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Annual Staff Report Relating to the Use of Form PF Data

This is a report of the Staff of the U.S. Securities and Exchange Commission.

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein.

October 16, 2017

Executive Summary

Beginning in July 2012, the Commission has collected data about hedge funds, private equity funds, and

other private funds reported by certain registered investment advisers to private funds on Form PF. This

collection is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in

2010, that provide that the Commission require registered investment advisers to maintain records and file

reports regarding the private funds they advise, for use by the Commission and by the Financial Stability

Oversight Council (“FSOC”). During the five years since the Form PF data was first received, the

Commission staff has implemented programs designed to collect, secure, and analyze this data for use in

support of the Commission’s investor protection and market monitoring missions. Today, the staff uses

Form PF data in important mission-focused activities, including in conducting examinations, in

identifying and monitoring private fund industry trends, in informing policymaking, and in pursuing

potential wrongdoing. This bolsters the Commission’s commitment to investor protection and market

integrity through enhanced data management and analytics capabilities that better support market

monitoring, risk identification, uncovering misconduct, and informing policymaking. The following

activities are highlighted in this fifth Annual Report Relating to the Use of Form PF Data.

•

Managing Form PF Data and Improving Its Quality. Form PF data is maintained on an internal

database for which access has been granted to a limited number of identified Commission employees,

subject to systems and controls designed to protect the confidentiality of proprietary information of

private fund advisers. Staff works to improve data quality by responding to filer inquiries and

conducting outreach to filers.

Industry Monitoring Using Analytical Toolsets. Commission staff analyzes Form PF data to identify

trends and possible emerging risks in the private fund industry and develop analyses from Form PF

data that deepen staff understanding of private funds and private fund advisers. Consistent with

formal policies and procedures governing the access, use, and security of Form PF data, staff has

developed a variety of analytical tools that combine Form PF data with other Commission databases

to support the Commission’s monitoring and analysis activities.

Informing the Public. Staff recently augmented its quarterly public report, Private Funds Statistics,

with new analyses of Form PF data, including new aggregated information about private liquidity

funds and the use of leverage by hedge funds. The most recent report is included in the Appendix.

Staff also uses Form PF data to conduct research that is intended to deepen public understanding of

private funds and their market activities and risks.

Targeting and Expediting Exams and Enforcement. Staff reviews and analyzes Form PF data to

identify potential compliance risk areas and prioritize the use of exam and enforcement resources.

“Flag reports,” which can be rapidly and automatically generated using internally developed code and

metrics, expedite staff’s preparation and conduct of exams by summarizing key information from

Form PF and identifying potential reporting errors, compliance issues, and other issues of interest.

Supporting Rulemaking. Commission staff’s experience implementing Form PF requirements and

managing the data continues to inform proposed and final rulemakings, including recent amendments

to Form ADV filing requirements and the development of new Form N-PORT for registered

investment companies.

Coordination with Other Regulators. The Commission adopted Form PF in part to obtain, on behalf

of FSOC, data that FSOC can use to monitor systemic risk in the U.S. financial markets.

Accordingly, the Commission makes Form PF data available to FSOC through the Office of Financial

Research (“OFR”), subject to agreements regarding appropriate use of and confidentiality protections

for Form PF data. Staff also uses Form PF data when coordinating with other federal regulators and

international organizations in areas of mutual interest involving private fund advisers, subject to

protections designed to maintain data security.

Introduction

Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered

investment advisers to private funds (including hedge funds, private equity funds, private liquidity funds,

and other private funds) to file Form PF to report information about the private funds they manage. 1

Section 204(b) of the Advisers Act requires the Commission to report to Congress annually regarding

how the Commission has used the Form PF data to monitor markets for the protection of investors and the

integrity of the markets. 2 This report is being submitted to Congress to satisfy that requirement. This is a

report of the staff of the Commission, and the Commission has expressed no view regarding any analysis,

findings, or conclusions contained herein.

II.

Background

The Commission adopted Form PF in part to obtain, on behalf of FSOC, data that FSOC can use to

monitor systemic risk in the U.S. financial markets. As required by statute, Form PF was designed by the

Commission in consultation with FSOC and provides the Commission and FSOC with information about

the operations and investment activities of private funds. 3 Generally, Form PF must be filed by

investment advisers registered (or required to be registered) with the Commission with at least $150

million in private fund assets under management. Most private fund advisers file Form PF annually to

report general information such as the types of private funds advised (e.g., hedge funds, private equity, or

liquidity funds), fund size, use of borrowings and derivatives, strategy, and types of investors. Certain

larger advisers provide more information on a more frequent basis, including more detailed information

on particular hedge funds and liquidity funds.

Consistent with provisions under the Advisers Act that provide for the confidentiality of any proprietary

information of private fund advisers submitted on Form PF, 4 Commission staff has implemented systems

and controls designed to limit access to Form PF data and protect its confidentiality within and outside the

agency. 5 This includes procedures under which any Form PF data released to the public is reviewed

Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity

Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (Oct. 31, 2011) [76 Fed. Reg. 71128

(Nov. 16, 2011)], available at https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the

“Adopting Release”); see also Money Market Fund Reform; Amendments to Form PF, Investment Advisers Act

Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)], available at

https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required by

private liquidity funds) (the “Money Market Fund Reform Release”).

Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11).

Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting

requirements for private fund advisers to assist FSOC in monitoring systemic risk and for the Commission’s use

for the protection of investors and the integrity of the markets. Section 204(b) was enacted as part of the DoddFrank Wall Street Reform and Consumer Protection Act, Public Law No. 111-203, § 404, 124 Stat. 1376 (the

“Dodd-Frank Act”).

Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10).

To implement the reporting requirements, the Commission developed an electronic filing system, the Private

Fund Reporting Depository (“PFRD”), through which advisers submit information required by Form PF. PFRD

before release so that the data is aggregated and/or masked to avoid public disclosure of proprietary

information of private fund advisers. Senior staff members from various Divisions and Offices within the

Commission are members of the Form PF Steering Committee tasked with overseeing these systems,

controls, and procedures for access, use, and security of Form PF data.

III.

How the Commission Uses Form PF Data

The Commission staff uses Form PF data to monitor the financial markets and in relevant regulatory and

investor protection programs. Consistent with the Advisers Act, the Commission makes the Form PF

database available to FSOC through OFR. 6 Staff also uses Form PF data when coordinating with other

federal regulators and international organizations in areas of mutual interest involving private fund

advisers, subject to appropriate protections for data security. The following provides more detail on how

the Commission staff uses Form PF data.

A. Managing Form PF Data and Improving Its Quality

Commission staff receives Form PF data via a direct feed from FINRA. Staff maintains the data on an

internal Form PF database that may be accessed and queried by staff experts across the Commission who

have been authorized to access the data, consistent with formal policies and procedures governing the

access, use, and security of Form PF data. Commission staff continues to work to improve the quality of

data filed on Form PF by responding to inquiries from filers and contacting individual filers when staff

members identify anomalous and possibly erroneous data. Staff may request amended reporting to

correct materially inaccurate data.

B. Building Tools to Analyze Form PF Data and Monitor the Private Fund Industry

The Commission’s staff analyzes Form PF data to identify trends and possible emerging risks in the

private fund industry and develop analyses that deepen the Commission’s understanding of the private

fund industry. The staff also analyzes Form PF data to determine how private funds and private fund

advisers might be affected by market and geopolitical events.

Consistent with the policies and procedures discussed in Section III.A, Commission staff has internally

developed diverse analytical tools to analyze Form PF data in support of private fund industry

monitoring. These tools enhance staff’s ability to assess large volumes of data and streamline analysis of

the data by automating certain analytical processes.

Analytical tools developed by staff can, for example, identify “outliers” among private funds and private

fund advisers, based on various factors including performance, investment exposures, and liquidity. The

tools also include analyses that identify private funds based on one or more areas of policy interest, such

is operated under a contract with the Financial Industry Regulatory Authority (“FINRA”) as an extension of the

Investment Adviser Reporting Depository system used by advisers to register with the Commission on Form

ADV. See Adopting Release, supra footnote 1, at Section II.E.

OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties. See

Section 152 of the Dodd-Frank Act, supra footnote 3.

as type of strategy, types of investments, use of derivatives, and extent of leverage. These tools also

facilitate assessment of the operations and investment activities of private funds and private fund advisers

reporting on Form PF.

C. Informing the Public about the Private Fund Industry

Since October 2015, Commission staff has published a quarterly report, Private Funds Statistics, which

contains highly-aggregated private fund industry statistics derived from Form PF data. Private Funds

Statistics is designed to enhance public understanding of the private fund industry and facilitate

Commission staff participation in meetings and discussions with industry professionals, investors, and

other regulators. The reports include, for example, statistics describing numbers and assets of private

funds, the extent of private funds’ borrowing, derivatives holdings, and portfolio liquidity. Recently, the

staff augmented this report with new statistics derived from aggregated Form PF data that provide

additional information about hedge fund industry practices, including use of financial and economic

leverage as well as types of investment exposures. 7 In addition, new information about the characteristics

of private liquidity funds may facilitate comparisons with data published by staff relating to registered

money market funds. 8 The most recent report can be found in the Appendix. To date, nine quarterly

reports, including accessible versions, have been produced.9

Commission staff uses Form PF data to contribute to the Commission’s and investors’ understanding of

the economic forces and dynamics underlying the private funds market by conducting research on various

topics, such as characteristics of leverage used by hedge funds and consideration of self-reporting bias in

commercial hedge fund databases. For example, a recently published staff white paper uses Form PF data

to characterize private liquidity funds and compares them to registered money market funds.10

D. Assisting the Examinations and Enforcement Programs 11

Commission staff’s analyses of Form PF data include risk-based analysis and monitoring initiatives that

facilitate staff efforts to allocate limited exam resources efficiently in setting objectives and priorities for

examinations of private fund advisers. For example, Commission staff uses Form PF data to identify as

See SEC Staff Supplements Quarterly Private Funds Statistics (May 3, 2017), available at

https://www.sec.gov/news/press-release/2017-92.

See Division of Investment Management, Money Market Fund Statistics, available at

https://www.sec.gov/divisions/investment/mmf-statistics.shtml.

Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml.

See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and Risk

Indicators (Jan. 27, 2017), available at https://www.sec.gov/dera/staff-papers/whitepapers/27jan17_hiltgen_private-liquidity-funds.html. The findings of the white paper indicate that, while most

private liquidity funds and their parallel accounts did not formally commit to comply with the rule 2a-7 risk

limits that apply to registered money market funds, the vast majority held portfolios that were consistent with

those limits during the period studied.

Because examination and enforcement matters are generally non-public, this report only summarizes generally

how Form PF data has been integrated into exam and enforcement matters. See Advisers Act Section 210(b).

potential examination candidates those private fund advisers whose activities involve areas of specific

examination focus or that may present heightened compliance risks.

Before a private fund adviser examination begins, the staff generally reviews the adviser’s Form PF and

ADV filings as part of a routine pre-examination evaluation. This review, in conjunction with other data

sources, provides staff with an understanding of an adviser’s current business, operations, and investment

strategy as well as an analysis of how this strategy has evolved.

Commission staff has developed automated analyses known as “flag reports” that summarize and

combine key Form PF data with Form ADV data about an adviser’s private funds and advisory business.

These reports are designed to assist staff in identifying potential reporting errors, compliance issues, or

other issues of interest (i.e., “flags”) for the examination team to consider. Developed based on examiner

insight and experiences, these reports distribute knowledge gained from exams and analysis to relevant

staff on a need-to-know basis, which in turn informs monitoring programs. These reports are generated

using custom code developed internally by staff to automate report production and deliver intuitive and

timely output to examiners, using the most recently filed Form ADV data. The flag reports are designed

to expedite staff preparation for examinations of a private fund adviser and its private funds and to help

maximize the usefulness of those exams for other Commission initiatives.

Commission staff also obtains and reviews Form PF information of certain advisers in connection with

enforcement investigations, including investigations of private fund advisers. For example, Commission

staff used Form PF data together with other information to identify hedge fund advisers that reported

returns that appeared inconsistent with the funds’ investment strategies or other benchmarks. These

reviews have, in certain cases, led to examinations and enforcement investigations.

E. Supporting Rulemaking

Commission staff’s experience with Form PF has informed proposed and final Commission rulemakings,

including the development of new Form N-PORT, a portfolio holdings reporting form for registered

investment companies, and revisions to Form ADV. 12 For example, Commission staff’s experience with

the types and quality of data submitted on Form PF, as well as questions received from filers about

reporting on Form PF, informed the staff’s recommendations to the Commission about the types of

reporting recently adopted by the Commission on new Form N-PORT and amendments to Form ADV.

Form PF data has also improved the Commission’s ability to analyze the impact of its rulemaking on

markets and market participants. For example, during staff’s analysis of the effects of money market

reform implementation, 13 staff used Form PF data about private liquidity funds to help monitor for

potential effects in short-term financing markets.

See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13, 2016)

[81 Fed. Reg. 81870 (Nov. 18, 2016)], available at https://www.gpo.gov/fdsys/pkg/FR-2016-11-18/pdf/201625349.pdf; Form ADV and Investment Advisers Act Rules, Investment Advisers Act Release No. 4509 (Aug. 25,

2016) [81 Fed. Reg. 60417 (Sept. 1, 2016)], available at https://www.gpo.gov/fdsys/pkg/FR-2016-0901/pdf/2016-20832.pdf.

Money Market Fund Reform Release, supra footnote 1. The compliance date for money market reform was

October 14, 2016.

F. Coordination and Consultation with Other Financial Regulators

As required by statute, and as described above, the Commission adopted Form PF in part to obtain, on

behalf of FSOC, data for FSOC to use in monitoring systemic risk in the U.S. financial markets, and the

Commission has made the Form PF database available to FSOC through OFR since 2013, subject to

agreements regarding appropriate use of and confidentiality protections for Form PF data.

The Commission’s staff also uses Form PF data in its collaborations with other federal regulators on

matters affecting the integrity of the markets and in communications with international organizations on

areas of mutual interest regarding private funds and their investment advisers. For example, staff has

used reports of data from Form PF in connection with participation in FSOC’s review of asset

management products and activities. 14 Additionally, staff has provided the Financial Stability Board

(“FSB”) with certain aggregated and anonymized Form PF data related to an FSB work stream.

Commission staff is also considering the extent to which it is appropriate to make the data more directly

available to other federal regulators. In any instance where the staff shares information with an external

regulatory entity, it is either subject to assurances of confidentiality or aggregated to avoid disclosure of

any proprietary information.

IV.

Conclusion

During the past year, the Commission’s staff has continued to use Form PF data for the protection of

investors and the integrity of the markets in a variety of different ways across the agency, including for

risk monitoring, to inform policy and regulation, in its examinations and investigations of private fund

advisers, in working with other federal regulators and international organizations in areas of mutual

interest concerning private funds and their investment advisers, and in research about private funds.

Staff’s use of Form PF data reflects enhancements to the Commission’s data management and analytics

capabilities that facilitate use of the data to identify and assess markets and market risks, identify potential

reporting, compliance, and other issues of interest, and inform policy.

See, e.g., Remarks by Deputy Assistant Secretary Jonah Crane at a Meeting of the Financial Stability Oversight

Council (Nov. 16, 2016), available at https://www.treasury.gov/press-center/press-releases/Pages/jl0612.aspx;

Financial Stability Oversight Council Releases Statement on Review of Asset Management Products and

Activities (Apr. 18, 2016), available at https://www.treasury.gov/press-center/press-releases/Pages/jl0431.aspx.

Appendix

(Private Funds Statistics, Fourth Calendar Quarter 2016)

A-1

Division of Investment Management

Risk and Examinations Oﬃce

Private Funds Statistics

Fourth Calendar Quarter 2016

July 7, 2017

This is a report of the Staﬀ of the Division of Investment Management’s Risk and Examinations Oﬃce

(REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view

regarding the analysis, ﬁndings, or conclusions contained herein.

July 7, 2017

Risk and Examinations Oﬃce

Introduction

This report provides a summary of recent private fund industry statistics and trends, reﬂecting

data collected through Form PF and Form ADV ﬁlings.1 Form PF information provided in this

report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary

information of individual Form PF ﬁlers.

This report reﬂects data from First Calendar Quarter 2015 through Fourth Calendar Quarter

2016 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.

Form PF is still a relatively new reporting requirement for advisers to private funds.

The Staﬀ continues to work with the data and ﬁlers to identify and correct ﬁling errors.

In some instances, the Staﬀ has made adjustments to the summary statistics presented

here to correct what appear to be clear ﬁling errors. In addition, the Staﬀ has employed

certain assumptions in aggregating the data. Future adjustments to these methodologies

could lead to changes in reported statistics.

If you have any questions or comments about Fourth Calendar Quarter

2016 Private Funds Statistics, please contact:

Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Fourth

Calendar Quarter 2016-Private Funds Statistics”.

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.

The Commission began receiving Form PF ﬁlings from Large Hedge Fund Advisers in July 2012. A full data set was

not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Oﬃce

of Research and Data Services in the Division of Economic and Risk Analysis.

July 7, 2017

Risk and Examinations Oﬃce

Contents

Number of Funds and Advisers

Gross and Net Assets

A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .

B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

III

Fund Domiciles and Adviser Main Oﬃces

Beneﬁcial Ownership

Derivatives

High Frequency Trading

VII

Hedge Fund Industry Concentration

VIII Information Reported by Large Hedge Fund Advisers

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Qualifying Hedge Fund Speciﬁc Information

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Section 3 Liquidity Fund Speciﬁc Information

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

July 7, 2017

Risk and Examinations Oﬃce

E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Section 4 Private Equity Fund Speciﬁc Information

A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .

XII Appendices

A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .

5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Mitigating the Eﬀects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E Deﬁnitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

July 7, 2017

Risk and Examinations Oﬃce

Number of Funds and Advisers3

Table 1: Number of Funds

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Private Equity Fund

Hedge Fund

Other Private Fund

Section 4 Private Equity Fund

Real Estate Fund

Qualifying Hedge Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2015Q1

8,300

8,849

4,181

2,389

1,800

1,560

1,345

505

25,048

2015Q2

8,332

8,848

4,201

2,388

1,801

1,592

1,347

506

25,103

2015Q3

8,250

8,905

4,198

2,362

1,806

1,624

1,349

508

25,083

2015Q4

9,638

8,771

4,128

2,733

2,056

1,639

1,406

636

26,700

2016Q1

9,700

8,899

4,099

2,739

2,093

1,596

1,421

635

26,911

2016Q2

9,711

8,900

4,125

2,741

2,091

1,607

1,418

646

26,957

2016Q3

9,738

8,957

4,117

2,746

2,108

1,616

1,417

651

27,055

2016Q4

10,305

8,877

4,414

2,999

2,420

1,649

1,451

754

28,290

Table 2: Number of Advisers Advising Each Fund Type

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Private Equity Fund

Hedge Fund

Other Private Fund

Section 4 Private Equity Fund

Real Estate Fund

Qualifying Hedge Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2015Q1

922

1,669

557

208

263

525

154

2,722

2015Q2

924

1,667

558

208

264

528

154

2,724

2015Q3

923

1,665

557

208

265

537

154

2,720

2015Q4

1,015

1,687

570

241

288

535

155

2,828

2016Q1

1,017

1,690

561

242

290

525

157

2,829

2016Q2

1,017

1,684

564

242

288

525

156

2,824

2016Q3

1,016

1,679

565

242

290

515

154

100

2,819

2016Q4

1,076

1,677

571

247

305

531

149

108

2,878

In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered

investment advisers that ﬁle a Form PF to report private funds. Please see Appendix E for deﬁnitions of other capitalized

terms used in this report.

July 7, 2017

Risk and Examinations Oﬃce

Gross and Net Assets

Aggregate Assets by Fund Type over Time

Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)

As reported on Form PF, Question 8.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Securitized Asset Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2015Q1

6,428

5,312

1,882

1,351

980

382

352

289

287

10,352

2015Q2

6,347

5,278

1,884

1,350

984

384

352

265

263

10,255

2015Q3

6,241

5,193

1,844

1,336

974

382

353

274

267

10,107

2015Q4

6,066

4,988

2,057

1,471

978

416

397

286

283

10,255

2016Q1

6,156

4,989

2,058

1,472

974

420

405

273

247

10,340

2016Q2

6,321

5,099

2,060

1,472

979

420

405

287

258

10,528

2016Q3

6,456

5,240

2,062

1,472

983

420

407

292

249

10,675

2016Q4

6,398

5,214

2,307

1,644

1,065

448

434

293

274

11,008

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)

As reported on Form PF, Question 9.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Securitized Asset Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2015Q1

3,578

2,838

1,741

1,273

878

115

280

286

284

6,916

2015Q2

3,588

2,867

1,742

1,272

880

116

280

264

262

6,908

2015Q3

3,475

2,761

1,704

1,258

871

116

281

274

267

6,758

2015Q4

3,452

2,734

1,882

1,376

876

135

319

285

282

7,001

2016Q1

3,402

2,651

1,881

1,377

873

138

323

272

246

6,940

2016Q2

3,429

2,667

1,883

1,377

878

138

323

285

256

6,988

2016Q3

3,488

2,734

1,884

1,377

883

140

324

290

247

7,061

2016Q4

3,484

2,740

2,064

1,492

973

141

339

292

273

7,354

July 7, 2017

Risk and Examinations Oﬃce

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

NAV ($Billions)

20 1

20 2

20 3

20 4

20 1

20 2

20 3

20 1

20 2

20 3

20 4

20 1

20 2

20 3

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

1600

1400

1200

1000

800

600

400

200

20 1

20 2

20 3

20 4

20 1

20 2

20 3

NAV ($Millions)

20 1

20 2

20 3

20 4

20 1

20 2

20 3

1600

1400

1200

1000

800

600

400

200

(b) Qualifying Hedge Fund NAV

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

(d) Section 4 Private Equity Fund NAV

July 7, 2017

Risk and Examinations Oﬃce

Figure 2: Ratio of GAV to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0

1.5

1.0

0.5

20 1

20 2

20 3

20 4

20 1

20 2

20 3

0.0

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

2.5

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 8, 9, and 10.

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

July 7, 2017

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2015Q1

46.6

38.1

35.4

13.3

3.9

2.3

2.9

0.6

0.0

2015Q2

46.5

38.8

36.1

13.3

4.0

2.3

2.8

0.6

0.0

2015Q3

46.3

39.2

36.5

13.3

4.0

2.3

2.8

0.6

0.0

2015Q4

50.7

38.2

35.7

13.3

4.8

3.4

2.3

0.4

0.0

2016Q1

48.9

39.2

36.8

13.4

4.8

3.4

2.2

0.4

0.0

2016Q2

48.7

38.2

36.2

13.4

4.9

3.4

2.2

0.4

0.0

2016Q3

48.4

39.9

38.1

13.3

4.9

3.4

2.1

0.4

0.0

2016Q4

50.7

39.7

37.3

14.0

5.1

4.0

2.8

0.4

0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Total Borrowings ($Billions)

700

600

500

400

300

200

100

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Total Borrowings ($Millions)

As reported on Form PF, Questions 12 and 43 (Third Month).

(a) All Private Funds

(b) Qualifying Hedge Funds

Risk and Examinations Oﬃce

July 7, 2017

Risk and Examinations Oﬃce

Figure 4: Ratio of Borrowings to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

July 7, 2017

Risk and Examinations Oﬃce

Fair Value Hierarchy

Table 6: Assets According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2015Q1

2,377

2,313

2,152

1,250

2015Q2

2,356

2,353

2,161

1,254

2015Q3

2,299

2,359

2,144

1,239

2015Q4

2,746

2,451

2,337

1,749

2016Q1

2,478

2,140

2,265

1,580

2016Q2

2,462

2,071

2,258

1,538

2016Q3

2,482

2,064

2,256

1,536

2016Q4

2,874

2,541

2,585

1,969

Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2015Q1

632

461

578

2015Q2

614

491

574

2015Q3

605

498

563

2015Q4

628

335

110

492

2016Q1

668

476

111

672

2016Q2

680

424

107

693

2016Q3

677

428

106

694

2016Q4

520

417

142

464

July 7, 2017

Risk and Examinations Oﬃce

Parallel Managed Accounts4

Table 8: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2015Q1

717

388

207

233

***

1,415

2015Q2

702

391

210

246

***

1,406

2015Q3

709

386

208

246

***

1,404

2015Q4

698

409

249

246

***

1,454

2016Q1

692

411

249

233

***

1,455

2016Q2

695

409

249

235

***

1,454

2016Q3

690

412

248

232

***

1,452

2016Q4

658

482

236

232

***

1,508

Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions)

As reported on Form PF, Question 11.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2015Q1

771

1,413

544

***

363

359

***

2,750

2015Q2

698

1,411

528

***

347

343

***

2,659

2015Q3

665

1,399

489

***

278

271

***

2,544

2015Q4

654

1,329

478

***

250

245

***

2,495

2016Q1

612

1,325

437

***

321

316

***

2,521

2016Q2

632

1,307

458

***

305

***

2,507

2016Q3

598

1,361

436

***

312

***

2,533

2016Q4

576

1,491

411

***

309

***

2,592

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.

July 7, 2017

Risk and Examinations Oﬃce

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Parallel Managed Assets ($Billions)

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

July 7, 2017

III

Risk and Examinations Oﬃce

Fund Domiciles and Adviser Main Oﬃces

Table 10: Fund Domicile (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

Cayman Islands

Ireland

Virgin Islands, British

Luxembourg

Bermuda

United Kingdom

Other

Country

Cayman Islands

United States

Virgin Islands, British

Ireland

Bermuda

Luxembourg

Other

Country

Ireland

United States

Cayman Islands

Other

Country

United States

Cayman Islands

United Kingdom

Bermuda

Canada

Other

All Private Funds

2015Q1 2015Q2 2015Q3 2015Q4 2016Q1

49.3

49.4

50.1

50.8

37.9

38.0

37.8

37.4

4.6

3.9

3.8

2.8

2.7

2.6

2.3

2.4

1.2

1.3

1.2

1.3

1.0

1.1

1.0

2.0

1.9

2.2

2.1

Qualifying Hedge Funds

2015Q1 2015Q2 2015Q3 2015Q4 2016Q1

55.9

55.6

55.8

54.7

31.2

31.5

31.4

31.9

32.6

6.2

6.0

5.4

5.7

2.2

2.4

2.5

2.6

1.4

1.5

1.4

1.2

1.1

1.2

1.8

1.9

1.8

Section 3 Liquidity Funds

2015Q1 2015Q2 2015Q3 2015Q4 2016Q1

***

32.8

32.1

32.2

35.0

36.5

***

Section 4 Private Equity Funds

2015Q1 2015Q2 2015Q3 2015Q4 2016Q1

63.4

63.5

63.2

62.3

30.7

30.6

30.9

30.0

2.4

2.5

2.6

1.0

1.3

1.2

2.6

2016Q2

50.7

37.3

3.9

2.3

1.5

1.3

1.1

2.1

2016Q3

50.8

37.2

3.9

2.3

1.5

1.2

1.1

2.1

2016Q4

51.3

36.4

4.3

2.2

1.4

1.3

1.1

2.1

2016Q2

54.5

32.9

5.7

2.5

1.4

1.2

1.7

2016Q3

53.9

33.6

5.5

2.6

1.4

1.3

1.7

2016Q4

53.1

34.1

5.5

2.7

1.8

1.3

1.7

2016Q2

***

34.2

***

2016Q3

***

34.1

***

2016Q4

***

33.1

***

2016Q2

62.3

30.0

2.6

1.3

1.2

2.6

2016Q3

62.3

30.0

2.6

1.3

1.2

2.6

2016Q4

63.9

29.3

1.9

1.1

0.9

2.9

July 7, 2017

Risk and Examinations Oﬃce

Table 11: Adviser Main Oﬃce Location (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

United Kingdom

Other

2015Q1

89.6

6.4

4.0

Country

United States

United Kingdom

Hong Kong

Australia

Other

2015Q1

90.4

4.9

***

2.4

Country

United States

United Kingdom

France

2015Q1

65.6

***

Country

United States

Canada

Other

2015Q1

97.8

***

All Private Funds

2015Q2 2015Q3 2015Q4 2016Q1

89.5

89.4

89.8

89.5

6.4

6.6

6.4

6.6

4.1

4.0

3.8

3.9

Qualifying Hedge Funds

2015Q2 2015Q3 2015Q4 2016Q1

90.1

89.1

89.3

4.9

5.1

5.6

5.7

***

2.5

2.4

2.6

2.5

Section 3 Liquidity Funds

2015Q2 2015Q3 2015Q4 2016Q1

64.0

64.9

57.4

58.4

***

Section 4 Private Equity Funds

2015Q2 2015Q3 2015Q4 2016Q1

97.8

97.7

97.2

***

2016Q2

89.5

6.6

3.9

2016Q3

89.7

6.6

3.7

2016Q4

90.1

6.2

3.7

2016Q2

89.5

5.6

***

2.4

2016Q3

89.3

5.7

***

2.4

2016Q4

89.6

5.7

***

2.3

2016Q2

59.4

***

2016Q3

64.1

***

2016Q4

62.5

***

2016Q2

97.2

***

2016Q3

97.2

***

2016Q4

95.1

***

July 7, 2017

Risk and Examinations Oﬃce

Beneﬁcial Ownership

Table 12: Beneﬁcial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

State/Muni. Govt. Pension Plans

Other

Pension Plans

U.S. Individuals

Non-Proﬁts

Sov. Wealth Funds and For. Oﬃcial Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

Banking/Thrift Inst.

SEC-Registered Investment Companies

Broker-Dealers

State/Muni. Govt. Entities

2015Q1

1,376

868

777

885

759

714

363

268

212

189

148

123

116

2015Q2

1,372

872

790

891

761

710

362

268

205

180

149

118

113

2015Q3

1,343

854

770

867

743

689

363

264

204

180

143

110

113

2015Q4

1,358

895

897

890

759

710

382

278

201

169

147

106

112

2016Q1

1,325

909

882

881

767

705

381

274

197

163

144

123

107

2016Q2

1,320

917

895

892

769

703

385

276

199

171

149

120

104

2016Q3

1,319

932

919

908

777

723

386

275

200

170

145

119

2016Q4

1,334

1,007

975

945

768

743

429

304

197

186

137

125

102

2016Q3

18.7

13.2

13.0

12.9

11.0

10.2

5.5

3.9

2.8

2.4

2.1

1.7

1.4

1.3

2016Q4

18.1

13.7

13.3

12.9

10.4

10.1

5.8

4.1

2.7

2.5

1.9

1.7

1.4

1.3

Table 13: Beneﬁcial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

State/Muni. Govt. Pension Plans

Other

Pension Plans

U.S. Individuals

Non-Proﬁts

Sov. Wealth Funds and For. Oﬃcial Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

Banking/Thrift Inst.

SEC-Registered Investment Companies

Broker-Dealers

State/Muni. Govt. Entities

2015Q1

19.9

12.5

11.2

12.8

11.0

10.3

5.3

3.9

3.1

2.7

2.1

1.8

1.7

1.3

2015Q2

19.9

12.6

11.4

12.9

11.0

10.3

5.2

3.9

3.0

2.6

2.2

1.7

1.6

1.3

2015Q3

19.9

12.6

11.4

12.8

11.0

10.2

5.4

3.9

3.0

2.7

2.1

1.6

1.7

1.4

2015Q4

19.4

12.8

12.7

10.8

10.1

5.5

4.0

2.9

2.4

2.1

1.5

1.6

1.4

2016Q1

19.1

13.1

12.7

11.0

10.2

5.5

3.9

2.8

2.3

2.1

1.8

1.5

1.2

2016Q2

18.9

13.1

12.8

11.0

10.1

5.5

4.0

2.8

2.5

2.1

1.7

1.5

1.3

July 7, 2017

Risk and Examinations Oﬃce

Table 14: Beneﬁcial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Proﬁts

Pension Plans

Other

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds and For. Oﬃcial Inst.

SEC-Registered Investment Companies

Broker-Dealers

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2015Q1

581

379

366

322

340

264

134

2015Q2

583

382

374

340

341

269

134

2015Q3

556

370

361

328

324

261

134

2015Q4

548

370

358

334

316

265

136

2016Q1

511

363

347

323

305

272

137

2016Q2

508

358

352

333

308

278

136

2016Q3

501

378

364

356

319

291

140

2016Q4

487

383

369

356

318

304

143

2016Q3

18.3

13.8

13.3

13.0

11.7

10.7

5.1

2.7

2.5

2.4

1.7

1.2

1.1

2016Q4

17.8

14.0

13.5

13.0

11.6

11.1

5.2

2.6

2.5

2.4

1.5

1.3

1.0

Table 15: Beneﬁcial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Proﬁts

Pension Plans

Other

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds and For. Oﬃcial Inst.

SEC-Registered Investment Companies

Broker-Dealers

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2015Q1

20.5

13.4

12.9

11.4

12.0

9.3

4.7

2.9

3.2

2.4

2.5

2.0

1.6

1.3

2015Q2

20.3

13.3

13.0

11.9

9.4

4.7

2.6

3.1

2.4

2.0

1.5

1.3

2015Q3

20.1

13.4

13.1

11.9

11.7

9.4

4.9

2.5

3.1

2.4

2.0

1.6

1.3

2015Q4

20.0

13.5

13.1

12.2

11.6

9.7

5.0

2.3

3.0

2.5

2.4

1.8

1.5

1.1

2016Q1

19.3

13.7

13.1

12.2

11.5

10.3

5.2

2.9

2.4

1.8

1.2

1.1

2016Q2

19.0

13.4

13.2

12.5

11.5

10.4

5.1

2.9

2.4

1.7

1.2

July 7, 2017

Risk and Examinations Oﬃce

Table 16: Beneﬁcial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Unknown Non-U.S. Investors

Other

Broker-Dealers

SEC-Registered Investment Companies

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Non-U.S. Individuals

Sov. Wealth Funds and For. Oﬃcial Inst.

State/Muni. Govt. Entities

Non-Proﬁts

State/Muni. Govt. Pension Plans

U.S. Individuals

2015Q1

***

2015Q2

***

2015Q3

***

2015Q4

***

2016Q1

***

2016Q2

***

2016Q3

***

2016Q4

***

2016Q3

32.3

24.2

16.2

***

7.1

***

3.2

***

1.6

***

2016Q4

29.6

23.7

19.2

***

5.9

3.6

3.3

1.7

1.4

***

0.5

0.4

***

Table 17: Beneﬁcial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Unknown Non-U.S. Investors

Other

Broker-Dealers

SEC-Registered Investment Companies

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Non-U.S. Individuals

Sov. Wealth Funds and For. Oﬃcial Inst.

State/Muni. Govt. Entities

Non-Proﬁts

State/Muni. Govt. Pension Plans

U.S. Individuals

2015Q1

30.5

15.6

15.7

***

5.9

***

3.2

2.0

12.3

***

0.0

2015Q2

29.5

13.6

16.9

***

6.5

***

3.3

2.0

11.7

***

0.0

2015Q3

32.2

16.1

15.8

***

4.7

***

3.0

2.1

10.8

***

2015Q4

29.0

15.8

17.9

***

5.8

***

2.9

1.9

10.0

***

2016Q1

32.2

***

15.5

***

7.1

***

2.9

1.9

6.9

***

2016Q2

30.8

***

14.7

***

6.6

***

3.3

1.8

6.8

***

July 7, 2017

Risk and Examinations Oﬃce

Table 18: Beneﬁcial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

State/Muni. Govt. Pension Plans

Private Funds

Other

Sov. Wealth Funds and For. Oﬃcial Inst.

Pension Plans

Insurance Companies

Non-Proﬁts

U.S. Individuals

Non-U.S. Individuals

Banking/Thrift Inst.

State/Muni. Govt. Entities

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

2015Q1

300

278

110

124

123

2015Q2

300

277

110

124

123

2015Q3

296

276

108

123

119

2015Q4

325

270

140

132

137

2016Q1

326

270

140

132

138

2016Q2

326

270

140

132

137

2016Q3

326

270

140

131

138

2016Q4

365

283

162

153

141

Table 19: Beneﬁcial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

State/Muni. Govt. Pension Plans

Private Funds

Other

Sov. Wealth Funds and For. Oﬃcial Inst.

Pension Plans

Insurance Companies

Non-Proﬁts

U.S. Individuals

Non-U.S. Individuals

Banking/Thrift Inst.

State/Muni. Govt. Entities

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

2015Q1

23.6

21.8

8.6

9.7

5.9

6.3

6.2

2.5

2.8

1.2

0.9

0.2

0.1

2015Q2

23.6

21.8

8.7

9.7

5.9

6.3

6.2

2.5

2.8

1.2

0.9

0.2

0.1

2015Q3

23.5

21.9

8.6

9.8

9.4

6.0

6.3

6.2

2.5

2.8

1.2

0.9

0.2

0.1

2015Q4

23.7

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.6

2.3

1.4

1.1

0.4

0.0

2016Q1

23.7

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.6

2.3

1.4

1.1

0.4

0.0

2016Q2

23.7

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.6

2.3

1.4

1.1

0.4

0.0

2016Q3

23.6

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.6

2.3

1.4

1.1

0.4

0.0

2016Q4

24.5

19.0

10.8

10.3

9.5

6.3

6.1

5.9

2.3

2.1

1.5

0.9

0.8

0.1

July 7, 2017

Risk and Examinations Oﬃce

Derivatives

Table 20: Aggregate Derivative Notional ($ Billions)

As reported on Form PF, Questions 13 and 44 (Third Month).

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Venture Capital Fund

Total

2015Q1

14,463

13,123

121

***

14,679

2015Q2

13,798

12,550

106

***

14,018

2015Q3

14,044

12,785

107

***

14,265

2015Q4

12,974

11,852

103

***

13,163

2016Q1

13,926

12,716

103

***

14,111

2016Q2

14,143

12,816

103

***

14,332

2016Q3

15,738

14,471

106

***

15,930

2016Q4

15,771

14,434

115

***

15,966

Table 21: Aggregate Derivative Notional (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Venture Capital Fund

Total

2015Q1

404.2

462.4

13.7

4.0

4.7

4.6

***

25.5

***

212.3

2015Q2

384.5

437.8

12.1

4.1

4.7

4.6

***

25.1

***

202.9

2015Q3

404.1

463.1

12.3

4.3

4.7

4.6

***

24.6

***

211.1

2015Q4

375.8

433.6

11.8

2.9

3.1

6.7

***

8.6

***

188.0

2016Q1

409.4

479.6

11.8

2.9

3.1

6.7

***

8.2

***

203.3

2016Q2

412.5

480.6

11.8

2.8

3.1

6.7

***

7.7

***

205.1

2016Q3

451.2

529.3

12.0

2.8

3.1

6.6

***

7.4

***

225.6

2016Q4

452.6

526.8

11.8

1.8

2.3

4.8

***

9.8

***

217.1

July 7, 2017

Risk and Examinations Oﬃce

Figure 6: Distribution of Derivative Notional Values

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

20 1

20 2

20 3

20 4

20 1

20 2

20 3

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

(b) Qualifying Hedge Funds

(a) All Private Funds

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

As reported on Form PF, Questions 13 and 44 (Third Month).

1.6

1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

High Frequency Trading

Table 22: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV

Less than 100%

100% or More

2015Q1

7,323

2015Q2

7,342

2015Q3

7,407

2015Q4

7,375

2016Q1

7,452

2016Q2

7,468

2016Q3

7,505

2016Q4

7,458

Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Questions 9 and 21.

Fraction of NAV

Less than 100%

100% or More

2015Q1

3,470

2015Q2

3,479

2015Q3

3,363

2015Q4

3,335

2016Q1

3,282

2016Q2

3,316

2016Q3

3,372

2016Q4

3,372

July 7, 2017

VII

Risk and Examinations Oﬃce

Hedge Fund Industry Concentration

Table 24: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2015Q1

8.4

14.4

20.8

29.8

45.4

59.4

2015Q2

8.1

14.4

20.9

29.8

45.4

59.2

2015Q3

8.0

14.1

20.6

29.3

44.7

58.5

2015Q4

7.9

14.1

20.8

29.5

44.8

58.5

2016Q1

7.9

13.7

20.5

29.2

44.4

57.9

2016Q2

7.8

13.6

20.4

29.2

44.2

57.7

2016Q3

7.9

13.8

20.6

29.2

44.3

57.7

2016Q4

8.0

13.8

20.5

29.1

44.2

57.6

Table 25: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2015Q1

14.6

23.1

30.4

40.0

55.2

67.6

2015Q2

13.5

21.7

29.3

39.1

54.4

67.0

2015Q3

14.6

23.1

30.4

40.0

54.8

67.2

2015Q4

13.5

21.4

28.8

38.9

53.8

66.1

2016Q1

15.1

23.3

30.5

40.1

54.4

66.5

2016Q2

15.1

23.6

31.3

40.8

55.0

66.8

2016Q3

14.4

22.9

31.2

41.1

55.3

67.0

2016Q4

14.7

23.2

31.4

41.1

55.1

66.9

Table 26: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

As reported on Form PF, Questions 12 and 43 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2015Q1

32.7

43.5

54.2

66.3

81.1

90.1

2015Q2

31.4

42.3

53.3

65.3

80.3

89.8

2015Q3

32.6

43.4

54.6

66.5

81.1

90.1

2015Q4

30.6

41.1

52.4

65.0

79.8

89.2

2016Q1

32.7

43.9

54.5

66.3

80.6

89.5

2016Q2

32.8

45.4

56.2

67.7

80.8

89.6

2016Q3

32.8

45.5

56.6

68.7

81.8

90.2

2016Q4

31.6

44.5

56.2

68.5

81.7

90.1

July 7, 2017

Risk and Examinations Oﬃce

Table 27: Percent of Aggregate Hedge Fund Derivative Notional Value

Reported by Top Hedge Funds Sorted by Derivative Notional Value

As reported on Form PF, Questions 13 and 44 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2015Q1

47.1

60.3

70.4

79.9

89.8

95.1

2015Q2

45.2

58.5

68.4

78.6

89.2

94.8

2015Q3

45.9

61.0

71.0

80.1

89.9

95.1

2015Q4

47.4

60.1

69.8

78.8

89.2

94.8

2016Q1

49.1

61.5

71.0

79.7

89.7

95.1

2016Q2

49.2

61.9

70.9

80.0

89.8

95.1

2016Q3

55.8

66.7

74.4

82.3

91.1

95.8

2016Q4

54.9

66.5

74.4

82.7

91.3

95.9

Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure

Reported by Top Hedge Funds Sorted by Gross Notional Exposure

As reported on Form PF, Questions 26 and 30 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2015Q1

27.0

41.8

53.9

66.2

81.4

91.2

2015Q2

27.4

41.7

53.1

65.2

80.7

90.8

2015Q3

28.5

44.8

56.3

67.6

81.9

91.3

2015Q4

29.4

43.3

55.0

66.7

81.5

91.2

2016Q1

32.7

46.4

57.9

68.9

82.7

91.8

2016Q2

33.2

45.9

56.7

68.2

82.2

91.3

2016Q3

37.5

49.8

59.9

70.3

83.2

91.7

2016Q4

38.2

51.2

61.6

72.2

84.3

92.3

July 7, 2017

VIII

Risk and Examinations Oﬃce

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 3(a) and 26.

(a) Gross Exposure with Interest Rate Derivatives (IRDs)

(b) Gross Exposure without IRDs

-03

(a) Long Exposure with IRDs

5-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

5-0

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

July 7, 2017

Risk and Examinations Oﬃce

Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value Distribution

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 3(a) and 26.

(b) Long Exposure without IRDs

(d) Short Exposure without IRDs

July 7, 2017

Risk and Examinations Oﬃce

Industry Concentration

Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

As reported on Form PF, Questions 3(a) and 26.

Month

2015-01

2015-02

2015-03

2015-04

2015-05

2015-06

2015-07

2015-08

2015-09

2015-10

2015-11

2015-12

2016-01

2016-02

2016-03

2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

Top 10 Advisers (NAV)

17.3

17.2

17.5

16.9

17.1

17.2

17.6

17.4

17.9

18.0

18.1

18.2

Top 20 Advisers (NAV)

26.8

26.7

26.8

26.6

26.8

26.9

27.5

27.3

27.8

28.0

27.9

28.0

Top 10 Advisers (GNE)

40.0

40.1

37.9

37.8

39.0

37.2

39.4

40.1

39.9

40.6

41.5

37.0

39.5

41.6

38.6

39.3

40.3

38.0

41.0

42.0

42.1

44.6

45.5

42.4

Top 20 Advisers (GNE)

53.1

53.2

51.8

52.3

53.0

51.6

53.7

54.0

54.4

54.7

55.7

51.3

53.2

54.5

51.6

53.2

53.8

52.1

55.0

55.7

55.8

57.2

58.3

55.4

July 7, 2017

Portfolio Turnover

Table 30: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2015-01

2015-02

2015-03

2015-04

2015-05

2015-06

2015-07

2015-08

2015-09

2015-10

2015-11

2015-12

2016-01

2016-02

2016-03

2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

Futures

9,726

10,042

11,429

7,521

9,177

12,231

8,270

10,121

10,025

7,499

8,896

9,844

8,762

10,272

11,639

8,478

9,578

12,912

7,647

9,563

11,717

8,569

13,406

11,117

Sov. and muni. bonds

2,339

2,304

2,375

2,673

2,460

2,837

2,035

2,293

2,437

2,200

2,136

2,046

2,264

2,441

2,105

2,070

2,585

2,792

2,346

2,514

3,111

2,433

3,481

2,265

Listed equities

1,812

1,712

1,858

1,993

1,916

1,957

2,112

2,103

1,876

7,583

6,658

7,098

2,190

2,239

2,036

1,973

1,967

2,107

1,823

1,874

1,937

1,880

2,230

1,785

Corporate bonds

109

124

112

104

100

110

101

119

111

109

104

Convertible bonds

Total

13,987

14,191

15,810

12,321

13,679

17,136

12,531

14,605

14,446

17,403

17,792

19,077

13,341

15,066

15,917

12,654

14,256

17,931

11,919

14,060

16,889

13,003

19,230

15,254

Figure 9: Distributions of Portfolio Turnover

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 3(a) and 27.

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of Turnover to NAV

Winsorized (limits=[1%,99%])

Total Turnover ($Billions)

Winsorized (limits=[1%,99%])

Risk and Examinations Oﬃce

(a) Total Turnover

(b) Total Turnover to NAV Ratio

July 7, 2017

Risk and Examinations Oﬃce

Region and Country Exposure

Table 31: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Middle East

Africa

2015Q1

3,969

1,234

605

2015Q2

3,965

1,197

611

2015Q3

3,867

1,186

575

2015Q4

3,767

1,095

578

2016Q1

3,878

1,216

619

101

2016Q2

3,944

1,197

600

2016Q3

4,110

1,219

611

2016Q4

4,082

1,222

530

Table 32: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Middle East

Africa

2015Q1

131.6

40.9

20.0

2.9

2.4

1.4

0.6

0.8

2015Q2

130.5

39.4

20.1

3.0

2.4

1.1

0.5

0.6

2015Q3

132.2

40.5

19.7

3.2

2.4

1.2

0.6

0.8

2015Q4

129.0

37.5

19.8

3.1

2.3

1.1

0.8

0.7

2016Q1

134.2

42.1

21.4

3.5

2.1

1.0

0.8

0.7

2016Q2

136.5

41.4

20.8

3.2

2.2

1.0

0.7

2016Q3

138.6

41.1

20.6

3.1

2.3

1.1

0.7

0.6

2016Q4

136.6

40.9

17.8

2.9

2.1

1.5

0.6

July 7, 2017

Risk and Examinations Oﬃce

Table 33: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

As reported on Form PF, Questions 3(a) and 28.

Country

United States

Japan

China (Inc. Hong Kong)

Brazil

India

Russia

2015Q1

3,762

230

149

2015Q2

3,786

254

161

2015Q3

3,680

250

138

2015Q4

3,597

259

145

2016Q1

3,637

290

139

2016Q2

3,660

263

128

2016Q3

3,923

263

136

2016Q4

3,871

218

129

2016Q3

132.3

8.9

4.6

1.2

0.5

2016Q4

129.5

7.3

4.3

1.2

1.0

0.5

Table 34: Large Hedge Fund Adviser Hedge Fund

Country Exposure (Percent of Aggregate NAV)

As reported on Form PF, Questions 3(a) and 28.

Country

United States

Japan

China (Inc. Hong Kong)

Brazil

India

Russia

2015Q1

124.7

7.6

5.0

1.4

1.1

0.3

2015Q2

124.6

8.3

5.3

1.3

1.1

0.3

2015Q3

125.8

8.5

4.7

1.5

1.0

0.2

2015Q4

123.2

8.9

5.0

1.4

1.0

0.3

2016Q1

125.8

10.0

4.8

1.4

1.0

0.4

2016Q2

126.7

9.1

4.4

1.2

1.0

0.4

July 7, 2017

Economic Leverage

Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 9, 10, 26, and 30.

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Qualifying Hedge Fund Speciﬁc Information

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

Risk and Examinations Oﬃce

(a) Including IRDs

(b) Excluding IRDs

(a) LNE Including IRDs

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-03

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-03

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

July 7, 2017

Risk and Examinations Oﬃce

Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 9, 10, 26, and 30.

(b) LNE Excluding IRDs

(d) SNE Excluding IRDs

July 7, 2017

Risk and Examinations Oﬃce

Gross Exposure by Strategy5

Table 35: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.