# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Aa76bbc0e19c356b3 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Second Calendar Quarter 2023 January 9, 2024 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. January 9, 2024 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 Third Calendar Quarter 2021 through Second Calendar Quarter 2023 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 Second Calendar Quarter 2023 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “Second Calendar Quarter 2023-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. 1 Contents I II III IV V VI Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fund Domiciles and Adviser Main Offices Beneficial Ownership A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Derivatives 5 5 8 10 11 13 15 15 16 17 18 19 20 Additional Hedge Fund Industry Information A High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . D Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . 21 21 22 24 26 VII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 28 30 31 32 VIII Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 34 36 38 39 41 42 44 46 47 2 January 9, 2024 J K Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 49 A B C D E Section 3 Liquidity Fund Specific Information Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 51 51 53 53 54 A B C Section 4 Private Equity Fund Specific Information CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 55 55 56 57 Appendices Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 59 59 59 60 60 60 61 61 62 IX X XI Analytics Office A 3 January 9, 2024 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 Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 15,866 9,497 5,309 5,352 3,289 1,419 1,910 2,016 77 57 37,410 2021Q4 19,082 9,458 6,548 6,046 3,783 2,211 2,243 2,074 79 56 42,902 2022Q1 18,961 9,645 6,646 6,286 3,778 2,228 2,251 2,094 79 54 43,228 2022Q2 19,001 9,749 6,644 6,275 3,781 2,286 2,257 2,061 79 52 43,428 2022Q3 19,054 9,783 6,644 6,277 3,781 2,287 2,257 2,040 78 51 43,517 2022Q4 20,878 9,791 7,471 6,744 4,269 2,988 2,458 2,072 71 50 47,199 2023Q1 20,920 9,850 7,381 6,887 4,270 2,991 2,467 2,044 70 50 47,455 2023Q2 20,933 9,854 7,464 6,844 4,272 3,000 2,471 2,088 69 50 47,443 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 Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 1,458 1,762 369 682 388 176 165 596 37 24 3,389 2021Q4 1,638 1,861 434 738 427 234 176 620 39 24 3,676 2022Q1 1,636 1,860 435 738 428 236 175 609 39 23 3,676 2022Q2 1,640 1,863 435 734 430 238 175 601 39 22 3,680 2022Q3 1,642 1,861 436 732 430 239 173 585 39 21 3,675 2022Q4 1,753 1,859 452 759 459 283 177 592 34 21 3,794 2023Q1 1,756 1,860 450 763 459 285 175 576 33 21 3,799 2023Q2 1,756 1,859 452 765 460 286 174 590 33 21 3,798 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 January 9, 2024 Analytics Office II Gross and Net Assets A Aggregate Assets by Fund Type over Time Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 9,784 8,309 4,826 3,674 1,438 812 729 222 310 308 18,120 2021Q4 9,763 8,333 6,409 4,962 1,748 972 869 330 318 316 20,407 2022Q1 9,777 8,267 6,384 4,949 1,766 967 869 333 318 314 20,414 2022Q2 9,435 7,922 6,397 4,949 1,740 969 868 334 335 331 20,076 2022Q3 9,275 7,694 6,402 4,949 1,716 975 869 334 335 331 19,904 2022Q4 9,362 7,827 6,705 5,272 1,643 1,138 921 375 321 319 20,466 2023Q1 9,505 8,000 6,641 5,215 1,602 1,137 924 374 320 319 20,502 2023Q2 9,904 8,438 6,652 5,228 1,574 1,136 922 374 332 330 20,893 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 5,115 4,166 4,271 3,283 1,274 615 220 215 302 300 12,011 2021Q4 5,134 4,191 5,746 4,489 1,559 745 264 310 313 311 14,071 2022Q1 5,153 4,149 5,729 4,483 1,582 744 265 313 313 309 14,098 5 2022Q2 4,918 3,879 5,738 4,483 1,557 745 264 314 327 324 13,865 2022Q3 4,856 3,772 5,742 4,483 1,534 750 264 314 331 327 13,792 2022Q4 4,823 3,795 6,022 4,772 1,413 858 264 342 318 316 14,041 2023Q1 4,864 3,881 5,965 4,720 1,370 858 265 341 313 311 13,975 2023Q2 4,918 3,939 5,976 4,730 1,343 858 265 341 319 317 14,020 January 9, 2024 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) 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 0.3 0.2 0.2 0.2 0.2 0.2 0.7 0.7 0.6 0.6 0.6 0.6 1.4 1.4 1.4 1.3 1.2 1.2 3.1 3.0 3.0 2.8 2.8 2.6 7.0 6.8 6.6 6.3 6.3 6.1 4.1 4.0 3.9 3.8 3.8 3.8 Qualifying Hedge Fund NAV ($ Billions) 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 0.2 0.2 0.2 0.2 0.1 0.1 0.6 0.5 0.5 0.5 0.5 0.5 1.0 1.0 1.0 0.9 0.9 0.9 2.0 2.0 2.0 1.8 1.8 1.8 4.7 4.5 4.4 4.1 3.9 3.9 2.1 2.0 2.0 1.9 1.8 1.8 Section 4 Private Equity Fund GAV ($ Billions) 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 0.5 0.5 0.5 0.5 0.5 0.5 1.5 1.6 1.6 1.6 1.6 1.6 0.7 0.8 0.7 0.7 0.7 0.7 Section 4 Private Equity Fund NAV ($ Billions) 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 0.5 0.5 0.5 0.5 0.5 1.3 1.4 1.4 1.4 1.4 1.4 0.6 0.7 0.7 0.7 0.7 0.6 6 2023Q1 0.2 0.6 1.3 2.8 6.4 3.9 2023Q2 0.2 0.6 1.3 2.8 6.5 4.0 2023Q1 0.1 0.5 0.9 1.9 4.0 1.9 2023Q2 0.2 0.5 0.9 1.9 4.0 1.9 2023Q1 0.0 0.0 0.1 0.5 1.6 0.7 2023Q2 0.0 0.0 0.1 0.5 1.6 0.7 2023Q1 0.0 0.0 0.1 0.5 1.4 0.6 2023Q2 0.0 0.0 0.1 0.5 1.4 0.6 January 9, 2024 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 2021Q3 1.0 1.0 1.0 1.1 2.1 1.8 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 1.0 1.0 1.1 1.6 2.7 1.6 All Private Funds 2021Q4 2022Q1 2022Q2 2022Q3 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 1.1 2.0 2.0 2.0 2.0 1.7 1.7 1.7 1.7 Qualifying Hedge Funds 2021Q4 2022Q1 2022Q2 2022Q3 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.2 1.6 1.6 1.6 1.6 2.7 2.8 2.6 2.6 1.6 1.6 1.6 1.6 7 2022Q4 1.0 1.0 1.0 1.1 2.0 1.9 2023Q1 1.0 1.0 1.0 1.1 2.0 1.9 2023Q2 1.0 1.0 1.0 1.1 2.0 1.9 2022Q4 1.0 1.0 1.1 1.6 2.6 1.6 2023Q1 1.0 1.0 1.1 1.6 2.6 1.6 2023Q2 1.0 1.0 1.1 1.6 2.6 1.6 January 9, 2024 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 Other Private Fund Section 4 Private Equity Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2021Q3 49.8 44.6 41.3 14.0 3.9 4.9 4.7 0.5 0.0 0.0 2021Q4 52.4 45.6 42.1 13.2 3.5 5.4 5.5 0.7 0.0 0.0 2022Q1 49.7 43.2 39.8 12.3 3.6 5.5 5.5 0.7 0.0 0.0 2022Q2 49.3 43.3 39.7 12.2 3.5 5.4 5.5 0.7 0.0 0.0 2022Q3 49.4 43.4 39.9 12.5 3.7 5.4 5.5 0.7 0.0 0.0 2022Q4 56.5 44.4 40.7 14.0 5.6 5.7 5.7 0.6 0.0 0.0 2023Q1 53.7 46.9 43.2 13.2 5.8 5.8 5.6 0.6 0.0 0.0 2023Q2 53.7 48.0 44.1 13.2 5.9 5.8 5.6 0.6 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 2021Q3 0.0 0.0 0.0 0.3 0.6 0.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 0.0 0.1 0.4 1.3 4.1 3.0 All Private Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 0.3 0.3 0.6 0.6 0.6 0.6 0.6 0.5 0.5 0.5 0.5 0.5 Qualifying Hedge Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.3 0.3 0.3 1.3 1.2 1.1 1.0 1.0 3.8 3.7 3.3 3.3 3.2 2.9 2.8 2.7 2.6 2.7 8 2023Q1 0.0 0.0 0.0 0.3 0.6 0.5 2023Q2 0.0 0.0 0.0 0.3 0.6 0.5 2023Q1 0.0 0.1 0.3 1.1 3.5 3.0 2023Q2 0.0 0.1 0.3 1.1 3.8 3.2 January 9, 2024 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 2021Q3 0.0 0.0 0.2 0.9 7.1 2.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 0.0 0.1 0.3 0.9 2.5 0.9 All Private Funds 2021Q4 2022Q1 2022Q2 2022Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.9 0.9 0.9 0.9 9.5 9.1 9.1 9.2 2.3 2.2 2.3 2.3 Qualifying Hedge Funds 2021Q4 2022Q1 2022Q2 2022Q3 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.9 0.9 0.8 0.8 2.3 2.4 2.2 2.0 0.9 0.8 0.8 0.8 2022Q4 0.0 0.0 0.2 0.9 10.0 3.7 2023Q1 0.0 0.0 0.2 0.9 9.9 3.7 2023Q2 0.0 0.0 0.2 1.0 9.8 3.6 2022Q4 0.0 0.1 0.3 0.8 2.1 0.8 2023Q1 0.0 0.1 0.3 0.8 2.2 0.8 2023Q2 0.0 0.1 0.3 0.9 2.2 0.9 Table 6: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2021Q3 67.0 30.6 2.3 0.9 2021Q4 67.1 29.3 2.8 1.0 2022Q1 66.5 30.4 3.1 0.9 9 2022Q2 66.7 30.2 3.0 0.9 2022Q3 67.7 28.8 3.3 1.0 2022Q4 66.8 29.0 3.3 0.9 2023Q1 66.8 30.1 3.2 0.8 2023Q2 66.8 30.3 3.0 0.7 January 9, 2024 C Analytics Office Fair Value Hierarchy Table 7: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2021Q3 4,383 3,650 5,274 2,323 2021Q4 4,688 3,842 6,803 2,852 2022Q1 4,657 3,827 6,832 2,877 2022Q2 4,609 3,834 6,843 2,859 2022Q3 4,581 3,798 6,804 2,867 2022Q4 4,155 3,590 7,560 3,059 2023Q1 4,090 3,555 7,468 3,039 2023Q2 4,067 3,508 7,472 3,036 Table 8: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2021Q3 1,341 1,197 338 2,071 2021Q4 1,702 1,362 377 2,273 2022Q1 1,702 1,349 377 2,270 2022Q2 1,695 1,369 340 2,270 10 2022Q3 1,701 1,327 342 2,277 2022Q4 1,583 1,488 377 2,559 2023Q1 1,589 1,466 377 2,554 2023Q2 1,590 1,433 391 2,555 January 9, 2024 D Analytics Office Parallel Managed Accounts4 Table 9: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 560 485 312 208 115 73 17 *** *** *** 1,460 2021Q4 571 504 303 210 137 89 30 *** *** *** 1,509 2022Q1 580 503 303 211 137 89 30 *** *** *** 1,517 2022Q2 578 502 315 202 137 89 30 *** *** *** 1,526 2022Q3 576 498 314 208 137 89 30 *** *** *** 1,519 2022Q4 566 478 331 214 146 67 39 *** *** *** 1,491 2023Q1 562 481 407 207 146 68 39 *** *** *** 1,567 2023Q2 559 458 413 203 152 68 39 *** *** *** 1,547 Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 840 2,641 98 551 68 7 1 *** *** *** 3,992 2021Q4 881 2,674 119 566 102 16 2 *** *** *** 4,111 2022Q1 840 2,671 120 538 102 16 2 *** *** *** 4,025 2022Q2 765 3,451 152 483 110 16 2 *** *** *** 4,781 2022Q3 729 3,416 152 438 110 16 2 *** *** *** 4,705 2022Q4 725 2,369 114 435 114 14 2 *** *** *** 3,606 2023Q1 695 2,367 126 385 114 15 2 *** *** *** 3,592 2023Q2 693 1,535 119 405 108 15 2 *** *** *** 2,743 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 January 9, 2024 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 2021Q3 0.0 0.0 0.3 1.5 5.0 2.7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 0.1 0.2 0.6 2.0 6.2 2.6 All Private Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 0.3 0.2 1.5 1.4 1.5 1.4 1.1 5.3 5.3 5.4 5.3 3.9 2.7 2.7 3.1 3.1 2.4 Qualifying Hedge Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 2.0 2.0 1.9 1.8 1.6 6.0 5.8 5.5 4.8 4.9 2.7 2.6 2.4 2.1 2.0 12 2023Q1 0.0 0.0 0.2 1.0 3.8 2.3 2023Q2 0.0 0.0 0.2 1.0 3.4 1.8 2023Q1 0.1 0.2 0.6 1.7 4.6 1.9 2023Q2 0.1 0.2 0.7 1.8 4.9 2.0 January 9, 2024 III Analytics Office Fund Domiciles and Adviser Main Offices Table 11: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Luxembourg Ireland Bermuda United Kingdom Virgin Islands, British Other Country Cayman Islands United States Luxembourg Ireland Virgin Islands, British Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands Canada United Kingdom Bermuda Other All Private Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 49.5 51.8 52.2 52.5 52.9 34.9 32.8 32.7 32.4 32.7 3.7 4.1 4.1 4.1 4.1 4.0 3.9 3.9 3.9 3.9 1.0 0.9 1.0 1.0 1.0 0.9 1.0 0.9 0.9 0.9 1.0 0.9 0.9 0.9 0.9 5.0 4.6 4.2 4.2 3.6 Qualifying Hedge Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 51.8 51.8 51.1 52.4 53.2 33.9 34.2 34.9 35.7 34.9 2.5 2.4 2.4 2.4 2.3 3.2 3.2 3.1 3.0 2.8 2.7 2.6 2.8 3.1 3.1 1.5 1.5 1.7 1.7 1.9 4.4 4.2 4.1 1.8 1.7 Section 3 Liquidity Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 *** *** *** *** *** 26.6 27.6 28.5 27.3 25.5 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 55.2 56.1 56.9 56.9 56.9 28.9 29.3 29.6 29.6 29.6 2.2 2.0 1.9 1.9 1.9 1.5 1.4 1.4 1.4 1.4 1.1 1.2 1.2 1.2 1.2 11.1 9.9 9.0 9.0 9.0 13 2022Q4 52.7 32.2 5.0 3.6 1.0 0.9 0.8 3.7 2023Q1 52.5 32.6 5.0 3.6 1.0 0.9 0.8 3.6 2023Q2 52.4 32.7 4.9 3.6 1.0 0.9 0.8 3.6 2022Q4 52.6 35.5 2.7 3.0 2.8 1.9 1.4 2023Q1 53.0 35.5 2.9 2.7 2.6 1.7 1.6 2023Q2 53.3 35.3 3.0 2.7 2.5 1.6 1.6 2022Q4 *** 23.4 *** *** 2023Q1 *** 23.9 *** *** 2023Q2 *** 23.5 *** *** 2022Q4 56.2 28.0 2.0 1.4 1.0 11.3 2023Q1 56.4 28.1 2.1 1.4 1.0 11.0 2023Q2 56.4 28.1 2.1 1.4 1.0 11.0 January 9, 2024 Analytics Office Table 12: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2021Q3 89.6 4.6 5.8 Country United States United Kingdom Australia Hong Kong Other 2021Q3 88.0 4.1 *** *** 4.1 Country United States United Kingdom 2021Q3 *** *** Country United States Canada Other 2021Q3 94.3 *** *** All Private Funds 2021Q4 2022Q1 2022Q2 2022Q3 91.2 90.9 91.8 91.9 3.9 4.0 3.9 3.9 4.9 5.1 4.3 4.2 Qualifying Hedge Funds 2021Q4 2022Q1 2022Q2 2022Q3 88.1 88.5 90.7 91.1 4.1 3.9 3.7 3.5 *** *** *** *** *** *** *** *** 4.1 4.1 2.2 2.2 Section 3 Liquidity Funds 2021Q4 2022Q1 2022Q2 2022Q3 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2021Q4 2022Q1 2022Q2 2022Q3 95.6 95.6 95.6 95.6 *** *** *** *** *** *** *** *** 14 2022Q4 92.3 3.7 4.0 2023Q1 91.9 4.0 4.1 2023Q2 91.8 4.1 4.1 2022Q4 90.5 4.1 *** *** 3.0 2023Q1 90.7 3.9 *** *** 3.1 2023Q2 91.6 4.0 *** *** 2.1 2022Q4 *** *** 2023Q1 *** *** 2023Q2 *** *** 2022Q4 95.5 *** *** 2023Q1 95.4 *** *** 2023Q2 95.5 *** *** January 9, 2024 IV A Analytics Office Beneficial Ownership All Private Funds Table 13: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 2,132 1,929 1,587 1,208 1,263 1,215 856 594 384 266 203 189 138 44 2021Q4 2,597 2,445 1,858 1,422 1,372 1,316 1,007 697 416 317 232 188 155 42 2022Q1 2,635 2,444 1,882 1,417 1,378 1,298 1,000 705 402 306 226 195 161 45 2022Q2 2,594 2,408 1,871 1,372 1,342 1,246 1,004 702 396 312 222 194 151 44 2022Q3 2,589 2,415 1,862 1,366 1,273 1,256 1,010 703 393 306 223 197 148 42 2022Q4 2,597 2,541 1,912 1,324 1,307 1,245 1,082 745 376 286 240 193 149 38 2023Q1 2,595 2,557 1,905 1,335 1,305 1,254 1,068 754 315 252 247 190 150 40 2023Q2 2,611 2,555 1,914 1,348 1,293 1,268 1,080 761 318 254 249 179 145 38 2023Q1 18.6 18.3 13.6 9.6 9.3 9.0 7.6 5.4 2.3 1.8 1.8 1.4 1.1 0.3 2023Q2 18.6 18.2 13.6 9.6 9.2 9.0 7.7 5.4 2.3 1.8 1.8 1.3 1.0 0.3 Table 14: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 17.7 16.1 13.2 10.1 10.5 10.1 7.1 4.9 3.2 2.2 1.7 1.6 1.2 0.4 2021Q4 18.5 17.4 13.2 10.1 9.8 9.4 7.2 5.0 3.0 2.3 1.7 1.3 1.1 0.3 15 2022Q1 18.7 17.3 13.4 10.1 9.8 9.2 7.1 5.0 2.8 2.2 1.6 1.4 1.1 0.3 2022Q2 18.7 17.4 13.5 9.9 9.7 9.0 7.2 5.1 2.9 2.3 1.6 1.4 1.1 0.3 2022Q3 18.8 17.5 13.5 9.9 9.2 9.1 7.3 5.1 2.8 2.2 1.6 1.4 1.1 0.3 2022Q4 18.5 18.1 13.6 9.4 9.3 8.9 7.7 5.3 2.7 2.0 1.7 1.4 1.1 0.3 January 9, 2024 B Analytics Office Qualifying Hedge Funds Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 724 598 602 447 492 478 256 140 186 59 89 42 42 8 2021Q4 723 607 602 458 493 479 264 144 182 62 86 41 38 9 2022Q1 732 604 581 462 473 478 266 147 171 61 82 41 39 9 2022Q2 703 572 546 453 433 452 268 151 108 58 47 39 39 9 2022Q3 698 564 559 432 423 384 266 149 102 59 43 42 38 8 2022Q4 694 562 528 446 424 409 289 148 102 59 47 38 38 9 2023Q1 711 590 537 455 424 418 283 164 104 62 45 39 37 9 2023Q2 734 595 549 467 439 412 292 161 103 63 45 36 32 9 2023Q1 18.3 15.2 13.8 11.7 10.9 10.8 7.3 4.2 2.7 1.6 1.2 1.0 0.9 0.2 2023Q2 18.6 15.1 13.9 11.9 11.1 10.5 7.4 4.1 2.6 1.6 1.2 0.9 0.8 0.2 Table 16: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 17.4 14.4 14.4 10.7 11.8 11.5 6.1 3.4 4.5 1.4 2.1 1.0 1.0 0.2 2021Q4 17.2 14.5 14.4 10.9 11.8 11.4 6.3 3.4 4.3 1.5 2.1 1.0 0.9 0.2 16 2022Q1 17.6 14.6 14.0 11.1 11.4 11.5 6.4 3.5 4.1 1.5 2.0 1.0 0.9 0.2 2022Q2 18.1 14.7 14.1 11.7 11.2 11.6 6.9 3.9 2.8 1.5 1.2 1.0 1.0 0.2 2022Q3 18.5 15.0 14.8 11.4 11.2 10.2 7.1 4.0 2.7 1.6 1.1 1.1 1.0 0.2 2022Q4 18.3 14.8 13.9 11.7 11.2 10.8 7.6 3.9 2.7 1.5 1.3 1.0 1.0 0.2 January 9, 2024 C Analytics Office Section 3 Liquidity Funds Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Sec-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Pension Plans Non-Profits State/Muni. Govt. Entities U.S. Individuals State/Muni. Govt. Pension Plans 2021Q3 101 50 50 *** *** 27 9 *** 3 7 3 *** *** 1 2021Q4 96 60 57 *** *** 23 9 *** *** 7 4 3 *** 1 2022Q1 103 51 58 *** *** 24 8 *** *** 5 3 *** *** 1 2022Q2 100 64 65 *** *** 16 9 *** *** 5 3 *** *** *** 2022Q3 106 68 64 *** *** 15 8 *** *** *** 3 *** *** *** 2022Q4 108 65 56 *** *** 14 10 *** *** *** 2 *** *** 1 2023Q1 106 63 50 *** *** 17 12 *** *** *** 3 *** *** *** 2023Q2 114 64 49 *** *** 16 11 *** *** 5 3 *** *** *** 2023Q1 34.1 20.2 15.9 *** *** 5.4 3.9 *** *** *** 0.9 *** *** *** 2023Q2 35.8 20.1 15.5 *** *** 5.0 3.6 *** *** 1.5 0.8 *** *** *** Table 18: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Sec-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Pension Plans Non-Profits State/Muni. Govt. Entities U.S. Individuals State/Muni. Govt. Pension Plans 2021Q3 33.8 16.7 16.5 *** *** 8.9 3.2 *** 0.9 2.4 1.1 *** *** 0.4 2021Q4 31.0 19.2 18.5 *** *** 7.5 2.8 *** *** 2.3 1.2 1.0 *** 0.3 17 2022Q1 33.4 16.6 18.6 *** *** 7.8 2.6 *** *** 1.7 1.0 *** *** 0.3 2022Q2 30.8 19.9 19.9 *** *** 4.9 2.8 *** *** 1.5 0.9 *** *** *** 2022Q3 32.4 20.7 19.6 *** *** 4.6 2.5 *** *** *** 0.8 *** *** *** 2022Q4 34.1 20.6 17.8 *** *** 4.3 3.0 *** *** *** 0.8 *** *** 0.4 January 9, 2024 D Analytics Office Section 4 Private Equity Funds Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Sec-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q3 662 544 655 388 247 190 180 187 63 71 27 38 25 3 2021Q4 957 819 836 501 324 252 237 265 82 83 49 45 33 3 2022Q1 974 802 850 477 325 255 238 265 82 77 50 49 34 3 2022Q2 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q3 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q4 1,031 887 887 525 361 283 259 245 94 68 49 47 33 3 2023Q1 1,018 875 874 515 361 282 259 246 94 67 48 44 33 3 2023Q2 1,020 876 876 515 362 284 259 246 95 67 48 45 33 3 Table 20: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Sec-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q3 20.2 16.6 20.0 11.8 7.5 5.8 5.5 5.7 1.9 2.2 0.8 1.2 0.8 0.1 2021Q4 21.3 18.2 18.6 11.2 7.2 5.6 5.3 5.9 1.8 1.9 1.1 1.0 0.7 0.1 18 2022Q1 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q2 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q3 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q4 21.6 18.6 18.6 11.0 7.6 5.9 5.4 5.1 2.0 1.4 1.0 1.0 0.7 0.1 2023Q1 21.6 18.5 18.5 10.9 7.6 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q2 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 1.0 0.7 0.1 January 9, 2024 E Analytics Office Concentration Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Other Private Fund Real Estate Fund Hedge Fund Qualifying Hedge Fund Venture Capital Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 60.2 56.1 54.0 49.9 53.9 51.1 46.2 46.3 46.0 35.0 53.2 2021Q4 57.0 59.0 53.9 49.9 52.6 49.5 44.9 46.1 45.8 37.3 52.2 2022Q1 57.5 59.0 54.6 50.9 52.5 49.1 44.7 48.1 47.7 37.5 52.4 19 2022Q2 57.1 59.0 55.0 51.9 52.4 49.2 44.7 46.7 46.4 37.6 52.4 2022Q3 57.5 58.7 54.7 51.6 52.4 49.1 44.7 46.5 46.1 37.8 52.3 2022Q4 59.0 56.9 55.5 52.1 49.9 49.8 46.5 45.1 44.8 41.6 52.9 2023Q1 58.4 57.0 56.3 51.9 49.9 49.4 45.9 44.3 44.1 42.3 52.9 2023Q2 58.3 57.0 56.2 51.8 49.9 49.5 46.0 43.1 42.9 41.8 52.9 January 9, 2024 V Analytics Office Derivatives Table 22: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Section 4 Private Equity Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 15,878 14,471 66 133 18 34 3 *** *** *** 16,084 2021Q4 15,521 14,163 70 118 41 52 5 *** *** *** 15,783 2022Q1 15,633 14,282 69 110 41 54 5 *** *** *** 15,817 2022Q2 14,545 13,289 69 110 41 54 5 *** *** 0 14,777 2022Q3 14,016 12,454 71 112 41 54 5 *** *** 0 14,257 2022Q4 14,759 12,890 158 105 72 73 *** 0 *** 0 15,139 2023Q1 15,271 13,005 159 103 76 72 6 0 0 0 15,618 2023Q2 14,986 13,594 159 104 78 72 4 0 0 0 15,344 Table 23: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Section 4 Private Equity Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 310.4 347.4 1.6 10.4 2.9 1.0 1.2 *** *** *** 133.9 2021Q4 302.3 337.9 1.2 7.6 5.6 1.2 1.8 *** *** *** 112.2 2022Q1 303.4 344.2 1.2 7.0 5.6 1.2 1.8 *** *** *** 112.2 20 2022Q2 295.7 342.6 1.2 7.1 5.6 1.2 1.8 *** *** 0.0 106.6 2022Q3 288.6 330.2 1.2 7.3 5.5 1.2 1.8 *** *** 0.0 103.4 2022Q4 306.0 339.7 2.6 7.4 8.4 1.5 *** 0.1 *** 0.0 107.8 2023Q1 314.0 335.1 2.7 7.5 8.9 1.5 2.1 0.1 0.0 0.0 111.8 2023Q2 304.7 345.1 2.7 7.8 9.0 1.5 1.4 0.1 0.0 0.0 109.4 January 9, 2024 Analytics Office Figure 6: Distribution of Derivative Values As reported on Form PF, Questions 13 and 44 (Third Month). VI A Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 0.0 0.0 0.0 0.2 1.3 1.1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q3 0.0 0.0 0.3 1.6 10.2 6.1 All Private Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 1.4 1.3 1.2 1.1 1.2 1.1 1.1 1.1 1.0 1.0 Qualifying Hedge Funds ($ Billions) 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 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 0.3 0.3 1.7 1.6 1.7 1.6 1.6 10.4 9.4 9.5 8.5 8.2 5.5 5.8 5.4 5.0 5.6 2023Q1 0.0 0.0 0.0 0.2 1.1 1.1 2023Q2 0.0 0.0 0.0 0.2 1.1 1.1 2023Q1 0.0 0.0 0.3 1.6 8.5 5.1 2023Q2 0.0 0.0 0.3 1.6 8.9 5.3 Additional Hedge Fund Industry Information High Frequency Trading Table 24: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2021Q3 8,214 49 6 2021Q4 8,389 49 8 2022Q1 8,527 52 8 2022Q2 8,615 53 8 2022Q3 8,674 50 8 2022Q4 8,695 56 5 2023Q1 8,776 56 5 2023Q2 8,862 54 5 Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2021Q3 4,962 117 5 2021Q4 4,999 115 6 2022Q1 5,000 128 7 2022Q2 4,761 127 8 21 2022Q3 4,689 135 8 2022Q4 4,671 128 9 2023Q1 4,694 138 9 2023Q2 4,756 133 9 January 9, 2024 B Analytics Office Industry Concentration Table 26: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q3 7.3 13.3 19.4 27.8 42.7 56.2 2021Q4 7.3 13.3 19.3 27.6 42.2 55.7 2022Q1 7.6 13.5 19.5 27.6 41.9 55.5 2022Q2 7.8 13.5 19.4 27.3 41.5 54.9 2022Q3 8.1 13.7 19.6 27.5 41.6 54.9 2022Q4 7.8 13.3 19.1 27.0 41.2 54.6 2023Q1 7.9 13.4 19.3 27.3 41.6 54.8 2023Q2 7.8 13.2 19.4 27.3 41.5 54.7 Table 27: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q3 16.2 25.2 33.5 42.3 55.4 66.8 2021Q4 16.2 25.3 33.4 41.9 54.9 66.3 2022Q1 15.8 25.6 33.6 42.0 54.5 66.1 2022Q2 16.7 26.1 34.1 42.4 54.6 66.0 2022Q3 16.9 25.7 33.8 42.4 54.7 65.9 2022Q4 17.7 26.3 34.5 43.0 55.1 66.3 2023Q1 17.7 26.7 34.8 43.3 55.5 66.6 2023Q2 18.9 28.0 36.2 44.6 56.5 67.3 Table 28: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q3 32.2 48.0 60.5 71.1 83.2 90.9 2021Q4 34.7 49.3 61.4 72.1 83.3 90.9 2022Q1 34.2 48.7 61.1 71.5 83.4 90.8 2022Q2 34.7 50.2 61.9 72.0 83.1 90.5 22 2022Q3 34.2 50.3 62.1 72.4 83.4 90.6 2022Q4 36.7 51.4 63.4 73.6 84.1 90.9 2023Q1 36.0 51.5 64.1 74.5 84.9 91.5 2023Q2 37.4 52.5 64.7 74.7 85.3 91.9 January 9, 2024 Analytics Office Table 29: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q3 40.7 56.8 69.2 79.6 90.5 95.5 2021Q4 41.0 55.4 67.6 78.5 89.8 95.2 2022Q1 38.9 55.3 67.6 79.0 90.2 95.4 2022Q2 39.0 54.9 66.7 78.3 89.8 95.1 2022Q3 40.3 55.0 67.3 79.0 90.0 95.2 2022Q4 37.4 54.6 68.2 80.0 90.5 95.4 2023Q1 40.3 56.0 68.3 80.3 90.8 95.6 2023Q2 41.5 55.1 67.4 79.3 90.5 95.4 Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q3 35.0 49.6 60.7 70.9 83.4 91.1 2021Q4 35.4 48.5 59.7 70.2 82.7 90.7 2022Q1 34.7 48.7 60.0 70.8 82.9 90.8 2022Q2 34.6 49.1 60.5 70.8 82.8 90.5 23 2022Q3 34.8 49.2 60.3 71.2 83.0 90.6 2022Q4 34.0 49.5 61.0 72.3 83.8 91.0 2023Q1 36.2 50.8 61.9 73.3 84.3 91.4 2023Q2 37.5 50.5 61.4 72.7 84.1 91.2 January 9, 2024 C Analytics Office Single-Strategy US-Domiciled Hedge Funds Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2021Q3 654 307 319 27 1 595 134 62 72 66 47 13 6 49 30 9 7 1 1 32 13 10 3 *** *** 6 *** *** 1,383 2021Q4 680 326 324 *** *** 625 141 70 71 74 43 20 11 55 31 11 9 2 1 33 13 9 3 *** *** 6 *** *** 1,437 24 2022Q1 637 311 298 26 1 649 144 73 72 76 46 19 10 55 32 11 9 2 1 34 15 10 4 *** *** 7 *** *** 1,433 2022Q2 589 280 273 *** *** 648 144 72 72 75 47 18 10 56 32 11 9 3 2 33 15 10 4 *** *** 6 *** *** 1,386 2022Q3 555 273 251 29 2 656 150 77 73 76 48 19 9 55 32 11 8 3 1 32 16 11 4 *** *** 6 *** *** 1,368 2022Q4 552 272 251 28 1 655 163 86 77 83 50 26 7 59 37 11 7 3 2 32 14 9 4 *** *** 6 *** *** 1,385 2023Q1 549 262 259 27 1 666 179 87 93 80 49 26 5 63 38 11 7 5 2 40 13 8 4 *** *** 6 *** *** 1,419 2023Q2 584 293 263 27 1 673 170 94 77 82 51 27 4 64 37 12 7 7 2 40 14 9 4 1 0 6 *** *** 1,443 January 9, 2024 Analytics Office Table 32: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2021Q3 1,035 458 527 45 11 1,017 373 198 178 236 166 52 21 174 96 48 18 11 15 238 43 22 13 *** *** 24 *** *** 2,931 2021Q4 1,128 471 605 *** *** 1,034 383 197 189 243 164 59 21 186 94 55 20 19 18 241 45 18 15 *** *** 24 *** *** 3,079 25 2022Q1 1,150 480 616 51 8 1,070 394 200 197 259 179 60 21 189 93 54 22 19 14 260 48 19 17 *** *** 24 *** *** 3,175 2022Q2 1,153 475 624 *** *** 1,093 404 197 210 270 189 60 21 198 99 59 23 20 19 261 48 19 17 *** *** 23 *** *** 3,216 2022Q3 1,156 474 627 51 9 1,114 422 207 218 276 195 61 21 201 100 58 26 20 19 257 45 19 16 *** *** 22 *** *** 3,265 2022Q4 1,136 494 588 47 13 1,169 429 212 220 298 212 68 19 212 107 58 26 18 18 306 44 18 15 *** *** 23 *** *** 3,348 2023Q1 1,141 497 591 47 12 1,197 441 212 232 297 211 68 19 219 119 59 24 18 18 331 44 18 15 *** *** 23 *** *** 3,421 2023Q2 1,142 511 583 46 12 1,223 455 220 238 305 218 69 19 221 123 57 24 18 18 334 46 21 15 10 0 24 *** *** 3,474 January 9, 2024 D Analytics Office Single-Strategy Non-US-Domiciled Hedge Funds Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Relative Value Macro Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Total 2021Q3 1,275 825 360 *** *** 761 445 299 79 22 28 17 385 373 8 *** *** 325 229 96 233 *** *** 178 112 33 33 35 2,468 2021Q4 1,269 812 356 *** *** 767 456 315 77 22 27 16 267 255 8 *** *** 287 210 77 209 *** *** 185 117 35 33 33 2,436 26 2022Q1 1,141 726 321 *** *** 776 434 284 75 24 28 22 286 275 8 *** *** 297 217 81 231 *** *** 185 120 34 30 33 2,394 2022Q2 1,010 641 280 *** *** 736 442 309 75 27 18 13 306 295 8 *** *** 290 207 83 206 *** *** 180 120 30 30 30 2,222 2022Q3 954 609 259 *** *** 715 409 283 74 23 17 12 329 314 6 *** *** 309 219 89 240 *** *** 173 119 25 29 30 2,148 2022Q4 977 629 261 *** *** 760 369 248 71 20 17 12 329 316 7 *** *** 314 221 93 190 *** *** 166 117 28 21 27 2,156 2023Q1 969 638 229 *** *** 756 377 256 68 20 19 14 326 316 7 *** *** 321 227 94 226 *** *** 420 371 28 21 31 2,148 2023Q2 996 667 225 *** *** 762 352 229 68 23 18 14 337 328 7 *** *** 333 232 101 285 *** *** 182 132 27 22 37 2,172 January 9, 2024 Analytics Office Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Relative Value Macro Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Total 2021Q3 1,072 607 379 *** *** 857 304 54 147 25 98 27 207 160 34 *** *** 356 249 111 123 *** *** 321 223 79 47 102 3,132 2021Q4 1,092 629 391 *** *** 853 304 60 149 27 91 24 210 162 42 *** *** 353 248 108 108 *** *** 310 214 74 48 103 3,103 27 2022Q1 1,096 630 394 *** *** 875 302 59 146 26 92 25 214 168 40 *** *** 368 260 111 113 *** *** 316 221 70 50 101 3,158 2022Q2 1,095 630 388 *** *** 892 301 59 148 25 88 26 213 172 38 *** *** 370 260 113 120 *** *** 318 223 70 49 104 3,185 2022Q3 1,092 628 385 *** *** 881 305 61 150 24 90 24 216 171 39 *** *** 381 267 117 121 *** *** 314 223 69 47 108 3,187 2022Q4 1,074 602 386 *** *** 919 294 60 139 29 87 24 217 165 45 *** *** 376 267 112 125 *** *** 313 219 75 43 107 3,207 2023Q1 1,028 599 343 *** *** 932 300 59 143 29 91 24 213 163 40 *** *** 387 277 113 129 *** *** 313 223 70 44 107 3,186 2023Q2 1,015 592 340 *** *** 935 303 59 147 30 90 25 212 163 40 *** *** 405 285 123 126 *** *** 317 227 70 44 112 3,205 January 9, 2024 VII A Analytics Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 3-0 3-0 202 202 202 3 3-0 0.9 1.1 1.8 3.5 9.2 4.0 6 5 0.9 1.2 1.8 3.5 8.6 3.8 202 202 3-0 1.0 1.1 1.8 3.2 8.1 3.6 202 3-0 202 1.0 1.1 1.8 3.5 8.6 3.8 202 3-0 4 1.0 1.2 1.8 3.6 8.9 3.8 3 1.0 1.1 1.8 3.3 7.6 3.7 3-0 2-1 202 1.0 1.2 1.8 3.5 8.6 4.1 202 2-1 2-1 0.9 1.1 1.8 3.4 8.7 3.8 202 0 202 2-1 9 2-0 1.0 1.1 1.8 3.1 7.7 3.5 3-0 1.0 1.2 1.9 3.4 7.7 3.7 202 8 2-0 2-0 202 202 1.0 1.2 1.9 3.2 8.4 3.7 -06 202 3-0 3 28 1.0 1.1 1.7 3.1 7.7 3.6 7 6 202 2-0 5 2-0 1.0 1.2 1.9 3.4 8.6 4.0 5 202 3-0 2 1.0 1.2 2.1 4.1 12.6 6.5 4 202 3-0 1 0.9 1.2 2.1 4.2 14.2 6.7 2 202 2-1 2 1.0 1.2 2.0 4.2 12.7 6.2 1 202 2-1 1 1.0 1.2 2.0 3.8 11.5 5.9 2 202 1.0 1.3 2.1 4.4 14.5 7.0 1 202 2-0 9 1.0 1.2 2.1 4.7 14.3 6.5 0 202 2-0 8 1.0 1.2 2.0 4.1 12.6 5.9 1.0 1.2 1.9 3.5 8.3 4.0 2-0 6 202 2-0 7 1.0 1.3 2.1 4.4 14.6 6.9 202 1.0 1.3 2.0 4.4 13.7 6.5 202 2-0 5 1.0 1.2 2.0 3.9 11.4 5.6 2-0 4 1.0 1.3 2.1 4.2 13.3 6.1 202 1.0 1.1 1.9 3.3 7.8 3.8 1.0 1.0 1.0 1.0 1.3 1.3 1.2 1.3 2.1 2.1 2.0 2.1 4.4 4.4 4.1 4.4 12.0 12.7 11.3 12.3 6.2 6.4 5.6 5.9 Excluding IRDs 202 3 1.0 1.2 1.9 3.6 8.5 3.9 202 202 2-0 1.0 1.2 1.9 3.5 8.2 4.0 2-0 2 1.0 1.2 1.9 3.3 8.2 3.9 202 2 1.0 1.2 1.9 3.5 8.7 4.1 1-1 2 1.0 1.2 1.9 3.6 8.9 4.1 202 -10 202 1-1 1.0 1.1 1.9 3.4 8.3 4.0 202 1 1-0 202 8 1-0 1-0 202 1.0 1.1 1.9 3.6 8.3 4.0 3 1.0 1.2 2.1 4.1 12.3 6.2 2-0 4 1.0 1.3 2.1 4.5 13.9 6.6 202 2 202 2-0 1.0 1.2 2.1 4.4 14.5 6.4 1.0 1.2 1.9 3.5 8.1 3.9 2-0 1 1.0 1.2 2.1 4.1 13.2 6.7 -01 202 2-0 2 202 1 1.0 1.3 2.1 4.5 14.3 7.3 1-1 202 1.0 1.3 2.1 4.5 14.3 7.2 1 202 1-1 9 1.0 1.2 2.1 4.1 13.3 6.8 202 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1-1 0 202 1.0 1.2 2.1 4.4 14.5 7.0 9 202 1-0 1-0 8 202 1.0 1.2 2.1 4.4 13.7 6.7 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 1 -07 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.8 3.3 8.6 3.9 January 9, 2024 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. 29 5 6 3-0 202 3 -0 0.0 0.2 0.5 1.4 4.1 1.7 0.0 0.2 0.5 1.5 4.4 1.8 0.0 0.1 0.5 1.3 4.0 1.6 -06 -06 5 5 0.1 0.2 0.7 2.2 8.6 3.2 0.9 1.1 1.5 2.2 4.8 2.5 0.1 0.2 0.7 2.0 8.5 3.2 202 3-0 6 5 0.1 0.2 0.6 2.1 7.7 3.0 202 3 3-0 3-0 0.0 0.2 0.7 1.9 7.1 2.9 0.9 1.1 1.6 2.5 6.3 3.7 202 3 4 3-0 202 4 3-0 202 3-0 4 0.9 1.0 1.4 2.3 5.0 2.5 202 3 202 202 0.9 1.1 1.4 2.3 4.6 2.4 202 202 3-0 3 0.9 1.1 1.5 2.6 7.1 3.7 202 3-0 0.0 0.2 0.5 1.4 4.6 1.7 0.9 1.1 1.5 2.6 6.8 3.5 202 3-0 4 0.0 0.2 0.5 1.5 4.4 1.7 0.0 0.1 0.5 1.4 4.2 1.6 3-0 3-0 2 202 3-0 3 2 0.1 0.2 0.7 2.1 8.5 3.3 202 3-0 0.1 0.2 0.7 2.1 8.0 3.1 0.9 1.1 1.4 2.2 4.7 2.3 202 -01 202 3-0 2 1 3-0 0.9 1.1 1.4 2.3 4.9 2.4 202 202 0.9 1.1 1.5 2.4 5.0 2.4 202 0.9 1.1 1.5 2.5 6.4 3.4 3-0 1 2-1 2 0.9 1.1 1.5 2.7 7.0 3.9 202 2 2-1 202 1 0.9 1.1 1.5 2.8 7.4 3.7 0.0 0.2 0.6 2.0 7.5 2.9 202 1 0.0 0.2 0.5 1.4 4.7 1.8 202 3 202 2 2-1 202 1 2-1 0.9 1.1 1.4 2.2 4.6 2.3 2-1 0.1 0.2 0.7 2.1 8.0 3.5 2-1 0 2-1 1 202 2-1 0 202 2-1 0 0.9 1.1 1.5 2.5 7.0 3.5 202 2-1 -10 0.0 0.2 0.5 1.5 4.1 1.7 0.9 1.1 1.5 2.3 4.8 2.6 202 9 202 9 202 202 9 2-0 0.0 0.2 0.5 1.3 3.7 1.5 0.1 0.2 0.6 2.1 7.5 3.1 202 2 2-0 202 8 0.1 0.2 0.6 2.0 6.7 2.6 202 0.0 0.2 0.5 1.4 3.8 1.6 0.9 1.1 1.4 2.3 4.8 2.4 9 2-0 8 2-0 2-0 0.9 1.0 1.4 2.1 4.3 2.3 0.9 1.1 1.5 2.7 8.1 4.1 3-0 3 0.0 0.2 0.5 1.4 4.1 1.5 0.9 1.1 1.5 2.6 7.4 3.8 202 3-0 2 0.0 0.2 0.5 1.4 4.0 1.5 202 2-0 7 2-0 6 5 4 2-0 202 0.0 0.2 0.5 1.4 4.2 1.7 202 2-0 8 2-0 8 2-0 202 2-0 7 6 202 2-0 5 -04 2-0 202 202 202 2-0 0.0 0.2 0.5 1.4 4.2 1.7 202 7 2-0 202 202 2-0 6 5 -04 2-0 202 202 2-0 3 202 2 202 2 2-0 3 0.0 0.2 0.5 1.4 3.7 1.6 202 2-0 3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.7 0.7 2.0 2.0 2.1 2.0 2.0 2.0 6.7 6.7 7.4 6.4 7.4 7.9 2.9 3.0 3.0 2.7 2.7 2.7 Short Exposure Excluding IRDs 0.9 1.1 1.5 2.4 7.1 3.3 202 7 2-0 202 202 6 5 2-0 2-0 202 -03 2-0 4 202 202 202 2 202 0.9 0.9 0.9 0.9 0.9 0.9 1.1 1.1 1.1 1.0 1.1 1.1 1.4 1.5 1.5 1.4 1.5 1.5 2.2 2.3 2.2 2.1 2.2 2.2 4.8 5.1 5.0 4.4 4.6 4.6 2.5 2.5 2.5 2.3 2.4 2.4 Short Exposure Including IRDs 202 -02 0.0 0.2 0.5 1.5 4.1 1.7 1.0 0.9 0.9 0.9 0.9 0.9 1.1 1.1 1.1 1.1 1.2 1.1 1.5 1.6 1.6 1.5 1.6 1.6 2.5 2.6 2.6 2.5 2.6 2.5 6.8 7.1 7.3 6.4 7.5 7.4 3.8 3.7 3.8 3.4 3.5 3.6 Long Exposure Excluding IRDs 202 2-0 2 2-0 2 0.1 0.2 0.6 2.1 7.2 3.2 2-0 2 2-0 1 -12 202 2 202 -01 0.0 0.2 0.5 1.5 4.2 1.8 0.9 1.1 1.5 2.3 4.7 2.5 202 -01 -01 0.1 0.2 0.6 2.0 8.1 3.1 0.9 1.1 1.6 2.7 7.4 3.9 202 202 202 2 202 2 1-1 2 1-1 2 0.0 0.1 0.5 1.3 4.2 1.7 0.9 1.1 1.5 2.3 4.6 2.5 202 2 202 202 0.0 0.2 0.6 2.0 7.3 3.4 0.9 1.1 1.6 2.6 7.4 3.7 202 3-0 1 0.0 0.1 0.5 1.5 4.4 1.8 1.0 1.1 1.5 2.2 4.5 2.6 202 1-1 1 1-1 1 0.1 0.2 0.7 2.0 8.3 3.8 1-1 2 202 1 -11 202 1 1-1 1 202 -10 0.0 0.2 0.5 1.5 4.3 1.8 0.9 1.1 1.5 2.3 4.9 2.6 202 -10 1-0 9 0.0 0.1 0.5 1.4 3.9 1.7 0 0.1 0.2 0.7 2.0 8.1 3.6 1.0 1.1 1.6 2.6 7.3 3.9 202 9 1-1 0 202 1-0 1-0 9 1-0 9 202 1 202 0.0 0.2 0.6 1.9 7.5 3.3 202 1-1 8 1-0 0.0 0.1 0.5 1.4 3.9 1.7 0.9 1.1 1.5 2.3 5.0 2.6 0.9 1.1 1.5 2.7 7.6 4.2 2-1 2 0.0 0.1 0.5 1.4 3.9 1.7 202 1-0 202 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.6 2.7 7.3 4.2 202 1 8 0.1 0.2 0.7 2.0 7.4 3.5 202 8 8 202 1-0 1-0 202 0.1 0.2 0.6 2.1 7.1 3.3 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.4 2.3 4.7 2.5 202 0.9 1.1 1.5 2.3 5.2 2.6 1.0 1.1 1.5 2.6 6.6 4.0 202 1-0 1-0 1-0 1-0 202 0.9 1.1 1.4 2.3 5.0 2.5 0.9 1.1 1.5 2.7 7.9 4.1 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 202 0.9 1.1 1.5 2.7 7.4 3.9 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 7 Long Exposure Including IRDs 0.0 0.2 0.6 1.4 4.5 1.8 January 9, 2024 B Analytics Office Industry Concentration Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2021-07 2021-08 2021-09 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 Top 10 Advisers (NAV) 16.3 17.0 17.0 17.1 17.1 17.1 17.5 16.8 16.8 17.1 17.2 17.2 17.5 17.5 17.5 17.4 17.4 17.4 17.5 17.5 17.5 17.7 17.7 17.7 Top 20 Advisers (NAV) 26.6 27.5 27.5 27.4 27.4 27.4 28.1 27.2 27.2 28.0 28.1 28.1 28.3 28.3 28.3 28.2 28.2 28.2 28.5 28.5 28.5 28.7 28.7 28.7 30 Top 10 Advisers (GNE) 40.6 39.2 38.7 38.3 38.4 38.1 38.9 38.4 38.3 42.8 42.8 39.0 40.1 40.1 39.8 39.2 39.6 38.9 39.7 39.8 40.9 42.0 42.2 41.9 Top 20 Advisers (GNE) 56.7 56.1 55.6 56.2 56.3 54.7 55.4 55.7 55.1 57.7 58.7 55.5 57.3 57.9 57.0 57.0 57.9 55.9 58.5 59.0 58.2 59.1 59.6 59.0 January 9, 2024 C Analytics Office Portfolio Turnover Table 36: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2021-07 2021-08 2021-09 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 Futures 12,043 13,973 16,020 19,432 17,055 14,329 16,735 21,395 23,132 16,025 19,479 22,129 19,117 23,968 29,032 20,479 25,693 25,184 19,016 30,530 35,960 18,521 26,490 23,309 Sov. and muni. bonds 5,110 5,438 5,485 5,666 6,210 4,672 5,340 6,355 6,016 4,574 5,143 4,903 4,389 5,152 4,931 4,372 5,199 4,522 5,313 6,510 7,330 5,689 7,479 7,088 Listed equities 3,159 3,101 3,438 3,409 3,779 3,843 3,951 3,793 4,527 3,677 4,253 3,893 3,024 3,436 3,534 4,303 4,376 4,028 4,127 4,085 4,937 3,841 4,700 4,717 Corporate bonds 142 140 168 183 164 121 188 292 255 223 339 312 318 236 205 185 201 149 231 239 253 164 244 215 Convertible bonds 29 39 54 38 53 38 40 35 36 27 30 24 17 29 25 32 29 19 33 50 39 30 43 41 Total 20,483 22,691 25,165 28,729 27,262 23,002 26,254 31,871 33,966 24,526 29,243 31,262 26,865 32,821 37,726 29,372 35,498 33,903 28,719 41,415 48,518 28,244 38,957 35,370 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. 0.0 0.1 0.3 1.6 11.6 5.7 0.0 0.1 0.4 2.0 13.7 6.9 0.0 0.1 0.4 2.1 14.5 7.9 0.0 0.1 0.4 2.0 12.9 6.9 0.0 0.1 0.4 2.1 16.7 8.5 0.0 0.1 0.3 1.7 13.8 9.3 0.0 0.1 0.4 2.0 14.2 7.2 0.0 0.1 0.4 2.1 16.3 9.9 0.0 0.1 0.5 2.9 23.0 12.6 0.0 0.1 0.3 1.6 11.0 6.3 0.0 0.1 0.4 2.1 15.5 8.1 0.0 0.1 0.4 2.0 15.5 8.5 3-0 3-0 2-1 2-0 1-0 -06 0.0 0.1 0.4 2.1 14.4 10.5 5 202 3 3-0 6 5 202 4 3-0 0.0 0.1 0.5 2.2 14.8 7.6 4 202 3-0 202 3 202 202 3-0 202 202 3-0 3 -02 202 3 2 3-0 202 0.0 0.1 0.4 2.0 13.0 7.0 -12 202 0.0 0.1 0.5 2.5 16.2 8.9 31 3-0 1 2-1 2 202 3-0 1 1 202 2 202 202 2 0.0 0.1 0.5 2.3 14.1 8.3 -11 202 2-1 -10 202 2-0 9 0.0 0.1 0.4 2.0 14.1 7.0 0 202 2-0 8 202 9 2-0 7 202 0.0 0.1 0.4 1.7 13.6 6.4 2-0 6 0.0 0.1 0.4 1.9 16.7 7.9 -05 0.0 0.1 0.3 1.6 14.3 7.3 4 0.0 0.1 0.4 1.6 15.3 7.2 2 0.0 0.1 0.3 1.7 12.5 7.0 9 0.0 0.1 0.3 1.6 13.7 6.4 -08 202 202 2 8 0.1 0.2 0.9 5.0 45.9 50.9 202 2 2-0 0.0 0.3 1.0 5.5 42.3 54.4 202 2-0 0.0 0.2 0.8 4.0 36.9 43.9 202 2-0 3 202 0.1 0.3 1.3 7.6 81.2 74.4 -01 202 0.0 0.2 1.0 6.0 50.7 56.8 202 2-0 2 202 0.0 0.3 1.0 5.6 49.7 43.1 202 2 0.0 0.2 0.8 5.1 42.1 43.8 1 0.0 0.2 1.0 6.1 47.6 43.7 202 1-1 0.0 0.2 0.9 5.1 47.9 39.9 0 0.0 0.2 0.9 5.5 54.5 52.4 202 1-1 202 6 0.1 0.0 0.1 0.0 0.0 0.0 0.3 0.2 0.3 0.2 0.2 0.2 1.4 1.0 1.2 1.0 0.9 1.1 7.1 5.6 6.6 5.5 4.6 5.3 56.8 38.9 45.2 52.4 38.7 50.1 48.9 35.9 42.5 45.2 38.6 46.5 Total Turnover to NAV Ratio 2-0 0.1 0.3 1.1 6.7 53.8 49.1 1-1 202 2-0 7 202 2-0 3 4 202 2-0 2 0.1 0.2 1.1 6.2 46.5 38.8 2-0 -01 202 2 0.1 0.2 1.0 5.9 44.8 31.8 202 202 2-0 5 1 202 1-1 0.1 0.3 1.1 6.7 46.5 38.5 202 2 0 202 1-1 9 1-1 0.0 0.2 0.9 5.2 48.7 39.9 1-0 202 0.1 0.2 1.0 5.6 48.5 36.9 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -08 202 0.0 0.2 0.9 5.2 46.0 34.2 202 1 7 202 1 0.1 0.2 0.8 5.0 42.5 30.9 202 1-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 1-0 Total Turnover ($ Billions) January 9, 2024 D Analytics Office Region and Country Exposure Table 37: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2021Q3 5,849 1,595 800 314 87 51 31 33 2021Q4 5,944 1,482 768 306 86 48 30 27 2022Q1 5,865 1,637 718 418 93 42 27 29 2022Q2 5,581 1,480 713 324 81 38 26 22 2022Q3 5,426 1,433 737 336 81 32 46 21 2022Q4 5,547 1,658 750 356 86 27 26 24 2023Q1 5,855 1,530 732 372 83 34 26 21 2023Q2 6,179 1,455 753 393 90 36 31 23 Table 38: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2021Q3 128.5 35.1 17.6 6.9 1.9 1.1 0.7 0.7 2021Q4 131.0 32.7 16.9 6.7 1.9 1.1 0.7 0.6 2022Q1 132.2 36.9 16.2 9.4 2.1 0.9 0.6 0.7 2022Q2 132.0 35.0 16.9 7.7 1.9 0.9 0.6 0.5 32 2022Q3 131.4 34.7 17.9 8.1 2.0 0.8 1.1 0.5 2022Q4 133.9 40.0 18.1 8.6 2.1 0.7 0.6 0.6 2023Q1 136.7 35.7 17.1 8.7 1.9 0.8 0.6 0.5 2023Q2 143.0 33.7 17.4 9.1 2.1 0.8 0.7 0.5 January 9, 2024 Analytics Office Table 39: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) India Brazil Russia 2021Q3 5,479 233 251 53 33 16 2021Q4 5,548 217 239 51 33 16 2022Q1 5,549 213 204 48 39 5 2022Q2 5,287 240 198 47 34 5 2022Q3 5,148 266 174 49 34 5 2022Q4 5,276 337 171 44 34 3 2023Q1 5,556 332 171 44 31 3 2023Q2 5,887 354 138 50 40 3 2023Q1 129.8 7.8 4.0 1.0 0.7 0.1 2023Q2 136.2 8.2 3.2 1.2 0.9 0.1 Table 40: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) India Brazil Russia 2021Q3 120.4 5.1 5.5 1.2 0.7 0.3 2021Q4 122.3 4.8 5.3 1.1 0.7 0.3 2022Q1 125.1 4.8 4.6 1.1 0.9 0.1 33 2022Q2 125.0 5.7 4.7 1.1 0.8 0.1 2022Q3 124.7 6.4 4.2 1.2 0.8 0.1 2022Q4 127.3 8.1 4.1 1.1 0.8 0.1 January 9, 2024 VIII 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. -0 6 202 3 3-0 202 1.0 1.1 1.7 3.2 8.3 3.6 202 3 3-0 202 1.0 1.1 1.7 3.2 8.1 3.4 -06 3-0 202 5 3-0 202 1.0 1.1 1.6 2.8 6.8 3.2 5 202 3 -0 3 202 2 3-0 1.0 1.1 1.6 3.1 7.8 3.4 4 202 3 -0 2 1.0 1.1 1.6 3.1 7.5 3.4 202 3-0 2-1 202 1.0 1.1 1.6 2.9 6.6 3.2 202 2-1 202 1.0 1.1 1.6 2.9 7.1 3.3 4 202 3-0 1 1.0 1.1 1.7 2.9 7.6 3.3 1 0 202 2-1 9 2-0 1.0 1.1 1.6 2.7 6.2 3.0 3-0 3 202 2-1 2 1.0 1.1 1.7 2.8 6.7 3.2 202 2-0 2-0 202 2-0 1.0 1.2 1.7 2.8 6.9 3.2 202 6 5 2-0 202 34 1.0 1.1 1.6 2.7 6.6 3.1 1 202 2-1 1 1.0 1.2 1.9 3.7 11.7 5.3 2 202 1.1 1.3 2.0 4.3 13.5 5.9 1.0 1.1 1.7 2.9 6.9 3.2 0 202 2 -0 9 1.1 1.3 2.0 4.2 12.8 5.4 2-1 202 2 -0 8 1.0 1.2 1.9 3.5 10.2 4.9 8 1.1 1.3 2.0 4.0 11.7 5.8 7 1.1 1.2 1.9 4.0 11.2 5.5 202 2 -0 6 202 2-0 7 1.0 1.2 1.9 3.6 10.0 4.9 202 1.1 1.3 1.9 3.9 11.0 5.4 1.0 1.1 1.7 2.9 6.6 3.1 202 2-0 5 1.1 1.3 2.0 4.2 12.0 5.5 2-0 4 1.0 1.2 1.9 3.6 9.4 4.8 202 3 3 1.0 1.1 1.6 2.9 6.9 3.2 1.1 1.3 1.9 3.9 10.5 5.2 2-0 4 202 2-0 1.0 1.1 1.7 3.2 7.7 3.4 1.1 1.1 1.0 1.1 1.3 1.3 1.2 1.3 2.0 2.0 1.9 2.0 3.8 3.9 3.7 4.0 9.9 10.7 10.1 10.7 5.2 5.4 5.1 5.1 Excluding IRDs 202 2 202 2-0 2-0 2 1.0 1.1 1.8 3.2 7.5 3.5 202 2-0 1 202 2-0 1.0 1.1 1.7 2.9 6.8 3.2 202 2 1-1 2 202 1-1 1.0 1.2 1.7 3.3 7.6 3.5 202 1-1 0 1.0 1.1 1.7 3.2 7.9 3.5 202 9 1-0 1-0 202 202 1.0 1.1 1.6 3.1 7.1 3.3 -01 1.0 1.2 1.9 3.6 9.7 5.2 1.0 1.1 1.6 3.1 7.4 3.3 2 202 1.1 1.3 2.0 4.1 11.8 5.8 1.0 1.1 1.7 3.2 7.1 3.4 1 202 1.1 1.3 2.0 4.1 11.5 5.7 1-1 202 1-1 1.0 1.2 1.9 3.5 10.9 5.2 1 1.1 1.3 2.0 4.2 12.2 6.4 202 1-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 9 1.1 1.3 1.9 4.0 11.8 6.2 1-1 0 202 1.0 1.3 1.9 3.7 10.9 5.4 8 202 1-0 7 202 1.1 1.2 1.9 3.8 11.7 5.7 1-0 202 1.1 1.3 1.9 3.9 11.4 5.6 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1-0 8 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.6 2.9 7.7 3.3 January 9, 2024 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. 35 5 6 3-0 202 3 -0 0.0 0.1 0.4 1.4 4.3 1.5 0.0 0.1 0.4 1.5 4.6 1.6 0.0 0.1 0.4 1.2 3.9 1.4 -06 -06 5 5 0.0 0.2 0.6 2.0 7.6 2.9 1.0 1.0 1.3 2.1 4.3 2.2 0.0 0.2 0.5 1.8 7.1 2.7 202 3-0 6 5 0.0 0.2 0.6 1.9 7.0 2.7 202 3 3-0 3-0 0.0 0.2 0.5 1.7 5.5 2.3 1.0 1.1 1.5 2.5 6.0 3.2 202 3 4 3-0 202 4 3-0 202 3-0 4 1.0 1.1 1.4 2.2 4.7 2.3 202 3 202 202 1.0 1.1 1.4 2.3 4.6 2.3 202 202 3-0 3 1.0 1.2 1.6 2.7 7.3 3.5 202 3-0 0.0 0.1 0.4 1.4 4.0 1.4 1.0 1.1 1.5 2.6 7.1 3.3 202 3-0 4 0.0 0.1 0.4 1.3 4.2 1.4 0.0 0.1 0.4 1.4 3.7 1.4 3-0 3-0 2 202 3-0 3 2 0.0 0.2 0.6 1.9 6.6 2.8 202 3-0 0.0 0.2 0.6 1.9 6.1 2.6 1.0 1.0 1.3 2.1 4.1 2.2 202 -01 202 3-0 2 1 3-0 1.0 1.1 1.4 2.2 4.5 2.3 202 202 1.0 1.1 1.4 2.2 4.5 2.3 202 1.0 1.1 1.5 2.4 5.7 3.1 3-0 1 2-1 2 1.0 1.1 1.5 2.6 5.9 3.5 202 2 2-1 202 1 1.0 1.1 1.5 2.6 6.0 3.4 0.0 0.2 0.5 1.8 6.0 2.4 202 1 0.0 0.1 0.4 1.4 4.0 1.5 202 3 202 2 2-1 202 1 2-1 1.0 1.0 1.3 2.1 4.0 2.1 2-1 0.0 0.2 0.6 1.9 6.3 2.7 2-1 0 2-1 1 202 2-1 0 202 2-1 0 1.0 1.1 1.5 2.4 5.5 3.0 202 2-1 -10 0.0 0.1 0.4 1.5 3.8 1.4 1.0 1.1 1.4 2.1 4.1 2.2 202 9 202 9 202 202 9 2-0 0.0 0.1 0.4 1.3 3.3 1.3 0.0 0.2 0.6 2.0 6.3 2.5 202 2 2-0 202 8 0.0 0.2 0.6 1.7 5.4 2.2 202 0.0 0.1 0.4 1.3 3.5 1.3 1.0 1.1 1.4 2.2 4.2 2.2 9 2-0 8 2-0 2-0 1.0 1.0 1.3 2.0 3.8 2.0 1.0 1.1 1.5 2.5 6.1 3.3 3-0 3 0.0 0.1 0.4 1.3 3.5 1.3 1.0 1.2 1.5 2.6 6.5 3.4 202 3-0 2 0.0 0.1 0.4 1.3 3.5 1.3 202 2-0 7 2-0 6 5 4 2-0 202 0.0 0.1 0.4 1.4 3.8 1.4 202 2-0 8 2-0 8 2-0 202 2-0 7 6 202 2-0 5 -04 2-0 202 202 202 2-0 0.0 0.1 0.4 1.3 3.6 1.3 202 7 2-0 202 202 2-0 6 5 -04 2-0 202 202 2-0 3 202 2 202 2 2-0 3 0.0 0.1 0.4 1.4 3.6 1.4 202 2-0 3 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.6 0.5 0.5 0.6 0.6 1.7 1.8 1.9 1.8 1.9 1.9 6.4 6.1 6.2 5.8 5.9 6.3 2.6 2.4 2.5 2.4 2.4 2.6 Short Exposure Excluding IRDs 1.0 1.1 1.5 2.4 5.1 2.9 202 7 2-0 202 202 6 5 2-0 2-0 202 -03 2-0 4 202 202 202 2 202 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.0 1.1 1.1 1.3 1.4 1.4 1.3 1.4 1.4 2.1 2.1 2.1 2.0 2.1 2.1 3.9 4.0 4.0 3.8 4.0 3.9 2.1 2.1 2.2 2.1 2.2 2.1 Short Exposure Including IRDs 202 -02 0.0 0.1 0.5 1.5 3.8 1.5 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.2 1.1 1.4 1.5 1.5 1.5 1.5 1.5 2.4 2.5 2.5 2.4 2.6 2.5 5.5 5.7 6.0 5.3 5.9 5.6 3.1 3.2 3.2 3.0 3.2 3.2 Long Exposure Excluding IRDs 202 2-0 2 2-0 2 0.0 0.2 0.6 1.9 7.1 2.8 2-0 2 2-0 1 -12 202 2 202 -01 0.0 0.1 0.5 1.5 3.9 1.6 1.0 1.1 1.4 2.2 4.4 2.2 202 -01 -01 0.0 0.2 0.6 1.8 7.3 2.7 1.0 1.1 1.5 2.6 6.3 3.4 202 202 202 2 202 2 1-1 2 1-1 2 0.0 0.1 0.4 1.3 3.8 1.4 1.0 1.1 1.4 2.2 4.3 2.3 202 2 202 202 0.0 0.2 0.5 1.7 6.4 2.7 1.0 1.1 1.5 2.7 6.2 3.4 202 3-0 1 0.0 0.1 0.5 1.5 4.0 1.5 1.0 1.1 1.3 2.1 4.0 2.1 202 1-1 1 1-1 1 0.0 0.2 0.6 1.9 7.1 3.1 1-1 2 202 1 -11 202 1 1-1 1 202 -10 0.0 0.1 0.5 1.6 4.1 1.6 1.0 1.1 1.4 2.2 4.3 2.3 202 -10 1-0 9 0.0 0.1 0.4 1.3 3.8 1.4 0 0.0 0.2 0.6 1.9 7.1 3.1 1.0 1.1 1.5 2.5 5.9 3.2 202 9 1-1 0 202 1-0 1-0 9 1-0 9 202 1 202 0.0 0.1 0.5 1.7 6.0 2.5 202 1-1 8 1-0 0.0 0.1 0.4 1.3 3.9 1.4 1.0 1.1 1.4 2.2 4.5 2.3 1.0 1.1 1.5 2.7 6.2 3.7 2-1 2 0.0 0.1 0.4 1.3 3.9 1.5 202 1-0 202 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.5 2.7 6.6 3.7 202 1 8 0.0 0.2 0.5 1.7 6.3 2.6 202 8 8 202 1-0 1-0 202 0.0 0.2 0.6 1.7 6.8 2.5 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.0 1.3 2.2 4.3 2.2 202 1.0 1.1 1.3 2.1 4.4 2.3 1.0 1.1 1.5 2.5 5.8 3.2 202 1-0 1-0 1-0 1-0 202 1.0 1.1 1.4 2.2 4.4 2.3 1.0 1.1 1.5 2.5 6.3 3.5 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 202 1.0 1.1 1.5 2.7 6.5 3.5 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 7 Long Exposure Including IRDs 0.0 0.1 0.4 1.5 4.2 1.5 January 9, 2024 B Analytics Office Gross Exposure by Strategy5 Table 41: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2021Q3 2,229 1,201 649 *** *** 1,427 1,035 691 100 126 57 61 893 790 66 34 4 453 348 105 449 202 141 107 246 *** *** 57 6,789 2021Q4 2,250 1,211 643 396 0 1,456 1,063 709 102 123 65 63 794 704 54 *** *** 479 359 119 458 205 145 108 222 *** *** 65 6,787 2022Q1 2,029 1,098 577 *** *** 1,483 1,043 676 110 112 74 70 856 745 73 *** *** 485 359 127 429 202 136 91 238 *** *** 75 6,637 2022Q2 1,773 969 467 *** *** 1,441 1,028 684 113 89 79 62 874 744 88 39 2 482 350 132 403 201 112 90 215 *** *** 69 6,284 2022Q3 1,676 930 414 *** *** 1,427 969 638 115 84 72 60 886 748 92 44 2 507 367 140 394 201 101 93 258 *** *** 68 6,185 2022Q4 1,757 980 438 *** *** 1,458 950 627 121 82 54 66 999 902 58 37 2 527 378 149 371 203 96 72 196 *** *** 71 6,330 2023Q1 1,793 995 448 *** *** 1,487 1,035 706 103 88 76 61 897 820 44 *** *** 543 390 154 382 201 106 75 195 *** *** 84 6,416 2023Q2 1,887 1,064 453 *** *** 1,512 1,091 722 129 94 85 61 995 924 40 *** *** 538 369 168 397 210 102 85 287 *** *** 86 6,793 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 36 January 9, 2024 Analytics Office Table 42: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2021Q3 53.5 28.8 15.6 *** *** 34.2 24.9 16.6 2.4 3.0 1.4 1.5 21.4 19.0 1.6 0.8 0.1 10.9 8.4 2.5 10.8 4.8 3.4 2.6 5.9 *** *** 1.4 163.0 2021Q4 53.7 28.9 15.4 9.4 0.0 34.8 25.4 16.9 2.4 2.9 1.5 1.5 18.9 16.8 1.3 *** *** 11.4 8.6 2.9 10.9 4.9 3.5 2.6 5.3 *** *** 1.6 162.0 37 2022Q1 48.9 26.5 13.9 *** *** 35.7 25.1 16.3 2.7 2.7 1.8 1.7 20.6 18.0 1.8 *** *** 11.7 8.7 3.0 10.3 4.9 3.3 2.2 5.7 *** *** 1.8 160.0 2022Q2 45.7 25.0 12.0 *** *** 37.1 26.5 17.6 2.9 2.3 2.0 1.6 22.5 19.2 2.3 1.0 0.1 12.4 9.0 3.4 10.4 5.2 2.9 2.3 5.5 *** *** 1.8 162.0 2022Q3 44.4 24.7 11.0 *** *** 37.8 25.7 16.9 3.0 2.2 1.9 1.6 23.5 19.8 2.4 1.2 0.1 13.5 9.7 3.7 10.5 5.3 2.7 2.5 6.8 *** *** 1.8 164.0 2022Q4 46.3 25.8 11.6 *** *** 38.5 25.1 16.5 3.2 2.2 1.4 1.7 26.3 23.8 1.5 1.0 0.1 13.9 10.0 3.9 9.8 5.4 2.5 1.9 5.2 *** *** 1.9 166.9 2023Q1 46.2 25.6 11.6 *** *** 38.3 26.7 18.2 2.7 2.3 2.0 1.6 23.1 21.1 1.1 *** *** 14.0 10.0 4.0 9.8 5.2 2.7 1.9 5.0 *** *** 2.2 165.3 2023Q2 47.9 27.0 11.5 *** *** 38.4 27.7 18.3 3.3 2.4 2.2 1.6 25.3 23.4 1.0 *** *** 13.7 9.4 4.3 10.1 5.3 2.6 2.2 7.3 *** *** 2.2 172.4 January 9, 2024 C Analytics Office Leverage by Strategy Table 43: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Credit Equity Managed Futures/CTA Other Investment in other funds Event Driven 2021Q3 7.0 4.8 3.3 1.5 1.5 1.5 1.5 1.3 1.4 2021Q4 7.0 4.2 3.4 1.6 1.5 1.4 1.5 1.3 1.4 2022Q1 6.0 4.5 3.1 1.6 1.6 1.5 1.4 1.2 1.4 2022Q2 6.5 4.3 3.0 1.6 1.6 1.9 1.4 1.5 1.4 2022Q3 6.2 4.5 2.9 1.7 1.6 1.6 1.5 1.4 1.3 2022Q4 5.9 4.9 3.5 1.7 1.6 1.5 1.5 1.3 1.3 2023Q1 5.8 5.0 3.6 1.7 1.6 1.6 1.5 1.3 1.3 2023Q2 6.2 5.6 3.9 1.8 1.7 1.5 1.4 1.4 1.3 Table 44: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Investment in other funds Credit Equity Other Event Driven 2021Q3 34.6 26.4 22.9 16.2 3.3 3.0 2.9 3.2 2.0 2021Q4 32.9 27.1 16.9 16.0 3.3 3.1 3.1 3.1 1.9 2022Q1 33.0 25.4 15.0 14.9 2.8 3.2 2.9 3.1 1.9 2022Q2 29.2 24.8 16.5 13.2 4.1 3.1 2.9 2.9 2.0 2022Q3 29.6 23.8 14.0 11.0 3.9 3.2 2.9 2.9 1.8 2022Q4 34.9 21.3 14.3 14.5 3.0 3.2 2.9 2.9 1.8 2023Q1 37.3 23.1 12.1 14.1 5.8 3.4 3.0 2.8 2.1 2023Q2 36.8 25.5 17.1 14.8 3.6 3.5 3.1 2.7 2.1 Table 45: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Macro Managed Futures/CTA Relative Value Multi-Strategy Investment in other funds Equity Other Event Driven Credit 2021Q3 42.3 42.7 21.1 25.4 1.6 8.1 11.6 7.7 8.8 2021Q4 42.8 48.2 21.8 26.1 8.2 8.5 11.8 8.1 8.3 2022Q1 44.1 51.0 23.3 23.9 4.9 10.3 11.3 10.7 6.8 38 2022Q2 44.1 56.0 23.8 27.7 6.8 12.7 11.5 9.6 8.3 2022Q3 42.2 54.2 25.0 27.9 5.5 13.6 12.3 10.0 7.3 2022Q4 45.7 49.3 23.5 30.5 6.1 13.8 11.5 9.8 8.9 2023Q1 43.1 39.9 25.9 27.3 7.5 12.4 9.6 8.1 8.5 2023Q2 41.3 38.8 26.6 25.7 11.3 11.1 9.0 8.4 7.4 January 9, 2024 D Analytics Office Investment Exposures Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Repurchase Agreements Non-Financial Listed Equities U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Commodity Derivatives Financial Listed Equities Leveraged Loans Non-Financial Corporate Bonds Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Sovereign Bonds - Other Other Derivatives MBS Physical Real Estate Other Private Funds Cash/Cash Equivalents - MMFs Other ABS/Structured Products Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2021Q3 7,640 4,077 2,270 2,712 1,735 1,595 1,472 783 416 534 455 361 247 272 254 240 332 188 212 146 175 181 60 133 178 98 105 73 52 38 27 21 16 9 7 2021Q4 7,476 3,973 2,221 2,751 1,760 1,578 1,412 759 465 573 393 376 261 280 216 218 308 207 205 166 183 208 59 141 173 112 105 71 46 39 29 22 16 9 6 2022Q1 7,770 3,819 2,197 2,488 1,690 1,775 1,373 750 477 854 424 348 274 272 231 216 267 215 170 176 184 199 63 144 154 110 101 76 47 39 30 19 17 8 9 39 2022Q2 7,165 3,415 2,167 2,120 1,523 1,482 1,377 809 478 527 399 307 277 248 261 224 209 219 189 186 186 228 55 149 125 118 93 71 56 36 27 17 15 7 9 2022Q3 6,606 3,407 2,074 2,020 1,493 1,459 1,311 740 478 509 374 285 281 246 220 221 181 210 183 171 184 218 57 151 119 112 84 68 46 36 26 18 14 6 3 2022Q4 7,256 3,068 2,136 2,092 1,671 1,465 1,471 683 483 519 360 307 295 254 220 240 197 242 180 186 175 215 56 155 118 113 87 79 60 40 37 16 15 6 6 2023Q1 7,238 3,354 2,349 2,200 1,814 1,496 1,386 739 498 469 387 312 310 265 225 301 208 220 179 191 175 187 56 153 123 114 93 75 41 41 39 16 16 8 4 2023Q2 7,159 3,676 2,513 2,321 2,176 1,587 1,399 848 509 493 374 338 323 281 257 248 221 218 208 203 177 174 161 160 128 120 107 80 69 41 35 18 16 7 4 January 9, 2024 Analytics Office Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Repurchase Agreements Non-Financial Listed Equities U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Commodity Derivatives Financial Listed Equities Leveraged Loans Non-Financial Corporate Bonds Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Sovereign Bonds - Other Other Derivatives MBS Physical Real Estate Other Private Funds Cash/Cash Equivalents - MMFs Other ABS/Structured Products Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2021Q3 48.5 57.0 46.8 71.4 57.2 51.4 48.5 47.0 99.8 73.3 63.8 73.5 98.0 79.1 56.8 72.8 70.2 61.9 71.9 *** 99.9 *** 85.3 91.7 97.7 96.0 60.1 87.1 65.0 *** 99.7 *** 97.9 95.0 98.4 2021Q4 47.8 55.2 48.5 71.8 56.9 51.9 48.5 44.5 99.9 71.9 65.2 73.1 98.0 74.5 62.5 74.9 64.2 51.6 70.0 *** 99.9 *** 84.2 90.7 97.9 94.8 55.5 86.4 62.8 *** 99.7 98.6 97.8 96.2 *** 2022Q1 48.1 56.0 49.0 70.3 59.2 56.9 47.9 43.0 99.7 67.2 64.3 71.4 98.2 77.2 61.7 71.9 63.4 50.5 78.4 *** 99.9 *** 80.7 91.4 97.3 93.4 54.2 86.5 55.3 *** 99.7 98.9 98.1 96.7 99.8 40 2022Q2 47.4 55.2 48.5 68.2 62.8 50.6 48.2 40.2 99.8 77.3 59.9 69.5 98.7 75.4 60.8 67.3 58.6 44.8 81.7 *** 99.9 99.9 83.5 91.6 97.2 90.7 55.6 87.0 52.8 86.3 99.9 *** 98.8 96.3 99.4 2022Q3 47.0 54.6 47.2 67.8 60.0 48.3 49.7 41.1 99.9 78.5 55.4 68.6 97.6 76.4 62.1 63.6 60.7 41.9 83.6 *** 99.9 *** 82.3 89.4 97.5 90.0 55.5 86.3 61.7 86.7 99.9 99.2 98.3 96.3 *** 2022Q4 50.6 53.0 46.5 67.4 59.2 51.5 48.2 47.7 99.6 77.4 59.1 68.1 97.5 76.8 66.1 64.5 63.5 40.8 83.6 *** 100.0 99.9 86.5 91.3 97.7 86.4 59.0 88.6 58.8 88.1 99.9 98.8 98.5 98.1 93.9 2023Q1 48.3 53.8 43.2 66.8 61.5 50.4 48.9 45.9 99.8 81.7 57.5 67.5 97.8 76.2 59.1 65.0 69.0 58.7 84.3 *** *** *** 86.2 90.3 98.4 85.7 56.9 82.2 70.5 87.5 99.9 99.3 99.0 98.5 96.9 2023Q2 46.8 55.6 40.0 66.7 56.2 51.4 46.6 47.3 99.8 80.2 55.9 66.7 97.6 75.9 60.7 69.6 69.2 51.5 84.0 *** 100.0 *** 91.1 90.1 98.5 83.4 58.3 80.7 59.7 87.6 99.9 *** 98.8 97.8 98.2 January 9, 2024 E Analytics Office Number of Positions Figure 12: Number of Positions Reported by Qualifying Hedge Funds 202 3-0 2 202 202 3 -0 202 202 3-0 6 3-0 5 202 3 -0 1 4 202 3 -0 3 202 2 202 2 -1 0 13 50 171 620 2,172 2,850 12 50 173 626 2,204 2,926 12 49 164 592 2,027 2,825 13 49 170 609 2,219 2,999 13 49 166 607 2,249 3,034 13 49 158 558 1,930 2,877 12 49 168 594 2,092 3,000 12 50 164 591 2,129 3,109 12 48 157 557 1,884 2,994 12 49 164 570 2,128 2,845 12 49 162 582 2,179 2,912 12 48 150 553 1,942 2,820 2-1 202 12 47 157 564 2,012 2,688 2-0 2 -1 1 2-0 202 12 49 165 622 2,321 2,790 1-0 9 202 2-0 7 12 49 169 605 2,082 2,674 41 8 202 202 2-0 6 2-0 202 13 47 164 575 2,010 2,365 1-0 5 202 13 50 176 623 2,048 2,490 2-0 202 13 50 177 624 2,009 2,403 2-0 3 202 14 47 162 575 1,925 2,291 2-0 2 202 1-1 14 51 170 627 2,053 2,440 2-0 1 -11 202 1 14 51 173 617 2,033 2,397 2 202 1-1 13 48 159 587 1,888 2,315 0 9 1-0 202 14 51 167 613 2,010 2,393 8 202 14 51 168 593 1,950 2,377 7 202 Month 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 4 As reported on Form PF, Question 34. January 9, 2024 F Analytics Office Liquidity Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2021Q3 7.5 11.1 23.1 40.2 52.3 63.5 2021Q4 7.5 11.0 23.1 42.9 50.3 62.8 2022Q1 7.5 10.9 23.4 39.8 50.1 62.2 2022Q2 5.8 8.6 19.9 36.7 47.0 60.4 2022Q3 5.5 8.2 18.9 35.6 47.4 59.1 2022Q4 5.6 8.2 18.5 37.8 45.6 58.5 2023Q1 5.4 7.5 18.6 34.5 45.4 56.7 2023Q2 5.6 7.8 17.9 34.1 44.3 56.5 Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2021Q3 33.3 53.2 66.1 73.0 77.3 82.2 2021Q4 33.7 52.9 65.7 72.5 77.0 81.9 2022Q1 35.4 53.5 64.9 71.1 75.5 80.5 2022Q2 33.6 51.5 62.3 68.4 73.5 79.3 2022Q3 33.6 50.4 61.3 67.6 72.8 78.6 2022Q4 32.3 49.4 60.3 66.4 71.8 77.9 2023Q1 31.5 49.0 59.1 65.2 70.8 76.5 2023Q2 31.3 49.1 59.6 65.7 70.7 76.7 Figure 13: 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 Second Calendar Quarter 2023 Statistic Port. Liquidity Inv. Liquidity At most 1 day 31.3 5.6 At most 7 days 49.1 7.8 At most 30 days 59.6 17.9 At most 90 days 65.7 34.1 At most 180 days 70.7 44.3 At most 365 days 76.7 56.5 Table 50: 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 2021Q3 2,981 1,926 110 84 18 2021Q4 2,924 1,885 114 84 18 2022Q1 2,884 1,878 104 74 17 2022Q2 2,660 1,847 97 74 14 42 2022Q3 2,534 1,754 96 75 13 2022Q4 2,499 1,728 90 81 20 2023Q1 2,562 1,757 87 80 22 2023Q2 2,574 1,762 90 81 23 January 9, 2024 Analytics Office Figure 14: 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 2021Q3 2.0 4.0 12.0 25.2 48.0 19.6 2021Q4 2.0 5.0 13.5 28.3 50.0 20.6 2022Q1 2.0 5.0 14.0 30.0 55.0 21.9 2022Q2 2.0 5.5 13.0 31.0 55.0 21.5 43 2022Q3 2.0 6.0 13.0 31.0 59.0 21.6 2022Q4 2.0 6.0 12.0 26.0 44.0 19.3 2023Q1 2.0 5.0 10.0 24.0 47.0 18.6 2023Q2 1.0 5.0 11.5 27.8 44.0 19.4 January 9, 2024 G Analytics Office Borrowings Table 51: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Reverse Repo Prime Broker Other Secured Subtotal Total 2021Q3 3,671 1,205 1,919 547 32 3,704 2021Q4 3,747 1,151 1,964 633 49 3,796 2022Q1 3,531 1,090 1,842 599 39 3,570 2022Q2 3,397 1,150 1,659 588 34 3,431 2022Q3 3,300 1,143 1,590 567 36 3,336 2022Q4 3,431 1,215 1,634 582 39 3,470 2023Q1 3,709 1,432 1,706 570 40 3,748 2023Q2 4,008 1,636 1,824 547 38 4,046 Table 52: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2021Q3 64.5 34.8 0.6 0.1 2021Q4 65.3 33.9 0.7 0.2 2022Q1 63.7 35.4 0.9 0.0 2022Q2 63.9 35.4 0.7 0.0 2022Q3 65.1 33.8 1.1 0.0 2022Q4 64.1 34.8 1.0 0.1 2023Q1 63.6 35.5 0.8 0.0 2023Q2 64.2 35.1 0.7 0.0 Table 53: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2021Q3 2,433 1,582 852 1,271 908 363 709 522 186 4,413 2021Q4 2,408 1,586 822 1,204 826 378 755 520 235 4,367 2022Q1 2,236 1,471 765 1,141 766 375 727 528 199 4,103 44 2022Q2 1,971 1,321 650 1,196 815 381 734 561 173 3,902 2022Q3 1,921 1,277 644 1,185 786 399 723 562 161 3,829 2022Q4 2,025 1,353 672 1,262 788 473 729 535 194 4,016 2023Q1 2,123 1,423 700 1,475 940 535 727 566 161 4,325 2023Q2 2,239 1,504 734 1,677 1,028 649 721 561 160 4,637 January 9, 2024 Analytics Office Figure 15: 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 2.0 1.3 1.0 1.0 1.1 1.4 1.9 1.3 1.0 1.0 1.1 1.4 1.9 1.3 1.0 1.0 1.1 1.4 1.8 1.2 45 *** *** *** *** *** *** 1.0 1.0 1.1 1.5 1.9 1.2 1.0 1.0 1.1 1.4 1.8 1.2 1.0 1.0 1.1 1.5 1.9 1.3 *** *** *** *** *** *** 0.9 1.0 1.1 1.5 1.9 1.3 1.0 1.0 1.1 1.5 1.8 1.3 0.9 1.0 1.1 1.5 2.0 1.3 -0 6 202 3 -0 6 0.9 1.0 1.3 2.2 5.1 4.5 -06 5 5 5 3-0 202 1.0 1.0 1.1 1.5 1.9 1.2 202 3 3-0 3-0 4 0.9 1.0 1.2 2.3 5.1 5.6 0.9 1.0 1.3 2.3 5.0 2.8 202 3 3-0 4 3-0 202 0.9 1.0 1.3 2.3 5.2 9.4 202 3-0 202 2 3-0 202 3-0 2-1 202 1 2-1 202 1.0 1.0 1.1 1.4 1.8 1.3 202 202 2-1 2-1 202 1.0 1.0 1.0 1.4 1.7 1.2 202 0.9 1.0 1.3 2.2 5.5 4.8 202 202 3 -0 3 1.0 1.0 1.3 2.3 6.0 11.5 4 202 3 -0 2 0.9 1.0 1.3 2.2 5.4 7.4 3-0 202 3 -0 3 202 3-0 1 0.9 1.0 1.3 2.3 5.7 4.5 0.9 1.0 1.3 2.2 4.8 3.4 202 202 3 -0 2 202 2-1 2 0.9 1.0 1.4 2.4 7.0 14.2 0.9 1.0 1.3 2.3 5.0 4.6 3 202 3-0 1 202 2-1 1 0.9 1.0 1.3 2.3 7.0 14.8 1 202 2-1 2 0.9 1.0 1.4 2.3 4.8 3.2 2 0.9 1.0 1.4 2.3 5.6 5.9 0 0 0.9 1.0 1.4 2.3 5.5 4.7 2-1 202 2-1 1 0.9 1.0 1.4 2.3 5.2 3.1 9 2-0 202 8 2-0 7 2-0 1.0 1.0 1.1 1.5 1.9 1.3 202 202 202 2-0 6 5 2-0 202 -04 202 2 2-0 3 1.0 1.0 1.1 1.4 1.8 1.3 0.8 1.0 1.4 2.3 5.8 4.6 202 202 2 -0 9 202 2 -0 8 202 2-0 7 2 -0 6 202 202 2-0 5 3 2-0 4 202 202 2-0 2 1.0 1.0 1.1 1.4 1.8 1.2 202 2-0 2 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.4 1.3 1.3 1.3 1.3 1.3 1.3 1.3 2.4 2.4 2.4 2.3 2.3 2.1 2.2 2.3 6.0 6.2 7.2 8.0 6.9 5.5 6.0 7.1 6.4 5.8 9.3 9.9 6.2 4.6 8.2 6.8 Ratio of Collateral/Reverse Repo Borrowing 0.8 1.0 1.3 2.2 5.6 5.8 0 202 2 -0 9 202 2 -0 8 2 -0 6 202 2-0 7 202 202 2-0 5 3 2-0 4 202 2 202 2-0 202 2-0 2 2-0 1 1.0 1.0 1.1 1.4 1.9 1.2 202 2-0 2-0 1 -01 1.0 1.0 1.4 2.5 6.6 6.5 0.9 0.9 0.9 0.9 0.9 0.8 0.8 0.9 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.3 1.4 1.4 1.3 1.3 1.3 1.3 1.4 2.3 2.3 2.4 2.2 2.2 2.2 2.1 2.2 5.5 5.6 6.3 5.7 5.6 5.5 5.5 5.8 3.5 3.7 4.1 3.7 3.3 4.0 4.3 4.5 Ratio of Collateral/Prime Broker Borrowing 202 202 202 2 1.0 1.0 1.1 1.4 1.8 1.2 0.9 1.0 1.4 2.3 5.2 4.1 202 2 1-1 202 1-1 202 1.0 1.0 1.3 2.4 5.8 4.4 1-1 2 1 1.0 1.0 1.1 1.4 1.9 1.2 0.9 1.0 1.3 2.3 5.3 3.4 202 1-1 1 -10 1.0 1.0 1.1 1.4 1.9 1.3 1.0 1.0 1.3 2.5 5.8 3.9 202 0.9 1.0 1.3 2.4 5.1 4.3 1 202 1-1 202 1-1 1-1 0 1-1 0 202 0.9 1.0 1.3 2.3 4.7 3.2 202 9 1-0 9 202 8 1.0 1.0 1.1 1.5 1.9 1.3 0.9 1.0 1.3 2.3 5.0 3.5 202 1 0.9 1.0 1.3 2.5 5.6 8.2 9 202 1-0 202 1-0 1-0 8 8 1-0 202 0.9 1.0 1.3 2.5 5.6 7.3 1-0 1-0 202 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.3 2.4 5.3 4.4 202 202 1 0.9 1.0 1.3 2.4 5.5 3.9 7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.3 2.5 5.8 5.0 202 0.8 1.0 1.3 2.5 5.5 4.2 -07 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 202 1 -07 Ratio of Total Collateral/Total Secured Borrowing 1.0 1.0 1.1 1.5 2.0 1.3 January 9, 2024 Analytics Office Table 54: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2021Q3 36.4 47.7 64.8 76.6 94.4 95.5 2021Q4 26.4 42.7 63.0 77.3 93.9 95.5 2022Q1 35.5 46.2 63.6 76.6 93.9 95.1 2022Q2 36.7 47.0 64.7 76.2 92.9 94.3 2022Q3 27.1 47.0 62.2 75.5 92.8 94.2 2022Q4 25.3 41.4 61.7 75.3 91.8 94.0 2023Q1 28.4 47.8 63.6 76.3 92.8 94.6 2023Q2 27.8 48.4 63.7 77.3 92.8 94.6 Figure 16: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of Second Calendar Quarter 2023. Statistic Financing Liquidity H At most 1 day 27.8 At most 7 days 48.4 At most 30 days 63.7 At most 90 days 77.3 At most 180 days 92.8 At most 365 days 94.6 Central Clearing Figure 17: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2021Q3 15.4 15.1 2021Q4 15.7 14.1 2022Q1 15.9 14.7 2022Q2 14.2 13.6 46 2022Q3 13.5 13.2 2022Q4 12.9 12.3 2023Q1 12.9 12.4 2023Q2 14.0 13.2 January 9, 2024 I Analytics Office Value-at-Risk (“VaR”) Reporting Table 55: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q3 663 266 199 193 53 1,353 2021Q4 678 268 201 201 55 1,396 2022Q1 685 268 210 202 52 1,409 2022Q2 653 275 193 181 52 1,408 2022Q3 694 284 186 220 50 1,346 2022Q4 651 280 181 181 53 1,421 2023Q1 625 271 181 167 47 1,419 2023Q2 646 284 180 171 51 1,442 Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q3 4,590 2,322 984 735 1,127 3,718 2021Q4 4,467 2,198 1,014 721 1,119 3,866 2022Q1 4,449 2,154 1,029 695 1,124 3,817 2022Q2 4,317 2,146 966 625 1,114 3,605 2022Q3 4,266 2,146 916 641 1,095 3,428 2022Q4 4,326 2,174 945 556 1,220 3,501 2023Q1 4,436 2,263 938 560 1,233 3,564 2023Q2 4,770 2,500 907 577 1,389 3,668 Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q3 1,542 619 443 437 185 2,624 2021Q4 1,549 608 448 441 182 2,642 2022Q1 1,550 613 460 422 191 2,599 47 2022Q2 1,418 604 391 368 192 2,461 2022Q3 1,425 620 372 373 200 2,347 2022Q4 1,357 593 373 330 191 2,437 2023Q1 1,352 595 367 325 199 2,529 2023Q2 1,363 607 352 329 209 2,577 January 9, 2024 J Analytics Office Stress Testing and VaR Table 58: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2021Q3 556 472 107 881 2021Q4 562 478 116 918 2022Q1 571 479 114 930 2022Q2 581 465 72 943 2022Q3 589 458 105 888 2022Q4 578 466 73 955 2023Q1 556 469 69 950 2023Q2 576 467 70 975 Table 59: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2021Q3 4,226 1,538 364 2,181 2021Q4 4,076 1,555 391 2,311 2022Q1 4,108 1,548 341 2,269 2022Q2 4,084 1,450 234 2,155 2022Q3 4,001 1,384 264 2,045 2022Q4 4,099 1,398 227 2,104 2023Q1 4,216 1,386 221 2,178 2023Q2 4,528 1,427 241 2,241 Table 60: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2021Q3 1,288 936 254 1,688 2021Q4 1,287 922 261 1,720 2022Q1 1,302 904 248 1,695 2022Q2 1,274 850 144 1,611 48 2022Q3 1,266 821 159 1,526 2022Q4 1,220 843 138 1,594 2023Q1 1,216 860 136 1,669 2023Q2 1,226 872 137 1,705 January 9, 2024 K Analytics Office Stress Testing Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor As reported on Form PF, Question 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q3 844 748 708 610 501 428 268 228 2021Q4 860 746 708 622 499 425 270 227 2022Q1 876 766 722 650 530 443 291 252 2022Q2 864 771 736 657 526 455 287 252 2022Q3 859 778 735 656 523 451 286 247 2022Q4 857 768 732 657 524 447 288 253 2023Q1 839 751 718 655 512 429 296 258 2023Q2 856 770 733 662 525 440 293 261 Table 62: Aggregate GAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 8 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q3 5,194 4,646 4,927 4,228 3,909 3,883 1,136 882 2021Q4 5,042 4,527 4,758 4,235 3,713 3,742 1,134 899 2022Q1 5,087 4,562 4,870 4,359 3,796 3,846 1,184 970 2022Q2 5,086 4,489 4,808 4,341 3,787 3,975 1,123 936 2022Q3 4,940 4,392 4,707 4,225 3,707 3,867 1,139 901 2022Q4 5,062 4,519 4,801 4,352 3,842 4,002 1,102 938 2023Q1 5,179 4,610 4,883 4,479 3,873 4,078 1,132 1,093 2023Q2 5,523 4,917 5,210 4,774 4,428 4,385 1,239 1,238 Table 63: Aggregate NAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q3 1,989 1,675 1,623 1,377 1,167 1,123 482 379 2021Q4 1,972 1,655 1,599 1,385 1,128 1,108 467 374 2022Q1 1,967 1,691 1,654 1,459 1,192 1,151 504 422 49 2022Q2 1,894 1,639 1,629 1,448 1,176 1,169 484 409 2022Q3 1,858 1,634 1,625 1,443 1,166 1,159 471 382 2022Q4 1,833 1,590 1,586 1,416 1,140 1,115 427 390 2023Q1 1,846 1,601 1,593 1,436 1,124 1,123 443 401 2023Q2 1,870 1,596 1,607 1,447 1,192 1,145 437 415 January 9, 2024 Analytics Office Table 64: Number of Qualifying Hedge Funds Stressing Market Factors As reported on Form PF, Question 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q3 988 214 130 83 101 137 155 71 137 2021Q4 1,034 223 130 84 103 127 165 79 129 2022Q1 1,044 212 129 83 101 126 167 81 151 2022Q2 1,015 208 126 80 100 131 168 79 154 2022Q3 993 208 128 78 108 127 166 82 150 2022Q4 1,028 206 129 82 100 128 167 82 150 2023Q1 1,019 207 123 81 94 126 159 78 157 2023Q2 1,045 206 123 82 101 134 164 80 153 Table 65: Aggregate GAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q3 2,545 444 629 324 363 929 2,101 360 613 2021Q4 2,702 485 618 314 353 747 2,159 348 606 2022Q1 2,611 432 568 306 352 871 2,123 341 662 2022Q2 2,389 412 431 279 425 811 2,193 335 647 2022Q3 2,309 385 407 267 471 738 2,127 373 616 2022Q4 2,330 374 406 305 394 778 2,263 346 632 2023Q1 2,399 377 412 308 404 809 2,133 527 632 2023Q2 2,482 385 426 331 406 627 2,458 597 724 Table 66: Aggregate NAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 9 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q3 1,942 300 322 231 176 321 477 170 227 2021Q4 1,982 319 312 215 189 291 502 169 212 2022Q1 1,944 276 294 212 187 302 509 174 252 2022Q2 1,755 255 269 190 176 281 543 160 249 50 2022Q3 1,685 234 259 183 198 267 544 169 233 2022Q4 1,732 241 256 214 175 264 540 142 232 2023Q1 1,805 246 258 212 168 281 524 149 238 2023Q2 1,842 246 259 217 158 272 553 155 237 January 9, 2024 IX A Analytics Office Section 3 Liquidity Fund Specific Information Liquidity Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2021Q3 68.6 92.6 97.3 97.8 98.8 99.8 2021Q4 68.9 92.4 96.6 97.8 99.0 99.8 2022Q1 69.5 91.6 96.0 97.9 99.5 99.8 2022Q2 66.4 91.8 96.5 98.5 99.6 99.8 2022Q3 68.1 92.7 97.2 98.5 99.5 99.6 2022Q4 70.7 93.1 97.2 98.3 99.5 99.7 2023Q1 71.1 92.9 97.3 98.2 99.3 99.7 2023Q2 71.0 92.6 97.0 97.9 99.1 99.8 Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2021Q4 291 260 0 0 2022Q1 290 261 0 0 2022Q2 310 281 0 0 2022Q3 313 281 0 0 2022Q4 302 275 0 0 2023Q1 294 266 0 0 2023Q2 301 274 0 0 Portfolio Characteristics Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 5 3-0 6 4 202 202 202 202 202 202 3-0 202 3-0 202 3-0 2 3 1 3-0 202 2-1 202 3-0 2 1 0 2-1 202 2-0 202 2-1 9 8 7 2-0 6 202 2-0 202 2-0 5 4 2-0 3 202 2-0 2 202 2-0 1 202 2-0 202 2-0 1 2 202 1-1 0 202 1-1 9 202 1-1 202 1-0 1-0 202 Statistic Average WAM Asset-Weighted WAM 202 1-0 7 8 As reported on Form PF, Questions 55. 36.8 48.7 36.7 47.7 43.0 49.2 48.1 50.9 46.3 49.8 41.7 45.4 40.6 35.8 38.8 37.5 37.1 42.2 39.0 39.7 35.0 30.5 31.2 30.6 30.7 30.3 21.2 25.5 21.3 29.3 24.1 25.0 30.1 27.7 26.7 25.4 29.1 26.1 27.7 29.0 25.9 24.4 28.1 24.1 29.5 26.2 29.8 30.0 Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days) 6 5 202 202 3-0 202 3-0 4 202 3-0 202 3-0 3 2 1 202 3-0 2 202 3-0 202 2-1 202 2-1 1 0 202 2-1 9 8 202 2-0 7 202 2-0 6 202 2-0 202 2-0 2-0 202 2-0 5 3 4 2 2-0 202 2-0 202 52.0 63.3 58.3 65.5 62.0 66.2 59.8 64.0 54.7 59.0 52.7 51.9 52.3 55.8 51.4 61.1 54.2 59.3 51.6 50.4 47.8 52.2 47.6 50.5 38.1 45.4 38.5 48.1 41.8 47.6 49.5 50.0 45.6 46.6 47.2 45.6 44.4 46.4 42.8 42.4 45.7 41.6 47.9 45.4 46.7 49.6 2-0 202 1 2 1-1 202 1 0 1-1 202 1-1 202 9 8 51.7 63.4 1-0 202 1-0 1-0 202 Statistic Average WAL Asset-Weighted WAL 202 7 As reported on Form PF, Questions 55. Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 4 1 6 3.62 3.95 3-0 3.26 3.53 202 2.39 2.87 5 2.55 2.73 3-0 2.06 2.14 202 1.88 1.67 3 1.33 1.30 3-0 0.87 0.78 3-0 0.52 0.45 202 0.47 0.36 2 0.29 0.14 3-0 0.25 0.09 202 0.20 0.06 3-0 0.19 0.06 202 0.17 0.05 202 2 2-1 202 1 2-1 202 0 2-1 9 202 2-0 202 2-0 202 8 7 2-0 202 6 202 0.17 0.05 51 2-0 5 2-0 202 2-0 4 3 202 2-0 202 2 2-0 202 1 2 0.14 0.05 1-1 202 2-0 1 1-1 202 0 202 1-1 202 9 1-0 8 0.14 0.06 1-0 202 Statistic Average Gross Yield Asset-Weighted Gross Yield 202 1-0 7 As reported on Form PF, Questions 55. 202 B 2021Q3 278 245 0 0 4.33 4.09 4.57 4.34 4.74 4.52 4.82 4.59 5.01 4.82 5.07 4.90 January 9, 2024 Analytics Office Figure 21: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 5 202 3-0 6 4 48.85 54.85 48.90 52.03 52.36 57.88 49.63 57.74 48.54 51.62 50.27 55.87 51.23 56.66 51.18 51.75 51.03 53.15 52.10 55.01 53.21 58.88 53.48 58.10 52.81 57.74 52.06 52.32 3-0 202 3 202 3-0 2 49.47 51.29 3-0 202 1 202 49.29 47.89 3-0 202 3-0 2 2-1 202 1 0 2-1 202 9 2-1 202 8 202 2-0 202 2-0 7 6 2-0 202 2-0 5 2-0 202 2-0 202 4 3 202 2 2-0 202 1 49.76 48.49 2-0 202 2 49.49 46.66 2-0 202 50.42 41.71 1-1 49.13 43.06 1-1 202 1 0 48.17 44.29 1-1 202 9 202 49.72 45.16 1-0 202 51.53 44.78 1-0 202 52.42 43.97 1-0 202 Statistic Average DLA Asset-Weighted DLA 8 7 As reported on Form PF, Questions 55. Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -06 5 202 3 4 202 3-0 3 202 3-0 2 62.53 70.93 61.63 66.93 61.60 66.79 61.02 68.16 60.76 67.78 63.36 71.25 63.44 73.02 60.87 68.95 60.99 64.84 3-0 202 3-0 1 60.25 65.95 3-0 202 59.89 70.12 2-1 202 62.88 69.17 2-1 202 60.24 64.11 2-1 202 2 1 0 9 202 8 202 2-0 7 59.72 66.04 2-0 202 62.38 64.01 52 2-0 6 2-0 202 5 2-0 202 4 60.89 60.09 2-0 202 3 2-0 202 2 202 60.03 58.19 2-0 202 1 2 60.23 59.46 2-0 62.00 57.18 1-1 202 1 59.67 56.56 1-1 202 0 59.45 59.17 1-1 202 9 202 60.76 60.48 1-0 202 61.81 58.10 1-0 202 62.05 58.49 1-0 202 Statistic Average WLA Asset-Weighted WLA 8 7 As reported on Form PF, Questions 55. January 9, 2024 C Analytics Office Rule 2a-7 Compliance Table 69: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type None Credit Quality Diversification Maturity Liquidity Fully 2021Q3 50.9 49.1 45.6 45.6 42.1 38.6 2021Q4 51.8 48.2 44.6 44.6 41.1 37.5 2022Q1 51.9 48.1 44.4 44.4 40.7 37.0 2022Q2 53.8 46.2 42.3 42.3 36.5 34.6 2022Q3 52.9 47.1 43.1 39.2 37.3 35.3 2022Q4 52.0 48.0 44.0 44.0 38.0 36.0 2023Q1 52.0 48.0 44.0 44.0 38.0 36.0 2023Q2 52.0 48.0 44.0 44.0 38.0 36.0 Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type None Credit Quality Diversification Maturity Liquidity Fully D 2021Q3 80.9 19.1 17.4 17.4 17.2 15.0 2021Q4 82.1 17.9 16.5 16.5 16.3 14.2 2022Q1 81.3 18.7 17.2 17.2 17.0 15.0 2022Q2 83.9 16.1 14.6 14.6 13.4 12.5 2022Q3 84.3 15.7 14.4 14.3 13.2 12.3 2022Q4 84.1 15.9 14.6 14.6 13.3 12.7 2023Q1 83.6 16.4 15.1 15.1 13.7 12.9 2023Q2 84.2 15.8 14.5 14.5 13.2 12.5 Methods of Calculating NAV Table 71: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2021Q3 77.2 22.8 2021Q4 75.0 25.0 2022Q1 74.1 25.9 2022Q2 71.2 28.8 2022Q3 64.7 35.3 2022Q4 72.0 28.0 2023Q1 72.0 28.0 2023Q2 72.0 28.0 Table 72: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2021Q3 66.7 33.3 2021Q4 64.4 35.6 2022Q1 67.2 32.8 2022Q2 61.2 38.8 53 2022Q3 62.1 37.9 2022Q4 65.9 34.1 2023Q1 68.8 31.2 2023Q2 69.1 30.9 January 9, 2024 Aggregate Portfolio Holdings Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 6 38.1 80.5 81.5 48.2 13.5 24.7 9.1 1.7 1.0 48.0 62.8 91.4 46.6 16.4 26.0 9.9 2.3 1.0 52.2 73.4 84.3 44.2 11.7 24.1 10.7 2.1 1.1 69.2 78.9 63.4 46.4 13.4 18.9 10.5 2.5 1.0 67.1 72.0 78.4 53.6 15.7 20.8 9.3 1.9 1.0 2-0 44.1 73.5 69.9 51.9 18.4 25.2 8.0 1.6 1.1 2-0 202 5 4 202 47.2 60.8 88.7 48.2 26.0 24.4 10.1 1.5 1.1 2-0 202 -03 202 2 2 31.6 82.0 88.8 50.5 21.0 24.5 10.6 1.6 1.0 2-0 202 1 31.3 83.1 88.7 53.1 18.9 23.9 7.7 1.3 1.1 2-0 2 202 40.2 69.7 73.1 51.4 26.0 23.0 12.1 1.4 1.1 1-1 202 1 202 35.2 75.5 80.2 51.7 21.0 21.0 11.6 1.2 0.9 1-1 202 1-1 0 1-0 9 8 202 Product Type Repo - Govt. Collateral Deposits U.S. Treasuries Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 1-0 202 26.0 83.1 86.4 52.3 24.0 20.9 12.4 1.3 0.9 1-0 202 7 As reported on Form PF, Question 63. Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 6 202 3-0 202 3-0 5 4 202 3-0 3 202 3-0 202 3-0 2 1 202 3-0 202 2-1 2 202 2 -11 0 2-1 202 2-0 9 -08 202 Product Type Repo - Govt. Collateral Deposits U.S. Treasuries Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 202 2 2-0 7 As reported on Form PF, Question 63. 202 E Analytics Office 80.9 85.0 57.2 46.5 11.3 20.4 10.4 3.3 0.9 86.3 88.8 59.9 42.1 10.0 20.2 9.1 5.2 1.0 78.8 73.9 69.2 45.3 16.6 20.6 8.7 5.2 1.0 85.2 91.4 48.8 49.5 14.1 20.1 10.4 5.7 0.9 78.4 88.9 53.8 53.0 13.7 17.7 10.9 5.4 0.9 84.2 70.4 49.7 52.9 17.9 18.6 9.7 8.7 0.8 82.0 78.3 43.0 52.7 13.8 19.2 7.7 7.7 0.7 84.3 78.0 47.5 47.6 10.1 20.1 9.4 7.5 0.7 103.7 69.4 32.7 45.1 14.5 16.9 10.9 13.9 0.7 105.4 75.3 25.6 47.8 21.8 17.7 11.2 13.1 1.0 104.9 81.7 27.2 47.0 15.3 17.8 10.0 10.7 1.0 75.3 75.3 58.5 47.7 21.0 18.2 11.1 6.3 0.9 54 January 9, 2024 Analytics Office X Section 4 Private Equity Fund Specific Information A CPC Industry Concentration Table 75: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Engineering Services Offices of Physicians Natural Gas Distribution Other Activities Related to Real... Consumer Lending Commercial Banking Hotels and Motels Lessors of Nonresidential Buildings Full-Service Restaurants Offices of Other Holding Companies Home Health Care Services Offices of Dentists Commercial and Service Industry... Lessors of Residential Buildings... Marketing Research and Public... Supermarkets and Other Grocery... Electric Power Generation,... Semiconductor & Other Electronic... Facilities Support Services Real Estate Credit Support Activities for Water... 2014Q4 3.8 2.3 0.4 1.0 1.0 0.6 0.8 0.4 0.2 0.2 0.4 0.5 0.6 1.1 0.7 0.8 0.9 0.3 0.3 0.2 0.1 0.4 0.2 0.5 3.8 0.7 0.1 0.4 0.6 2015Q4 4.9 1.8 0.6 1.5 1.0 0.6 0.6 0.5 0.4 0.3 0.6 0.3 0.8 0.9 0.6 0.8 0.7 0.6 0.3 0.2 0.3 0.4 0.2 0.5 3.7 0.6 0.2 0.9 0.5 2016Q4 6.1 2.0 1.8 1.5 1.2 0.9 1.0 0.9 0.3 0.4 0.7 0.4 0.9 0.8 0.7 0.7 0.5 0.3 0.3 0.2 0.3 0.4 0.2 0.5 4.1 0.4 0.2 0.6 0.6 55 2017Q4 6.0 2.3 1.6 1.5 1.1 0.8 0.8 0.9 0.3 0.3 1.0 0.4 0.8 0.7 0.4 0.7 0.5 0.4 0.3 0.3 0.3 0.3 0.2 0.3 4.2 0.3 0.3 0.5 0.7 2018Q4 8.0 3.5 1.3 1.8 1.0 1.4 0.6 1.0 0.3 0.3 1.0 0.3 0.6 0.3 0.2 0.6 0.3 0.5 0.4 0.3 0.4 0.3 0.1 0.3 4.5 0.5 0.1 0.4 0.7 2019Q4 10.6 4.2 1.2 2.1 1.1 1.4 0.6 0.8 0.3 0.5 0.7 0.3 0.6 0.3 0.4 1.1 0.4 0.4 0.5 0.3 0.3 0.3 0.2 0.2 4.3 0.5 0.1 0.4 0.5 2020Q4 9.7 3.6 1.8 1.9 1.5 1.9 1.0 1.2 0.3 0.5 0.8 0.3 0.7 0.4 0.4 0.6 0.3 0.4 0.6 0.3 0.2 0.2 0.2 0.2 4.8 0.6 0.2 0.4 0.4 2021Q4 11.7 3.4 2.2 2.5 1.7 1.4 1.6 1.5 0.4 0.7 0.6 0.4 0.6 0.4 0.4 0.4 0.2 0.4 0.4 0.3 0.2 0.3 0.2 0.2 3.7 0.5 0.2 0.2 0.3 2022Q4 12.0 4.2 2.9 2.8 1.8 1.4 1.1 1.0 0.7 0.7 0.6 0.6 0.5 0.5 0.5 0.5 0.4 0.4 0.4 0.3 0.2 0.2 0.2 0.2 *** *** 0.2 0.1 *** January 9, 2024 B Analytics Office CPC Financial Leverage Figure 23: 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 2014Q4 0.6 1.4 5.3 17.9 50.0 16.2 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 2017Q4 0.8 2.1 7.3 21.5 51.8 17.7 2018Q4 0.7 1.5 6.0 17.8 49.3 15.4 2019Q4 0.7 1.3 5.2 16.8 48.7 15.5 2020Q4 0.7 1.4 5.9 18.2 46.8 16.0 2021Q4 0.6 1.1 4.6 16.4 40.5 14.4 2022Q4 0.7 1.3 5.4 18.1 45.4 15.3 Figure 24: 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 2014Q4 1.0 3.0 8.0 22.0 40.0 16.8 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 2017Q4 1.0 3.0 8.0 17.0 42.0 16.5 56 2018Q4 1.0 3.0 9.0 22.2 56.0 19.5 2019Q4 2.0 4.0 11.0 27.0 61.0 21.8 2020Q4 2.0 4.0 11.0 32.0 65.0 23.1 2021Q4 1.0 4.0 9.0 31.0 88.0 24.2 2022Q4 2.0 4.0 11.0 30.0 66.0 22.8 January 9, 2024 C Analytics Office CPC Investments by Region and Country Table 76: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia Europe Other South America Middle East Supranational Africa 2014Q4 4,506 1,259 462 9 85 12 67 12 2015Q4 4,132 941 447 21 58 9 23 12 2016Q4 3,942 848 406 22 111 15 37 18 2017Q4 3,961 963 379 40 184 23 49 14 2018Q4 4,211 1,256 435 46 140 16 55 10 2019Q4 5,163 1,547 561 69 149 18 60 15 2020Q4 6,633 2,155 1,028 158 141 44 78 9 2021Q4 9,558 3,576 881 409 171 124 82 12 2022Q4 10,956 3,072 1,079 613 216 151 77 14 2021Q4 64.6 24.2 6.0 2.8 1.2 0.8 0.6 0.1 2022Q4 67.7 19.0 6.7 3.8 1.3 0.9 0.5 0.1 Table 77: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia Europe Other South America Middle East Supranational Africa 2014Q4 70.2 19.6 7.2 0.1 1.3 0.2 1.0 0.2 2015Q4 73.2 16.7 7.9 0.4 1.0 0.2 0.4 0.2 2016Q4 73.0 15.7 7.5 0.4 2.0 0.3 0.7 0.3 2017Q4 70.5 17.1 6.8 0.7 3.3 0.4 0.9 0.3 57 2018Q4 68.2 20.3 7.0 0.7 2.3 0.3 0.9 0.2 2019Q4 68.0 20.4 7.4 0.9 2.0 0.2 0.8 0.2 2020Q4 64.7 21.0 10.0 1.5 1.4 0.4 0.8 0.1 January 9, 2024 Analytics Office Table 78: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States India China and Hong Kong Japan Brazil Russia 2014Q4 4,305 83 186 98 58 2 2015Q4 3,943 89 173 85 41 5 2016Q4 3,776 92 114 79 88 4 2017Q4 3,794 73 147 52 131 4 2018Q4 4,015 104 154 52 96 2 2019Q4 4,803 128 149 78 93 1 2020Q4 6,243 229 235 283 78 1 2021Q4 8,364 277 210 128 55 6 2022Q4 10,298 280 279 201 96 27 2021Q4 56.5 1.9 1.4 0.9 0.4 0.0 2022Q4 63.6 1.7 1.7 1.2 0.6 0.2 Table 79: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States India China and Hong Kong Japan Brazil Russia 2014Q4 67.1 1.3 2.9 1.5 0.9 0.0 2015Q4 69.9 1.6 3.1 1.5 0.7 0.1 2016Q4 69.9 1.7 2.1 1.5 1.6 0.1 2017Q4 67.6 1.3 2.6 0.9 2.3 0.1 58 2018Q4 65.1 1.7 2.5 0.8 1.6 0.0 2019Q4 63.3 1.7 2.0 1.0 1.2 0.0 2020Q4 60.9 2.2 2.3 2.8 0.8 0.0 January 9, 2024 XI A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 59 January 9, 2024 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. 60 January 9, 2024 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 Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 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. 61 January 9, 2024 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. 62 January 9, 2024 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. 63 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Aa76bbc0e19c356b3. Public record. Not legal advice.