# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ac1f1ec4e54a6875f ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Risk and Examinations Office Private Funds Statistics First Calendar Quarter 2017 October 23, 2017 This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office (REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. October 23, 2017 Risk and Examinations Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings.1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from Second Calendar Quarter 2015 through First Calendar Quarter 2017 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about First Calendar Quarter 2017 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First Calendar Quarter 2017-Private Funds Statistics”. 1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis. 1 October 23, 2017 Risk and Examinations Office Contents I II Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 29 31 33 34 35 37 39 40 41 X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 42 42 44 44 2 October 23, 2017 Risk and Examinations Office E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 46 46 47 48 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 50 50 50 51 51 51 52 52 53 XI 3 October 23, 2017 I Risk and Examinations Office Number of Funds and Advisers3 Table 1: Number of Funds The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2015Q2 8,332 8,845 4,201 2,388 1,801 1,589 1,347 506 68 42 25,100 2015Q3 8,250 8,903 4,198 2,362 1,806 1,622 1,349 508 67 40 25,081 2015Q4 9,638 8,769 4,128 2,733 2,056 1,637 1,406 636 65 41 26,698 2016Q1 9,700 8,897 4,099 2,739 2,093 1,594 1,421 635 64 36 26,909 2016Q2 9,711 8,905 4,125 2,741 2,091 1,603 1,418 646 66 37 26,962 2016Q3 9,738 8,964 4,117 2,746 2,108 1,614 1,417 651 67 36 27,062 2016Q4 10,332 8,883 4,427 3,000 2,424 1,647 1,451 754 69 44 28,340 2017Q1 10,350 9,036 4,448 3,004 2,422 1,667 1,463 752 70 45 28,541 Table 2: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2015Q2 924 1,666 558 208 264 527 154 85 35 22 2,724 2015Q3 923 1,664 557 208 265 536 154 86 34 21 2,720 2015Q4 1,015 1,686 570 241 288 534 155 97 37 21 2,828 2016Q1 1,017 1,689 561 242 290 524 157 97 37 19 2,829 2016Q2 1,017 1,683 564 242 288 524 156 98 37 19 2,824 2016Q3 1,016 1,679 565 242 290 514 154 100 37 19 2,820 2016Q4 1,081 1,677 574 247 305 530 149 108 39 24 2,888 2017Q1 1,084 1,676 571 249 307 525 151 108 39 24 2,890 3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized terms used in this report. 4 October 23, 2017 Risk and Examinations Office II Gross and Net Assets A Aggregate Assets by Fund Type over Time Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q2 6,213 5,144 1,884 1,350 984 384 352 265 263 39 10,121 2015Q3 6,109 5,061 1,844 1,336 974 382 353 274 267 39 9,976 2015Q4 5,944 4,865 2,057 1,471 978 416 397 286 283 55 10,132 2016Q1 6,043 4,876 2,058 1,472 974 420 405 273 247 55 10,227 2016Q2 6,204 4,980 2,060 1,472 979 420 405 287 258 56 10,411 2016Q3 6,327 5,110 2,062 1,472 983 420 407 292 249 55 10,546 2016Q4 6,259 5,074 2,312 1,644 1,066 448 434 293 274 62 10,874 2017Q1 6,537 5,331 2,320 1,648 1,076 449 434 282 267 62 11,161 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q2 3,564 2,842 1,742 1,272 880 116 280 264 262 37 6,883 2015Q3 3,452 2,737 1,704 1,258 871 116 281 274 267 37 6,734 2015Q4 3,429 2,711 1,882 1,376 876 135 319 285 282 52 6,978 5 2016Q1 3,379 2,629 1,881 1,377 873 138 323 272 246 52 6,918 2016Q2 3,408 2,644 1,883 1,377 878 138 323 285 256 53 6,967 2016Q3 3,465 2,710 1,884 1,377 883 140 324 290 247 52 7,039 2016Q4 3,461 2,715 2,068 1,492 973 141 339 292 273 59 7,335 2017Q1 3,578 2,800 2,077 1,496 983 141 340 281 265 59 7,460 October 23, 2017 Risk and Examinations Office Figure 1: GAV and NAV Distributions As reported on Form PF, Questions 8 and 9. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Qualifying Hedge Fund GAV ($ Billions) 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.1 0.1 0.1 0.1 0.1 0.1 0.6 0.5 0.5 0.5 0.5 0.5 1.3 1.2 1.1 1.2 1.2 1.2 2.8 2.7 2.6 2.6 2.6 2.6 6.5 6.2 5.7 5.8 5.7 5.8 3.2 3.1 3.0 3.1 3.1 3.2 Qualifying Hedge Fund NAV ($ Billions) 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 0.9 0.9 0.8 0.9 0.9 0.9 1.9 1.8 1.8 1.7 1.7 1.7 4.1 3.8 3.7 3.7 3.7 3.7 1.8 1.7 1.7 1.6 1.6 1.7 Section 4 Private Equity Fund GAV ($ Billions) 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 1.5 1.5 1.3 1.3 1.3 1.3 0.6 0.6 0.5 0.5 0.5 0.5 Section 4 Private Equity Fund NAV ($ Billions) 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.3 0.4 0.4 1.4 1.4 1.2 1.2 1.2 1.2 0.5 0.5 0.5 0.5 0.5 0.5 6 2016Q4 0.1 0.5 1.1 2.5 5.9 3.1 2017Q1 0.1 0.5 1.2 2.5 5.9 3.2 2016Q4 0.1 0.4 0.8 1.7 3.6 1.6 2017Q1 0.1 0.4 0.8 1.7 3.7 1.7 2016Q4 0.0 0.0 0.1 0.4 1.3 0.5 2017Q1 0.0 0.0 0.1 0.4 1.3 0.5 2016Q4 0.0 0.0 0.1 0.4 1.2 0.5 2017Q1 0.0 0.0 0.1 0.4 1.2 0.5 October 23, 2017 Risk and Examinations Office Figure 2: Ratio of GAV to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 1.0 1.0 1.0 1.1 2.0 1.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 1.0 1.0 1.2 1.6 2.6 1.6 All Private Funds 2015Q3 2015Q4 2016Q1 2016Q2 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.9 1.9 1.9 1.9 1.5 1.6 1.6 1.6 Qualifying Hedge Funds 2015Q3 2015Q4 2016Q1 2016Q2 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.6 1.7 1.6 1.6 2.5 2.4 2.5 2.5 1.6 1.6 1.5 1.6 7 2016Q3 1.0 1.0 1.0 1.1 1.9 1.6 2016Q4 1.0 1.0 1.0 1.2 2.0 1.6 2017Q1 1.0 1.0 1.0 1.2 2.0 1.6 2016Q3 1.0 1.0 1.2 1.6 2.6 1.6 2016Q4 1.0 1.0 1.2 1.6 2.5 1.6 2017Q1 1.0 1.0 1.1 1.6 2.6 1.6 October 23, 2017 B Risk and Examinations Office Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2015Q2 46.5 37.3 34.8 13.3 4.0 2.3 2.8 0.6 0.0 0.0 2015Q3 46.3 37.7 35.2 13.3 4.0 2.3 2.8 0.6 0.0 0.0 2015Q4 50.7 36.8 34.5 13.3 4.8 3.4 2.3 0.4 0.0 0.0 2016Q1 48.9 38.0 35.9 13.4 4.8 3.4 2.2 0.4 0.0 0.0 2016Q2 48.7 37.0 35.3 13.4 4.9 3.4 2.2 0.4 0.0 0.0 2016Q3 48.4 38.6 37.0 13.3 4.9 3.4 2.1 0.4 0.0 0.0 2016Q4 50.7 38.3 36.1 14.0 5.1 4.0 2.8 0.4 0.0 0.0 2017Q1 49.5 39.5 37.1 12.9 5.0 4.0 2.7 0.4 0.0 0.0 Figure 3: Distribution of Total Borrowings As reported on Form PF, Questions 12 and 43. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.0 0.0 0.2 0.6 0.4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.1 0.3 1.2 3.4 1.8 All Private Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 0.4 0.4 0.4 0.4 0.4 Qualifying Hedge Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 1.1 1.1 1.0 1.1 1.0 3.3 3.0 3.1 2.8 3.1 1.8 1.7 1.7 1.8 1.9 8 2016Q4 0.0 0.0 0.0 0.2 0.6 0.4 2017Q1 0.0 0.0 0.0 0.2 0.6 0.4 2016Q4 0.0 0.1 0.3 1.0 3.1 1.8 2017Q1 0.0 0.1 0.3 1.1 3.2 2.0 October 23, 2017 Risk and Examinations Office Figure 4: Ratio of Borrowings to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.0 0.2 0.9 2.9 1.4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.1 0.4 0.9 2.1 0.8 All Private Funds 2015Q3 2015Q4 2016Q1 2016Q2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.9 0.8 0.8 0.8 2.8 3.0 2.8 3.0 1.4 1.8 1.8 1.7 Qualifying Hedge Funds 2015Q3 2015Q4 2016Q1 2016Q2 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.4 0.4 0.3 0.4 0.9 0.9 0.9 0.9 1.9 1.8 1.8 1.9 0.8 0.7 0.7 0.7 9 2016Q3 0.0 0.0 0.2 0.8 3.0 1.8 2016Q4 0.0 0.0 0.2 0.9 3.6 1.8 2017Q1 0.0 0.0 0.2 0.9 3.8 1.8 2016Q3 0.0 0.1 0.4 0.9 1.9 0.8 2016Q4 0.0 0.1 0.3 0.9 1.9 0.7 2017Q1 0.0 0.1 0.4 0.9 2.1 0.8 October 23, 2017 C Risk and Examinations Office Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2015Q2 2,265 2,327 2,161 1,222 2015Q3 2,208 2,333 2,144 1,208 2015Q4 2,675 2,433 2,337 1,712 2016Q1 2,408 2,123 2,265 1,543 2016Q2 2,392 2,054 2,258 1,501 2016Q3 2,412 2,046 2,256 1,500 2016Q4 2,802 2,518 2,588 1,928 2017Q1 2,510 2,176 2,507 1,647 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2015Q2 543 476 79 536 2015Q3 534 483 89 524 2015Q4 564 329 110 461 2016Q1 604 471 111 640 10 2016Q2 617 419 107 662 2016Q3 614 422 106 663 2016Q4 441 404 142 441 2017Q1 586 449 136 636 October 23, 2017 D Risk and Examinations Office Parallel Managed Accounts4 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q2 701 391 210 245 63 51 *** 17 15 *** 1,405 2015Q3 708 386 208 245 63 51 *** 15 12 *** 1,403 2015Q4 697 409 249 245 82 49 *** 14 13 *** 1,453 2016Q1 691 411 249 232 82 52 *** 16 15 *** 1,454 2016Q2 694 409 249 235 82 52 *** 14 14 *** 1,453 2016Q3 689 412 248 231 82 52 *** 15 15 *** 1,451 2016Q4 657 484 237 231 88 77 *** 15 15 *** 1,510 2017Q1 645 499 238 222 88 77 *** 16 16 *** 1,515 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2015Q2 697 1,411 94 528 16 11 *** 347 343 *** 2,658 2015Q3 664 1,399 94 489 16 11 *** 278 271 *** 2,543 2015Q4 654 1,329 96 477 19 10 *** 250 245 *** 2,495 2016Q1 612 1,325 96 437 19 11 *** 321 316 *** 2,521 2016Q2 597 1,307 96 416 19 11 *** 305 305 *** 2,472 2016Q3 598 1,361 96 436 19 11 *** 312 312 *** 2,533 2016Q4 576 1,491 29 410 22 6 *** 309 309 *** 2,592 2017Q1 597 1,529 29 425 22 6 *** 333 333 *** 2,675 4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11 October 23, 2017 Risk and Examinations Office Figure 5: Parallel Managed Account Value Distributions As reported on Form PF, Question 11. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.0 0.2 0.9 4.0 1.9 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.1 0.1 0.4 1.5 3.6 2.2 All Private Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 1.0 0.9 0.9 0.9 0.9 4.0 3.6 3.5 3.4 3.5 1.8 1.7 1.7 1.7 1.7 Qualifying Hedge Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.4 0.4 0.3 0.4 1.4 1.3 1.2 1.2 1.4 3.4 3.0 2.8 2.9 3.4 2.0 1.9 1.9 1.8 1.9 12 2016Q4 0.0 0.0 0.2 0.8 3.4 1.7 2017Q1 0.0 0.0 0.2 0.9 3.5 1.8 2016Q4 0.1 0.2 0.4 1.3 3.2 1.8 2017Q1 0.1 0.2 0.5 1.6 3.4 1.9 October 23, 2017 III Risk and Examinations Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Virgin Islands, British Luxembourg Bermuda United Kingdom Other Country Cayman Islands United States Virgin Islands, British Ireland Bermuda Luxembourg Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Bermuda Canada Other All Private Funds 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 49.6 49.6 50.3 51.0 50.9 37.9 37.9 37.7 37.2 37.2 4.6 4.6 3.9 3.8 3.9 2.6 2.5 2.2 2.2 2.2 1.2 1.2 1.3 1.4 1.5 1.2 1.3 1.3 1.3 1.3 1.0 1.1 1.0 1.1 1.1 1.9 1.9 2.2 2.1 2.1 Qualifying Hedge Funds 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 55.5 55.5 55.6 54.5 54.4 31.8 31.8 32.2 33.0 33.4 5.8 5.7 5.1 5.4 5.4 2.4 2.5 2.5 2.6 2.6 1.4 1.5 1.5 1.4 1.4 1.2 1.2 1.2 1.2 1.2 1.8 1.9 1.9 1.8 1.7 Section 3 Liquidity Funds 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 *** *** *** *** *** 32.1 32.2 35.0 36.5 34.2 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 63.5 63.2 62.3 62.3 62.3 30.6 30.9 30.0 30.0 30.0 2.4 2.4 2.5 2.6 2.6 1.0 1.0 1.3 1.3 1.3 1.3 1.3 1.2 1.2 1.2 1.2 1.2 2.6 2.6 2.6 13 2016Q3 51.0 37.0 3.9 2.2 1.5 1.3 1.1 2.1 2016Q4 51.4 36.3 4.3 2.1 1.4 1.3 1.1 2.1 2017Q1 51.5 36.4 4.2 2.1 1.5 1.3 1.1 2.0 2016Q3 53.6 34.0 5.3 2.6 1.4 1.3 1.7 2016Q4 52.8 34.6 5.2 2.7 1.8 1.3 1.7 2017Q1 52.5 34.9 5.1 2.7 1.7 1.4 1.7 2016Q3 *** 34.1 *** *** 2016Q4 *** 33.1 *** *** 2017Q1 *** 33.9 *** *** 2016Q3 62.3 30.0 2.6 1.3 1.2 2.6 2016Q4 63.8 29.4 1.9 1.1 0.9 2.9 2017Q1 63.8 29.4 1.9 1.1 0.9 2.9 October 23, 2017 Risk and Examinations Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2015Q2 89.4 6.4 4.1 Country United States United Kingdom Hong Kong Australia Other 2015Q2 90.0 4.9 *** *** 2.5 Country United States United Kingdom France 2015Q2 64.0 *** *** Country United States Canada Other 2015Q2 97.8 *** *** All Private Funds 2015Q3 2015Q4 2016Q1 2016Q2 89.4 89.8 89.5 89.5 6.6 6.4 6.6 6.6 4.0 3.8 3.9 3.9 Qualifying Hedge Funds 2015Q3 2015Q4 2016Q1 2016Q2 90.0 89.1 89.2 89.4 5.1 5.7 5.8 5.6 *** *** *** *** *** *** *** *** 2.4 2.6 2.5 2.5 Section 3 Liquidity Funds 2015Q3 2015Q4 2016Q1 2016Q2 64.9 57.4 58.4 59.4 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2015Q3 2015Q4 2016Q1 2016Q2 97.7 97.2 97.2 97.2 *** *** *** *** *** *** *** *** 14 2016Q3 89.6 6.6 3.8 2016Q4 90.1 6.2 3.8 2017Q1 89.3 6.6 4.1 2016Q3 89.3 5.7 *** *** 2.4 2016Q4 89.5 5.8 *** *** 2.4 2017Q1 89.3 6.0 *** *** 2.3 2016Q3 64.1 *** *** 2016Q4 62.5 *** *** 2017Q1 64.2 *** *** 2016Q3 97.2 *** *** 2016Q4 95.1 *** *** 2017Q1 95.1 *** *** October 23, 2017 IV Risk and Examinations Office Beneficial Ownership Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2015Q2 1,365 871 787 889 758 709 360 267 204 179 148 117 113 92 2015Q3 1,337 853 766 864 740 689 360 263 203 179 143 109 113 92 2015Q4 1,353 895 893 888 756 709 379 277 201 168 146 105 112 99 2016Q1 1,320 908 878 878 764 704 378 273 196 162 143 122 107 87 2016Q2 1,316 916 891 889 767 702 382 276 198 170 148 120 104 89 2016Q3 1,315 931 915 905 774 722 382 274 199 169 144 119 97 90 2016Q4 1,331 1,006 971 943 766 742 425 304 196 185 136 125 102 99 2017Q1 1,347 1,027 990 953 779 763 434 309 197 185 140 126 104 104 2016Q4 18.1 13.7 13.2 12.9 10.4 10.1 5.8 4.1 2.7 2.5 1.9 1.7 1.4 1.4 2017Q1 18.1 13.8 13.3 12.8 10.4 10.2 5.8 4.1 2.6 2.5 1.9 1.7 1.4 1.4 Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities 2015Q2 19.8 12.7 11.4 12.9 11.0 10.3 5.2 3.9 3.0 2.6 2.2 1.7 1.6 1.3 2015Q3 19.9 12.7 11.4 12.8 11.0 10.2 5.3 3.9 3.0 2.7 2.1 1.6 1.7 1.4 15 2015Q4 19.4 12.8 12.8 12.7 10.8 10.2 5.4 4.0 2.9 2.4 2.1 1.5 1.6 1.4 2016Q1 19.1 13.1 12.7 12.7 11.0 10.2 5.5 4.0 2.8 2.3 2.1 1.8 1.5 1.3 2016Q2 18.9 13.2 12.8 12.8 11.0 10.1 5.5 4.0 2.8 2.4 2.1 1.7 1.5 1.3 2016Q3 18.7 13.2 13.0 12.9 11.0 10.3 5.4 3.9 2.8 2.4 2.1 1.7 1.4 1.3 October 23, 2017 Risk and Examinations Office Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2015Q2 576 381 371 336 338 268 131 90 75 68 69 56 43 37 2015Q3 550 369 359 324 321 260 131 86 68 66 66 54 44 34 2015Q4 543 369 356 330 313 265 133 83 63 67 66 50 42 31 2016Q1 506 362 344 319 303 271 133 77 77 63 63 47 31 29 2016Q2 502 358 349 329 305 278 133 76 76 64 64 45 32 31 2016Q3 496 377 361 352 316 291 136 69 74 64 65 45 33 29 2016Q4 482 381 366 352 315 303 140 68 71 66 64 40 35 28 2017Q1 486 394 376 370 321 310 148 72 70 69 67 44 41 29 2016Q4 17.8 14.0 13.5 13.0 11.6 11.2 5.1 2.5 2.6 2.4 2.4 1.5 1.3 1.0 2017Q1 17.4 14.1 13.4 13.2 11.5 11.1 5.3 2.6 2.5 2.4 2.4 1.6 1.4 1.1 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2015Q2 20.3 13.4 13.1 11.8 11.9 9.4 4.6 3.2 2.7 2.4 2.4 2.0 1.5 1.3 2015Q3 20.1 13.5 13.1 11.8 11.7 9.5 4.8 3.2 2.5 2.4 2.4 2.0 1.6 1.2 16 2015Q4 20.0 13.6 13.1 12.2 11.6 9.8 4.9 3.0 2.3 2.5 2.4 1.8 1.5 1.1 2016Q1 19.3 13.8 13.1 12.1 11.5 10.3 5.1 2.9 2.9 2.4 2.4 1.8 1.2 1.1 2016Q2 19.0 13.5 13.2 12.4 11.6 10.5 5.0 2.9 2.9 2.4 2.4 1.7 1.2 1.2 2016Q3 18.3 13.9 13.3 13.0 11.7 10.7 5.0 2.5 2.7 2.4 2.4 1.7 1.2 1.1 October 23, 2017 Risk and Examinations Office Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other Broker-Dealers SEC-Registered Investment Companies Banking/Thrift Inst. Insurance Companies Pension Plans Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. Non-Profits State/Muni. Govt. Pension Plans State/Muni. Govt. Entities U.S. Individuals 2015Q2 77 36 44 *** 17 *** 9 5 31 *** *** *** *** 0 2015Q3 86 43 42 *** 13 *** 8 6 29 *** *** *** *** *** 2015Q4 82 45 51 *** 16 *** 8 5 28 *** *** *** *** *** 2016Q1 79 *** 38 *** 17 *** 7 5 17 *** *** *** *** *** 2016Q2 79 *** 38 *** 17 *** 8 5 17 *** *** *** *** *** 2016Q3 80 60 40 *** 18 *** 8 *** 4 *** *** *** *** *** 2016Q4 81 65 52 *** 16 10 9 5 4 *** 1 1 *** *** 2017Q1 75 60 51 *** 18 *** 9 5 4 *** 2 1 *** *** 2016Q4 29.6 23.7 19.2 *** 5.9 3.6 3.3 1.7 1.4 *** 0.5 0.4 *** *** 2017Q1 28.3 22.7 19.3 *** 6.9 *** 3.4 1.8 1.5 *** 0.6 0.6 *** *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Unknown Non-U.S. Investors Other Broker-Dealers SEC-Registered Investment Companies Banking/Thrift Inst. Insurance Companies Pension Plans Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. Non-Profits State/Muni. Govt. Pension Plans State/Muni. Govt. Entities U.S. Individuals 2015Q2 29.5 13.6 16.9 *** 6.5 *** 3.3 2.0 11.7 *** *** *** *** 0.0 2015Q3 32.2 16.1 15.8 *** 4.7 *** 3.0 2.1 10.8 *** *** *** *** *** 17 2015Q4 29.0 15.8 17.9 *** 5.8 *** 2.9 1.9 10.0 *** *** *** *** *** 2016Q1 32.2 *** 15.5 *** 7.1 *** 2.9 1.9 6.9 *** *** *** *** *** 2016Q2 30.9 *** 14.7 *** 6.5 *** 3.3 1.8 6.8 *** *** *** *** *** 2016Q3 32.3 24.2 16.2 *** 7.1 *** 3.2 *** 1.6 *** *** *** *** *** October 23, 2017 Risk and Examinations Office Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2015Q2 300 277 110 124 123 76 80 79 32 35 16 11 2 1 2015Q3 296 276 108 123 119 75 79 79 32 35 16 11 2 1 2015Q4 325 270 140 132 137 84 87 95 35 32 19 15 5 1 2016Q1 326 270 140 132 138 84 87 95 35 32 19 15 5 1 2016Q2 326 270 140 132 137 84 87 95 35 32 19 15 5 1 2016Q3 326 270 140 131 138 84 86 95 35 32 19 15 5 1 2016Q4 366 283 162 153 141 94 92 88 34 31 22 14 12 1 2017Q1 366 285 162 154 142 94 92 88 34 31 22 14 12 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers 2015Q2 23.6 21.8 8.7 9.7 9.7 5.9 6.3 6.2 2.5 2.8 1.2 0.9 0.2 0.1 2015Q3 23.5 21.9 8.6 9.8 9.4 6.0 6.3 6.2 2.5 2.8 1.2 0.9 0.2 0.1 18 2015Q4 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q1 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q2 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q3 23.6 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 1.1 0.4 0.0 2016Q4 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.9 0.8 0.1 2017Q1 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.9 0.8 0.1 October 23, 2017 V Risk and Examinations Office Derivatives5 Table 20: Aggregate Derivative Notional ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2015Q2 10,112 8,865 106 71 60 *** *** 13 29 *** 10,332 2015Q3 10,283 9,025 107 73 60 *** *** 13 28 *** 10,504 2015Q4 9,058 7,936 103 54 42 *** *** 21 12 *** 9,247 2016Q1 9,690 8,480 103 54 42 *** *** 21 11 *** 9,875 2016Q2 10,409 9,045 103 54 42 *** *** 21 11 *** 10,598 2016Q3 10,480 9,178 106 53 42 *** *** 21 10 *** 10,672 2016Q4 10,107 8,736 115 38 35 *** *** 16 14 *** 10,302 2017Q1 11,182 9,718 111 39 35 *** *** 16 14 *** 11,387 Table 21: Aggregate Derivative Notional (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2015Q2 283.7 311.9 12.1 4.1 4.7 *** *** 4.6 25.1 *** 150.1 2015Q3 297.9 329.8 12.3 4.3 4.7 *** *** 4.6 24.6 *** 156.0 2015Q4 264.1 292.7 11.8 2.9 3.1 *** *** 6.7 8.6 *** 132.5 2016Q1 286.8 322.6 11.8 2.9 3.1 *** *** 6.7 8.2 *** 142.7 2016Q2 305.5 342.1 11.8 2.8 3.1 *** *** 6.7 7.7 *** 152.1 2016Q3 302.4 338.6 12.0 2.8 3.1 *** *** 6.6 7.4 *** 151.6 2016Q4 292.0 321.7 11.8 1.8 2.3 *** *** 4.8 9.8 *** 140.4 2017Q1 312.5 347.1 11.3 1.9 2.3 *** *** 4.8 9.8 *** 152.7 5 Staff periodically updates reported statistics based on past identified filing errors that may materially change previously reported values (e.g. this table). The Staff notes that filers should report interest rate derivatives in terms of 10-year bond equivalents — see Form PF FAQ 26.4. 19 October 23, 2017 Risk and Examinations Office Figure 6: Distribution of Derivative Notional Values As reported on Form PF, Questions 13 and 44 (Third Month). VI Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.0 0.0 0.3 1.6 1.1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 0.0 0.1 0.6 2.6 11.3 5.3 All Private Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3 0.3 0.3 0.3 0.3 1.5 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.1 1.0 Qualifying Hedge Funds ($ Billions) 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.5 0.5 0.5 0.5 2.3 2.4 2.3 2.5 2.4 10.0 9.6 9.9 10.1 10.3 5.7 4.7 5.1 5.1 4.7 2016Q4 0.0 0.0 0.0 0.3 1.4 1.1 2017Q1 0.0 0.0 0.0 0.3 1.5 1.1 2016Q4 0.0 0.1 0.5 2.3 9.2 4.7 2017Q1 0.0 0.1 0.5 2.5 9.9 5.3 High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2015Q2 7,339 39 27 2015Q3 7,405 33 13 2015Q4 7,373 40 11 2016Q1 7,450 63 9 2016Q2 7,473 64 10 2016Q3 7,512 70 9 2016Q4 7,465 62 11 2017Q1 7,592 62 12 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2015Q2 3,455 43 36 2015Q3 3,340 43 34 2015Q4 3,312 77 2 2016Q1 3,259 84 2 20 2016Q2 3,295 83 2 2016Q3 3,350 84 2 2016Q4 3,349 78 2 2017Q1 3,466 79 3 October 23, 2017 VII Risk and Examinations Office Hedge Fund Industry Concentration Table 24: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q2 8.2 14.4 20.9 29.7 45.2 59.1 2015Q3 8.0 14.1 20.6 29.2 44.5 58.3 2015Q4 8.0 14.1 20.7 29.4 44.7 58.4 2016Q1 8.0 13.8 20.5 29.1 44.2 57.8 2016Q2 7.8 13.6 20.4 29.0 44.0 57.5 2016Q3 7.9 13.8 20.5 29.1 44.1 57.5 2016Q4 8.0 13.7 20.4 28.9 44.0 57.4 2017Q1 7.7 13.3 20.1 28.5 43.5 56.9 Table 25: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q2 13.1 21.1 28.6 38.4 53.7 66.5 2015Q3 14.1 22.4 29.7 39.3 54.1 66.6 2015Q4 12.9 20.7 28.1 38.2 53.1 65.6 2016Q1 14.8 22.9 30.0 39.5 53.8 66.0 2016Q2 14.8 23.2 30.7 40.2 54.3 66.3 2016Q3 14.1 22.4 30.7 40.3 54.6 66.4 2016Q4 14.2 22.6 30.7 40.2 54.3 66.3 2017Q1 14.1 22.8 31.3 40.6 54.4 66.2 Table 26: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q2 29.4 40.2 51.3 63.7 79.3 89.2 2015Q3 30.4 41.3 52.8 65.0 80.2 89.5 2015Q4 28.4 39.1 50.6 63.4 78.8 88.6 2016Q1 31.7 42.7 53.5 65.3 79.9 89.1 21 2016Q2 31.7 44.2 54.9 66.4 79.9 89.1 2016Q3 31.7 44.4 55.4 67.5 81.0 89.7 2016Q4 30.2 43.3 54.8 67.2 80.8 89.5 2017Q1 30.3 43.5 55.2 67.4 80.5 89.4 October 23, 2017 Risk and Examinations Office Table 27: Percent of Aggregate Hedge Fund Derivative Notional Value Reported by Top Hedge Funds Sorted by Derivative Notional Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q2 30.0 45.1 57.8 71.2 85.4 92.9 2015Q3 31.5 48.7 61.4 73.2 86.3 93.4 2015Q4 30.3 45.0 57.8 70.1 84.6 92.6 2016Q1 31.8 46.7 59.4 71.2 85.3 92.9 2016Q2 36.1 49.5 61.0 73.0 86.2 93.3 2016Q3 38.4 51.1 61.8 73.4 86.6 93.6 2016Q4 35.6 49.1 60.5 73.2 86.4 93.5 2017Q1 33.9 48.0 60.7 73.4 86.5 93.6 Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2015Q2 27.4 40.4 51.6 63.9 79.9 90.4 2015Q3 28.2 43.4 54.8 66.1 81.1 90.9 2015Q4 27.5 40.7 52.5 64.6 80.2 90.5 2016Q1 29.2 43.0 54.7 66.3 81.1 91.0 22 2016Q2 32.0 43.8 54.6 66.5 81.1 90.8 2016Q3 33.0 45.0 55.5 66.8 81.2 90.6 2016Q4 32.0 45.0 55.9 67.9 81.7 91.0 2017Q1 31.0 44.1 55.7 68.0 82.0 91.1 October 23, 2017 VIII A Risk and Examinations Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 7-0 7-0 201 201 201 7 7-0 1.0 1.3 2.1 3.7 8.5 4.1 3 2 201 7-0 1.0 1.3 2.1 3.6 8.1 4.0 201 201 7-0 1 1.0 1.3 2.0 3.4 7.8 3.7 201 6-1 201 1.0 1.3 2.1 3.6 8.2 4.0 -03 201 6-1 2 1.0 1.3 2.1 3.7 7.9 4.0 2 1.0 1.3 2.0 3.6 7.6 3.7 6-1 6-0 201 1.0 1.3 2.0 3.7 7.2 3.8 201 6-0 6-0 1.0 1.3 2.0 3.6 7.0 3.8 201 7 201 6-0 6 6-0 1.0 1.3 2.0 3.6 6.9 3.5 6-1 1.0 1.4 2.0 3.7 7.4 3.6 201 5 6-0 6-0 201 201 1.0 1.4 2.0 3.7 7.2 3.6 2 201 6-1 1 23 1.0 1.3 2.0 3.4 7.0 3.4 4 3 201 6-0 2 6-0 201 1.0 1.3 2.1 3.4 6.7 3.4 1 201 6-1 0 1.0 1.5 2.4 5.1 11.3 6.2 1 201 6-0 9 1.0 1.5 2.4 5.3 11.9 6.3 0 201 6-0 8 1.0 1.5 2.4 5.1 11.7 6.2 9 201 1.0 1.5 2.3 4.6 10.5 5.7 8 201 6-0 6 1.0 1.5 2.3 4.8 12.2 6.3 7 201 6-0 5 1.0 1.5 2.4 4.9 12.7 6.1 0.9 1.3 2.0 3.4 6.8 3.4 6-0 3 201 6-0 4 1.0 1.5 2.3 4.8 10.8 5.6 201 1.0 1.5 2.3 4.9 11.6 6.0 201 6-0 2 1.0 1.5 2.3 4.8 11.5 5.8 6-0 1 1.0 1.5 2.3 4.8 11.4 5.6 201 2 2 1.0 1.3 2.0 3.3 6.8 3.1 1.0 1.6 2.4 4.9 12.0 5.9 6-0 1 201 5-1 1.0 1.4 2.1 3.4 7.1 3.5 1.0 1.4 2.1 3.5 7.1 3.4 1.0 1.0 1.0 1.0 1.5 1.5 1.5 1.5 2.4 2.3 2.3 2.3 4.7 4.8 4.7 4.8 11.1 11.7 11.1 11.6 5.4 5.8 5.8 5.8 Excluding IRDs 201 1 201 5-1 5-1 1 5-1 0 201 5-1 1.0 1.5 2.3 4.2 9.6 4.9 -10 1.1 1.5 2.4 4.7 10.8 6.0 201 9 201 1.0 1.3 2.0 3.3 6.8 3.2 1.1 1.5 2.5 4.6 10.3 5.7 201 5 8 5-0 201 5-0 9 1.0 1.4 2.1 3.4 6.7 3.3 1.0 1.5 2.2 4.4 9.5 5.7 201 201 5-0 1.1 1.4 2.1 3.5 7.0 3.4 1.0 1.3 2.1 3.3 6.3 3.3 8 -07 201 5-0 6 1.1 1.6 2.4 4.6 10.6 5.8 201 5 5-0 7 201 1.1 1.6 2.4 4.7 10.0 5.7 6 5 5-0 1.0 1.4 2.1 3.5 6.8 3.6 201 5-0 1.0 1.4 2.1 3.4 7.0 3.6 201 5-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.5 2.3 4.5 8.8 4.9 5-0 5-0 5 201 1.0 1.6 2.4 4.7 9.8 5.5 201 1.0 1.6 2.4 4.6 9.4 5.4 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5 -04 Including Interest Rate Derivatives (IRDs) 1.0 1.3 2.1 3.6 7.9 4.0 October 23, 2017 Risk and Examinations Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 24 2 3 7-0 201 7 -0 0.1 0.3 0.6 1.5 3.9 1.7 0.1 0.3 0.6 1.5 3.9 1.7 0.1 0.2 0.6 1.4 3.7 1.6 -03 -03 2 2 0.1 0.4 0.8 2.3 6.6 2.9 0.9 1.1 1.6 2.4 4.7 2.6 0.1 0.3 0.8 2.2 6.4 2.9 201 7-0 3 2 0.1 0.3 0.8 2.2 6.1 2.8 201 7 7-0 7-0 0.1 0.3 0.8 2.0 6.0 2.8 1.0 1.2 1.7 3.0 6.3 3.6 201 7 1 7-0 201 1 7-0 201 7-0 1 0.9 1.1 1.5 2.6 4.9 2.6 201 2 201 201 0.9 1.1 1.5 2.4 4.8 2.5 201 201 6-1 2 0.9 1.2 1.7 3.2 7.0 3.7 201 7-0 0.1 0.3 0.6 1.5 3.8 1.7 0.9 1.1 1.6 3.0 6.6 3.7 201 7-0 1 0.1 0.3 0.6 1.5 3.6 1.7 0.1 0.2 0.6 1.3 3.4 1.5 6-1 6-1 1 201 6-1 2 1 0.1 0.4 0.8 2.2 6.2 3.1 201 6-1 0.1 0.4 0.8 2.1 5.9 2.9 0.9 1.1 1.5 2.4 4.6 2.4 201 -10 201 6-1 1 0 6-1 1.0 1.1 1.6 2.4 4.8 2.5 201 201 0.9 1.1 1.6 2.5 4.7 2.5 201 1.0 1.2 1.6 2.8 6.0 3.4 6-1 0 6-0 9 1.0 1.2 1.7 2.9 6.5 3.6 201 9 6-0 201 8 0.9 1.2 1.7 2.9 6.7 3.6 0.1 0.3 0.7 2.0 5.5 2.6 201 8 0.1 0.2 0.6 1.4 3.5 1.6 201 6 201 9 6-0 201 8 6-0 0.9 1.1 1.5 2.4 4.7 2.4 6-0 0.1 0.3 0.8 2.1 5.9 2.8 6-0 7 6-0 8 201 6-0 7 201 6-0 7 1.0 1.2 1.7 3.0 6.2 3.4 201 6-0 -07 0.1 0.2 0.6 1.3 3.3 1.5 1.0 1.1 1.5 2.4 4.5 2.4 201 6 201 6 201 201 6 6-0 0.1 0.2 0.6 1.3 3.4 1.4 0.1 0.3 0.7 2.0 5.8 2.7 201 6 6-0 201 5 0.1 0.3 0.8 2.0 5.2 2.5 201 0.1 0.2 0.6 1.3 3.6 1.5 0.9 1.1 1.5 2.4 4.5 2.4 6 6-0 5 6-0 6-0 1.0 1.1 1.5 2.3 4.7 2.3 1.0 1.2 1.7 2.9 6.4 3.5 6-1 2 0.0 0.2 0.6 1.3 3.5 1.4 0.9 1.1 1.6 2.9 6.4 3.5 201 6-1 1 0.0 0.2 0.6 1.4 3.1 1.4 201 6-0 4 6-0 3 2 1 6-0 201 0.1 0.2 0.6 1.3 3.0 1.4 201 6-0 5 6-0 5 6-0 201 6-0 4 3 201 6-0 2 -01 6-0 201 201 201 6-0 0.1 0.2 0.6 1.3 3.3 1.3 201 4 6-0 201 201 6-0 3 2 -01 6-0 201 201 5-1 2 201 6 201 6 5-1 2 0.0 0.2 0.6 1.3 3.1 1.3 201 5-1 2 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.3 0.8 0.8 0.8 0.8 0.8 0.8 1.8 1.9 2.0 2.0 2.1 2.1 4.7 5.9 5.6 5.4 5.4 5.5 2.3 2.4 2.7 2.7 2.7 2.7 Short Exposure Excluding IRDs 1.0 1.2 1.7 2.9 6.3 3.4 201 4 6-0 201 201 3 2 6-0 6-0 201 -12 6-0 1 201 201 201 5 201 0.9 0.9 0.9 0.9 1.0 1.0 1.1 1.1 1.1 1.1 1.1 1.1 1.5 1.5 1.5 1.5 1.5 1.5 2.2 2.2 2.2 2.2 2.5 2.5 3.9 4.2 4.1 4.4 4.7 4.7 2.0 2.2 2.2 2.3 2.3 2.4 Short Exposure Including IRDs 201 -11 0.1 0.2 0.6 1.3 3.5 1.5 1.0 0.9 0.9 1.0 1.0 1.0 1.2 1.2 1.1 1.2 1.2 1.2 1.6 1.6 1.6 1.6 1.7 1.7 2.5 2.8 2.9 2.8 3.0 3.0 5.2 6.1 6.7 6.1 6.1 6.4 2.9 3.3 3.4 3.4 3.4 3.5 Long Exposure Excluding IRDs 201 5-1 1 5-1 1 0.1 0.3 0.8 2.0 5.6 2.8 5-1 1 5-1 0 -09 201 5 201 -10 0.0 0.2 0.6 1.3 3.4 1.4 1.0 1.1 1.5 2.2 4.1 2.2 201 -10 -10 0.1 0.3 0.8 1.9 5.3 2.5 1.0 1.2 1.7 2.7 6.0 3.4 201 201 201 5 201 5 5-0 9 5-0 9 0.0 0.2 0.6 1.2 3.0 1.3 1.0 1.1 1.5 2.3 4.1 2.2 201 5 201 201 0.1 0.3 0.8 1.8 4.3 2.4 1.0 1.2 1.7 2.7 5.9 3.4 201 6-1 0 0.1 0.2 0.6 1.3 3.0 1.3 1.0 1.1 1.4 2.1 3.9 2.1 201 5-0 8 5-0 8 0.1 0.3 0.8 1.9 5.1 2.4 5-0 9 201 5 -08 201 5 5-0 8 201 -07 0.1 0.2 0.7 1.3 3.0 1.3 1.0 1.2 1.5 2.2 4.0 2.2 201 -07 5-0 6 0.1 0.2 0.6 1.3 3.1 1.3 7 0.1 0.3 0.8 2.0 5.0 2.3 1.0 1.2 1.6 2.6 5.2 3.3 201 6 5-0 7 201 5-0 5-0 6 5-0 6 201 5 201 0.1 0.3 0.8 2.0 4.2 2.1 201 5-0 5 5-0 0.0 0.3 0.6 1.3 3.2 1.4 1.0 1.2 1.6 2.3 4.2 2.2 1.0 1.3 1.7 2.7 5.8 3.5 6-0 9 0.0 0.3 0.6 1.3 2.9 1.4 201 5-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.3 1.7 2.9 5.8 3.5 201 5 5 0.1 0.4 0.8 2.0 4.8 2.3 201 5 5 201 5-0 5-0 201 0.1 0.4 0.8 1.9 4.5 2.4 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.5 2.2 3.9 2.1 201 1.0 1.1 1.5 2.2 3.9 2.3 1.0 1.2 1.6 2.8 4.9 3.1 201 5-0 5-0 5-0 5-0 201 1.0 1.1 1.5 2.2 4.1 2.2 1.0 1.2 1.7 2.8 5.3 3.4 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.6 2.8 5.5 3.3 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 4 Long Exposure Including IRDs 0.1 0.3 0.6 1.5 3.8 1.7 October 23, 2017 B Risk and Examinations Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2015-04 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 Top 10 Advisers (NAV) 17.5 17.5 17.5 16.9 16.9 16.9 17.1 17.1 17.2 17.6 17.4 17.4 17.9 18.0 18.0 18.0 18.0 18.0 18.1 18.1 18.1 18.6 18.6 18.7 Top 20 Advisers (NAV) 26.8 26.8 26.8 26.6 26.6 26.6 26.8 26.8 26.9 27.5 27.3 27.3 27.8 28.0 28.0 27.9 27.9 27.9 27.9 27.9 27.9 28.2 28.2 28.3 25 Top 10 Advisers (GNE) 37.8 39.0 37.2 39.4 40.1 39.9 40.6 41.5 37.0 39.5 41.6 38.6 39.1 40.2 37.9 41.0 42.0 42.1 44.6 45.5 42.4 44.7 49.8 48.0 Top 20 Advisers (GNE) 52.3 53.0 51.6 53.7 54.0 54.4 54.7 55.7 51.3 53.2 54.5 51.6 53.3 53.7 52.0 55.0 55.7 55.8 57.2 58.3 55.4 57.6 61.4 59.9 October 23, 2017 C Risk and Examinations Office Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2015-04 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10 2015-11 2015-12 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 Futures 7,521 9,177 12,231 8,270 10,121 10,025 7,499 8,896 9,844 8,762 10,272 11,639 8,476 9,577 12,915 7,647 9,563 11,717 8,569 13,406 11,117 11,430 12,331 14,738 Sov. and muni. bonds 2,673 2,460 2,837 2,035 2,293 2,437 2,200 2,136 2,046 2,264 2,441 2,105 2,074 2,590 2,795 2,346 2,514 3,111 2,433 3,481 2,265 2,595 2,749 2,733 Listed equities 1,993 1,916 1,957 2,112 2,103 1,876 7,583 6,658 7,098 2,190 2,239 2,036 1,972 1,969 2,108 1,823 1,874 1,937 1,880 2,230 1,785 1,855 1,868 2,042 Corporate bonds 112 104 90 99 74 91 100 85 70 110 101 119 111 110 99 89 90 104 97 95 70 123 105 124 Convertible bonds 23 23 22 15 14 17 20 16 19 15 15 18 22 17 21 14 19 20 24 19 17 20 21 25 Total 12,321 13,679 17,136 12,531 14,605 14,446 17,403 17,792 19,077 13,341 15,066 15,917 12,655 14,263 17,938 11,919 14,060 16,889 13,003 19,230 15,254 16,022 17,074 19,663 Figure 9: Distributions of Portfolio Turnover (Winsorized, limits=[1%,99%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 27. 0.0 0.1 0.5 1.9 12.7 6.8 0.0 0.1 0.5 2.1 13.5 7.9 0.0 0.2 0.5 2.2 19.0 9.1 0.0 0.1 0.4 1.8 12.5 6.6 0.0 0.1 0.4 1.9 12.3 7.1 0.0 0.1 0.5 2.1 18.3 8.2 0.0 0.1 0.4 2.0 14.3 7.7 0.1 0.2 0.7 2.9 18.6 10.2 0.0 0.2 0.5 2.4 16.7 8.7 0.0 0.2 0.5 2.2 14.6 7.9 0.0 0.1 0.5 2.6 17.8 8.5 0.0 0.2 0.6 2.9 19.5 9.4 7-0 7-0 6-0 6-0 5-0 -03 0.0 0.2 0.5 2.3 12.7 7.6 2 201 7 7-0 3 2 201 1 7-0 0.0 0.2 0.6 2.3 10.6 7.5 1 201 7-0 201 2 201 201 6-1 201 201 6-1 2 -11 201 6 1 6-1 201 0.0 0.1 0.5 2.1 10.2 7.4 -09 201 0.0 0.1 0.5 1.7 9.3 7.6 26 6-1 0 6-0 9 201 6-1 0 8 201 6 201 201 6 0.0 0.2 0.4 1.7 8.1 6.4 -08 201 6-0 -07 201 6-0 6 0.0 0.2 0.5 1.9 9.1 6.4 7 201 6-0 5 201 6 6-0 4 201 0.0 0.2 0.5 2.2 9.7 6.3 6-0 3 0.0 0.2 0.6 2.2 11.0 6.6 -02 0.1 0.2 0.6 1.8 10.4 6.3 1 0.0 0.2 0.5 2.1 11.9 7.4 9 0.0 0.1 0.5 1.8 9.3 6.2 6 0.0 0.1 0.5 1.7 9.7 5.5 -05 201 201 6 5 0.1 0.4 1.4 7.0 55.7 34.0 201 6 6-0 0.1 0.3 1.3 6.1 43.3 29.7 201 6-0 0.1 0.3 1.2 5.5 42.0 25.7 201 5-1 2 201 0.1 0.3 1.1 5.6 44.5 26.0 -10 201 0.1 0.4 1.5 6.8 51.6 32.9 201 5-1 1 201 0.1 0.3 1.1 5.1 35.3 22.3 201 5 0.1 0.4 1.2 6.2 46.5 29.8 8 0.1 0.3 1.1 5.5 35.0 24.1 201 5-0 0.1 0.3 1.1 4.7 30.1 19.7 7 0.1 0.4 1.3 6.2 39.1 29.1 201 5-0 201 3 0.1 0.0 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.3 1.2 1.3 1.3 1.4 1.2 1.2 4.8 5.4 6.6 5.9 4.8 5.1 30.9 28.2 28.3 32.6 30.5 31.0 24.8 23.0 24.9 26.3 20.4 24.5 Total Turnover to NAV Ratio 6-0 0.1 0.3 1.1 4.7 21.3 23.1 5-0 201 6-0 4 201 5-1 2 1 201 5-1 1 0.1 0.3 1.2 4.7 23.7 20.5 6-0 -10 201 5 0.1 0.3 1.2 5.5 31.2 24.1 201 201 6-0 2 8 201 5-0 0.1 0.3 1.3 5.8 27.5 22.5 201 9 7 201 5-0 6 5-0 0.1 0.3 1.3 5.2 24.3 19.7 5-0 201 0.1 0.4 1.3 5.9 34.7 29.3 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -05 201 0.1 0.3 1.2 4.9 24.2 23.7 201 5 4 201 5 0.1 0.3 1.2 4.7 24.8 19.8 201 5-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5-0 Total Turnover ($ Billions) October 23, 2017 D Risk and Examinations Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2015Q2 3,965 1,197 611 91 73 34 16 19 2015Q3 3,867 1,186 575 95 69 35 18 22 2015Q4 3,767 1,095 578 90 66 33 23 21 2016Q1 3,878 1,216 619 101 61 30 22 21 2016Q2 3,942 1,198 601 91 62 30 22 21 2016Q3 4,110 1,219 611 91 67 33 20 19 2016Q4 4,082 1,222 530 87 64 46 18 18 2017Q1 4,408 1,704 595 95 79 60 20 19 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2015Q2 130.5 39.4 20.1 3.0 2.4 1.1 0.5 0.6 2015Q3 132.2 40.5 19.7 3.2 2.4 1.2 0.6 0.8 2015Q4 129.0 37.5 19.8 3.1 2.3 1.1 0.8 0.7 2016Q1 134.2 42.1 21.4 3.5 2.1 1.0 0.8 0.7 27 2016Q2 136.4 41.4 20.8 3.2 2.1 1.0 0.8 0.7 2016Q3 138.6 41.1 20.6 3.1 2.3 1.1 0.7 0.6 2016Q4 136.6 40.9 17.8 2.9 2.1 1.5 0.6 0.6 2017Q1 142.0 54.9 19.2 3.1 2.5 1.9 0.6 0.6 October 23, 2017 Risk and Examinations Office Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2015Q2 3,786 254 161 39 33 9 2015Q3 3,680 250 138 45 31 7 2015Q4 3,597 259 145 41 30 8 2016Q1 3,637 290 139 42 28 11 2016Q2 3,658 264 128 35 30 13 2016Q3 3,923 263 136 36 35 15 2016Q4 3,871 218 129 37 30 14 2017Q1 4,186 230 130 40 32 17 2016Q4 129.5 7.3 4.3 1.2 1.0 0.5 2017Q1 134.8 7.4 4.2 1.3 1.0 0.5 Table 34: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2015Q2 124.6 8.3 5.3 1.3 1.1 0.3 2015Q3 125.8 8.5 4.7 1.5 1.0 0.2 2015Q4 123.2 8.9 5.0 1.4 1.0 0.3 28 2016Q1 125.8 10.0 4.8 1.4 1.0 0.4 2016Q2 126.6 9.1 4.4 1.2 1.0 0.4 2016Q3 132.3 8.9 4.6 1.2 1.2 0.5 October 23, 2017 IX A Risk and Examinations Office Qualifying Hedge Fund Specific Information Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 1.0 1.3 1.9 3.3 6.4 3.2 1.0 1.2 1.9 3.2 6.2 3.0 1.0 1.3 1.9 3.5 6.5 3.2 1.0 1.3 1.9 3.4 6.7 3.2 1.0 1.2 1.9 3.3 6.0 3.0 1.0 1.3 2.0 3.4 6.7 3.2 -0 3 201 7 -03 2 2 7-0 1.0 1.3 2.0 3.4 6.7 3.2 1.1 1.4 2.3 4.4 9.4 4.4 201 7 7-0 201 1 7-0 201 1 1.1 1.5 2.3 4.6 9.8 4.5 201 201 1 6-1 201 6-1 201 6-0 201 8 6-0 201 1.0 1.3 1.9 3.3 6.4 3.1 1.1 1.6 2.3 4.5 9.6 4.5 7-0 201 6 -1 2 1.1 1.5 2.2 4.3 8.2 4.1 201 201 6 -1 1 1.1 1.6 2.3 4.6 9.5 4.5 6-1 2 201 6-1 0 1.1 1.5 2.3 4.6 9.2 4.5 0 201 6-0 9 1.1 1.5 2.2 4.3 8.5 4.1 9 7 6-0 201 6-0 8 201 6-0 201 6-0 1.0 1.2 1.9 3.2 5.8 3.0 1.1 1.6 2.3 4.5 9.0 4.6 7 1.1 1.6 2.3 4.6 9.1 4.5 6 201 6 -0 6 1.0 1.3 1.9 3.3 6.3 3.1 201 6-0 201 6-0 1.0 1.3 1.9 3.3 6.4 3.2 5 201 6 -0 5 29 1.0 1.2 1.9 3.1 5.7 2.9 4 6 -0 3 1.0 1.3 1.9 3.2 6.2 3.1 201 6-0 201 201 6-0 3 2 201 201 6-0 4 1.0 1.3 1.9 3.3 6.1 3.1 201 6-0 2 1.1 1.5 2.2 4.3 8.5 4.3 6-0 1 1.1 1.6 2.3 4.6 8.7 4.6 201 2 2 1.0 1.2 1.9 3.1 5.6 2.8 1.1 1.5 2.3 4.5 8.7 4.6 6-0 1 201 5-1 1.0 1.3 1.9 3.3 6.2 3.2 1.2 1.1 1.1 1.6 1.6 1.5 2.3 2.3 2.2 4.5 4.6 4.2 8.4 8.5 8.1 4.8 4.8 4.2 Excluding IRDs 201 1 201 5-1 1.1 1.5 2.3 4.1 7.7 4.1 5-1 1 5-1 0 201 5-1 -10 1.1 1.3 1.9 3.4 6.3 3.2 1.1 1.6 2.4 4.5 8.4 4.7 201 201 9 1.0 1.2 1.8 3.1 5.8 2.9 1.1 1.6 2.4 4.5 8.2 4.7 201 5 8 5-0 201 5-0 9 1.0 1.2 1.9 3.2 6.0 3.0 1.1 1.5 2.2 4.1 7.7 4.2 201 201 5-0 1.1 1.3 2.0 3.3 6.3 3.1 8 201 5-0 6 5-0 7 201 1.1 1.5 2.3 4.4 8.1 4.6 201 201 5-0 5-0 1.0 1.2 1.9 3.2 6.0 3.0 1.1 1.5 2.3 4.3 8.4 4.4 5-0 7 1.0 1.3 2.0 3.2 6.3 3.1 6 5 1.1 1.5 2.2 4.1 8.0 4.3 201 5-0 4 1.0 1.3 1.9 3.3 6.3 3.1 201 5-0 201 5-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.5 2.3 4.3 8.7 4.5 201 201 1.1 1.5 2.3 4.3 8.8 4.6 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 5-0 5 Including Interest Rate Derivatives (IRDs) 1.0 1.2 2.0 3.3 6.8 3.2 October 23, 2017 Risk and Examinations Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 30 2 3 7-0 201 7 -0 0.0 0.2 0.6 1.3 3.0 1.2 0.0 0.2 0.6 1.3 3.1 1.2 0.0 0.2 0.5 1.4 2.7 1.2 -03 -03 2 2 0.1 0.3 0.8 2.0 4.7 2.0 1.0 1.1 1.5 2.2 4.1 2.1 0.1 0.3 0.8 2.0 5.0 2.0 201 7-0 3 2 0.1 0.3 0.7 2.0 4.5 1.9 201 7 7-0 7-0 0.1 0.3 0.7 1.8 4.1 1.8 1.0 1.2 1.7 2.8 5.3 2.7 201 7 1 7-0 201 1 7-0 201 7-0 1 1.0 1.1 1.5 2.3 4.1 2.1 201 2 201 201 1.0 1.1 1.5 2.3 4.0 2.2 201 201 6-1 2 1.0 1.2 1.7 2.9 5.5 2.8 201 7-0 0.0 0.2 0.5 1.4 3.0 1.3 1.0 1.2 1.7 2.9 5.5 2.8 201 7-0 1 0.0 0.2 0.6 1.4 3.0 1.2 0.0 0.2 0.5 1.2 2.8 1.1 6-1 6-1 1 201 6-1 2 1 0.1 0.3 0.7 2.0 4.4 1.9 201 6-1 0.1 0.3 0.8 2.0 4.4 1.9 1.0 1.1 1.5 2.2 3.8 2.1 201 -10 201 6-1 1 0 6-1 1.0 1.1 1.5 2.3 4.0 2.2 201 201 1.0 1.1 1.5 2.3 3.9 2.2 201 1.0 1.2 1.6 2.7 4.8 2.5 6-1 0 6-0 9 1.0 1.2 1.7 2.8 5.3 2.8 201 9 6-0 201 8 1.0 1.2 1.7 2.8 5.2 2.8 0.0 0.3 0.7 1.8 3.9 1.7 201 8 0.0 0.2 0.5 1.3 2.8 1.2 201 6 201 9 6-0 201 8 6-0 1.0 1.1 1.5 2.2 3.8 2.1 6-0 0.1 0.3 0.8 1.8 4.2 1.9 6-0 7 6-0 8 201 6-0 7 201 6-0 7 1.0 1.2 1.6 2.7 5.0 2.6 201 6-0 -07 0.0 0.2 0.6 1.3 2.8 1.2 1.0 1.1 1.4 2.3 3.9 2.1 201 6 201 6 201 201 6 6-0 0.0 0.2 0.5 1.2 2.7 1.1 0.1 0.3 0.8 1.8 4.2 1.9 201 6 6-0 201 5 0.1 0.3 0.7 1.8 3.9 1.8 201 0.0 0.2 0.5 1.2 2.9 1.2 1.0 1.1 1.5 2.3 3.9 2.1 6 6-0 5 6-0 6-0 1.0 1.1 1.5 2.2 3.6 2.1 1.0 1.2 1.6 2.8 5.3 2.8 6-1 2 0.0 0.2 0.6 1.2 3.0 1.2 1.0 1.2 1.6 2.8 5.1 2.8 201 6-1 1 0.0 0.2 0.5 1.2 2.6 1.1 201 6-0 4 6-0 3 2 1 6-0 201 0.0 0.2 0.6 1.2 2.7 1.1 201 6-0 5 6-0 5 6-0 201 6-0 4 3 201 6-0 2 -01 6-0 201 201 201 6-0 0.0 0.2 0.6 1.2 2.7 1.2 201 4 6-0 201 201 6-0 3 2 -01 6-0 201 201 5-1 2 201 6 201 6 5-1 2 0.0 0.2 0.5 1.2 2.6 1.1 201 5-1 2 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.3 0.8 0.8 0.8 0.7 0.8 0.8 1.7 1.9 1.9 1.8 1.8 1.8 3.8 4.1 4.1 4.0 4.4 4.1 1.8 2.1 2.0 1.8 2.0 2.0 Short Exposure Excluding IRDs 1.0 1.2 1.6 2.7 4.9 2.7 201 4 6-0 201 201 3 2 6-0 6-0 201 -12 6-0 1 201 201 201 5 201 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.1 1.1 1.4 1.5 1.5 1.4 1.4 1.5 2.1 2.2 2.2 2.1 2.2 2.2 3.4 3.6 3.6 3.4 3.7 3.8 1.9 2.1 2.0 2.0 2.1 2.1 Short Exposure Including IRDs 201 -11 0.0 0.2 0.5 1.3 3.0 1.2 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.2 1.2 1.6 1.7 1.7 1.6 1.7 1.7 2.4 2.7 2.7 2.6 2.7 2.7 4.3 4.7 4.9 4.5 5.2 5.0 2.6 2.9 2.9 2.6 2.8 2.8 Long Exposure Excluding IRDs 201 5-1 1 5-1 1 0.1 0.3 0.8 1.9 4.1 2.0 5-1 1 5-1 0 -09 201 5 201 -10 0.0 0.2 0.5 1.3 2.9 1.2 1.0 1.1 1.5 2.2 3.7 2.1 201 -10 -10 0.1 0.3 0.8 1.9 4.1 2.0 1.0 1.2 1.7 2.6 4.7 2.8 201 201 201 5 201 5 5-0 9 5-0 9 0.0 0.2 0.5 1.2 2.7 1.1 1.0 1.1 1.5 2.3 3.7 2.1 201 5 201 201 0.1 0.3 0.7 1.6 3.8 1.8 1.1 1.2 1.7 2.6 4.8 2.8 201 6-1 0 0.0 0.2 0.6 1.3 2.9 1.1 1.0 1.1 1.4 2.1 3.5 1.9 201 5-0 8 5-0 8 0.1 0.3 0.8 1.8 4.0 1.9 5-0 9 201 5 -08 201 5 5-0 8 201 -07 0.0 0.2 0.6 1.3 3.0 1.2 1.0 1.1 1.5 2.2 3.5 2.0 201 -07 5-0 6 0.0 0.2 0.5 1.2 3.0 1.1 7 0.1 0.3 0.8 1.8 4.1 1.9 1.0 1.2 1.6 2.5 4.5 2.6 201 6 5-0 7 201 5-0 5-0 6 5-0 6 201 5 201 0.1 0.3 0.7 1.8 4.1 1.9 201 5-0 5 5-0 0.0 0.2 0.6 1.3 3.0 1.2 1.0 1.2 1.5 2.2 3.7 2.1 1.0 1.2 1.7 2.6 4.7 2.8 6-0 9 0.0 0.2 0.6 1.3 3.0 1.2 201 5-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.2 1.7 2.6 4.7 2.8 201 5 5 0.1 0.3 0.7 1.9 4.5 2.0 201 5 5 201 5-0 5-0 201 0.1 0.3 0.7 1.7 4.4 2.0 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.5 2.2 3.5 2.0 201 1.0 1.1 1.5 2.2 3.6 2.0 1.0 1.2 1.6 2.5 4.5 2.6 201 5-0 5-0 5-0 5-0 201 1.0 1.1 1.5 2.2 3.7 2.1 1.0 1.2 1.6 2.6 4.7 2.7 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.6 2.6 4.8 2.8 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 4 Long Exposure Including IRDs 0.0 0.2 0.6 1.3 3.1 1.3 October 23, 2017 B Risk and Examinations Office Gross Exposure by Strategy6 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2015Q2 1,510 1,004 285 214 7 714 787 524 144 48 49 23 506 434 32 39 1 417 182 151 84 302 269 33 91 *** *** 49 4,375 2015Q3 1,430 935 268 221 6 687 782 536 139 39 45 24 550 479 33 36 2 381 179 126 76 286 251 35 94 *** *** 48 4,259 2015Q4 1,442 925 278 232 6 688 722 491 129 38 41 23 538 468 34 33 2 374 173 111 90 279 249 30 98 *** *** 45 4,186 2016Q1 1,351 866 268 212 5 757 785 548 127 38 45 28 553 481 36 *** *** 361 172 97 92 356 315 41 106 *** *** 40 4,309 2016Q2 1,362 851 274 231 6 768 783 542 129 35 42 34 593 518 *** 35 *** 326 166 85 75 364 328 36 123 117 6 42 4,361 2016Q3 1,426 879 284 258 5 774 765 518 130 38 43 36 667 594 *** 35 *** 336 173 91 73 267 227 40 132 *** *** 41 4,409 2016Q4 1,400 842 288 264 6 782 703 470 124 39 41 28 695 609 46 *** *** 325 174 80 71 274 231 43 130 *** *** 43 4,351 2017Q1 1,482 881 310 *** *** 807 719 489 115 44 41 30 702 616 47 36 3 344 172 95 77 284 241 43 149 140 9 42 4,529 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. 31 October 23, 2017 Risk and Examinations Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2015Q2 52.2 34.7 9.9 7.4 0.2 24.7 27.2 18.1 5.0 1.6 1.7 0.8 17.5 15.0 1.1 1.3 0.0 14.4 6.3 5.2 2.9 10.4 9.3 1.1 3.1 *** *** 1.7 151.3 2015Q3 51.2 33.5 9.6 7.9 0.2 24.6 28.0 19.2 5.0 1.4 1.6 0.8 19.7 17.2 1.2 1.3 0.1 13.6 6.4 4.5 2.7 10.3 9.0 1.3 3.4 *** *** 1.7 152.5 32 2015Q4 51.9 33.3 10.0 8.4 0.2 24.8 26.0 17.7 4.6 1.4 1.5 0.8 19.3 16.8 1.2 1.2 0.1 13.5 6.2 4.0 3.3 10.0 8.9 1.1 3.5 *** *** 1.6 150.6 2016Q1 50.0 32.0 9.9 7.8 0.2 28.0 29.1 20.3 4.7 1.4 1.7 1.0 20.4 17.8 1.3 *** *** 13.3 6.4 3.6 3.4 13.2 11.7 1.5 3.9 *** *** 1.5 159.4 2016Q2 50.3 31.4 10.1 8.5 0.2 28.3 28.9 20.0 4.8 1.3 1.5 1.3 21.9 19.1 *** 1.3 *** 12.0 6.1 3.1 2.8 13.4 12.1 1.3 4.6 4.3 0.2 1.6 160.9 2016Q3 51.1 31.5 10.2 9.2 0.2 27.8 27.4 18.6 4.6 1.4 1.6 1.3 23.9 21.3 *** 1.2 *** 12.1 6.2 3.3 2.6 9.6 8.1 1.4 4.7 *** *** 1.5 158.0 2016Q4 50.1 30.1 10.3 9.5 0.2 28.0 25.1 16.8 4.4 1.4 1.5 1.0 24.9 21.8 1.7 *** *** 11.6 6.2 2.8 2.5 9.8 8.3 1.5 4.6 *** *** 1.5 155.7 2017Q1 51.5 30.6 10.8 *** *** 28.0 25.0 17.0 4.0 1.5 1.4 1.0 24.4 21.4 1.6 1.2 0.1 11.9 6.0 3.3 2.7 9.9 8.4 1.5 5.2 4.9 0.3 1.5 157.4 October 23, 2017 C Risk and Examinations Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Equity Credit Other Event Driven Managed Futures/CTA Investment in other funds 2015Q2 4.2 2.3 2.2 1.6 1.6 1.3 1.4 1.2 1.1 2015Q3 4.6 2.5 2.2 1.6 1.6 1.4 1.4 1.2 1.1 2015Q4 4.3 2.5 1.7 1.6 1.6 1.3 1.4 1.2 1.1 2016Q1 4.5 2.8 1.9 1.6 1.5 1.4 1.4 1.2 1.1 2016Q2 4.8 3.1 1.8 1.6 1.5 1.4 1.4 1.2 1.1 2016Q3 4.1 3.1 2.4 1.6 1.6 1.4 1.3 1.2 1.1 2016Q4 4.1 3.3 2.4 1.6 1.5 1.4 1.3 1.2 1.1 2017Q1 4.6 3.6 2.3 1.6 1.6 1.4 1.3 1.2 1.1 Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Relative Value Macro Multi-Strategy Managed Futures/CTA Other Credit Equity Event Driven Investment in other funds 2015Q2 13.4 14.8 7.2 10.2 3.0 5.3 3.2 2.3 1.7 2015Q3 15.3 15.7 7.3 13.5 3.2 4.9 3.1 2.2 1.4 2015Q4 15.0 13.7 6.0 10.6 3.2 4.1 3.2 2.1 1.5 2016Q1 16.2 14.7 6.9 9.6 3.5 4.1 3.4 2.1 1.9 2016Q2 17.1 14.5 7.1 7.2 3.8 4.0 3.2 2.1 1.4 2016Q3 16.8 10.9 11.0 8.0 3.7 2.9 3.1 2.0 1.5 2016Q4 16.5 12.9 10.1 7.3 3.8 2.7 3.1 2.0 1.4 2017Q1 19.6 16.0 8.0 8.0 4.0 3.3 3.2 2.2 1.7 Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Multi-Strategy Relative Value Other Equity Credit Event Driven Investment in other funds 2015Q2 64.0 46.1 23.1 23.3 25.3 11.7 14.4 8.7 18.8 2015Q3 57.5 46.2 28.7 22.0 24.5 12.0 13.2 8.7 17.7 2015Q4 68.6 45.0 26.3 27.1 23.7 13.1 14.0 10.8 12.1 33 2016Q1 57.2 44.7 25.6 27.8 23.4 13.0 12.0 10.0 10.3 2016Q2 68.1 43.9 26.4 27.3 25.3 14.0 14.1 11.5 8.4 2016Q3 68.7 41.7 26.9 21.3 25.7 11.3 10.9 11.7 6.2 2016Q4 67.7 40.8 28.1 22.3 24.8 12.4 11.7 11.6 5.5 2017Q1 65.5 37.1 25.5 22.7 20.5 10.7 9.8 8.0 3.4 October 23, 2017 D Risk and Examinations Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Corp. Bonds Securities - MBS Securities - Other Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2015Q2 660 2,223 995 728 257 250 197 88 70 3,200 2,416 1,008 826 252 146 1,038 639 2015Q3 671 2,038 1,012 692 245 259 206 90 97 3,438 2,497 861 758 209 137 1,101 652 2015Q4 687 2,062 897 673 231 237 204 82 55 3,115 2,269 874 669 201 123 956 606 2016Q1 704 1,969 945 711 240 225 205 79 59 3,397 2,513 941 707 230 133 1,014 632 2016Q2 716 1,925 994 696 237 236 229 73 55 3,510 2,445 993 589 272 120 1,049 633 2016Q3 677 2,050 1,048 764 243 241 207 76 62 3,538 2,336 1,068 612 291 138 1,103 652 2016Q4 660 2,033 1,060 917 241 216 187 75 61 3,336 2,318 1,103 579 304 137 1,135 657 2017Q1 668 2,209 1,038 971 257 233 200 74 73 3,979 2,516 1,178 616 311 148 1,276 679 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G10 (non-US) Securities - Corp. Bonds Securities - MBS Securities - Other Bonds Securities - ABS (non-MBS) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other 2015Q2 87.1 72.1 72.6 52.4 84.9 80.4 73.8 99.1 94.1 45.7 48.3 55.4 44.1 57.4 57.2 45.0 89.4 2015Q3 88.1 71.0 72.3 58.2 83.6 78.9 74.5 99.3 96.0 51.0 49.5 51.5 42.1 55.5 58.1 43.1 88.4 2015Q4 88.4 70.7 71.6 55.9 81.8 80.4 71.1 99.1 94.1 51.7 48.6 53.5 44.0 53.2 53.4 44.2 90.1 34 2016Q1 86.7 69.9 70.0 57.0 80.9 79.6 75.0 99.1 92.6 49.6 50.5 53.7 46.1 59.3 57.1 43.0 90.6 2016Q2 87.8 69.9 67.3 55.8 81.2 77.4 72.1 99.4 94.8 50.7 52.8 55.3 44.4 62.2 58.2 43.2 90.8 2016Q3 86.9 70.6 66.4 53.9 83.5 75.9 78.3 99.0 95.2 53.1 51.8 55.6 47.4 63.7 60.3 45.4 89.6 2016Q4 86.6 70.9 68.9 49.6 82.5 76.9 76.2 98.7 95.0 51.1 48.6 55.4 48.3 63.9 58.6 48.4 89.0 2017Q1 84.7 71.0 66.4 48.9 81.5 75.1 79.2 98.0 95.0 48.3 50.8 56.5 47.2 65.0 62.3 49.7 87.6 October 23, 2017 E Risk and Examinations Office Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q2 7.2 13.4 26.2 45.9 60.0 74.7 2015Q3 7.2 13.7 26.7 46.9 62.5 74.6 2015Q4 7.2 13.4 25.6 45.5 58.2 72.7 2016Q1 7.8 14.1 27.6 47.1 60.2 75.2 2016Q2 8.0 14.2 27.5 46.8 59.9 75.5 2016Q3 8.3 14.4 26.7 47.4 61.7 74.5 2016Q4 8.2 14.2 26.8 49.4 58.7 74.0 2017Q1 8.4 14.6 28.8 47.8 59.6 74.0 Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q2 39.4 63.2 77.4 84.9 88.5 91.9 2015Q3 40.7 63.6 77.0 84.3 87.8 91.3 2015Q4 40.0 63.3 76.7 83.5 87.2 90.6 2016Q1 40.4 64.3 76.8 83.1 86.5 90.1 2016Q2 40.4 63.8 76.4 82.4 86.1 89.9 2016Q3 39.2 62.8 76.0 82.4 85.9 89.6 2016Q4 39.4 62.4 75.5 81.7 85.2 89.0 2017Q1 37.9 61.2 75.4 81.4 85.0 89.0 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2017 Statistic Port. Liquidity Inv. Liquidity At most 1 day 37.9 8.4 At most 7 days 61.2 14.6 At most 30 days 75.4 28.8 At most 90 days 81.4 47.8 At most 180 days 85.0 59.6 At most 365 days 89.0 74.0 Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Suspended Gated 2015Q2 2,318 1,450 38 12 35 2015Q3 2,213 1,378 35 12 33 2015Q4 2,175 1,353 37 13 33 2016Q1 2,097 1,272 38 14 29 35 2016Q2 2,116 1,290 37 16 27 2016Q3 2,152 1,311 38 16 30 2016Q4 2,128 1,271 38 19 27 2017Q1 2,195 1,318 39 27 27 October 23, 2017 Risk and Examinations Office Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2015Q2 1.0 2.0 6.0 15.0 29.0 12.3 2015Q3 1.0 2.0 7.0 16.0 26.0 12.6 2015Q4 1.0 2.0 6.0 18.0 27.0 13.0 2016Q1 1.0 2.0 6.0 16.5 28.0 12.9 36 2016Q2 1.0 3.0 6.0 19.0 28.0 13.7 2016Q3 1.0 3.0 6.5 20.8 31.0 15.6 2016Q4 1.0 3.0 7.0 20.0 31.0 15.7 2017Q1 1.0 3.0 8.5 21.8 32.0 16.8 October 23, 2017 F Risk and Examinations Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2015Q2 1,906 1,074 624 209 11 1,917 2015Q3 1,897 1,000 688 208 11 1,908 2015Q4 1,781 984 577 220 10 1,791 2016Q1 1,844 950 667 227 10 1,853 2016Q2 1,833 948 666 219 9 1,843 2016Q3 1,960 1,045 695 220 11 1,971 2016Q4 1,930 1,050 653 227 12 1,942 2017Q1 2,090 1,140 710 239 14 2,103 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2015Q2 65.3 34.1 *** *** 2015Q3 64.6 34.9 *** *** 2015Q4 64.7 34.7 *** *** 2016Q1 63.7 35.7 0.4 0.1 2016Q2 62.9 36.7 0.3 0.1 2016Q3 65.3 34.2 0.3 0.2 2016Q4 64.2 35.3 0.3 0.2 2017Q1 61.8 37.8 *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2015Q2 1,395 917 478 667 496 170 232 180 52 2,295 2015Q3 1,313 843 470 721 544 177 242 196 46 2,277 2015Q4 1,289 816 473 603 447 156 267 224 43 2,159 37 2016Q1 1,235 785 449 688 517 171 274 228 47 2,197 2016Q2 1,207 758 449 685 491 194 255 216 39 2,147 2016Q3 1,314 839 475 740 540 200 261 221 40 2,316 2016Q4 1,310 837 472 669 428 241 271 196 75 2,250 2017Q1 1,434 920 514 753 488 266 296 232 63 2,483 October 23, 2017 Risk and Examinations Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Question 43 (Third Month). 1.0 1.0 1.1 1.4 1.7 1.2 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.4 1.6 1.2 1.0 1.0 1.1 1.4 1.6 1.2 38 1.0 1.0 1.1 1.5 1.7 1.2 1.0 1.0 1.1 1.5 1.7 1.2 1.0 1.0 1.1 1.4 1.7 1.2 1.0 1.0 1.1 1.4 1.7 1.3 1.0 1.0 1.0 1.4 1.7 1.2 1.0 1.0 1.0 1.4 1.6 1.2 *** *** *** *** *** *** 1.0 1.0 1.0 1.3 1.6 1.2 -0 3 201 7 -0 3 0.7 1.0 1.2 2.1 4.5 4.1 -03 2 2 2 7-0 201 1.0 1.0 1.0 1.3 1.6 1.2 201 7 7-0 7-0 1 0.7 1.0 1.2 2.1 4.5 3.7 0.8 1.0 1.3 2.1 4.3 2.7 201 7 7-0 1 7-0 201 201 0.7 1.0 1.3 2.3 5.7 5.0 201 6-1 201 1 6-1 201 6-1 6-0 201 8 6-0 201 1.0 1.0 1.1 1.4 1.7 1.2 201 201 6-0 6-0 201 1.0 1.0 1.1 1.5 1.7 1.3 201 201 6 -1 2 0.7 1.0 1.3 2.2 5.1 3.6 1 201 6 -1 1 0.7 1.0 1.3 2.0 4.6 3.3 7-0 201 6 -1 2 201 6-1 0 0.8 1.0 1.2 2.0 4.4 2.8 0.8 1.0 1.2 2.0 4.2 2.6 201 201 6 -1 1 201 6-0 9 0.7 1.0 1.2 1.9 4.1 2.8 0.8 1.0 1.3 2.1 4.8 4.3 2 201 6-1 0 201 6-0 8 0.7 1.0 1.2 2.0 4.3 2.6 0.7 1.0 1.2 2.0 4.0 2.2 0 201 6-0 9 0.8 1.0 1.2 2.0 4.3 2.7 9 0.8 1.0 1.2 1.9 3.7 2.5 7 7 0.8 1.0 1.2 1.9 3.6 2.2 6-0 201 6-0 8 0.8 1.0 1.2 1.9 4.1 2.3 6 6-0 201 5 6-0 4 6-0 1.0 1.0 1.1 1.5 1.7 1.2 201 201 201 6-0 3 2 6-0 201 -01 201 6 5-1 2 1.0 1.0 1.1 1.4 1.6 1.2 0.8 1.0 1.2 1.9 3.8 2.2 201 201 6 -0 6 201 6 -0 5 201 6-0 4 6 -0 3 201 201 6-0 2 2 6-0 1 201 201 5-1 1 1.0 1.0 1.1 1.4 1.6 1.2 201 5-1 1 0.8 0.8 0.8 0.8 0.8 0.8 0.7 0.7 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.3 1.3 1.3 1.2 1.2 1.2 1.2 1.2 2.2 2.2 2.1 2.1 2.1 2.2 2.2 2.1 5.0 4.5 4.7 4.8 4.4 4.3 4.4 4.5 2.5 2.4 2.5 2.5 2.5 2.5 2.6 2.4 Ratio of Collateral/Reverse Repo Borrowing 0.8 1.0 1.2 1.9 3.5 2.0 7 201 6 -0 6 201 6 -0 5 6 -0 3 201 6-0 4 201 201 6-0 2 2 6-0 1 201 1 201 5-1 201 5-1 9 5-1 0 1.0 1.0 1.1 1.4 1.6 1.2 201 5-1 5-1 0 -10 0.8 1.0 1.3 2.2 4.9 2.8 0.8 0.9 0.9 0.8 0.9 0.9 0.8 0.8 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.3 1.3 1.2 1.2 1.2 1.2 1.3 1.3 2.0 2.0 1.9 1.9 1.9 1.9 1.9 1.9 4.1 4.1 4.1 4.0 3.9 3.7 3.5 4.0 2.3 2.6 2.3 2.2 2.3 2.1 2.1 2.2 Ratio of Collateral/Prime Broker Borrowing 201 201 201 9 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.3 1.9 4.0 2.4 201 5 5-0 201 5-0 201 0.8 1.0 1.3 2.3 5.1 2.8 5-0 9 8 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.3 2.0 4.3 2.6 201 5-0 8 -07 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.3 2.4 5.0 3.3 201 0.8 1.0 1.3 2.3 5.3 3.0 8 201 5-0 201 5-0 5-0 7 5-0 7 201 1.0 1.0 1.3 2.1 4.3 2.7 201 6 5-0 6 201 5 1.0 1.0 1.1 1.4 1.6 1.2 0.9 1.0 1.3 2.0 4.2 2.5 201 5 0.8 1.0 1.3 2.3 5.3 3.0 6 201 5-0 201 5-0 5-0 5 5 5-0 201 0.9 1.0 1.3 2.3 5.2 3.0 5-0 5-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.3 2.1 4.5 2.6 201 201 5 0.8 1.0 1.3 2.3 5.0 2.9 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.3 2.0 4.3 2.6 201 0.9 1.0 1.3 2.0 4.0 2.7 -04 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 5 -04 Ratio of Total Collateral/Total Secured Borrowing 1.0 1.0 1.1 1.4 1.6 1.2 October 23, 2017 Risk and Examinations Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q2 44.8 53.0 64.6 80.3 94.7 97.6 2015Q3 45.3 54.1 66.2 80.7 95.1 97.5 2015Q4 31.0 38.5 66.5 78.1 88.7 98.3 2016Q1 43.7 52.9 66.5 82.0 96.1 97.4 2016Q2 44.5 53.3 65.9 82.0 95.9 97.3 2016Q3 36.8 53.8 65.3 81.2 96.0 97.4 2016Q4 36.0 48.7 64.1 81.3 95.8 97.1 2017Q1 37.2 53.9 65.4 80.6 95.9 97.2 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of First Calendar Quarter 2017. Statistic Financing Liquidity G At most 1 day 37.2 At most 7 days 53.9 At most 30 days 65.4 At most 90 days 80.6 At most 180 days 95.9 At most 365 days 97.2 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2015Q2 19.9 19.8 2015Q3 18.2 19.0 2015Q4 17.8 18.2 2016Q1 18.0 17.8 39 2016Q2 17.3 16.8 2016Q3 16.2 17.1 2016Q4 17.4 16.2 2017Q1 16.2 16.8 October 23, 2017 H Risk and Examinations Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q2 609 229 206 188 32 980 2015Q3 617 232 205 191 36 1,005 2015Q4 620 232 203 194 36 1,017 2016Q1 619 239 196 192 36 975 2016Q2 623 236 188 190 39 980 2016Q3 619 238 185 193 44 995 2016Q4 628 233 196 196 40 1,019 2017Q1 637 237 202 190 42 1,030 Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q2 3,049 1,650 686 809 191 2,095 2015Q3 3,067 1,655 688 816 186 1,994 2015Q4 2,895 1,543 633 729 219 1,970 2016Q1 2,964 1,586 648 729 218 1,912 2016Q2 3,084 1,670 628 756 218 1,896 2016Q3 3,134 1,743 640 746 230 1,976 2016Q4 3,082 1,680 645 731 249 1,992 2017Q1 3,268 1,808 862 737 285 2,063 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2015Q2 1,336 511 372 493 57 1,506 2015Q3 1,291 490 369 463 61 1,446 2015Q4 1,280 474 356 468 74 1,431 40 2016Q1 1,245 455 346 457 71 1,384 2016Q2 1,267 475 336 449 73 1,376 2016Q3 1,282 494 340 462 75 1,428 2016Q4 1,276 471 352 459 74 1,439 2017Q1 1,318 484 403 465 75 1,482 October 23, 2017 I Risk and Examinations Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q2 525 428 84 552 2015Q3 532 462 85 543 2015Q4 538 456 82 561 2016Q1 535 444 84 531 2016Q2 542 454 81 526 2016Q3 544 447 75 548 2016Q4 552 453 76 566 2017Q1 545 451 92 579 Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q2 2,837 1,085 212 1,010 2015Q3 2,852 1,065 215 930 2015Q4 2,674 1,032 221 938 2016Q1 2,746 1,011 218 901 2016Q2 2,880 1,008 204 888 2016Q3 2,955 1,030 179 946 2016Q4 2,903 1,001 179 992 2017Q1 3,028 1,076 240 987 Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2015Q2 1,198 712 138 793 2015Q3 1,150 713 141 733 2015Q4 1,141 694 140 736 2016Q1 1,119 669 125 715 41 2016Q2 1,136 666 131 710 2016Q3 1,165 666 117 762 2016Q4 1,159 661 117 779 2017Q1 1,172 683 146 798 October 23, 2017 Risk and Examinations Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2015Q2 73.8 92.1 99.4 100.0 100.0 100.0 2015Q3 74.1 92.3 99.4 100.0 100.0 100.0 2015Q4 74.4 92.2 99.4 100.0 100.0 100.0 2016Q1 81.2 96.0 99.7 100.0 100.0 100.0 2016Q2 77.4 96.0 99.7 100.0 100.0 100.0 2016Q3 80.1 98.3 99.9 100.0 100.0 100.0 2016Q4 80.9 97.3 99.6 99.8 99.9 100.0 2017Q1 78.0 95.5 99.7 100.0 100.0 100.0 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2015Q3 252 222 0 0 2015Q4 268 235 0 0 2016Q1 232 200 0 0 2016Q2 241 207 0 0 2016Q3 232 199 0 0 2016Q4 253 220 0 0 2017Q1 246 215 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 2 7-0 3 1 201 201 201 201 201 201 7-0 201 6-1 201 7-0 1 2 0 6-1 201 6-0 201 6-1 9 8 7 6-0 201 6-0 201 6-0 6 5 4 6-0 3 201 6-0 201 6-0 2 1 6-0 2 201 6-0 1 201 5-1 0 201 5-1 201 5-1 8 9 201 5-0 7 201 5-0 6 201 5-0 201 5-0 5-0 201 Statistic Average WAM Asset-Weighted WAM 201 5-0 4 5 As reported on Form PF, Questions 55. 35.4 40.1 34.9 38.9 33.3 40.3 33.3 38.4 29.1 38.3 30.3 39.6 33.7 39.1 32.2 40.2 30.9 42.4 33.4 43.5 34.5 49.3 36.3 49.6 33.1 45.6 30.2 41.6 30.5 42.1 29.0 41.2 28.3 44.8 30.7 44.8 28.9 42.2 28.3 43.0 29.0 39.3 34.5 42.9 32.0 42.1 31.7 40.3 Figure 18: Weighted-Average Life of Section 3 Liquidity Funds (Days) 3 2 201 201 7-0 201 7-0 1 201 6-1 201 7-0 2 1 0 201 6-1 9 201 6-1 201 6-0 201 6-0 8 7 201 6-0 6 5 201 6-0 4 201 6-0 3 201 6-0 201 6-0 6-0 201 6-0 2 2 1 1 5-1 201 5-1 201 60.6 63.1 59.3 66.0 61.2 64.8 56.0 64.1 57.5 65.1 60.1 64.6 59.7 69.1 55.4 68.7 61.4 70.8 61.7 73.6 63.3 74.0 81.9 81.1 79.6 76.7 80.1 78.8 78.2 78.3 77.8 85.6 74.5 82.6 62.0 78.9 61.1 78.4 61.5 70.4 67.5 74.3 65.1 76.8 65.2 77.5 5-1 201 0 9 5-0 201 8 7 5-0 201 5-0 201 6 5 60.9 63.5 5-0 201 5-0 5-0 201 Statistic Average WAL Asset-Weighted WAL 201 4 As reported on Form PF, Questions 55. Figure 19: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 1 0 3 0.54 0.49 7-0 0.46 0.44 201 0.47 0.43 2 0.50 0.43 7-0 0.49 0.43 201 0.45 0.43 2 0.42 0.42 7-0 0.41 0.39 6-1 0.38 0.36 201 0.32 0.31 1 0.22 0.22 6-1 0.20 0.19 201 0.20 0.18 6-1 0.20 0.18 201 0.21 0.17 201 9 6-0 201 8 6-0 201 7 6-0 6 201 6-0 201 6-0 201 5 4 6-0 201 3 201 0.19 0.17 42 6-0 2 6-0 201 6-0 1 2 201 5-1 201 1 5-1 201 0 9 0.19 0.16 5-0 201 5-1 8 5-0 201 7 201 5-0 201 6 5-0 5 0.18 0.16 5-0 201 Statistic Average Gross Yield Asset-Weighted Gross Yield 201 5-0 4 As reported on Form PF, Questions 55. 201 B 2015Q2 248 215 0 0 0.47 0.53 0.48 0.54 0.66 0.63 0.88 0.69 0.90 0.70 1.07 0.83 October 23, 2017 Risk and Examinations Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 2 201 7-0 3 1 47.72 56.74 45.91 53.39 45.79 50.43 46.28 52.78 45.16 51.56 47.42 55.51 46.80 51.92 49.53 52.41 43.19 49.64 43.06 51.95 45.35 53.09 45.84 51.00 45.96 48.27 45.05 46.95 7-0 201 2 201 7-0 1 45.12 53.51 6-1 201 0 201 46.75 49.69 6-1 201 6-1 9 6-0 201 8 7 6-0 201 6 6-0 201 5 201 6-0 201 6-0 4 3 6-0 201 6-0 2 6-0 201 6-0 201 1 2 201 1 5-1 201 0 48.63 53.32 5-1 201 9 46.94 50.41 5-1 201 47.87 52.59 5-0 48.43 52.88 5-0 201 8 7 44.49 48.64 5-0 201 6 201 45.60 49.37 5-0 201 43.63 47.66 5-0 201 41.45 45.75 5-0 201 Statistic Average DLA Asset-Weighted DLA 5 4 As reported on Form PF, Questions 55. Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -03 2 201 7 1 201 7-0 2 201 7-0 1 57.02 63.11 57.95 60.07 61.64 60.22 57.37 57.65 57.36 60.37 59.88 62.29 59.29 60.06 59.10 56.93 60.73 58.18 6-1 201 6-1 0 55.00 59.26 6-1 201 56.13 60.48 6-0 201 54.48 57.80 6-0 201 53.86 59.62 6-0 201 9 8 7 6 201 5 201 6-0 4 56.31 61.85 6-0 201 53.45 60.12 43 6-0 3 6-0 201 2 6-0 201 1 56.34 56.58 6-0 201 2 5-1 201 1 201 58.12 58.96 5-1 201 0 9 56.97 57.72 5-1 57.13 58.77 5-0 201 8 58.47 58.81 5-0 201 7 57.57 55.95 5-0 201 6 201 54.86 56.47 5-0 201 52.99 55.51 5-0 201 53.35 54.42 5-0 201 Statistic Average WLA Asset-Weighted WLA 5 4 As reported on Form PF, Questions 55. October 23, 2017 C Risk and Examinations Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None 2015Q2 61.9 59.5 59.5 59.5 54.8 35.7 2015Q3 60.0 57.5 57.5 57.5 52.5 37.5 2015Q4 63.4 61.0 61.0 61.0 56.1 34.1 2016Q1 61.1 58.3 52.8 58.3 47.2 36.1 2016Q2 64.9 62.2 54.1 62.2 48.6 32.4 2016Q3 61.1 58.3 55.6 58.3 50.0 36.1 2016Q4 59.1 56.8 56.8 56.8 50.0 38.6 2017Q1 57.8 55.6 55.6 55.6 48.9 40.0 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None D 2015Q2 23.6 23.6 23.5 23.5 22.7 76.2 2015Q3 21.8 21.8 21.5 21.5 20.8 78.1 2015Q4 22.4 22.4 22.3 22.3 21.5 77.4 2016Q1 16.2 16.2 10.8 16.0 10.0 83.6 2016Q2 17.9 17.9 11.3 17.7 10.4 82.0 2016Q3 13.5 13.5 12.2 13.5 11.0 86.1 2016Q4 14.4 13.8 13.6 13.6 11.8 85.5 2017Q1 15.5 14.9 14.8 14.8 12.8 84.3 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2015Q2 *** *** 2015Q3 *** *** 2015Q4 *** *** 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** 2016Q4 81.8 18.2 2017Q1 80.0 20.0 Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2015Q2 *** *** 2015Q3 *** *** 2015Q4 *** *** 2016Q1 *** *** 44 2016Q2 *** *** 2016Q3 *** *** 2016Q4 69.9 30.1 2017Q1 71.4 28.6 October 23, 2017 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 As reported on Form PF, Question 56. Product Type U.S. Treasuries Other Deposits Repo - Govt. Collateral Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 2015Q2 61.7 49.6 40.8 38.9 41.1 14.0 10.2 5.7 0.4 2015Q3 *** 53.6 37.3 44.2 37.3 12.3 9.2 6.4 *** 2015Q4 80.5 51.3 42.7 33.1 34.1 13.9 7.4 8.7 0.5 2016Q1 79.7 39.2 32.6 30.9 22.8 12.8 *** 5.5 *** Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 3 73.3 73.4 42.4 38.8 15.5 37.2 24.0 4.2 3.0 65.0 65.6 62.9 34.6 19.0 26.7 21.8 3.7 1.0 63.4 68.8 60.6 36.7 18.4 19.1 20.0 3.3 1.0 75.0 64.2 53.7 45.5 30.3 24.2 23.6 4.9 0.8 7-0 59.1 71.2 29.3 32.4 10.3 41.0 21.4 3.9 1.1 7-0 201 2 1 201 55.1 65.9 29.9 33.5 7.6 43.8 21.7 4.9 1.0 7-0 201 -12 201 6 1 55.3 64.8 33.7 26.9 6.4 35.9 22.8 5.9 1.1 6-1 201 0 58.1 67.2 31.6 26.0 *** 41.7 20.2 5.0 *** 6-1 61.7 70.3 29.3 27.1 *** 36.6 19.0 5.9 *** 45 9 201 55.3 69.9 30.4 25.5 *** 35.6 16.8 5.2 *** 6-0 201 8 201 62.1 67.1 28.0 26.6 *** 40.8 14.0 4.2 *** 6-0 201 6-0 7 6-0 6 5 201 Product Type Deposits U.S. Treasuries Other Commercial Paper Repo - Other Collateral Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt 6-0 55.7 66.8 24.0 28.0 *** 42.8 12.8 4.4 *** 6-0 201 4 As reported on Form PF, Question 63. 201 E Risk and Examinations Office October 23, 2017 XI A Risk and Examinations Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 63: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Oil & Gas Extraction Software Publishers Electric Power Generation, Transmission & Distribution Telecommunications Data Processing Services Pipeline Transportation Other Insurance Related Activities Data Processing, Hosting, & Related Services Other Information Services Other Financial Vehicles Other Financial Investment Activities Custom Computer Programming Services Pharmaceutical & Medicine Mfg Management, Scientific, & Technical Consulting Services Investigation & Security Services Educational Services Insurance Agencies & Brokerages Activities Related to Credit Intermediation Computer Systems Design Services 46 2013Q4 7.9 2.9 3.8 2.6 2.5 0.9 2.9 2.0 0.4 2.0 0.9 1.0 1.0 0.5 1.1 0.9 1.2 0.5 2014Q4 7.8 3.8 3.9 2.5 2.6 1.0 2.3 2.1 0.4 1.8 1.0 1.3 1.2 0.5 1.1 1.0 1.2 0.8 2015Q4 5.8 4.9 3.7 2.7 2.4 1.0 1.8 1.9 0.6 1.8 1.5 1.5 1.1 0.7 1.3 1.0 1.4 0.6 2016Q4 6.7 6.1 4.1 2.3 2.2 2.0 2.0 1.8 1.8 1.7 1.5 1.4 1.3 1.2 1.2 1.2 1.0 1.0 October 23, 2017 B Risk and Examinations Office CPC Financial Leverage Figure 22: Ratio of Portfolio Company Current to Total Liabilities (Percent) As reported on Form PF, Questions 71 and 72. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 0.7 1.8 5.8 20.0 49.4 17.2 2014Q4 0.6 1.4 5.4 18.1 51.0 16.4 2015Q4 0.7 1.7 6.0 20.0 49.9 16.7 2016Q4 0.8 1.9 6.9 20.7 54.3 17.5 Figure 23: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) As reported on Form PF, Questions 73. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 1.0 4.0 9.0 18.0 33.0 14.8 2014Q4 2.0 3.0 9.0 23.0 40.0 17.0 47 2015Q4 2.0 4.0 9.0 22.0 48.0 18.3 2016Q4 2.0 4.0 9.0 22.0 48.0 18.6 October 23, 2017 C Risk and Examinations Office CPC Investments by Region and Country Table 64: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 5,274 1,423 571 75 65 25 20 8 2014Q4 4,501 1,259 462 85 67 9 12 12 2015Q4 4,132 941 447 58 23 21 12 9 2016Q4 3,942 848 406 111 37 22 18 14 Table 65: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Supranational Europe Other Africa Middle East 2013Q4 70.7 19.1 7.6 1.0 0.9 0.3 0.3 0.1 2014Q4 70.2 19.6 7.2 1.3 1.0 0.1 0.2 0.2 48 2015Q4 73.2 16.7 7.9 1.0 0.4 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 2.0 0.7 0.4 0.3 0.3 October 23, 2017 Risk and Examinations Office Table 66: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 5,035 171 63 45 233 3 2014Q4 4,300 186 83 58 98 2 2015Q4 3,943 173 89 41 85 5 2016Q4 3,776 114 92 88 79 4 Table 67: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong India Brazil Japan Russia 2013Q4 67.5 2.3 0.8 0.6 3.1 0.0 49 2014Q4 67.1 2.9 1.3 0.9 1.5 0.0 2015Q4 69.9 3.1 1.6 0.7 1.5 0.1 2016Q4 69.9 2.1 1.7 1.6 1.5 0.1 October 23, 2017 XII A Risk and Examinations Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.7 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.8 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.9 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 7 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 8 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 9 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 50 October 23, 2017 3 Risk and Examinations Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.10 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 10 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 51 October 23, 2017 B Risk and Examinations Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.11 C Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While REO staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.12 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 11 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 12 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 52 October 23, 2017 D Risk and Examinations Office Definitions Included by reference are all definitions included in the glossary of Form PF. Aggregate Exposure A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets. Borrowing In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements). CPC Controlled portfolio company, as defined in Form PF. Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF. IRDs Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging. Large Hedge Fund Adviser An adviser that has at least $1.5 billion in hedge fund assets under management. 53 October 23, 2017 Risk and Examinations Office Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management. Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets under management. Parallel Managed Account An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the reporting fund. Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser. Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser. Value For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors. 54 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ac1f1ec4e54a6875f. Public record. Not legal advice.