# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A888dc4cae6aecb1d ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Third Calendar Quarter 2017 April 12, 2018 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. April 12, 2018 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 Fourth Calendar Quarter 2015 through Third Calendar Quarter 2017 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 Third Calendar Quarter 2017 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Third Calendar Quarter 2017-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 April 12, 2018 Analytics Office Contents I II Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 29 31 33 34 35 37 39 40 41 X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 42 42 44 44 2 April 12, 2018 Analytics Office E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 46 46 47 48 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 50 50 50 51 51 51 52 52 53 XI 3 April 12, 2018 I Analytics Office Number of Funds and Advisers3 Table 1: Number of Funds The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2015Q4 9,644 8,784 4,132 2,733 2,065 1,640 1,406 636 65 41 26,732 2016Q1 9,706 8,912 4,105 2,739 2,102 1,597 1,421 635 64 36 26,945 2016Q2 9,717 8,920 4,131 2,741 2,100 1,606 1,418 646 66 37 26,998 2016Q3 9,744 8,979 4,123 2,746 2,117 1,617 1,417 651 67 36 27,098 2016Q4 10,341 8,910 4,435 3,001 2,445 1,650 1,451 761 69 44 28,412 2017Q1 10,359 9,064 4,454 3,005 2,442 1,671 1,463 759 70 45 28,611 2017Q2 10,339 9,105 4,477 3,008 2,440 1,717 1,475 769 69 47 28,674 2017Q3 10,249 9,136 4,435 2,988 2,431 1,715 1,477 755 69 46 28,552 Table 2: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2015Q4 1,019 1,690 572 241 291 535 155 97 37 21 2,836 2016Q1 1,021 1,693 564 242 293 525 157 97 37 19 2,838 2016Q2 1,021 1,687 567 242 291 525 156 98 37 19 2,833 2016Q3 1,020 1,683 568 242 293 515 154 100 37 19 2,829 2016Q4 1,087 1,684 578 247 311 531 149 109 39 24 2,903 2017Q1 1,090 1,683 574 249 313 527 151 109 39 24 2,904 2017Q2 1,086 1,684 575 249 311 534 153 110 38 24 2,905 2017Q3 1,083 1,684 571 246 310 534 154 109 38 23 2,904 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 D for definitions of other capitalized terms used in this report. 4 April 12, 2018 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 Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q4 6,078 4,999 2,058 1,471 978 416 398 286 283 55 10,268 2016Q1 6,159 4,991 2,059 1,472 974 420 406 273 247 55 10,345 2016Q2 6,326 5,101 2,061 1,472 979 420 406 287 258 56 10,535 2016Q3 6,461 5,243 2,063 1,472 983 420 407 292 249 55 10,682 2016Q4 6,403 5,217 2,315 1,644 1,066 448 436 293 274 64 11,025 2017Q1 6,699 5,493 2,323 1,648 1,076 449 436 282 267 64 11,329 2017Q2 6,890 5,714 2,320 1,648 1,087 454 433 276 273 64 11,525 2017Q3 7,212 5,888 2,307 1,641 1,060 453 432 282 279 63 11,808 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q4 3,455 2,736 1,883 1,376 877 135 319 285 282 52 7,006 2016Q1 3,404 2,653 1,882 1,377 874 138 323 272 246 52 6,945 2016Q2 3,434 2,669 1,884 1,377 878 138 323 285 256 53 6,995 5 2016Q3 3,492 2,736 1,885 1,377 884 140 325 290 247 52 7,068 2016Q4 3,489 2,742 2,071 1,492 977 141 341 292 273 61 7,374 2017Q1 3,606 2,827 2,080 1,496 986 141 342 281 265 61 7,498 2017Q2 3,664 2,899 2,079 1,496 993 145 340 275 272 62 7,557 2017Q3 3,785 2,992 2,066 1,488 970 144 339 280 278 60 7,644 April 12, 2018 Analytics Office Figure 1: GAV and NAV Distributions As reported on Form PF, Questions 8 and 9. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Qualifying Hedge Fund GAV ($ Billions) 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.5 0.5 0.5 0.5 0.5 1.1 1.2 1.2 1.2 1.1 1.2 2.6 2.6 2.6 2.6 2.5 2.6 5.8 5.8 5.8 6.0 6.0 6.0 3.0 3.1 3.2 3.2 3.2 3.3 Qualifying Hedge Fund NAV ($ Billions) 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 0.8 0.9 0.9 0.9 0.8 0.8 1.8 1.7 1.7 1.7 1.7 1.7 3.8 3.7 3.7 3.7 3.7 3.7 1.7 1.7 1.7 1.7 1.7 1.7 Section 4 Private Equity Fund GAV ($ Billions) 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 1.3 1.3 1.3 1.3 1.3 1.3 0.5 0.5 0.5 0.5 0.5 0.5 Section 4 Private Equity Fund NAV ($ Billions) 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.4 0.4 0.3 0.3 1.2 1.2 1.2 1.2 1.2 1.2 0.5 0.5 0.5 0.5 0.5 0.5 6 2017Q2 0.1 0.6 1.2 2.6 6.1 3.3 2017Q3 0.2 0.6 1.2 2.6 6.2 3.4 2017Q2 0.1 0.4 0.8 1.7 3.7 1.7 2017Q3 0.1 0.5 0.9 1.8 3.8 1.7 2017Q2 0.0 0.0 0.1 0.4 1.3 0.5 2017Q3 0.0 0.0 0.1 0.4 1.3 0.5 2017Q2 0.0 0.0 0.1 0.3 1.2 0.5 2017Q3 0.0 0.0 0.1 0.3 1.2 0.5 April 12, 2018 Analytics Office Figure 2: Ratio of GAV to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 1.0 1.0 1.0 1.1 1.9 1.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 1.0 1.0 1.2 1.7 2.4 1.6 All Private Funds 2016Q1 2016Q2 2016Q3 2016Q4 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.2 1.9 1.9 1.9 2.0 1.6 1.6 1.6 1.6 Qualifying Hedge Funds 2016Q1 2016Q2 2016Q3 2016Q4 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.6 1.6 1.6 1.6 2.5 2.5 2.6 2.5 1.5 1.6 1.6 1.6 7 2017Q1 1.0 1.0 1.0 1.2 2.0 1.6 2017Q2 1.0 1.0 1.0 1.2 2.0 1.6 2017Q3 1.0 1.0 1.0 1.2 2.0 1.6 2017Q1 1.0 1.0 1.1 1.6 2.7 1.6 2017Q2 1.0 1.0 1.2 1.6 2.6 1.6 2017Q3 1.0 1.0 1.1 1.6 2.5 1.6 April 12, 2018 B Analytics Office Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2015Q4 50.7 38.1 35.6 13.3 4.8 3.4 2.3 0.4 0.0 0.0 2016Q1 48.9 39.1 36.8 13.3 4.8 3.4 2.2 0.4 0.0 0.0 2016Q2 48.7 38.2 36.3 13.4 4.9 3.4 2.2 0.4 0.0 0.0 2016Q3 48.4 39.9 38.1 13.3 4.9 3.4 2.1 0.4 0.0 0.0 2016Q4 50.7 39.7 37.3 13.9 5.1 4.0 2.8 0.4 0.0 0.0 2017Q1 49.5 41.0 38.4 12.9 5.0 4.0 2.7 0.4 0.0 0.0 2017Q2 48.8 42.0 39.2 12.7 5.0 4.0 2.7 0.5 0.0 0.0 2017Q3 48.4 41.6 39.5 12.8 5.0 4.1 2.7 0.5 0.0 0.0 Figure 3: Distribution of Total Borrowings As reported on Form PF, Questions 12 and 43. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.0 0.0 0.2 0.6 0.4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.1 0.3 1.1 3.0 1.8 All Private Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 0.4 0.4 0.5 0.4 0.5 Qualifying Hedge Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 1.0 1.1 1.1 1.0 1.1 3.2 2.9 3.2 3.2 3.4 1.8 1.9 2.0 1.9 2.1 8 2017Q2 0.0 0.0 0.0 0.2 0.6 0.5 2017Q3 0.0 0.0 0.0 0.2 0.6 0.5 2017Q2 0.0 0.1 0.3 1.1 3.2 2.2 2017Q3 0.0 0.1 0.3 1.1 3.4 2.2 April 12, 2018 Analytics Office Figure 4: Ratio of Borrowings to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.0 0.2 0.8 3.0 1.8 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.1 0.4 0.9 1.8 0.7 All Private Funds 2016Q1 2016Q2 2016Q3 2016Q4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.8 0.8 0.8 0.9 2.9 3.0 3.0 3.6 1.8 1.7 1.8 1.8 Qualifying Hedge Funds 2016Q1 2016Q2 2016Q3 2016Q4 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.3 0.9 0.9 0.9 0.9 1.8 1.9 2.0 1.9 0.7 0.8 0.8 0.8 9 2017Q1 0.0 0.0 0.2 0.9 3.8 1.8 2017Q2 0.0 0.0 0.2 0.9 3.8 1.8 2017Q3 0.0 0.0 0.2 0.9 3.8 1.8 2017Q1 0.0 0.1 0.4 0.9 2.1 0.8 2017Q2 0.0 0.1 0.4 0.9 2.1 0.8 2017Q3 0.0 0.1 0.4 0.9 2.1 0.8 April 12, 2018 C Analytics Office Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2015Q4 2,746 2,451 2,339 1,749 2016Q1 2,479 2,141 2,267 1,580 2016Q2 2,463 2,071 2,260 1,539 2016Q3 2,483 2,064 2,258 1,537 2016Q4 2,876 2,544 2,592 1,972 2017Q1 2,583 2,202 2,510 1,691 2017Q2 2,576 2,186 2,510 1,722 2017Q3 2,560 2,232 2,504 1,731 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2015Q4 628 335 110 492 2016Q1 668 476 111 672 2016Q2 680 424 107 693 2016Q3 677 428 106 695 10 2016Q4 520 417 142 464 2017Q1 665 462 136 659 2017Q2 663 451 140 654 2017Q3 667 455 137 660 April 12, 2018 D Analytics Office Parallel Managed Accounts4 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q4 698 409 250 246 82 49 *** 14 13 *** 1,455 2016Q1 692 411 250 233 82 52 *** 16 15 *** 1,456 2016Q2 695 409 250 236 82 52 *** 14 14 *** 1,455 2016Q3 690 412 249 232 82 52 *** 15 15 *** 1,453 2016Q4 658 484 237 232 88 77 *** 15 15 *** 1,511 2017Q1 646 499 238 223 88 77 *** 16 16 *** 1,516 2017Q2 654 499 237 220 88 77 *** 16 16 *** 1,523 2017Q3 659 497 271 224 88 77 *** 16 16 *** 1,559 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q4 654 1,329 96 478 19 10 *** 250 245 *** 2,495 2016Q1 612 1,325 96 437 19 11 *** 321 316 *** 2,521 2016Q2 598 1,307 96 417 19 11 *** 305 305 *** 2,472 2016Q3 598 1,361 96 436 19 11 *** 312 312 *** 2,533 2016Q4 576 1,491 29 411 22 6 *** 309 309 *** 2,593 2017Q1 597 1,529 29 425 22 6 *** 333 333 *** 2,675 2017Q2 603 1,580 28 427 22 6 *** 330 330 *** 2,728 2017Q3 630 1,600 28 467 22 6 *** 345 345 *** 2,790 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 April 12, 2018 Analytics Office Figure 5: Parallel Managed Account Value Distributions As reported on Form PF, Question 11. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.0 0.2 0.9 3.6 1.7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.1 0.4 1.3 3.0 1.9 All Private Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.9 0.9 0.9 0.8 0.9 3.5 3.4 3.5 3.4 3.5 1.7 1.7 1.7 1.7 1.8 Qualifying Hedge Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.5 1.2 1.2 1.4 1.3 1.6 2.8 2.9 3.4 3.1 3.4 1.9 1.8 1.9 1.8 1.9 12 2017Q2 0.0 0.0 0.2 0.9 3.5 1.8 2017Q3 0.0 0.0 0.2 0.8 3.5 1.8 2017Q2 0.1 0.2 0.5 1.7 3.4 1.9 2017Q3 0.1 0.2 0.5 1.7 3.6 2.1 April 12, 2018 III Analytics Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Virgin Islands, British Luxembourg Bermuda United Kingdom Other Country Cayman Islands United States Virgin Islands, British Ireland Bermuda Luxembourg Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Bermuda Canada Other All Private Funds 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 50.1 50.7 50.7 50.7 51.2 37.8 37.4 37.3 37.2 36.4 3.9 3.8 3.9 3.9 4.3 2.3 2.4 2.3 2.3 2.2 1.3 1.3 1.5 1.5 1.4 1.3 1.3 1.3 1.2 1.3 1.0 1.1 1.1 1.1 1.1 2.2 2.1 2.1 2.1 2.1 Qualifying Hedge Funds 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 55.7 54.7 54.5 53.8 52.9 32.0 32.7 33.0 33.7 34.2 5.4 5.7 5.7 5.5 5.5 2.5 2.6 2.5 2.6 2.7 1.5 1.4 1.4 1.4 1.8 1.2 1.2 1.2 1.3 1.3 1.9 1.8 1.7 1.7 1.7 Section 3 Liquidity Funds 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 *** *** *** *** *** 35.0 36.5 34.2 34.1 33.1 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2015Q4 2016Q1 2016Q2 2016Q3 2016Q4 62.0 62.0 62.0 62.0 63.8 30.3 30.3 30.3 30.3 29.5 2.6 2.6 2.6 2.6 1.9 1.3 1.3 1.3 1.3 1.1 1.2 1.2 1.2 1.2 0.9 2.7 2.6 2.6 2.7 2.9 13 2017Q1 51.3 36.5 4.2 2.2 1.5 1.3 1.1 2.0 2017Q2 51.4 36.4 4.2 2.0 1.6 1.3 1.1 2.0 2017Q3 50.9 36.8 4.2 2.0 1.6 1.3 1.1 2.0 2017Q1 52.7 34.6 5.3 2.7 1.7 1.4 1.7 2017Q2 52.5 34.9 5.0 2.7 1.7 1.5 1.6 2017Q3 51.8 35.3 4.8 2.7 1.7 1.7 1.9 2017Q1 *** 33.9 *** *** 2017Q2 *** 36.8 *** *** 2017Q3 *** 33.9 *** *** 2017Q1 63.8 29.4 1.9 1.1 0.9 2.9 2017Q2 63.8 29.4 1.9 1.1 0.9 2.9 2017Q3 63.7 29.5 2.0 1.1 0.9 2.9 April 12, 2018 Analytics Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2015Q4 89.8 6.4 3.8 Country United States United Kingdom Australia Hong Kong Other 2015Q4 89.2 5.6 *** *** 2.6 Country United States United Kingdom France 2015Q4 57.4 *** *** Country United States Canada Other 2015Q4 97.2 *** *** All Private Funds 2016Q1 2016Q2 2016Q3 2016Q4 89.5 89.5 89.7 90.1 6.6 6.6 6.6 6.2 3.9 3.9 3.7 3.7 Qualifying Hedge Funds 2016Q1 2016Q2 2016Q3 2016Q4 89.3 89.5 89.3 89.6 5.7 5.6 5.7 5.7 *** *** *** *** *** *** *** *** 2.5 2.4 2.4 2.3 Section 3 Liquidity Funds 2016Q1 2016Q2 2016Q3 2016Q4 58.4 59.4 64.1 62.5 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2016Q1 2016Q2 2016Q3 2016Q4 97.2 97.2 97.2 95.1 *** *** *** *** *** *** *** *** 14 2017Q1 89.3 6.5 4.1 2017Q2 89.0 6.8 4.2 2017Q3 89.1 6.8 4.1 2017Q1 89.4 5.9 *** *** 2.3 2017Q2 89.3 6.3 *** *** 2.3 2017Q3 89.0 6.4 *** *** 2.2 2017Q1 64.2 *** *** 2017Q2 64.1 *** *** 2017Q3 62.5 *** *** 2017Q1 95.1 *** *** 2017Q2 95.1 *** *** 2017Q3 95.1 *** *** April 12, 2018 IV Analytics Office Beneficial Ownership Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2015Q4 1,360 896 897 891 759 710 383 278 169 201 147 106 112 99 2016Q1 1,328 909 882 881 767 705 382 274 163 196 144 123 107 87 2016Q2 1,324 918 895 893 770 704 386 276 171 199 149 120 104 89 2016Q3 1,323 933 920 908 777 724 386 275 170 200 145 119 97 90 2016Q4 1,340 1,008 976 947 771 748 429 305 186 197 137 125 102 99 2017Q1 1,356 1,028 995 956 783 768 438 310 186 198 141 127 104 104 2017Q2 1,372 1,032 1,010 966 787 777 443 312 185 185 143 129 107 107 2017Q3 1,371 1,046 1,037 972 796 788 444 314 189 182 147 137 111 108 2017Q2 18.2 13.7 13.4 12.8 10.4 10.3 5.9 4.1 2.5 2.5 1.9 1.7 1.4 1.4 2017Q3 17.9 13.7 13.6 12.7 10.4 10.3 5.8 4.1 2.5 2.4 1.9 1.8 1.5 1.4 Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2015Q4 19.4 12.8 12.8 12.7 10.8 10.1 5.5 4.0 2.4 2.9 2.1 1.5 1.6 1.4 2016Q1 19.1 13.1 12.7 12.7 11.0 10.2 5.5 3.9 2.3 2.8 2.1 1.8 1.5 1.2 15 2016Q2 18.9 13.1 12.8 12.8 11.0 10.1 5.5 4.0 2.4 2.8 2.1 1.7 1.5 1.3 2016Q3 18.7 13.2 13.0 12.9 11.0 10.2 5.5 3.9 2.4 2.8 2.1 1.7 1.4 1.3 2016Q4 18.2 13.7 13.2 12.8 10.5 10.1 5.8 4.1 2.5 2.7 1.9 1.7 1.4 1.3 2017Q1 18.1 13.7 13.3 12.8 10.4 10.2 5.8 4.1 2.5 2.6 1.9 1.7 1.4 1.4 April 12, 2018 Analytics Office Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2015Q4 550 370 334 358 316 265 136 83 63 68 66 50 42 31 2016Q1 513 363 323 347 305 272 137 77 77 64 64 48 31 30 2016Q2 509 359 333 352 308 278 136 76 76 65 65 46 32 32 2016Q3 504 378 356 364 319 291 140 69 75 65 66 46 33 30 2016Q4 490 383 356 369 318 304 143 68 71 67 65 41 35 28 2017Q1 495 395 375 379 324 310 152 72 70 69 68 45 41 30 2017Q2 505 405 385 387 331 314 158 75 70 72 68 52 42 32 2017Q3 510 418 408 399 340 330 160 79 74 73 70 56 42 33 2017Q2 17.4 14.0 13.3 13.3 11.4 10.8 5.4 2.6 2.4 2.5 2.4 1.8 1.4 1.1 2017Q3 17.0 14.0 13.7 13.3 11.4 11.0 5.4 2.6 2.5 2.5 2.3 1.9 1.4 1.1 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2015Q4 20.1 13.5 12.2 13.1 11.6 9.7 5.0 3.0 2.3 2.5 2.4 1.8 1.5 1.1 2016Q1 19.3 13.7 12.2 13.1 11.5 10.2 5.1 2.9 2.9 2.4 2.4 1.8 1.2 1.1 16 2016Q2 19.1 13.4 12.5 13.2 11.5 10.4 5.1 2.8 2.9 2.4 2.4 1.7 1.2 1.2 2016Q3 18.4 13.8 13.0 13.3 11.7 10.6 5.1 2.5 2.7 2.4 2.4 1.7 1.2 1.1 2016Q4 17.9 13.9 13.0 13.5 11.6 11.1 5.2 2.5 2.6 2.4 2.4 1.5 1.3 1.0 2017Q1 17.5 14.0 13.3 13.4 11.5 11.0 5.4 2.5 2.5 2.4 2.4 1.6 1.4 1.1 April 12, 2018 Analytics Office Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds and For. Official Inst. Non-U.S. Individuals Non-Profits State/Muni. Govt. Entities State/Muni. Govt. Pension Plans U.S. Individuals 2015Q4 82 45 51 16 *** *** 8 5 *** 28 *** *** *** *** 2016Q1 79 *** 38 17 *** *** 7 5 *** 17 *** *** *** *** 2016Q2 79 *** 38 17 *** *** 8 5 *** 17 *** *** *** *** 2016Q3 80 60 40 18 *** *** 8 *** *** 4 *** *** *** *** 2016Q4 81 65 52 16 *** 10 9 5 *** 4 1 *** 1 *** 2017Q1 75 60 51 18 *** *** 9 5 *** 4 2 *** 1 *** 2017Q2 89 52 51 21 *** 12 9 5 *** 4 2 *** 1 *** 2017Q3 83 55 51 24 *** *** 10 5 *** 4 2 *** 1 *** 2017Q2 32.6 19.2 18.7 7.6 *** 4.3 3.3 1.8 *** 1.5 0.6 *** 0.4 *** 2017Q3 30.0 19.9 18.5 8.6 *** *** 3.7 1.9 *** 1.4 0.6 *** 0.4 *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds and For. Official Inst. Non-U.S. Individuals Non-Profits State/Muni. Govt. Entities State/Muni. Govt. Pension Plans U.S. Individuals 2015Q4 29.0 15.8 17.9 5.8 *** *** 2.9 1.9 *** 10.0 *** *** *** *** 2016Q1 32.2 *** 15.5 7.1 *** *** 2.9 1.9 *** 6.9 *** *** *** *** 17 2016Q2 30.9 *** 14.7 6.5 *** *** 3.3 1.8 *** 6.8 *** *** *** *** 2016Q3 32.3 24.2 16.2 7.1 *** *** 3.2 *** *** 1.6 *** *** *** *** 2016Q4 29.6 23.7 19.2 5.9 *** 3.6 3.3 1.7 *** 1.4 0.5 *** 0.4 *** 2017Q1 28.3 22.7 19.3 6.9 *** *** 3.4 1.8 *** 1.5 0.6 *** 0.6 *** April 12, 2018 Analytics Office Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2015Q4 325 270 140 132 137 84 87 95 35 32 19 15 5 1 2016Q1 326 270 140 132 138 84 87 95 35 32 19 15 5 1 2016Q2 326 270 140 132 137 84 87 95 35 32 19 15 5 1 2016Q3 326 270 140 131 138 84 86 95 35 32 19 15 5 1 2016Q4 366 283 162 153 141 94 92 88 34 31 22 14 12 1 2017Q1 366 285 162 154 142 94 92 88 34 31 22 14 12 1 2017Q2 366 284 161 154 142 94 92 88 34 31 22 14 12 1 2017Q3 366 284 161 153 139 94 90 88 34 31 22 13 12 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2015Q4 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q1 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 18 2016Q2 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q3 23.6 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q4 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.9 0.8 0.1 2017Q1 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.9 0.8 0.1 2017Q2 24.5 19.0 10.8 10.3 9.5 6.3 6.2 5.9 2.3 2.0 1.5 0.9 0.8 0.1 2017Q3 24.6 19.1 10.8 10.3 9.4 6.3 6.1 5.9 2.3 2.1 1.5 0.9 0.8 0.1 April 12, 2018 V Analytics Office Derivatives Table 20: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2015Q4 8,455 7,368 100 54 42 *** *** 21 11 *** 8,634 2016Q1 9,181 8,027 99 54 42 *** *** 21 11 *** 9,368 2016Q2 9,363 8,073 97 54 42 *** *** 21 11 *** 9,500 2016Q3 9,397 8,207 98 53 42 *** *** 21 10 *** 9,544 2016Q4 9,189 7,919 113 38 35 *** *** 16 14 *** 9,391 2017Q1 10,245 8,833 109 38 35 *** *** 16 14 *** 10,395 2017Q2 10,260 8,929 109 38 34 *** *** 16 14 *** 10,491 2017Q3 11,443 9,659 110 38 34 *** *** 16 13 *** 11,647 Table 21: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2015Q4 244.7 269.3 11.4 2.9 3.1 *** *** 6.7 8.3 *** 123.2 2016Q1 269.7 302.5 11.3 2.8 3.1 *** *** 6.6 7.9 *** 134.9 2016Q2 272.7 302.5 11.0 2.8 3.1 *** *** 6.6 7.7 *** 135.8 19 2016Q3 269.1 299.9 11.1 2.8 3.1 *** *** 6.6 7.4 *** 135.0 2016Q4 263.3 288.8 11.5 1.8 2.3 *** *** 4.8 9.8 *** 127.4 2017Q1 284.1 312.4 11.0 1.8 2.3 *** *** 4.8 9.8 *** 138.6 2017Q2 280.0 308.0 11.0 1.8 2.3 *** *** 4.7 9.4 *** 138.8 2017Q3 302.3 322.9 11.3 1.8 2.3 *** *** 4.8 9.2 *** 152.4 April 12, 2018 Analytics Office Figure 6: Distribution of Derivative Values As reported on Form PF, Questions 13 and 44 (Third Month). VI Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.0 0.0 0.3 1.3 0.9 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 0.0 0.1 0.5 2.0 8.2 4.4 All Private Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3 0.3 0.3 0.2 0.3 1.4 1.4 1.3 1.3 1.4 0.9 0.9 0.9 1.0 1.0 Qualifying Hedge Funds ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.5 0.4 0.4 0.4 2.0 2.2 2.0 2.0 2.2 9.2 8.9 8.1 7.7 8.6 4.9 4.5 4.3 4.2 4.7 2017Q2 0.0 0.0 0.0 0.3 1.5 1.1 2017Q3 0.0 0.0 0.0 0.3 1.6 1.1 2017Q2 0.0 0.1 0.4 2.1 9.2 4.8 2017Q3 0.0 0.1 0.5 2.2 10.0 5.2 High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2015Q4 7,382 40 11 2016Q1 7,459 63 9 2016Q2 7,482 64 10 2016Q3 7,521 70 9 2016Q4 7,483 62 11 2017Q1 7,610 62 12 2017Q2 7,655 66 11 2017Q3 7,678 63 12 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2015Q4 3,338 77 2 2016Q1 3,285 84 2 2016Q2 3,321 83 2 2016Q3 3,377 84 2 20 2016Q4 3,377 78 2 2017Q1 3,494 79 3 2017Q2 3,558 78 3 2017Q3 3,658 43 37 April 12, 2018 VII Analytics Office Hedge Fund Industry Concentration Table 24: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q4 7.9 14.1 20.8 29.5 44.8 58.5 2016Q1 7.9 13.7 20.5 29.2 44.4 57.9 2016Q2 7.8 13.6 20.4 29.1 44.1 57.6 2016Q3 7.9 13.8 20.6 29.2 44.3 57.7 2016Q4 7.9 13.8 20.5 29.0 44.2 57.6 2017Q1 7.7 13.3 20.2 28.7 43.7 57.0 2017Q2 7.7 13.5 20.2 28.6 43.5 57.0 2017Q3 7.5 13.2 20.0 28.5 43.5 56.9 Table 25: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q4 13.4 21.3 28.7 38.8 53.8 66.1 2016Q1 15.1 23.3 30.5 40.1 54.4 66.5 2016Q2 15.0 23.6 31.2 40.8 54.9 66.8 2016Q3 14.4 22.9 31.2 41.0 55.2 67.0 2016Q4 14.7 23.2 31.4 41.0 55.0 66.8 2017Q1 14.7 23.5 32.0 41.6 55.2 66.8 2017Q2 14.9 23.2 31.5 41.4 55.2 66.9 2017Q3 15.4 24.1 32.6 42.2 56.1 67.6 Table 26: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q4 30.6 41.1 52.4 65.0 79.8 89.2 2016Q1 32.7 43.9 54.5 66.3 80.6 89.5 2016Q2 32.7 45.3 56.0 67.5 80.6 89.5 2016Q3 32.8 45.5 56.5 68.6 81.8 90.2 21 2016Q4 31.5 44.5 56.1 68.5 81.6 90.0 2017Q1 31.9 45.1 56.7 68.8 81.5 89.9 2017Q2 33.3 46.2 57.4 69.2 81.8 90.1 2017Q3 35.0 47.6 58.7 70.2 82.7 90.5 April 12, 2018 Analytics Office Table 27: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q4 30.0 45.8 58.8 71.0 84.9 92.5 2016Q1 31.5 47.2 60.0 71.8 85.5 92.8 2016Q2 34.5 48.7 60.7 72.2 85.7 92.9 2016Q3 36.9 50.5 61.4 73.2 86.2 93.2 2016Q4 34.7 48.5 60.1 73.0 86.1 93.3 2017Q1 34.1 48.1 60.5 73.2 86.3 93.3 2017Q2 31.9 46.5 59.4 72.1 85.9 92.8 2017Q3 32.4 49.1 61.3 73.4 86.5 93.3 Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q4 27.0 40.4 52.5 64.8 80.4 90.6 2016Q1 28.6 42.6 54.7 66.5 81.2 91.1 2016Q2 31.5 44.0 55.1 66.9 81.3 90.9 2016Q3 32.6 45.3 56.3 67.5 81.6 90.8 22 2016Q4 31.6 45.4 56.8 68.6 82.2 91.2 2017Q1 30.9 44.5 56.6 68.8 82.5 91.4 2017Q2 30.1 43.5 55.6 67.7 82.0 90.8 2017Q3 30.2 44.9 56.9 68.6 82.6 91.2 April 12, 2018 VIII A Analytics Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 7-0 7-0 201 201 201 7 7-0 1.0 1.3 2.1 3.7 8.9 4.3 9 8 0.9 1.3 2.1 3.7 8.7 4.4 201 201 7-0 1.0 1.3 2.1 3.6 8.3 3.8 201 7-0 201 1.0 1.4 2.2 3.8 8.7 4.2 201 7-0 7 1.0 1.4 2.1 3.7 8.6 4.1 6 1.0 1.3 2.1 3.6 7.9 3.9 7-0 7-0 201 1.0 1.3 2.1 3.7 8.5 4.1 201 7-0 7-0 1.0 1.3 2.1 3.6 8.1 4.0 201 1 201 7-0 2 6-1 1.0 1.3 2.0 3.4 7.8 3.7 7-0 1.0 1.3 2.1 3.6 8.2 4.0 201 1 6-1 6-1 201 201 1.0 1.3 2.1 3.7 7.9 4.0 -09 201 7-0 6 23 1.0 1.3 2.0 3.6 7.6 3.7 0 9 201 6-0 8 6-0 1.0 1.3 2.0 3.7 7.2 3.8 8 201 7-0 5 1.0 1.5 2.3 4.9 13.5 6.9 7 201 7-0 4 1.0 1.5 2.4 5.0 14.4 7.2 5 201 7-0 3 1.0 1.5 2.3 5.0 12.6 6.7 4 201 7-0 2 1.0 1.5 2.3 4.9 11.4 5.7 3 201 1.0 1.6 2.4 5.3 12.1 6.3 2 201 6-1 2 1.0 1.6 2.4 5.2 11.6 5.9 1 201 6-1 1 1.0 1.5 2.4 5.0 11.3 6.0 1.0 1.3 2.0 3.6 7.0 3.8 6-0 9 201 6-1 0 1.0 1.5 2.4 5.3 11.9 6.2 201 1.0 1.5 2.4 5.1 11.7 6.0 201 6-0 8 1.0 1.5 2.3 4.6 10.5 5.5 6-0 7 1.0 1.5 2.3 4.8 12.2 6.1 201 1.0 1.3 2.0 3.6 6.9 3.5 1.0 1.0 1.0 1.0 1.5 1.5 1.5 1.5 2.3 2.3 2.3 2.4 4.8 4.9 4.8 4.9 11.5 11.5 10.8 12.6 5.4 5.7 5.4 6.0 Excluding IRDs 201 6 1.0 1.4 2.0 3.7 7.5 3.6 201 201 6-0 1.0 1.4 2.0 3.7 7.2 3.6 6-0 5 1.0 1.3 2.0 3.4 7.0 3.4 201 6 1.0 1.3 2.1 3.4 6.7 3.4 6-0 3 0.9 1.3 2.0 3.4 6.8 3.4 201 -01 201 6-0 1.0 1.3 2.0 3.3 6.8 3.1 201 6 5-1 201 1 5-1 5-1 201 1.0 1.4 2.1 3.4 7.1 3.5 6 1.0 1.5 2.3 4.8 11.4 5.3 6-0 7 1.0 1.6 2.4 4.9 12.0 5.7 201 5 201 6-0 1.0 1.5 2.3 4.8 11.6 5.4 1.0 1.4 2.1 3.5 7.1 3.4 6-0 4 1.0 1.5 2.3 4.7 11.1 5.6 -04 201 6-0 3 201 2 1.0 1.5 2.3 4.8 11.7 5.5 6-0 201 1.0 1.5 2.4 4.7 11.1 5.2 2 201 6-0 2 1.0 1.5 2.3 4.2 9.6 4.8 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 6-0 1 201 1.1 1.5 2.4 4.7 10.8 5.9 2 201 5-1 5-1 1 201 1.1 1.5 2.5 4.5 10.3 5.3 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5 -10 Including Interest Rate Derivatives (IRDs) 1.0 1.3 2.0 3.7 9.2 4.3 April 12, 2018 Analytics Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 24 8 9 7-0 201 7 -0 0.1 0.3 0.6 1.5 4.1 1.8 0.1 0.3 0.6 1.5 4.2 1.9 0.1 0.3 0.6 1.5 3.9 1.6 -09 -09 8 8 0.1 0.3 0.8 2.2 6.7 3.1 0.9 1.1 1.5 2.5 5.2 2.7 0.1 0.3 0.8 2.3 6.8 3.2 201 7-0 9 8 0.1 0.3 0.8 2.3 6.5 3.1 201 7 7-0 7-0 0.1 0.3 0.8 2.3 5.9 2.7 1.0 1.2 1.6 3.0 7.4 4.2 201 7 7 7-0 201 7 7-0 201 7-0 7 0.9 1.1 1.5 2.4 5.2 2.7 201 6 201 201 0.9 1.1 1.5 2.4 5.2 2.7 201 201 7-0 6 1.0 1.2 1.6 3.1 7.9 4.2 201 7-0 0.1 0.3 0.6 1.5 4.3 1.8 0.9 1.2 1.6 3.1 7.6 3.9 201 7-0 7 0.1 0.3 0.6 1.5 4.1 1.7 0.1 0.3 0.6 1.5 3.8 1.7 7-0 7-0 5 201 7-0 6 5 0.1 0.4 0.8 2.3 6.2 2.9 201 7-0 0.1 0.4 0.8 2.3 6.1 2.7 1.0 1.1 1.6 2.4 5.0 2.5 201 -04 201 7-0 5 4 7-0 0.9 1.1 1.6 2.5 5.1 2.7 201 201 0.9 1.1 1.6 2.5 5.2 2.6 201 1.0 1.2 1.7 3.0 6.7 3.5 7-0 4 7-0 3 1.0 1.2 1.7 3.1 7.3 3.8 201 3 7-0 201 2 1.0 1.2 1.7 3.1 7.1 3.6 0.1 0.3 0.8 2.2 6.4 2.8 201 2 0.1 0.3 0.6 1.5 3.9 1.7 201 7 201 3 7-0 201 2 7-0 0.9 1.1 1.5 2.4 4.7 2.5 7-0 0.1 0.4 0.8 2.3 6.6 2.8 7-0 1 7-0 2 201 7-0 1 201 7-0 1 1.0 1.2 1.7 3.0 6.3 3.6 201 7-0 -01 0.1 0.3 0.6 1.5 3.9 1.7 0.9 1.1 1.5 2.6 4.9 2.6 201 2 201 2 201 201 2 6-1 0.1 0.2 0.6 1.4 3.7 1.6 0.1 0.4 0.8 2.2 6.1 2.7 201 7 6-1 201 1 0.1 0.3 0.8 2.0 6.0 2.6 201 0.1 0.3 0.6 1.5 3.8 1.7 0.9 1.1 1.5 2.4 4.8 2.5 2 6-1 1 6-1 6-1 0.9 1.1 1.5 2.4 4.6 2.4 0.9 1.2 1.7 3.2 7.0 3.6 7-0 6 0.1 0.3 0.6 1.5 3.6 1.7 0.9 1.1 1.6 3.0 6.6 3.6 201 7-0 5 0.1 0.2 0.6 1.3 3.4 1.5 201 6-1 0 6-0 9 8 7 6-0 201 0.1 0.2 0.6 1.4 3.5 1.6 201 6-1 1 6-1 1 6-1 201 6-1 0 9 201 6-0 8 -07 6-0 201 201 201 6-0 0.1 0.2 0.6 1.3 3.3 1.5 201 0 6-1 201 201 6-0 9 8 -07 6-0 201 201 6-0 6 201 6 201 6 6-0 6 0.1 0.2 0.6 1.3 3.4 1.4 201 6-0 6 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.4 0.4 0.8 0.7 0.8 0.7 0.8 0.8 2.0 2.0 2.1 2.0 2.2 2.2 5.2 5.8 5.7 5.5 5.9 6.2 2.4 2.6 2.7 2.4 2.8 2.9 Short Exposure Excluding IRDs 1.0 1.2 1.6 2.8 6.0 3.3 201 0 6-1 201 201 9 8 6-0 6-0 201 -06 6-0 7 201 201 201 6 201 1.0 0.9 1.0 0.9 0.9 1.0 1.1 1.1 1.1 1.1 1.1 1.1 1.5 1.5 1.5 1.5 1.6 1.6 2.3 2.4 2.4 2.4 2.5 2.4 4.7 4.5 4.8 4.7 4.8 4.9 2.3 2.4 2.4 2.4 2.5 2.5 Short Exposure Including IRDs 201 -05 0.1 0.2 0.6 1.3 3.7 1.5 1.0 0.9 1.0 1.0 0.9 1.0 1.2 1.1 1.2 1.2 1.2 1.2 1.7 1.6 1.7 1.7 1.7 1.7 2.9 2.9 2.9 3.0 2.9 2.9 6.2 6.4 6.4 6.2 6.7 6.5 3.3 3.3 3.4 3.3 3.5 3.6 Long Exposure Excluding IRDs 201 6-0 5 6-0 5 0.1 0.3 0.8 2.1 5.4 2.6 6-0 5 6-0 4 -03 201 6 201 -04 0.0 0.2 0.6 1.3 3.5 1.4 1.0 1.1 1.5 2.5 4.7 2.4 201 -04 -04 0.1 0.3 0.8 2.1 5.4 2.5 1.0 1.2 1.7 3.0 6.4 3.4 201 201 201 6 201 6 6-0 3 6-0 3 0.0 0.2 0.6 1.4 3.1 1.4 1.0 1.1 1.5 2.5 4.7 2.3 201 6 201 201 0.1 0.3 0.8 2.0 5.4 2.5 1.0 1.2 1.7 3.0 6.1 3.3 201 7-0 4 0.1 0.2 0.6 1.3 3.0 1.4 0.9 1.1 1.5 2.2 4.4 2.3 201 6-0 2 6-0 2 0.1 0.3 0.8 2.0 5.6 2.4 6-0 3 201 6 -02 201 6 6-0 2 201 -01 0.1 0.2 0.6 1.3 3.3 1.3 0.9 1.1 1.5 2.2 4.1 2.2 201 -01 5-1 2 0.0 0.2 0.6 1.3 3.1 1.3 1 0.1 0.3 0.8 1.9 5.9 2.3 1.0 1.2 1.6 2.8 6.1 3.3 201 2 6-0 1 201 5-1 5-1 2 5-1 2 201 6 201 0.1 0.3 0.8 1.8 4.7 2.1 201 6-0 1 5-1 0.1 0.2 0.6 1.3 3.5 1.5 0.9 1.1 1.5 2.2 4.2 2.2 0.9 1.1 1.6 2.9 6.7 3.3 7-0 3 0.0 0.2 0.6 1.3 3.4 1.4 201 5-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.2 1.6 2.8 6.1 3.2 201 6 1 0.1 0.3 0.8 2.0 5.6 2.7 201 1 1 201 5-1 5-1 201 0.1 0.3 0.8 1.9 5.3 2.4 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.5 2.2 3.9 2.0 201 1.0 1.1 1.5 2.2 4.1 2.2 1.0 1.2 1.6 2.5 5.2 2.8 201 5-1 5-1 5-1 5-1 201 1.0 1.1 1.5 2.3 4.1 2.2 1.0 1.2 1.7 2.7 5.9 3.3 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.7 2.7 5.8 3.2 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 0 Long Exposure Including IRDs 0.1 0.3 0.6 1.5 4.4 1.8 April 12, 2018 B Analytics Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 Top 10 Advisers (NAV) 17.1 17.1 17.2 17.6 17.4 17.4 17.9 18.1 18.0 18.0 18.0 18.0 18.1 18.1 18.1 18.6 18.6 18.6 18.5 18.5 18.5 18.6 18.6 18.7 Top 20 Advisers (NAV) 26.8 26.9 26.9 27.5 27.3 27.3 27.8 28.0 28.0 27.9 27.9 27.9 27.9 27.9 27.9 28.2 28.2 28.2 28.2 28.2 28.2 28.2 28.1 28.2 25 Top 10 Advisers (GNE) 39.5 40.1 35.7 35.8 38.2 35.9 37.4 38.2 37.1 38.1 38.9 38.7 39.6 40.0 36.8 38.4 39.0 37.3 36.1 36.5 36.3 36.6 37.4 36.3 Top 20 Advisers (GNE) 53.4 54.1 49.8 50.0 51.4 49.1 51.2 51.7 51.0 52.4 52.8 52.8 53.2 53.4 50.8 52.2 52.8 51.1 50.1 50.5 50.5 51.1 52.5 50.9 April 12, 2018 C Analytics Office Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 Futures 7,499 8,896 9,844 8,762 10,272 11,639 8,476 9,577 12,915 7,647 9,563 11,717 8,569 13,406 11,117 11,430 12,332 14,741 11,035 12,042 17,107 11,208 10,895 13,555 Sov. and muni. bonds 2,200 2,136 2,046 2,266 2,441 2,105 2,074 2,590 2,795 2,346 2,514 3,111 2,433 3,481 2,265 2,595 2,749 2,733 1,993 3,002 2,965 2,673 2,932 2,996 Listed equities 7,583 6,658 7,098 2,190 2,239 2,036 1,972 1,969 2,108 1,823 1,874 1,937 1,880 2,230 1,785 1,855 1,870 2,043 1,846 2,189 2,187 2,099 2,385 2,260 Corporate bonds 100 85 70 110 101 119 111 110 99 89 90 104 97 95 70 123 105 125 85 131 115 101 92 108 Convertible bonds 20 16 19 15 15 18 22 17 21 14 19 20 24 19 17 20 21 25 16 25 23 17 21 24 Total 17,403 17,792 19,077 13,343 15,066 15,917 12,655 14,263 17,938 11,919 14,060 16,889 13,003 19,230 15,254 16,023 17,077 19,667 14,976 17,388 22,396 16,098 16,325 18,942 Figure 9: Distributions of Portfolio Turnover (Winsorized, limits=[1%,99%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 27. 7-0 -09 8 9 8 201 201 7 7 7-0 7-0 7-0 7 7-0 201 201 6 201 201 7-0 201 201 7-0 6 7-0 4 -05 201 7 5 7-0 201 7-0 3 201 7-0 4 -03 201 2 201 201 7 0.0 0.1 0.5 2.1 18.3 8.2 -02 0.0 0.1 0.4 1.9 12.3 7.1 7-0 0.0 0.1 0.4 1.8 12.5 6.6 7-0 -01 201 201 7 0.0 0.1 0.4 2.0 15.2 6.5 0.0 0.2 0.5 2.2 19.0 9.1 1 201 7 201 2 6-1 201 201 6-1 2 1 6-1 201 6-1 0 0.0 0.1 0.5 2.4 20.7 7.9 201 6-1 1 9 6-0 201 6-1 0 0.0 0.1 0.4 2.3 19.0 6.9 0.0 0.2 0.6 2.9 19.5 9.4 201 201 6-0 9 0.0 0.1 0.4 1.9 13.9 7.0 0.0 0.1 0.5 2.6 17.8 8.5 201 -08 7 0.0 0.2 0.6 2.5 19.6 9.3 0.0 0.2 0.5 2.2 14.6 7.9 201 6 7 0.0 0.1 0.6 2.7 16.3 7.5 0.0 0.2 0.5 2.4 16.7 8.7 0.0 0.1 0.5 2.1 13.5 7.9 6-0 0.1 0.3 1.1 6.1 59.2 31.7 0.1 0.2 0.7 2.9 18.6 10.2 201 201 6-0 201 6-0 6 0.1 0.3 1.1 5.4 44.7 28.0 0.0 0.1 0.4 2.0 14.3 7.7 0.0 0.1 0.5 1.9 12.7 6.8 26 0.1 0.3 1.0 4.5 42.4 22.6 0.1 0.4 1.4 7.0 55.7 33.9 201 6-0 6 201 6-0 8 -04 201 6-0 5 0.0 0.2 0.5 2.3 12.7 7.6 0.1 0.4 1.4 7.6 51.2 35.0 0.1 0.3 1.3 6.1 43.2 29.6 -04 0.0 0.2 0.6 2.3 10.6 7.5 0.1 0.4 1.3 6.2 50.4 27.7 0.1 0.3 1.2 5.5 42.0 25.6 201 6-0 5 3 201 6 0.0 0.1 0.5 2.1 10.2 7.4 0.1 0.3 1.1 5.1 35.2 22.7 0.1 0.3 1.1 5.6 44.5 26.0 201 6 3 2 201 6-0 2 0.0 0.1 0.5 1.7 9.3 7.6 201 6-0 1 201 6-0 2 5-1 201 5 0.0 0.2 0.4 1.7 8.1 6.4 1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.3 0.4 0.3 0.4 1.3 1.1 1.1 1.2 1.1 1.5 6.2 4.7 5.5 6.2 5.1 6.8 39.1 30.1 35.0 46.5 35.3 51.6 29.1 19.7 24.1 29.8 22.3 32.9 Total Turnover to NAV Ratio 201 6-0 0.1 0.3 1.2 5.1 31.0 24.5 0.0 0.2 0.5 1.9 9.1 6.4 2 6-0 0.1 0.3 1.2 4.8 30.5 20.4 6-0 0.1 0.3 1.4 5.9 32.6 26.3 5-1 201 0.1 0.3 1.3 6.6 28.3 24.9 201 0.0 0.3 1.3 5.4 28.3 23.0 201 5-1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -11 201 0.1 0.3 1.2 4.8 30.9 24.8 -11 0.1 0.3 1.1 4.7 21.3 23.1 201 0 201 5 0.1 0.3 1.2 4.7 23.7 20.5 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5-1 Total Turnover ($ Billions) April 12, 2018 D Analytics Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2015Q4 3,767 1,094 578 90 66 33 21 23 2016Q1 3,878 1,216 619 101 61 30 21 22 2016Q2 3,942 1,198 601 91 62 30 21 22 2016Q3 4,101 1,219 611 91 67 33 19 20 2016Q4 4,074 1,221 530 87 64 46 18 18 2017Q1 4,402 1,707 595 95 80 60 19 20 2017Q2 4,498 1,669 599 102 78 68 22 23 2017Q3 5,088 1,710 713 108 77 67 24 23 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2015Q4 129.0 37.5 19.8 3.1 2.3 1.1 0.7 0.8 2016Q1 134.2 42.1 21.4 3.5 2.1 1.0 0.7 0.8 2016Q2 136.4 41.5 20.8 3.2 2.1 1.0 0.7 0.8 2016Q3 138.4 41.1 20.6 3.1 2.3 1.1 0.6 0.7 27 2016Q4 136.4 40.9 17.8 2.9 2.1 1.5 0.6 0.6 2017Q1 141.8 55.0 19.2 3.1 2.6 1.9 0.6 0.6 2017Q2 143.0 53.1 19.1 3.2 2.5 2.2 0.7 0.7 2017Q3 156.1 52.5 21.9 3.3 2.4 2.1 0.7 0.7 April 12, 2018 Analytics Office Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2015Q4 3,597 259 145 41 30 8 2016Q1 3,637 290 139 42 28 11 2016Q2 3,658 264 129 35 30 13 2016Q3 3,915 263 136 36 35 15 2016Q4 3,863 218 129 37 30 14 2017Q1 4,179 230 130 40 32 17 2017Q2 4,244 229 144 42 35 13 2017Q3 4,823 232 152 45 37 16 2017Q2 135.0 7.3 4.6 1.3 1.1 0.4 2017Q3 148.0 7.1 4.7 1.4 1.1 0.5 Table 34: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2015Q4 123.2 8.9 5.0 1.4 1.0 0.3 2016Q1 125.8 10.0 4.8 1.4 1.0 0.4 2016Q2 126.6 9.1 4.4 1.2 1.0 0.4 28 2016Q3 132.1 8.9 4.6 1.2 1.2 0.5 2016Q4 129.3 7.3 4.3 1.2 1.0 0.5 2017Q1 134.6 7.4 4.2 1.3 1.0 0.5 April 12, 2018 IX A Analytics Office Qualifying Hedge Fund Specific Information Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 1.0 1.3 2.0 3.5 6.8 3.3 1.0 1.2 1.9 3.3 6.8 3.2 1.0 1.3 2.0 3.4 7.3 3.5 1.0 1.2 2.0 3.4 7.1 3.5 1.0 1.2 1.9 3.3 6.8 3.3 1.0 1.2 1.9 3.4 6.9 3.4 -0 9 201 7 -09 8 8 7-0 1.0 1.2 1.9 3.4 6.6 3.4 1.1 1.4 2.2 4.3 9.6 4.7 201 7 7-0 201 7 7-0 201 7 1.1 1.5 2.3 4.6 9.8 5.1 201 201 5 7-0 201 7-0 201 7-0 201 2 7-0 201 1.0 1.3 2.0 3.4 6.9 3.3 1.1 1.5 2.3 4.5 9.7 5.0 7-0 201 7 -0 6 1.1 1.5 2.3 4.4 9.5 4.7 201 201 7 -0 5 1.1 1.6 2.3 4.7 10.3 5.0 7-0 6 201 7-0 4 1.1 1.5 2.3 4.6 10.4 4.9 4 201 7-0 3 1.1 1.5 2.3 4.4 9.6 4.4 3 1 7-0 201 7-0 2 201 7-0 201 6-1 1.0 1.2 1.9 3.3 6.2 3.1 1.1 1.5 2.3 4.6 10.0 4.7 1 1.1 1.6 2.3 4.6 9.7 4.6 2 201 6 -1 2 1.0 1.3 1.9 3.4 7.0 3.3 201 6-1 201 6-1 1.0 1.3 1.9 3.5 6.6 3.3 1 201 6 -1 1 29 1.0 1.2 1.9 3.2 6.4 3.1 0 6 -0 9 1.0 1.3 1.9 3.4 6.5 3.1 201 6-0 201 201 6-0 9 8 201 201 6-1 0 1.0 1.3 1.9 3.3 6.5 3.2 201 6-0 8 1.1 1.5 2.2 4.4 8.3 4.2 6-0 7 1.1 1.6 2.3 4.6 9.5 4.6 201 6 6 1.0 1.2 1.9 3.3 6.0 3.0 1.1 1.5 2.3 4.6 9.4 4.5 6-0 7 201 6-0 1.0 1.3 1.9 3.3 6.4 3.1 1.1 1.1 1.1 1.6 1.6 1.5 2.3 2.3 2.2 4.6 4.6 4.3 9.1 9.3 8.6 4.6 4.6 4.2 Excluding IRDs 201 5 201 6-0 1.1 1.5 2.2 4.3 8.6 4.4 6-0 5 6-0 4 201 6-0 -04 1.0 1.3 1.9 3.3 6.4 3.2 1.1 1.6 2.3 4.6 8.8 4.7 201 201 3 1.0 1.2 1.9 3.1 5.7 2.9 1.1 1.5 2.3 4.6 9.0 4.8 201 6 2 6-0 201 6-0 3 1.0 1.3 1.9 3.2 6.2 3.1 1.1 1.5 2.2 4.3 8.5 4.3 201 201 6-0 1.0 1.3 2.0 3.3 6.3 3.2 2 201 6-0 2 6-0 1 201 1.1 1.6 2.3 4.7 8.9 4.9 201 201 5-1 5-1 1.0 1.2 1.9 3.1 5.6 2.9 1.2 1.6 2.3 4.6 8.7 4.9 6-0 1 1.0 1.3 1.9 3.3 6.4 3.2 2 1 1.1 1.5 2.3 4.1 7.8 4.2 201 5-1 0 1.1 1.3 2.0 3.4 6.5 3.2 201 5-1 201 5-1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.6 2.4 4.5 8.8 4.8 201 201 1.1 1.6 2.4 4.5 8.4 4.8 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 5-1 1 Including Interest Rate Derivatives (IRDs) 1.0 1.2 1.8 3.3 6.7 3.2 April 12, 2018 Analytics Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 30 8 9 7-0 201 7 -0 0.0 0.2 0.6 1.3 3.0 1.4 0.0 0.2 0.6 1.3 3.0 1.3 0.0 0.2 0.6 1.3 3.0 1.3 -09 -09 8 8 0.1 0.3 0.7 1.9 4.3 2.2 1.0 1.1 1.4 2.2 4.1 2.2 0.1 0.3 0.7 1.8 4.3 2.1 201 7-0 9 8 0.1 0.3 0.7 1.9 4.4 2.2 201 7 7-0 7-0 0.1 0.3 0.7 1.9 4.4 2.0 1.0 1.1 1.6 2.7 5.4 2.9 201 7 7 7-0 201 7 7-0 201 7-0 7 1.0 1.1 1.5 2.3 4.3 2.3 201 6 201 201 1.0 1.1 1.4 2.3 4.1 2.2 201 201 7-0 6 1.0 1.2 1.7 2.8 5.7 3.1 201 7-0 0.0 0.2 0.6 1.4 3.1 1.4 1.0 1.2 1.7 2.8 5.7 3.1 201 7-0 7 0.0 0.2 0.6 1.3 3.1 1.4 0.0 0.2 0.6 1.3 3.1 1.3 7-0 7-0 5 201 7-0 6 5 0.1 0.3 0.8 2.0 4.9 2.2 201 7-0 0.1 0.3 0.7 1.9 4.7 2.1 1.0 1.1 1.5 2.2 4.1 2.2 201 -04 201 7-0 5 4 7-0 1.0 1.1 1.5 2.3 4.4 2.3 201 201 1.0 1.1 1.5 2.3 4.3 2.3 201 1.0 1.2 1.6 2.7 5.6 2.9 7-0 4 7-0 3 1.0 1.2 1.7 2.9 6.0 3.1 201 3 7-0 201 2 1.0 1.2 1.7 2.9 6.1 3.0 0.1 0.3 0.7 2.0 5.0 2.1 201 2 0.0 0.2 0.6 1.3 3.1 1.3 201 7 201 3 7-0 201 2 7-0 1.0 1.1 1.5 2.2 4.1 2.2 7-0 0.1 0.3 0.8 2.0 4.9 2.1 7-0 1 7-0 2 201 7-0 1 201 7-0 1 1.0 1.2 1.7 2.8 5.3 2.7 201 7-0 -01 0.0 0.2 0.6 1.4 3.0 1.2 1.0 1.1 1.5 2.3 4.1 2.2 201 2 201 2 201 201 2 6-1 0.0 0.2 0.5 1.4 2.8 1.2 0.1 0.3 0.7 2.0 4.6 1.9 201 7 6-1 201 1 0.1 0.3 0.7 1.8 4.3 1.8 201 0.0 0.2 0.6 1.4 3.1 1.3 1.0 1.1 1.5 2.3 4.1 2.2 2 6-1 1 6-1 6-1 1.0 1.1 1.5 2.2 3.8 2.1 1.0 1.2 1.7 2.9 5.5 2.8 7-0 6 0.0 0.2 0.6 1.4 3.0 1.3 1.0 1.2 1.7 2.9 5.5 2.8 201 7-0 5 0.0 0.2 0.5 1.3 2.8 1.1 201 6-1 0 6-0 9 8 7 6-0 201 0.0 0.2 0.6 1.3 2.8 1.2 201 6-1 1 6-1 1 6-1 201 6-1 0 9 201 6-0 8 -07 6-0 201 201 201 6-0 0.0 0.2 0.6 1.3 2.8 1.2 201 0 6-1 201 201 6-0 9 8 -07 6-0 201 201 6-0 6 201 6 201 6 6-0 6 0.0 0.2 0.5 1.3 2.8 1.1 201 6-0 6 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.3 0.7 0.8 0.8 0.7 0.8 0.7 1.8 1.8 1.8 1.8 2.0 2.0 4.0 4.3 4.3 4.0 4.5 4.5 1.8 1.9 1.9 1.8 1.9 2.0 Short Exposure Excluding IRDs 1.0 1.2 1.6 2.7 4.8 2.6 201 0 6-1 201 201 9 8 6-0 6-0 201 -06 6-0 7 201 201 201 6 201 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.1 1.1 1.5 1.5 1.5 1.5 1.5 1.5 2.2 2.3 2.3 2.2 2.3 2.3 3.6 3.9 3.9 3.8 4.0 4.0 2.1 2.2 2.1 2.1 2.2 2.2 Short Exposure Including IRDs 201 -05 0.0 0.2 0.5 1.2 2.9 1.2 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.2 1.2 1.6 1.6 1.6 1.6 1.7 1.7 2.7 2.8 2.8 2.7 2.8 2.8 5.0 5.2 5.4 5.0 5.3 5.3 2.8 2.8 2.8 2.7 2.8 2.8 Long Exposure Excluding IRDs 201 6-0 5 6-0 5 0.1 0.3 0.8 1.9 4.1 2.0 6-0 5 6-0 4 -03 201 6 201 -04 0.0 0.2 0.6 1.3 3.1 1.2 1.0 1.1 1.5 2.2 3.9 2.1 201 -04 -04 0.1 0.3 0.8 1.9 4.4 2.0 1.0 1.2 1.7 2.8 5.1 2.8 201 201 201 6 201 6 6-0 3 6-0 3 0.0 0.2 0.5 1.2 2.7 1.1 1.0 1.1 1.4 2.2 3.7 2.1 201 6 201 201 0.0 0.3 0.7 1.8 4.2 1.9 1.0 1.2 1.7 2.8 5.4 2.9 201 7-0 4 0.0 0.2 0.6 1.2 2.7 1.1 1.0 1.1 1.4 2.1 3.5 2.0 201 6-0 2 6-0 2 0.1 0.3 0.8 1.9 4.4 2.0 6-0 3 201 6 -02 201 6 6-0 2 201 -01 0.0 0.2 0.6 1.3 2.9 1.2 1.0 1.1 1.5 2.2 3.6 2.1 201 -01 5-1 2 0.0 0.2 0.5 1.2 2.7 1.1 1 0.1 0.3 0.8 1.9 4.3 2.1 1.0 1.2 1.6 2.6 4.6 2.7 201 2 6-0 1 201 5-1 5-1 2 5-1 2 201 6 201 0.1 0.3 0.8 1.8 3.8 1.8 201 6-0 1 5-1 0.0 0.2 0.5 1.3 3.1 1.3 1.0 1.1 1.5 2.2 3.7 2.1 1.0 1.2 1.7 2.7 5.1 3.0 7-0 3 0.0 0.2 0.5 1.3 3.0 1.3 201 5-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.2 1.7 2.8 5.1 3.0 201 6 1 0.1 0.3 0.8 1.9 4.3 2.1 201 1 1 201 5-1 5-1 201 0.1 0.3 0.8 1.9 4.2 2.1 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.4 2.1 3.4 2.0 201 1.0 1.1 1.5 2.2 3.8 2.1 1.0 1.2 1.6 2.5 4.4 2.6 201 5-1 5-1 5-1 5-1 201 1.0 1.1 1.5 2.3 3.8 2.2 1.0 1.2 1.7 2.6 4.8 2.9 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.1 1.2 1.7 2.7 4.9 2.9 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 0 Long Exposure Including IRDs 0.0 0.2 0.5 1.3 3.0 1.3 April 12, 2018 B Analytics Office Gross Exposure by Strategy5 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2015Q4 1,459 925 278 250 6 736 721 490 129 41 38 23 541 474 31 33 2 373 172 111 90 277 249 29 90 *** *** 45 4,242 2016Q1 1,360 865 268 221 5 811 784 547 127 45 38 28 555 486 *** 33 *** 358 170 97 92 356 316 40 98 *** *** 40 4,362 2016Q2 1,367 850 274 237 6 826 781 541 128 42 35 34 595 523 *** 35 *** 325 166 85 75 363 328 35 115 109 6 42 4,415 2016Q3 1,431 878 284 265 5 835 763 517 129 43 38 36 668 599 *** 34 *** 335 172 91 72 267 227 40 123 *** *** 41 4,464 2016Q4 1,408 841 288 273 6 850 701 469 123 41 39 28 697 614 *** 38 *** 324 173 80 71 274 231 43 124 *** *** 43 4,419 2017Q1 1,495 880 310 *** *** 883 717 488 115 41 44 30 702 621 44 35 3 342 172 94 77 283 240 43 140 131 9 42 4,604 2017Q2 1,560 906 330 *** *** 938 784 541 120 48 47 29 661 579 *** 35 *** 353 167 100 86 285 240 45 147 144 3 48 4,775 2017Q3 1,646 926 368 *** *** 971 851 601 119 50 49 31 709 626 *** 38 *** 359 170 100 89 289 240 49 145 143 2 49 5,019 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 31 April 12, 2018 Analytics Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2015Q4 53.3 33.8 10.2 9.1 0.2 26.9 26.4 17.9 4.7 1.5 1.4 0.8 19.8 17.3 1.1 1.2 0.1 13.6 6.3 4.0 3.3 10.1 9.1 1.0 3.3 *** *** 1.6 155.0 2016Q1 51.2 32.6 10.1 8.3 0.2 30.6 29.6 20.6 4.8 1.7 1.4 1.1 20.9 18.3 *** 1.2 *** 13.5 6.4 3.6 3.4 13.4 11.9 1.5 3.7 *** *** 1.5 164.4 32 2016Q2 51.2 31.9 10.3 8.9 0.2 31.0 29.3 20.3 4.8 1.6 1.3 1.3 22.3 19.6 *** 1.3 *** 12.2 6.2 3.2 2.8 13.6 12.3 1.3 4.3 4.1 0.2 1.6 165.4 2016Q3 52.3 32.1 10.4 9.7 0.2 30.5 27.9 18.9 4.7 1.6 1.4 1.3 24.4 21.9 *** 1.3 *** 12.2 6.3 3.3 2.6 9.7 8.3 1.5 4.5 *** *** 1.5 163.1 2016Q4 51.3 30.7 10.5 10.0 0.2 31.0 25.6 17.1 4.5 1.5 1.4 1.0 25.4 22.4 *** 1.4 *** 11.8 6.3 2.9 2.6 10.0 8.4 1.6 4.5 *** *** 1.6 161.2 2017Q1 52.9 31.1 11.0 *** *** 31.2 25.4 17.2 4.1 1.4 1.6 1.1 24.8 22.0 1.6 1.2 0.1 12.1 6.1 3.3 2.7 10.0 8.5 1.5 4.9 4.6 0.3 1.5 162.8 2017Q2 53.8 31.3 11.4 *** *** 32.4 27.1 18.6 4.1 1.6 1.6 1.0 22.8 20.0 *** 1.2 *** 12.2 5.8 3.4 3.0 9.8 8.3 1.6 5.1 5.0 0.1 1.6 164.7 2017Q3 55.0 31.0 12.3 *** *** 32.5 28.4 20.1 4.0 1.7 1.7 1.1 23.7 20.9 *** 1.3 *** 12.0 5.7 3.3 3.0 9.7 8.0 1.6 4.9 4.8 0.1 1.6 167.8 April 12, 2018 C Analytics Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Other Equity Credit Event Driven Managed Futures/CTA Investment in other funds 2015Q4 4.3 2.5 1.7 1.5 1.6 1.6 1.4 1.2 1.1 2016Q1 4.5 2.8 1.9 1.6 1.6 1.5 1.4 1.2 1.1 2016Q2 4.7 3.1 1.8 1.6 1.6 1.5 1.4 1.2 1.1 2016Q3 4.2 3.1 2.4 1.6 1.6 1.6 1.3 1.2 1.1 2016Q4 4.1 3.2 2.4 1.6 1.6 1.5 1.3 1.2 1.1 2017Q1 4.6 3.6 2.3 1.6 1.6 1.6 1.3 1.2 1.1 2017Q2 5.1 3.5 2.2 1.6 1.6 1.6 1.3 1.9 1.0 2017Q3 5.3 3.8 2.1 1.6 1.6 1.5 1.3 1.2 *** Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Relative Value Macro Managed Futures/CTA Multi-Strategy Other Equity Credit Event Driven Investment in other funds 2015Q4 15.0 13.5 10.9 6.1 3.8 3.2 4.1 2.1 1.5 2016Q1 16.1 14.7 9.8 7.0 4.1 3.4 4.1 2.1 1.9 2016Q2 16.9 14.6 7.3 7.1 4.5 3.2 4.0 2.1 1.4 2016Q3 16.9 11.2 8.2 11.0 4.6 3.1 2.9 2.0 1.5 2016Q4 16.4 13.3 7.3 10.1 4.7 3.1 2.7 2.0 1.4 2017Q1 19.1 16.4 8.0 8.0 5.0 3.2 3.3 2.2 1.7 2017Q2 18.3 17.5 9.5 7.9 5.3 3.2 3.0 2.0 1.6 2017Q3 20.9 19.9 8.4 7.7 5.4 3.2 3.1 2.0 *** Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Multi-Strategy Other Relative Value Event Driven Credit Equity Investment in other funds 2015Q4 68.8 44.7 26.3 24.9 27.2 10.9 14.0 13.0 12.1 2016Q1 57.7 44.0 25.5 24.6 27.8 10.0 12.0 13.0 10.3 2016Q2 68.3 42.8 26.4 26.6 27.2 12.0 14.1 13.9 8.4 33 2016Q3 68.8 40.9 26.9 26.8 21.6 11.6 10.9 11.2 6.2 2016Q4 67.7 40.0 28.1 25.7 22.5 11.5 11.7 12.3 5.5 2017Q1 65.5 36.6 25.5 21.6 22.7 8.0 9.8 10.6 3.4 2017Q2 61.2 39.0 22.4 20.6 20.4 11.1 10.9 11.5 6.2 2017Q3 59.0 38.6 25.1 21.5 21.2 10.0 9.9 9.7 *** April 12, 2018 D Analytics Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - G10 (non-US) Securities - Treasuries Securities - Other Bonds Securities - Corp. Bonds Securities - MBS Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2015Q4 705 2,168 699 944 207 239 250 65 82 3,292 2,372 891 705 220 124 970 611 2016Q1 723 2,049 744 1,002 209 250 237 67 79 3,566 2,640 953 732 246 133 1,045 642 2016Q2 734 2,000 723 1,058 233 245 250 63 73 3,645 2,581 1,005 608 290 120 1,060 648 2016Q3 694 2,138 797 1,116 213 251 258 71 76 3,759 2,478 1,081 630 307 138 1,113 668 2016Q4 675 2,116 972 1,139 196 251 227 69 76 3,546 2,442 1,115 598 325 137 1,156 679 2017Q1 681 2,302 1,033 1,144 209 267 245 82 75 4,170 2,649 1,195 640 330 144 1,314 701 2017Q2 684 2,396 1,056 1,108 240 268 240 89 77 3,943 2,724 1,228 687 332 287 1,398 731 2017Q3 690 2,522 1,159 1,156 270 258 253 82 75 4,147 3,069 1,297 805 369 280 1,373 780 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - G10 (non-US) Securities - Treasuries Securities - Other Bonds Securities - Corp. Bonds Securities - MBS Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2015Q4 88.7 69.9 55.8 71.4 70.7 81.0 79.3 94.6 99.1 51.7 48.5 53.1 44.2 51.2 53.3 44.3 90.0 2016Q1 87.0 69.3 56.6 69.6 74.8 80.2 78.7 93.3 99.1 49.6 50.4 53.4 46.0 59.3 57.0 43.3 90.5 2016Q2 88.1 69.2 55.5 66.8 71.6 80.8 76.5 95.2 99.4 50.8 52.5 55.0 44.4 62.2 58.2 43.4 90.5 34 2016Q3 87.2 69.7 53.4 66.6 78.0 82.8 74.7 95.5 99.0 52.8 51.7 55.3 47.3 63.4 60.2 45.3 89.6 2016Q4 86.9 70.1 49.6 68.1 75.4 81.7 76.0 95.2 98.7 51.0 48.5 55.1 48.2 63.4 58.6 48.7 89.0 2017Q1 85.0 70.2 49.2 65.2 78.1 80.9 74.1 95.2 98.0 48.3 50.8 56.2 47.1 64.2 62.6 50.0 87.8 2017Q2 86.9 70.0 50.0 63.2 78.3 79.8 73.5 95.6 98.0 46.8 50.1 55.5 47.6 58.8 55.2 49.4 90.4 2017Q3 88.1 70.3 50.0 62.3 71.4 81.1 71.8 94.1 96.7 47.7 49.7 56.8 47.2 64.0 53.2 51.6 86.7 April 12, 2018 E Analytics Office Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q4 7.1 13.3 25.4 45.4 58.4 72.9 2016Q1 7.7 14.0 27.4 47.0 60.4 75.3 2016Q2 7.9 14.0 27.3 46.7 60.1 75.5 2016Q3 8.3 14.3 26.4 47.3 61.8 74.6 2016Q4 8.1 14.1 26.5 49.7 58.9 74.2 2017Q1 8.4 14.4 28.6 47.6 59.8 74.2 2017Q2 8.3 14.6 27.2 46.8 59.5 74.0 2017Q3 8.4 14.8 27.6 48.3 61.7 73.6 Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q4 41.0 64.7 78.3 85.1 89.0 92.0 2016Q1 41.6 65.7 78.5 84.6 88.0 91.4 2016Q2 41.6 65.1 78.0 84.1 87.8 91.2 2016Q3 40.1 63.9 77.3 83.8 87.3 90.7 2016Q4 40.1 63.4 76.7 83.1 86.4 89.8 2017Q1 38.3 61.6 76.1 82.2 85.8 89.6 2017Q2 38.6 62.4 76.5 82.6 86.2 89.8 2017Q3 38.0 61.9 76.1 82.4 85.9 89.3 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2017 Statistic Port. Liquidity Inv. Liquidity At most 1 day 38.0 8.4 At most 7 days 61.9 14.8 At most 30 days 76.1 27.6 At most 90 days 82.4 48.3 At most 180 days 85.9 61.7 At most 365 days 89.3 73.6 Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Gated Suspended 2015Q4 2,200 1,370 37 33 14 2016Q1 2,122 1,289 38 29 14 2016Q2 2,141 1,307 37 27 16 2016Q3 2,178 1,330 38 30 16 35 2016Q4 2,154 1,290 38 27 19 2017Q1 2,222 1,338 39 27 27 2017Q2 2,275 1,362 38 28 27 2017Q3 2,337 1,394 39 30 22 April 12, 2018 Analytics Office Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q4 1.0 2.0 6.0 17.5 27.0 13.0 2016Q1 1.0 2.0 6.0 16.2 28.0 12.9 2016Q2 1.0 3.0 6.0 19.0 29.0 13.6 2016Q3 1.0 3.0 6.0 20.5 31.0 15.5 36 2016Q4 1.0 3.0 7.0 19.8 31.0 15.6 2017Q1 1.0 3.0 8.0 21.5 32.0 16.7 2017Q2 1.0 2.0 7.0 22.0 46.0 16.7 2017Q3 1.0 2.0 7.0 23.0 46.0 17.3 April 12, 2018 F Analytics Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2015Q4 1,894 1,025 603 266 10 1,904 2016Q1 1,942 977 696 269 10 1,952 2016Q2 1,939 980 692 267 9 1,948 2016Q3 2,079 1,084 729 267 11 2,090 2016Q4 2,057 1,087 675 295 12 2,069 2017Q1 2,239 1,186 739 313 14 2,253 2017Q2 2,391 1,265 795 331 11 2,402 2017Q3 2,437 1,371 721 345 12 2,448 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2015Q4 63.7 35.8 *** *** 2016Q1 62.8 36.7 0.4 0.1 2016Q2 62.3 37.3 0.3 0.1 2016Q3 64.7 34.8 0.3 0.2 2016Q4 63.2 36.3 0.3 0.1 2017Q1 61.2 38.4 *** *** 2017Q2 61.1 38.5 0.3 0.1 2017Q3 61.4 38.3 *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2015Q4 1,314 837 476 633 475 157 314 240 75 2,261 2016Q1 1,253 801 452 718 547 171 320 240 79 2,291 2016Q2 1,229 776 454 711 518 194 308 230 78 2,249 37 2016Q3 1,339 861 478 774 574 200 312 236 77 2,426 2016Q4 1,334 857 477 691 451 241 349 210 139 2,375 2017Q1 1,467 949 518 783 517 266 384 254 130 2,634 2017Q2 1,545 1,022 522 786 506 281 407 251 156 2,738 2017Q3 1,674 1,151 523 734 478 256 423 265 158 2,831 April 12, 2018 Analytics Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Question 43 (Third Month). 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.5 1.7 1.3 1.0 1.0 1.1 1.4 1.7 1.2 38 1.0 1.0 1.1 1.4 1.7 1.3 1.0 1.0 1.0 1.4 1.6 1.2 *** *** *** *** *** *** 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.4 1.7 1.2 1.0 1.0 1.1 1.4 1.6 1.3 1.0 1.0 1.1 1.4 1.6 1.3 -0 9 201 7 -0 9 0.8 1.0 1.2 2.2 4.7 3.1 -09 8 8 8 7-0 201 1.0 1.0 1.1 1.4 1.6 1.3 201 7 7-0 7-0 7 0.7 1.0 1.3 2.2 4.6 3.1 0.8 1.0 1.2 2.0 4.0 2.5 201 7 7-0 7 7-0 201 201 0.7 1.0 1.3 2.1 4.4 2.8 201 7-0 201 5 7-0 201 7-0 7-0 201 2 7-0 201 1.0 1.0 1.0 1.3 1.6 1.2 201 201 7-0 7-0 201 1.0 1.0 1.0 1.3 1.6 1.2 201 201 7 -0 6 0.7 1.0 1.2 2.2 4.7 2.9 7 201 7 -0 5 0.7 1.0 1.3 2.3 4.8 3.4 7-0 201 7 -0 6 201 7-0 4 0.7 1.0 1.2 2.1 4.5 2.8 0.8 1.0 1.3 2.0 4.0 2.5 201 201 7 -0 5 201 7-0 3 0.7 1.0 1.2 2.1 4.5 4.1 0.8 1.0 1.2 2.0 4.0 2.5 6 201 7-0 4 201 7-0 2 0.7 1.0 1.2 2.1 4.5 3.6 0.7 1.0 1.3 2.3 5.7 5.0 4 201 7-0 3 0.8 1.0 1.2 2.0 4.5 2.6 3 0.8 1.0 1.3 2.0 4.6 2.9 1 1 0.8 1.0 1.2 1.9 4.1 2.4 7-0 201 7-0 2 0.8 1.0 1.3 2.1 4.3 2.7 2 6-1 201 1 6-1 0 6-1 1.0 1.0 1.0 1.4 1.7 1.2 201 201 201 6-0 9 8 6-0 201 -07 201 6 6-0 6 1.0 1.0 1.1 1.4 1.7 1.2 0.8 1.0 1.2 1.9 4.2 2.6 201 201 6 -1 2 201 6 -1 1 201 6-1 0 6 -0 9 201 201 6-0 8 6 6-0 7 201 201 6-0 5 1.0 1.0 1.1 1.5 1.7 1.2 201 6-0 5 0.7 0.7 0.7 0.7 0.7 0.8 0.7 0.7 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.2 1.2 1.3 1.2 2.1 2.1 2.0 2.0 1.9 2.0 2.0 2.2 4.4 4.5 4.0 4.3 4.1 4.4 4.6 5.1 2.6 2.4 2.2 2.6 2.8 2.8 3.2 3.6 Ratio of Collateral/Reverse Repo Borrowing 0.8 1.0 1.3 2.1 4.8 4.2 1 201 6 -1 2 201 6 -1 1 6 -0 9 201 6-1 0 201 201 6-0 8 6 6-0 7 201 5 201 6-0 201 6-0 3 6-0 4 1.0 1.0 1.1 1.5 1.7 1.2 201 6-0 6-0 4 -04 0.8 1.0 1.2 2.1 4.3 2.4 0.8 0.8 0.8 0.8 0.8 0.8 0.8 0.8 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.3 1.3 1.2 1.2 1.2 1.2 1.2 1.2 1.9 1.9 1.9 1.9 1.9 1.9 1.9 2.0 3.5 3.8 3.5 3.8 4.0 3.6 3.7 4.3 2.1 2.1 1.9 2.2 2.3 2.2 2.5 2.7 Ratio of Collateral/Prime Broker Borrowing 201 201 201 3 1.0 1.0 1.1 1.4 1.7 1.2 0.9 1.0 1.2 1.9 3.7 2.1 201 6 6-0 201 6-0 201 0.8 1.0 1.2 2.1 4.4 2.5 6-0 3 2 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.2 1.9 3.9 2.3 201 6-0 2 -01 1.0 1.0 1.1 1.4 1.6 1.2 0.8 1.0 1.2 2.1 4.8 2.5 201 0.8 1.0 1.3 2.1 4.7 2.5 2 201 6-0 201 6-0 6-0 1 6-0 1 201 0.8 1.0 1.2 1.9 4.0 2.2 201 2 5-1 2 201 1 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.2 1.9 4.1 2.3 201 6 0.8 1.0 1.3 2.2 4.5 2.4 2 201 5-1 201 5-1 5-1 1 1 5-1 201 0.8 1.0 1.3 2.2 5.0 2.5 5-1 5-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.3 2.0 4.1 2.6 201 201 5 0.8 1.0 1.3 2.2 4.9 2.8 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.3 2.0 4.0 2.3 201 0.8 1.0 1.3 1.9 4.0 2.4 -10 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5 -10 Ratio of Total Collateral/Total Secured Borrowing 1.0 1.0 1.0 1.4 1.6 1.5 April 12, 2018 Analytics Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q4 31.0 38.8 66.2 77.7 89.0 98.3 2016Q1 43.3 52.7 66.5 81.8 96.1 97.6 2016Q2 43.5 52.8 65.8 81.7 95.9 97.4 2016Q3 37.1 53.6 65.2 80.8 96.0 97.5 2016Q4 35.8 48.1 64.0 81.0 95.9 97.3 2017Q1 36.3 52.9 65.0 80.2 95.9 97.3 2017Q2 34.6 53.3 65.3 80.8 96.1 97.4 2017Q3 35.3 51.7 64.0 79.2 95.9 97.3 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of Third Calendar Quarter 2017. Statistic Financing Liquidity G At most 1 day 35.3 At most 7 days 51.7 At most 30 days 64.0 At most 90 days 79.2 At most 180 days 95.9 At most 365 days 97.3 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2015Q4 17.9 18.6 2016Q1 18.1 18.3 2016Q2 17.4 17.3 2016Q3 16.3 17.6 39 2016Q4 17.5 16.7 2017Q1 16.3 17.4 2017Q2 16.7 17.2 2017Q3 16.4 16.7 April 12, 2018 H Analytics Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q4 623 233 203 194 38 1,017 2016Q1 622 240 196 192 38 975 2016Q2 626 237 188 190 41 980 2016Q3 622 239 185 193 46 995 2016Q4 631 234 196 196 42 1,019 2017Q1 640 238 202 190 44 1,031 2017Q2 652 249 207 190 45 1,065 2017Q3 651 270 190 186 43 1,064 Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q4 3,020 1,554 633 729 333 1,979 2016Q1 3,079 1,602 648 729 317 1,912 2016Q2 3,205 1,688 628 756 321 1,896 2016Q3 3,267 1,762 640 746 344 1,976 2016Q4 3,225 1,700 645 731 373 1,992 2017Q1 3,428 1,829 862 737 425 2,064 2017Q2 3,516 1,798 947 760 457 2,199 2017Q3 3,624 1,900 940 767 489 2,264 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q4 1,305 482 356 468 91 1,431 2016Q1 1,270 463 346 457 88 1,384 2016Q2 1,293 483 336 449 90 1,376 40 2016Q3 1,308 501 340 462 94 1,428 2016Q4 1,303 479 352 459 94 1,439 2017Q1 1,345 491 403 465 95 1,482 2017Q2 1,377 504 424 474 94 1,522 2017Q3 1,405 561 394 477 94 1,586 April 12, 2018 I Analytics Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q4 541 456 82 561 2016Q1 538 444 84 531 2016Q2 545 454 81 526 2016Q3 547 447 75 548 2016Q4 555 453 76 566 2017Q1 548 451 92 580 2017Q2 558 457 94 608 2017Q3 557 467 94 597 Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q4 2,799 1,041 221 938 2016Q1 2,861 1,011 218 901 2016Q2 3,001 1,008 204 888 2016Q3 3,088 1,030 179 946 2016Q4 3,045 1,001 179 992 2017Q1 3,189 1,076 240 989 2017Q2 3,244 1,114 271 1,084 2017Q3 3,388 1,178 236 1,086 Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q4 1,165 694 140 736 2016Q1 1,144 669 125 715 2016Q2 1,162 666 131 710 2016Q3 1,191 666 117 762 41 2016Q4 1,185 661 117 779 2017Q1 1,199 683 146 799 2017Q2 1,230 673 147 849 2017Q3 1,248 712 158 874 April 12, 2018 Analytics Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q4 74.4 92.2 99.4 100.0 100.0 100.0 2016Q1 81.2 96.0 99.7 100.0 100.0 100.0 2016Q2 77.4 96.0 99.7 100.0 100.0 100.0 2016Q3 80.1 98.3 99.9 100.0 100.0 100.0 2016Q4 80.9 97.3 99.6 99.8 99.9 100.0 2017Q1 78.0 95.5 99.7 100.0 100.0 100.0 2017Q2 79.6 95.2 99.5 99.8 99.9 99.9 2017Q3 79.1 95.5 99.5 99.7 99.8 99.9 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2016Q1 232 200 0 0 2016Q2 241 207 0 0 2016Q3 232 199 0 0 2016Q4 253 220 0 0 2017Q1 246 215 0 0 2017Q2 255 224 0 0 2017Q3 261 227 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 8 7-0 9 7 201 201 201 201 201 201 7-0 201 7-0 201 7-0 5 6 4 7-0 201 7-0 201 7-0 3 2 1 7-0 201 6-1 201 7-0 2 1 0 6-1 9 201 6-0 201 6-1 8 7 6-0 6 201 6-0 5 201 6-0 4 201 6-0 201 6-0 2 3 201 6-0 1 201 6-0 2 201 6-0 201 5-1 5-1 201 Statistic Average WAM Asset-Weighted WAM 201 5-1 0 1 As reported on Form PF, Questions 55. 33.7 39.1 32.2 40.2 30.9 42.4 33.4 43.5 34.5 49.3 36.3 49.6 33.1 45.6 30.2 41.6 30.5 42.1 29.0 41.2 28.3 44.8 30.7 44.8 28.9 42.2 28.3 43.0 29.0 39.3 34.5 42.9 32.0 42.1 31.7 40.3 33.4 41.4 29.0 40.6 29.6 40.8 32.8 42.1 30.6 38.8 31.1 37.4 Figure 18: Weighted-Average Life of Section 3 Liquidity Funds (Days) 9 8 201 201 7-0 201 7-0 7 201 7-0 201 7-0 6 5 4 201 7-0 3 201 7-0 201 7-0 201 7-0 2 1 201 7-0 2 1 201 6-1 0 201 6-1 9 201 6-1 201 6-0 6-0 201 6-0 8 6 7 5 6-0 201 6-0 201 59.7 69.1 55.4 68.7 61.4 70.8 61.7 73.6 63.3 74.0 81.9 81.1 79.6 76.7 80.1 78.8 78.2 78.3 77.8 85.6 74.5 82.6 62.0 78.9 61.1 78.4 61.5 70.4 67.5 74.3 65.1 76.8 65.2 77.5 68.5 81.2 64.1 79.4 58.8 74.0 67.9 77.0 63.8 73.8 63.7 71.7 6-0 201 4 3 6-0 201 2 1 6-0 201 6-0 201 2 1 60.1 64.6 5-1 201 5-1 5-1 201 Statistic Average WAL Asset-Weighted WAL 201 0 As reported on Form PF, Questions 55. Figure 19: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 7 4 9 1.07 0.83 7-0 0.90 0.70 201 0.88 0.69 8 0.66 0.63 7-0 0.48 0.54 201 0.47 0.53 6 0.54 0.49 7-0 0.46 0.44 7-0 0.47 0.43 201 0.50 0.43 5 0.49 0.43 7-0 0.45 0.43 201 0.42 0.42 7-0 0.41 0.39 201 0.38 0.36 201 3 7-0 201 2 7-0 201 1 7-0 2 201 6-1 201 6-1 201 1 0 6-1 201 9 201 0.32 0.31 42 6-0 8 6-0 201 6-0 7 6 201 6-0 201 5 6-0 201 4 3 0.22 0.22 6-0 201 6-0 2 6-0 201 1 201 6-0 201 2 5-1 1 0.20 0.19 5-1 201 Statistic Average Gross Yield Asset-Weighted Gross Yield 201 5-1 0 As reported on Form PF, Questions 55. 201 B 2015Q4 268 235 0 0 0.84 0.88 0.82 0.91 0.95 1.03 3.32 1.12 1.03 1.12 1.03 1.13 April 12, 2018 Analytics Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 8 201 7-0 9 7 46.80 51.92 49.53 52.41 43.19 49.64 43.06 51.95 45.35 53.09 45.84 51.00 45.96 48.27 45.05 46.95 45.43 45.25 43.59 48.03 43.11 46.92 44.43 47.54 44.65 45.72 43.97 45.71 7-0 201 6 201 7-0 5 47.42 55.51 7-0 201 4 201 45.16 51.56 7-0 201 7-0 3 7-0 201 2 1 7-0 201 2 7-0 201 1 201 6-1 201 6-1 0 9 6-1 201 6-0 8 6-0 201 6-0 201 7 6 201 5 6-0 201 4 46.28 52.78 6-0 201 3 45.79 50.43 6-0 201 45.91 53.39 6-0 47.72 56.74 6-0 201 2 1 45.12 53.51 6-0 201 2 201 46.75 49.69 5-1 201 48.63 53.32 5-1 201 46.94 50.41 5-1 201 Statistic Average DLA Asset-Weighted DLA 1 0 As reported on Form PF, Questions 55. Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -09 8 201 7 7 201 7-0 6 201 7-0 5 59.29 60.06 59.10 56.93 60.73 58.18 59.23 55.67 58.12 56.92 58.54 59.65 58.54 57.36 58.62 56.45 58.70 58.38 7-0 201 7-0 4 59.88 62.29 7-0 201 57.36 60.37 7-0 201 57.37 57.65 7-0 201 61.64 60.22 7-0 201 3 2 1 2 201 1 201 6-1 0 57.95 60.07 6-1 201 57.02 63.11 43 6-1 9 6-0 201 8 6-0 201 7 55.00 59.26 6-0 201 6 6-0 201 5 201 56.13 60.48 6-0 201 4 3 54.48 57.80 6-0 53.86 59.62 6-0 201 2 56.31 61.85 6-0 201 1 53.45 60.12 6-0 201 2 201 56.34 56.58 5-1 201 58.12 58.96 5-1 201 56.97 57.72 5-1 201 Statistic Average WLA Asset-Weighted WLA 1 0 As reported on Form PF, Questions 55. April 12, 2018 C Analytics Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None 2015Q4 63.4 61.0 61.0 61.0 56.1 34.1 2016Q1 61.1 58.3 52.8 58.3 47.2 36.1 2016Q2 64.9 62.2 54.1 62.2 48.6 32.4 2016Q3 61.1 58.3 55.6 58.3 50.0 36.1 2016Q4 59.1 56.8 56.8 56.8 50.0 38.6 2017Q1 57.8 55.6 55.6 55.6 48.9 40.0 2017Q2 59.6 55.3 55.3 55.3 48.9 38.3 2017Q3 56.5 52.2 52.2 52.2 45.7 41.3 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None D 2015Q4 22.4 22.4 22.3 22.3 21.5 77.4 2016Q1 16.2 16.2 10.8 16.0 10.0 83.6 2016Q2 17.9 17.9 11.3 17.7 10.4 82.0 2016Q3 13.5 13.5 12.2 13.5 11.0 86.1 2016Q4 14.4 13.8 13.6 13.6 11.8 85.5 2017Q1 15.5 14.9 14.8 14.8 12.8 84.3 2017Q2 15.9 14.9 14.7 14.7 12.8 84.0 2017Q3 15.9 14.9 15.0 15.0 12.8 83.9 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2015Q4 *** *** 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** 2016Q4 81.8 18.2 2017Q1 80.0 20.0 2017Q2 78.7 21.3 2017Q3 78.3 21.7 Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2015Q4 *** *** 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** 44 2016Q4 69.9 30.1 2017Q1 71.4 28.6 2017Q2 68.3 31.7 2017Q3 70.2 29.8 April 12, 2018 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 As reported on Form PF, Question 56. Product Type U.S. Treasuries Other Deposits Repo - Govt. Collateral Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 2015Q4 80.5 51.3 42.7 33.1 34.1 13.9 7.4 8.7 0.5 2016Q1 79.7 39.2 32.6 30.9 22.8 12.8 *** 5.5 *** Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 3 3 67.5 30.7 71.5 14.9 35.6 47.3 24.3 4.2 4.7 73.3 42.4 73.4 15.5 38.8 37.2 24.0 4.2 3.0 77.6 63.8 65.8 33.1 40.4 31.2 25.9 4.1 2.5 76.5 61.9 69.1 30.4 43.1 26.3 23.8 3.9 2.1 75.0 53.7 64.2 30.3 45.5 24.2 23.6 4.9 0.8 7-0 62.8 31.1 66.2 11.4 36.3 52.4 24.5 5.3 6.1 7-0 201 2 1 201 55.3 33.7 64.8 6.4 26.9 35.9 22.8 5.9 1.1 7-0 201 -12 201 6 1 55.5 31.6 67.2 *** 26.0 41.7 20.2 5.0 *** 6-1 201 0 58.6 29.3 70.3 *** 27.1 36.6 19.0 5.9 *** 6-1 9 201 55.3 30.4 69.9 *** 25.5 35.6 16.8 5.2 *** 6-0 201 8 201 57.5 28.0 67.1 *** 26.6 40.8 14.0 4.2 *** 6-0 201 6-0 7 6-0 6 5 201 Product Type Deposits Other U.S. Treasuries Repo - Other Collateral Commercial Paper Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt 6-0 51.1 24.0 66.8 *** 28.0 42.8 12.8 4.4 *** 6-0 201 4 As reported on Form PF, Question 63. 201 Table 63: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 3 of 3 9 201 7-0 8 201 7-0 7 7-0 201 6 201 7-0 Product Type Deposits Other U.S. Treasuries Repo - Other Collateral Commercial Paper Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt 5 7-0 82.0 55.2 66.1 41.1 40.5 26.4 26.7 5.0 1.5 81.4 66.4 62.8 46.4 44.8 34.9 25.2 5.3 1.6 77.3 67.2 57.5 35.4 41.3 34.8 21.3 6.0 1.1 83.5 62.8 61.5 38.6 45.9 32.7 22.0 4.5 1.3 83.2 60.6 56.6 46.6 45.1 30.9 21.8 4.0 1.1 79.7 62.1 55.3 48.8 45.2 32.5 23.9 5.8 1.1 7-0 201 4 As reported on Form PF, Question 63. 201 E Analytics Office 45 April 12, 2018 XI A Analytics Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 64: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Oil & Gas Extraction Software Publishers Electric Power Generation, Transmission & Distribution Telecommunications Data Processing Services Pipeline Transportation Other Insurance Related Activities Data Processing, Hosting, & Related Services Other Information Services Other Financial Vehicles Other Financial Investment Activities Custom Computer Programming Services Pharmaceutical & Medicine Mfg Management, Scientific, & Technical Consulting Services Investigation & Security Services Educational Services Insurance Agencies & Brokerages Activities Related to Credit Intermediation Computer Systems Design Services 46 2013Q4 7.9 2.9 3.8 2.6 2.5 0.9 2.9 2.0 0.4 2.0 0.9 1.0 1.0 0.5 1.1 0.9 1.2 0.5 2014Q4 7.8 3.8 3.9 2.5 2.6 1.0 2.3 2.1 0.4 1.8 1.0 1.3 1.2 0.5 1.1 1.0 1.2 0.8 2015Q4 5.8 4.9 3.7 2.7 2.4 1.0 1.8 1.9 0.6 1.8 1.5 1.5 1.1 0.7 1.3 1.0 1.4 0.6 2016Q4 6.7 6.1 4.1 2.3 2.2 2.0 2.0 1.8 1.8 1.7 1.5 1.4 1.3 1.2 1.2 1.2 1.0 1.0 April 12, 2018 B Analytics Office CPC Financial Leverage Figure 22: Ratio of Portfolio Company Current to Total Liabilities (Percent) As reported on Form PF, Questions 71 and 72. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 0.7 1.8 5.8 20.0 49.4 17.2 2014Q4 0.6 1.4 5.4 18.1 51.0 16.4 2015Q4 0.7 1.7 6.0 20.0 49.9 16.7 2016Q4 0.8 1.9 6.9 20.7 54.3 17.5 Figure 23: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) As reported on Form PF, Questions 73. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 1.0 4.0 9.0 18.0 33.0 14.8 2014Q4 2.0 3.0 9.0 23.0 40.0 17.0 47 2015Q4 2.0 4.0 9.0 22.0 48.0 18.3 2016Q4 2.0 4.0 9.0 22.0 48.0 18.6 April 12, 2018 C Analytics Office CPC Investments by Region and Country Table 65: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 5,274 1,423 571 75 65 25 20 8 2014Q4 4,501 1,259 462 85 67 9 12 12 2015Q4 4,132 941 447 58 23 21 12 9 2016Q4 3,942 848 406 111 37 22 18 15 Table 66: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 70.7 19.1 7.6 1.0 0.9 0.3 0.3 0.1 2014Q4 70.2 19.6 7.2 1.3 1.0 0.1 0.2 0.2 48 2015Q4 73.2 16.7 7.9 1.0 0.4 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 2.0 0.7 0.4 0.3 0.3 April 12, 2018 Analytics Office Table 67: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 5,035 171 63 45 233 3 2014Q4 4,300 186 83 58 98 2 2015Q4 3,943 173 89 41 85 5 2016Q4 3,775 114 92 88 79 4 Table 68: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 67.5 2.3 0.8 0.6 3.1 0.0 49 2014Q4 67.1 2.9 1.3 0.9 1.5 0.0 2015Q4 69.9 3.1 1.6 0.7 1.5 0.1 2016Q4 69.9 2.1 1.7 1.6 1.5 0.1 April 12, 2018 XII A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 50 April 12, 2018 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. 51 April 12, 2018 B Analytics Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While REO staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 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. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 52 April 12, 2018 D 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. 53 April 12, 2018 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. 54 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A888dc4cae6aecb1d. Public record. Not legal advice.