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Division of Investment Management

Risk and Examinations Office

Private Funds Statistics

Second Calendar Quarter 2015

December 30, 2015

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.

December 30, 2015

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 Third Calendar Quarter 2013 through Second Calendar Quarter

2015 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 Second Calendar Quarter

2015 Private Funds Statistics, please contact:

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

Calendar Quarter 2015-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

December 30, 2015

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

5

5

7

8

III

Fund Domiciles and Adviser Main Offices

10

IV

Beneficial Ownership

12

V

Derivatives

16

VI

High Frequency Trading

17

VII Information Reported by Large Hedge Fund Advisers

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

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

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

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

18

18

20

21

22

VIII Qualifying Hedge Fund Specific Information

A Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24

24

26

27

28

IX

Section 3 Liquidity Fund Specific Information

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

B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29

29

30

30

X

Section 4 Private Equity Fund Specific Information

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

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

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

31

31

32

33

XI

Appendices

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

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

35

35

35

2

December 30, 2015

Risk and Examinations Office

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3

35

36

36

36

37

37

38

39

December 30, 2015

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

Hedge Fund

Private Equity 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

2013Q3

7,906

7,078

3,556

1,889

1,400

1,320

1,012

379

74

46

21,319

2013Q4

8,414

7,603

3,709

2,201

1,547

1,369

1,172

434

71

46

22,884

2014Q1

8,497

7,632

3,753

2,197

1,546

1,415

1,191

435

71

46

23,054

2014Q2

8,608

7,664

3,758

2,201

1,546

1,462

1,208

435

70

44

23,190

2014Q3

8,680

7,629

3,752

2,209

1,534

1,471

1,196

438

70

44

23,173

2014Q4

8,643

8,235

4,241

2,387

1,792

1,541

1,327

508

69

45

24,751

2015Q1

8,840

8,303

4,233

2,393

1,790

1,560

1,348

505

68

42

24,998

2015Q2

8,857

8,337

4,215

2,390

1,792

1,591

1,349

506

67

42

25,050

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

Hedge Fund

Private Equity 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

2013Q3

1,496

826

530

175

242

461

137

66

37

24

2,480

2013Q4

1,596

863

524

195

245

469

138

68

35

24

2,573

2014Q1

1,595

862

527

195

245

470

141

69

35

24

2,576

2014Q2

1,595

866

525

196

245

494

143

69

34

23

2,582

2014Q3

1,599

867

526

195

244

503

141

70

34

23

2,583

2014Q4

1,654

918

557

210

261

525

152

85

35

24

2,704

2015Q1

1,661

920

558

209

261

525

155

85

34

22

2,708

2015Q2

1,659

923

557

209

263

527

155

85

34

22

2,709

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

December 30, 2015

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

2013Q3

5,093

4,135

1,628

1,107

779

338

301

249

241

24

8,383

2013Q4

5,393

4,357

1,842

1,271

935

351

334

248

241

30

9,113

2014Q1

5,656

4,583

1,835

1,265

950

356

334

250

247

30

9,397

2014Q2

5,892

4,827

1,845

1,270

955

362

334

274

262

30

9,667

2014Q3

6,116

4,941

1,838

1,274

957

357

334

286

281

30

9,878

2014Q4

6,061

4,925

1,886

1,352

992

377

350

274

272

39

9,959

2015Q1

6,466

5,312

1,894

1,357

988

382

350

290

287

39

10,381

2015Q2

6,387

5,274

1,892

1,351

976

383

350

265

263

39

10,279

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

2013Q3

2,815

2,194

1,494

1,049

667

116

237

247

239

22

5,573

2013Q4

3,078

2,397

1,702

1,206

816

117

266

246

239

28

6,232

2014Q1

3,162

2,470

1,695

1,200

823

122

266

249

246

28

6,329

5

2014Q2

3,309

2,627

1,702

1,205

827

126

266

273

261

28

6,511

2014Q3

3,360

2,606

1,694

1,209

830

126

265

283

279

28

6,549

2014Q4

3,400

2,672

1,744

1,275

885

114

279

272

271

37

6,710

2015Q1

3,580

2,838

1,753

1,279

891

115

279

287

284

37

6,911

2015Q2

3,592

2,864

1,750

1,273

873

116

279

264

262

37

6,899

December 30, 2015

Risk and Examinations Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

13

20

13

20

Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

1600

1400

1200

1000

800

600

400

200

0

20

13

13

Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

NAV ($Millions)

(b) Qualifying Hedge Fund NAV

20

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

1600

1400

1200

1000

800

600

400

200

0

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

NAV ($Billions)

8

7

6

5

4

3

2

1

0

Q3

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

13

20

20

13

Q3

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

7

6

5

4

3

2

1

0

(c) Section 4 Private Equity Fund GAV

(d) Section 4 Private Equity Fund NAV

6

December 30, 2015

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

Other Private Fund

Section 4 Private Equity Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2013Q3

45.9

41.4

38.4

14.8

3.8

6.0

2.8

1.4

0.0

0.0

2013Q4

47.5

39.3

36.8

12.9

2.3

4.2

2.1

0.9

0.0

0.0

2014Q1

46.9

39.2

36.9

12.5

2.4

4.1

2.1

0.9

0.0

0.0

2014Q2

46.4

37.9

36.6

12.5

2.4

4.1

2.1

0.9

0.0

0.0

2014Q3

47.1

37.6

36.6

12.5

2.4

4.0

2.1

0.9

0.0

0.0

2014Q4

48.0

38.3

35.9

13.6

4.0

2.8

2.3

0.6

0.0

0.0

2015Q1

46.6

38.1

35.1

13.2

4.0

2.7

2.3

0.6

0.0

0.0

2015Q2

46.6

38.8

35.9

13.2

4.0

2.7

2.3

0.6

0.0

0.0

Figure 2: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

Total Borrowings ($Billions)

700

600

500

400

300

200

100

0

20

1

3Q

3Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

Total Borrowings ($Millions)

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

20

1

B

Risk and Examinations Office

(a) All Private Funds

(b) Qualifying Hedge Funds

7

December 30, 2015

C

Risk and Examinations Office

Parallel Managed Accounts4

Table 6: 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

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2013Q3

648

332

199

187

76

33

***

18

15

***

1,222

2013Q4

667

336

202

190

62

46

***

18

15

***

1,286

2014Q1

683

342

211

188

57

46

***

17

15

***

1,305

2014Q2

696

342

227

195

57

46

***

17

14

***

1,324

2014Q3

710

340

218

197

57

46

***

17

15

***

1,338

2014Q4

710

399

230

210

60

51

***

16

14

***

1,418

2015Q1

714

389

236

210

63

51

***

17

15

***

1,412

2015Q2

701

392

250

213

63

51

***

17

15

***

1,404

Table 7: 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

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2013Q3

600

1,132

418

115

23

8

***

384

327

***

2,237

2013Q4

620

1,446

451

123

18

11

***

392

335

***

2,656

2014Q1

612

1,455

431

122

17

11

***

334

330

***

2,596

2014Q2

910

1,450

737

124

17

11

***

326

321

***

2,880

2014Q3

834

1,272

441

124

17

11

***

339

335

***

2,638

2014Q4

754

1,417

532

107

16

11

***

349

345

***

2,731

2015Q1

798

1,387

569

106

16

11

***

363

359

***

2,748

2015Q2

724

1,386

552

106

16

11

***

347

343

***

2,656

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.

8

December 30, 2015

Risk and Examinations Office

Figure 3: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

Parallel Managed Assets ($Billions)

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20

13

Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

20

13

Q

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

9

December 30, 2015

III

Risk and Examinations Office

Fund Domiciles and Adviser Main Offices

Table 8: 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

Canada

Bermuda

Other

All Private Funds

2013Q3 2013Q4 2014Q1 2014Q2 2014Q3

49.5

51.3

50.5

50.1

50.1

37.4

36.8

37.3

37.6

37.6

4.1

4.1

4.2

4.4

4.6

2.8

2.7

2.7

2.7

2.7

1.2

1.2

1.2

1.2

1.2

1.2

1.2

1.2

1.2

1.2

1.1

0.7

0.7

0.7

0.7

2.6

2.1

2.1

2.1

2.0

Qualifying Hedge Funds

2013Q3 2013Q4 2014Q1 2014Q2 2014Q3

53.9

54.3

55.4

55.3

54.9

32.3

32.5

31.3

31.6

32.2

5.7

6.2

6.2

6.1

6.0

2.0

2.1

2.2

2.2

2.2

1.4

1.3

1.4

1.4

1.8

1.8

1.5

1.6

1.6

1.5

2.6

2.0

2.0

1.9

1.8

Section 3 Liquidity Funds

2013Q3 2013Q4 2014Q1 2014Q2 2014Q3

***

***

***

***

***

34.4

35.9

33.2

34.1

32.3

8.1

7.9

8.8

***

8.2

***

***

***

***

***

Section 4 Private Equity Funds

2013Q3 2013Q4 2014Q1 2014Q2 2014Q3

66.5

66.6

66.3

66.4

66.5

28.4

28.2

28.3

28.2

28.2

1.6

1.3

1.3

1.3

1.3

***

1.3

1.3

1.3

1.3

***

0.9

0.9

0.9

0.9

1.6

1.6

1.8

1.8

1.8

10

2014Q4

49.5

37.8

4.7

2.6

1.2

1.2

1.0

1.9

2015Q1

49.3

37.9

4.6

2.8

1.2

1.2

1.0

2.0

2015Q2

49.3

38.0

4.6

2.7

1.2

1.2

1.0

1.9

2014Q4

55.5

31.5

6.1

2.4

1.4

1.3

1.9

2015Q1

55.9

31.2

6.2

2.3

1.4

1.2

1.8

2015Q2

55.6

31.5

6.0

2.4

1.4

1.3

1.8

2014Q4

***

30.6

***

***

2015Q1

***

32.8

***

***

2015Q2

***

32.1

***

***

2014Q4

63.3

30.7

2.3

1.3

1.0

1.4

2015Q1

63.6

30.5

2.4

1.3

1.0

1.2

2015Q2

63.5

30.6

2.4

1.3

1.0

1.2

December 30, 2015

Risk and Examinations Office

Table 9: Adviser Main Office Location (Percent of NAV)

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

Country

United States

United Kingdom

Other

2013Q3

89.3

6.9

3.8

Country

United States

United Kingdom

Hong Kong

Australia

Other

2013Q3

89.4

5.8

***

***

3.5

Country

United States

United Kingdom

France

2013Q3

66.9

***

***

Country

United States

Canada

Other

2013Q3

98.0

***

***

All Private Funds

2013Q4 2014Q1 2014Q2 2014Q3

89.9

89.2

88.9

88.7

6.4

6.7

7.0

7.3

3.7

4.1

4.1

4.0

Qualifying Hedge Funds

2013Q4 2014Q1 2014Q2 2014Q3

89.5

89.3

89.4

89.7

5.6

5.7

5.8

5.6

***

***

***

***

***

***

***

***

3.2

3.1

2.9

2.8

Section 3 Liquidity Funds

2013Q4 2014Q1 2014Q2 2014Q3

66.8

67.2

68.5

65.3

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2013Q4 2014Q1 2014Q2 2014Q3

97.3

97.4

97.4

97.4

***

***

***

***

***

***

***

***

11

2014Q4

89.8

6.4

3.7

2015Q1

89.9

6.4

3.7

2015Q2

89.8

6.4

3.8

2014Q4

89.9

5.0

***

***

2.7

2015Q1

90.8

4.9

***

***

2.0

2015Q2

90.5

4.8

***

***

2.1

2014Q4

63.6

***

***

2015Q1

65.6

***

***

2015Q2

64.0

***

***

2014Q4

97.8

***

***

2015Q1

97.8

***

***

2015Q2

97.8

***

***

December 30, 2015

IV

Risk and Examinations Office

Beneficial Ownership

Table 10: Beneficial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Pension Plans

State/Muni. Govt. Pension Plans

Other

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

2013Q3

1,213

694

724

580

616

580

295

206

176

168

144

78

24

61

2013Q4

1,276

796

820

652

696

633

340

245

183

174

151

88

90

68

2014Q1

1,286

804

835

664

700

645

341

248

192

177

154

86

103

69

2014Q2

1,315

819

839

692

716

669

350

253

214

174

156

98

109

83

2014Q3

1,326

819

835

714

717

678

347

254

198

196

157

88

112

84

2014Q4

1,356

839

859

765

740

690

361

263

193

185

142

88

116

89

2015Q1

1,375

882

869

776

758

714

363

268

212

189

148

123

116

93

2015Q2

1,372

886

872

788

760

710

362

268

205

180

149

117

113

92

2015Q1

19.9

12.8

12.6

11.2

11.0

10.3

5.3

3.9

3.1

2.7

2.1

1.8

1.7

1.3

2015Q2

19.9

12.8

12.6

11.4

11.0

10.3

5.3

3.9

3.0

2.6

2.2

1.7

1.6

1.3

Table 11: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Pension Plans

State/Muni. Govt. Pension Plans

Other

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

2013Q3

21.8

12.4

13.0

10.4

11.1

10.4

5.3

3.7

3.2

3.0

2.6

1.4

0.4

1.1

2013Q4

20.5

12.8

13.2

10.5

11.2

10.2

5.4

3.9

2.9

2.8

2.4

1.4

1.4

1.1

12

2014Q1

20.3

12.7

13.2

10.5

11.1

10.2

5.4

3.9

3.0

2.8

2.4

1.4

1.6

1.1

2014Q2

20.2

12.6

12.9

10.6

11.0

10.3

5.4

3.9

3.3

2.7

2.4

1.5

1.7

1.3

2014Q3

20.2

12.5

12.8

10.9

10.9

10.4

5.3

3.9

3.0

3.0

2.4

1.4

1.7

1.3

2014Q4

20.2

12.5

12.8

11.4

11.0

10.3

5.4

3.9

2.9

2.8

2.1

1.3

1.7

1.3

December 30, 2015

Risk and Examinations Office

Table 12: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Profits

Pension Plans

U.S. Individuals

Other

State/Muni. Govt. Pension Plans

Sov. Wealth Funds and For. Official Inst.

Broker-Dealers

SEC-Registered Investment Companies

Non-U.S. Individuals

Insurance Companies

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2013Q3

504

305

276

283

209

224

118

7

39

57

57

55

23

34

2013Q4

509

322

293

307

238

242

127

71

49

60

59

58

25

34

2014Q1

526

323

308

303

242

253

129

85

48

62

61

61

26

36

2014Q2

547

349

323

322

271

254

137

89

58

68

65

66

38

36

2014Q3

554

358

312

321

268

242

133

91

50

69

65

68

38

36

2014Q4

558

357

334

321

300

256

133

93

49

68

65

61

41

33

2015Q1

581

379

366

340

322

264

134

91

81

71

68

56

44

38

2015Q2

581

382

374

341

339

269

134

90

76

70

68

57

44

37

2015Q1

20.5

13.4

12.9

12.0

11.4

9.3

4.7

3.2

2.9

2.5

2.4

2.0

1.6

1.3

2015Q2

20.3

13.3

13.1

11.9

11.8

9.4

4.7

3.1

2.7

2.4

2.4

2.0

1.5

1.3

Table 13: 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

U.S. Individuals

Other

State/Muni. Govt. Pension Plans

Sov. Wealth Funds and For. Official Inst.

Broker-Dealers

SEC-Registered Investment Companies

Non-U.S. Individuals

Insurance Companies

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2013Q3

23.0

13.9

12.6

12.9

9.5

10.2

5.4

0.3

1.8

2.6

2.6

2.5

1.1

1.5

2013Q4

21.2

13.4

12.2

12.8

9.9

10.1

5.3

3.0

2.1

2.5

2.5

2.4

1.1

1.4

13

2014Q1

21.3

13.1

12.5

12.3

9.8

10.3

5.2

3.4

2.0

2.5

2.5

2.5

1.1

1.5

2014Q2

20.8

13.3

12.3

12.3

10.3

9.7

5.2

3.4

2.2

2.6

2.5

2.5

1.5

1.4

2014Q3

21.3

13.7

12.0

12.3

10.3

9.3

5.1

3.5

1.9

2.6

2.5

2.6

1.5

1.4

2014Q4

20.9

13.4

12.5

12.0

11.2

9.6

5.0

3.5

1.8

2.5

2.4

2.3

1.5

1.3

December 30, 2015

Risk and Examinations Office

Table 14: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Unknown Non-U.S. Investors

Non-U.S. Individuals

SEC-Registered Investment Companies

Banking/Thrift Inst.

Broker-Dealers

Sov. Wealth Funds and For. Official Inst.

Insurance Companies

Pension Plans

State/Muni. Govt. Entities

Non-Profits

State/Muni. Govt. Pension Plans

U.S. Individuals

2013Q3

68

39

47

***

18

9

***

10

8

8

***

***

***

***

2013Q4

68

35

46

***

18

13

***

10

9

8

***

***

***

***

2014Q1

67

37

46

22

17

16

***

***

9

7

***

***

***

0

2014Q2

75

37

37

38

18

17

***

11

7

***

***

***

***

0

2014Q3

80

43

58

20

17

19

***

***

9

6

***

***

***

0

2014Q4

75

63

40

20

15

14

***

11

10

5

***

***

***

0

2015Q1

86

45

44

35

17

***

***

***

9

6

***

***

***

0

2015Q2

77

44

36

31

17

***

***

***

9

5

***

***

***

0

2015Q1

30.5

15.7

15.6

12.3

5.9

***

***

***

3.2

2.0

***

***

***

0.0

2015Q2

29.5

16.9

13.6

11.7

6.5

***

***

***

3.3

2.0

***

***

***

0.0

Table 15: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Unknown Non-U.S. Investors

Non-U.S. Individuals

SEC-Registered Investment Companies

Banking/Thrift Inst.

Broker-Dealers

Sov. Wealth Funds and For. Official Inst.

Insurance Companies

Pension Plans

State/Muni. Govt. Entities

Non-Profits

State/Muni. Govt. Pension Plans

U.S. Individuals

2013Q3

28.5

16.2

19.6

***

7.4

3.8

***

4.4

3.3

3.3

***

***

***

***

2013Q4

28.5

14.7

19.3

***

7.4

5.6

***

4.4

3.6

3.4

***

***

***

***

14

2014Q1

27.4

15.0

18.6

9.0

6.8

6.4

***

***

3.7

2.9

***

***

***

0.0

2014Q2

28.8

14.2

14.3

14.7

7.0

6.5

***

4.1

2.8

***

***

***

***

0.0

2014Q3

28.7

15.5

20.9

7.3

6.2

6.8

***

***

3.3

2.1

***

***

***

0.0

2014Q4

27.7

23.4

14.9

7.3

5.6

5.2

***

4.1

3.5

1.9

***

***

***

0.0

December 30, 2015

Risk and Examinations Office

Table 16: 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

Sov. Wealth Funds and For. Official Inst.

Pension Plans

Other

Non-Profits

U.S. Individuals

Insurance Companies

Banking/Thrift Inst.

Non-U.S. Individuals

State/Muni. Govt. Entities

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

2013Q3

247

230

91

107

83

68

63

61

45

23

14

16

3

1

2013Q4

285

266

112

119

95

78

72

72

46

31

15

14

2

1

2014Q1

283

266

112

116

95

77

72

71

45

33

15

14

2

1

2014Q2

284

266

113

118

95

77

72

71

45

33

15

14

2

1

2014Q3

286

268

113

119

96

76

72

72

45

33

15

14

2

1

2014Q4

300

277

124

123

110

80

79

75

35

33

16

11

3

1

2015Q1

302

278

124

125

110

80

79

76

35

32

16

11

3

1

2015Q2

301

277

124

123

110

80

79

76

35

32

16

11

3

1

Table 17: 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

Sov. Wealth Funds and For. Official Inst.

Pension Plans

Other

Non-Profits

U.S. Individuals

Insurance Companies

Banking/Thrift Inst.

Non-U.S. Individuals

State/Muni. Govt. Entities

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

2013Q3

23.5

22.0

8.7

10.2

7.9

6.5

6.0

5.8

4.3

2.2

1.3

1.5

0.2

0.1

2013Q4

23.6

22.1

9.3

9.9

7.9

6.4

6.0

5.9

3.8

2.6

1.3

1.1

0.2

0.1

15

2014Q1

23.6

22.1

9.4

9.6

7.9

6.4

6.0

5.9

3.8

2.8

1.2

1.1

0.2

0.1

2014Q2

23.6

22.1

9.4

9.8

7.9

6.4

6.0

5.9

3.8

2.7

1.2

1.1

0.2

0.1

2014Q3

23.7

22.1

9.3

9.8

8.0

6.3

5.9

5.9

3.7

2.7

1.2

1.1

0.2

0.1

2014Q4

23.6

21.8

9.7

9.6

8.6

6.3

6.2

5.9

2.8

2.6

1.2

0.9

0.2

0.1

2015Q1

23.6

21.7

9.7

9.8

8.6

6.3

6.2

5.9

2.7

2.5

1.2

0.9

0.2

0.1

2015Q2

23.6

21.8

9.7

9.7

8.6

6.3

6.2

5.9

2.8

2.5

1.2

0.9

0.2

0.1

December 30, 2015

V

Risk and Examinations Office

Derivatives

Table 18: 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

Securitized Asset Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2013Q3

13,885

12,669

76

49

45

70

12

***

***

0

14,090

2013Q4

13,151

11,995

88

47

43

45

12

***

***

0

13,341

2014Q1

14,382

13,264

101

47

43

45

12

***

***

0

14,583

2014Q2

16,984

15,889

102

47

43

45

12

***

***

0

17,185

2014Q3

15,929

14,713

101

48

43

45

12

***

***

0

16,114

2014Q4

14,592

13,316

127

66

60

27

13

***

***

0

14,808

2015Q1

14,473

13,383

121

69

60

29

13

***

***

0

14,689

2015Q2

13,786

12,743

106

71

60

29

13

***

***

0

14,006

Table 19: 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

Securitized Asset Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2013Q3

493.3

577.5

11.4

3.3

4.2

60.8

5.0

***

***

0.3

252.8

2013Q4

427.2

500.4

10.8

2.8

3.5

38.8

4.4

***

***

0.2

214.1

2014Q1

454.9

536.9

12.2

2.8

3.6

37.3

4.4

***

***

0.2

230.4

16

2014Q2

513.3

604.9

12.3

2.8

3.5

35.9

4.4

***

***

0.2

263.9

2014Q3

474.1

564.6

12.2

2.8

3.5

35.6

4.4

***

***

0.2

246.1

2014Q4

429.1

498.4

14.4

3.8

4.7

23.4

4.6

***

***

0.1

220.7

2015Q1

404.3

471.6

13.5

3.9

4.7

25.4

4.6

***

***

0.1

212.5

2015Q2

383.7

444.9

12.2

4.0

4.7

25.1

4.6

***

***

0.1

203.0

December 30, 2015

Risk and Examinations Office

Figure 4: Distribution of Derivative Notional Values

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

12

10

8

6

4

2

0

Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

Total Derivative Value ($Billions)

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

20

20

1

13

3Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

Total Derivative Value ($Billions)

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

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

1.8

1.6

1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

(a) All Private Funds

VI

(b) Qualifying Hedge Funds

High Frequency Trading

Table 20: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Questions 9 and 21.

Fraction of NAV

0%

Less than 100%

100% or More

2013Q3

6,257

54

15

2013Q4

6,716

59

13

2014Q1

6,797

57

27

2014Q2

6,930

55

24

2014Q3

6,996

53

28

2014Q4

7,162

45

28

2015Q1

7,311

39

25

2015Q2

7,328

39

24

Table 21: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Question 21.

Fraction of NAV

0%

Less than 100%

100% or More

2013Q3

2,705

67

16

2013Q4

2,946

65

35

2014Q1

3,045

78

19

2014Q2

3,205

54

31

17

2014Q3

3,258

37

30

2014Q4

3,299

35

32

2015Q1

3,469

41

34

2015Q2

3,478

43

36

December 30, 2015

VII

A

Risk and Examinations Office

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

Figure 5: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value

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

14

12

10

8

6

4

2

0

20

20

13

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

Ratio of GNE (w/o IRDs) to NAV

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

14

12

10

8

6

4

2

0

13

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

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)

18

(b) Gross Exposure without IRDs

3-0

10

8

6

4

2

0

Ratio of SNE (w/o IRDs) to NAV

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

4

2

0

(c) Short Exposure with IRDs

19

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

13

6

20

8

Ratio of LNE (w/o IRDs) to NAV

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

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

13

20

Ratio of LNE to NAV

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

10

20

13

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

20

1

Ratio of SNE to NAV

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

December 30, 2015

Risk and Examinations Office

Figure 6: 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

(a) Long Exposure with IRDs

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

December 30, 2015

B

Risk and Examinations Office

Industry Concentration

Table 22: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

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

Month

2013-07

2013-08

2013-09

2013-10

2013-11

2013-12

2014-01

2014-02

2014-03

2014-04

2014-05

2014-06

2014-07

2014-08

2014-09

2014-10

2014-11

2014-12

2015-01

2015-02

2015-03

2015-04

2015-05

2015-06

Top 10 Advisers (NAV)

18.4

17.1

17.1

17.9

17.6

17.6

17.8

18.0

18.0

17.7

17.7

17.7

16.4

16.4

16.4

20.6

20.6

20.6

17.3

17.2

17.2

17.5

17.5

17.6

Top 20 Advisers (NAV)

28.0

26.8

26.8

27.8

27.5

27.5

27.6

27.9

27.9

27.1

27.1

27.1

25.9

25.9

25.9

30.0

30.0

30.0

26.8

26.7

26.7

26.8

26.8

27.0

20

Top 10 Advisers (GNE)

47.2

46.7

45.3

43.9

45.5

43.0

45.4

45.8

43.3

40.7

41.7

40.3

41.0

42.2

41.4

41.6

42.1

41.1

40.0

40.1

37.9

37.8

39.0

37.8

Top 20 Advisers (GNE)

59.3

59.1

58.6

56.9

58.5

56.4

57.7

58.0

56.2

54.0

54.7

53.4

54.0

55.0

53.7

54.2

54.5

53.4

53.1

53.2

51.8

52.3

53.0

52.2

December 30, 2015

Portfolio Turnover

Table 23: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2013-07

2013-08

2013-09

2013-10

2013-11

2013-12

2014-01

2014-02

2014-03

2014-04

2014-05

2014-06

2014-07

2014-08

2014-09

2014-10

2014-11

2014-12

2015-01

2015-02

2015-03

2015-04

2015-05

2015-06

Futures

8,136

8,340

12,356

8,299

8,852

11,533

10,957

9,985

17,827

9,899

11,116

20,520

9,105

9,177

12,784

12,662

8,427

11,353

9,726

10,042

11,429

7,521

9,177

12,224

Sov. and muni. bonds

2,025

2,043

2,157

2,171

1,942

1,934

2,357

2,190

2,395

2,319

2,276

2,341

2,347

2,220

2,572

2,760

1,983

2,210

2,339

2,304

2,375

2,673

2,460

2,781

Listed equities

1,563

4,956

1,461

1,826

1,553

1,443

1,968

1,886

1,860

2,357

2,077

2,200

1,720

1,430

1,509

2,304

1,534

1,656

1,812

1,712

1,858

1,993

1,916

1,955

Corporate bonds

62

46

94

97

91

66

99

92

109

108

100

100

89

66

107

118

88

74

92

109

124

112

104

89

Convertible bonds

16

17

21

33

28

22

30

29

55

20

23

29

19

14

23

20

17

17

17

23

25

23

23

22

Total

11,725

15,314

15,979

12,322

12,356

14,898

15,248

14,077

22,094

14,613

15,546

25,126

13,205

12,840

16,899

17,766

12,019

15,266

13,961

14,156

15,773

12,285

13,643

17,019

Figure 7: 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

20

13

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

0

18

16

14

12

10

8

6

4

2

0

13

-0

20 9

13

-1

20 2

14

-0

20 3

14

-0

20 6

14

-0

20 9

14

-1

20 2

15

-0

20 3

15

-06

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

21

December 30, 2015

D

Risk and Examinations Office

Region and Country Exposure

Table 24: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Africa

Middle East

2013Q3

3,323

1,128

619

69

81

27

21

10

2013Q4

3,537

1,243

605

76

78

27

17

10

2014Q1

3,539

1,323

557

76

71

41

22

13

2014Q2

3,840

1,354

687

90

86

42

26

12

2014Q3

3,970

1,290

632

100

83

41

25

13

2014Q4

3,954

1,129

612

92

71

39

20

14

2015Q1

3,969

1,234

605

86

73

41

24

17

2015Q2

3,965

1,197

611

91

73

34

19

16

Table 25: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Africa

Middle East

2013Q3

142.2

48.2

26.5

3.0

3.4

1.2

0.9

0.4

2013Q4

135.0

47.4

23.1

2.9

3.0

1.0

0.7

0.4

2014Q1

132.5

49.5

20.8

2.8

2.7

1.5

0.8

0.5

2014Q2

134.3

47.4

24.0

3.1

3.0

1.5

0.9

0.4

22

2014Q3

140.8

45.8

22.4

3.6

2.9

1.5

0.9

0.5

2014Q4

129.9

37.1

20.1

3.0

2.3

1.3

0.7

0.5

2015Q1

131.6

40.9

20.0

2.9

2.4

1.4

0.8

0.6

2015Q2

130.5

39.4

20.1

3.0

2.4

1.1

0.6

0.5

December 30, 2015

Risk and Examinations Office

Table 26: 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

2013Q3

3,091

282

119

29

20

22

2013Q4

3,330

258

90

29

20

18

2014Q1

3,360

234

112

31

22

14

2014Q2

3,635

266

202

43

27

17

2014Q3

3,769

244

134

39

25

16

2014Q4

3,757

237

142

41

27

10

2015Q1

3,762

230

149

41

33

9

2015Q2

3,786

254

161

39

33

9

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

Table 27: 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

2013Q3

132.2

12.1

5.1

1.2

0.8

1.0

2013Q4

127.1

9.9

3.4

1.1

0.8

0.7

2014Q1

125.8

8.8

4.2

1.2

0.8

0.5

23

2014Q2

127.1

9.3

7.1

1.5

0.9

0.6

2014Q3

133.7

8.7

4.8

1.4

0.9

0.6

2014Q4

123.4

7.8

4.7

1.3

0.9

0.3

December 30, 2015

VIII

A

Risk and Examinations Office

Qualifying Hedge Fund Specific Information

Gross Exposure by Strategy5

Table 28: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Relative Value

Other

Macro

Event Driven

Credit

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Market Neutral

Long Bias

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

Subtotal

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Long/Short

Asset Based Lending

Subtotal

Quantitative

Fundamental

Subtotal

Total

2013Q3

1,164

752

222

187

3

442

229

105

45

43

20

584

509

412

65

31

1

298

179

69

50

244

220

24

51

***

***

28

3,318

2013Q4

1,306

854

239

209

5

628

387

112

54

48

28

646

384

275

65

42

1

343

188

93

62

266

243

23

63

***

***

45

3,681

2014Q1

1,338

867

254

209

8

654

414

114

54

46

25

667

403

291

65

46

1

365

196

109

60

278

254

24

58

***

***

47

3,810

2014Q2

1,453

909

275

263

5

689

433

128

59

48

21

712

438

306

79

53

1

412

192

140

80

299

273

25

67

***

***

49

4,119

2014Q3

1,432

904

294

232

2

774

520

133

54

47

19

728

384

297

40

***

***

427

185

145

97

291

264

27

70

***

***

52

4,158

2014Q4

1,508

924

309

270

5

717

470

128

51

49

19

750

441

333

59

48

1

403

178

138

88

299

272

27

90

***

***

49

4,256

2015Q1

1,609

983

***

265

***

841

578

139

53

50

21

764

476

380

47

48

1

417

185

150

82

291

261

29

96

***

***

50

4,544

2015Q2

1,643

1,001

349

285

7

787

524

144

49

48

23

755

515

440

43

32

1

430

182

151

97

301

269

33

91

***

***

49

4,572

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.

24

December 30, 2015

Risk and Examinations Office

Table 29: Exposures of Hedge Funds (Percent of NAV)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Relative Value

Other

Macro

Event Driven

Credit

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Market Neutral

Long Bias

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

Subtotal

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Long/Short

Asset Based Lending

Subtotal

Quantitative

Fundamental

Subtotal

Total

2013Q3

51.2

33.1

9.7

8.2

0.1

19.5

10.1

4.6

2.0

1.9

0.9

25.7

22.4

18.1

2.9

1.4

0.0

13.1

7.9

3.0

2.2

10.7

9.7

1.0

2.2

***

***

1.2

146.0

2013Q4

52.0

34.0

9.5

8.3

0.2

25.0

15.4

4.4

2.1

1.9

1.1

25.7

15.3

10.9

2.6

1.7

0.1

13.7

7.5

3.7

2.5

10.6

9.7

0.9

2.5

***

***

1.8

146.4

25

2014Q1

51.5

33.4

9.8

8.0

0.3

25.2

15.9

4.4

2.1

1.8

1.0

25.7

15.5

11.2

2.5

1.8

0.0

14.1

7.6

4.2

2.3

10.7

9.8

0.9

2.2

***

***

1.8

146.7

2014Q2

52.6

33.0

10.0

9.5

0.2

25.0

15.7

4.6

2.1

1.8

0.8

25.8

15.9

11.1

2.9

1.9

0.0

14.9

7.0

5.1

2.9

10.8

9.9

0.9

2.4

***

***

1.8

149.3

2014Q3

52.4

33.0

10.8

8.5

0.1

28.3

19.0

4.9

2.0

1.7

0.7

26.6

14.0

10.8

1.5

***

***

15.6

6.8

5.3

3.5

10.6

9.6

1.0

2.5

***

***

1.9

152.0

2014Q4

53.9

33.0

11.1

9.6

0.2

25.6

16.8

4.6

1.8

1.7

0.7

26.8

15.8

11.9

2.1

1.7

0.0

14.4

6.3

4.9

3.1

10.7

9.7

1.0

3.2

***

***

1.8

152.0

2015Q1

53.7

32.8

***

8.8

***

28.1

19.3

4.6

1.8

1.7

0.7

25.5

15.9

12.7

1.6

1.6

0.0

13.9

6.2

5.0

2.7

9.7

8.7

1.0

3.2

***

***

1.7

151.7

2015Q2

55.5

33.8

11.8

9.6

0.2

26.6

17.7

4.9

1.7

1.6

0.8

25.5

17.4

14.9

1.4

1.1

0.0

14.5

6.1

5.1

3.3

10.2

9.1

1.1

3.1

***

***

1.7

154.5

December 30, 2015

Liquidity

Table 30: 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

2013Q3

6.5

8.7

22.3

44.0

59.8

74.8

2013Q4

7.7

11.3

24.5

48.5

57.9

75.5

2014Q1

9.9

11.9

26.2

44.8

59.5

76.0

2014Q2

7.8

11.0

24.3

44.2

58.4

75.6

2014Q3

6.0

9.7

23.7

44.9

61.4

75.3

2014Q4

7.6

11.4

25.9

49.8

59.0

75.5

2015Q1

6.9

13.0

27.3

46.7

60.5

75.3

2015Q2

7.1

13.3

26.0

45.8

60.1

74.8

Table 31: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 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

2013Q3

28.3

56.2

74.5

82.7

86.5

90.4

2013Q4

28.6

57.0

75.1

83.4

87.1

90.8

2014Q1

29.4

58.1

75.5

83.2

87.1

90.5

2014Q2

29.7

57.9

75.1

82.8

86.7

90.4

2014Q3

29.0

57.3

74.7

83.0

87.4

90.8

2014Q4

29.2

56.6

74.3

83.3

87.5

90.8

2015Q1

30.1

58.0

74.9

83.5

87.4

90.9

2015Q2

30.1

57.9

74.3

82.8

86.8

90.5

Figure 8: Asset Weighted-Average Qualifying Hedge Fund

Investor and Portfolio Liquidity Reported on Form PF as of Second Calendar Quarter 2015

As reported on Form PF, Questions 9, 32, and 50.

Portfolio Liquidity

1 d Percent of Fund Net Assets (%)

ay

100

Investor Liquidity

80

60

40

20

26

day

s

mo

At

st 3

65

day

s

mo

At

st 1

80

0d

ays

mo

At

st 9

0d

ays

st 3

mo

At

7d

ays

ost

At

m

mo

st

0

At

B

Risk and Examinations Office

December 30, 2015

Risk and Examinations Office

Table 32: Restrictions on Qualifying Hedge Fund Assets ($ Billions)

As reported on Form PF, Questions 48 and 49.

Type

May Suspend

May Have Gates

Gated

Side Pocketed

Suspended

2013Q3

1,747

1,144

34

39

19

2013Q4

1,919

1,229

28

37

10

2014Q1

1,987

1,279

29

37

10

2014Q2

2,105

1,365

32

42

9

2014Q3

2,087

1,395

30

39

8

2014Q4

2,143

1,409

41

39

13

2015Q1

2,320

1,476

43

37

12

2015Q2

2,340

1,472

41

38

12

Figure 9: Distribution of the Ratio of Qualifying Hedge Fund

Assets Held in Side Pockets to NAV

35

30

25

20

15

10

5

0

As reported on Form PF, Questions 9 and 48.

20

13

Q

20 3

13

Q

20 4

14

Q

20 1

14

Q

20 2

14

Q

20 3

14

Q

20 4

15

Q

20 1

15

Q2

NAV in Side-Pocket (%)

See Appendix C for an explanation of boxplots.

C

Borrowings

Table 33: 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

2013Q3

1,700

846

598

256

7

1,706

2013Q4

1,698

926

508

265

7

1,705

2014Q1

1,777

997

500

279

10

1,787

27

2014Q2

1,807

990

547

270

11

1,818

2014Q3

1,847

985

576

286

11

1,858

2014Q4

1,874

1,039

555

280

9

1,883

2015Q1

2,014

1,078

660

276

8

2,022

2015Q2

2,035

1,131

649

255

11

2,046

December 30, 2015

Central Clearing

Figure 10: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

Percent of Funds

30

Percent of NAV

25

20

15

10

5

28

Q2

15

20

Q1

15

20

Q4

14

20

Q3

14

20

Q2

14

20

Q1

14

20

Q4

13

20

13

Q3

0

20

D

Risk and Examinations Office

December 30, 2015

IX

A

Risk and Examinations Office

Section 3 Liquidity Fund Specific Information

Liquidity

Table 34: 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

2013Q3

70.2

91.0

99.6

100.0

100.0

100.0

2013Q4

72.3

91.5

99.7

100.0

100.0

100.0

2014Q1

70.3

91.0

99.6

100.0

100.0

100.0

2014Q2

68.7

90.6

99.2

100.0

100.0

100.0

2014Q3

70.8

91.4

99.3

100.0

100.0

100.0

2014Q4

71.9

91.4

99.3

100.0

100.0

100.0

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

Table 35: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Question 63.

Type

May Suspend

May Have Gates

Suspended

Gated

2013Q3

221

198

0

0

2013Q4

220

198

0

0

2014Q1

229

202

0

0

2014Q2

243

214

0

0

29

2014Q3

265

234

0

0

2014Q4

255

223

0

0

2015Q1

268

233

0

0

2015Q2

248

215

0

0

December 30, 2015

B

Risk and Examinations Office

Rule 2a-7 Compliance

Table 36: 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

2013Q3

60.9

58.7

58.7

58.7

52.2

37.0

2013Q4

60.9

58.7

58.7

58.7

52.2

37.0

2014Q1

63.0

60.9

60.9

60.9

54.3

34.8

2014Q2

63.6

61.4

61.4

61.4

56.8

34.1

2014Q3

65.9

63.6

63.6

63.6

56.8

31.8

2014Q4

60.0

57.8

57.8

57.8

51.1

37.8

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

Table 37: 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

C

2013Q3

27.9

27.9

27.5

27.5

26.4

71.9

2013Q4

27.3

27.3

26.9

26.9

26.0

72.5

2014Q1

28.1

28.0

27.6

27.6

26.6

71.8

2014Q2

27.6

27.5

27.0

27.0

26.2

72.3

2014Q3

24.9

24.9

24.5

24.5

23.8

74.9

2014Q4

24.7

24.7

24.3

24.3

23.8

75.2

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

Methods of Calculating NAV

Table 38: NAV Calculation Method (Percent of Funds)

As reported on Form PF, Questions 9, 52, and 53.

Type

Stable

Floating

2013Q3

84.8

15.2

2013Q4

84.8

15.2

2014Q1

84.8

15.2

2014Q2

***

***

2014Q3

***

***

2014Q4

84.4

15.6

2015Q1

***

***

2015Q2

***

***

Table 39: NAV Calculation Method (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 52, and 53.

Type

Stable

Floating

2013Q3

71.7

28.3

2013Q4

71.0

29.0

2014Q1

72.4

27.6

2014Q2

***

***

30

2014Q3

***

***

2014Q4

71.9

28.1

2015Q1

***

***

2015Q2

***

***

December 30, 2015

Risk and Examinations Office

X

Section 4 Private Equity Fund Specific Information

A

CPC Industry Concentration

Table 40: Gross Assets in CPC Industries (Percent of Total)

As reported on Form PF, Questions 8 and 77.

Type

Oil & Gas Extraction

Electric Power Generation, Transmission & Distribution

Software Publishers

Pipeline Transportation

Telecommunications Data Processing Services

Data Processing, Hosting, & Related Services

Other Information Services

Other Financial Investment Activities

Support Activities for Mining

Electronic Shopping & Mail-Order Houses

Limited-Service Eating Places

Water Transportation

Pharmaceutical & Medicine Mfg

Medical Equipment & Supplies Mfg

Activities Related to Credit Intermediation

Management, Scientific, & Technical Consulting Services

Commercial Banking

Educational Services

Special Food Services

31

2013Q4

7.8

3.8

2.8

2.4

2.6

2.8

2.0

1.9

1.3

0.8

1.0

1.1

1.0

1.1

1.2

1.0

1.8

1.1

1.3

2014Q4

7.5

3.7

3.7

2.5

2.4

2.2

2.0

1.7

1.5

1.4

1.4

1.3

1.3

1.2

1.2

1.2

1.1

1.0

1.0

December 30, 2015

CPC Financial Leverage

Figure 11: 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

20

20

14

Q4

0

13

Ratio of Portfolio Company Current

Liabilities to Total Liabilities (%)

As reported on Form PF, Questions 71 and 72.

Figure 12: Distribution of CPC Payment-in-Kind or

Zero Coupon Borrowings to Total Borrowings Ratio

See Appendix C for an explanation of boxplots.

Q4

20

14

Q4

As reported on Form PF, Question 73.

13

40

35

30

25

20

15

10

5

0

20

CPC Payment-in-Kind Borrowings

to Total Borrowings Ratio (%)

B

Risk and Examinations Office

32

December 30, 2015

C

Risk and Examinations Office

CPC Investments by Region and Country

Table 41: 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

Middle East

Africa

Europe Other

2013Q4

5,275

1,423

571

75

65

8

20

25

2014Q4

4,501

1,259

462

85

67

12

12

9

Table 42: 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

Middle East

Africa

Europe Other

2013Q4

70.7

19.1

7.6

1.0

0.9

0.1

0.3

0.3

33

2014Q4

70.2

19.6

7.2

1.3

1.0

0.2

0.2

0.1

December 30, 2015

Risk and Examinations Office

Table 43: 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

Japan

India

Brazil

Russia

2013Q4

5,035

171

233

63

45

3

2014Q4

4,300

186

98

83

58

2

Table 44: 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

Japan

India

Brazil

Russia

34

2013Q4

67.5

2.3

3.1

0.8

0.6

0.0

2014Q4

67.1

2.9

1.5

1.3

0.9

0.0

December 30, 2015

XI

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.

35

December 30, 2015

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.

36

December 30, 2015

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 13 for

an explanation of each feature.

Figure 13: 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.

37

December 30, 2015

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.

38

December 30, 2015

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.

39

December 30, 2015

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.

40

This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.

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