# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Abd0d6e965ebe072b ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Fund Statistics Fourth Calendar Quarter 2023 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. Analytics Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected from Form PF and Form ADV filings received through June 30, 2024.1 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. Masked data in this report is denoted by “***”. Please see the Division of Investment Management’s “Investment Adviser Statistics” report on SEC.gov for information and statistics relating to advisers not presented in this report. For complementary aggregate information based upon Form PF data, see the Federal Reserve’s Financial Accounts of the United States. This report reflects data from Fourth Calendar Quarter 2021 through Fourth Calendar Quarter 2023 as reported by Form PF filers.2 Please see the Appendix for further information on the categories of Form PF filers, including Qualifying Hedge Funds, Section 3 Liquidity Funds, Section 4 Private Equity Funds, as well as the definitions of capitalized terms and other technical descriptions. Commission Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Commission Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, Commission Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about Fourth Calendar Quarter 2023 Private Fund Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “Fourth Calendar Quarter 2023-Private Fund 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 (RIAs) with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. 1 Contents 1 Number of Funds and Advisers 3 2 Aggregate Fund Assets 4 3 Fund Domiciles and Adviser Main Offices 13 4 Beneficial Ownership of Funds 14 5 Fund Investments in Derivatives 19 6 Additional Hedge Fund Industry Information 21 7 Information Reported by Large Hedge Fund Advisers 27 8 Qualifying Hedge Fund Specific Information 34 9 Section 3 Liquidity Fund Specific Information 55 10 Section 4 Private Equity Fund Specific Information 59 11 Appendices 65 2 Analytics Office 1 Number of Funds and Advisers3 Table 1.1: Number of Funds Fund Type Private Equity Fund Hedge Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Liquidity Fund Total 2021Q4 19,082 9,463 6,055 3,792 2,214 2,243 79 42,928 2022Q1 18,961 9,650 6,295 3,787 2,231 2,251 79 43,254 2022Q2 19,001 9,754 6,284 3,790 2,289 2,257 79 43,454 2022Q3 19,054 9,788 6,286 3,790 2,290 2,257 78 43,543 2022Q4 20,923 9,796 6,761 4,273 2,990 2,461 71 47,275 2023Q1 20,943 9,855 6,900 4,274 2,993 2,470 70 47,505 2023Q2 20,956 9,854 6,857 4,276 3,002 2,474 69 47,488 2023Q3 20,962 9,955 6,829 4,265 2,998 2,479 68 47,556 2023Q4 23,044 9,665 7,113 4,247 3,243 2,702 72 50,086 Table 1.2: Number of Funds Reported by Large Filers Fund Type Section 4 Private Equity Fund Qualifying Hedge Fund Section 3 Liquidity Fund 2021Q4 6,548 2,074 56 2022Q1 6,646 2,094 54 2022Q2 6,644 2,061 52 2022Q3 6,644 2,041 51 2022Q4 7,488 2,075 50 2023Q1 7,398 2,047 50 2023Q2 7,481 2,091 50 2023Q3 7,480 2,100 50 2023Q4 8,553 2,107 51 Table 1.3: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q4 1,638 1,862 434 740 429 236 176 619 39 24 3,679 2022Q1 1,636 1,861 435 740 430 238 175 608 39 23 3,679 2022Q2 1,640 1,865 435 736 432 240 175 600 39 22 3,684 2022Q3 1,642 1,863 436 734 432 241 173 584 39 21 3,679 2022Q4 1,757 1,859 453 761 460 284 178 593 34 21 3,801 2023Q1 1,759 1,860 451 764 460 286 176 576 33 21 3,805 2023Q2 1,759 1,859 453 766 461 287 175 591 33 21 3,804 2023Q3 1,760 1,860 452 766 461 285 174 589 33 21 3,803 2023Q4 1,852 1,848 484 778 465 315 176 595 37 22 3,909 Table 1.4: Numbers of Advisers Reporting Private Funds, Bucketed by Number of Private Funds Reported In this table, advisers are counted for three quarters following each quarter they report a private fund. See the appendix for a review of interval notation used here. Private Funds Reported Fewer than 5 [5,10) [10,25) [25,100) 100 or more Total 2021Q4 1,722 854 732 329 42 3,679 2022Q1 1,715 860 733 329 42 3,679 2022Q2 1,714 861 735 330 44 3,684 2022Q3 1,707 865 733 330 44 3,679 2022Q4 1,733 867 775 381 45 3,801 2023Q1 1,732 870 775 382 46 3,805 2023Q2 1,732 867 776 384 45 3,804 2023Q3 1,728 869 776 384 46 3,803 2023Q4 1,740 894 817 406 52 3,909 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 11.4 for definitions of other capitalized terms used in this report. 3 Analytics Office 2 Aggregate Fund Assets 2.1 Aggregate Assets by Fund Type over Time Table 2.1: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. Fund Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Total 2021Q4 9,761 6,409 1,748 973 869 330 318 20,407 2022Q1 9,781 6,384 1,766 968 869 333 318 20,420 2022Q2 9,442 6,397 1,740 970 868 334 335 20,085 2022Q3 9,278 6,402 1,716 976 869 334 335 19,909 2022Q4 9,359 6,709 1,646 1,140 923 375 321 20,474 2023Q1 9,500 6,644 1,605 1,139 925 374 320 20,506 2023Q2 9,894 6,655 1,577 1,138 923 374 332 20,893 2023Q3 10,210 6,662 1,569 1,129 924 374 361 21,229 2023Q4 10,756 7,402 1,733 1,077 1,024 400 361 22,753 Table 2.2: Aggregate Private Fund GAV Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 8. Fund Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2021Q4 8,331 4,962 316 2022Q1 8,263 4,949 314 2022Q2 7,917 4,949 331 2022Q3 7,698 4,949 331 2022Q4 7,827 5,275 319 2023Q1 7,998 5,219 319 2023Q2 8,432 5,231 330 2023Q3 8,753 5,231 359 2023Q4 9,210 5,866 359 Table 2.3: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. Fund Type Private Equity Fund Hedge Fund Other Private Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2021Q4 5,746 5,131 1,559 746 310 313 264 14,069 2022Q1 5,729 5,150 1,582 745 313 313 265 14,096 2022Q2 5,738 4,913 1,558 746 314 327 264 13,860 2022Q3 5,742 4,850 1,534 751 314 331 264 13,786 2022Q4 6,026 4,816 1,417 859 342 318 264 14,043 2023Q1 5,968 4,858 1,373 859 341 313 265 13,977 2023Q2 5,979 4,911 1,346 859 341 319 265 14,021 2023Q3 5,987 4,931 1,339 850 341 346 264 14,059 2023Q4 6,732 4,991 1,541 822 374 352 284 15,096 Table 2.4: Aggregate Private Fund NAV Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 9. Fund Type Section 4 Private Equity Fund Qualifying Hedge Fund Section 3 Liquidity Fund 2021Q4 4,489 4,188 311 2022Q1 4,483 4,145 309 2022Q2 4,483 3,873 324 4 2022Q3 4,483 3,766 327 2022Q4 4,776 3,791 316 2023Q1 4,723 3,878 311 2023Q2 4,733 3,935 317 2023Q3 4,733 3,960 345 2023Q4 5,378 3,964 350 Analytics Office 2.2 Distribution of Assets by Fund Type over Time Table 2.5: Qualifying Hedge Fund GAV and NAV Distribution ($ Billions) As reported on Form PF, Questions 8 and 9. Asset Type GAV NAV Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q4 0.2 0.7 1.4 3.0 6.9 4.0 0.2 0.5 1.0 2.0 4.4 2.0 2022Q1 0.2 0.6 1.4 3.0 6.6 3.9 0.2 0.5 1.0 2.0 4.4 2.0 2022Q2 0.2 0.6 1.3 2.8 6.3 3.8 0.2 0.5 0.9 1.8 4.0 1.9 2022Q3 0.2 0.6 1.2 2.8 6.3 3.8 0.1 0.5 0.9 1.8 3.9 1.8 2022Q4 0.2 0.6 1.2 2.6 6.1 3.8 0.1 0.5 0.9 1.8 3.9 1.8 2023Q1 0.2 0.6 1.3 2.8 6.4 3.9 0.1 0.5 0.9 1.9 4.0 1.9 2023Q2 0.2 0.6 1.3 2.8 6.5 4.0 0.2 0.5 0.9 1.9 4.0 1.9 2023Q3 0.2 0.6 1.2 2.8 6.6 4.2 0.2 0.5 0.9 1.9 4.0 1.9 2023Q4 0.2 0.6 1.3 2.8 6.6 4.4 0.2 0.5 0.9 1.8 4.0 1.9 Table 2.6: Section 4 Private Equity Fund GAV and NAV Distribution ($ Billions) As reported on Form PF, Questions 8 and 9. Asset Type GAV NAV Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2021Q4 0.0 0.0 0.1 0.5 1.6 0.8 0.0 0.0 0.1 0.5 1.4 0.7 2022Q1 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 2022Q2 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 2022Q3 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.7 5 2022Q4 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q1 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q2 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q3 0.0 0.0 0.1 0.5 1.6 0.7 0.0 0.0 0.1 0.5 1.4 0.6 2023Q4 0.0 0.0 0.1 0.5 1.5 0.7 0.0 0.0 0.1 0.5 1.4 0.6 Analytics Office Table 2.7: Aggregate Net Assets of Private Funds by GAV to NAV Ratio ($ Billions) As reported on Form PF, Questions 8, 9, and 10. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio [1,2) [2,5) [5,10) 10 or more [1,2) [2,5) [5,10) 10 or more 2021Q4 12,921 758 181 118 3,424 516 148 81 2022Q1 12,948 721 189 130 3,403 475 156 94 2022Q2 12,725 698 212 119 3,114 481 181 81 2022Q3 12,627 711 235 106 2,995 488 201 69 2022Q4 12,901 674 249 105 3,051 434 215 70 2023Q1 12,792 695 272 108 3,098 449 239 73 2023Q2 12,803 747 236 122 3,108 517 209 88 2023Q3 12,856 699 245 146 3,148 468 217 112 2023Q4 13,789 744 232 174 3,105 513 194 133 Table 2.8: Number of Private Funds by GAV to NAV Ratio As reported on Form PF, Questions 8, 9, and 10. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio [1,2) [2,5) [5,10) 10 or more [1,2) [2,5) [5,10) 10 or more 2021Q4 33,270 1,829 483 1,379 1,717 274 34 35 2022Q1 33,519 1,828 492 1,371 1,741 259 42 30 2022Q2 33,627 1,851 484 1,381 1,707 256 40 29 6 2022Q3 33,611 1,866 494 1,385 1,687 261 43 24 2022Q4 36,730 2,018 495 1,577 1,717 258 47 22 2023Q1 36,902 2,030 504 1,573 1,699 238 54 24 2023Q2 37,008 2,050 493 1,576 1,729 274 45 26 2023Q3 37,019 2,005 499 1,585 1,763 244 41 34 2023Q4 39,435 2,022 560 1,609 1,754 247 42 32 Analytics Office 2.3 Fund Borrowings Table 2.9: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Other Private Fund Section 4 Private Equity Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2021Q4 52.4 45.6 42.1 13.2 3.5 5.4 5.5 0.7 0.0 0.0 2022Q1 49.7 43.3 39.9 12.3 3.6 5.5 5.5 0.7 0.0 0.0 2022Q2 49.3 43.4 39.8 12.3 3.5 5.4 5.5 0.7 0.0 0.0 2022Q3 49.4 43.5 40.0 12.5 3.7 5.4 5.5 0.7 0.0 0.0 2022Q4 56.5 44.8 41.1 14.0 5.6 5.7 5.7 0.6 0.0 0.0 2023Q1 53.6 47.3 43.5 13.2 5.8 5.8 5.6 0.6 0.0 0.0 2023Q2 53.6 48.5 44.5 13.2 5.9 5.8 5.6 0.6 0.0 0.0 2023Q3 53.3 48.3 44.5 13.6 5.9 5.8 5.5 0.6 0.0 0.0 2023Q4 56.6 50.7 46.5 14.8 5.2 5.0 4.9 0.6 0.0 0.0 Table 2.10: Distribution of Fund Borrowing ($ Billions) As reported on Form PF, Questions 12 and 43 (Third Month). Funds with no borrowing were removed from this analysis. Fund Type All Private Funds Qualifying Hedge Funds Statistic Median 75th Percentile 90th Percentile 95th Percentile Mean Median 75th Percentile 90th Percentile 95th Percentile Mean 2021Q4 0.0 0.3 0.6 1.2 0.5 0.4 1.3 3.8 9.8 2.9 2022Q1 0.0 0.3 0.6 1.1 0.5 0.3 1.2 3.7 8.8 2.8 2022Q2 0.0 0.3 0.6 1.1 0.5 0.3 1.1 3.3 8.7 2.7 7 2022Q3 0.0 0.3 0.6 1.1 0.5 0.3 1.0 3.4 8.5 2.6 2022Q4 0.0 0.3 0.6 1.0 0.5 0.3 1.0 3.3 8.7 2.7 2023Q1 0.0 0.3 0.6 1.0 0.5 0.3 1.1 3.5 10.3 3.0 2023Q2 0.0 0.3 0.6 1.1 0.6 0.3 1.1 3.8 10.5 3.2 2023Q3 0.0 0.3 0.6 1.1 0.6 0.3 1.2 3.7 10.0 3.3 2023Q4 0.0 0.3 0.6 1.0 0.6 0.3 1.1 3.9 11.4 3.7 Analytics Office Table 2.11: Aggregate Net Assets of Private Funds by Borrowing to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,4) [4,9) 9 or more 0 (0,1) [1,4) [4,9) 9 or more 2021Q4 6,959 6,212 670 140 87 1,124 2,321 552 131 60 2022Q1 7,046 6,158 663 149 80 1,102 2,300 550 140 52 2022Q2 6,914 6,091 670 92 93 939 2,229 555 85 65 2022Q3 6,822 6,128 642 107 87 865 2,214 532 100 56 2022Q4 6,835 6,321 660 127 99 882 2,208 511 119 72 2023Q1 6,811 6,242 652 160 112 948 2,197 497 151 86 2023Q2 6,853 6,211 688 161 107 996 2,158 546 151 85 2023Q3 6,818 6,259 700 173 110 947 2,206 557 163 88 2023Q4 7,610 6,526 657 160 143 975 2,215 512 145 117 Table 2.12: Number of Private Funds by Borrowing to NAV Ratio As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,4) [4,9) 9 or more 0 (0,1) [1,4) [4,9) 9 or more 2021Q4 28,353 7,095 1,075 144 2,718 780 998 243 26 27 2022Q1 28,735 7,062 1,059 147 2,681 811 989 240 29 25 2022Q2 28,826 7,080 1,083 136 2,707 772 1,000 234 26 29 2022Q3 28,892 7,123 1,078 126 2,706 747 1,013 234 17 30 2022Q4 31,415 7,689 1,175 150 3,053 774 1,008 238 21 34 2023Q1 31,699 7,617 1,153 161 3,052 772 997 221 30 27 2023Q2 31,799 7,591 1,176 161 3,058 801 991 247 27 25 2023Q3 31,853 7,640 1,145 154 3,066 801 1,012 233 27 27 2023Q4 34,189 7,895 1,144 233 3,059 814 1,008 220 24 41 Table 2.13: Aggregate Borrowing by Creditor Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2021Q4 67.1 29.3 2.8 1.0 2022Q1 66.4 30.6 3.1 0.9 2022Q2 66.6 30.3 3.0 0.9 2022Q3 67.7 28.8 3.3 1.0 8 2022Q4 66.5 29.4 3.3 0.9 2023Q1 66.4 30.5 3.1 0.8 2023Q2 66.3 30.9 3.0 0.7 2023Q3 65.3 31.9 2.8 0.7 2023Q4 64.0 33.0 2.7 0.4 Analytics Office 2.4 Fair Value Hierarchy4 Table 2.14: Private Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 4,670 3,842 6,804 2,854 2022Q1 4,639 3,828 6,833 2,878 2022Q2 4,591 3,835 6,844 2,860 2022Q3 4,563 3,798 6,805 2,869 2022Q4 4,154 3,597 7,565 3,079 2023Q1 4,088 3,562 7,472 3,058 2023Q2 4,066 3,514 7,476 3,055 2023Q3 4,062 3,518 7,465 3,063 2023Q4 4,855 3,885 8,314 3,607 Table 2.15: Private Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 1,692 1,362 377 2,274 2022Q1 1,692 1,350 377 2,271 2022Q2 1,685 1,369 340 2,272 2022Q3 1,691 1,328 342 2,279 2022Q4 1,584 1,494 377 2,584 2023Q1 1,590 1,473 377 2,578 2023Q2 1,591 1,439 391 2,579 2023Q3 1,594 1,446 381 2,573 2023Q4 1,870 1,578 410 3,760 Table 2.16: Hedge Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 3,593 2,374 1,483 1,796 2022Q1 3,559 2,368 1,504 1,817 2022Q2 3,524 2,379 1,507 1,799 2022Q3 3,517 2,343 1,463 1,800 2022Q4 3,212 2,250 1,603 1,954 2023Q1 3,153 2,214 1,601 1,924 2023Q2 3,153 2,177 1,605 1,915 2023Q3 3,149 2,184 1,598 1,913 2023Q4 3,934 2,479 1,733 2,413 Table 2.17: Hedge Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 1,645 1,235 124 1,386 2022Q1 1,645 1,234 127 1,389 2022Q2 1,639 1,254 91 1,389 2022Q3 1,644 1,212 93 1,395 2022Q4 1,538 1,349 97 1,621 2023Q1 1,543 1,329 97 1,617 2023Q2 1,544 1,295 111 1,617 2023Q3 1,547 1,303 100 1,613 2023Q4 1,825 1,427 105 2,764 4 Contributions to the “cost-based” rows include investments in other funds and cash. For related guidance, see Form PF frequently asked questions here. 9 Analytics Office Table 2.18: Qualifying Hedge Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 3,172 2,116 1,205 1,542 2022Q1 3,148 2,105 1,226 1,559 2022Q2 3,117 2,113 1,230 1,545 2022Q3 3,107 2,079 1,188 1,548 2022Q4 2,850 2,007 1,319 1,651 2023Q1 2,793 1,972 1,323 1,631 2023Q2 2,796 1,956 1,328 1,624 2023Q3 2,785 1,951 1,321 1,610 2023Q4 3,507 2,221 1,414 2,095 Table 2.19: Qualifying Hedge Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 1,532 1,159 118 1,228 2022Q1 1,532 1,146 119 1,231 2022Q2 1,527 1,165 82 1,231 2022Q3 1,532 1,127 84 1,237 2022Q4 1,424 1,274 88 1,456 2023Q1 1,427 1,263 89 1,450 2023Q2 1,428 1,248 100 1,452 2023Q3 1,422 1,248 89 1,446 2023Q4 1,673 1,370 96 2,560 Table 2.20: Private Equity Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 365 259 3,991 546 2022Q1 368 258 3,962 550 2022Q2 368 258 3,972 550 2022Q3 368 259 3,972 555 2022Q4 204 153 4,354 548 2023Q1 200 151 4,294 561 2023Q2 200 152 4,294 562 2023Q3 201 151 4,294 569 2023Q4 217 157 4,903 596 Table 2.21: Private Equity Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 15 25 27 321 2022Q1 15 25 27 314 2022Q2 15 25 27 314 2022Q3 15 25 27 316 10 2022Q4 13 20 21 342 2023Q1 14 20 21 340 2023Q2 14 20 21 341 2023Q3 14 20 21 339 2023Q4 14 22 20 334 Analytics Office Table 2.22: Section 4 Private Equity Fund Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 320 181 3,150 358 2022Q1 320 182 3,134 358 2022Q2 320 182 3,133 359 2022Q3 320 182 3,133 359 2022Q4 170 121 3,502 358 2023Q1 169 121 3,452 356 2023Q2 170 121 3,455 357 2023Q3 170 121 3,455 357 2023Q4 183 115 4,028 383 Table 2.23: Section 4 Private Equity Fund Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Funds that do not categorize assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP are not required to respond to this question. Fair Value Level Level 1 Level 2 Level 3 Cost-Based 2021Q4 11 6 9 252 2022Q1 11 6 9 245 2022Q2 11 6 8 245 2022Q3 11 6 8 245 11 2022Q4 7 10 8 275 2023Q1 7 10 8 272 2023Q2 7 10 8 272 2023Q3 7 10 8 272 2023Q4 11 8 9 265 Analytics Office 2.5 Parallel Managed Accounts5 Table 2.24: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. Fund Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2021Q4 571 303 505 89 30 *** *** 1,510 2022Q1 580 303 504 89 30 *** *** 1,518 2022Q2 578 315 503 89 30 *** *** 1,527 2022Q3 576 314 499 89 30 *** *** 1,520 2022Q4 566 339 478 67 39 *** *** 1,499 2023Q1 562 415 481 68 39 *** *** 1,575 2023Q2 559 421 458 68 39 *** *** 1,555 2023Q3 570 421 445 68 39 *** *** 1,553 2023Q4 559 479 441 80 28 *** *** 1,597 Table 2.25: Number of Funds with Parallel Managed Accounts Reported by Large Filers As reported on Form PF, Question 11. Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2021Q4 210 137 *** 2022Q1 211 137 *** 2022Q2 202 137 *** 2022Q3 208 137 *** 2022Q4 214 154 *** 2023Q1 207 154 *** 2023Q2 203 160 *** 2023Q3 218 160 *** 2023Q4 218 195 *** Table 2.26: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. Fund Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Liquidity Fund Securitized Asset Fund Total 2021Q4 881 119 2,675 16 2 *** *** 4,111 2022Q1 840 120 2,671 16 2 *** *** 4,025 2022Q2 765 152 3,451 16 2 *** *** 4,781 2022Q3 729 152 3,416 16 2 *** *** 4,705 2022Q4 725 117 2,369 14 2 *** *** 3,609 2023Q1 695 129 2,367 15 2 *** *** 3,595 2023Q2 693 123 1,535 15 2 *** *** 2,746 2023Q3 706 123 1,495 15 2 *** *** 2,749 2023Q4 754 151 1,708 31 1 *** *** 3,056 Table 2.27: Aggregate Value in Parallel Managed Accounts Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Question 11. Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2021Q4 566 102 *** 2022Q1 538 102 *** 2022Q2 483 110 *** 2022Q3 438 110 *** 2022Q4 435 118 *** 2023Q1 385 118 *** 2023Q2 405 112 *** 2023Q3 426 112 *** 2023Q4 472 144 *** 5 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. 12 Analytics Office 3 Fund Domiciles and Adviser Main Offices Table 3.1: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Fund Universe All Private Funds Qualifying Hedge Funds Section 3 Liquidity Funds Section 4 Private Equity Funds Country United States Cayman Islands Luxembourg Ireland Bermuda United Kingdom Virgin Islands, British Other Cayman Islands United States Luxembourg Ireland Virgin Islands, British Bermuda Other Ireland United States Cayman Islands Other United States Cayman Islands Canada United Kingdom Bermuda Other 2021Q4 51.8 32.8 4.1 3.9 0.9 1.0 0.9 4.7 51.7 34.2 2.4 3.2 2.6 1.5 4.2 *** 27.6 *** *** 56.1 29.3 2.0 1.4 1.2 9.9 2022Q1 52.3 32.7 4.1 3.9 1.0 0.9 0.9 4.2 51.0 34.9 2.4 3.1 2.8 1.7 4.2 *** 28.5 *** *** 56.9 29.6 1.9 1.4 1.2 9.0 2022Q2 52.5 32.4 4.1 3.9 1.0 0.9 0.9 4.2 52.3 35.7 2.4 3.0 3.1 1.7 1.8 *** 27.3 *** *** 56.9 29.6 1.9 1.4 1.2 9.0 2022Q3 52.9 32.7 4.1 3.9 1.0 0.9 0.9 3.6 53.1 35.0 2.3 2.8 3.1 1.9 1.7 *** 25.5 *** *** 56.9 29.6 1.9 1.4 1.2 9.0 2022Q4 52.8 32.1 5.0 3.6 1.0 0.9 0.8 3.7 52.4 35.7 2.7 3.0 2.9 1.9 1.4 *** 23.4 *** *** 56.2 28.0 2.0 1.4 1.0 11.3 2023Q1 52.5 32.5 5.0 3.6 1.0 0.9 0.8 3.6 52.8 35.6 2.9 2.7 2.6 1.7 1.6 *** 23.9 *** *** 56.4 28.1 2.1 1.4 1.0 11.0 2023Q2 52.5 32.7 4.9 3.6 1.0 0.9 0.8 3.6 53.2 35.4 3.0 2.7 2.5 1.6 1.6 *** 23.5 *** *** 56.4 28.1 2.1 1.4 1.0 11.0 2023Q3 52.4 32.7 4.9 3.7 1.0 0.9 0.8 3.6 53.3 35.3 3.0 2.6 2.4 1.7 1.6 *** 25.5 *** *** 56.4 28.1 2.1 1.4 1.0 11.0 2023Q4 53.5 31.5 5.0 3.4 1.0 0.9 0.6 3.9 53.7 35.3 3.1 2.6 2.2 1.7 1.5 *** 21.5 *** *** 57.9 27.5 2.2 1.3 1.1 10.1 Table 3.2: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Fund Universe All Private Funds Qualifying Hedge Funds Section 3 Liquidity Funds Section 4 Private Equity Funds Country United States United Kingdom Other United States United Kingdom Australia Hong Kong Other United States United Kingdom France United States Canada Other 2021Q4 91.2 *** *** 88.1 4.1 *** 1.9 *** 57.9 *** *** 95.6 *** *** 2022Q1 90.9 *** *** 88.5 3.9 *** 1.6 *** 56.8 *** *** 95.6 *** *** 13 2022Q2 91.8 *** *** 90.7 3.7 *** 1.6 *** 59.3 *** *** 95.6 *** *** 2022Q3 91.9 *** *** 91.1 3.5 *** 1.4 *** 57.1 *** *** 95.6 *** *** 2022Q4 92.3 *** *** 90.5 4.1 *** 0.4 *** 53.0 *** *** 95.5 *** *** 2023Q1 91.9 *** *** 90.7 4.0 *** 0.3 *** 52.3 *** *** 95.5 *** *** 2023Q2 91.8 *** *** 91.6 4.0 *** 0.3 *** 51.3 *** *** 95.5 *** *** 2023Q3 92.0 *** *** 92.3 3.5 *** 0.2 *** 55.6 *** *** 95.5 *** *** 2023Q4 93.4 *** *** 92.1 3.8 *** 0.3 *** 53.1 *** *** 96.9 *** *** Analytics Office 4 Beneficial Ownership of Funds 4.1 All Private Funds Table 4.1: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Private Funds State/Muni. Govt. Pension Plans U.S. Individuals Non-Profits Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2021Q4 2,445 2,598 1,858 1,422 1,316 1,370 1,007 697 416 232 317 188 155 42 2022Q1 2,444 2,636 1,882 1,417 1,298 1,376 1,000 704 401 226 306 194 161 45 2022Q2 2,408 2,594 1,872 1,372 1,246 1,339 1,004 702 396 222 312 193 151 44 2022Q3 2,415 2,588 1,862 1,367 1,256 1,270 1,010 703 393 224 305 196 148 42 2022Q4 2,542 2,594 1,913 1,324 1,245 1,310 1,083 745 376 241 285 193 149 38 2023Q1 2,558 2,596 1,906 1,335 1,254 1,306 1,069 754 314 248 251 190 150 40 2023Q2 2,555 2,611 1,915 1,348 1,268 1,294 1,081 761 317 249 253 178 145 38 2023Q3 2,576 2,632 1,919 1,351 1,260 1,282 1,089 759 316 260 242 179 145 40 2023Q4 2,940 2,856 1,981 1,467 1,326 1,309 1,167 794 331 266 245 192 159 58 Table 4.2: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Private Funds State/Muni. Govt. Pension Plans U.S. Individuals Non-Profits Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2021Q4 17.4 18.5 13.2 10.1 9.4 9.7 7.2 5.0 3.0 1.7 2.3 1.3 1.1 0.3 2022Q1 17.3 18.7 13.4 10.1 9.2 9.8 7.1 5.0 2.8 1.6 2.2 1.4 1.1 0.3 2022Q2 17.4 18.7 13.5 9.9 9.0 9.7 7.2 5.1 2.9 1.6 2.2 1.4 1.1 0.3 14 2022Q3 17.5 18.8 13.5 9.9 9.1 9.2 7.3 5.1 2.8 1.6 2.2 1.4 1.1 0.3 2022Q4 18.1 18.5 13.6 9.4 8.9 9.3 7.7 5.3 2.7 1.7 2.0 1.4 1.1 0.3 2023Q1 18.3 18.6 13.6 9.6 9.0 9.3 7.6 5.4 2.2 1.8 1.8 1.4 1.1 0.3 2023Q2 18.2 18.6 13.7 9.6 9.0 9.2 7.7 5.4 2.3 1.8 1.8 1.3 1.0 0.3 2023Q3 18.3 18.7 13.6 9.6 9.0 9.1 7.7 5.4 2.2 1.9 1.7 1.3 1.0 0.3 2023Q4 19.5 18.9 13.1 9.7 8.8 8.7 7.7 5.3 2.2 1.8 1.6 1.3 1.1 0.4 Analytics Office 4.2 Qualifying Hedge Funds Table 4.3: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2021Q4 724 607 602 458 493 477 264 144 181 62 86 41 38 9 2022Q1 732 604 581 462 473 476 266 147 171 61 82 40 39 9 2022Q2 702 571 546 453 432 449 268 150 107 58 47 38 39 9 2022Q3 697 564 559 432 423 381 266 149 102 59 42 41 38 8 2022Q4 691 562 528 446 425 408 289 148 102 59 46 38 38 9 2023Q1 712 590 537 455 425 415 283 164 104 62 45 38 37 9 2023Q2 734 594 549 467 440 409 291 161 103 63 45 36 32 9 2023Q3 747 590 546 471 440 407 302 164 102 72 46 34 28 9 2023Q4 743 603 554 460 451 405 298 164 99 72 52 34 23 9 Table 4.4: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers 2021Q4 17.3 14.5 14.4 10.9 11.8 11.4 6.3 3.4 4.3 1.5 2.1 1.0 0.9 0.2 2022Q1 17.7 14.6 14.0 11.1 11.4 11.5 6.4 3.5 4.1 1.5 2.0 1.0 0.9 0.2 2022Q2 18.1 14.8 14.1 11.7 11.2 11.6 6.9 3.9 2.8 1.5 1.2 1.0 1.0 0.2 15 2022Q3 18.5 15.0 14.8 11.5 11.2 10.1 7.1 4.0 2.7 1.6 1.1 1.1 1.0 0.2 2022Q4 18.2 14.8 13.9 11.8 11.2 10.8 7.6 3.9 2.7 1.5 1.2 1.0 1.0 0.2 2023Q1 18.4 15.2 13.9 11.7 11.0 10.7 7.3 4.2 2.7 1.6 1.2 1.0 0.9 0.2 2023Q2 18.6 15.1 14.0 11.9 11.2 10.4 7.4 4.1 2.6 1.6 1.1 0.9 0.8 0.2 2023Q3 18.9 14.9 13.8 11.9 11.1 10.3 7.6 4.2 2.6 1.8 1.2 0.8 0.7 0.2 2023Q4 18.7 15.2 14.0 11.6 11.4 10.2 7.5 4.1 2.5 1.8 1.3 0.9 0.6 0.2 Analytics Office 4.3 Section 3 Liquidity Funds Table 4.5: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans 2021Q4 96 60 57 *** *** 23 9 7 *** *** 3 4 *** 1 2022Q1 103 51 58 *** *** 24 8 5 *** *** *** 3 *** 1 2022Q2 100 64 65 *** *** 16 9 5 *** *** *** 3 *** *** 2022Q3 106 68 64 *** *** 15 8 *** *** *** *** 3 *** *** 2022Q4 108 65 56 *** *** 14 10 *** *** *** *** 2 *** 1 2023Q1 106 63 50 *** *** 17 12 *** *** *** *** 3 *** *** 2023Q2 114 64 49 *** *** 16 11 5 *** *** *** 3 *** *** 2023Q3 135 52 64 *** *** 16 10 *** *** *** *** 3 *** *** 2023Q4 135 60 53 *** *** 14 12 *** *** *** *** 3 1 *** Table 4.6: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits U.S. Individuals State/Muni. Govt. Pension Plans 2021Q4 31.0 19.2 18.5 *** *** 7.5 2.8 2.3 *** *** 1.0 1.2 *** 0.3 2022Q1 33.4 16.6 18.6 *** *** 7.8 2.6 1.7 *** *** *** 1.0 *** 0.3 2022Q2 30.8 19.9 19.9 *** *** 4.9 2.8 1.5 *** *** *** 0.9 *** *** 16 2022Q3 32.4 20.7 19.6 *** *** 4.6 2.5 *** *** *** *** 0.8 *** *** 2022Q4 34.1 20.6 17.8 *** *** 4.3 3.0 *** *** *** *** 0.8 *** 0.4 2023Q1 34.1 20.2 15.9 *** *** 5.4 3.9 *** *** *** *** 0.9 *** *** 2023Q2 35.8 20.1 15.5 *** *** 5.0 3.6 1.5 *** *** *** 0.8 *** *** 2023Q3 39.1 15.0 18.5 *** *** 4.6 2.9 *** *** *** *** 0.8 *** *** 2023Q4 38.6 17.1 15.1 *** *** 4.1 3.5 *** *** *** *** 0.9 0.2 *** Analytics Office 4.4 Section 4 Private Equity Funds Table 4.7: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q4 957 819 836 501 324 252 237 265 82 83 49 45 33 3 2022Q1 974 802 850 477 325 255 238 265 82 77 50 49 34 3 2022Q2 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q3 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q4 1,031 887 887 525 362 283 259 245 94 68 49 47 33 3 2023Q1 1,018 876 874 515 362 282 259 246 94 67 48 44 33 3 2023Q2 1,020 877 876 515 364 284 259 246 95 67 48 45 33 3 2023Q3 1,020 877 876 515 364 284 259 246 95 67 48 45 33 3 2023Q4 1,196 1,090 937 577 393 299 280 275 98 72 62 56 35 5 Table 4.8: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q4 21.3 18.2 18.6 11.2 7.2 5.6 5.3 5.9 1.8 1.9 1.1 1.0 0.7 0.1 2022Q1 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q2 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 17 2022Q3 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q4 21.6 18.6 18.6 11.0 7.6 5.9 5.4 5.1 2.0 1.4 1.0 1.0 0.7 0.1 2023Q1 21.5 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q2 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q3 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q4 22.2 20.3 17.4 10.7 7.3 5.6 5.2 5.1 1.8 1.3 1.2 1.0 0.6 0.1 Analytics Office 4.5 Concentration Table 4.9: NAV-Weighted Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Real Estate Fund Hedge Fund Other Private Fund Qualifying Hedge Fund Private Equity Fund Securitized Asset Fund Venture Capital Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q4 58.9 53.9 57.0 50.0 49.5 37.3 52.6 44.9 46.1 45.8 52.2 2022Q1 58.9 54.6 57.5 51.0 49.1 37.5 52.5 44.7 48.1 47.7 52.4 2022Q2 59.0 55.0 57.1 51.9 49.2 37.6 52.3 44.7 46.7 46.4 52.5 2022Q3 58.7 54.8 57.5 51.6 49.1 37.8 52.4 44.7 46.5 46.1 52.4 2022Q4 56.9 55.4 59.0 52.1 49.8 41.6 49.9 46.5 45.1 44.8 52.9 2023Q1 57.0 56.3 58.4 52.0 49.4 42.3 49.9 45.9 44.3 44.1 52.9 2023Q2 57.0 56.3 58.3 51.9 49.5 41.8 49.9 46.0 43.1 42.9 52.9 2023Q3 57.4 56.7 57.9 52.1 49.5 41.9 49.9 46.0 44.5 44.4 53.0 2023Q4 59.4 56.6 56.3 52.5 50.2 47.6 47.5 46.9 41.9 41.7 53.1 Table 4.10: Distribution of Beneficial Ownership Attributable to the Top 5 Owners (Percent) As reported on Form PF, Question 15. Fund Type All Private Funds Qualifying Hedge Funds Statistic 10th Percentile 25th Percentile Median Mean 10th Percentile 25th Percentile Median Mean 2021Q4 32.0 51.0 85.0 74.4 29.0 43.0 67.0 67.0 2022Q1 32.0 51.0 85.0 74.5 29.0 43.0 68.0 67.3 2022Q2 32.0 51.0 85.0 74.5 30.0 43.0 69.5 68.3 18 2022Q3 32.0 51.0 86.0 74.6 30.0 44.0 70.0 68.4 2022Q4 32.0 51.0 86.0 74.6 30.0 44.0 69.0 68.4 2023Q1 32.0 52.0 86.0 74.8 30.0 44.0 69.0 68.3 2023Q2 32.0 52.0 86.0 74.8 30.0 44.0 68.0 68.1 2023Q3 32.0 52.0 86.0 74.9 30.0 44.0 68.5 68.3 2023Q4 32.0 51.0 86.0 74.7 30.0 44.0 69.0 68.4 Analytics Office 5 Fund Investments in Derivatives Table 5.1: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). Type Hedge Fund Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Total 2021Q4 15,431 70 118 41 5 *** *** 15,669 2022Q1 15,866 69 110 41 5 *** *** 16,092 2022Q2 14,942 69 110 41 5 *** *** 15,168 2022Q3 14,260 71 112 41 5 *** *** 14,489 2022Q4 14,882 158 105 72 *** 0 *** 15,224 2023Q1 15,251 159 103 76 *** 0 *** 15,596 2023Q2 15,207 159 104 78 *** 0 *** 15,553 2023Q3 15,484 159 101 65 *** 0 *** 15,814 2023Q4 15,323 136 99 64 *** 0 *** 15,623 Table 5.2: Aggregate Derivative Value Reported by Funds of Large Filers ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). Type Qualifying Hedge Fund Section 4 Private Equity Fund Section 3 Liquidity Fund 2021Q4 14,072 *** *** 2022Q1 14,268 *** *** 2022Q2 13,260 54 0 2022Q3 12,698 54 0 2022Q4 13,013 73 0 2023Q1 12,985 72 0 2023Q2 13,816 72 0 2023Q3 13,965 72 0 2023Q4 14,067 111 0 Table 5.3: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q4 300.7 336.0 1.2 1.2 7.6 5.6 1.8 0.1 *** *** 111.4 2022Q1 308.1 344.2 1.2 1.2 7.0 5.6 1.8 0.1 *** *** 114.2 2022Q2 304.1 342.4 1.2 1.2 7.1 5.5 1.8 0.1 *** *** 109.4 2022Q3 294.0 337.2 1.2 1.2 7.3 5.5 1.8 0.1 *** *** 105.1 19 2022Q4 309.0 343.2 2.6 1.5 7.4 8.4 2.1 0.1 *** *** 108.4 2023Q1 314.0 334.9 2.7 1.5 7.5 8.9 2.1 0.1 *** *** 111.6 2023Q2 309.7 351.1 2.7 1.5 7.8 9.0 1.4 0.1 *** *** 110.9 2023Q3 314.0 352.6 2.7 1.5 7.6 7.6 1.4 0.1 *** *** 112.5 2023Q4 307.0 354.8 2.0 2.1 6.5 7.8 0.3 0.1 *** *** 103.5 Analytics Office Table 5.4: Aggregate Net Assets of Private Funds by Derivatives to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 13, and 44 (Third Month). The ratio of derivative value to net assets is calculated for each fund, and the net assets of the funds with a ratio in a given range are summed. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,5) [5,10) 10 or more 0 (0,1) [1,5) [5,10) 10 or more 2021Q4 8,547 4,272 776 196 295 662 2,402 671 180 272 2022Q1 8,505 4,300 822 182 306 659 2,314 723 166 283 2022Q2 8,472 4,131 748 205 323 572 2,166 646 188 301 2022Q3 8,485 4,059 770 161 330 557 2,096 664 140 309 2022Q4 8,645 4,207 700 204 301 572 2,163 594 182 279 2023Q1 8,580 4,173 684 236 318 637 2,168 566 213 293 2023Q2 8,606 4,189 703 205 332 638 2,201 595 187 314 2023Q3 8,603 4,194 736 195 345 624 2,205 631 174 326 2023Q4 9,494 4,348 693 225 350 612 2,237 580 207 328 Table 5.5: Number of Private Funds by Derivatives to NAV Ratio As reported on Form PF, Questions 9, 10, 13, and 44 (Third Month). The ratio of derivative value to net assets is calculated for each fund, and the number funds with a ratio in a given range are then counted. See the appendix for a review of interval notation used here. Fund Universe All Private Funds Qualifying Hedge Funds Ratio 0 (0,1) [1,5) [5,10) 10 or more 0 (0,1) [1,5) [5,10) 10 or more 2021Q4 30,992 5,029 738 162 2,044 458 1,175 264 63 114 2022Q1 31,225 5,129 739 152 2,026 468 1,192 266 58 110 2022Q2 31,317 5,129 770 157 2,046 459 1,159 264 60 117 20 2022Q3 31,397 5,134 789 158 2,032 445 1,160 267 52 114 2022Q4 34,507 5,330 769 165 2,246 475 1,177 244 68 110 2023Q1 34,675 5,319 771 167 2,283 479 1,164 235 60 108 2023Q2 34,781 5,307 748 179 2,308 487 1,188 231 73 110 2023Q3 34,849 5,285 765 175 2,320 474 1,211 233 64 118 2023Q4 37,531 5,296 762 174 2,205 486 1,206 219 67 128 Analytics Office 6 Additional Hedge Fund Industry Information 6.1 High Frequency Trading Table 6.1: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. See the appendix for a review of interval notation used here. Fraction of NAV 0% (0%,26%) 26% or More 2021Q4 8,392 43 14 2022Q1 8,530 45 15 2022Q2 8,618 45 16 2022Q3 8,677 43 15 2022Q4 8,700 47 14 2023Q1 8,781 47 14 2023Q2 8,862 46 13 2023Q3 8,906 49 12 2023Q4 8,816 44 11 Table 6.2: Aggregate Net Assets of Hedge Fund Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. See the appendix for a review of interval notation used here. Fraction of NAV 0% (0%,26%) 26% or More 6.2 2021Q4 4,996 61 60 2022Q1 4,997 70 64 2022Q2 4,756 68 66 2022Q3 4,682 132 11 2022Q4 4,665 71 66 2023Q1 4,688 75 71 2023Q2 4,748 71 71 2023Q3 4,745 74 74 2023Q4 4,907 64 13 Industry Concentration Table 6.3: 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 2021Q4 7.3 13.3 19.3 27.6 42.2 55.7 2022Q1 7.6 13.5 19.5 27.6 41.9 55.4 2022Q2 7.8 13.5 19.4 27.3 41.5 54.8 2022Q3 8.1 13.7 19.6 27.6 41.6 54.8 2022Q4 7.8 13.3 19.1 27.0 41.2 54.6 2023Q1 7.9 13.4 19.3 27.4 41.6 54.8 2023Q2 7.8 13.2 19.4 27.3 41.5 54.7 2023Q3 8.0 13.6 19.5 27.5 41.7 54.7 2023Q4 7.7 13.1 19.0 26.9 41.2 54.1 Table 6.4: 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 2021Q4 16.2 25.3 33.4 41.9 54.9 66.3 2022Q1 15.8 25.6 33.6 41.9 54.5 66.0 2022Q2 16.7 26.1 34.1 42.4 54.6 66.0 2022Q3 16.9 25.7 33.8 42.4 54.7 65.9 2022Q4 17.7 26.3 34.5 43.0 55.1 66.3 21 2023Q1 17.7 26.7 34.8 43.3 55.5 66.6 2023Q2 18.9 28.0 36.2 44.6 56.5 67.3 2023Q3 19.7 29.1 37.6 46.0 57.8 68.3 2023Q4 20.9 30.4 39.0 47.2 58.7 68.9 Analytics Office Table 6.5: 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 2021Q4 34.7 49.3 61.3 72.1 83.3 90.8 2022Q1 34.1 48.5 60.9 71.4 83.3 90.7 2022Q2 34.6 50.0 61.7 72.0 83.1 90.5 2022Q3 34.1 50.2 62.0 72.3 83.4 90.5 2022Q4 36.5 51.0 63.3 73.6 84.2 91.0 2023Q1 35.8 51.2 64.1 74.5 85.0 91.5 2023Q2 37.0 52.3 64.8 74.9 85.4 92.0 2023Q3 37.4 53.0 65.8 75.7 86.0 92.3 2023Q4 39.1 55.1 68.0 77.5 86.9 92.8 Table 6.6: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2021Q4 41.3 55.8 67.7 78.4 89.7 95.2 2022Q1 38.3 55.3 67.9 79.2 90.3 95.4 2022Q2 39.3 55.6 67.4 78.9 90.0 95.2 2022Q3 41.3 56.2 68.3 79.4 90.1 95.2 2022Q4 38.4 55.8 69.0 80.2 90.5 95.4 2023Q1 41.4 56.9 68.7 80.2 90.7 95.6 2023Q2 41.0 55.4 67.8 79.5 90.6 95.5 2023Q3 39.9 55.0 67.7 79.4 90.8 95.6 2023Q4 41.3 56.2 68.6 80.0 90.6 95.4 Table 6.7: 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 2021Q4 35.5 48.7 59.9 70.2 82.6 90.7 2022Q1 34.7 48.7 60.1 70.9 82.9 90.8 2022Q2 34.6 49.2 60.6 70.9 82.8 90.5 2022Q3 35.0 50.0 61.0 71.6 83.1 90.6 2022Q4 34.3 50.2 61.7 72.6 83.9 91.1 22 2023Q1 36.9 51.6 62.3 73.2 84.2 91.3 2023Q2 37.0 50.7 61.7 72.9 84.2 91.2 2023Q3 36.9 51.8 63.5 74.1 85.1 91.7 2023Q4 38.9 53.8 64.6 74.9 85.5 92.0 Analytics Office 6.3 NAV Allocation of Single-Strategy US-Domiciled Hedge Funds Table 6.8: NAV Allocation of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Subtotal Total 2021Q4 326 324 *** *** 680 625 70 71 141 43 20 11 74 31 11 9 2 1 55 33 9 3 *** *** 13 *** *** 6 1,437 2022Q1 311 298 26 1 637 649 73 72 144 46 19 10 76 32 11 9 2 1 55 34 10 4 *** *** 15 *** *** 7 1,433 23 2022Q2 280 273 *** *** 589 648 72 72 144 47 18 10 75 32 11 9 3 2 56 33 10 4 *** *** 15 *** *** 6 1,385 2022Q3 273 251 29 2 555 656 77 73 150 48 19 9 76 32 11 8 3 1 55 32 11 4 *** *** 16 *** *** 6 1,368 2022Q4 271 251 28 1 551 658 86 77 163 50 26 7 83 37 11 7 3 2 59 32 9 4 *** *** 14 *** *** 6 1,383 2023Q1 262 258 27 1 549 666 87 93 179 49 26 5 80 38 11 7 5 2 63 39 8 4 *** *** 13 *** *** 6 1,418 2023Q2 294 262 27 1 584 673 94 77 170 51 27 4 82 37 12 7 7 2 64 39 9 4 1 0 14 *** *** 6 1,442 2023Q3 280 254 26 1 561 674 96 79 174 50 21 5 76 37 12 7 6 2 64 39 12 5 1 0 18 *** *** 6 1,437 2023Q4 290 271 27 2 589 651 100 71 171 54 21 5 80 39 12 8 7 1 68 44 11 5 *** *** 16 *** *** 7 1,441 Analytics Office Table 6.9: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Subtotal Total 2021Q4 471 605 *** *** 1,128 1,034 197 189 383 164 59 21 243 94 55 20 19 18 186 241 18 15 *** *** 45 *** *** 24 3,079 2022Q1 480 616 51 8 1,150 1,070 200 198 395 179 60 21 259 93 54 22 19 14 189 260 19 17 *** *** 48 *** *** 24 3,175 24 2022Q2 475 624 *** *** 1,152 1,093 197 210 404 189 60 21 270 99 59 23 20 19 198 261 19 17 *** *** 48 *** *** 23 3,215 2022Q3 474 627 50 9 1,155 1,114 207 218 422 195 61 21 276 100 58 26 20 19 201 257 19 16 *** *** 45 *** *** 22 3,264 2022Q4 492 582 47 13 1,128 1,164 211 220 428 212 68 19 298 107 58 26 18 18 212 301 18 15 *** *** 44 *** *** 23 3,336 2023Q1 495 583 47 12 1,131 1,188 211 232 440 211 68 19 297 119 59 24 18 18 219 325 18 15 *** *** 44 *** *** 23 3,406 2023Q2 511 576 45 12 1,134 1,215 219 238 454 218 69 19 305 123 57 24 18 18 221 328 21 15 *** *** 46 *** *** 24 3,461 2023Q3 525 585 46 13 1,159 1,228 225 241 463 219 66 19 303 130 66 24 19 19 230 333 21 16 *** *** 48 *** *** 24 3,518 2023Q4 491 595 49 18 1,144 1,155 215 216 426 219 67 20 306 142 69 23 22 16 245 374 32 16 *** *** 58 *** *** 28 3,434 Analytics Office 6.4 NAV Allocation of Single-Strategy Non-US-Domiciled Hedge Funds Table 6.10: NAV Allocation of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Macro Relative Value Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Global Macro Commodity Active Trading Currency Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Subtotal Total 2021Q4 815 356 *** *** 1,272 250 8 *** *** 261 315 77 22 27 16 456 767 210 77 287 *** *** 209 117 35 33 185 34 2,433 2022Q1 731 321 *** *** 1,145 269 8 *** *** 280 284 75 24 28 22 434 776 216 81 297 *** *** 231 120 34 30 185 33 2,391 25 2022Q2 649 280 *** *** 1,018 288 8 *** *** 299 309 75 27 18 13 442 736 207 83 290 *** *** 206 120 30 30 180 30 2,216 2022Q3 620 259 *** *** 965 306 6 *** *** 322 283 74 23 17 12 409 715 219 89 309 *** *** 240 119 25 29 173 30 2,142 2022Q4 669 261 *** *** 1,019 309 7 *** *** 321 248 71 20 17 12 369 760 221 93 314 *** *** 190 117 28 21 166 27 2,152 2023Q1 696 230 *** *** 1,028 309 7 *** *** 319 256 68 20 19 14 377 756 227 94 321 *** *** 226 371 28 21 420 32 2,144 2023Q2 667 226 *** *** 996 399 7 *** *** 408 229 68 23 18 14 352 762 232 101 333 *** *** 285 132 27 22 182 38 2,175 2023Q3 651 217 *** *** 966 422 7 *** *** 433 228 74 20 19 14 355 761 231 102 333 *** *** 273 131 24 25 179 35 2,171 2023Q4 679 233 *** *** 1,014 531 6 *** *** 539 258 78 23 20 15 394 764 234 116 350 *** *** 214 133 25 20 178 34 2,205 Analytics Office Table 6.11: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Macro Relative Value Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Global Macro Commodity Active Trading Currency Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Subtotal Total 2021Q4 631 391 *** *** 1,094 161 42 *** *** 209 60 149 27 91 24 304 854 248 108 353 *** *** 108 214 74 48 310 104 3,105 2022Q1 632 394 *** *** 1,097 167 40 *** *** 213 59 146 26 92 25 302 876 259 111 367 *** *** 113 221 70 50 316 103 3,160 26 2022Q2 632 388 *** *** 1,096 171 38 *** *** 212 59 148 25 88 26 301 893 259 113 369 *** *** 120 223 70 49 318 106 3,187 2022Q3 630 385 *** *** 1,093 170 39 *** *** 215 61 150 24 90 24 305 882 266 117 380 *** *** 121 223 69 47 314 110 3,189 2022Q4 605 392 *** *** 1,085 164 45 *** *** 216 60 139 29 87 24 294 924 269 112 378 *** *** 125 219 75 43 313 113 3,222 2023Q1 602 351 *** *** 1,041 162 40 *** *** 212 59 143 29 91 24 300 941 279 113 389 *** *** 129 223 70 44 313 114 3,204 2023Q2 593 347 *** *** 1,023 164 40 *** *** 213 59 147 30 90 25 303 942 285 123 405 *** *** 126 227 70 44 317 118 3,218 2023Q3 593 344 *** *** 1,021 165 46 *** *** 217 60 145 30 91 24 301 954 284 125 406 *** *** 126 229 70 43 318 111 3,219 2023Q4 558 345 *** *** 980 167 35 *** *** 210 57 143 28 87 20 288 954 305 137 438 *** *** 123 223 72 42 313 93 3,162 Analytics Office 7 Information Reported by Large Hedge Fund Advisers 7.1 Economic Leverage Table 7.1: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by GNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 1,653 1,124 433 427 506 2,016 1,023 472 261 371 Jan 2023 1,856 980 479 429 535 2,113 934 556 235 440 Feb 2023 1,871 1,004 404 451 552 2,115 968 528 237 434 Mar 2023 1,803 1,074 430 431 543 2,114 963 593 210 401 Apr 2023 1,907 999 442 445 530 2,143 1,014 509 251 406 May 2023 1,919 1,010 349 491 554 2,124 1,021 505 254 419 Jun 2023 1,786 1,136 360 493 549 2,076 1,031 442 360 414 Jul 2023 1,817 1,059 367 434 615 2,095 1,008 348 402 439 Aug 2023 1,801 1,068 380 479 564 2,081 985 395 399 432 Sep 2023 1,742 1,142 351 494 563 2,011 1,071 438 334 439 Oct 2023 2,005 1,006 389 435 561 2,340 848 483 283 442 Nov 2023 2,002 966 386 474 567 2,272 897 376 401 449 Dec 2023 1,868 1,110 352 437 629 2,115 1,066 375 396 444 Table 7.2: Number of Large Hedge Fund Advisers Reporting by GNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 233 223 75 58 86 274 213 77 52 59 Jan 2023 228 201 73 64 81 263 195 76 54 59 Feb 2023 233 202 71 57 85 268 194 75 52 59 Mar 2023 224 217 67 59 81 264 203 76 49 56 Apr 2023 242 208 71 63 80 274 207 75 51 57 27 May 2023 243 211 62 63 84 270 211 70 53 59 Jun 2023 223 229 67 62 82 256 220 69 60 58 Jul 2023 233 212 72 61 84 267 209 68 57 61 Aug 2023 238 209 71 61 83 269 205 76 55 57 Sep 2023 227 222 69 62 82 258 220 72 53 59 Oct 2023 264 205 62 54 91 294 202 64 48 68 Nov 2023 257 199 69 57 94 288 199 68 52 69 Dec 2023 241 215 73 56 91 269 218 69 54 66 Analytics Office Table 7.3: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by LNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 2,329 887 390 199 338 2,608 869 279 274 112 Jan 2023 2,424 860 431 226 336 2,693 895 233 331 127 Feb 2023 2,410 923 386 195 368 2,710 884 241 320 126 Mar 2023 2,396 915 371 275 324 2,593 1,023 227 312 127 Apr 2023 2,527 793 451 219 332 2,718 914 279 287 125 May 2023 2,434 909 395 252 333 2,652 973 264 244 190 Jun 2023 2,353 878 513 161 418 2,580 1,023 282 242 196 Jul 2023 2,320 878 483 228 384 2,504 1,048 275 247 218 Aug 2023 2,367 888 451 206 380 2,581 934 323 241 212 Sep 2023 2,313 915 470 241 352 2,572 928 331 249 212 Oct 2023 2,639 757 414 149 438 2,865 808 265 248 209 Nov 2023 2,550 775 445 183 443 2,798 833 282 273 210 Dec 2023 2,437 869 349 292 448 2,591 1,010 309 273 213 Table 7.4: Number of Large Hedge Fund Advisers Reporting by LNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 335 197 51 38 54 373 191 44 33 34 Jan 2023 319 181 60 37 50 348 183 49 42 25 Feb 2023 324 185 51 37 51 357 178 51 37 25 Mar 2023 319 188 50 44 47 352 184 50 35 27 Apr 2023 342 180 54 39 49 368 182 55 31 28 28 May 2023 335 186 49 45 48 365 184 47 40 27 Jun 2023 312 206 53 39 53 348 198 52 34 31 Jul 2023 308 205 57 34 58 337 206 54 31 34 Aug 2023 322 198 52 36 54 354 193 49 35 31 Sep 2023 311 204 57 39 51 350 195 51 36 30 Oct 2023 361 168 49 38 60 396 164 40 40 36 Nov 2023 342 178 54 39 63 378 177 44 40 37 Dec 2023 313 206 56 38 63 345 208 47 36 40 Analytics Office Table 7.5: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting by SNE to Adviser-Level Hedge Fund NAV Ratio ($ Billions) As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 2,939 458 246 231 269 3,310 364 109 259 102 Jan 2023 3,019 472 260 236 291 3,422 355 86 295 121 Feb 2023 3,043 450 270 175 344 3,444 333 86 296 121 Mar 2023 3,074 423 301 197 286 3,474 335 89 252 131 Apr 2023 3,129 389 315 191 299 3,490 326 116 247 145 May 2023 3,126 389 278 202 328 3,454 365 106 250 148 Jun 2023 3,092 390 297 212 332 3,456 305 169 245 148 Jul 2023 3,104 376 208 263 341 3,396 303 175 261 157 Aug 2023 3,093 357 220 267 355 3,395 301 179 258 159 Sep 2023 3,056 404 200 261 371 3,370 394 107 272 149 Oct 2023 3,225 381 235 199 357 3,498 359 113 274 151 Nov 2023 3,241 286 315 122 432 3,518 277 157 229 215 Dec 2023 3,260 314 235 239 348 3,543 312 109 205 227 Table 7.6: Number of Large Hedge Fund Advisers Reporting by SNE to Adviser-Level Hedge Fund NAV Ratio As reported on Form PF, Questions 3 and 26. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 498 65 31 30 51 533 65 19 25 33 Jan 2023 480 59 33 30 45 515 51 29 27 25 Feb 2023 485 54 35 24 50 520 47 28 28 25 Mar 2023 490 55 30 31 42 523 51 24 25 25 Apr 2023 499 55 38 26 46 532 50 29 26 27 29 May 2023 497 57 32 27 50 527 56 26 26 28 Jun 2023 499 52 34 28 50 531 47 33 24 28 Jul 2023 501 48 33 31 49 530 48 29 28 27 Aug 2023 501 47 34 30 50 531 47 31 24 29 Sep 2023 500 53 26 32 51 528 56 24 27 27 Oct 2023 516 47 25 30 58 544 50 18 30 34 Nov 2023 513 46 30 27 60 542 46 23 32 33 Dec 2023 520 46 29 26 55 547 48 19 28 34 Analytics Office 7.2 Industry Concentration Table 7.7: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Large Hedge Fund Advisers Sorted by Hedge Fund Net Asset Value As reported on Form PF, Question 3(a). Top 10 Top 25 Top 50 Top 100 Top 250 Dec 2022 17.4 32.5 47.2 62.9 84.0 Jan 2023 17.5 32.8 47.1 62.5 84.3 Feb 2023 17.5 32.7 47.1 62.4 84.2 Mar 2023 17.5 32.7 47.1 62.4 84.2 Apr 2023 17.7 32.9 47.0 62.2 83.9 May 2023 17.7 32.9 47.0 62.2 83.9 Jun 2023 17.7 32.9 47.0 62.2 83.9 Jul 2023 18.0 33.0 47.2 62.4 84.0 Aug 2023 18.0 33.0 47.2 62.4 84.0 Sep 2023 18.0 33.0 47.2 62.4 84.0 Oct 2023 18.2 33.5 47.5 62.8 84.1 Nov 2023 18.2 33.5 47.5 62.8 84.1 Dec 2023 18.2 33.5 47.5 62.8 84.1 Table 7.8: Percent of Aggregate Gross Notional Exposure Reported by Top Large Hedge Fund Advisers Sorted by Gross Notional Exposure As reported on Form PF, Questions 26. Top 10 Top 25 Top 50 Top 100 Top 250 Dec 2022 40.0 62.1 75.4 85.4 94.7 Jan 2023 41.0 63.9 76.9 86.8 95.3 Feb 2023 41.2 64.3 77.4 87.0 95.4 Mar 2023 41.9 63.2 75.9 86.0 94.8 Apr 2023 42.9 64.0 76.4 86.5 95.1 May 2023 43.0 64.3 76.8 86.9 95.3 30 Jun 2023 42.2 63.5 76.0 86.1 94.8 Jul 2023 42.3 65.0 77.8 87.4 95.4 Aug 2023 43.1 65.8 78.5 87.7 95.6 Sep 2023 42.3 64.3 77.3 86.8 95.1 Oct 2023 43.6 65.2 78.6 87.9 95.8 Nov 2023 43.7 66.0 79.0 88.1 95.9 Dec 2023 43.6 65.1 77.9 87.2 95.3 Analytics Office 7.3 Portfolio Turnover Table 7.9: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Asset Class Futures Sov. and muni. bonds Listed equities Corporate bonds Convertible bonds Total Dec 2022 20,051 4,522 4,027 149 19 28,768 Jan 2023 16,309 5,310 4,126 230 33 26,008 Feb 2023 22,084 6,512 4,084 238 50 32,968 Mar 2023 32,291 7,334 4,935 252 39 44,851 Apr 2023 16,689 5,691 3,844 164 30 26,418 May 2023 21,107 7,484 4,704 244 43 33,582 Jun 2023 17,995 7,088 4,719 215 41 30,058 Jul 2023 19,497 7,105 4,471 198 60 31,332 Aug 2023 24,576 8,724 5,416 195 85 38,997 Sep 2023 20,516 7,606 4,668 221 75 33,086 Oct 2023 20,629 8,124 4,861 234 56 33,905 Nov 2023 28,723 9,031 4,628 257 69 42,708 Dec 2023 26,297 7,794 4,564 171 92 38,918 Table 7.10: Aggregate Hedge Fund Net Assets of Large Hedge Fund Advisers Reporting a Ratio of Aggregate Turnover to Aggregate Hedge Fund Net Assets ($ Billions) As reported on Form PF, Questions 3 and 27. See the appendix for a review of interval notation used here. Ratio [0,0.5) [0.5,1) [1,2) [2,5) [5,10) 10 or more Dec 2022 2,636 189 327 338 147 504 Jan 2023 2,760 253 336 262 126 539 Feb 2023 2,668 394 213 324 149 531 Mar 2023 2,571 330 227 368 130 653 Apr 2023 2,848 312 256 252 126 528 May 2023 2,751 301 219 327 109 615 Jun 2023 2,699 295 243 324 158 603 Jul 2023 2,814 221 314 248 113 580 Aug 2023 2,652 390 196 312 84 656 Sep 2023 2,771 288 198 340 54 639 Oct 2023 2,919 254 288 193 170 569 Nov 2023 2,867 315 142 325 87 658 Dec 2023 2,829 386 155 297 94 634 Table 7.11: Number of Large Hedge Fund Advisers Reporting a Ratio of Aggregate Turnover to Aggregate Hedge Fund Net Assets As reported on Form PF, Questions 3 and 27. See the appendix for a review of interval notation used here. Ratio [0,0.5) [0.5,1) [1,2) [2,5) [5,10) 10 or more Dec 2022 413 57 60 44 20 70 Jan 2023 397 56 55 44 21 70 Feb 2023 381 72 48 46 27 69 Mar 2023 366 60 55 55 24 83 Apr 2023 417 61 56 38 26 61 May 2023 399 63 53 46 21 77 31 Jun 2023 396 69 51 42 30 71 Jul 2023 422 55 51 33 19 78 Aug 2023 401 67 50 42 22 76 Sep 2023 405 63 53 43 17 77 Oct 2023 416 54 62 38 23 73 Nov 2023 404 69 43 47 24 79 Dec 2023 417 68 42 43 20 76 Analytics Office 7.4 Region and Country Exposure Table 7.12: Large Hedge Fund Adviser Hedge Fund Regional Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2021Q4 5,932 1,479 767 305 86 48 30 26 2022Q1 5,854 1,633 716 416 92 42 27 28 2022Q2 5,583 1,480 713 324 81 38 26 22 2022Q3 5,426 1,433 737 336 81 32 46 21 2022Q4 5,547 1,658 750 356 86 27 26 24 2023Q1 5,855 1,530 732 372 83 34 26 21 2023Q2 6,181 1,456 754 393 90 36 31 23 2023Q3 6,370 1,497 782 415 89 37 29 23 2023Q4 6,759 1,625 823 421 125 39 31 24 Table 7.13: Large Hedge Fund Adviser Hedge Fund Regional Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2021Q4 130.9 32.6 16.9 6.7 1.9 1.1 0.7 0.6 2022Q1 132.1 36.9 16.2 9.4 2.1 0.9 0.6 0.6 2022Q2 132.0 35.0 16.9 7.7 1.9 0.9 0.6 0.5 2022Q3 131.4 34.7 17.9 8.1 2.0 0.8 1.1 0.5 32 2022Q4 133.9 40.0 18.1 8.6 2.1 0.7 0.6 0.6 2023Q1 136.7 35.7 17.1 8.7 1.9 0.8 0.6 0.5 2023Q2 143.0 33.7 17.4 9.1 2.1 0.8 0.7 0.5 2023Q3 148.4 34.9 18.2 9.7 2.1 0.9 0.7 0.5 2023Q4 153.8 37.0 18.7 9.6 2.8 0.9 0.7 0.5 Analytics Office Table 7.14: 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 2021Q4 5,541 217 239 33 51 16 2022Q1 5,543 213 204 39 48 5 2022Q2 5,288 240 198 34 47 5 2022Q3 5,148 266 174 34 49 5 2022Q4 5,276 337 171 34 44 3 2023Q1 5,556 332 171 31 44 3 2023Q2 5,888 354 138 40 50 3 2023Q3 5,992 380 128 38 47 8 2023Q4 6,413 435 123 49 47 2 Table 7.15: 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 2021Q4 122.3 4.8 5.3 0.7 1.1 0.3 2022Q1 125.1 4.8 4.6 0.9 1.1 0.1 2022Q2 125.0 5.7 4.7 0.8 1.1 0.1 2022Q3 124.7 6.4 4.2 0.8 1.2 0.1 33 2022Q4 127.3 8.1 4.1 0.8 1.1 0.1 2023Q1 129.8 7.8 4.0 0.7 1.0 0.1 2023Q2 136.2 8.2 3.2 0.9 1.2 0.1 2023Q3 139.6 8.9 3.0 0.9 1.1 0.2 2023Q4 145.9 9.9 2.8 1.1 1.1 0.1 Analytics Office 8 Qualifying Hedge Fund Specific Information 8.1 Economic Leverage Table 8.1: Aggregate Net Assets of Qualifying Hedge Funds by GNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 1,757 1,051 329 383 531 2,098 957 272 311 414 Jan 2023 1,925 942 340 380 573 2,192 931 293 279 465 Feb 2023 1,924 967 319 376 578 2,181 960 306 255 462 Mar 2023 1,888 985 366 355 570 2,189 969 261 279 466 Apr 2023 2,032 906 330 362 578 2,278 893 316 248 472 May 2023 2,018 912 329 349 600 2,282 896 268 279 482 Jun 2023 1,916 995 343 352 602 2,176 986 256 308 482 Jul 2023 1,955 979 329 380 606 2,218 948 253 329 501 Aug 2023 1,961 961 332 385 610 2,237 932 300 270 510 Sep 2023 1,932 998 326 382 611 2,192 968 273 309 507 Oct 2023 2,089 891 307 336 621 2,342 856 285 255 506 Nov 2023 2,043 937 261 362 640 2,303 866 243 297 534 Dec 2023 1,936 1,036 285 293 694 2,201 960 211 330 542 Table 8.2: Number of Qualifying Hedge Funds by GNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 1,039 529 168 139 199 1,195 463 147 126 143 Jan 2023 1,068 491 152 138 196 1,199 445 137 123 141 Feb 2023 1,083 483 145 143 193 1,209 449 132 122 135 Mar 2023 1,050 522 163 128 184 1,195 480 134 100 138 Apr 2023 1,133 473 156 136 195 1,259 434 152 111 137 34 May 2023 1,140 473 151 127 200 1,277 424 135 116 139 Jun 2023 1,076 527 162 127 199 1,220 469 142 121 139 Jul 2023 1,130 495 148 124 203 1,269 438 129 118 146 Aug 2023 1,137 496 138 128 201 1,278 429 140 108 145 Sep 2023 1,106 520 150 123 201 1,247 453 144 112 144 Oct 2023 1,177 456 138 111 225 1,304 396 144 100 163 Nov 2023 1,149 476 130 119 233 1,286 408 139 106 168 Dec 2023 1,100 522 144 109 232 1,243 449 137 112 166 Analytics Office Table 8.3: Aggregate Net Assets of Qualifying Hedge Funds by LNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 2,305 866 325 206 349 2,600 766 251 199 235 Jan 2023 2,422 779 370 197 393 2,670 705 297 284 204 Feb 2023 2,430 798 345 150 440 2,696 745 251 202 270 Mar 2023 2,385 837 344 217 381 2,642 808 236 210 268 Apr 2023 2,474 832 300 207 395 2,709 790 226 220 263 May 2023 2,449 842 318 189 409 2,709 778 219 228 275 Jun 2023 2,385 870 333 169 450 2,655 768 281 220 283 Jul 2023 2,379 924 311 202 433 2,661 782 297 208 301 Aug 2023 2,402 906 299 208 434 2,736 712 266 232 302 Sep 2023 2,398 914 299 210 429 2,754 735 227 237 295 Oct 2023 2,536 755 313 175 465 2,789 676 233 228 317 Nov 2023 2,451 794 309 210 480 2,723 691 272 236 321 Dec 2023 2,375 855 345 197 471 2,649 743 284 249 318 Table 8.4: Number of Qualifying Hedge Funds by LNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 1,270 456 137 88 123 1,376 429 111 74 84 Jan 2023 1,291 405 145 78 126 1,386 385 118 85 71 Feb 2023 1,302 417 130 71 127 1,407 385 111 72 72 Mar 2023 1,268 458 122 82 117 1,379 424 96 76 72 Apr 2023 1,342 412 126 94 119 1,433 399 111 84 66 35 May 2023 1,341 416 124 86 124 1,440 391 108 81 71 Jun 2023 1,289 467 121 92 122 1,392 432 108 85 74 Jul 2023 1,318 449 116 83 134 1,423 408 117 70 82 Aug 2023 1,336 437 113 83 131 1,442 402 97 83 76 Sep 2023 1,322 454 111 84 129 1,435 410 97 86 72 Oct 2023 1,386 379 107 83 152 1,483 356 92 70 106 Nov 2023 1,346 402 110 92 157 1,450 380 97 77 103 Dec 2023 1,307 435 127 90 148 1,409 404 111 84 99 Analytics Office Table 8.5: Aggregate Net Assets of Qualifying Hedge Funds by SNE to NAV Ratio ($ Billions) As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 2,977 384 159 192 338 3,179 371 93 227 181 Jan 2023 3,037 408 133 207 375 3,278 324 109 240 209 Feb 2023 3,044 406 104 227 382 3,276 325 110 243 209 Mar 2023 3,047 410 113 225 368 3,296 310 126 230 201 Apr 2023 3,081 416 141 177 393 3,317 328 120 226 216 May 2023 3,083 410 135 183 397 3,301 340 97 184 286 Jun 2023 3,103 353 172 182 399 3,287 339 114 183 283 Jul 2023 3,099 389 160 184 418 3,276 376 123 172 302 Aug 2023 3,097 410 143 181 417 3,285 369 96 191 308 Sep 2023 3,100 389 157 175 428 3,279 380 97 196 296 Oct 2023 3,135 319 158 209 423 3,311 321 115 183 313 Nov 2023 3,135 273 191 176 468 3,316 298 128 190 311 Dec 2023 3,134 282 163 250 414 3,298 318 120 183 325 Table 8.6: Number of Qualifying Hedge Funds by SNE to NAV Ratio As reported on Form PF, Questions 9, 10, 26, and 30. See the appendix for a review of interval notation used here. Exposure Including IRDs Excluding IRDs Ratio (0,1.5) [1.5,3) [3,5) [5,10) 10 or more (0,1.5) [1.5,3) [3,5) [5,10) 10 or more Dec 2022 1,675 141 65 73 120 1,747 139 53 54 81 Jan 2023 1,666 138 63 74 104 1,748 117 60 58 62 Feb 2023 1,668 137 59 72 111 1,747 119 58 60 63 Mar 2023 1,679 141 59 68 100 1,761 112 55 58 61 Apr 2023 1,709 143 57 77 107 1,791 121 61 61 59 36 May 2023 1,713 133 58 76 111 1,789 119 58 61 64 Jun 2023 1,715 127 63 74 112 1,783 119 62 62 65 Jul 2023 1,722 124 60 69 125 1,786 127 52 60 75 Aug 2023 1,725 132 53 65 125 1,791 124 48 64 73 Sep 2023 1,727 130 55 66 122 1,790 127 50 67 66 Oct 2023 1,732 104 57 69 145 1,792 112 46 63 94 Nov 2023 1,726 107 61 68 145 1,799 101 52 63 92 Dec 2023 1,730 108 60 78 131 1,792 113 49 66 87 Analytics Office 8.2 NAV Allocation by Strategy6 Table 8.7: NAV Allocation of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Subtotal Total 2021Q4 1,215 643 396 0 2,254 1,456 709 102 123 65 63 1,063 699 *** 54 *** 789 359 119 479 205 145 108 458 *** *** 222 65 6,785 2022Q1 1,102 577 *** *** 2,033 1,483 676 110 112 74 70 1,043 740 *** 73 *** 850 359 127 485 202 136 91 429 *** *** 238 75 6,635 2022Q2 972 467 *** *** 1,776 1,441 684 113 89 79 62 1,028 737 39 88 2 867 350 132 482 201 112 90 403 *** *** 215 69 6,280 2022Q3 941 414 *** *** 1,687 1,427 638 115 84 72 60 969 740 44 92 2 879 367 140 507 201 101 93 394 *** *** 258 68 6,189 2022Q4 1,020 438 *** *** 1,797 1,464 627 121 82 54 66 950 895 37 58 2 992 378 149 527 203 96 72 371 *** *** 196 71 6,369 2023Q1 1,053 448 *** *** 1,851 1,489 706 103 88 76 61 1,035 813 *** 44 *** 890 390 154 543 201 106 75 382 *** *** 195 84 6,470 2023Q2 1,063 453 *** *** 1,886 1,514 722 129 94 85 61 1,091 980 *** 40 *** 1,052 370 168 538 210 102 85 397 *** *** 287 86 6,851 2023Q3 1,033 434 *** *** 1,796 1,542 761 135 93 79 64 1,132 996 *** 33 *** 1,062 372 170 542 208 85 99 392 *** *** 259 107 6,832 2023Q4 1,096 448 *** *** 1,889 1,524 943 144 103 94 65 1,349 1,181 34 30 2 1,246 382 191 573 213 88 87 388 *** *** 211 104 7,283 6 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. 37 Analytics Office Table 8.8: NAV Allocation of Qualifying Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Subtotal Total 2021Q4 29.0 15.4 9.4 0.0 53.8 34.8 16.9 2.4 2.9 1.5 1.5 25.4 16.7 *** 1.3 *** 18.8 8.6 2.9 11.4 4.9 3.5 2.6 10.9 *** *** 5.3 1.6 162.0 2022Q1 26.6 13.9 *** *** 49.0 35.8 16.3 2.7 2.7 1.8 1.7 25.2 17.8 *** 1.8 *** 20.5 8.7 3.1 11.7 4.9 3.3 2.2 10.3 *** *** 5.7 1.8 160.1 38 2022Q2 25.1 12.1 *** *** 45.9 37.2 17.7 2.9 2.3 2.0 1.6 26.6 19.0 1.0 2.3 0.1 22.4 9.0 3.4 12.4 5.2 2.9 2.3 10.4 *** *** 5.5 1.8 162.1 2022Q3 25.0 11.0 *** *** 44.8 37.9 16.9 3.1 2.2 1.9 1.6 25.7 19.7 1.2 2.4 0.1 23.3 9.8 3.7 13.5 5.3 2.7 2.5 10.5 *** *** 6.8 1.8 164.3 2022Q4 26.9 11.6 *** *** 47.4 38.6 16.6 3.2 2.2 1.4 1.7 25.1 23.6 1.0 1.5 0.1 26.2 10.0 3.9 13.9 5.4 2.5 1.9 9.8 *** *** 5.2 1.9 168.1 2023Q1 27.1 11.6 *** *** 47.7 38.4 18.2 2.7 2.3 2.0 1.6 26.7 21.0 *** 1.1 *** 22.9 10.0 4.0 14.0 5.2 2.7 1.9 9.9 *** *** 5.0 2.2 166.8 2023Q2 27.0 11.5 *** *** 47.9 38.5 18.3 3.3 2.4 2.2 1.6 27.7 24.9 *** 1.0 *** 26.7 9.4 4.3 13.7 5.3 2.6 2.2 10.1 *** *** 7.3 2.2 174.1 2023Q3 26.1 11.0 *** *** 45.3 38.9 19.2 3.4 2.3 2.0 1.6 28.6 25.2 *** 0.8 *** 26.8 9.4 4.3 13.7 5.3 2.1 2.5 9.9 *** *** 6.5 2.7 172.5 2023Q4 27.6 11.3 *** *** 47.6 38.4 23.8 3.6 2.6 2.4 1.6 34.0 29.8 0.9 0.7 0.0 31.4 9.6 4.8 14.5 5.4 2.2 2.2 9.8 *** *** 5.3 2.6 183.7 Analytics Office 8.3 Aggregates by Strategy Table 8.9: Aggregate Qualifying Hedge Fund GAV, by Strategy As reported on Form PF, Questions 8, 10 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Gross asset value is then summed for each strategy in each quarter. Strategy Relative Value Equity Multi-Strategy Macro Other Credit Event Driven Managed Futures/CTA Investment in other funds 2021Q4 1,379 2,230 1,131 779 1,163 309 343 90 45 2022Q1 1,270 1,995 1,107 921 1,166 331 353 106 48 2022Q2 1,315 1,648 1,183 880 1,130 328 321 139 59 2022Q3 1,213 1,581 1,276 917 1,070 331 299 131 51 2022Q4 1,082 1,664 1,363 936 1,104 348 292 109 57 2023Q1 1,029 1,655 1,490 916 1,143 359 295 133 62 2023Q2 1,192 1,813 1,563 1,001 1,120 363 287 128 61 2023Q3 1,136 1,747 1,705 1,023 1,068 396 266 124 65 2023Q4 1,836 1,795 1,213 1,145 1,136 402 264 91 44 Table 8.10: Aggregate Qualifying Hedge Fund NAV, by Strategy As reported on Form PF, Questions 9, 10 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Net asset value is then summed for each strategy in each quarter. Strategy Equity Other Multi-Strategy Relative Value Credit Event Driven Macro Managed Futures/CTA Investment in other funds 2021Q4 1,441 794 333 198 194 250 182 63 36 2022Q1 1,271 808 354 210 205 252 201 71 39 2022Q2 1,040 780 391 201 201 229 198 73 39 2022Q3 988 728 435 196 199 223 197 80 37 39 2022Q4 1,021 748 392 183 205 218 191 74 44 2023Q1 1,019 776 411 178 209 226 178 84 46 2023Q2 1,094 780 399 192 206 213 176 83 43 2023Q3 1,055 738 424 182 229 207 175 75 42 2023Q4 1,063 778 309 267 233 206 191 60 28 Analytics Office Table 8.11: Aggregate Qualifying Hedge Fund Borrowing, by Strategy As reported on Form PF, Questions 43 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Borrowing is then summed for each strategy in each quarter. Strategy Relative Value Equity Multi-Strategy Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds 2021Q4 961 965 875 445 260 80 29 79 8 2022Q1 828 893 793 501 239 89 25 78 7 2022Q2 823 747 800 493 250 92 27 76 9 2022Q3 762 752 855 476 239 95 29 57 6 2022Q4 703 799 939 516 254 105 33 54 6 2023Q1 705 873 1,067 560 260 124 41 55 9 2023Q2 808 921 1,180 635 219 122 47 58 16 2023Q3 755 859 1,245 618 219 121 50 43 17 2023Q4 1,349 938 844 725 230 119 74 38 15 Table 8.12: Aggregate Qualifying Hedge Fund Derivatives, by Strategy As reported on Form PF, Questions 44 and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Derivatives is then summed for each strategy in each quarter. Strategy Macro Relative Value Multi-Strategy Equity Managed Futures/CTA Other Credit Event Driven Investment in other funds 2021Q4 4,754 2,676 3,319 1,638 1,051 1,048 249 103 69 2022Q1 5,409 2,942 3,202 1,173 1,042 1,077 251 126 67 2022Q2 4,826 2,439 3,301 970 1,216 997 254 114 93 2022Q3 4,691 2,334 2,774 1,327 1,109 885 277 95 98 40 2022Q4 5,654 1,814 3,241 1,363 988 842 251 98 74 2023Q1 4,933 2,018 3,307 1,418 930 868 265 95 103 2023Q2 5,465 2,346 3,242 1,011 1,317 891 267 115 93 2023Q3 5,566 2,340 3,471 1,001 1,285 844 294 119 86 2023Q4 5,907 3,799 2,328 971 832 804 270 101 46 Analytics Office 8.4 Leverage by Strategy Table 8.13: NAV-Weighted Average Ratio of GAV to NAV, by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Relative Value Macro Multi-Strategy Credit Equity Investment in other funds Managed Futures/CTA Other Event Driven 2021Q4 7.0 4.3 3.4 1.6 1.5 1.3 1.4 1.5 1.4 2022Q1 6.0 4.6 3.1 1.6 1.6 1.2 1.5 1.4 1.4 2022Q2 6.5 4.5 3.0 1.6 1.6 1.5 1.9 1.4 1.4 2022Q3 6.2 4.6 2.9 1.7 1.6 1.4 1.6 1.5 1.3 2022Q4 5.9 4.9 3.5 1.7 1.6 1.3 1.5 1.5 1.3 2023Q1 5.8 5.1 3.6 1.7 1.6 1.3 1.6 1.5 1.3 2023Q2 6.2 5.7 3.9 1.8 1.7 1.4 1.5 1.4 1.3 2023Q3 6.2 5.8 4.0 1.7 1.7 1.6 1.7 1.4 1.3 2023Q4 6.9 6.0 3.9 1.7 1.7 1.6 1.5 1.5 1.3 Table 8.14: NAV-Weighted Average Ratio of GNE to NAV, by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Investment in other funds Credit Equity Other Event Driven 2021Q4 33.2 27.1 16.9 16.0 3.3 3.1 3.1 3.1 1.9 2022Q1 33.8 25.4 15.0 14.9 2.8 3.2 2.9 3.1 1.9 2022Q2 30.1 24.8 16.5 13.2 4.1 3.1 2.9 2.9 2.0 2022Q3 29.3 23.8 14.0 11.0 3.9 3.2 3.4 2.9 1.8 2022Q4 34.4 21.3 14.3 14.0 3.0 3.2 3.5 2.9 1.8 2023Q1 35.2 23.1 12.1 14.1 3.6 3.4 3.6 2.7 2.1 2023Q2 39.5 25.5 17.1 14.8 3.6 3.5 3.1 2.7 2.1 2023Q3 40.6 25.4 18.6 15.6 3.8 3.4 3.1 2.7 1.9 2023Q4 40.8 27.4 14.8 14.1 3.6 3.4 3.1 2.7 1.8 Table 8.15: NAV-Weighted Average Percent of Unencumbered Cash, by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).Funds with more than 50% of assets concentrated in a strategy are assigned that strategy type. Otherwise, funds are classified as multi-strategy. Strategy Managed Futures/CTA Macro Relative Value Multi-Strategy Equity Other Event Driven Credit Investment in other funds 2021Q4 48.2 44.1 21.8 26.1 8.5 11.8 8.1 8.3 8.2 2022Q1 51.0 45.4 23.3 23.9 10.4 11.3 10.7 6.8 4.9 2022Q2 56.0 45.8 23.8 27.7 12.7 11.5 9.6 8.3 6.8 2022Q3 54.2 43.6 25.0 27.9 13.7 12.3 10.0 7.3 5.5 41 2022Q4 49.3 45.7 23.5 30.5 13.9 11.5 9.8 8.9 6.1 2023Q1 39.9 43.3 25.9 27.3 12.4 9.5 8.1 8.5 7.5 2023Q2 38.8 41.4 26.6 25.7 11.1 9.0 8.4 7.4 11.3 2023Q3 45.3 42.2 25.4 26.0 11.4 8.7 7.5 7.2 12.4 2023Q4 44.0 40.3 25.4 20.6 11.2 8.6 7.7 6.1 1.5 Analytics Office 8.5 Investment Exposures Table 8.16: Aggregate Qualifying Hedge Fund Long Notional Exposure, by Investment Type ($ Billions) As reported on Form PF, Questions 26 and 30. Type Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities U.S. Treasury Securities Repurchase Agreements Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Credit Derivatives Leveraged Loans Financial Listed Equities Non-Financial Corporate Bonds MBS Other Private Funds Commodity Derivatives Cash/Cash Equivalents - MMFs Physical Real Estate Sovereign Bonds - Other Cash/Cash Equivalents - Deposits Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Non-U.S. Currency Holdings Other Derivatives Other ABS/Structured Products Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Dec 2022 3,684 1,632 1,412 1,004 990 787 713 482 408 325 288 209 195 150 176 214 215 179 125 155 142 116 98 148 90 49 52 70 35 35 37 17 14 6 6 Jan 2023 3,749 1,873 1,456 1,050 1,009 837 737 473 404 360 270 225 199 158 173 236 176 74 139 187 123 120 99 151 104 48 58 65 35 36 40 16 15 8 4 Feb 2023 3,823 1,945 1,433 1,033 1,079 928 698 470 373 355 273 216 202 161 171 212 183 75 131 183 122 121 102 164 108 46 57 60 30 36 39 15 15 8 3 Mar 2023 3,442 1,833 1,470 1,138 1,014 786 685 499 385 337 300 210 203 151 175 224 186 191 140 196 138 121 97 136 115 48 54 62 29 36 39 16 15 8 4 Apr 2023 3,289 1,977 1,459 1,163 984 834 682 471 370 362 283 219 206 159 170 218 183 78 143 163 127 121 95 152 107 51 66 61 30 36 34 19 16 7 4 42 May 2023 3,441 2,150 1,476 1,203 1,010 889 678 472 385 392 283 212 211 168 170 204 187 78 138 181 126 121 94 161 102 54 57 62 34 35 33 18 16 7 4 Jun 2023 3,347 2,082 1,550 1,265 1,005 887 661 510 400 401 313 225 214 174 177 210 174 203 148 173 145 126 100 159 113 147 63 65 41 36 35 19 16 7 4 Jul 2023 3,512 2,168 1,596 1,400 1,072 960 733 492 386 398 285 226 215 174 173 227 150 78 153 144 129 126 115 160 111 54 63 61 53 37 35 17 11 7 4 Aug 2023 3,645 2,428 1,558 1,453 1,199 950 754 492 390 418 285 221 214 183 175 219 148 78 143 140 128 124 122 146 106 52 61 59 57 37 35 17 11 7 4 Sep 2023 3,646 2,239 1,518 1,437 1,060 890 696 527 374 432 320 217 217 183 182 218 164 204 130 151 145 122 136 136 112 55 59 60 53 37 35 17 11 7 4 Oct 2023 3,765 2,380 1,436 1,485 1,069 831 732 483 358 403 297 212 216 201 193 194 162 72 137 157 128 123 128 130 100 60 58 60 48 37 30 16 10 7 3 Nov 2023 4,017 2,605 1,535 1,497 1,147 928 849 489 414 393 299 227 221 197 189 201 156 73 155 165 129 131 127 137 123 67 65 62 57 38 33 17 11 8 4 Dec 2023 3,854 2,134 1,620 1,610 1,036 886 868 521 436 379 332 243 223 198 194 191 174 171 167 162 148 139 129 123 121 67 65 63 53 40 33 17 12 8 4 Analytics Office Table 8.17: Aggregate Qualifying Hedge Fund Short Notional Exposure, by Investment Type ($ Billions) As reported on Form PF, Questions 26 and 30. Type Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities U.S. Treasury Securities Repurchase Agreements Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Credit Derivatives Leveraged Loans Financial Listed Equities Non-Financial Corporate Bonds MBS Other Private Funds Commodity Derivatives Cash/Cash Equivalents - MMFs Physical Real Estate Sovereign Bonds - Other Cash/Cash Equivalents - Deposits Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Non-U.S. Currency Holdings Other Derivatives Other ABS/Structured Products Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities Dec 2022 3,633 1,445 682 694 1,143 746 766 2 114 356 7 98 59 30 *** 148 0 *** 73 85 14 3 15 77 139 8 36 11 25 5 0 0 0 0 0 Jan 2023 3,718 1,575 719 701 1,267 804 786 1 95 410 7 106 63 34 *** 155 0 *** 72 112 14 3 15 100 101 8 37 12 23 5 0 0 0 0 0 Feb 2023 3,869 1,611 701 732 1,267 933 797 1 87 421 7 101 62 34 0 161 *** *** 74 124 14 2 16 109 92 9 38 13 22 5 0 0 0 0 0 Mar 2023 3,506 1,573 730 732 1,334 780 716 1 85 400 7 101 63 28 *** 167 *** *** 64 106 15 2 16 95 88 8 40 15 12 5 0 0 0 0 0 Apr 2023 3,549 1,603 728 800 1,330 813 737 1 96 433 6 106 69 31 0 169 *** *** 69 77 15 2 19 98 97 8 45 14 20 5 0 0 0 0 0 43 May 2023 3,844 1,709 733 878 1,470 864 760 1 86 449 6 106 68 34 0 177 0 *** 72 79 15 2 20 114 99 13 45 15 26 5 0 *** 0 0 0 Jun 2023 3,808 1,668 773 989 1,483 848 757 1 96 444 8 113 68 33 0 166 *** *** 69 75 16 2 20 104 106 14 45 16 28 5 0 *** 0 0 0 Jul 2023 3,879 1,629 780 1,220 1,573 905 871 1 100 438 8 113 68 31 0 151 *** *** 73 91 15 2 19 108 97 17 46 18 30 5 0 0 0 0 0 Aug 2023 3,989 1,739 754 1,160 1,653 947 899 1 173 442 7 108 69 35 0 163 *** *** 73 90 15 2 20 139 100 15 46 19 32 5 0 0 0 0 0 Sep 2023 4,018 1,695 741 1,207 1,633 915 843 1 113 463 9 105 67 39 0 175 *** *** 75 107 15 2 21 111 106 14 51 18 29 5 0 0 0 0 0 Oct 2023 3,991 1,724 723 1,205 1,575 902 864 1 105 462 9 104 65 44 0 165 *** *** 81 115 14 2 22 113 101 15 52 18 28 4 0 *** 0 0 0 Nov 2023 4,092 1,785 778 1,188 1,812 912 912 1 107 466 9 116 68 40 0 165 *** *** 86 109 14 2 21 134 106 21 53 17 24 4 0 *** 0 0 0 Dec 2023 3,903 1,558 808 1,259 1,802 853 926 4 150 446 5 119 71 45 0 160 *** *** 92 97 15 2 24 107 98 20 54 17 27 4 0 *** 0 0 0 Analytics Office 8.6 Number of Positions Table 8.18: Aggregate Net Assets of Qualifying Hedge Funds with Open Positions ($ Billions) As reported on Form PF, Questions 9, 10, and 34. See the appendix for a review of interval notation used here. Open Positions Less than 10 [10,100) [100,500) [500,1000) [1000,2500) 2500 or more Dec 2022 248 1,001 1,279 300 342 881 Jan 2023 440 985 1,204 270 366 894 Feb 2023 440 1,003 1,194 265 375 887 Mar 2023 305 1,023 1,281 299 358 898 Apr 2023 445 1,021 1,190 325 333 894 May 2023 443 1,022 1,182 318 345 898 Jun 2023 282 1,084 1,262 337 341 900 Jul 2023 450 1,032 1,195 295 346 931 Aug 2023 452 1,026 1,195 295 348 933 Sep 2023 287 1,048 1,321 304 358 931 Oct 2023 413 1,028 1,244 302 367 890 Nov 2023 416 1,003 1,269 296 355 904 Dec 2023 294 1,053 1,315 324 355 902 Table 8.19: Number of Qualifying Hedge Funds with Open Positions As reported on Form PF, Questions 9, 10, and 34. See the appendix for a review of interval notation used here. Open Positions Less than 10 [10,100) [100,500) [500,1000) [1000,2500) 2500 or more Dec 2022 246 632 666 202 155 173 Jan 2023 309 576 644 186 156 174 Feb 2023 303 598 630 183 160 173 Mar 2023 237 626 663 192 154 175 Apr 2023 312 600 652 202 153 174 May 2023 306 608 643 200 155 179 Jun 2023 225 655 674 204 156 177 Jul 2023 314 610 654 188 154 180 Aug 2023 317 616 642 188 157 180 Sep 2023 233 663 673 193 164 174 Oct 2023 320 625 640 188 158 176 Nov 2023 328 614 647 182 156 180 Dec 2023 259 660 668 186 161 173 Table 8.20: Aggregate Net Assets of Qualifying Hedge Funds with Open Positions that Represent Five Percent or More of Net Assets ($ Billions) As reported on Form PF, Questions 9, 10, and 35. See the appendix for a review of interval notation used here. Large Open Positions None Less than 5 [5,10) [10,25) 25 or more Dec 2022 1,025 1,754 830 301 141 Jan 2023 1,263 1,709 793 236 160 Feb 2023 1,293 1,672 837 224 137 Mar 2023 1,016 1,843 896 253 156 Apr 2023 1,307 1,697 815 225 164 May 2023 1,312 1,686 745 296 169 Jun 2023 1,072 1,790 870 315 160 Jul 2023 1,342 1,669 828 226 184 Aug 2023 1,300 1,683 824 276 167 Sep 2023 1,077 1,806 887 289 189 Oct 2023 1,364 1,665 817 235 162 Nov 2023 1,356 1,593 857 277 160 Dec 2023 1,100 1,691 907 354 190 Table 8.21: Number of Qualifying Hedge Funds with Open Positions that Represent Five Percent or More of Net Assets As reported on Form PF, Questions 9, 10, and 35. See the appendix for a review of interval notation used here. Large Open Positions None Less than 5 [5,10) [10,25) 25 or more Dec 2022 548 912 421 146 47 Jan 2023 622 843 388 145 47 Feb 2023 627 850 394 131 45 Mar 2023 524 903 428 138 54 Apr 2023 653 838 410 137 55 May 2023 647 832 404 151 57 44 Jun 2023 531 906 444 158 52 Jul 2023 661 847 404 133 55 Aug 2023 653 844 421 126 56 Sep 2023 535 911 463 135 56 Oct 2023 668 858 410 118 53 Nov 2023 665 848 417 125 52 Dec 2023 550 891 465 152 49 Analytics Office 8.7 Liquidity Table 8.22: 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 2021Q4 7.5 11.0 23.1 42.8 50.2 62.8 2022Q1 7.5 10.9 23.5 39.7 50.1 62.2 2022Q2 5.8 8.6 20.0 36.6 46.9 60.4 2022Q3 5.5 8.2 19.0 35.5 47.3 59.0 2022Q4 5.6 8.2 18.5 37.7 45.4 58.3 2023Q1 5.4 7.5 18.6 34.4 45.3 56.6 2023Q2 5.6 7.8 17.9 34.1 44.3 56.4 2023Q3 5.4 7.5 17.2 33.3 44.8 55.2 2023Q4 6.0 8.2 17.8 33.5 43.6 55.5 Table 8.23: 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 2021Q4 33.6 52.9 65.7 72.4 77.0 81.8 2022Q1 35.3 53.4 64.8 71.1 75.5 80.5 2022Q2 33.5 51.4 62.3 68.3 73.5 79.3 2022Q3 33.5 50.3 61.2 67.5 72.8 78.6 2022Q4 32.2 49.3 60.2 66.4 71.7 77.8 2023Q1 31.4 48.9 59.0 65.1 70.7 76.5 2023Q2 31.2 49.0 59.6 65.6 70.6 76.6 2023Q3 30.3 48.3 58.2 64.3 69.4 75.6 2023Q4 30.7 48.7 58.9 65.2 69.9 76.1 Table 8.24: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Gated Suspended 2021Q4 2,924 1,885 114 84 18 2022Q1 2,884 1,878 104 74 17 2022Q2 2,660 1,847 97 74 14 2022Q3 2,534 1,754 96 75 13 45 2022Q4 2,499 1,728 90 81 20 2023Q1 2,555 1,757 87 80 22 2023Q2 2,566 1,762 90 81 23 2023Q3 2,563 1,754 86 76 20 2023Q4 2,543 1,733 89 84 17 Analytics Office Table 8.25: Aggregate Net Assets of Qualifying Hedge Funds by Percent of NAV Side-Pocketed ($ Billions) As reported on Form PF, Questions 9 and 48(a). See the appendix for a review of interval notation used here. Percent of NAV 0% (0%,25%] (25%,50%] (50%,100%] 2021Q4 3,641 366 112 68 2022Q1 3,667 315 93 71 2022Q2 3,443 286 80 64 2022Q3 3,336 290 78 62 2022Q4 3,368 295 70 57 2023Q1 3,443 307 72 55 2023Q2 3,499 292 89 55 2023Q3 3,536 293 76 55 2023Q4 3,536 295 71 61 Table 8.26: Number of Qualifying Hedge Funds by Percent of NAV SidePocketed As reported on Form PF, Questions 9 and 48(a). See the appendix for a review of interval notation used here. Percent of NAV 0% (0%,25%] (25%,50%] (50%,100%] 2021Q4 1,926 104 29 15 2022Q1 1,944 104 28 18 2022Q2 1,918 102 23 18 2022Q3 1,900 101 24 16 46 2022Q4 1,938 102 22 13 2023Q1 1,910 105 19 13 2023Q2 1,957 98 23 13 2023Q3 1,961 104 22 13 2023Q4 1,965 105 20 17 Analytics Office 8.8 Borrowings Table 8.27: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43. Type Secured Unsecured Total Subtype Prime Broker Reverse Repo Other Secured Subtotal Subtotal Total Dec 2022 1,652 1,227 582 3,461 39 3,501 Jan 2023 1,665 1,358 554 3,577 23 3,600 Feb 2023 1,759 1,365 539 3,663 22 3,685 Mar 2023 1,739 1,432 568 3,739 40 3,779 Apr 2023 1,709 1,426 511 3,646 25 3,671 May 2023 1,786 1,606 497 3,890 26 3,916 Jun 2023 1,871 1,633 546 4,050 38 4,088 Jul 2023 1,883 1,654 512 4,049 26 4,075 Aug 2023 1,828 1,706 517 4,052 27 4,079 Sep 2023 1,807 1,604 563 3,973 37 4,010 Oct 2023 1,791 1,676 491 3,958 27 3,986 Nov 2023 1,940 1,843 493 4,275 27 4,303 Dec 2023 2,075 1,765 547 4,387 35 4,422 Table 8.28: Percent of Aggregate Qualifying Hedge Fund Prime Broker Borrowings Reported by Top Qualfiying Hedge Funds Sorted by Prime Broker Borrowings As reported on Form PF, Question 43. Top 10 Top 25 Top 50 Top 100 Top 250 Dec 2022 38.4 55.4 69.3 81.5 94.6 Jan 2023 34.9 53.8 68.3 80.8 94.4 Feb 2023 38.6 56.4 70.3 82.2 94.8 Mar 2023 36.7 54.7 69.0 81.7 94.6 Apr 2023 34.8 52.8 67.5 80.5 94.3 May 2023 35.8 53.4 68.3 81.1 94.4 Jun 2023 36.7 54.7 68.6 81.1 94.5 Jul 2023 35.4 53.8 68.3 81.0 94.5 Aug 2023 35.0 53.8 68.5 81.1 94.5 Sep 2023 34.9 53.7 68.5 81.3 94.6 Oct 2023 37.3 56.5 70.9 82.8 95.1 Nov 2023 38.7 57.8 72.1 83.3 95.4 Dec 2023 37.8 57.7 72.1 83.7 95.5 Table 8.29: Percent of Aggregate Qualifying Hedge Fund Reverse Repo Borrowing Reported by Top Qualfiying Hedge Funds Sorted by Reverse Repo Borrowing As reported on Form PF, Question 43. Top 10 Top 25 Top 50 Top 100 Top 250 Dec 2022 57.4 81.4 91.6 97.2 99.9 Jan 2023 56.0 81.8 92.3 97.2 99.9 Feb 2023 57.0 82.7 93.0 97.7 99.9 Mar 2023 57.0 83.0 93.1 97.8 99.9 Apr 2023 58.7 82.8 92.7 97.6 99.9 May 2023 58.8 82.9 93.4 97.8 99.9 Jun 2023 58.5 83.2 93.1 97.8 99.9 47 Jul 2023 58.2 83.7 93.6 98.0 99.9 Aug 2023 59.1 83.7 93.5 98.0 99.9 Sep 2023 58.8 84.1 93.4 97.9 99.9 Oct 2023 60.8 85.0 93.5 98.1 100.0 Nov 2023 62.1 86.1 94.4 98.3 100.0 Dec 2023 61.8 85.7 93.9 98.1 100.0 Analytics Office Table 8.30: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43. Borrowing Type Total Secured Prime Broker Reverse Repo Other Secured Collateral Type Non-Cash Cash Subtotal Non-Cash Cash Subtotal Non-Cash Cash Subtotal Non-Cash Cash Subtotal Dec 2022 2,680 1,340 4,020 1,356 673 2,029 788 473 1,262 535 194 729 Jan 2023 2,767 1,367 4,134 1,405 663 2,068 873 519 1,392 489 185 674 Feb 2023 2,828 1,387 4,215 1,462 680 2,141 885 525 1,410 481 182 664 Mar 2023 2,954 1,398 4,352 1,453 702 2,155 940 535 1,475 561 161 723 Apr 2023 2,866 1,358 4,224 1,437 674 2,110 939 526 1,465 491 158 649 May 2023 2,971 1,501 4,472 1,471 712 2,183 1,017 631 1,648 483 158 641 Jun 2023 3,126 1,546 4,673 1,546 736 2,282 1,024 649 1,674 557 161 717 Jul 2023 3,105 1,516 4,621 1,585 702 2,287 1,038 651 1,689 481 163 645 Aug 2023 3,176 1,523 4,700 1,621 687 2,308 1,065 679 1,744 490 156 647 Sep 2023 3,103 1,469 4,572 1,513 692 2,205 1,010 627 1,637 580 150 730 Oct 2023 3,016 1,504 4,520 1,482 703 2,185 1,045 664 1,708 490 137 627 Nov 2023 3,227 1,628 4,855 1,605 746 2,351 1,131 747 1,878 490 135 625 Dec 2023 3,390 1,583 4,973 1,689 759 2,448 1,147 672 1,819 554 153 707 Table 8.31: Aggregate Borrowing of Qualifying Hedge Funds by Collateral to Borrowing Ratio ($ Billions) As reported on Form PF, Question 43. See the appendix for a review of interval notation used here. Borrowing Type Prime Broker Reverse Repo Other Secured Total Secured Ratio Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Dec 2022 379 85 1,187 413 642 173 305 126 152 1,126 1,244 1,091 Jan 2023 407 136 1,122 203 905 249 295 130 129 1,086 1,074 1,418 Feb 2023 463 101 1,195 355 747 264 290 118 131 1,196 1,197 1,270 Mar 2023 412 89 1,238 25 1,171 236 232 177 159 1,047 1,342 1,351 Apr 2023 432 266 1,011 61 1,099 266 200 169 142 1,023 1,274 1,349 May 2023 405 166 1,216 292 1,142 173 210 149 137 1,161 1,423 1,305 Jun 2023 447 337 1,087 339 1,028 266 260 125 161 1,295 1,220 1,534 Jul 2023 513 112 1,259 270 1,208 176 217 161 134 1,520 1,168 1,361 Aug 2023 454 132 1,243 297 1,157 252 219 167 131 1,254 1,352 1,446 Sep 2023 424 145 1,238 615 748 241 259 142 162 1,190 1,360 1,423 Oct 2023 436 134 1,221 391 1,192 93 111 245 135 1,190 1,442 1,326 Nov 2023 435 78 1,426 400 1,247 195 215 141 136 1,548 1,132 1,594 Dec 2023 569 114 1,392 100 1,450 215 326 52 169 1,281 1,382 1,725 Table 8.32: Number of Qualifying Hedge Funds by Collateral to Borrowing Ratio As reported on Form PF, Question 43. See the appendix for a review of interval notation used here. Borrowing Type Prime Broker Reverse Repo Other Secured Total Secured Ratio Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Less than 100% [100%,105%) More than 105% Dec 2022 113 160 440 60 104 162 182 73 254 266 216 691 Jan 2023 116 158 418 60 85 178 155 72 229 249 195 668 Feb 2023 110 166 425 68 80 172 153 66 228 250 196 670 Mar 2023 115 156 426 34 117 168 185 73 257 266 214 685 Apr 2023 122 157 420 47 113 167 151 75 238 246 223 670 48 May 2023 134 167 412 71 96 165 156 75 237 277 208 664 Jun 2023 132 168 412 61 104 162 179 83 258 287 219 679 Jul 2023 145 156 412 56 98 167 180 76 237 289 215 652 Aug 2023 145 152 412 59 97 163 186 74 229 291 204 659 Sep 2023 142 156 425 68 93 160 196 71 257 305 204 686 Oct 2023 149 150 402 47 106 161 168 73 242 288 205 655 Nov 2023 148 147 394 44 98 173 171 69 236 283 198 651 Dec 2023 159 139 390 35 102 180 189 67 255 306 201 662 Analytics Office Table 8.33: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Questions 46. 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 2021Q4 26.5 42.8 63.0 77.3 93.9 95.5 2022Q1 35.6 46.3 63.7 76.6 93.9 95.2 2022Q2 36.9 47.2 64.8 76.3 93.0 94.3 2022Q3 27.4 47.2 62.4 75.7 92.8 94.2 2022Q4 25.4 41.5 61.7 75.3 91.8 94.0 2023Q1 28.7 48.1 63.9 76.4 92.8 94.7 2023Q2 28.2 48.7 63.8 77.3 92.8 94.6 2023Q3 25.5 50.1 64.9 78.4 92.6 94.7 2023Q4 26.4 44.8 65.3 78.7 93.5 95.4 Table 8.34: Aggregate Borrowing by Creditor 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 2021Q4 65.3 33.9 0.7 0.2 2022Q1 63.7 35.4 0.9 0.0 2022Q2 63.9 35.4 0.7 0.0 2022Q3 65.0 33.8 1.1 0.0 2022Q4 63.7 35.3 1.0 0.1 2023Q1 63.1 36.0 0.8 0.0 2023Q2 63.5 35.8 0.7 0.0 2023Q3 62.4 37.0 0.6 0.1 2023Q4 61.1 38.4 0.5 0.0 Table 8.35: Aggregate Borrowing of Qualifying Hedge Funds Reporting Major Creditors, Bucketed by Number of Creditors to which the Fund Owes Five Percent or More of Net Assets ($ Billions) As reported on Form PF, Question 43 and 47. See the appendix for a review of interval notation used here. Creditors Reported None 1 2 3 4 [5,10) 10 or more 2021Q4 304 133 199 432 253 794 1,683 2022Q1 278 138 188 300 161 891 1,614 2022Q2 258 117 193 316 198 783 1,566 2022Q3 236 114 182 218 308 776 1,511 2022Q4 233 117 182 316 166 765 1,722 2023Q1 247 125 307 229 155 723 1,993 2023Q2 249 128 370 191 229 752 2,169 2023Q3 235 133 183 367 199 794 2,314 2023Q4 266 131 176 389 243 882 2,575 Table 8.36: Number of Qualifying Hedge Funds Reporting Major Creditors, Bucketed by Number of Creditors to which the Fund Owes Five Percent or More of Net Assets As reported on Form PF, Question 43 and 47. See the appendix for a review of interval notation used here. Creditors Reported None 1 2 3 4 [5,10) 10 or more 2021Q4 415 289 196 162 86 123 30 2022Q1 412 300 205 146 62 127 33 2022Q2 416 303 202 130 83 120 35 2022Q3 427 285 196 136 99 116 30 49 2022Q4 412 301 199 139 82 122 36 2023Q1 403 309 203 128 85 112 40 2023Q2 409 290 224 128 90 110 44 2023Q3 413 316 185 142 94 104 48 2023Q4 393 319 179 148 86 107 47 Analytics Office 8.9 Central Clearing Table 8.37: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Questions 9 and 39. Measure Percent of Funds Percent of NAV 2021Q4 15.7 14.1 2022Q1 15.9 14.7 2022Q2 14.2 13.6 2022Q3 13.5 13.2 50 2022Q4 12.9 12.3 2023Q1 12.8 12.5 2023Q2 14.0 13.2 2023Q3 14.1 13.2 2023Q4 13.8 13.3 Analytics Office 8.10 Value-at-Risk (“VaR”) Reporting Table 8.38: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Questions 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q4 677 267 201 201 55 1,397 2022Q1 684 267 210 202 52 1,410 2022Q2 652 274 193 181 52 1,409 2022Q3 693 283 186 220 50 1,348 2022Q4 650 279 181 181 53 1,425 2023Q1 624 270 181 167 47 1,423 2023Q2 646 283 181 171 51 1,445 2023Q3 637 284 173 169 51 1,463 2023Q4 628 284 172 159 51 1,479 Table 8.39: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q4 4,462 2,192 1,014 721 1,119 3,869 2022Q1 4,441 2,146 1,029 695 1,124 3,821 2022Q2 4,309 2,138 966 625 1,114 3,608 2022Q3 4,258 2,138 916 641 1,095 3,439 2022Q4 4,319 2,167 945 556 1,220 3,509 2023Q1 4,427 2,254 938 560 1,233 3,570 2023Q2 4,756 2,486 908 577 1,389 3,676 2023Q3 5,088 2,687 922 558 1,550 3,665 2023Q4 5,396 3,062 948 535 1,559 3,813 Table 8.40: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2021Q4 1,544 603 448 441 182 2,644 2022Q1 1,544 608 460 422 191 2,601 2022Q2 1,411 597 391 368 192 2,462 2022Q3 1,417 612 372 373 200 2,349 51 2022Q4 1,350 585 373 330 191 2,441 2023Q1 1,345 588 367 325 199 2,533 2023Q2 1,356 599 352 329 209 2,580 2023Q3 1,355 610 341 319 225 2,605 2023Q4 1,329 607 338 309 211 2,636 Analytics Office 8.11 Stress Testing and VaR Table 8.41: Number of Qualifying Hedge Fund Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2021Q4 561 478 116 919 2022Q1 570 479 114 931 2022Q2 580 465 72 944 2022Q3 588 458 105 890 2022Q4 577 466 73 959 2023Q1 555 469 69 954 2023Q2 576 467 70 978 2023Q3 568 466 69 997 2023Q4 552 480 76 999 Table 8.42: 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 2021Q4 4,071 1,555 391 2,314 2022Q1 4,100 1,548 341 2,273 2022Q2 4,075 1,450 234 2,158 2022Q3 3,994 1,384 264 2,056 2022Q4 4,092 1,398 227 2,111 2023Q1 4,207 1,386 221 2,185 2023Q2 4,515 1,427 241 2,248 2023Q3 4,772 1,408 316 2,257 2023Q4 5,125 1,486 272 2,327 Table 8.43: 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 2021Q4 1,282 922 261 1,722 2022Q1 1,296 904 248 1,697 2022Q2 1,267 850 144 1,612 2022Q3 1,259 821 159 1,527 52 2022Q4 1,212 843 138 1,598 2023Q1 1,209 860 136 1,673 2023Q2 1,219 872 137 1,708 2023Q3 1,219 879 136 1,726 2023Q4 1,172 913 156 1,723 Analytics Office 8.12 Stress Testing Table 8.44: Number of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q4 859 745 707 621 499 425 270 227 2022Q1 875 765 721 649 530 443 291 252 2022Q2 863 770 735 656 526 455 287 252 2022Q3 858 777 734 655 523 451 286 247 2022Q4 856 767 732 656 524 447 288 253 2023Q1 838 750 717 654 511 429 295 258 2023Q2 856 770 733 662 525 440 294 260 2023Q3 843 757 718 652 502 425 276 247 2023Q4 853 752 721 665 511 428 286 265 Table 8.45: Aggregate GAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 8 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q4 5,037 4,522 4,753 4,230 3,713 3,742 1,134 899 2022Q1 5,079 4,554 4,862 4,351 3,796 3,846 1,184 970 2022Q2 5,077 4,481 4,799 4,333 3,787 3,975 1,123 936 2022Q3 4,933 4,384 4,699 4,218 3,707 3,867 1,139 901 2022Q4 5,054 4,512 4,801 4,345 3,842 4,002 1,102 938 2023Q1 5,170 4,601 4,874 4,470 3,864 4,078 1,124 1,093 2023Q2 5,510 4,903 5,196 4,760 4,414 4,372 1,240 1,224 2023Q3 5,739 5,137 5,428 4,966 4,578 4,625 1,178 1,122 2023Q4 6,193 5,509 5,843 5,436 5,019 5,027 1,404 1,347 Table 8.46: Aggregate NAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2021Q4 1,967 1,650 1,594 1,380 1,128 1,108 467 374 2022Q1 1,962 1,686 1,648 1,453 1,192 1,151 504 422 2022Q2 1,887 1,631 1,622 1,441 1,176 1,169 484 409 2022Q3 1,851 1,626 1,618 1,436 1,166 1,159 471 382 53 2022Q4 1,826 1,583 1,586 1,408 1,140 1,115 427 390 2023Q1 1,839 1,594 1,586 1,429 1,117 1,123 436 401 2023Q2 1,862 1,589 1,600 1,440 1,185 1,138 438 408 2023Q3 1,852 1,594 1,593 1,431 1,153 1,132 405 371 2023Q4 1,851 1,579 1,581 1,438 1,171 1,119 421 400 Analytics Office Table 8.47: Number of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q4 1,035 223 130 84 102 127 165 79 129 2022Q1 1,045 212 129 83 100 126 167 81 151 2022Q2 1,016 208 126 80 99 131 168 79 154 2022Q3 995 208 128 78 107 127 166 82 150 2022Q4 1,032 206 129 81 100 128 167 82 150 2023Q1 1,023 207 123 81 94 126 158 78 157 2023Q2 1,048 206 123 82 101 134 164 80 153 2023Q3 1,066 209 127 89 101 126 164 72 146 2023Q4 1,075 212 114 85 105 120 165 72 159 Table 8.48: Aggregate GAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q4 2,706 485 618 314 348 747 2,159 348 606 2022Q1 2,615 432 568 306 344 871 2,123 341 662 2022Q2 2,392 412 431 279 417 811 2,193 335 647 2022Q3 2,320 385 407 267 464 738 2,127 373 616 2022Q4 2,338 374 406 297 394 778 2,263 346 632 2023Q1 2,405 377 412 308 404 809 2,124 527 632 2023Q2 2,490 385 426 331 406 627 2,458 583 724 2023Q3 2,573 397 435 327 414 663 2,708 586 651 2023Q4 2,599 423 386 331 445 648 2,927 599 852 Table 8.49: Aggregate NAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2021Q4 1,984 319 312 215 184 291 502 169 212 2022Q1 1,946 276 294 212 182 302 509 174 252 2022Q2 1,756 255 269 190 169 281 543 160 249 2022Q3 1,686 234 259 183 191 267 544 169 233 54 2022Q4 1,735 241 256 206 175 264 540 142 232 2023Q1 1,809 246 258 212 168 281 517 149 238 2023Q2 1,845 246 259 217 158 272 553 148 237 2023Q3 1,862 259 270 226 153 274 559 139 218 2023Q4 1,879 262 259 217 165 241 566 139 237 Analytics Office 9 Section 3 Liquidity Fund Specific Information 9.1 Liquidity Table 9.1: Investor Liquidity for Section 3 Liquidity Funds (Percent of Aggregate Section 3 Liquidity Fund NAV) As reported on Form PF, Questions 9 and 62. Reported percentages over 100% are taken as 100%. 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 2021Q4 68.9 92.4 96.6 97.8 99.0 99.8 2022Q1 69.5 91.6 96.0 97.9 99.5 99.8 2022Q2 66.4 91.8 96.5 98.5 99.6 99.8 2022Q3 68.1 92.7 97.2 98.5 99.5 99.6 2022Q4 70.7 93.1 97.2 98.3 99.5 99.7 2023Q1 71.1 92.9 97.3 98.2 99.3 99.7 2023Q2 71.0 92.6 97.0 97.9 99.1 99.8 2023Q3 68.7 92.9 97.0 98.0 98.9 99.8 2023Q4 68.0 93.3 97.3 97.9 98.8 99.8 Table 9.2: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 61 Type May Suspend May Have Gates Suspended Gated 9.2 2021Q4 291 260 0 0 2022Q1 290 261 0 0 2022Q2 310 281 0 0 2022Q3 313 281 0 0 2022Q4 302 275 0 0 2023Q1 294 266 0 0 2023Q2 301 274 0 0 2023Q3 331 299 0 0 2023Q4 334 303 *** *** Portfolio Characteristics Table 9.3: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) As reported on Form PF, Questions 55(d). Statistic Average WAM Asset-Weighted WAM Dec 2022 26.7 25.4 Jan 2023 29.1 26.1 Feb 2023 27.7 29.0 Mar 2023 25.9 24.4 Apr 2023 28.1 24.1 May 2023 29.5 26.2 Jun 2023 29.8 30.0 Jul 2023 29.3 29.9 Aug 2023 28.1 34.3 Sep 2023 29.9 35.5 Oct 2023 33.1 38.2 Nov 2023 34.5 42.3 Dec 2023 35.1 44.5 Table 9.4: Weighted-Average Life of Section 3 Liquidity Funds (Days) As reported on Form PF, Questions 55(e). Statistic Average WAL Asset-Weighted WAL Dec 2022 45.6 46.6 Jan 2023 47.2 45.6 Feb 2023 44.4 46.4 Mar 2023 42.8 42.4 Apr 2023 45.7 41.6 May 2023 47.9 45.4 Jun 2023 46.7 49.6 Jul 2023 47.3 52.4 Aug 2023 45.6 54.7 Sep 2023 44.7 54.7 Oct 2023 41.7 52.4 Nov 2023 48.5 59.3 Dec 2023 44.2 56.1 Table 9.5: Seven-Day Gross Yield of Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(f). Statistic Average Gross Yield Asset-Weighted Gross Yield Dec 2022 3.6 3.9 Jan 2023 4.3 4.1 Feb 2023 4.6 4.3 Mar 2023 4.7 4.5 Apr 2023 4.8 4.6 55 May 2023 5.0 4.8 Jun 2023 5.1 4.9 Jul 2023 5.2 5.0 Aug 2023 5.5 5.2 Sep 2023 5.5 5.3 Oct 2023 5.4 5.3 Nov 2023 5.5 5.3 Dec 2023 5.2 5.3 Analytics Office Table 9.6: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(g). Ratios are capped at 100%. Statistic Average DLA Asset-Weighted DLA Dec 2022 51.2 51.7 Jan 2023 51.0 53.1 Feb 2023 52.1 55.0 Mar 2023 53.2 58.9 Apr 2023 53.5 58.1 May 2023 52.8 57.7 Jun 2023 52.1 52.3 Jul 2023 54.4 56.4 Aug 2023 54.6 53.9 Sep 2023 53.1 52.4 Oct 2023 51.4 52.1 Nov 2023 53.1 49.7 Dec 2023 51.4 46.8 Table 9.7: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) As reported on Form PF, Questions 55(h). Ratios are capped at 100%. Statistic Average WLA Asset-Weighted WLA Dec 2022 61.6 66.8 Jan 2023 61.0 68.2 Feb 2023 60.8 67.8 Mar 2023 63.4 71.3 Apr 2023 63.4 73.0 May 2023 60.9 69.0 56 Jun 2023 61.0 64.8 Jul 2023 63.0 67.8 Aug 2023 62.4 64.8 Sep 2023 60.9 62.0 Oct 2023 58.7 62.0 Nov 2023 60.2 58.4 Dec 2023 59.4 60.2 Analytics Office 9.3 Rule 2a-7 Compliance Table 9.8: Rule 2a-7 Compliance (Percent of Section 3 Liquidity Funds) Question 54 Type None Credit Quality Maturity Diversification Liquidity Fully 2021Q4 51.8 48.2 44.6 44.6 41.1 37.5 2022Q1 51.9 48.1 44.4 44.4 40.7 37.0 2022Q2 53.8 46.2 42.3 42.3 36.5 34.6 2022Q3 52.9 47.1 39.2 43.1 37.3 35.3 2022Q4 52.0 48.0 44.0 44.0 38.0 36.0 2023Q1 52.0 48.0 44.0 44.0 38.0 36.0 2023Q2 52.0 48.0 44.0 44.0 38.0 36.0 2023Q3 52.0 48.0 44.0 44.0 38.0 36.0 2023Q4 52.9 47.1 43.1 43.1 37.3 35.3 Table 9.9: Rule 2a-7 Compliance (Percent of Section 3 Liquidity Fund Aggregate NAV) Questions 9 and 54 Type None Credit Quality Maturity Diversification Liquidity Fully 9.4 2021Q4 82.1 17.9 16.5 16.5 16.3 14.2 2022Q1 81.3 18.7 17.2 17.2 17.0 15.0 2022Q2 83.9 16.1 14.6 14.6 13.4 12.5 2022Q3 84.3 15.7 14.3 14.4 13.2 12.3 2022Q4 84.1 15.9 14.6 14.6 13.3 12.7 2023Q1 83.6 16.4 15.1 15.1 13.7 12.9 2023Q2 84.2 15.8 14.5 14.5 13.2 12.5 2023Q3 85.2 14.8 13.7 13.7 12.5 11.8 2023Q4 86.0 14.0 13.0 13.0 11.8 11.2 Methods of Calculating NAV Table 9.10: NAV Calculation Method (Percent of Section 3 Liquidity Funds) Questions 52 and 53 Type Stable Floating 2021Q4 75.0 25.0 2022Q1 74.1 25.9 2022Q2 71.2 28.8 2022Q3 64.7 35.3 2022Q4 72.0 28.0 2023Q1 72.0 28.0 2023Q2 72.0 28.0 2023Q3 72.0 28.0 2023Q4 70.6 29.4 Table 9.11: NAV Calculation Method (Percent of Section 3 Liquidity Fund Aggregate NAV) Questions 9, 52, and 53 Type Stable Floating 2021Q4 64.4 35.6 2022Q1 67.2 32.8 2022Q2 61.2 38.8 2022Q3 62.1 37.9 2022Q4 65.9 34.1 57 2023Q1 68.8 31.2 2023Q2 69.1 30.9 2023Q3 63.6 36.4 2023Q4 66.1 33.9 Analytics Office 9.5 Aggregate Portfolio Holdings7 Table 9.12: Aggregate Product Exposures of Section 3 Liquidity Funds ($Billions) As reported on Form PF, Question 63 Investment Type U.S. Treasuries Deposits Repo - Govt. Collateral Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt Dec 2022 49.7 70.4 84.2 52.9 17.9 18.6 9.7 8.7 0.8 Jan 2023 43.0 78.3 82.0 52.7 13.8 19.2 7.7 7.7 0.7 Feb 2023 47.5 78.0 84.3 47.6 10.1 20.1 9.4 7.5 0.7 Mar 2023 32.7 69.4 103.7 45.1 14.5 16.9 10.9 13.9 0.7 Apr 2023 25.6 75.3 105.4 47.8 21.8 17.7 11.2 13.1 1.0 May 2023 27.2 81.7 104.9 47.0 15.3 17.8 10.0 10.7 1.0 Jun 2023 58.5 75.3 75.3 47.7 21.0 18.2 11.1 6.3 0.9 Jul 2023 53.4 81.9 82.4 45.6 14.5 19.1 12.1 5.4 0.6 Aug 2023 78.6 86.3 71.3 43.4 17.1 19.6 10.7 4.0 0.1 Sep 2023 81.3 76.0 75.1 48.4 23.1 24.3 9.5 4.0 0.1 Oct 2023 84.8 87.4 66.5 46.6 19.6 18.9 12.2 4.0 0.6 Nov 2023 96.6 87.2 61.7 47.8 21.1 19.5 12.3 4.2 0.6 Dec 2023 96.4 78.6 64.8 47.0 22.4 18.6 13.9 4.1 0.6 7 Note that prior to 2016Q2, portfolio holdings were reported on a quarterly, rather than monthly, frequency. For more information see Release No. 33-9616. 58 Analytics Office 10 Section 4 Private Equity Fund Specific Information 10.1 Portfolio Company Industry Concentration Table 10.1: Gross Assets, by Portfolio Company Industry (Percent of Total Section 4 Private Equity Fund GAV) As reported on Form PF, Questions 8 and 77. Industry Software Publishers Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Offices of Physicians Consumer Lending Lessors of Nonresidential Buildings Engineering Services Other Activities Related to Real... Full-Service Restaurants Offices of Other Holding Companies Natural Gas Distribution Commercial Banking Hotels and Motels Home Health Care Services Real Estate Credit Lessors of Residential Buildings... Marketing Research and Public... Offices of Dentists Supermarkets and Other Grocery... 2013Q4 2.8 2.9 0.4 0.9 0.9 0.4 0.5 0.4 0.2 0.3 0.8 0.3 0.4 0.5 0.3 0.5 1.8 0.7 0.4 0.5 0.3 0.2 0.2 0.8 2014Q4 3.8 2.3 0.4 1.0 1.0 0.6 0.8 0.4 0.2 0.6 0.8 0.2 0.5 0.9 0.3 0.4 1.1 0.7 0.3 0.4 0.4 0.2 0.2 0.5 2015Q4 4.9 1.8 0.6 1.5 1.0 0.6 0.6 0.5 0.3 0.8 0.8 0.4 0.3 0.7 0.6 0.6 0.9 0.6 0.3 0.9 0.4 0.2 0.2 0.5 2016Q4 6.1 2.0 1.8 1.5 1.2 0.9 1.0 0.9 0.4 0.9 0.7 0.3 0.4 0.5 0.3 0.7 0.8 0.7 0.3 0.6 0.4 0.2 0.2 0.5 59 2017Q4 6.0 2.3 1.6 1.5 1.1 0.8 0.8 0.9 0.3 0.8 0.7 0.3 0.4 0.5 0.4 1.0 0.7 0.4 0.3 0.5 0.3 0.2 0.3 0.3 2018Q4 8.0 3.5 1.3 1.8 1.0 1.4 0.6 1.0 0.3 0.6 0.6 0.3 0.3 0.3 0.5 1.0 0.3 0.2 0.4 0.4 0.3 0.1 0.3 0.3 2019Q4 10.6 4.2 1.2 2.1 1.1 1.4 0.6 0.8 0.5 0.6 1.1 0.3 0.3 0.4 0.4 0.7 0.3 0.4 0.5 0.4 0.3 0.2 0.3 0.2 2020Q4 9.7 3.6 1.8 1.9 1.5 1.9 1.0 1.2 0.5 0.7 0.6 0.3 0.3 0.3 0.4 0.8 0.4 0.4 0.6 0.4 0.2 0.2 0.3 0.2 2021Q4 11.7 3.4 2.2 2.5 1.7 1.4 1.6 1.5 0.7 0.6 0.4 0.4 0.4 0.2 0.4 0.6 0.4 0.4 0.4 0.2 0.3 0.2 0.3 0.2 2022Q4 12.0 4.2 2.9 2.8 1.8 1.4 1.1 1.0 0.7 0.5 0.5 0.7 0.6 0.4 0.4 0.6 0.5 0.5 0.4 0.1 0.2 0.2 0.3 0.2 2023Q4 12.8 3.9 2.5 2.3 2.2 1.2 1.2 1.0 0.7 0.6 0.6 0.5 0.5 0.5 0.4 0.4 0.4 0.4 0.4 0.3 0.2 0.2 0.2 0.2 Analytics Office Table 10.2: Number of Section 4 Private Equity Funds Reporting Investments in Portfolio Companies, by Industry As reported on Form PF, Question 77. Industry Software Publishers Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Offices of Physicians Consumer Lending Lessors of Nonresidential Buildings Engineering Services Other Activities Related to Real... Full-Service Restaurants Offices of Other Holding Companies Natural Gas Distribution Commercial Banking Hotels and Motels Home Health Care Services Real Estate Credit Lessors of Residential Buildings... Marketing Research and Public... Offices of Dentists Supermarkets and Other Grocery... 2013Q4 209 173 56 82 93 73 62 63 42 53 37 46 29 68 29 31 87 30 58 33 16 19 22 20 2014Q4 247 199 52 98 102 112 63 68 54 60 38 42 36 78 22 29 83 46 52 32 20 22 29 42 2015Q4 315 229 67 130 110 123 90 93 64 92 44 55 33 102 28 33 75 55 58 31 25 21 34 32 2016Q4 319 257 123 148 136 157 111 127 78 112 38 52 43 114 59 33 78 79 55 38 28 28 38 41 60 2017Q4 408 328 154 153 163 159 140 138 114 109 34 75 53 98 61 46 87 64 78 29 22 29 60 47 2018Q4 510 423 196 275 204 213 147 213 177 116 38 64 122 146 73 95 88 69 124 50 17 43 77 51 2019Q4 606 454 262 360 260 238 146 228 204 142 50 68 133 177 67 43 100 82 118 50 24 53 80 34 2020Q4 731 493 266 428 336 276 193 228 198 143 45 77 92 120 94 39 84 77 173 42 35 63 112 57 2021Q4 1,101 579 352 610 388 297 282 351 283 166 23 137 150 166 126 50 106 79 216 45 54 58 138 79 2022Q4 1,271 846 436 764 480 383 320 360 347 174 39 186 220 173 150 69 115 116 267 46 56 66 157 113 2023Q4 1,424 935 467 805 578 439 379 388 367 221 69 227 189 183 147 64 132 133 261 67 51 80 177 140 Analytics Office 10.2 CPC Financial Leverage Table 10.3: Ratio of CPC Current Liabilities to Total Liabilities (Percent) Questions 71 and 72. Statistic 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 1.8 5.7 19.6 49.0 17.0 2014Q4 1.4 5.3 17.9 50.0 16.2 2015Q4 1.7 6.0 20.0 49.9 16.7 2016Q4 1.9 6.9 20.7 54.3 17.5 2017Q4 2.1 7.3 21.5 51.8 17.7 2018Q4 1.5 6.0 17.8 49.3 15.4 2019Q4 1.3 5.2 16.8 48.8 15.5 2020Q4 1.4 5.9 18.2 47.0 16.0 2021Q4 1.1 4.6 16.4 40.6 14.4 2022Q4 1.3 5.5 18.3 48.1 15.7 2023Q4 1.4 5.3 16.8 39.5 14.3 Table 10.4: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) Question 73. Statistic 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 4.0 9.0 18.0 33.0 14.8 2014Q4 3.0 8.0 22.0 40.0 16.8 2015Q4 4.0 9.0 22.0 48.0 18.3 2016Q4 4.0 9.0 22.0 48.6 18.6 2017Q4 3.0 8.0 17.0 42.0 16.5 61 2018Q4 3.0 9.0 22.2 57.0 19.5 2019Q4 4.0 11.0 27.0 61.4 21.8 2020Q4 4.0 11.0 32.0 65.0 23.1 2021Q4 4.0 9.0 31.0 88.0 24.2 2022Q4 4.0 11.0 30.0 66.0 22.8 2023Q4 4.0 11.0 27.0 63.0 21.3 Analytics Office 10.3 CPC Debt-to-Equity Ratios Table 10.5: Number of Section 4 Private Equity Funds by Debt-to-Equity Ratio of CPCs As reported on Form PF Question 67, 68, and 69. See the appendix for a review of interval notation used here. Ratio Type Weighted Average High Low Ratio Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more 2013Q4 94 1,342 345 258 193 0 1,223 322 333 354 153 1,639 185 142 113 2014Q4 100 1,474 347 293 201 0 1,371 282 358 404 213 1,746 198 136 122 2015Q4 123 1,744 365 263 246 0 1,653 336 332 420 217 2,065 190 129 140 2016Q4 119 2,015 371 247 249 0 1,891 349 332 429 216 2,329 196 120 140 2017Q4 144 2,351 449 259 278 0 2,208 432 380 461 249 2,691 238 134 169 2018Q4 153 2,635 523 344 280 0 2,516 465 458 496 271 3,060 251 188 165 2019Q4 143 2,925 592 409 325 0 2,777 489 550 578 272 3,428 311 199 184 2020Q4 189 3,682 594 421 381 0 3,469 573 595 630 351 4,165 324 237 190 2021Q4 258 4,713 669 478 430 0 4,503 686 616 743 492 5,210 359 238 249 2022Q4 239 5,367 751 614 516 0 5,127 705 783 872 513 5,945 423 289 317 2023Q4 329 6,180 851 603 590 0 5,886 828 808 1,031 630 6,742 461 339 381 Table 10.6: CPC Gross Assets of Section 4 Private Equity Funds by Debtto-Equity Ratio of CPCs As reported on Form PF Question 67, 68, 69, and 70. See the appendix for a review of interval notation used here. Ratio Type Weighted Average High Low Ratio Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more Less than zero [0,1) [1,2) [2,5) 5 or more 2013Q4 1,178 1,523 1,373 1,542 1,704 0 924 966 1,637 3,795 1,533 4,396 426 630 337 2014Q4 451 1,817 1,512 1,585 1,054 0 870 609 1,915 3,023 1,498 3,847 350 509 213 2015Q4 451 1,858 1,315 1,165 854 0 996 933 1,229 2,486 879 3,870 471 252 173 2016Q4 262 1,798 1,771 831 736 0 878 1,172 1,311 2,038 715 3,650 543 245 244 62 2017Q4 309 1,794 2,126 811 577 0 882 1,219 1,562 1,952 921 3,730 525 229 210 2018Q4 404 2,104 1,875 1,015 774 0 859 1,224 1,798 2,291 925 4,133 486 375 253 2019Q4 392 2,250 2,581 1,357 1,013 0 1,168 1,239 2,308 2,878 1,031 4,988 704 407 462 2020Q4 218 4,144 2,612 1,568 1,707 0 1,652 1,608 2,932 4,057 1,116 7,284 738 447 665 2021Q4 463 5,040 2,739 3,340 3,222 0 2,998 2,109 2,641 7,056 3,676 9,121 757 582 667 2022Q4 402 5,515 3,933 3,503 2,854 0 3,029 2,272 4,100 6,806 3,465 9,900 1,265 702 876 2023Q4 820 6,495 3,663 2,980 1,841 0 3,470 2,553 4,189 5,588 4,391 8,864 1,150 774 619 Analytics Office 10.4 CPC Investments by Region and Country8 Table 10.7: Aggregate Gross Asset Value of Private Equity CPC Investments by Region ($ Bill [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Abd0d6e965ebe072b. Public record. Not legal advice.