 17,891 16,493 20,637 25,285 Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. 80 60 40 20 20 10 0 20 20 19 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 0 30 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 3(a) and 27. Total Turnover ($Billions) Winsorized (limits=[1%,99%]) C Analytics Office (a) Total Turnover (b) Total Turnover to NAV Ratio 31 August 4, 2021 D Analytics Office Region and Country Exposure Table 37: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Africa Supranational Middle East 2019Q1 5,323 1,804 844 78 115 31 48 25 2019Q2 5,522 1,765 840 82 119 33 38 28 2019Q3 5,368 1,737 734 82 101 29 69 26 2019Q4 5,410 1,619 770 85 122 33 54 29 2020Q1 4,940 1,443 658 93 87 30 42 40 2020Q2 4,943 1,419 674 94 86 37 54 28 2020Q3 5,422 1,639 815 126 98 40 35 35 2020Q4 5,096 1,533 803 107 93 40 33 29 Table 38: 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 Europe Other South America Africa Supranational Middle East 2019Q1 154.2 52.3 24.5 2.3 3.3 0.9 1.4 0.7 2019Q2 156.4 50.0 23.8 2.3 3.4 0.9 1.1 0.8 2019Q3 155.0 50.1 21.2 2.4 2.9 0.8 2.0 0.8 2019Q4 151.8 45.5 21.6 2.4 3.4 0.9 1.5 0.8 32 2020Q1 151.8 44.4 20.2 2.8 2.7 0.9 1.3 1.2 2020Q2 138.8 39.9 18.9 2.6 2.4 1.0 1.5 0.8 2020Q3 143.4 43.3 21.6 3.3 2.6 1.1 0.9 0.9 2020Q4 129.8 39.0 20.5 2.7 2.4 1.0 0.8 0.7 August 4, 2021 Analytics Office Table 39: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States China (Inc. Hong Kong) Japan Brazil India Russia 2019Q1 5,201 187 265 43 36 9 2019Q2 5,233 186 239 46 32 11 2019Q3 5,165 176 287 40 34 11 2019Q4 5,074 199 264 50 37 15 2020Q1 4,716 181 221 32 29 15 2020Q2 4,721 221 191 33 30 17 2020Q3 5,159 271 214 36 32 17 2020Q4 4,858 285 215 38 36 18 2020Q3 136.4 7.2 5.7 1.0 0.9 0.4 2020Q4 123.7 7.3 5.5 1.0 0.9 0.5 Table 40: 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 China (Inc. Hong Kong) Japan Brazil India Russia 2019Q1 150.7 5.4 7.7 1.2 1.0 0.3 2019Q2 148.3 5.3 6.8 1.3 0.9 0.3 2019Q3 149.1 5.1 8.3 1.2 1.0 0.3 33 2019Q4 142.4 5.6 7.4 1.4 1.0 0.4 2020Q1 144.9 5.6 6.8 1.0 0.9 0.5 2020Q2 132.6 6.2 5.4 0.9 0.8 0.5 August 4, 2021 VIII Qualifying Hedge Fund Specific Information 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 7.5 5.0 2.5 0.0 20 20 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 0.0 10.0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 10.0 12.5 19 -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. Ratio of GNE to NAV Winsorized (limits=[0%,98%]) A Analytics Office (a) Including IRDs (b) Excluding IRDs 34 -03 (a) LNE Including IRDs (c) SNE Including IRDs 35 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 0 19 2 20 4 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 0 -03 2 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 4 19 6 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 19 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 6 20 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 19 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) August 4, 2021 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 August 4, 2021 B Analytics Office Gross Exposure by Strategy5 Table 41: 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. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Total 2019Q1 1,616 841 384 386 5 1,038 963 686 60 130 67 19 782 695 37 46 4 325 258 66 313 169 64 80 172 *** *** 43 5,251 2019Q2 1,644 867 392 380 5 1,088 1,054 774 59 134 69 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 57 159 64 19 708 629 34 *** *** 305 234 71 308 160 71 78 191 *** *** 48 5,301 2019Q4 1,723 880 443 397 3 1,134 1,030 714 60 177 61 18 666 579 39 44 5 315 233 82 311 163 69 79 193 *** *** 48 5,420 2020Q1 1,379 713 373 *** *** 1,106 1,106 836 55 129 53 32 644 577 28 36 4 327 240 87 271 140 65 65 159 158 1 50 5,041 2020Q2 1,641 867 443 329 1 1,126 983 700 80 116 62 26 641 572 25 *** *** 358 265 93 281 159 59 64 126 *** *** 42 5,198 2020Q3 1,757 957 485 *** *** 1,128 1,023 689 101 135 72 26 797 725 28 40 4 370 272 98 307 162 74 71 149 145 4 43 5,574 2020Q4 1,975 1,090 548 *** *** 1,189 997 676 121 112 56 32 746 681 31 30 4 393 295 98 366 169 101 96 165 *** *** 43 5,873 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 36 August 4, 2021 Analytics Office Table 42: 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. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Total 2019Q1 51.7 26.9 12.3 12.4 0.2 33.2 30.8 22.0 1.9 4.2 2.2 0.6 25.0 22.2 1.2 1.5 0.1 10.4 8.3 2.1 10.0 5.4 2.0 2.6 5.5 *** *** 1.4 167.9 2019Q2 51.7 27.3 12.3 12.0 0.1 34.2 33.1 24.3 1.9 4.2 2.2 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 37 2019Q3 50.9 26.1 12.7 11.9 0.1 34.4 32.0 22.7 1.8 5.0 2.0 0.6 22.2 19.7 1.1 *** *** 9.6 7.3 2.2 9.7 5.0 2.2 2.5 6.0 *** *** 1.5 166.2 2019Q4 53.2 27.2 13.7 12.3 0.1 35.0 31.8 22.0 1.8 5.5 1.9 0.6 20.6 17.9 1.2 1.3 0.2 9.7 7.2 2.5 9.6 5.0 2.1 2.5 5.9 *** *** 1.5 167.4 2020Q1 47.3 24.5 12.8 *** *** 37.9 37.9 28.7 1.9 4.4 1.8 1.1 22.1 19.8 1.0 1.2 0.1 11.2 8.2 3.0 9.3 4.8 2.2 2.2 5.5 5.4 0.1 1.7 172.8 2020Q2 51.0 27.0 13.8 10.2 0.0 35.0 30.6 21.8 2.5 3.6 1.9 0.8 19.9 17.8 0.8 *** *** 11.1 8.2 2.9 8.7 4.9 1.8 2.0 3.9 *** *** 1.3 161.7 2020Q3 51.7 28.1 14.3 *** *** 33.2 30.1 20.3 3.0 4.0 2.1 0.8 23.4 21.3 0.8 1.2 0.1 10.9 8.0 2.9 9.0 4.8 2.2 2.1 4.4 4.3 0.1 1.3 163.9 2020Q4 55.3 30.5 15.3 *** *** 33.3 27.9 18.9 3.4 3.1 1.6 0.9 20.9 19.1 0.9 0.8 0.1 11.0 8.3 2.7 10.2 4.7 2.8 2.7 4.6 *** *** 1.2 164.3 August 4, 2021 C Analytics Office Leverage by Strategy Table 43: 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 Equity Credit Other Managed Futures/CTA Event Driven Investment in other funds 2019Q1 5.4 4.2 2.3 1.7 1.6 1.7 1.4 1.3 4.5 2019Q2 6.0 4.5 2.5 1.6 1.5 1.8 1.4 1.3 1.2 2019Q3 5.7 4.2 1.9 1.6 1.5 1.6 1.5 1.3 3.9 2019Q4 5.6 4.3 2.3 1.6 1.6 1.7 1.4 1.3 1.2 2020Q1 6.3 4.4 2.3 1.5 1.7 1.7 1.4 1.4 1.2 2020Q2 5.0 3.7 2.0 1.6 1.6 1.6 1.4 1.4 1.3 2020Q3 4.8 4.6 2.5 1.6 1.5 1.5 1.5 1.3 1.3 2020Q4 5.7 4.5 3.0 1.6 1.5 1.5 1.5 1.3 1.2 Table 44: 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 2019Q1 28.0 22.4 17.9 9.1 4.4 3.6 3.2 12.0 1.8 2019Q2 29.1 24.0 19.9 9.8 4.7 3.3 2.6 2.4 2.0 2019Q3 25.7 23.0 19.8 10.1 4.3 3.3 2.4 10.3 1.9 2019Q4 27.6 24.2 18.5 11.5 4.3 3.1 2.8 1.9 1.9 2020Q1 26.7 25.5 14.6 10.3 4.6 2.7 3.1 1.8 1.9 2020Q2 20.2 22.5 17.4 9.4 4.1 3.0 2.8 2.0 1.8 2020Q3 32.5 19.6 20.9 10.3 3.4 3.0 2.8 2.0 1.8 2020Q4 33.1 23.6 19.7 12.4 3.2 2.9 2.8 2.1 1.9 Table 45: 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 Credit Event Driven Equity Investment in other funds 2019Q1 49.9 36.5 23.0 19.8 18.2 7.3 9.9 10.6 14.5 2019Q2 48.5 38.8 25.7 18.6 18.6 6.8 7.2 9.6 5.8 2019Q3 45.2 37.6 22.3 22.5 16.9 7.1 10.0 10.7 13.0 38 2019Q4 43.4 39.7 22.7 22.6 14.9 7.7 10.4 9.3 6.6 2020Q1 58.6 43.2 25.0 26.3 16.2 8.3 12.3 15.2 4.7 2020Q2 46.1 40.1 28.5 24.0 16.2 7.4 10.0 10.5 5.1 2020Q3 47.7 38.2 30.1 26.2 13.4 7.9 8.0 8.3 6.0 2020Q4 40.4 40.2 26.4 25.7 12.4 9.7 8.5 7.9 7.2 August 4, 2021 D Analytics Office Investment Exposures Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Commodity Derivatives Sovereign Bonds - Other Non-Financial Unlisted Equities Financial Listed Equities Other Derivatives Non-Financial Corporate Bonds MBS Leveraged Loans Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Non-Financial Convertible Bonds Cash/Cash Equivalents - MMFs Other Private Funds Other Loans (Excluding Repo) Physical Real Estate Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q1 6,600 2,413 2,049 1,995 1,931 1,110 1,312 770 448 316 255 233 277 263 238 309 144 180 182 77 155 119 106 90 98 122 63 51 48 42 21 22 31 10 3 2019Q2 6,755 2,501 2,115 1,939 2,189 1,178 1,276 721 457 309 280 232 282 274 238 234 152 182 195 79 154 125 107 97 94 120 64 52 42 44 21 21 29 11 10 2019Q3 6,088 3,127 2,010 1,891 2,124 1,324 1,130 687 460 312 275 236 275 220 226 276 157 188 202 86 161 121 99 107 99 111 70 51 45 43 26 20 27 10 3 39 2019Q4 5,736 2,941 2,141 1,922 2,192 1,452 1,194 659 464 345 291 269 295 411 223 308 166 202 205 90 171 123 107 106 107 96 67 56 43 42 24 20 14 10 3 2020Q1 5,625 3,187 1,551 2,010 1,957 1,137 928 536 491 227 235 238 196 236 203 219 168 172 212 86 209 113 100 102 83 103 64 45 36 31 22 20 12 8 3 2020Q2 5,287 2,836 1,945 1,800 1,768 1,132 962 488 409 266 275 255 237 204 246 246 181 215 190 117 186 115 109 99 90 100 67 48 35 35 22 20 23 9 4 2020Q3 6,390 3,164 2,142 2,069 1,740 1,168 1,155 534 389 309 348 288 244 235 246 254 198 180 190 140 170 123 117 100 88 85 69 51 39 35 24 19 20 8 5 2020Q4 6,282 3,216 2,495 1,908 1,595 1,273 1,272 586 425 341 327 317 272 226 221 216 202 188 184 174 168 134 115 112 93 89 68 50 42 33 26 19 17 8 8 August 4, 2021 Analytics Office Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Commodity Derivatives Sovereign Bonds - Other Non-Financial Unlisted Equities Financial Listed Equities Other Derivatives Non-Financial Corporate Bonds MBS Leveraged Loans Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Non-Financial Convertible Bonds Cash/Cash Equivalents - MMFs Other Private Funds Other Loans (Excluding Repo) Physical Real Estate Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q1 52.2 55.1 67.3 39.6 63.2 53.0 51.9 43.1 78.9 58.3 73.8 99.8 69.1 67.8 80.8 70.2 99.3 55.2 75.6 94.0 *** 100.0 90.7 *** 51.8 94.5 91.2 96.3 74.1 *** 99.8 99.4 96.6 96.1 97.8 2019Q2 51.6 54.7 67.6 37.1 60.0 54.3 52.3 42.1 78.9 59.4 77.1 99.8 69.8 63.5 81.0 82.4 99.2 56.2 69.4 93.7 *** 99.8 89.7 *** 57.3 92.2 90.5 95.9 82.5 *** 99.8 99.3 97.9 95.7 99.0 2019Q3 49.8 59.4 67.7 35.2 61.2 54.4 55.1 45.0 80.7 59.0 78.1 99.8 68.8 56.1 81.1 82.6 99.5 58.1 64.1 92.6 *** 99.5 89.5 *** 55.4 96.1 91.6 97.5 79.9 *** 99.6 *** 98.2 96.0 97.7 40 2019Q4 47.8 58.3 68.7 36.1 60.6 57.7 54.3 49.6 80.4 64.2 75.7 99.9 68.5 42.1 82.1 81.5 99.5 52.6 61.0 94.5 98.9 99.8 90.4 *** 55.3 96.3 92.0 93.9 75.4 *** 99.4 99.5 97.5 95.8 *** 2020Q1 48.0 57.7 69.8 37.2 61.1 50.9 54.4 43.5 77.5 60.8 77.3 99.9 69.7 42.3 86.8 85.9 99.5 56.2 73.9 93.5 *** 99.8 88.2 *** 54.6 94.3 92.7 94.7 87.8 *** 99.8 99.1 96.6 96.7 99.1 2020Q2 44.5 60.3 69.0 38.3 61.4 50.6 52.3 41.9 79.4 63.3 77.9 99.8 69.4 49.8 86.3 84.1 98.2 51.5 70.9 99.2 *** 99.7 90.9 *** 54.9 94.4 91.5 94.6 86.7 *** 99.8 *** 92.8 96.8 99.1 2020Q3 52.4 58.4 69.7 38.1 62.2 51.2 51.9 42.5 78.4 67.1 75.5 99.1 70.2 65.5 85.2 82.4 99.4 49.0 72.3 98.7 *** 99.7 91.0 *** 55.1 95.0 91.5 92.4 85.0 *** 99.9 *** 97.3 97.1 99.3 2020Q4 51.5 58.5 70.7 38.4 60.9 50.8 49.8 45.3 74.9 68.8 75.9 99.8 73.3 42.6 84.4 80.8 99.5 54.9 73.9 98.4 *** *** 88.8 *** 57.7 94.9 90.0 92.7 78.5 *** 99.8 98.4 *** 97.4 99.4 August 4, 2021 Number of Positions Figure 12: Number of Positions Reported by Qualifying Hedge Funds As reported on Form PF, Question 34. 2000 1500 1000 500 41 0-1 2 20 2 0-0 9 20 2 0-0 6 20 2 0-0 3 20 2 9-1 2 20 1 9-0 9 20 1 9-0 6 20 1 9-0 3 0 20 1 Number of Positions E Analytics Office August 4, 2021 Liquidity Table 48: 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 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 2020Q1 7.8 12.9 25.8 44.5 55.4 67.6 2020Q2 7.6 13.1 24.7 42.9 53.5 66.9 2020Q3 7.7 13.2 24.6 42.8 54.7 66.1 2020Q4 6.8 10.1 22.7 43.7 51.7 64.7 Table 49: 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 2019Q1 37.0 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 2019Q4 34.8 57.0 70.1 76.4 80.3 85.2 2020Q1 39.5 59.6 70.6 75.9 79.5 83.8 2020Q2 37.9 59.0 70.4 76.4 80.5 84.7 2020Q3 35.5 56.9 69.7 75.9 80.1 84.6 Figure 13: 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 2020. 60 40 20 s 65 mo At st 3 mo st 1 80 day s day ays 42 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 F Analytics Office 2020Q4 32.6 55.1 68.5 75.1 79.4 84.2 August 4, 2021 Analytics Office Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. 2019Q1 2,396 1,488 42 39 17 2019Q2 2,441 1,519 42 40 16 2019Q3 2,427 1,494 45 42 18 2019Q4 2,430 1,553 47 42 15 2020Q1 2,162 1,386 47 47 22 2020Q2 2,375 1,521 54 56 18 2020Q3 2,500 1,608 61 50 15 Figure 14: 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. 40 30 20 10 19 Q 20 1 19 Q 20 2 19 Q 20 3 19 Q 20 4 20 Q 20 1 20 Q 20 2 20 Q 20 3 20 Q4 0 20 Type May Suspend May Have Gates Side-Pocketed Gated Suspended 43 2020Q4 2,622 1,732 73 64 20 August 4, 2021 G Analytics Office Borrowings Table 51: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2019Q1 3,016 1,412 1,202 401 13 3,028 2019Q2 3,158 1,438 1,291 429 15 3,173 2019Q3 3,089 1,358 1,330 401 16 3,104 2019Q4 3,163 1,410 1,302 450 18 3,180 2020Q1 2,880 1,067 1,375 438 19 2,899 2020Q2 2,886 1,302 1,169 415 13 2,899 2020Q3 3,194 1,415 1,332 447 12 3,205 2020Q4 3,221 1,616 1,202 403 13 3,233 Table 52: 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 2019Q1 63.1 36.5 *** *** 2019Q2 63.5 35.9 *** *** 2019Q3 63.6 35.9 *** *** 2019Q4 63.0 36.4 *** *** 2020Q1 61.2 38.1 0.6 0.1 2020Q2 63.4 36.0 *** *** 2020Q3 61.0 38.3 0.6 0.1 2020Q4 64.5 34.8 *** *** Table 53: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2019Q1 1,723 1,158 565 1,250 766 484 456 297 160 3,429 2019Q2 1,806 1,222 584 1,355 804 550 494 324 169 3,654 2019Q3 1,706 1,157 549 1,371 836 535 482 339 143 3,559 44 2019Q4 1,771 1,222 549 1,305 800 506 498 344 154 3,574 2020Q1 1,411 956 455 1,465 875 590 510 351 159 3,386 2020Q2 1,716 1,183 533 1,193 771 422 486 344 142 3,395 2020Q3 1,861 1,293 568 1,346 907 439 513 379 134 3,720 2020Q4 2,134 1,508 626 1,263 863 400 497 389 108 3,894 4 2 0 (b) Prime Broker Borrowing 45 -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 6 20 8 Collateral/Reverse Repo Borrowing Winsorized (limits=[0%,98%]) -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 Collateral/Prime Broker Borrowing Winsorized (limits=[0%,98%]) -0 20 3 19 -0 20 6 19 -0 20 9 19 -1 20 2 20 -0 20 3 20 -0 20 6 20 -0 20 9 20 -12 19 20 Collateral/Total Secured Borrowing Winsorized (limits=[0%,98%]) August 4, 2021 Analytics Office Figure 15: 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 August 4, 2021 Analytics Office Table 54: 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 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 2019Q4 29.1 47.9 67.4 82.8 94.9 96.0 2020Q1 37.1 50.5 70.0 83.9 94.3 95.3 2020Q2 39.2 50.7 66.7 81.2 94.5 95.9 2020Q3 39.0 51.1 67.5 80.9 94.7 96.0 Figure 16: 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 46 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 2020. 2020Q4 27.8 44.5 65.4 79.3 94.9 96.1 August 4, 2021 Central Clearing Figure 17: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Percent of Funds 20 Percent of NAV 15 10 5 47 Q4 20 20 Q3 20 20 Q2 20 20 Q1 20 20 Q4 19 20 Q3 19 20 Q2 19 20 19 Q1 0 20 H Analytics Office August 4, 2021 I Analytics Office Value-at-Risk (“VaR”) Reporting Table 55: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2019Q1 676 297 183 191 45 1,118 2019Q2 665 305 165 189 46 1,119 2019Q3 668 314 167 183 45 1,135 2019Q4 673 317 174 182 43 1,148 2020Q1 669 311 176 178 48 1,156 2020Q2 665 311 169 181 46 1,149 2020Q3 628 285 167 175 43 1,152 2020Q4 613 278 168 162 43 1,180 Table 56: 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 Monte Carlo Simulation Parametric Other VaR Not Used 2019Q1 3,887 2,104 683 817 833 2,592 2019Q2 4,021 2,212 700 831 851 2,714 2019Q3 3,914 2,071 709 829 868 2,741 2019Q4 3,938 2,062 736 797 913 2,775 2020Q1 3,784 1,955 704 739 868 2,538 2020Q2 3,685 1,838 804 742 807 2,719 2020Q3 3,918 1,979 836 769 845 2,906 2020Q4 3,886 2,009 883 633 898 3,210 Table 57: 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 Monte Carlo Simulation Parametric Other VaR Not Used 2019Q1 1,385 547 345 475 128 1,742 2019Q2 1,393 561 332 482 131 1,787 2019Q3 1,382 563 334 461 135 1,807 48 2019Q4 1,378 560 351 452 121 1,861 2020Q1 1,232 507 318 382 131 1,685 2020Q2 1,334 548 341 422 140 1,881 2020Q3 1,374 564 351 434 147 2,027 2020Q4 1,345 578 361 376 145 2,229 August 4, 2021 J Analytics Office Stress Testing and VaR Table 58: 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 2019Q1 588 453 88 665 2019Q2 587 463 78 656 2019Q3 599 459 69 676 2019Q4 596 448 77 700 2020Q1 600 428 69 728 2020Q2 598 433 67 716 2020Q3 568 430 60 722 2020Q4 555 400 58 780 Table 59: 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 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 2020Q1 3,594 1,148 190 1,390 2020Q2 3,332 1,237 353 1,482 2020Q3 3,692 1,302 226 1,604 2020Q4 3,524 1,383 362 1,827 Table 60: 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 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 49 2020Q1 1,122 651 111 1,034 2020Q2 1,194 732 140 1,149 2020Q3 1,243 781 130 1,246 2020Q4 1,189 819 156 1,411 August 4, 2021 K Analytics Office Stress Testing Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor As reported on Form PF, Question 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q1 888 753 756 667 557 506 273 236 2019Q2 888 761 764 674 565 499 286 237 2019Q3 899 782 769 682 582 507 285 243 2019Q4 881 776 753 664 555 484 266 225 2020Q1 866 765 741 653 535 461 256 205 2020Q2 862 762 749 652 535 476 266 218 2020Q3 836 730 717 630 518 459 258 214 2020Q4 796 690 666 584 473 413 229 188 Table 62: Aggregate GAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 8 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q1 4,332 4,012 4,361 3,608 3,540 3,368 1,063 898 2019Q2 4,457 4,121 4,508 3,712 3,690 3,429 1,144 997 2019Q3 4,373 4,010 4,386 3,643 3,608 3,324 1,043 897 2019Q4 4,393 4,016 4,335 3,666 3,550 3,311 984 871 2020Q1 4,137 3,822 4,130 3,527 3,320 3,204 937 832 2020Q2 3,877 3,621 3,873 3,133 3,079 2,851 876 762 2020Q3 4,407 4,021 4,229 3,582 3,471 3,371 914 789 2020Q4 4,395 3,917 4,062 3,486 3,196 3,186 872 738 Table 63: Aggregate NAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q1 1,766 1,553 1,527 1,343 1,143 1,155 428 367 2019Q2 1,771 1,550 1,528 1,347 1,136 1,134 424 369 2019Q3 1,792 1,568 1,542 1,362 1,159 1,137 426 376 50 2019Q4 1,773 1,551 1,507 1,338 1,128 1,098 392 347 2020Q1 1,563 1,387 1,345 1,180 1,001 982 339 294 2020Q2 1,704 1,496 1,446 1,269 1,074 1,057 396 348 2020Q3 1,799 1,571 1,496 1,333 1,144 1,115 403 358 2020Q4 1,779 1,520 1,415 1,247 1,043 1,019 376 329 August 4, 2021 Analytics Office Table 64: Number of Qualifying Hedge Funds Stressing Market Factors As reported on Form PF, Question 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q1 753 170 119 122 86 119 202 73 150 2019Q2 734 179 115 115 90 122 207 68 154 2019Q3 745 179 117 100 101 121 208 77 155 2019Q4 777 181 118 95 105 131 206 73 135 2020Q1 797 182 115 94 107 124 217 74 115 2020Q2 783 183 112 107 100 119 204 75 131 2020Q3 782 183 110 98 100 108 196 75 128 2020Q4 838 178 118 98 103 113 169 68 108 Table 65: Aggregate GAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q1 1,473 354 564 367 258 785 1,777 235 667 2019Q2 1,557 386 590 364 271 788 1,836 184 759 2019Q3 1,592 397 570 338 291 746 1,848 222 649 2019Q4 1,665 416 544 339 277 776 1,860 243 595 2020Q1 1,581 365 475 290 276 763 1,784 203 584 2020Q2 1,834 414 493 431 270 740 1,461 250 511 2020Q3 1,830 424 510 336 266 841 1,810 260 547 2020Q4 2,189 466 528 315 313 849 1,665 275 497 Table 66: Aggregate NAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 9 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q1 1,143 241 211 207 143 268 545 134 234 2019Q2 1,186 259 206 196 152 274 562 109 235 2019Q3 1,181 260 205 187 167 265 561 127 235 2019Q4 1,244 269 212 189 162 271 567 122 202 51 2020Q1 1,144 240 191 170 145 237 503 119 168 2020Q2 1,288 267 214 199 142 254 509 123 218 2020Q3 1,376 278 230 208 148 266 546 126 222 2020Q4 1,566 308 264 229 146 273 463 127 198 August 4, 2021 IX A Analytics Office Section 3 Liquidity Fund Specific Information Liquidity Table 67: 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 2019Q1 77.6 95.9 99.5 99.9 100.0 100.0 2019Q2 75.8 96.0 99.6 99.9 100.0 100.0 2019Q3 75.0 95.9 99.7 99.8 99.9 100.0 2019Q4 73.1 95.6 99.7 99.8 99.9 99.9 2020Q1 75.1 95.8 99.7 99.9 99.9 100.0 2020Q2 72.7 95.0 99.1 99.5 99.9 100.0 2020Q3 72.2 95.2 99.1 99.5 99.9 99.9 2020Q4 72.1 94.7 98.6 99.3 99.7 100.0 Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2019Q2 271 241 0 0 2019Q3 272 245 0 0 2019Q4 268 241 0 0 2020Q1 268 239 0 0 2020Q2 274 251 0 0 2020Q3 296 273 0 0 2020Q4 294 270 0 0 Portfolio Characteristics Figure 18: 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 52 -12 20 20 -09 20 20 -06 20 20 -03 20 20 -12 19 20 -09 19 20 -06 19 20 19 -03 0 20 Weighted Average Maturity (WAM) in Days B 2019Q1 269 237 0 0 August 4, 2021 Analytics Office Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Asset-Weighted WAL 80 60 40 20 -12 20 20 -09 20 20 -06 20 20 -03 20 20 -12 20 19 -09 19 20 19 20 19 20 -06 0 -03 Weighted Average Life (WAL) in Days Average WAL Figure 20: 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 53 0-1 2 20 2 0-0 9 20 2 0-0 6 20 2 0-0 3 20 2 9-1 2 20 1 9-0 9 20 1 9-0 6 20 1 9-0 3 0.0 20 1 Seven-Day Gross Yield (%) 3.0 August 4, 2021 Analytics Office Figure 21: 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 20 20 -09 20 20 -06 20 20 -03 20 20 -12 19 20 -09 19 20 19 20 19 20 -06 0 -03 Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) As reported on Form PF, Question 55. Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average WLA 100 Asset-Weighted WLA 80 60 40 20 54 20 -12 20 20 -09 20 20 -06 20 20 -03 20 19 -12 20 19 -09 20 19 -06 20 19 -03 0 20 Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) As reported on Form PF, Question 55. August 4, 2021 C Analytics Office Rule 2a-7 Compliance Table 69: 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 2019Q1 61.4 56.8 56.8 52.3 47.7 38.6 2019Q2 62.8 58.1 58.1 53.5 48.8 37.2 2019Q3 63.4 58.5 58.5 53.7 48.8 36.6 2019Q4 64.3 59.5 59.5 54.8 50.0 35.7 2020Q1 62.5 57.5 57.5 52.5 47.5 37.5 2020Q2 63.6 59.1 59.1 54.5 50.0 36.4 2020Q3 63.0 58.7 58.7 54.3 50.0 37.0 2020Q4 55.8 51.9 51.9 48.1 44.2 44.2 Table 70: 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 2019Q1 14.0 12.9 12.9 12.7 10.7 86.0 2019Q2 13.8 13.0 13.0 12.8 10.9 86.2 2019Q3 13.8 13.2 13.2 13.0 11.0 86.2 2019Q4 13.1 12.5 12.5 12.3 10.3 86.9 2020Q1 13.4 12.7 12.7 12.4 10.4 86.6 2020Q2 14.1 13.2 13.2 12.9 10.9 85.9 2020Q3 13.5 12.4 12.4 12.1 10.2 86.5 2020Q4 14.0 12.7 12.7 12.5 10.4 86.0 Methods of Calculating NAV Table 71: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2019Q1 79.5 20.5 2019Q2 74.4 25.6 2019Q3 75.6 24.4 2019Q4 73.8 26.2 2020Q1 75.0 25.0 2020Q2 72.7 27.3 2020Q3 73.9 26.1 2020Q4 73.1 26.9 Table 72: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2019Q1 74.0 26.0 2019Q2 55.7 44.3 2019Q3 62.2 37.8 2019Q4 63.9 36.1 55 2020Q1 67.7 32.3 2020Q2 67.4 32.6 2020Q3 69.4 30.6 2020Q4 65.7 34.3 August 4, 2021 Aggregate Portfolio Holdings Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 2 36.6 66.0 69.8 46.6 40.1 18.2 11.8 2.3 0.7 41.3 67.9 60.6 42.3 42.7 17.3 8.0 2.4 0.6 50.2 63.7 52.0 40.7 40.4 17.4 9.6 2.2 0.6 49.8 62.2 51.7 40.5 43.0 16.9 10.0 1.9 0.7 55.3 68.3 46.8 38.7 42.3 16.2 9.6 1.9 0.7 60.0 63.2 45.9 39.2 41.2 15.5 7.9 1.8 0.7 9-1 9-1 201 1 0 201 39.5 63.6 62.5 43.3 39.0 17.7 11.6 3.4 0.7 9-1 201 -09 201 9 8 37.5 60.2 59.0 38.1 41.5 20.6 10.4 4.2 0.8 9-0 201 7 40.9 59.5 58.0 40.2 39.5 19.7 12.7 3.2 0.8 9-0 6 201 48.9 55.9 48.4 44.4 37.3 20.3 12.7 4.4 0.9 9-0 201 5 201 46.2 56.9 57.6 44.5 39.9 21.4 13.2 3.5 0.9 9-0 201 9-0 4 9-0 3 2 201 Product Type U.S. Treasuries Deposits Repo - Govt. Collateral Other Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 9-0 201 47.1 53.2 58.0 47.7 43.4 23.9 16.8 2.9 1.0 9-0 201 1 As reported on Form PF, Question 63. Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 2 202 0-1 202 0-1 1 0 202 0-1 202 0 -09 202 0-0 8 7 202 0-0 6 202 0-0 5 202 0-0 4 0-0 202 0-0 3 0-0 2 202 Product Type U.S. Treasuries Deposits Repo - Govt. Collateral Other Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 202 0-0 1 As reported on Form PF, Question 63. 202 E Analytics Office 42.4 78.2 43.7 35.9 43.6 17.0 8.7 1.8 0.7 41.1 75.4 44.7 32.0 48.3 16.5 8.7 2.0 0.7 86.1 56.9 46.1 29.6 31.8 12.9 9.1 2.3 0.9 101.2 62.2 25.2 26.9 37.5 18.6 9.9 2.9 1.0 107.0 56.2 28.1 29.3 33.4 19.7 12.0 2.3 1.1 108.4 51.8 30.7 35.7 35.8 18.8 14.4 2.4 1.3 102.1 58.9 35.0 38.6 36.8 19.6 15.5 2.3 1.5 101.2 51.9 44.4 31.0 41.7 19.2 15.8 1.9 1.4 108.5 50.9 42.3 29.7 39.3 17.9 16.5 2.2 1.3 107.3 55.1 33.0 31.6 33.1 15.8 17.0 1.7 0.9 103.1 58.0 31.7 36.0 35.2 18.0 19.9 1.9 0.8 104.1 49.5 39.0 37.6 36.0 19.2 17.9 1.8 0.9 56 August 4, 2021 Analytics Office X Section 4 Private Equity Fund Specific Information A CPC Industry Concentration Table 75: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Electric Power Generation,... Telecommunications Data Processing... Data Processing, Hosting, &... Other Financial Investment... Other Information Services Pharmaceutical & Medicine Mfg Oil & Gas Extraction Custom Computer Programming... All Other Professional,... Other Financial Vehicles Insurance Agencies & Brokerages Management, Scientific, &... Scientific Research & Development... Pipeline Transportation Educational Services Other Computer Related Services Activities Related to Credit... 2014Q4 3.8 3.8 2.5 2.3 1.8 2.1 1.3 7.8 1.0 0.6 0.4 1.0 1.2 0.9 2.6 1.3 0.4 1.2 2015Q4 4.9 3.7 2.7 1.8 1.8 1.9 1.5 5.8 1.5 0.6 0.6 1.0 1.1 1.0 2.4 1.3 0.5 1.4 57 2016Q4 6.1 4.1 2.3 2.0 1.7 1.8 1.4 6.7 1.5 0.9 1.8 1.2 1.3 0.7 2.2 1.2 0.9 1.0 2017Q4 6.0 4.2 2.2 2.3 1.4 2.0 1.5 6.2 1.5 0.8 1.6 1.1 1.6 1.0 1.9 1.4 0.9 1.2 2018Q4 8.0 4.5 2.4 3.5 2.1 1.7 2.4 4.9 1.8 1.4 1.3 1.0 1.4 1.0 1.8 1.2 1.0 1.3 2019Q4 10.6 4.3 2.6 4.2 2.1 1.9 2.0 3.6 2.1 1.4 1.2 1.1 1.6 1.7 1.7 1.1 0.8 1.4 2020Q4 9.7 4.8 3.7 3.6 2.8 2.5 2.1 1.9 1.9 1.9 1.8 1.5 1.4 1.3 1.3 1.3 1.2 1.2 August 4, 2021 CPC Financial Leverage Figure 23: 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 20 20 Q4 19 20 Q4 18 20 Q4 17 20 Q4 16 20 Q4 15 20 20 Q4 0 14 Ratio of Portfolio Company Current Liabilities to Total Liabilities (%) As reported on Form PF, Questions 71 and 72. Figure 24: 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 58 Q4 20 20 Q4 19 20 Q4 18 20 Q4 17 20 Q4 16 20 Q4 15 20 20 Q4 0 14 CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) B Analytics Office August 4, 2021 C Analytics Office CPC Investments by Region and Country Table 76: 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 Europe Other South America Supranational Middle East Africa 2014Q4 4,506 1,259 462 9 85 67 12 12 2015Q4 4,132 941 447 21 58 23 9 12 2016Q4 3,942 848 406 22 111 37 15 18 2017Q4 3,961 963 379 40 184 49 23 14 2018Q4 4,211 1,256 435 46 140 55 16 10 2019Q4 5,163 1,547 561 69 149 60 18 15 2020Q4 6,633 2,154 1,028 158 141 78 44 9 Table 77: 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 Europe Other South America Supranational Middle East Africa 2014Q4 70.2 19.6 7.2 0.1 1.3 1.0 0.2 0.2 2015Q4 73.2 16.7 7.9 0.4 1.0 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 0.4 2.0 0.7 0.3 0.3 59 2017Q4 70.5 17.1 6.8 0.7 3.3 0.9 0.4 0.3 2018Q4 68.2 20.3 7.0 0.7 2.3 0.9 0.3 0.2 2019Q4 68.0 20.4 7.4 0.9 2.0 0.8 0.2 0.2 2020Q4 64.7 21.0 10.0 1.5 1.4 0.8 0.4 0.1 August 4, 2021 Analytics Office Table 78: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States Japan China and Hong Kong India Brazil Russia 2014Q4 4,305 98 186 83 58 2 2015Q4 3,943 85 173 89 41 5 2016Q4 3,776 79 114 92 88 4 2017Q4 3,794 52 147 73 131 4 2018Q4 4,015 52 154 104 96 2 2019Q4 4,803 78 149 128 93 1 2020Q4 6,243 283 235 229 78 1 2019Q4 63.3 1.0 2.0 1.7 1.2 0.0 2020Q4 60.9 2.8 2.3 2.2 0.8 0.0 Table 79: 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 Japan China and Hong Kong India Brazil Russia 2014Q4 67.1 1.5 2.9 1.3 0.9 0.0 2015Q4 69.9 1.5 3.1 1.6 0.7 0.1 2016Q4 69.9 1.5 2.1 1.7 1.6 0.1 60 2017Q4 67.6 0.9 2.6 1.3 2.3 0.1 2018Q4 65.1 0.8 2.5 1.7 1.6 0.0 August 4, 2021 XI A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 61 August 4, 2021 3 Analytics Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 62 August 4, 2021 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: ˆ (Q1): February 15 to May 14 ˆ (Q2): May 15 to August 14 ˆ (Q3): August 15 to November 14 ˆ (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 25 for an explanation of each feature. Figure 25: How to Read a Boxplot 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 63 August 4, 2021 D Analytics Office Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 64 August 4, 2021 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. 65 August 4, 2021 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. 66 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A819b7d525c90ad13. Public record. Not legal advice.