# U.S. Securities and Exchange Commission

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## Record

- **Collection:** Agency decision
- **Document type:** Agency decision

## Text

U.S. Securities and Exchange Commission

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.

1

I.

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
1

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”).

2

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

3

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”).

4

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

5

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

2

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.
6

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.

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
7

See SEC Staff Supplements Quarterly Private Funds Statistics (May 3, 2017), available at
https://www.sec.gov/news/press-release/2017-92.

8

See Division of Investment Management, Money Market Fund Statistics, available at
https://www.sec.gov/divisions/investment/mmf-statistics.shtml.

9

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

10

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.

11

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).

4

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.
12

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.

13

Money Market Fund Reform Release, supra footnote 1. The compliance date for money market reform was
October 14, 2016.

5

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.

14

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.

6

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”.

1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.

1

July 7, 2017

Risk and Examinations Office

Contents
I
II

Number of Funds and Advisers

4

Gross and Net Assets
A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .
B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5
5
8
10
11

III

Fund Domiciles and Adviser Main Offices

13

IV

Beneficial Ownership

15

V

Derivatives

19

VI

High Frequency Trading

20

VII

Hedge Fund Industry Concentration

21

VIII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23
23
25
26
27

IX

Qualifying Hedge Fund Specific Information
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29
29
31
33
34
35
37
40
41
42

X

Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

43
43
43
46
46

2

July 7, 2017

Risk and Examinations Office

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

47

Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .

48
48
49
50

XII Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52
52
52
52
53
53
53
54
54
55
56

XI

3

July 7, 2017

I

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
68
42
25,048

2015Q2
8,332
8,848
4,201
2,388
1,801
1,592
1,347
506
68
42
25,103

2015Q3
8,250
8,905
4,198
2,362
1,806
1,624
1,349
508
67
40
25,083

2015Q4
9,638
8,771
4,128
2,733
2,056
1,639
1,406
636
65
41
26,700

2016Q1
9,700
8,899
4,099
2,739
2,093
1,596
1,421
635
64
36
26,911

2016Q2
9,711
8,900
4,125
2,741
2,091
1,607
1,418
646
66
37
26,957

2016Q3
9,738
8,957
4,117
2,746
2,108
1,616
1,417
651
67
36
27,055

2016Q4
10,305
8,877
4,414
2,999
2,420
1,649
1,451
754
69
44
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
85
35
22
2,722

2015Q2
924
1,667
558
208
264
528
154
85
35
22
2,724

2015Q3
923
1,665
557
208
265
537
154
86
34
21
2,720

2015Q4
1,015
1,687
570
241
288
535
155
97
37
21
2,828

2016Q1
1,017
1,690
561
242
290
525
157
97
37
19
2,829

2016Q2
1,017
1,684
564
242
288
525
156
98
37
19
2,824

2016Q3
1,016
1,679
565
242
290
515
154
100
37
19
2,819

2016Q4
1,076
1,677
571
247
305
531
149
108
39
24
2,878

3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.

4

July 7, 2017

Risk and Examinations Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2015Q1
6,428
5,312
1,882
1,351
980
382
352
289
287
39
10,352

2015Q2
6,347
5,278
1,884
1,350
984
384
352
265
263
39
10,255

2015Q3
6,241
5,193
1,844
1,336
974
382
353
274
267
39
10,107

2015Q4
6,066
4,988
2,057
1,471
978
416
397
286
283
55
10,255

2016Q1
6,156
4,989
2,058
1,472
974
420
405
273
247
55
10,340

2016Q2
6,321
5,099
2,060
1,472
979
420
405
287
258
56
10,528

2016Q3
6,456
5,240
2,062
1,472
983
420
407
292
249
55
10,675

2016Q4
6,398
5,214
2,307
1,644
1,065
448
434
293
274
62
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
37
6,916

2015Q2
3,588
2,867
1,742
1,272
880
116
280
264
262
37
6,908

2015Q3
3,475
2,761
1,704
1,258
871
116
281
274
267
37
6,758

5

2015Q4
3,452
2,734
1,882
1,376
876
135
319
285
282
52
7,001

2016Q1
3,402
2,651
1,881
1,377
873
138
323
272
246
52
6,940

2016Q2
3,429
2,667
1,883
1,377
878
138
323
285
256
53
6,988

2016Q3
3,488
2,734
1,884
1,377
883
140
324
290
247
52
7,061

2016Q4
3,484
2,740
2,064
1,492
973
141
339
292
273
59
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)

8
7
6
5
4
3
2
1
0

20
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

20
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8
7
6
5
4
3
2
1
0

1600
1400
1200
1000
800
600
400
200
0

20

15

Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

NAV ($Millions)

15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

1600
1400
1200
1000
800
600
400
200
0

(b) Qualifying Hedge Fund NAV

20

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

(c) Section 4 Private Equity Fund GAV

(d) Section 4 Private Equity Fund NAV

6

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
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

0.0

3.0
2.5
2.0
1.5
1.0
0.5
0.0

15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

2.5

20

20

15

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

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

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

7

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
0.0

2015Q2
46.5
38.8
36.1
13.3
4.0
2.3
2.8
0.6
0.0
0.0

2015Q3
46.3
39.2
36.5
13.3
4.0
2.3
2.8
0.6
0.0
0.0

2015Q4
50.7
38.2
35.7
13.3
4.8
3.4
2.3
0.4
0.0
0.0

2016Q1
48.9
39.2
36.8
13.4
4.8
3.4
2.2
0.4
0.0
0.0

2016Q2
48.7
38.2
36.2
13.4
4.9
3.4
2.2
0.4
0.0
0.0

2016Q3
48.4
39.9
38.1
13.3
4.9
3.4
2.1
0.4
0.0
0.0

2016Q4
50.7
39.7
37.3
14.0
5.1
4.0
2.8
0.4
0.0
0.0

Figure 3: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.

3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

20
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Total Borrowings ($Billions)

700
600
500
400
300
200
100
0
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Total Borrowings ($Millions)

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

(a) All Private Funds

(b) Qualifying Hedge Funds

20

B

Risk and Examinations Office

8

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

5Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])

5Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

20
1

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

9

July 7, 2017

C

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
74
578

2015Q2
614
491
79
574

2015Q3
605
498
89
563

2015Q4
628
335
110
492

10

2016Q1
668
476
111
672

2016Q2
680
424
107
693

2016Q3
677
428
106
694

2016Q4
520
417
142
464

July 7, 2017

D

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
63
51
***
17
15
***
1,415

2015Q2
702
391
210
246
63
51
***
17
15
***
1,406

2015Q3
709
386
208
246
63
51
***
15
12
***
1,404

2015Q4
698
409
249
246
82
49
***
14
13
***
1,454

2016Q1
692
411
249
233
82
52
***
16
15
***
1,455

2016Q2
695
409
249
235
82
52
***
14
14
***
1,454

2016Q3
690
412
248
232
82
52
***
15
15
***
1,452

2016Q4
658
482
236
232
88
77
***
15
15
***
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
94
544
16
11
***
363
359
***
2,750

2015Q2
698
1,411
94
528
16
11
***
347
343
***
2,659

2015Q3
665
1,399
94
489
16
11
***
278
271
***
2,544

2015Q4
654
1,329
96
478
19
10
***
250
245
***
2,495

2016Q1
612
1,325
96
437
19
11
***
321
316
***
2,521

2016Q2
632
1,307
96
458
19
11
***
305
305
***
2,507

2016Q3
598
1,361
96
436
19
11
***
312
312
***
2,533

2016Q4
576
1,491
28
411
22
6
***
309
309
***
2,592

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

July 7, 2017

Risk and Examinations Office

Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.

Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Parallel Managed Assets ($Billions)

4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

20

15

Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

20

15

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

12

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
49.4
50.1
50.8
37.9
38.0
38.0
37.8
37.4
4.6
4.6
4.6
3.9
3.8
2.8
2.7
2.6
2.3
2.4
1.2
1.2
1.2
1.3
1.3
1.2
1.2
1.2
1.3
1.3
1.0
1.0
1.1
1.0
1.0
2.0
1.9
1.9
2.2
2.1
Qualifying Hedge Funds
2015Q1 2015Q2 2015Q3 2015Q4 2016Q1
55.9
55.6
55.6
55.8
54.7
31.2
31.5
31.4
31.9
32.6
6.2
6.0
6.0
5.4
5.7
2.2
2.4
2.5
2.5
2.6
1.4
1.5
1.5
1.4
1.4
1.2
1.2
1.1
1.2
1.2
1.8
1.8
1.9
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
62.3
30.7
30.6
30.9
30.0
30.0
2.4
2.4
2.4
2.5
2.6
1.0
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.2
1.2
1.2
1.2
1.2
2.6
2.6

13

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
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
97.2
***
***
***
***
***
***
***
***

14

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

IV

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
93

2015Q2
1,372
872
790
891
761
710
362
268
205
180
149
118
113
92

2015Q3
1,343
854
770
867
743
689
363
264
204
180
143
110
113
92

2015Q4
1,358
895
897
890
759
710
382
278
201
169
147
106
112
99

2016Q1
1,325
909
882
881
767
705
381
274
197
163
144
123
107
87

2016Q2
1,320
917
895
892
769
703
385
276
199
171
149
120
104
89

2016Q3
1,319
932
919
908
777
723
386
275
200
170
145
119
97
90

2016Q4
1,334
1,007
975
945
768
743
429
304
197
186
137
125
102
99

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

15

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
12.8
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
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
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
81
91
68
71
56
44
38

2015Q2
583
382
374
340
341
269
134
76
90
68
70
57
44
37

2015Q3
556
370
361
328
324
261
134
69
86
67
67
55
44
35

2015Q4
548
370
358
334
316
265
136
63
83
68
66
50
42
31

2016Q1
511
363
347
323
305
272
137
77
77
64
64
48
31
30

2016Q2
508
358
352
333
308
278
136
76
76
65
65
46
32
32

2016Q3
501
378
364
356
319
291
140
75
69
65
66
46
33
30

2016Q4
487
383
369
356
318
304
143
71
68
67
65
41
35
28

2016Q3
18.3
13.8
13.3
13.0
11.7
10.7
5.1
2.7
2.5
2.4
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
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
11.9
9.4
4.7
2.6
3.1
2.4
2.4
2.0
1.5
1.3

16

2015Q3
20.1
13.4
13.1
11.9
11.7
9.4
4.9
2.5
3.1
2.4
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
2.9
2.4
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
2.9
2.4
2.4
1.7
1.2
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
86
44
45
***
17
***
9
6
35
***
***
***
***
0

2015Q2
77
36
44
***
17
***
9
5
31
***
***
***
***
0

2015Q3
86
43
42
***
13
***
8
6
29
***
***
***
***
***

2015Q4
82
45
51
***
16
***
8
5
28
***
***
***
***
***

2016Q1
79
***
38
***
17
***
7
5
17
***
***
***
***
***

2016Q2
79
***
38
***
17
***
8
5
17
***
***
***
***
***

2016Q3
80
60
40
***
18
***
8
***
4
***
***
***
***
***

2016Q4
81
65
52
***
16
10
9
5
4
***
***
1
1
***

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

17

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
76
80
79
32
35
16
11
2
1

2015Q2
300
277
110
124
123
76
80
79
32
35
16
11
2
1

2015Q3
296
276
108
123
119
75
79
79
32
35
16
11
2
1

2015Q4
325
270
140
132
137
84
87
95
35
32
19
15
5
1

2016Q1
326
270
140
132
138
84
87
95
35
32
19
15
5
1

2016Q2
326
270
140
132
137
84
87
95
35
32
19
15
5
1

2016Q3
326
270
140
131
138
84
86
95
35
32
19
15
5
1

2016Q4
365
283
162
153
141
94
92
88
34
31
22
14
12
1

Table 19: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers

2015Q1
23.6
21.8
8.6
9.7
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
9.7
5.9
6.3
6.2
2.5
2.8
1.2
0.9
0.2
0.1

18

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

V

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
69
60
13
***
***
29
***
14,679

2015Q2
13,798
12,550
106
71
60
13
***
***
29
***
14,018

2015Q3
14,044
12,785
107
73
60
13
***
***
28
***
14,265

2015Q4
12,974
11,852
103
54
42
21
***
***
12
***
13,163

2016Q1
13,926
12,716
103
54
42
21
***
***
11
***
14,111

2016Q2
14,143
12,816
103
54
42
21
***
***
11
***
14,332

2016Q3
15,738
14,471
106
53
42
21
***
***
10
***
15,930

2016Q4
15,771
14,434
115
38
35
16
***
***
14
***
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

19

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.

8
6
4
2

20
15
Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

0

Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])

10

(b) Qualifying Hedge Funds

20

VI

12

(a) All Private Funds

15

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
0%
Less than 100%
100% or More

2015Q1
7,323
39
28

2015Q2
7,342
39
27

2015Q3
7,407
33
13

2015Q4
7,375
40
11

2016Q1
7,452
63
9

2016Q2
7,468
64
10

2016Q3
7,505
70
9

2016Q4
7,458
62
11

Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.

Fraction of NAV
0%
Less than 100%
100% or More

2015Q1
3,470
41
34

2015Q2
3,479
43
36

2015Q3
3,363
43
34

2015Q4
3,335
77
2

20

2016Q1
3,282
84
2

2016Q2
3,316
83
2

2016Q3
3,372
84
2

2016Q4
3,372
78
2

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

21

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

22

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
A

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.

15

20

20

14
12
10
8
6
4
2
0
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

14
12
10
8
6
4
2
0
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

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

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

23

(b) Gross Exposure without IRDs

15

-03

15
(a) Long Exposure with IRDs

8

6

4

2

0

(c) Short Exposure with IRDs

24

5-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

0

15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

2

20
1

4

20

6

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

8

5-0
3

10

Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

15

-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

20

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10

20
1

-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

20

20

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.

10
8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

July 7, 2017

B

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
17.2
17.5
17.5
17.5
16.9
16.9
16.9
17.1
17.1
17.2
17.6
17.4
17.4
17.9
18.0
18.0
18.0
18.0
18.0
18.1
18.1
18.2

Top 20 Advisers (NAV)
26.8
26.7
26.7
26.8
26.8
26.8
26.6
26.6
26.6
26.8
26.8
26.9
27.5
27.3
27.3
27.8
28.0
28.0
27.9
27.9
27.9
27.9
27.9
28.0

25

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
92
109
124
112
104
90
99
74
91
100
85
70
110
101
119
111
109
99
89
90
104
97
95
70

Convertible bonds
17
23
25
23
23
22
15
14
17
20
16
19
15
15
18
22
17
21
14
19
20
24
19
17

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.

50
40
30
20
10

15
10
5
0

20

15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

0

20

15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])

60

20

Total Turnover ($Billions)
Winsorized (limits=[1%,99%])

C

Risk and Examinations Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

26

July 7, 2017

D

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
86
73
41
17
24

2015Q2
3,965
1,197
611
91
73
34
16
19

2015Q3
3,867
1,186
575
95
69
35
18
22

2015Q4
3,767
1,095
578
90
66
33
23
21

2016Q1
3,878
1,216
619
101
61
30
22
21

2016Q2
3,944
1,197
600
91
62
30
21
20

2016Q3
4,110
1,219
611
91
67
33
20
19

2016Q4
4,082
1,222
530
87
64
46
18
18

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

27

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
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
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
41
33
9

2015Q2
3,786
254
161
39
33
9

2015Q3
3,680
250
138
45
31
7

2015Q4
3,597
259
145
41
30
8

2016Q1
3,637
290
139
42
28
11

2016Q2
3,660
263
128
35
30
13

2016Q3
3,923
263
136
36
35
15

2016Q4
3,871
218
129
37
30
14

2016Q3
132.3
8.9
4.6
1.2
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

28

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.

15

-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

14
12
10
8
6
4
2
0

20

14
12
10
8
6
4
2
0

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

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

20
15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

A

Qualifying Hedge Fund Specific Information

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

IX

Risk and Examinations Office

(a) Including IRDs

(b) Excluding IRDs

29

(c) SNE Including IRDs

30

(a) LNE Including IRDs

-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

15

20

-03

15

7
6
5
4
3
2
1
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

15

20

15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

20

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

7
6
5
4
3
2
1
0

20

15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

20

-03

15

20

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.

7
6
5
4
3
2
1
0

(b) LNE Excluding IRDs

7
6
5
4
3
2
1
0

(d) SNE Excluding IRDs

July 7, 2017

B

Risk and Examinations Office

Gross Exposure by Strategy5
Table 35: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Macro

Relative Value

Event Driven

Credit

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Market Neutral
Long Bias
Short Bias
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2015Q1
1,609
983
***
265
***
764
476
380
48
47
1
842
578
139
53
50
21
417
185
150
82
291
261
29
96
***
***
50
4,544

2015Q2
1,646
1,005
349
285
7
755
515
440
32
43
1
787
524
144
49
48
23
430
182
151
97
302
270
33
91
***
***
49
4,576

2015Q3
1,558
936
348
268
6
745
559
485
33
38
2
782
536
139
45
39
24
386
179
126
81
285
250
35
94
***
***
48
4,458

2015Q4
1,528
926
317
278
6
735
546
474
34
36
2
722
491
129
41
38
23
377
173
111
93
277
247
30
98
***
***
45
4,327

2016Q1
1,407
867
266
268
5
811
559
486
***
35
***
785
548
127
45
38
28
361
172
97
92
355
314
41
106
***
***
40
4,424

2016Q2
1,421
853
288
273
6
826
601
523
***
38
***
783
542
129
42
35
34
327
166
85
76
362
326
36
123
117
6
42
4,484

2016Q3
1,490
881
321
284
5
835
674
599
***
37
***
765
518
130
43
38
36
337
173
92
73
265
225
40
132
***
***
41
4,539

2016Q4
1,461
843
324
288
6
849
704
614
***
42
***
703
470
124
41
39
28
325
174
80
71
272
229
43
130
***
***
43
4,487

5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.

31

July 7, 2017

Risk and Examinations Office

Table 36: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Macro

Relative Value

Event Driven

Credit

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Market Neutral
Long Bias
Short Bias
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2015Q1
53.7
32.8
***
8.8
***
25.5
15.9
12.7
1.6
1.6
0.0
28.1
19.3
4.6
1.8
1.7
0.7
13.9
6.2
5.0
2.7
9.7
8.7
1.0
3.2
***
***
1.7
151.7

2015Q2
55.6
33.9
11.8
9.6
0.2
25.5
17.4
14.9
1.1
1.4
0.0
26.6
17.7
4.8
1.7
1.6
0.8
14.5
6.1
5.1
3.3
10.2
9.1
1.1
3.1
***
***
1.7
154.5

32

2015Q3
54.4
32.7
12.2
9.4
0.2
26.0
19.5
16.9
1.2
1.3
0.1
27.3
18.7
4.8
1.6
1.4
0.8
13.5
6.3
4.4
2.8
10.0
8.7
1.2
3.3
***
***
1.7
155.6

2015Q4
53.9
32.7
11.2
9.8
0.2
25.9
19.2
16.7
1.2
1.3
0.1
25.5
17.3
4.6
1.4
1.3
0.8
13.3
6.1
3.9
3.3
9.8
8.7
1.1
3.5
***
***
1.6
152.7

2016Q1
51.0
31.4
9.6
9.7
0.2
29.4
20.3
17.6
***
1.3
***
28.5
19.9
4.6
1.6
1.4
1.0
13.1
6.2
3.5
3.4
12.9
11.4
1.5
3.8
***
***
1.4
160.4

2016Q2
51.4
30.9
10.4
9.9
0.2
29.8
21.7
18.9
***
1.4
***
28.3
19.6
4.7
1.5
1.3
1.2
11.8
6.0
3.1
2.7
13.1
11.8
1.3
4.5
4.2
0.2
1.5
162.1

2016Q3
52.3
30.9
11.3
10.0
0.2
29.3
23.6
21.0
***
1.3
***
26.9
18.2
4.5
1.5
1.3
1.3
11.8
6.1
3.2
2.5
9.3
7.9
1.4
4.6
***
***
1.5
159.3

2016Q4
51.2
29.5
11.3
10.1
0.2
29.7
24.7
21.5
***
1.5
***
24.6
16.5
4.3
1.5
1.4
1.0
11.4
6.1
2.8
2.5
9.5
8.0
1.5
4.5
***
***
1.5
157.1

July 7, 2017

C

Risk and Examinations Office

Leverage by Strategy
Table 37: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.

Strategy
Relative Value
Macro
Multi-Strategy
Equity
Other
Credit
Event Driven
Managed Futures/CTA
Investment in other funds

2015Q1
4.9
2.3
1.8
1.6
1.5
1.7
1.3
1.1
1.1

2015Q2
4.2
2.2
2.4
1.6
1.3
1.6
1.4
1.2
1.1

2015Q3
4.6
2.5
2.2
1.6
1.6
1.6
1.4
1.2
1.1

2015Q4
4.3
2.5
1.7
1.6
1.5
1.6
1.4
1.2
1.1

2016Q1
4.5
2.8
1.9
1.6
1.6
1.5
1.4
1.2
1.1

2016Q2
4.8
3.1
1.8
1.6
1.6
1.5
1.4
1.2
1.1

2016Q3
4.1
3.1
2.4
1.6
1.6
1.6
1.3
1.2
1.1

2016Q4
4.1
3.2
2.4
1.6
1.6
1.5
1.3
1.2
1.1

Table 38: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).

Strategy
Macro
Relative Value
Multi-Strategy
Managed Futures/CTA
Other
Equity
Credit
Event Driven
Investment in other funds

2015Q1
15.7
15.7
5.6
7.8
3.6
3.2
5.6
2.2
1.7

2015Q2
15.8
13.4
7.7
10.2
3.0
3.2
5.3
2.3
1.7

2015Q3
17.3
15.3
7.3
13.5
3.8
3.1
4.9
2.2
1.4

2015Q4
16.7
15.0
6.0
10.6
3.8
3.2
4.1
2.1
1.5

2016Q1
20.0
16.2
6.9
9.6
4.1
3.4
4.1
2.1
1.9

2016Q2
17.0
17.1
7.1
7.2
4.5
3.1
4.1
2.1
1.4

2016Q3
17.5
16.8
11.0
8.0
4.6
3.1
2.9
2.0
1.5

2016Q4
22.2
16.5
10.1
7.3
4.7
3.1
2.7
2.0
1.4

Table 39: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).

Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Other
Relative Value
Equity
Credit
Event Driven
Investment in other funds

2015Q1
52.6
46.7
23.1
27.0
20.9
10.7
14.1
9.3
19.7

2015Q2
64.0
45.4
24.4
25.3
23.3
11.7
14.4
8.6
18.8

2015Q3
57.5
45.4
28.7
25.6
22.0
12.0
13.2
8.6
17.7

33

2015Q4
68.6
44.7
26.3
24.9
27.1
13.1
14.0
10.8
12.1

2016Q1
57.2
44.0
25.6
24.6
27.8
13.1
12.0
10.0
10.3

2016Q2
68.1
42.8
26.4
26.5
27.3
13.9
14.3
11.9
7.7

2016Q3
68.7
40.9
26.9
26.8
21.3
11.2
11.1
11.7
6.2

2016Q4
67.7
40.0
28.1
25.8
22.3
12.4
11.9
11.8
5.5

July 7, 2017

D

Risk and Examinations Office

Investment Exposures
Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.

Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Corp. Bonds
Securities - MBS
Securities - Other Bonds
Securities - ABS (non-MBS)
Securities - Conv. Bonds
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other

2015Q1
680
2,231
1,034
810
270
248
215
82
82
3,558
2,796
979
859
263
142
1,046
695

2015Q2
677
2,328
1,034
759
261
265
201
88
79
3,656
2,518
1,023
841
268
146
1,038
649

2015Q3
684
2,136
1,054
712
249
279
209
90
105
4,002
2,586
871
773
221
137
1,101
659

2015Q4
701
2,161
939
690
236
250
206
82
64
3,935
2,366
883
681
212
123
961
614

2016Q1
717
2,039
999
735
245
237
208
79
67
4,571
2,632
947
718
246
133
1,032
642

2016Q2
729
2,000
1,058
722
242
250
233
73
64
4,207
2,565
1,007
596
289
118
1,060
649

2016Q3
692
2,136
1,115
796
251
258
212
76
71
5,146
2,473
1,081
624
307
138
1,113
666

2016Q4
674
2,118
1,139
972
251
227
195
75
69
5,475
2,439
1,115
592
325
137
1,156
675

Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.

Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Corp. Bonds
Securities - MBS
Securities - Other Bonds
Securities - ABS (non-MBS)
Securities - Conv. Bonds
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other

2015Q1
88.2
70.6
70.7
54.3
84.5
81.2
75.4
99.1
95.3
48.5
48.6
55.9
44.2
57.2
59.1
46.6
86.8

2015Q2
87.4
71.2
72.4
52.6
84.6
78.9
73.8
99.1
94.6
47.9
48.2
55.2
44.1
56.8
57.2
45.0
89.0

2015Q3
88.3
70.2
72.4
58.2
83.3
77.2
74.3
99.3
96.2
50.9
49.4
51.3
41.9
55.1
58.1
43.1
88.2

34

2015Q4
88.7
69.8
71.5
55.9
81.4
79.3
70.8
99.1
94.7
51.6
48.5
53.2
43.9
52.8
53.5
44.3
90.1

2016Q1
87.0
69.3
69.6
56.5
80.6
78.7
74.9
99.1
93.3
51.6
50.4
53.5
46.0
59.3
57.1
43.3
90.5

2016Q2
88.3
69.2
66.8
55.5
80.8
76.5
71.5
99.4
95.2
54.5
52.5
54.9
44.7
62.2
59.8
43.4
90.4

2016Q3
87.2
69.7
66.7
53.4
82.6
74.7
77.9
99.0
95.5
52.0
51.7
55.2
47.3
63.4
60.2
45.3
89.5

2016Q4
86.9
70.0
68.1
49.7
81.5
76.0
75.3
98.7
95.2
50.7
48.5
55.2
48.1
63.4
58.6
48.7
89.0

July 7, 2017

Liquidity
Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.

Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2015Q1
6.9
13.0
27.3
46.7
60.5
75.3

2015Q2
7.1
13.3
26.0
45.9
60.1
74.9

2015Q3
7.2
13.6
26.5
46.9
62.7
74.8

2015Q4
7.1
13.3
25.4
45.4
58.4
72.9

2016Q1
7.7
14.0
27.4
47.1
60.4
75.4

2016Q2
8.0
14.1
27.3
46.6
60.1
75.6

2016Q3
8.3
14.3
26.5
47.3
61.9
74.7

2016Q4
8.1
14.1
26.6
49.7
58.9
74.2

Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.

Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2015Q1
40.0
63.8
78.4
85.8
89.4
92.5

2015Q2
39.5
63.3
77.5
85.0
88.6
92.0

2015Q3
40.9
63.7
77.1
84.4
87.9
91.3

2015Q4
40.1
63.3
76.7
83.4
87.0
90.5

2016Q1
40.6
64.4
77.0
83.2
86.5
90.1

2016Q2
40.7
64.0
76.6
82.5
86.2
89.9

2016Q3
39.3
62.9
76.1
82.5
85.9
89.6

Figure 12: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity

day
s

mo
At

st 3

65

day
s
80
st 1

mo

mo
At
35

At

mo

st 9
0d
ays

Investor Liquidity

At

day
s
st 7
mo

At

st 1
mo

st 3
0d
ays

Portfolio Liquidity

90
80
70
60
50
40
30
20
10
0

day

Percent of Fund Net Assets (%)

As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Fourth Calendar Quarter 2016.

At

E

Risk and Examinations Office

2016Q4
39.6
62.6
75.6
81.9
85.3
89.1

July 7, 2017

Risk and Examinations Office

Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.

2015Q1
2,320
1,468
37
38
12

2015Q2
2,343
1,467
38
35
12

2015Q3
2,239
1,395
35
33
12

2015Q4
2,200
1,370
37
33
14

2016Q1
2,122
1,289
38
29
14

2016Q2
2,141
1,307
38
27
16

2016Q3
2,178
1,330
38
30
16

Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.

Q
20 1
15
Q
20 2
15
Q
20 3
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q4

35
30
25
20
15
10
5
0

15

NAV in Side-Pocket (%)

See Appendix C for an explanation of boxplots.

20

Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended

36

2016Q4
2,154
1,290
38
27
19

July 7, 2017

F

Risk and Examinations Office

Borrowings
Table 45: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).

Type
Secured
Unsecured
Total

Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total

2015Q1
2,015
1,080
659
276
8
2,023

2015Q2
2,037
1,132
649
255
11
2,047

2015Q3
2,023
1,054
719
250
11
2,034

2015Q4
1,894
1,025
603
266
10
1,904

2016Q1
1,942
977
696
269
10
1,952

2016Q2
1,937
978
691
267
9
1,946

2016Q3
2,079
1,084
729
267
11
2,090

2016Q4
2,057
1,087
675
295
12
2,069

Table 46: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).

Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial

2015Q1
62.2
37.4
***
***

2015Q2
64.4
35.0
***
***

2015Q3
63.5
36.0
***
***

2015Q4
63.6
35.9
***
***

2016Q1
62.8
36.7
0.4
0.1

2016Q2
62.2
37.4
0.3
0.1

2016Q3
64.7
34.8
0.3
0.2

2016Q4
63.2
36.3
0.3
0.1

Table 47: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).

Borrowing Type
Prime Broker

Reverse Repo

Other Secured
Total

Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total

2015Q1
1,409
923
486
697
547
149
305
211
94
2,411

2015Q2
1,431
948
483
693
523
170
284
196
88
2,409

2015Q3
1,345
870
475
752
575
177
289
211
79
2,387

37

2015Q4
1,314
837
476
632
475
157
314
240
75
2,260

2016Q1
1,253
801
452
718
547
171
320
240
79
2,291

2016Q2
1,228
774
455
711
518
193
308
230
78
2,247

2016Q3
1,339
861
478
774
574
200
312
236
77
2,426

2016Q4
1,334
857
477
691
451
241
349
210
139
2,375

(b) Prime Broker Borrowing

38

-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

15

20

8
7
6
5
4
3
2
1
0

Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])

15
-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

20

Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])

-0
20 3
15
-0
20 6
15
-0
20 9
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-12

15

20

Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])

July 7, 2017
Risk and Examinations Office

Figure 14: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds

See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Question 43.

8
7
6
5
4
3
2
1
0

(a) Total Secured Borrowing

8
7
6
5
4
3
2
1
0

(c) Reverse Repo Borrowing

July 7, 2017

Risk and Examinations Office

Table 48: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.

Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2015Q1
44.6
52.6
65.3
80.3
95.8
98.2

2015Q2
43.5
51.7
63.5
79.0
94.7
97.8

2015Q3
43.9
53.3
65.3
79.4
95.0
97.6

2015Q4
31.0
38.8
66.2
77.7
89.0
98.3

2016Q1
43.3
52.7
66.5
81.8
96.1
97.6

2016Q2
43.5
52.8
65.8
81.7
95.9
97.4

2016Q3
37.1
53.6
65.2
80.8
96.0
97.5

Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2016.

Financing Liquidity

st 1 Percent of Available Financing (%)
day

100
80
60
40
20

s
36
5
ost

At
m

ost

18
0

day

s
day

ays

39

At
m

mo
At

st 9

0d
mo

At

st 3

0d

ays

s
day
st 7
mo

At

At

mo

0

2016Q4
35.8
48.1
64.0
81.0
95.9
97.3

July 7, 2017

Central Clearing
Figure 16: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.

30

Percent of Funds

Percent of NAV

25
20
15
10
5

40

20
16
Q4

20
16
Q3

20
16
Q2

20
16
Q1

20
15
Q4

20
15
Q3

20
15
Q2

0
20
15
Q1

G

Risk and Examinations Office

July 7, 2017

H

Risk and Examinations Office

Value-at-Risk (“VaR”) Reporting
Table 49: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2015Q1
598
228
182
201
27
962

2015Q2
612
230
188
206
34
980

2015Q3
620
233
191
205
38
1,004

2015Q4
623
233
194
203
38
1,016

2016Q1
622
240
192
196
38
974

2016Q2
627
237
191
188
41
980

2016Q3
622
239
193
185
46
994

2016Q4
631
234
196
196
42
1,018

Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2015Q1
3,254
1,678
874
665
287
2,058

2015Q2
3,183
1,660
809
686
314
2,095

2015Q3
3,200
1,667
816
688
307
1,993

2015Q4
3,020
1,554
729
633
333
1,968

2016Q1
3,079
1,602
729
648
317
1,910

2016Q2
3,206
1,688
757
628
321
1,893

2016Q3
3,267
1,762
746
640
344
1,973

2016Q4
3,225
1,700
731
645
373
1,990

Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2015Q1
1,339
507
497
363
58
1,499

2015Q2
1,361
519
493
372
74
1,506

2015Q3
1,316
498
463
369
78
1,444

41

2015Q4
1,305
482
468
356
91
1,429

2016Q1
1,270
463
457
346
88
1,382

2016Q2
1,294
483
450
336
90
1,373

2016Q3
1,308
501
462
340
94
1,426

2016Q4
1,303
479
459
352
94
1,437

July 7, 2017

I

Risk and Examinations Office

Stress Testing and VaR
Table 52: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2015Q1
513
428
85
534

2015Q2
528
428
84
552

2015Q3
535
461
85
543

2015Q4
541
455
82
561

2016Q1
538
443
84
531

2016Q2
545
453
82
527

2016Q3
547
446
75
548

2016Q4
555
452
76
566

Table 53: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2015Q1
3,028
1,076
226
982

2015Q2
2,971
1,085
212
1,010

2015Q3
2,985
1,063
215
930

2015Q4
2,799
1,030
221
938

2016Q1
2,861
1,009
218
901

2016Q2
3,001
1,006
205
887

2016Q3
3,088
1,027
179
946

2016Q4
3,045
998
179
992

Table 54: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2015Q1
1,193
718
147
780

2015Q2
1,223
712
138
793

2015Q3
1,176
712
141
733

2015Q4
1,165
692
140
736

42

2016Q1
1,144
666
125
715

2016Q2
1,162
664
132
709

2016Q3
1,191
664
117
762

2016Q4
1,185
658
117
779

July 7, 2017

Risk and Examinations Office

X

Section 3 Liquidity Fund Specific Information

A

Liquidity
Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.

Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2015Q1
73.2
92.0
99.4
100.0
100.0
100.0

2015Q2
73.8
92.1
99.4
100.0
100.0
100.0

2015Q3
74.1
92.3
99.4
100.0
100.0
100.0

2015Q4
74.4
92.2
99.4
100.0
100.0
100.0

2016Q1
81.2
96.0
99.7
100.0
100.0
100.0

2016Q2
77.4
96.0
99.7
100.0
100.0
100.0

2016Q3
80.1
98.3
99.9
100.0
100.0
100.0

2016Q4
80.9
97.3
99.6
99.8
99.9
100.0

Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.

Type
May Suspend
May Have Gates
Suspended
Gated

2015Q2
248
215
0
0

2015Q3
252
222
0
0

2015Q4
268
235
0
0

2016Q1
232
200
0
0

2016Q2
241
207
0
0

2016Q3
232
199
0
0

2016Q4
253
220
0
0

Portfolio Characteristics
Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average WAM

50

Asset-Weighted WAM

40
30
20
10

43

-12
16
20

-09
16
20

-06
16
20

-03
20

16

-12
15
20

-09
15
20

-06
15
20

15

-03

0
20

Weighted Average Maturity (WAM) in Days

B

2015Q1
268
233
0
0

July 7, 2017

Risk and Examinations Office

Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds

-12
16
20

-09
16
20

-06
16
20

-03
20

16

-12
15
20

20

15

-06
15
20

15
20

Asset-Weighted WAL

-09

Average WAL

90
80
70
60
50
40
30
20
10
0
-03

Weighted Average Life (WAL) in Days

As reported on Form PF, Question 55.

Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average Yield

Asset-Weighted Yield

0.8
0.6
0.4
0.2

44

6-1
2
20
1

6-0
9
20
1

6-0
6
20
1

6-0
3
20
1

5-1
2
20
1

5-0
9
20
1

5-0
6
20
1

5-0
3

0.0
20
1

Seven-Day Gross Yield (%)

1.0

July 7, 2017

Risk and Examinations Office

Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average DLA

Asset-Weighted DLA

80
60
40
20
-12

20

16

-09
16

16
20

20

16
20

-06

15
20

-03

15
20

-12

15
20

-09

15
20

-06

0
-03

Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)

100

Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

Average WLA

100

Asset-Weighted WLA

80
60
40
20
-12
16
20

-09
16

20

-06
16

20

-03
16

45

20

-12
15

20

-09
15

20

-06
15

20

-03
15

0
20

Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)

As reported on Form PF, Question 55.

July 7, 2017

C

Risk and Examinations Office

Rule 2a-7 Compliance
Table 57: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None

2015Q1
61.9
59.5
59.5
59.5
54.8
35.7

2015Q2
61.9
59.5
59.5
59.5
54.8
35.7

2015Q3
60.0
57.5
57.5
57.5
52.5
37.5

2015Q4
63.4
61.0
61.0
61.0
56.1
34.1

2016Q1
61.1
58.3
52.8
58.3
47.2
36.1

2016Q2
64.9
62.2
54.1
62.2
48.6
32.4

2016Q3
61.1
58.3
55.6
58.3
50.0
36.1

2016Q4
59.1
56.8
56.8
56.8
50.0
38.6

Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None

D

2015Q1
23.8
23.8
23.4
23.4
22.9
76.1

2015Q2
23.6
23.6
23.5
23.5
22.7
76.2

2015Q3
21.8
21.8
21.5
21.5
20.8
78.1

2015Q4
22.4
22.4
22.3
22.3
21.5
77.4

2016Q1
16.2
16.2
10.8
16.0
10.0
83.6

2016Q2
17.9
17.9
11.2
17.6
10.4
82.0

2016Q3
13.5
13.5
12.2
13.5
11.0
86.1

2016Q4
14.4
13.8
13.6
13.6
11.8
85.5

Methods of Calculating NAV
Table 59: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2015Q1
***
***

2015Q2
***
***

2015Q3
***
***

2015Q4
***
***

2016Q1
***
***

2016Q2
***
***

2016Q3
***
***

2016Q4
81.8
18.2

Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2015Q1
***
***

2015Q2
***
***

2015Q3
***
***

2015Q4
***
***

46

2016Q1
***
***

2016Q2
***
***

2016Q3
***
***

2016Q4
69.9
30.1

July 7, 2017

Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
As reported on Form PF, Question 56.

Product Type
U.S. Treasuries
Other
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt

2015Q1
73.5
49.4
47.1
41.5
42.9
14.2
13.9
5.2
0.5

2015Q2
61.7
49.6
40.8
38.9
41.1
14.0
10.2
5.7
0.4

2015Q3
***
53.6
37.3
44.2
37.3
12.3
9.2
6.4
***

2015Q4
80.5
51.3
42.7
33.1
34.1
13.9
7.4
8.7
0.5

2016Q1
79.7
39.2
32.6
30.9
22.8
12.8
***
5.5
***

Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
2
201

6-1

1
201

6-1

0
201

6-1

9
201

6-0

8
201

6-0

7
6-0

6

201

6-0

5
6-0

201

Product Type
U.S. Treasuries
Deposits
Other
Commercial Paper
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt

201

6-0

4

As reported on Form PF, Question 63.

201

E

Risk and Examinations Office

66.7
55.7
24.0
27.6
43.0
12.7
***
4.6
***

67.0
62.0
28.1
26.2
41.0
13.9
***
4.5
***

69.9
55.3
30.5
25.0
35.7
16.7
***
5.6
***

70.3
61.7
29.3
27.1
36.6
19.0
***
5.9
***

67.2
58.1
31.6
26.0
41.7
20.2
***
5.0
***

64.8
55.3
33.7
26.9
35.9
22.8
6.4
5.9
1.1

66.2
57.8
30.5
34.7
45.5
22.7
7.6
5.3
1.0

71.5
61.7
29.8
33.8
42.7
22.3
10.4
4.2
1.2

73.4
73.3
42.4
38.8
37.2
24.0
15.5
4.2
3.0

47

July 7, 2017

XI
A

Risk and Examinations Office

Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 63: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.

Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Telecommunications Data Processing Services
Pipeline Transportation
Other Insurance Related Activities
Data Processing, Hosting, & Related Services
Other Information Services
Other Financial Vehicles
Other Financial Investment Activities
Custom Computer Programming Services
Pharmaceutical & Medicine Mfg
Management, Scientific, & Technical Consulting Services
Investigation & Security Services
Educational Services
Insurance Agencies & Brokerages
Activities Related to Credit Intermediation
Computer Systems Design Services

48

2013Q4
7.9
2.9
3.8
2.6
2.5
0.9
2.9
2.0
0.4
2.0
0.9
1.0
1.0
0.5
1.1
0.9
1.2
0.5

2014Q4
7.8
3.8
3.9
2.5
2.6
1.0
2.3
2.1
0.4
1.8
1.0
1.3
1.2
0.5
1.1
1.0
1.2
0.8

2015Q4
5.8
4.9
3.7
2.7
2.4
1.0
1.8
1.9
0.6
1.8
1.5
1.5
1.1
0.7
1.3
1.0
1.4
0.6

2016Q4
6.7
6.1
4.1
2.3
2.2
2.0
2.0
1.8
1.8
1.7
1.5
1.4
1.3
1.2
1.2
1.2
1.0
1.0

July 7, 2017

CPC Financial Leverage
Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities
to Total Liabilities of Section 4 Private Equity Funds
See Appendix C for an explanation of boxplots.

60
50
40
30
20
10
Q4
16
20

Q4
20

15

Q4
14

20

20

Q4

0
13

Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)

As reported on Form PF, Questions 71 and 72.

Figure 23: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
As reported on Form PF, Question 73.

50
40
30
20
10

49

Q4
16
20

Q4
20

15

Q4
14
20

13

Q4

0
20

CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)

B

Risk and Examinations Office

July 7, 2017

C

Risk and Examinations Office

CPC Investments by Region and Country
Table 64: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East

2013Q4
5,274
1,423
571
75
65
25
20
8

2014Q4
4,501
1,259
462
85
67
9
12
12

2015Q4
4,132
941
447
58
23
21
12
9

2016Q4
3,942
848
406
111
37
22
18
14

Table 65: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East

2013Q4
70.7
19.1
7.6
1.0
0.9
0.3
0.3
0.1

2014Q4
70.2
19.6
7.2
1.3
1.0
0.1
0.2
0.2

50

2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2

2016Q4
73.0
15.7
7.5
2.0
0.7
0.4
0.3
0.3

July 7, 2017

Risk and Examinations Office

Table 66: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Brazil
Japan
Russia

2013Q4
5,035
171
63
45
233
3

2014Q4
4,300
186
83
58
98
2

2015Q4
3,943
173
89
41
85
5

2016Q4
3,776
114
92
88
79
4

Table 67: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Brazil
Japan
Russia

2013Q4
67.5
2.3
0.8
0.6
3.1
0.0

51

2014Q4
67.1
2.9
1.3
0.9
1.5
0.0

2015Q4
69.9
3.1
1.6
0.7
1.5
0.1

2016Q4
70.0
2.1
1.7
1.6
1.5
0.1

July 7, 2017

XII
A

Risk and Examinations 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.

52

July 7, 2017

3

Risk and Examinations 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.

53

July 7, 2017

B

Risk and Examinations 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

How to Read a Boxplot

In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for
an explanation of each feature.
Figure 24: How to Read a Boxplot

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.

54

July 7, 2017

D

Risk and Examinations Office

Mitigating the Effects of Outliers

Form PF data occasionally contains spurious outliers. While REO staff actively engages in
outreach to identify and correct such values, not all aberrant values have been corrected as of this
writing. To reduce the effect of these outliers on the aggregate measures reported here, we have
chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.

11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.

55

July 7, 2017

E

Risk and Examinations 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 borrow­
ings, 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 invest­
ment 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 unre­
alized 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 hedg­
ing currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.

IRDs

Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.

Large Hedge Fund Adviser

An adviser that has at least $1.5 billion in hedge fund assets under
management.

56

July 7, 2017

Risk and Examinations 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 in­
vestment 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 credi­
tor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.

57

---

Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ab536feb723aa2031. Public record. Not legal advice.