# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ac6c4213e13bdc7f5 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Third Calendar Quarter 2021 March 30, 2022 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. March 30, 2022 Analytics 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 Fourth Calendar Quarter 2019 through Third Calendar Quarter 2021 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 Third Calendar Quarter 2021 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “Third Calendar Quarter 2021-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 Contents I II III IV V VI 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fund Domiciles and Adviser Main Offices Beneficial Ownership A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Derivatives 5 5 8 10 11 13 15 15 16 17 18 19 20 Additional Hedge Fund Industry Information A High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . D Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . 21 21 22 24 26 VII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 28 30 31 32 VIII Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 34 36 38 39 41 42 44 46 47 2 March 30, 2022 J K Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 49 A B C D E Section 3 Liquidity Fund Specific Information Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 51 51 53 53 54 A B C Section 4 Private Equity Fund Specific Information CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 55 55 56 57 Appendices 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 59 59 59 60 60 60 61 61 62 IX X XI Analytics Office A 3 March 30, 2022 I Analytics 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 2019Q4 14,347 9,309 4,966 4,394 3,118 1,821 1,719 1,156 65 43 34,680 2020Q1 14,484 9,384 4,968 4,405 3,119 1,825 1,721 1,158 64 41 34,898 2020Q2 14,496 9,416 4,973 4,405 3,115 1,814 1,721 1,155 67 45 34,943 2020Q3 14,493 9,477 4,961 4,408 3,116 1,780 1,726 1,150 69 47 34,992 2020Q4 15,734 9,374 5,380 5,267 3,289 1,793 1,847 1,422 72 53 37,118 2021Q1 15,823 9,479 5,396 5,292 3,292 1,860 1,852 1,422 73 54 37,337 2021Q2 15,861 9,615 5,374 5,308 3,295 1,966 1,900 1,424 76 56 37,545 2021Q3 15,835 9,484 5,339 5,309 3,289 2,013 1,895 1,419 77 57 37,338 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 2019Q4 1,357 1,734 647 323 375 554 161 153 36 22 3,238 2020Q1 1,362 1,731 643 325 375 543 160 154 36 21 3,240 2020Q2 1,364 1,727 644 325 372 540 160 153 37 22 3,240 2020Q3 1,367 1,728 642 326 373 530 161 152 38 23 3,237 2020Q4 1,448 1,759 688 366 388 545 162 178 37 24 3,381 2021Q1 1,454 1,759 690 367 388 568 162 177 37 24 3,386 2021Q2 1,457 1,764 688 369 389 589 163 176 37 24 3,390 2021Q3 1,455 1,758 679 369 388 592 162 176 37 24 3,379 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 March 30, 2022 Analytics 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 Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2019Q4 8,180 6,713 3,736 2,743 1,396 662 649 296 291 144 15,062 2020Q1 7,746 6,322 3,811 2,795 1,367 666 647 301 295 144 14,682 2020Q2 7,780 6,403 3,809 2,795 1,382 666 647 309 306 145 14,737 2020Q3 8,207 6,825 3,811 2,796 1,391 666 649 329 326 150 15,203 2020Q4 8,776 7,096 4,713 3,586 1,476 811 705 326 324 225 17,033 2021Q1 8,920 7,233 4,821 3,665 1,495 810 707 314 312 223 17,290 2021Q2 9,583 7,893 4,824 3,673 1,507 810 724 330 328 222 18,000 2021Q3 9,778 8,301 4,825 3,674 1,436 812 723 310 308 222 18,105 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 Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2019Q4 4,135 3,238 3,305 2,442 1,232 504 205 293 288 137 9,811 2020Q1 3,782 2,917 3,374 2,493 1,204 507 202 297 291 138 9,504 2020Q2 4,092 3,215 3,374 2,493 1,215 507 202 303 300 138 9,832 5 2020Q3 4,300 3,401 3,374 2,493 1,229 507 204 323 320 144 10,081 2020Q4 4,664 3,574 4,161 3,203 1,299 615 213 322 320 218 11,492 2021Q1 4,813 3,740 4,264 3,276 1,317 613 211 304 302 215 11,738 2021Q2 5,133 4,057 4,269 3,283 1,340 613 214 319 317 214 12,102 2021Q3 5,111 4,161 4,269 3,283 1,273 615 215 302 300 215 12,000 March 30, 2022 Analytics 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) 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 0.2 0.2 0.2 0.2 0.2 0.2 0.6 0.5 0.5 0.6 0.6 0.6 1.2 1.0 1.2 1.2 1.3 1.4 2.8 2.5 2.7 2.9 3.0 3.0 6.4 6.0 6.2 6.7 7.0 6.7 3.7 3.5 3.5 3.8 4.0 3.9 Qualifying Hedge Fund NAV ($ Billions) 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 0.1 0.1 0.1 0.1 0.2 0.2 0.5 0.4 0.5 0.5 0.5 0.5 0.9 0.8 0.8 0.9 0.9 1.0 1.8 1.6 1.8 1.9 2.0 1.9 3.7 3.4 3.9 4.2 4.4 4.5 1.8 1.6 1.8 1.9 2.0 2.0 Section 4 Private Equity Fund GAV ($ Billions) 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 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 0.5 0.5 0.5 0.5 0.5 0.5 1.4 1.4 1.4 1.4 1.5 1.5 0.6 0.6 0.6 0.6 0.7 0.7 Section 4 Private Equity Fund NAV ($ Billions) 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 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 1.2 1.2 1.2 1.2 1.3 1.3 0.6 0.6 0.6 0.6 0.6 0.6 6 2021Q2 0.2 0.7 1.4 3.1 7.0 4.0 2021Q3 0.3 0.7 1.4 3.1 7.0 4.1 2021Q2 0.2 0.6 1.0 2.0 4.7 2.1 2021Q3 0.2 0.6 1.0 2.0 4.7 2.1 2021Q2 0.0 0.0 0.1 0.5 1.5 0.7 2021Q3 0.0 0.0 0.1 0.5 1.5 0.7 2021Q2 0.0 0.0 0.1 0.4 1.3 0.6 2021Q3 0.0 0.0 0.1 0.4 1.3 0.6 March 30, 2022 Analytics 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 2019Q4 1.0 1.0 1.0 1.1 2.1 1.8 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 1.0 1.0 1.2 1.6 2.6 1.7 All Private Funds 2020Q1 2020Q2 2020Q3 2020Q4 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.1 1.1 1.1 2.1 2.1 2.1 2.1 1.8 1.8 1.8 1.8 Qualifying Hedge Funds 2020Q1 2020Q2 2020Q3 2020Q4 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.1 1.2 1.7 1.6 1.6 1.6 2.6 2.6 2.5 2.6 1.7 1.6 1.6 1.6 7 2021Q1 1.0 1.0 1.0 1.1 2.1 1.8 2021Q2 1.0 1.0 1.0 1.1 2.1 1.8 2021Q3 1.0 1.0 1.0 1.1 2.1 1.8 2021Q1 1.0 1.0 1.2 1.6 2.7 1.6 2021Q2 1.0 1.0 1.1 1.6 2.7 1.6 2021Q3 1.0 1.0 1.1 1.6 2.7 1.6 March 30, 2022 B Analytics 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 Section 4 Private Equity Fund Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2019Q4 52.5 47.4 43.5 14.8 7.3 6.5 4.5 0.8 0.0 0.0 2020Q1 49.0 45.9 42.3 14.9 7.3 6.4 4.8 0.7 0.0 0.0 2020Q2 47.7 45.3 41.3 14.6 7.3 6.4 4.7 0.8 0.0 0.0 2020Q3 47.5 47.0 43.0 14.6 7.3 6.4 4.8 0.8 0.0 0.0 2020Q4 53.8 45.6 41.0 13.8 5.1 5.0 5.0 0.5 0.0 0.0 2021Q1 50.5 45.2 40.9 13.9 4.9 4.7 4.9 0.5 0.0 0.0 2021Q2 50.4 45.7 41.6 13.6 4.9 4.7 4.1 0.5 0.0 0.0 2021Q3 50.2 44.6 41.3 14.0 4.9 4.7 3.9 0.5 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 2019Q4 0.0 0.0 0.0 0.2 0.6 0.5 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 0.0 0.0 0.3 1.1 3.7 2.7 All Private Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 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 0.5 0.5 0.5 0.5 0.5 Qualifying Hedge Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.9 1.0 1.1 1.2 1.3 3.0 3.0 3.6 4.0 4.0 2.4 2.5 2.8 2.8 2.8 8 2021Q2 0.0 0.0 0.0 0.3 0.6 0.6 2021Q3 0.0 0.0 0.0 0.3 0.6 0.6 2021Q2 0.0 0.1 0.4 1.4 4.3 2.9 2021Q3 0.0 0.1 0.4 1.3 4.1 3.0 March 30, 2022 Analytics 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 2019Q4 0.0 0.0 0.2 0.9 5.8 2.3 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 0.0 0.1 0.3 0.9 2.2 0.9 All Private Funds 2020Q1 2020Q2 2020Q3 2020Q4 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 0.9 0.9 0.9 5.6 5.2 5.1 6.4 2.3 2.3 2.3 2.6 Qualifying Hedge Funds 2020Q1 2020Q2 2020Q3 2020Q4 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.8 0.8 0.8 0.8 1.9 2.0 2.3 2.3 0.8 0.8 0.8 0.9 2021Q1 0.0 0.0 0.2 0.8 6.4 2.6 2021Q2 0.0 0.0 0.2 0.9 6.6 2.6 2021Q3 0.0 0.0 0.2 0.9 7.0 2.6 2021Q1 0.0 0.1 0.3 0.8 2.3 0.9 2021Q2 0.0 0.1 0.3 0.9 2.4 0.9 2021Q3 0.0 0.1 0.3 0.9 2.5 0.9 Table 6: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2019Q4 65.6 31.1 2.4 1.0 2020Q1 64.9 32.4 2.6 1.0 2020Q2 66.7 30.8 2.5 1.0 9 2020Q3 64.7 32.9 2.4 1.0 2020Q4 66.3 30.4 2.3 1.0 2021Q1 67.2 30.1 2.4 1.0 2021Q2 67.7 29.9 2.2 0.9 2021Q3 67.0 30.5 2.3 0.9 March 30, 2022 C Analytics Office Fair Value Hierarchy Table 7: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2019Q4 3,849 3,486 4,061 2,369 2020Q1 3,816 3,510 4,113 2,354 2020Q2 3,825 3,500 4,118 2,345 2020Q3 3,836 3,519 4,128 2,342 2020Q4 4,249 3,651 5,070 2,333 2021Q1 4,279 3,633 5,171 2,339 2021Q2 4,315 3,642 5,202 2,333 2021Q3 4,383 3,644 5,273 2,323 Table 8: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2019Q4 1,284 1,033 264 2,231 2020Q1 1,298 1,068 268 2,238 2020Q2 1,289 1,059 268 2,228 2020Q3 1,299 1,066 267 2,228 10 2020Q4 1,344 1,197 294 2,067 2021Q1 1,336 1,175 296 2,080 2021Q2 1,340 1,179 303 2,075 2021Q3 1,342 1,197 338 2,071 March 30, 2022 D Analytics Office Parallel Managed Accounts4 Table 9: 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 Qualifying Hedge Fund Other Private Fund Section 4 Private Equity Fund Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Total 2019Q4 614 222 505 136 332 12 11 95 *** *** 1,565 2020Q1 628 232 501 136 331 12 11 95 *** *** 1,574 2020Q2 610 227 500 135 330 11 11 95 *** *** 1,553 2020Q3 601 221 493 135 330 11 11 95 *** *** 1,537 2020Q4 597 210 478 103 311 *** 11 73 17 *** 1,489 2021Q1 581 199 475 103 311 *** 11 73 17 *** 1,470 2021Q2 574 199 487 115 312 *** 11 73 17 *** 1,477 2021Q3 558 206 486 115 312 *** *** 73 17 *** 1,459 Table 10: 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 Qualifying Hedge Fund Other Private Fund Section 4 Private Equity Fund Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Total 2019Q4 717 477 2,068 38 58 317 316 10 *** *** 3,171 2020Q1 637 433 2,052 38 58 378 377 10 *** *** 3,135 2020Q2 638 434 2,044 38 58 366 366 10 *** *** 3,117 2020Q3 634 414 2,028 38 58 383 383 10 *** *** 3,113 2020Q4 764 473 2,583 44 98 *** 391 7 1 *** 3,845 2021Q1 768 470 2,620 44 98 *** 411 7 1 *** 3,905 2021Q2 808 512 2,647 68 98 *** 396 7 1 *** 3,970 2021Q3 840 550 2,642 68 98 *** *** 7 1 *** 3,993 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 March 30, 2022 Analytics 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 2019Q4 0.0 0.0 0.2 1.1 3.5 2.0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 0.1 0.2 0.5 1.6 4.4 2.2 All Private Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 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 0.3 0.3 1.0 1.0 1.0 1.3 1.3 3.4 3.3 3.4 4.9 5.0 2.0 2.0 2.0 2.6 2.7 Qualifying Hedge Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.5 0.5 0.5 0.5 0.6 1.4 1.6 1.6 1.9 1.9 3.9 3.9 4.3 5.1 6.0 1.9 1.9 1.9 2.3 2.4 12 2021Q2 0.0 0.0 0.3 1.5 5.0 2.7 2021Q3 0.0 0.0 0.3 1.5 5.0 2.7 2021Q2 0.1 0.2 0.6 2.1 6.3 2.6 2021Q3 0.1 0.2 0.6 2.1 6.2 2.7 March 30, 2022 III Analytics Office Fund Domiciles and Adviser Main Offices Table 11: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Virgin Islands, British Bermuda United Kingdom Other Country Cayman Islands United States Ireland Virgin Islands, British Luxembourg Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands Canada United Kingdom Bermuda Other All Private Funds 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 51.2 51.4 50.9 50.4 51.1 34.5 34.1 34.6 34.9 34.3 4.6 4.5 4.6 4.8 4.3 3.2 3.1 3.1 3.2 3.7 1.3 1.1 1.1 1.1 1.0 1.1 1.1 1.1 1.0 1.0 1.1 1.0 1.0 1.0 1.0 3.1 3.7 3.7 3.6 3.6 Qualifying Hedge Funds 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 51.4 52.4 52.5 53.2 53.4 35.1 34.9 35.1 34.6 34.1 3.1 2.9 3.1 3.1 3.2 3.6 3.2 3.0 2.9 2.8 2.7 2.6 2.5 2.6 2.7 2.1 2.2 2.0 1.9 1.8 1.9 1.7 1.8 1.8 2.0 Section 3 Liquidity Funds 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 *** *** *** *** *** 22.1 25.1 24.1 22.9 25.5 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 56.2 55.0 55.1 55.1 56.3 32.0 31.4 31.3 31.3 29.6 1.7 1.8 1.8 1.8 2.2 1.9 1.7 1.7 1.7 1.5 1.0 1.0 1.0 1.0 1.1 7.2 9.1 9.1 9.1 9.3 13 2021Q1 50.9 34.2 4.1 3.6 1.0 1.0 1.0 4.1 2021Q2 50.0 34.3 4.1 3.7 1.0 1.0 0.9 5.0 2021Q3 49.6 34.8 4.0 3.7 1.0 1.0 0.9 5.0 2021Q1 52.7 35.0 3.1 2.8 2.6 1.7 2.1 2021Q2 51.6 34.0 3.2 2.7 2.5 1.6 4.3 2021Q3 51.7 33.9 3.2 2.7 2.6 1.5 4.5 2021Q1 *** 28.0 *** *** 2021Q2 *** 27.8 *** *** 2021Q3 *** 26.6 *** *** 2021Q1 55.2 29.0 2.2 1.5 1.1 11.0 2021Q2 55.2 28.9 2.2 1.5 1.1 11.1 2021Q3 55.2 28.9 2.2 1.5 1.1 11.1 March 30, 2022 Analytics Office Table 12: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2019Q4 89.8 5.5 4.7 Country United States United Kingdom Australia Hong Kong Other 2019Q4 88.8 5.5 *** *** 2.1 Country United States United Kingdom 2019Q4 *** *** Country United States Canada Other 2019Q4 93.8 *** *** All Private Funds 2020Q1 2020Q2 2020Q3 2020Q4 90.1 90.1 90.0 90.4 5.4 5.3 5.4 4.6 4.5 4.6 4.6 4.9 Qualifying Hedge Funds 2020Q1 2020Q2 2020Q3 2020Q4 89.4 89.8 89.8 88.9 5.0 4.5 4.4 4.7 *** *** *** *** *** *** *** *** 2.1 2.0 1.9 2.0 Section 3 Liquidity Funds 2020Q1 2020Q2 2020Q3 2020Q4 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2020Q1 2020Q2 2020Q3 2020Q4 93.8 93.8 93.8 94.2 *** *** *** *** *** *** *** *** 14 2021Q1 90.3 4.8 4.9 2021Q2 89.4 4.8 5.9 2021Q3 89.6 4.6 5.8 2021Q1 89.6 4.4 *** *** 1.8 2021Q2 87.6 4.3 *** *** 4.0 2021Q3 88.0 4.1 *** *** 4.1 2021Q1 *** *** 2021Q2 *** *** 2021Q3 *** *** 2021Q1 94.3 *** *** 2021Q2 94.3 *** *** 2021Q3 94.3 *** *** March 30, 2022 IV A Analytics Office Beneficial Ownership All Private Funds Table 13: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q4 1,677 1,469 1,336 1,169 995 958 658 461 234 243 174 183 137 114 2020Q1 1,644 1,455 1,301 1,106 931 914 648 462 231 231 169 175 127 106 2020Q2 1,674 1,511 1,331 1,142 992 966 670 470 248 238 173 173 130 112 2020Q3 1,713 1,563 1,343 1,164 1,018 999 690 476 258 260 175 172 129 115 2020Q4 2,041 1,823 1,534 1,248 1,142 1,164 803 553 296 277 192 169 134 111 2021Q1 2,073 1,856 1,557 1,266 1,170 1,196 844 566 310 269 199 176 143 110 2021Q2 2,128 1,943 1,576 1,278 1,208 1,226 855 583 387 263 205 190 144 110 2021Q3 2,131 1,922 1,586 1,263 1,214 1,207 856 593 384 266 203 189 138 44 2021Q2 17.6 16.1 13.0 10.6 10.0 10.1 7.1 4.8 3.2 2.2 1.7 1.6 1.2 0.9 2021Q3 17.8 16.0 13.2 10.5 10.1 10.1 7.1 4.9 3.2 2.2 1.7 1.6 1.2 0.4 Table 14: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q4 17.1 15.0 13.6 11.9 10.1 9.8 6.7 4.7 2.4 2.5 1.8 1.9 1.4 1.2 2020Q1 17.3 15.3 13.7 11.6 9.8 9.6 6.8 4.9 2.4 2.4 1.8 1.8 1.3 1.1 15 2020Q2 17.0 15.4 13.5 11.6 10.1 9.8 6.8 4.8 2.5 2.4 1.8 1.8 1.3 1.1 2020Q3 17.0 15.5 13.3 11.5 10.1 9.9 6.8 4.7 2.6 2.6 1.7 1.7 1.3 1.1 2020Q4 17.8 15.9 13.3 10.9 9.9 10.1 7.0 4.8 2.6 2.4 1.7 1.5 1.2 1.0 2021Q1 17.7 15.8 13.3 10.8 10.0 10.2 7.2 4.8 2.6 2.3 1.7 1.5 1.2 0.9 March 30, 2022 B Analytics Office Qualifying Hedge Funds Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other U.S. Individuals Pension Plans State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q4 532 464 427 351 433 371 209 84 92 63 49 43 38 81 2020Q1 492 410 393 316 376 331 191 76 89 54 45 35 35 73 2020Q2 532 470 428 362 409 356 205 91 96 56 50 45 34 78 2020Q3 564 494 466 384 429 368 220 99 101 60 50 46 37 80 2020Q4 607 539 493 415 458 399 227 111 113 67 53 38 38 17 2021Q1 643 561 523 454 468 411 237 113 122 63 56 41 40 5 2021Q2 696 594 573 486 479 430 244 186 131 80 62 42 43 6 2021Q3 725 601 596 491 478 447 256 185 140 89 59 42 42 8 2021Q2 17.2 14.7 14.1 12.0 11.8 10.6 6.0 4.6 3.2 2.0 1.5 1.0 1.1 0.2 2021Q3 17.4 14.5 14.3 11.8 11.5 10.7 6.1 4.4 3.4 2.1 1.4 1.0 1.0 0.2 Table 16: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other U.S. Individuals Pension Plans State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q4 16.4 14.3 13.2 10.8 13.4 11.5 6.5 2.6 2.8 1.9 1.5 1.3 1.2 2.5 2020Q1 16.9 14.1 13.5 10.8 12.9 11.3 6.6 2.6 3.0 1.8 1.5 1.2 1.2 2.5 16 2020Q2 16.5 14.6 13.3 11.3 12.7 11.1 6.4 2.8 3.0 1.8 1.5 1.4 1.1 2.4 2020Q3 16.6 14.5 13.7 11.3 12.6 10.8 6.5 2.9 3.0 1.8 1.5 1.3 1.1 2.3 2020Q4 17.0 15.1 13.8 11.6 12.8 11.2 6.3 3.1 3.2 1.9 1.5 1.1 1.1 0.5 2021Q1 17.2 15.0 14.0 12.1 12.5 11.0 6.3 3.0 3.3 1.7 1.5 1.1 1.1 0.1 March 30, 2022 C Analytics Office Section 3 Liquidity Funds Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. State/Muni. Govt. Entities Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals 2019Q4 74 63 62 14 *** *** 8 4 *** *** 2 4 *** *** 2020Q1 76 61 72 12 *** *** 10 *** *** *** 2 4 *** *** 2020Q2 92 59 57 17 *** *** 11 *** *** *** 2 3 *** *** 2020Q3 93 77 55 18 11 *** 10 5 *** *** 2 3 1 *** 2020Q4 89 81 59 20 *** *** 10 9 *** *** 3 *** 1 *** 2021Q1 83 73 55 24 *** *** 11 7 *** *** 3 *** 1 *** 2021Q2 105 57 52 25 24 *** 11 8 *** *** 3 4 1 *** 2021Q3 101 50 50 27 *** *** 9 7 *** *** 3 3 1 *** 2021Q2 33.1 18.0 16.5 7.8 7.4 *** 3.5 2.4 *** *** 1.0 1.1 0.3 *** 2021Q3 33.8 16.7 16.5 8.9 *** *** 3.2 2.4 *** *** 1.1 0.9 0.4 *** Table 18: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. State/Muni. Govt. Entities Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals 2019Q4 25.8 21.8 21.5 4.7 *** *** 2.9 1.3 *** *** 0.8 1.3 *** *** 2020Q1 26.2 21.0 24.8 4.3 *** *** 3.5 *** *** *** 0.6 1.5 *** *** 17 2020Q2 30.7 19.8 18.9 5.6 *** *** 3.8 *** *** *** 0.6 0.9 *** *** 2020Q3 29.1 24.0 17.2 5.6 3.5 *** 3.2 1.5 *** *** 0.8 0.8 0.3 *** 2020Q4 27.8 25.2 18.4 6.3 *** *** 3.1 2.7 *** *** 0.8 *** 0.4 *** 2021Q1 27.4 24.1 18.1 7.9 *** *** 3.6 2.3 *** *** 1.0 *** 0.3 *** March 30, 2022 D Analytics Office Section 4 Private Equity Funds Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q4 467 514 369 278 199 152 132 139 51 56 36 28 19 1 2020Q1 468 526 392 286 201 154 132 140 54 56 37 28 19 1 2020Q2 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q3 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q4 656 652 513 361 246 189 186 180 65 63 38 27 25 3 2021Q1 659 654 544 387 246 190 187 180 71 63 38 27 25 3 2021Q2 662 655 544 388 247 190 187 180 71 63 38 27 25 3 2021Q3 662 655 544 388 247 190 187 180 71 63 38 27 25 3 Table 20: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q4 19.1 21.1 15.1 11.4 8.2 6.2 5.4 5.7 2.1 2.3 1.5 1.1 0.8 0.1 2020Q1 18.8 21.1 15.7 11.5 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 18 2020Q2 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q3 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q4 20.5 20.3 16.0 11.3 7.7 5.9 5.8 5.6 2.0 2.0 1.2 0.8 0.8 0.1 2021Q1 20.1 20.0 16.6 11.8 7.5 5.8 5.7 5.5 2.2 1.9 1.2 0.8 0.8 0.1 2021Q2 20.2 20.0 16.6 11.8 7.5 5.8 5.7 5.5 2.2 1.9 1.2 0.8 0.8 0.1 2021Q3 20.2 20.0 16.6 11.8 7.5 5.8 5.7 5.5 2.2 1.9 1.2 0.8 0.8 0.1 March 30, 2022 E Analytics Office Concentration Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Private Equity Fund Section 4 Private Equity Fund Venture Capital Fund Other Private Fund Hedge Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Total 2019Q4 50.5 45.0 54.7 58.6 55.9 51.2 45.6 44.6 56.7 39.4 53.8 2020Q1 50.5 45.0 54.7 59.0 55.5 50.5 49.3 48.2 56.6 39.4 53.7 2020Q2 50.5 44.9 54.8 59.1 55.3 50.4 46.3 45.9 56.6 39.5 53.6 19 2020Q3 50.5 44.9 54.7 58.4 55.4 50.5 44.2 43.8 56.6 39.1 53.5 2020Q4 50.2 45.2 53.8 59.6 55.4 50.7 43.8 43.6 56.2 37.5 53.3 2021Q1 51.1 46.1 53.7 59.4 55.2 50.5 45.4 45.2 56.2 36.2 53.6 2021Q2 51.1 46.2 53.9 59.4 54.2 49.7 47.4 47.1 56.1 35.9 53.3 2021Q3 51.1 46.2 53.9 60.2 54.0 49.9 46.3 46.0 56.1 35.8 53.2 March 30, 2022 V Analytics Office Derivatives Table 22: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q4 12,771 11,168 111 95 37 18 *** *** 3 *** 12,915 2020Q1 11,977 10,540 108 96 37 18 *** *** 3 *** 12,221 2020Q2 11,057 9,544 108 96 37 18 *** *** 3 *** 11,318 2020Q3 13,752 11,771 106 97 37 18 *** *** 3 *** 14,003 2020Q4 14,161 11,893 134 66 34 19 *** *** 3 *** 14,475 2021Q1 15,237 13,460 138 66 34 18 *** *** 3 *** 15,505 2021Q2 16,306 14,415 134 66 34 18 *** *** 3 *** 16,554 2021Q3 15,883 14,474 133 66 34 18 *** *** 3 *** 16,089 Table 23: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q4 308.8 344.9 9.0 2.9 1.5 3.6 *** *** 1.5 *** 131.6 2020Q1 316.7 361.3 9.0 2.9 1.5 3.6 *** *** 1.5 *** 128.6 2020Q2 270.2 296.9 8.9 2.9 1.5 3.6 *** *** 1.5 *** 115.1 20 2020Q3 319.8 346.1 8.6 2.9 1.5 3.6 *** *** 1.5 *** 138.9 2020Q4 303.6 332.8 10.3 1.6 1.1 3.1 *** *** 1.3 *** 126.0 2021Q1 316.6 359.9 10.5 1.5 1.0 2.9 *** *** 1.3 *** 132.1 2021Q2 317.7 355.3 10.0 1.6 1.0 2.9 *** *** 1.3 *** 136.8 2021Q3 310.8 347.8 10.4 1.6 1.0 2.9 *** *** 1.3 *** 134.1 March 30, 2022 Analytics Office Figure 6: Distribution of Derivative Values As reported on Form PF, Questions 13 and 44 (Third Month). VI A Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 0.0 0.0 0.0 0.3 1.6 1.2 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q4 0.0 0.0 0.4 2.1 11.7 6.2 All Private Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 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 1.3 1.3 1.4 1.3 1.4 1.0 1.0 1.1 1.0 1.1 Qualifying Hedge Funds ($ Billions) 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.3 0.3 0.4 0.4 0.3 1.6 1.9 2.0 2.0 2.0 8.5 9.5 10.9 11.3 11.2 5.7 5.1 5.6 5.6 5.9 2021Q2 0.0 0.0 0.0 0.2 1.4 1.2 2021Q3 0.0 0.0 0.0 0.2 1.3 1.1 2021Q2 0.0 0.0 0.3 1.8 10.7 6.2 2021Q3 0.0 0.0 0.3 1.6 10.2 6.1 Additional Hedge Fund Industry Information High Frequency Trading Table 24: 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 2019Q4 7,973 51 10 2020Q1 8,057 50 9 2020Q2 8,070 51 8 2020Q3 8,133 49 7 2020Q4 8,151 46 6 2021Q1 8,201 45 6 2021Q2 8,309 49 6 2021Q3 8,208 49 6 Table 25: 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 2019Q4 4,038 81 3 2020Q1 3,678 84 2 2020Q2 3,969 95 2 2020Q3 4,175 99 2 21 2020Q4 4,534 99 3 2021Q1 4,675 103 4 2021Q2 4,989 112 4 2021Q3 4,958 117 5 March 30, 2022 B Analytics Office Industry Concentration Table 26: 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 2019Q4 7.4 13.6 19.6 27.7 42.1 55.5 2020Q1 7.5 14.0 20.1 28.1 42.3 55.5 2020Q2 7.5 14.0 20.1 28.2 42.7 56.1 2020Q3 7.5 14.0 20.4 28.7 43.4 56.7 2020Q4 7.1 13.5 19.9 28.3 43.0 56.4 2021Q1 7.1 13.3 19.5 27.8 42.6 56.1 2021Q2 7.0 13.0 19.1 27.5 42.2 55.9 2021Q3 7.3 13.3 19.4 27.9 42.7 56.2 Table 27: 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 2019Q4 15.3 24.5 33.2 42.3 55.7 67.0 2020Q1 17.0 25.9 34.5 43.5 56.5 67.5 2020Q2 14.8 23.8 32.4 41.6 55.1 66.5 2020Q3 15.3 24.6 33.3 42.4 56.0 67.2 2020Q4 14.9 23.7 32.5 41.5 55.3 66.5 2021Q1 14.1 22.8 31.5 40.4 54.1 65.8 2021Q2 14.8 23.7 32.2 40.7 54.1 65.7 2021Q3 16.2 25.2 33.5 42.3 55.4 66.8 Table 28: 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 2019Q4 35.5 50.5 62.2 72.9 84.5 91.6 2020Q1 38.5 52.5 63.5 73.5 84.3 91.0 2020Q2 35.0 50.3 62.5 73.5 84.4 91.4 2020Q3 34.6 51.0 62.7 73.9 84.9 91.8 22 2020Q4 33.4 48.8 61.0 72.2 84.1 91.3 2021Q1 32.4 47.1 59.7 71.0 83.1 90.7 2021Q2 31.7 47.5 60.2 70.7 83.0 90.8 2021Q3 32.2 48.0 60.5 71.1 83.2 90.9 March 30, 2022 Analytics Office Table 29: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2019Q4 28.9 47.3 60.1 72.1 86.5 93.7 2020Q1 34.0 52.3 65.0 76.2 88.1 94.3 2020Q2 32.6 48.8 61.5 73.3 87.2 93.9 2020Q3 39.2 53.8 66.1 76.6 89.0 94.9 2020Q4 40.7 55.1 66.8 77.0 89.1 94.8 2021Q1 41.4 56.3 67.6 77.9 89.2 94.9 2021Q2 39.4 54.9 67.1 78.1 89.3 95.0 2021Q3 40.7 56.8 69.2 79.5 90.4 95.5 Table 30: 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 2019Q4 29.1 46.3 58.5 70.1 83.3 91.6 2020Q1 33.2 50.8 62.1 72.5 84.6 92.2 2020Q2 31.9 48.1 59.3 70.2 83.0 91.3 2020Q3 35.7 50.6 61.4 71.7 84.1 92.0 23 2020Q4 35.6 49.2 60.2 70.8 83.4 91.7 2021Q1 36.6 50.1 60.5 71.2 83.4 91.3 2021Q2 34.8 48.4 59.4 70.0 82.8 90.9 2021Q3 35.0 49.6 60.7 70.9 83.4 91.2 March 30, 2022 C Analytics Office Single-Strategy US-Domiciled Hedge Funds Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q4 562 276 245 40 2 473 98 50 47 45 30 10 5 43 27 8 5 *** *** 31 15 12 1 *** *** 5 *** *** 1,089 2020Q1 485 235 207 40 2 441 96 48 48 43 31 8 4 40 27 7 3 *** *** 36 11 9 2 *** *** 5 *** *** 1,002 24 2020Q2 547 269 239 38 2 481 98 52 46 47 32 11 4 43 27 8 5 1 1 30 11 8 2 *** *** 5 *** *** 1,095 2020Q3 567 282 251 33 1 490 103 56 47 47 31 11 5 48 29 9 7 1 1 31 12 9 2 *** *** 5 *** *** 1,140 2020Q4 615 318 266 30 1 537 119 63 56 51 34 12 5 48 28 11 7 2 1 29 11 8 *** *** *** 6 *** *** 1,251 2021Q1 642 329 288 25 1 561 122 67 55 56 37 12 6 49 29 9 8 1 1 31 13 10 *** *** *** 6 *** *** 1,314 2021Q2 666 327 309 28 1 589 126 68 57 61 41 14 6 48 28 9 8 1 1 32 13 9 *** *** *** 6 *** *** 1,369 2021Q3 653 319 306 27 1 595 134 72 62 66 47 13 6 49 30 9 7 1 1 32 13 10 3 *** *** 6 *** *** 1,383 March 30, 2022 Analytics Office Table 32: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q4 1,013 521 434 48 17 924 297 155 146 215 153 47 23 151 72 48 16 *** *** 211 44 24 9 *** *** 26 *** *** 2,687 2020Q1 1,007 511 438 47 18 931 303 159 147 220 159 45 23 149 69 47 17 *** *** 215 45 24 14 *** *** 27 *** *** 2,721 25 2020Q2 993 504 433 45 18 943 313 165 151 227 165 45 24 160 81 49 16 11 12 213 44 22 13 *** *** 27 *** *** 2,746 2020Q3 1,017 522 443 45 17 957 318 168 153 220 156 46 23 172 88 53 17 16 12 219 44 21 13 *** *** 28 *** *** 2,775 2020Q4 1,013 525 437 48 11 950 354 173 184 217 151 50 21 174 93 53 18 16 14 238 44 24 *** *** *** 26 *** *** 2,788 2021Q1 1,024 534 441 46 11 979 357 175 185 230 161 52 21 177 95 50 18 17 13 239 46 24 *** *** *** 27 *** *** 2,852 2021Q2 1,031 528 450 47 11 1,003 366 176 193 239 165 56 22 173 95 44 19 16 12 233 46 24 *** *** *** 27 *** *** 2,907 2021Q3 1,035 527 457 46 11 1,018 373 178 198 236 166 52 21 173 96 47 18 15 11 238 43 22 13 *** *** 24 *** *** 2,930 March 30, 2022 D Analytics Office Single-Strategy Non-US-Domiciled Hedge Funds Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Total 2019Q4 907 601 211 *** *** 359 224 88 19 17 10 357 346 8 *** *** 560 202 153 49 172 *** *** 121 81 18 21 30 1,805 2020Q1 779 512 190 *** *** 390 248 99 18 16 9 353 344 6 *** *** 529 206 150 56 153 *** *** 111 72 21 18 28 1,653 26 2020Q2 902 608 224 *** *** 377 256 74 24 12 11 343 332 6 *** *** 538 212 152 61 110 *** *** 117 81 17 19 29 1,820 2020Q3 994 670 249 *** *** 375 252 76 24 12 11 434 425 6 *** *** 565 220 155 65 132 *** *** 136 93 22 21 28 1,938 2020Q4 1,179 803 293 *** *** 408 272 79 29 14 13 379 368 7 *** *** 616 235 175 61 151 *** *** 147 95 28 24 30 2,159 2021Q1 1,160 779 296 *** *** 410 274 80 24 17 15 379 369 7 *** *** 655 248 186 62 167 *** *** 168 103 35 29 35 2,208 2021Q2 1,279 830 357 *** *** 423 283 78 27 19 16 404 392 9 *** *** 744 304 238 66 201 *** *** 182 110 41 31 34 2,418 2021Q3 1,275 825 360 *** *** 445 299 79 28 22 17 385 373 8 *** *** 755 326 229 96 233 *** *** 178 112 33 33 35 2,463 March 30, 2022 Analytics Office Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Total 2019Q4 1,055 623 317 *** *** 296 57 130 91 34 28 216 161 44 *** *** 790 334 241 95 122 *** *** 285 195 52 75 130 3,029 2020Q1 1,059 632 317 *** *** 303 56 129 97 34 27 216 163 44 *** *** 828 333 237 99 132 *** *** 295 206 47 78 127 3,078 27 2020Q2 1,029 620 312 *** *** 300 58 134 97 28 27 209 158 40 *** *** 811 340 244 99 124 *** *** 300 215 44 74 130 3,047 2020Q3 1,030 618 315 *** *** 297 57 138 94 26 26 213 163 41 *** *** 808 345 246 101 121 *** *** 306 223 43 72 126 3,066 2020Q4 1,075 636 342 *** *** 306 60 151 94 26 24 213 163 38 *** *** 839 343 244 102 115 *** *** 305 214 43 77 113 3,119 2021Q1 1,050 609 342 *** *** 305 57 149 92 26 27 213 163 40 *** *** 823 343 243 103 118 *** *** 313 218 43 82 130 3,101 2021Q2 1,082 610 375 *** *** 308 55 151 99 25 25 212 162 38 *** *** 878 359 255 107 120 *** *** 318 220 48 80 104 3,178 2021Q3 1,070 605 379 *** *** 305 54 147 99 25 27 207 160 34 *** *** 853 357 250 111 123 *** *** 321 223 47 79 102 3,128 March 30, 2022 VII A Analytics 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. 1-0 1-0 202 202 202 1 1-0 1.0 1.1 1.9 3.6 8.3 3.9 9 8 0.9 1.2 1.9 3.5 8.1 3.8 202 202 1-0 1.0 1.1 1.9 3.4 8.2 3.9 202 1-0 202 0.9 1.1 1.9 3.6 8.1 3.9 202 1-0 7 0.9 1.1 1.9 3.4 7.9 3.8 6 1.0 1.1 1.8 3.4 7.8 3.9 1-0 1-0 202 0.9 1.2 1.9 3.5 8.4 4.0 202 1-0 1-0 0.9 1.1 1.8 3.3 8.1 3.8 202 1 202 1-0 2 0-1 1.0 1.2 1.9 3.5 7.8 4.0 1-0 0.9 1.1 1.9 3.6 7.8 4.1 202 1 0-1 0-1 202 202 0.8 1.1 1.8 3.3 7.5 3.8 -09 202 1-0 6 28 1.0 1.2 1.9 3.3 7.8 3.9 0 9 202 0-0 8 0-0 1.0 1.2 1.9 3.5 8.3 4.2 8 202 1-0 5 1.0 1.2 2.0 4.1 13.3 6.6 7 202 1-0 4 1.0 1.2 2.1 4.4 14.5 6.8 5 202 1-0 3 1.0 1.2 2.1 4.4 13.7 6.5 4 202 1-0 2 1.0 1.2 2.1 4.3 13.1 6.5 3 202 1.0 1.3 2.1 4.5 13.8 7.1 2 202 0-1 2 1.0 1.2 2.1 4.4 12.1 6.6 1 202 0-1 1 1.0 1.3 2.0 4.3 11.6 6.1 0.9 1.2 1.9 3.4 7.7 3.9 0-0 9 202 0-1 0 1.0 1.3 2.1 4.6 12.6 6.5 202 0.9 1.2 2.0 4.3 12.0 6.1 202 0-0 8 1.0 1.3 2.1 4.5 12.3 6.3 0-0 7 0.9 1.3 2.1 4.7 13.6 7.6 202 0.9 1.1 1.9 3.4 7.1 4.1 1.0 1.0 1.0 0.9 1.3 1.3 1.3 1.2 2.1 2.2 2.1 1.9 4.5 4.8 4.6 4.6 12.6 13.0 12.6 12.3 6.8 7.3 6.5 6.9 Excluding IRDs 202 6 0.9 1.2 1.9 3.4 7.7 4.2 202 202 0-0 0.9 1.2 1.8 3.4 7.8 4.2 0-0 5 1.0 1.2 1.9 3.3 7.2 4.3 202 0 1.1 1.4 2.2 4.4 9.5 5.7 0-0 3 1.1 1.5 2.3 4.5 9.6 5.4 202 -01 202 0-0 1.0 1.2 1.9 3.7 8.1 4.6 202 0 9-1 201 1 9-1 9-1 201 1.0 1.2 1.9 3.8 8.5 4.8 6 1.0 1.3 2.1 4.2 11.5 6.5 0-0 7 1.0 1.3 2.2 4.5 14.8 7.1 202 5 202 0-0 0.9 1.3 2.1 4.4 14.7 6.9 1.0 1.2 1.9 3.9 8.2 4.8 0-0 4 1.0 1.3 2.1 4.3 14.1 7.0 -04 202 0-0 3 202 2 1.1 1.6 2.5 5.6 18.0 9.4 0-0 202 1.1 1.6 2.5 5.6 17.0 8.8 2 202 0-0 2 1.0 1.4 2.1 4.9 14.2 7.5 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0-0 1 202 1.0 1.4 2.1 4.9 15.2 8.1 2 201 9-1 9-1 1 201 1.0 1.4 2.2 4.9 15.1 8.0 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9 -10 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.9 3.5 8.3 3.9 March 30, 2022 Analytics 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. 29 8 9 1-0 202 1 -0 0.0 0.1 0.5 1.4 3.9 1.6 0.0 0.1 0.5 1.4 3.9 1.6 0.0 0.1 0.5 1.5 3.8 1.7 -09 -09 8 8 0.1 0.2 0.6 2.0 7.4 3.3 0.9 1.1 1.4 2.3 4.7 2.5 0.0 0.2 0.6 1.9 7.5 3.2 1-0 9 8 0.1 0.2 0.6 2.1 7.1 3.2 202 1 1-0 1-0 0.0 0.2 0.6 2.1 7.2 3.2 0.9 1.1 1.5 2.7 6.6 3.9 202 1 7 1-0 202 7 1-0 202 1-0 7 0.9 1.1 1.4 2.3 5.2 2.5 202 6 202 202 0.9 1.1 1.4 2.3 5.0 2.4 202 202 1-0 6 0.9 1.1 1.5 2.7 7.9 4.0 202 0.0 0.1 0.5 1.5 3.8 1.7 0.9 1.1 1.5 2.7 7.4 3.8 202 1-0 0.0 0.1 0.5 1.4 3.9 1.6 0.0 0.1 0.5 1.4 4.1 1.8 1-0 1-0 5 202 1-0 6 5 0.1 0.2 0.7 2.2 6.7 3.4 202 1-0 0.1 0.2 0.6 2.0 6.6 3.1 0.9 1.1 1.5 2.3 4.9 2.4 202 -04 202 1-0 5 4 1-0 0.9 1.1 1.5 2.4 4.8 2.4 202 202 0.9 1.1 1.4 2.3 4.7 2.4 202 1.0 1.1 1.5 2.7 7.0 3.9 1-0 4 1-0 3 0.9 1.1 1.6 2.8 7.5 4.1 202 3 1-0 202 2 0.9 1.1 1.5 2.7 7.1 3.8 0.0 0.2 0.6 2.1 6.1 3.1 202 2 0.0 0.1 0.5 1.5 4.0 1.8 202 1 202 3 1-0 202 2 1-0 0.9 1.1 1.4 2.2 4.9 2.5 1-0 0.0 0.2 0.6 2.1 6.8 3.0 1-0 1 1-0 2 202 1-0 1 202 1-0 1 0.9 1.1 1.5 2.7 6.7 3.7 202 1-0 -01 0.0 0.1 0.5 1.4 3.8 1.7 0.9 1.1 1.4 2.3 5.0 2.5 202 2 202 2 202 202 2 0-1 0.0 0.1 0.5 1.4 3.8 1.7 0.1 0.2 0.6 1.9 6.5 2.9 202 1 0-1 202 1 0.0 0.2 0.6 2.0 5.7 2.8 202 0.0 0.1 0.5 1.4 4.2 1.8 0.9 1.0 1.4 2.2 4.9 2.4 2 0-1 1 0-1 0-1 0.9 1.1 1.5 2.3 4.8 2.5 0.9 1.1 1.5 2.9 7.2 3.8 202 1-0 7 0.0 0.1 0.5 1.3 3.4 1.6 0.9 1.1 1.5 2.6 7.1 3.6 1-0 6 0.0 0.1 0.5 1.4 3.9 1.9 202 0-1 0 0-0 9 8 7 0-0 202 0.0 0.2 0.5 1.4 4.4 1.9 202 0-1 1 0-1 1 0-1 202 0-1 0 9 202 0-0 8 -07 0-0 202 202 202 0-0 0.0 0.2 0.5 1.3 4.1 1.7 202 0 0-1 202 202 0-0 9 8 -07 0-0 202 202 0-0 6 202 0 202 0 0-0 6 0.0 0.2 0.5 1.3 3.6 1.8 202 0-0 6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.7 0.6 0.7 0.6 0.6 0.6 1.8 2.0 2.1 2.1 2.0 2.1 6.0 6.6 6.9 6.4 5.7 6.3 3.0 3.2 3.4 3.0 2.8 3.1 Short Exposure Excluding IRDs 0.9 1.1 1.6 2.9 6.8 3.8 202 0 0-1 202 202 9 8 0-0 0-0 202 -06 0-0 7 202 202 202 0 202 0.9 0.9 0.9 0.9 0.8 0.9 1.1 1.0 1.1 1.1 1.0 1.0 1.5 1.4 1.5 1.5 1.3 1.5 2.2 2.2 2.2 2.2 2.2 2.3 4.5 4.9 5.0 4.9 4.6 4.9 2.5 2.4 2.5 2.4 2.4 2.6 Short Exposure Including IRDs 202 -05 0.0 0.2 0.5 1.3 4.2 1.8 0.9 0.9 0.9 0.9 0.8 0.9 1.1 1.1 1.1 1.1 1.0 1.1 1.6 1.5 1.6 1.6 1.4 1.5 2.7 2.9 3.0 2.8 2.9 3.0 6.6 7.2 7.4 6.8 7.0 7.4 3.8 3.9 4.2 3.9 4.0 4.2 Long Exposure Excluding IRDs 202 0-0 5 0-0 5 0.1 0.2 0.7 2.0 7.5 3.3 0-0 5 0-0 4 -04 -03 202 0 202 202 -04 -04 0.0 0.2 0.5 1.3 3.9 1.8 0.9 1.0 1.5 2.3 4.9 2.6 202 202 202 0 202 0 0-0 3 0.1 0.2 0.5 1.3 3.4 1.9 0.1 0.2 0.6 2.0 7.6 3.2 202 0 202 202 0-0 3 202 0.1 0.2 0.6 1.8 4.7 2.5 0.9 1.0 1.4 2.2 4.8 2.6 0.9 1.1 1.6 2.8 8.2 4.1 202 1-0 5 0.1 0.2 0.6 1.9 4.6 2.3 0.1 0.2 0.6 1.9 7.9 3.3 0.9 1.1 1.5 2.7 8.2 3.9 202 1-0 4 0.0 0.2 0.5 1.5 3.7 2.1 0.9 1.1 1.4 2.3 4.5 2.6 202 0.1 0.3 0.8 2.6 11.4 4.5 0-0 3 202 0 -02 202 0 0.1 0.3 0.8 2.5 10.6 4.1 0-0 2 0.1 0.3 0.7 2.2 7.9 3.7 1 202 0-0 2 -01 0-0 2 202 1.0 1.2 1.7 2.8 6.0 3.4 202 0 -01 2 9-1 9-1 2 0-0 1 1.0 1.3 1.7 2.8 5.9 3.3 9-1 2 9-1 2 202 201 1.0 1.1 1.5 2.7 8.2 3.9 202 0-0 1 9-1 0.0 0.2 0.5 1.6 4.3 2.2 1.0 1.3 1.8 3.4 9.7 5.2 1-0 3 0.1 0.2 0.6 1.6 3.9 2.1 201 9-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.3 1.8 3.5 10.3 5.0 202 0 1 0.1 0.3 0.7 2.2 9.5 3.8 201 1 1 201 9-1 9-1 201 0.1 0.3 0.7 2.2 8.8 3.8 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.5 2.4 5.2 2.9 201 0.9 1.1 1.5 2.5 5.4 3.0 1.0 1.2 1.6 2.9 8.2 4.2 201 9-1 9-1 9-1 9-1 201 0.9 1.1 1.5 2.5 5.4 2.9 1.0 1.1 1.6 3.0 8.0 4.4 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 0.9 1.1 1.6 3.2 7.6 4.3 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 0 Long Exposure Including IRDs 0.0 0.1 0.5 1.4 3.8 1.7 March 30, 2022 B Analytics Office Industry Concentration Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 2021-01 2021-02 2021-03 2021-04 2021-05 2021-06 2021-07 2021-08 2021-09 Top 10 Advisers (NAV) 19.5 19.5 19.5 19.1 19.1 19.1 18.3 18.3 18.3 18.4 18.4 18.5 16.8 16.8 16.8 16.2 16.2 16.2 16.3 16.3 16.3 16.3 17.0 17.0 Top 20 Advisers (NAV) 29.3 29.3 29.3 29.6 29.6 29.6 29.0 29.0 29.0 29.1 29.1 29.3 26.4 26.4 26.4 26.2 26.2 26.2 26.5 26.4 26.4 26.6 27.5 27.5 30 Top 10 Advisers (GNE) 37.6 37.3 36.9 37.9 38.6 40.9 40.6 40.4 39.7 42.0 40.5 40.2 39.8 39.1 39.2 40.2 42.1 41.3 40.6 40.4 40.0 40.6 39.2 38.8 Top 20 Advisers (GNE) 54.0 54.0 53.5 55.2 55.8 56.5 56.6 56.0 55.5 57.1 56.5 55.9 55.6 56.1 54.4 55.7 57.4 55.8 55.4 55.6 54.6 56.7 56.2 55.6 March 30, 2022 C Analytics Office Portfolio Turnover Table 36: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 2021-01 2021-02 2021-03 2021-04 2021-05 2021-06 2021-07 2021-08 2021-09 Futures 12,752 14,105 13,352 13,069 19,150 25,073 9,351 12,203 12,862 7,968 10,052 11,043 9,346 12,519 17,703 10,690 17,637 18,604 9,445 13,934 16,641 12,043 13,973 16,020 Sov. and muni. bonds 3,679 3,877 3,367 3,799 4,625 6,465 4,464 4,189 4,038 3,345 3,829 3,738 4,159 4,665 4,408 4,430 5,568 5,505 4,030 4,419 5,182 5,110 5,438 5,485 Listed equities 2,566 2,280 2,302 2,719 2,916 4,071 2,658 2,677 3,201 2,928 2,552 2,866 2,756 3,227 2,993 3,454 3,460 4,131 3,210 3,376 3,678 3,157 3,100 3,437 Corporate bonds 152 134 95 176 167 230 226 211 220 164 165 207 189 171 125 176 176 189 173 157 151 142 140 168 Convertible bonds 19 27 21 36 31 36 39 44 51 40 39 38 44 55 56 58 63 63 51 44 48 29 39 54 Total 19,168 20,422 19,137 19,798 26,890 35,875 16,738 19,324 20,372 14,444 16,638 17,891 16,493 20,637 25,285 18,807 26,904 28,491 16,910 21,929 25,701 20,481 22,690 25,164 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 0.3 2.0 13.7 5.8 0.0 0.1 0.4 1.9 14.6 7.0 0.0 0.1 0.4 2.1 15.6 7.2 0.0 0.1 0.5 2.1 13.7 5.9 0.0 0.1 0.4 2.1 15.7 7.6 0.0 0.1 0.5 2.6 19.2 8.3 0.0 0.1 0.3 1.7 11.7 4.6 0.0 0.1 0.4 2.0 13.7 6.0 0.0 0.1 0.4 1.9 16.6 7.1 0.0 0.1 0.3 1.6 13.7 5.9 0.0 0.1 0.3 1.7 12.5 6.2 0.0 0.1 0.4 1.6 15.3 6.7 1-0 1-0 1-0 0-0 9-1 -09 0.0 0.1 0.4 2.2 16.5 6.2 8 202 1 1-0 9 8 202 7 1-0 0.0 0.1 0.4 1.8 13.7 6.2 7 202 1-0 202 6 202 202 1-0 202 202 1-0 6 -05 202 1 5 1-0 202 0.0 0.1 0.4 1.8 13.3 4.9 -03 202 0.0 0.1 0.6 2.3 19.8 7.3 31 1-0 4 1-0 3 202 1-0 4 2 202 1 202 202 1 0.0 0.1 0.4 2.2 14.5 6.9 -02 202 1-0 -01 202 0-1 2 0.0 0.1 0.5 2.3 15.4 6.7 1 202 0-1 1 202 2 0-1 0 202 0.1 0.3 1.1 4.7 35.3 13.9 0-0 9 0.0 0.2 0.7 3.0 23.8 11.4 -08 0.0 0.1 0.6 2.5 19.2 8.6 7 0.0 0.1 0.4 1.8 18.6 7.0 3 0.0 0.1 0.4 2.0 15.8 7.4 2 0.0 0.1 0.4 2.1 18.6 8.2 -11 202 202 1 1 0.1 0.2 1.0 5.7 51.3 37.1 202 0 0-1 0.0 0.2 0.9 5.2 46.0 34.4 202 0-1 0.1 0.2 0.8 5.0 42.5 31.1 202 0-0 6 202 0.1 0.3 1.1 6.5 50.0 38.4 -04 202 0.1 0.3 1.1 5.8 45.2 32.2 202 0-0 5 202 0.1 0.2 0.9 5.2 36.3 25.9 202 0 0.1 0.3 1.4 7.5 56.8 41.7 2 0.1 0.3 1.2 6.3 49.4 40.1 202 0-0 0.1 0.3 1.2 6.2 44.1 29.4 1 0.1 0.3 1.1 6.2 48.1 33.1 202 0-0 202 9 0.1 0.1 0.1 0.1 0.1 0.0 0.3 0.3 0.3 0.3 0.2 0.3 1.4 0.9 1.0 1.1 0.9 1.1 6.7 5.5 5.6 6.3 5.8 7.0 50.8 40.3 43.3 45.1 41.4 42.3 31.8 22.3 27.6 30.2 26.6 30.8 Total Turnover to NAV Ratio 0-0 0.1 0.3 1.1 6.2 44.0 31.2 0-0 202 0-1 0 202 0-0 6 7 202 0-0 5 0.1 0.4 1.2 6.4 44.9 27.6 0-0 -04 202 0 0.2 0.6 2.3 11.6 89.7 55.2 202 202 0-0 8 2 202 0-0 0.1 0.3 1.4 7.5 64.5 43.7 201 3 1 202 0-0 2 0-0 0.1 0.3 1.1 6.6 49.5 31.4 9-1 202 0.1 0.2 0.9 5.9 50.6 28.6 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -11 201 0.1 0.2 0.9 6.2 48.6 32.3 201 9 0 201 9 0.1 0.3 0.9 6.1 48.1 29.3 201 9-1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9-1 Total Turnover ($ Billions) March 30, 2022 D Analytics Office Region and Country Exposure Table 37: 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 Europe Other South America Supranational Africa Middle East 2019Q4 5,410 1,619 770 85 122 54 33 29 2020Q1 4,940 1,443 658 93 87 42 30 40 2020Q2 4,943 1,419 674 94 86 54 37 28 2020Q3 5,422 1,639 815 126 98 35 40 35 2020Q4 5,096 1,533 803 107 93 33 40 29 2021Q1 5,275 1,353 782 291 85 45 34 29 2021Q2 5,586 1,491 816 313 91 47 38 55 2021Q3 5,848 1,595 800 314 87 47 33 31 Table 38: 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 Europe Other South America Supranational Africa Middle East 2019Q4 151.8 45.5 21.6 2.4 3.4 1.5 0.9 0.8 2020Q1 151.8 44.4 20.2 2.8 2.7 1.3 0.9 1.2 2020Q2 138.8 39.9 18.9 2.6 2.4 1.5 1.0 0.8 2020Q3 143.4 43.3 21.6 3.3 2.6 0.9 1.1 0.9 32 2020Q4 129.8 39.0 20.5 2.7 2.4 0.8 1.0 0.7 2021Q1 127.9 32.8 19.0 7.1 2.1 1.1 0.8 0.7 2021Q2 127.7 34.1 18.7 7.2 2.1 1.1 0.9 1.3 2021Q3 128.7 35.1 17.6 6.9 1.9 1.0 0.7 0.7 March 30, 2022 Analytics Office Table 39: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States China (Inc. Hong Kong) Japan India Brazil Russia 2019Q4 5,074 199 264 37 50 15 2020Q1 4,716 181 221 29 32 15 2020Q2 4,721 221 191 30 33 17 2020Q3 5,159 271 214 32 36 17 2020Q4 4,858 285 215 36 38 18 2021Q1 5,018 280 209 46 33 16 2021Q2 5,287 284 219 52 43 18 2021Q3 5,478 251 233 53 33 16 2021Q2 120.9 6.5 5.0 1.2 1.0 0.4 2021Q3 120.5 5.5 5.1 1.2 0.7 0.3 Table 40: 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 China (Inc. Hong Kong) Japan India Brazil Russia 2019Q4 142.4 5.6 7.4 1.0 1.4 0.4 2020Q1 144.9 5.6 6.8 0.9 1.0 0.5 2020Q2 132.6 6.2 5.4 0.8 0.9 0.5 33 2020Q3 136.4 7.2 5.7 0.9 1.0 0.4 2020Q4 123.7 7.3 5.5 0.9 1.0 0.5 2021Q1 121.6 6.8 5.1 1.1 0.8 0.4 March 30, 2022 VIII A Analytics 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. -0 9 202 1 1-0 202 1.0 1.1 1.6 3.1 7.4 3.4 202 1 1-0 202 1.0 1.1 1.7 3.2 7.2 3.4 -09 1-0 202 8 1-0 202 1.0 1.1 1.6 3.1 7.2 3.4 8 202 1 -0 6 202 5 1-0 1.0 1.1 1.7 3.3 7.5 3.6 7 202 1 -0 5 1.0 1.2 1.7 3.2 7.4 3.5 202 1-0 1-0 202 1.0 1.1 1.7 3.0 6.8 3.3 202 1-0 202 1.0 1.1 1.7 3.3 7.2 3.4 7 202 1-0 4 1.0 1.2 1.7 3.1 7.2 3.4 2 1 202 1-0 2 0-1 1.0 1.1 1.7 3.0 6.7 3.3 1-0 6 202 1-0 3 1.0 1.2 1.8 3.4 7.3 3.6 202 0-1 0-0 202 0-1 1.0 1.2 1.8 3.3 7.6 3.6 202 9 8 0-0 202 34 1.0 1.1 1.7 2.9 6.5 3.2 4 202 1-0 2 1.0 1.3 1.9 3.7 10.9 5.4 3 202 1.1 1.2 1.9 3.8 11.7 5.7 1.0 1.2 1.7 3.1 6.7 3.3 1 202 0 -1 2 1.1 1.3 1.9 3.9 11.8 5.6 1-0 202 0 -1 1 1.0 1.3 1.9 3.8 11.9 5.6 1 1.1 1.3 2.0 4.3 13.0 6.3 0 1.1 1.3 2.0 4.2 12.5 6.1 202 0 -0 9 202 0-1 0 1.0 1.2 1.9 3.8 10.8 5.4 202 1.1 1.3 2.0 4.2 11.3 5.8 1.0 1.2 1.8 3.1 6.6 3.3 202 0-0 8 1.1 1.3 2.0 4.1 11.3 5.7 0-0 7 1.1 1.3 2.0 3.9 10.9 5.3 202 6 6 1.0 1.1 1.7 2.9 6.0 3.1 1.1 1.4 2.1 4.3 11.8 6.3 0-0 7 202 0-0 1.0 1.2 1.8 3.1 6.2 3.4 1.0 1.2 1.8 3.1 6.2 3.4 1.1 1.1 1.1 1.1 1.4 1.4 1.3 1.4 2.1 2.0 2.0 2.1 4.3 4.3 3.8 4.4 10.8 10.4 9.7 12.5 5.8 5.7 5.2 6.1 Excluding IRDs 202 5 202 0-0 0-0 5 0-0 4 1.0 1.3 2.0 3.8 9.6 5.1 -04 1.1 1.4 2.1 4.3 10.8 5.9 202 3 1.0 1.1 1.7 3.0 5.8 3.2 1.1 1.4 2.1 4.3 10.4 5.7 202 0 2 0-0 202 0-0 3 1.1 1.3 1.9 3.8 8.6 4.2 202 1.1 1.3 2.0 3.8 8.5 4.1 202 0-0 1.0 1.1 1.8 3.5 7.3 3.7 202 2 9-1 201 9-1 201 1.0 1.2 1.9 3.8 8.3 4.2 1.1 1.3 2.0 3.9 8.9 5.4 202 1.0 1.3 1.9 4.0 8.1 4.2 2 1.2 1.5 2.3 4.8 13.0 7.2 202 0-0 202 0-0 2 202 1.2 1.5 2.3 4.9 12.8 6.9 0-0 1 201 9-1 1.1 1.3 2.0 4.3 11.3 5.9 1 1.1 1.5 2.3 4.8 12.7 7.2 201 9-1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0-0 1 0 201 9-1 201 1.1 1.5 2.3 5.0 12.9 7.0 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 9-1 1 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.6 3.1 7.1 3.3 March 30, 2022 Analytics 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. 35 8 9 1-0 202 1 -0 0.0 0.1 0.4 1.3 3.9 1.5 0.0 0.1 0.4 1.4 3.9 1.5 0.0 0.1 0.4 1.4 3.8 1.4 -09 -09 8 8 0.0 0.2 0.5 1.7 6.3 2.6 1.0 1.0 1.3 2.2 4.3 2.2 0.0 0.1 0.5 1.7 6.0 2.5 202 1-0 9 8 0.0 0.2 0.6 1.7 6.8 2.5 202 1 1-0 1-0 0.0 0.2 0.5 1.7 5.9 2.5 1.0 1.1 1.5 2.5 5.8 3.3 202 1 7 1-0 202 7 1-0 202 1-0 7 1.0 1.1 1.3 2.1 4.4 2.3 202 6 202 202 1.0 1.1 1.4 2.2 4.5 2.3 202 202 1-0 6 1.0 1.1 1.5 2.6 6.6 3.5 202 1-0 0.0 0.1 0.5 1.4 3.7 1.5 1.0 1.1 1.5 2.7 6.6 3.5 202 1-0 7 0.0 0.1 0.4 1.4 3.7 1.4 0.0 0.1 0.4 1.3 3.5 1.4 1-0 1-0 5 202 1-0 6 5 0.0 0.2 0.6 1.8 6.7 2.8 202 1-0 0.0 0.2 0.6 1.8 6.2 2.8 1.0 1.0 1.4 2.2 4.3 2.2 202 -04 202 1-0 5 4 1-0 1.0 1.1 1.4 2.2 4.4 2.3 202 202 1.0 1.1 1.4 2.2 4.4 2.3 202 1.0 1.1 1.5 2.5 6.1 3.5 1-0 4 1-0 3 1.0 1.1 1.5 2.7 6.8 3.8 202 3 1-0 202 2 1.0 1.1 1.5 2.7 6.7 3.6 0.0 0.2 0.6 1.7 5.4 2.5 202 2 0.0 0.1 0.5 1.4 3.5 1.5 202 1 202 3 1-0 202 2 1-0 1.0 1.0 1.3 2.1 3.9 2.1 1-0 0.0 0.2 0.6 1.8 5.7 2.7 1-0 1 1-0 2 202 1-0 1 202 1-0 1 1.0 1.1 1.5 2.5 6.1 3.3 202 1-0 -01 0.0 0.1 0.5 1.3 3.4 1.5 1.0 1.1 1.4 2.2 4.2 2.3 202 2 202 2 202 202 2 0-1 0.0 0.1 0.4 1.3 3.4 1.4 0.0 0.2 0.6 1.7 5.4 2.5 202 1 0-1 202 1 0.0 0.2 0.6 1.6 5.2 2.3 202 0.0 0.2 0.5 1.4 3.6 1.5 1.0 1.1 1.4 2.2 4.3 2.2 2 0-1 1 0-1 0-1 1.0 1.1 1.4 2.1 4.2 2.2 1.0 1.1 1.5 2.6 6.4 3.6 1-0 6 0.0 0.2 0.5 1.3 3.4 1.5 1.0 1.1 1.5 2.7 6.7 3.5 202 1-0 5 0.0 0.1 0.4 1.2 3.1 1.3 202 0-1 0 0-0 9 8 7 0-0 202 0.0 0.2 0.5 1.3 3.4 1.4 202 0-1 1 0-1 1 0-1 202 0-1 0 9 202 0-0 8 -07 0-0 202 202 202 0-0 0.0 0.2 0.5 1.2 3.2 1.4 202 0 0-1 202 202 0-0 9 8 -07 0-0 202 202 0-0 6 202 0 202 0 0-0 6 0.0 0.1 0.4 1.2 3.0 1.3 202 0-0 6 0.0 0.0 0.0 0.0 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 0.6 1.6 1.7 1.7 1.5 1.7 1.8 4.7 5.1 5.2 4.8 5.5 5.7 2.1 2.4 2.4 2.2 2.6 2.8 Short Exposure Excluding IRDs 1.0 1.1 1.5 2.5 6.2 3.3 202 0 0-1 202 202 9 8 0-0 0-0 202 -06 0-0 7 202 202 202 0 202 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 1.4 1.4 1.4 1.4 1.4 2.1 2.2 2.2 2.1 2.3 2.3 3.8 4.2 4.1 4.0 4.4 4.4 2.1 2.2 2.2 2.1 2.4 2.3 Short Exposure Including IRDs 202 -05 0.0 0.2 0.5 1.2 3.0 1.4 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.2 1.2 1.1 1.1 1.2 1.6 1.6 1.6 1.5 1.5 1.6 2.5 2.8 2.8 2.6 2.7 2.7 5.5 6.5 6.2 5.9 7.3 7.0 3.2 3.5 3.6 3.3 3.7 3.8 Long Exposure Excluding IRDs 202 0-0 5 0-0 5 0.0 0.2 0.6 1.7 5.2 2.6 0-0 5 0-0 4 -03 202 0 202 -04 0.0 0.2 0.5 1.2 2.9 1.4 1.0 1.1 1.4 2.2 3.8 2.2 202 -04 -04 0.1 0.2 0.6 1.7 5.1 2.5 1.0 1.2 1.6 2.7 6.4 3.5 202 202 202 0 202 0 0-0 3 0-0 3 0.0 0.1 0.5 1.2 2.7 1.4 1.0 1.1 1.4 2.2 3.8 2.2 202 0 202 202 0.0 0.2 0.6 1.6 4.3 2.4 1.0 1.2 1.6 2.6 6.3 3.4 202 1-0 4 0.0 0.2 0.5 1.7 4.6 1.9 1.0 1.1 1.4 2.1 3.6 2.1 202 0-0 2 0-0 2 0.0 0.2 0.7 2.1 7.5 3.3 0-0 3 202 0 -02 202 0 0-0 2 202 -01 0.0 0.1 0.5 1.6 4.2 1.8 1.1 1.2 1.6 2.5 5.3 2.7 202 -01 9-1 2 0.0 0.1 0.5 1.5 3.6 1.6 1 0.0 0.2 0.7 2.1 7.0 3.0 1.0 1.1 1.6 2.5 5.2 3.3 202 2 0-0 1 202 9-1 9-1 2 9-1 2 202 0 201 0.0 0.2 0.6 1.9 5.7 2.7 202 0-0 1 9-1 0.0 0.2 0.5 1.5 4.0 1.8 1.1 1.2 1.6 2.6 5.1 2.7 1.1 1.3 1.7 3.0 7.4 4.3 1-0 3 0.0 0.2 0.5 1.6 3.9 1.8 201 9-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.3 1.7 3.0 7.3 4.2 202 0 1 0.1 0.3 0.7 2.0 6.1 3.3 201 1 1 201 9-1 9-1 201 0.1 0.3 0.7 2.1 6.1 3.2 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.4 2.3 4.6 2.5 201 1.0 1.1 1.5 2.5 5.0 2.6 1.0 1.2 1.6 2.8 6.3 3.6 201 9-1 9-1 9-1 9-1 201 1.0 1.1 1.5 2.5 5.1 2.7 1.0 1.2 1.6 3.0 7.5 4.2 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.7 3.0 7.8 4.1 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 0 Long Exposure Including IRDs 0.0 0.1 0.4 1.4 3.8 1.4 March 30, 2022 B Analytics Office Gross Exposure by Strategy5 Table 41: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2019Q4 1,723 880 443 397 3 1,134 1,030 714 60 177 61 18 666 579 39 44 5 315 233 82 311 163 79 69 193 *** *** 48 5,420 2020Q1 1,379 713 373 *** *** 1,106 1,106 836 55 129 53 32 644 577 28 36 4 327 240 87 271 140 65 65 159 158 1 50 5,041 2020Q2 1,641 867 443 329 1 1,126 983 700 80 116 62 26 641 572 25 *** *** 358 265 93 281 159 64 59 126 *** *** 42 5,198 2020Q3 1,757 957 485 *** *** 1,128 1,023 689 101 135 72 26 797 725 28 40 4 370 272 98 307 162 71 74 149 145 4 43 5,574 2020Q4 1,975 1,090 548 *** *** 1,189 997 676 121 112 56 32 746 681 31 30 4 393 295 98 366 169 96 101 165 *** *** 43 5,873 2021Q1 2,036 1,114 574 *** *** 1,247 981 647 129 103 58 43 741 670 34 *** *** 415 317 98 408 180 116 111 169 *** *** 51 6,048 2021Q2 2,243 1,204 649 390 0 1,365 1,031 692 133 95 63 48 818 740 44 *** *** 448 346 102 452 186 138 129 215 *** *** 54 6,626 2021Q3 2,228 1,200 649 *** *** 1,422 1,035 691 126 100 61 57 893 790 66 34 4 453 348 105 449 202 141 107 246 *** *** 57 6,783 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 36 March 30, 2022 Analytics Office Table 42: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2019Q4 53.2 27.2 13.7 12.3 0.1 35.0 31.8 22.0 1.8 5.5 1.9 0.6 20.6 17.9 1.2 1.3 0.2 9.7 7.2 2.5 9.6 5.0 2.5 2.1 5.9 *** *** 1.5 167.4 2020Q1 47.3 24.5 12.8 *** *** 37.9 37.9 28.7 1.9 4.4 1.8 1.1 22.1 19.8 1.0 1.2 0.1 11.2 8.2 3.0 9.3 4.8 2.2 2.2 5.5 5.4 0.1 1.7 172.8 37 2020Q2 51.0 27.0 13.8 10.2 0.0 35.0 30.6 21.8 2.5 3.6 1.9 0.8 19.9 17.8 0.8 *** *** 11.1 8.2 2.9 8.7 4.9 2.0 1.8 3.9 *** *** 1.3 161.7 2020Q3 51.7 28.1 14.3 *** *** 33.2 30.1 20.3 3.0 4.0 2.1 0.8 23.4 21.3 0.8 1.2 0.1 10.9 8.0 2.9 9.0 4.8 2.1 2.2 4.4 4.3 0.1 1.3 163.9 2020Q4 55.3 30.5 15.3 *** *** 33.3 27.9 18.9 3.4 3.1 1.6 0.9 20.9 19.1 0.9 0.8 0.1 11.0 8.3 2.7 10.2 4.7 2.7 2.8 4.6 *** *** 1.2 164.3 2021Q1 54.4 29.8 15.3 *** *** 33.4 26.2 17.3 3.5 2.8 1.6 1.2 19.8 17.9 0.9 *** *** 11.1 8.5 2.6 10.9 4.8 3.1 3.0 4.5 *** *** 1.4 161.7 2021Q2 55.3 29.7 16.0 9.6 0.0 33.6 25.4 17.1 3.3 2.3 1.6 1.2 20.2 18.2 1.1 *** *** 11.0 8.5 2.5 11.2 4.6 3.4 3.2 5.3 *** *** 1.3 163.3 2021Q3 53.5 28.8 15.6 *** *** 34.2 24.9 16.6 3.0 2.4 1.5 1.4 21.5 19.0 1.6 0.8 0.1 10.9 8.4 2.5 10.8 4.9 3.4 2.6 5.9 *** *** 1.4 163.0 March 30, 2022 C Analytics Office Leverage by Strategy Table 43: 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 Credit Equity Managed Futures/CTA Other Event Driven Investment in other funds 2019Q4 5.6 4.3 2.3 1.6 1.6 1.4 1.7 1.3 1.2 2020Q1 6.3 4.4 2.3 1.7 1.5 1.4 1.7 1.4 1.2 2020Q2 5.0 3.7 2.0 1.6 1.6 1.4 1.6 1.4 1.3 2020Q3 4.8 4.6 2.5 1.5 1.6 1.5 1.5 1.3 1.3 2020Q4 5.7 4.5 3.0 1.5 1.6 1.5 1.5 1.3 1.2 2021Q1 5.6 4.5 3.1 1.5 1.6 1.5 1.4 1.4 1.2 2021Q2 5.7 4.8 3.2 1.6 1.5 1.5 1.4 1.4 1.3 2021Q3 7.0 4.8 3.3 1.5 1.5 1.5 1.5 1.4 1.3 Table 44: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Investment in other funds Other Credit Equity Event Driven 2019Q4 27.6 24.2 18.5 11.5 1.9 4.3 2.8 3.1 1.9 2020Q1 26.7 25.5 14.6 10.3 1.8 4.6 3.1 2.7 1.9 2020Q2 20.2 22.5 17.4 9.4 2.0 4.1 2.8 3.0 1.8 2020Q3 32.5 19.6 20.9 10.3 2.0 3.4 2.8 3.0 1.8 2020Q4 33.1 23.6 19.7 12.4 2.1 3.2 2.8 2.9 1.9 2021Q1 37.3 24.9 19.2 14.7 1.9 3.1 3.0 3.0 2.0 2021Q2 36.9 23.3 21.4 16.1 2.9 3.2 3.2 3.0 2.1 2021Q3 34.6 26.4 22.9 16.2 3.3 3.2 3.0 2.9 2.0 Table 45: 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 Credit Equity Event Driven Investment in other funds 2019Q4 43.4 39.7 22.7 22.6 14.9 7.7 9.3 10.4 6.6 2020Q1 58.6 43.2 25.0 26.3 16.2 8.3 15.2 12.3 4.7 2020Q2 46.1 40.1 28.5 24.0 16.2 7.4 10.5 10.0 5.1 38 2020Q3 47.7 38.2 30.1 26.2 13.4 7.9 8.3 8.0 6.0 2020Q4 40.4 40.2 26.4 25.7 12.4 9.7 7.9 8.5 7.2 2021Q1 38.7 41.9 24.9 21.9 12.5 9.4 8.0 7.5 1.1 2021Q2 34.0 42.9 25.4 20.9 12.2 8.9 7.5 7.2 3.0 2021Q3 42.7 42.3 25.4 21.1 11.6 8.8 8.1 7.7 1.6 March 30, 2022 D Analytics Office Investment Exposures Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Commodity Derivatives Non-Financial Unlisted Equities Financial Listed Equities Sovereign Bonds - Other Non-Financial Corporate Bonds Non-U.S. Currency Holdings Leveraged Loans Cash/Cash Equivalents - Deposits MBS Other Derivatives Cash/Cash Equivalents - MMFs Non-Financial Convertible Bonds Other Private Funds Physical Real Estate Other Loans (Excluding Repo) Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q4 5,736 2,941 2,141 1,922 2,192 1,452 1,194 659 464 345 269 295 291 223 202 166 205 308 411 171 90 123 106 107 107 96 67 56 43 42 24 20 14 10 3 2020Q1 5,625 3,187 1,551 2,010 1,957 1,137 928 536 491 227 238 196 235 203 172 168 212 219 236 209 86 113 102 100 83 103 64 45 36 31 22 20 12 8 3 2020Q2 5,287 2,836 1,945 1,800 1,768 1,132 962 488 409 266 255 237 275 246 215 181 190 246 204 186 117 115 99 109 90 100 67 48 35 35 22 20 23 9 4 39 2020Q3 6,390 3,164 2,142 2,069 1,740 1,168 1,155 534 389 309 288 244 348 246 180 198 190 254 235 170 140 123 100 117 88 85 69 51 39 35 24 19 20 8 5 2020Q4 6,282 3,216 2,495 1,908 1,595 1,273 1,272 586 425 341 317 272 327 221 188 202 184 216 226 168 174 134 112 115 93 89 68 50 42 33 26 19 17 8 8 2021Q1 6,781 3,756 2,551 1,895 1,672 1,622 1,302 736 506 367 385 314 278 240 208 223 196 184 213 173 182 145 120 118 99 95 67 52 39 35 27 19 18 9 5 2021Q2 7,509 4,076 2,836 2,073 1,727 1,558 1,416 715 576 417 433 347 321 273 223 230 205 203 218 172 200 157 130 123 110 88 71 62 43 37 30 19 17 10 5 2021Q3 7,640 4,077 2,711 2,270 1,735 1,598 1,472 783 534 455 417 359 332 272 255 247 240 212 188 181 178 175 146 133 105 93 73 60 52 38 27 21 16 9 7 March 30, 2022 Analytics Office Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Commodity Derivatives Non-Financial Unlisted Equities Financial Listed Equities Sovereign Bonds - Other Non-Financial Corporate Bonds Non-U.S. Currency Holdings Leveraged Loans Cash/Cash Equivalents - Deposits MBS Other Derivatives Cash/Cash Equivalents - MMFs Non-Financial Convertible Bonds Other Private Funds Physical Real Estate Other Loans (Excluding Repo) Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q4 47.8 58.3 68.7 36.1 60.6 57.7 54.3 49.6 80.4 64.2 99.9 68.5 75.7 82.1 52.6 99.5 61.0 81.5 42.1 98.9 94.5 99.8 *** 90.4 55.3 96.3 92.0 93.9 75.4 *** 99.4 99.5 97.5 95.8 *** 2020Q1 48.0 57.7 69.8 37.2 61.1 50.9 54.4 43.5 77.5 60.8 99.9 69.7 77.3 86.8 56.2 99.5 73.9 85.9 42.3 *** 93.5 99.8 *** 88.2 54.6 94.3 92.7 94.7 87.8 *** 99.8 99.1 96.6 96.7 99.1 2020Q2 44.5 60.3 69.0 38.3 61.4 50.6 52.3 41.9 79.4 63.3 99.8 69.4 77.9 86.3 51.5 98.2 70.9 84.1 49.8 *** 99.2 99.7 *** 90.9 54.9 94.4 91.5 94.6 86.7 *** 99.8 *** 92.8 96.8 99.1 40 2020Q3 52.4 58.4 69.7 38.1 62.2 51.2 51.9 42.5 78.4 67.1 99.1 70.2 75.5 85.2 49.0 99.4 72.3 82.4 65.5 *** 98.7 99.7 *** 91.0 55.1 95.0 91.5 92.4 85.0 *** 99.9 98.6 97.3 97.1 99.3 2020Q4 51.5 58.5 70.7 38.4 60.9 50.8 49.8 45.3 74.9 68.8 99.8 73.3 75.9 84.4 54.9 99.5 73.9 80.8 42.6 *** 98.4 *** *** 88.8 57.7 94.9 90.0 92.7 78.5 *** 99.8 98.4 *** 97.4 99.4 2021Q1 49.7 58.5 70.9 44.9 55.3 57.0 48.6 46.8 71.4 67.1 99.7 72.4 75.6 81.9 53.3 98.3 72.9 82.2 44.1 *** 97.9 *** *** 93.5 59.8 94.6 89.5 86.7 72.5 *** 99.7 98.3 *** 97.3 99.6 2021Q2 48.5 57.7 70.2 46.5 56.7 53.7 50.0 46.6 75.1 67.0 99.7 72.4 69.5 81.0 53.3 99.4 75.4 73.6 48.9 *** 97.8 99.5 *** 93.1 60.6 95.3 88.3 84.5 59.3 *** 99.8 97.9 96.2 95.8 *** 2021Q3 48.5 57.0 71.4 46.8 57.2 51.4 48.5 47.0 73.2 63.8 99.8 73.4 70.2 79.1 56.8 98.0 72.8 71.9 61.9 *** 97.7 99.9 *** 91.7 60.1 96.1 87.1 85.3 65.0 *** 99.7 98.2 97.9 95.0 98.4 March 30, 2022 E Analytics Office Number of Positions Figure 12: Number of Positions Reported by Qualifying Hedge Funds 202 1-0 5 202 202 1 -0 202 202 1-0 9 1-0 8 202 1 -0 4 7 202 1 -0 6 202 3 202 1 -0 1 16 56 184 624 2,004 2,340 16 57 180 632 2,014 2,357 15 53 169 581 1,847 2,229 15 53 166 572 1,905 2,240 15 53 167 592 1,967 2,262 14 51 160 583 1,867 2,171 13 54 169 620 2,040 2,391 13 54 166 586 2,010 2,441 13 49 156 578 1,903 2,307 14 51 169 594 1,955 2,381 14 51 168 615 2,011 2,397 13 48 160 590 1,894 2,319 1-0 202 16 54 179 643 1,963 2,273 0-0 1 -0 2 0-1 202 16 57 190 688 2,120 2,346 9-1 2 202 0-1 0 16 56 193 684 2,044 2,325 41 1 202 202 0-0 9 0-1 202 17 54 180 620 1,873 2,200 9-1 8 202 17 58 189 678 2,000 2,293 0-0 202 17 59 191 670 2,024 2,281 0-0 6 202 16 57 180 614 1,886 2,205 0-0 5 202 0-0 14 60 186 668 2,161 2,332 0-0 4 -02 202 0 15 60 186 657 2,148 2,257 3 202 0-0 14 59 178 578 1,998 2,135 1 2 9-1 201 15 64 188 663 2,127 2,229 1 201 15 66 188 637 2,121 2,232 0 201 Month 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 7 As reported on Form PF, Question 34. March 30, 2022 F Analytics Office Liquidity Table 48: 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 2019Q4 7.7 13.1 26.5 46.3 56.9 68.9 2020Q1 7.8 12.9 25.8 44.5 55.4 67.6 2020Q2 7.6 13.1 24.7 42.9 53.5 66.9 2020Q3 7.7 13.2 24.6 42.8 54.7 66.1 2020Q4 6.8 10.1 22.7 43.7 51.7 64.7 2021Q1 6.2 9.5 22.4 39.8 51.1 63.8 2021Q2 7.8 11.7 23.6 40.4 51.3 64.6 2021Q3 7.5 11.2 23.1 40.3 52.3 63.5 Table 49: 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 2019Q4 34.8 57.0 70.1 76.4 80.3 85.2 2020Q1 39.5 59.6 70.6 75.9 79.5 83.8 2020Q2 37.9 59.0 70.4 76.4 80.5 84.7 2020Q3 35.5 56.9 69.7 75.9 80.1 84.6 2020Q4 32.6 55.1 68.5 75.1 79.4 84.2 2021Q1 33.4 54.8 67.7 74.2 78.3 83.5 2021Q2 33.8 54.8 67.6 74.1 78.2 83.2 2021Q3 33.3 53.4 66.1 73.0 77.3 82.2 Figure 13: 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 Third Calendar Quarter 2021 Statistic Port. Liquidity Inv. Liquidity At most 1 day 32.9 6.2 At most 7 days 52.1 9.3 At most 30 days 64.8 21.3 At most 90 days 71.6 41.5 At most 180 days 76.2 49.2 At most 365 days 81.1 61.9 Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Gated Suspended 2019Q4 2,430 1,553 47 42 15 2020Q1 2,162 1,386 47 47 22 2020Q2 2,375 1,521 54 56 18 2020Q3 2,500 1,608 61 50 15 42 2020Q4 2,622 1,732 73 64 20 2021Q1 2,720 1,809 89 76 19 2021Q2 2,955 1,908 100 78 18 2021Q3 2,975 1,921 108 84 18 March 30, 2022 Analytics Office Figure 14: 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 2019Q4 1.0 4.0 8.0 21.0 37.0 16.5 2020Q1 1.0 4.0 9.0 22.5 38.0 17.2 2020Q2 2.0 4.0 9.0 24.0 41.0 17.7 2020Q3 2.0 4.0 11.5 27.0 45.0 19.6 43 2020Q4 2.0 5.0 11.0 25.0 43.0 19.2 2021Q1 2.0 6.0 11.5 24.0 46.0 20.0 2021Q2 2.0 5.8 11.5 26.0 49.0 20.3 2021Q3 2.0 4.0 12.0 25.0 46.0 19.4 March 30, 2022 G Analytics Office Borrowings Table 51: 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 2019Q4 3,163 1,410 1,302 450 18 3,180 2020Q1 2,879 1,067 1,371 440 20 2,899 2020Q2 2,885 1,302 1,169 415 14 2,899 2020Q3 3,192 1,415 1,330 447 13 3,205 2020Q4 3,220 1,616 1,201 403 14 3,234 2021Q1 3,255 1,709 1,066 480 16 3,271 2021Q2 3,586 1,930 1,113 542 17 3,603 2021Q3 3,669 1,918 1,205 547 32 3,701 Table 52: 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 2019Q4 63.0 36.4 *** *** 2020Q1 61.2 38.1 0.6 0.1 2020Q2 63.4 36.0 *** *** 2020Q3 61.0 38.3 0.6 0.1 2020Q4 64.5 34.8 *** *** 2021Q1 65.2 34.1 0.6 0.1 2021Q2 65.8 33.6 0.5 0.1 2021Q3 64.5 34.8 0.6 0.1 Table 53: 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 2019Q4 1,771 1,222 549 1,316 801 515 498 344 154 3,584 2020Q1 1,411 956 455 1,475 877 599 512 353 159 3,398 2020Q2 1,716 1,183 533 1,203 773 431 486 344 142 3,405 44 2020Q3 1,861 1,293 568 1,362 912 451 513 379 134 3,736 2020Q4 2,134 1,508 626 1,273 866 407 497 389 108 3,904 2021Q1 2,230 1,556 673 1,090 742 348 594 435 159 3,913 2021Q2 2,453 1,658 795 1,166 811 355 658 476 182 4,277 2021Q3 2,433 1,581 851 1,271 908 363 707 521 186 4,410 March 30, 2022 Analytics Office Figure 15: 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 1.3 1.6 1.1 1.0 1.0 1.1 1.3 1.5 1.1 1.0 1.0 1.1 1.4 1.5 1.2 1.0 1.0 1.2 1.6 1.8 1.3 1.0 1.0 1.2 1.5 1.8 1.3 45 1.0 1.0 1.2 1.5 1.8 1.3 1.0 1.0 1.2 1.5 1.9 1.3 1.0 1.0 1.2 1.6 2.0 1.3 1.0 1.0 1.2 1.5 2.1 1.3 1.0 1.0 1.1 1.4 2.0 1.3 1.0 1.0 1.1 1.4 2.0 1.3 1.0 1.0 1.1 1.5 2.0 1.3 1.0 1.0 1.1 1.5 1.9 1.3 -0 9 202 1 -0 9 0.9 1.0 1.3 2.5 5.6 8.3 -09 8 8 8 1-0 202 1.0 1.0 1.1 1.4 2.0 1.3 202 1 1-0 1-0 7 0.9 1.0 1.3 2.5 5.6 7.3 0.8 1.0 1.3 2.4 5.3 4.4 202 1 1-0 7 1-0 202 202 0.9 1.0 1.3 2.4 5.5 3.9 202 1-0 202 5 1-0 202 1-0 1-0 202 2 1-0 202 1.0 1.0 1.2 1.5 2.0 1.3 202 202 1-0 1-0 202 1.0 1.0 1.1 1.5 2.0 1.3 202 202 1 -0 6 0.9 1.0 1.3 2.4 5.5 3.9 7 202 1 -0 5 0.8 1.0 1.3 2.4 5.7 5.2 1-0 202 1 -0 6 202 1-0 4 0.9 1.0 1.3 2.4 5.3 4.5 0.8 1.0 1.3 2.5 5.8 5.0 202 202 1 -0 5 202 1-0 3 0.9 1.0 1.4 2.6 7.7 6.0 0.8 1.0 1.3 2.5 5.5 4.3 6 202 1-0 4 202 1-0 2 0.9 1.0 1.3 2.6 6.3 5.5 0.9 1.0 1.3 2.7 8.1 7.9 4 202 1-0 3 0.8 1.0 1.4 2.5 5.8 3.8 3 0.8 1.0 1.3 2.3 5.1 3.6 1 1 0.8 1.0 1.3 2.3 5.2 3.9 1-0 202 1-0 2 0.9 1.0 1.4 2.5 6.0 4.6 2 0-1 202 1 0-1 0 0-1 1.0 1.0 1.2 1.5 1.9 1.3 202 202 202 0-0 9 8 0-0 202 -07 202 0 0-0 6 1.0 1.0 1.2 1.6 1.9 1.3 0.9 1.0 1.4 2.4 5.5 4.4 202 202 0 -1 2 202 0 -1 1 202 0-1 0 0 -0 9 202 202 0-0 8 6 0-0 7 202 202 0-0 5 1.0 1.0 1.1 1.5 1.8 1.3 202 0-0 5 *** 1.0 0.9 0.9 0.9 1.0 0.9 0.9 *** 1.0 1.0 1.0 1.0 1.0 1.0 1.0 *** 1.4 1.3 1.3 1.3 1.4 1.3 1.3 *** 2.7 2.8 2.7 2.7 2.7 2.6 2.7 *** 6.2 6.0 7.1 7.3 7.7 8.7 8.9 *** 4.2 4.1 4.2 6.7 5.4 8.6 6.5 Ratio of Collateral/Reverse Repo Borrowing 0.8 1.0 1.4 2.5 6.3 5.0 1 202 0 -1 2 202 0 -1 1 0 -0 9 202 0-1 0 202 202 0-0 8 6 0-0 7 202 5 202 0-0 202 0-0 0-0 4 1.0 1.0 1.2 1.5 1.7 1.3 202 0-0 0-0 4 -04 1.0 1.0 1.4 2.5 7.3 4.0 0.9 0.9 0.9 0.9 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 1.4 1.4 1.3 1.3 1.4 1.4 1.4 2.2 2.5 2.4 2.4 2.3 2.4 2.3 2.4 5.4 5.7 5.6 5.7 6.5 6.9 6.6 6.6 3.3 4.2 3.6 3.3 3.7 3.9 4.7 4.2 Ratio of Collateral/Prime Broker Borrowing 202 202 3 3 0-0 0-0 3 202 -01 0-0 2 202 1.0 1.0 1.1 1.3 1.6 1.2 1.0 1.0 1.3 2.2 5.5 3.0 202 *** *** *** *** *** *** 1.0 1.0 1.1 1.4 1.7 1.2 0.9 1.0 1.3 2.2 5.2 2.9 202 0 2 0-0 202 202 0.9 1.0 1.4 2.7 6.7 5.1 1.0 1.0 1.4 2.7 7.2 7.8 2 202 0-0 202 0-0 0-0 1 0-0 1 202 0.9 1.0 1.3 2.3 5.6 4.0 202 2 9-1 2 201 1 1.0 1.0 1.0 1.3 1.5 1.1 0.9 1.0 1.3 2.3 5.8 4.4 202 0 0.9 1.0 1.4 2.7 8.6 5.5 2 201 9-1 201 9-1 9-1 1 1 9-1 201 0.9 1.0 1.4 2.6 8.9 6.6 9-1 9-1 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.2 2.2 6.2 4.1 201 201 9 0.9 1.0 1.4 2.6 6.4 5.6 0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.2 2.1 5.5 3.7 201 0.9 1.0 1.3 2.1 4.7 3.1 -10 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9 -10 Ratio of Total Collateral/Total Secured Borrowing 1.0 1.0 1.1 1.4 1.9 1.3 March 30, 2022 Analytics Office Table 54: 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 2019Q4 29.1 47.9 67.4 82.8 94.9 96.0 2020Q1 37.1 50.5 70.0 83.9 94.3 95.3 2020Q2 39.2 50.7 66.7 81.2 94.5 95.9 2020Q3 39.0 51.1 67.5 80.9 94.7 96.0 2020Q4 27.8 44.5 65.4 79.3 94.9 96.1 2021Q1 37.4 45.0 65.3 78.7 94.4 95.5 2021Q2 36.5 46.9 64.9 76.9 94.5 95.8 2021Q3 36.5 47.8 64.9 76.6 94.5 95.5 Figure 16: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of Third Calendar Quarter 2021. Statistic Financing Liquidity H At most 1 day 26.4 At most 7 days 42.7 At most 30 days 63.0 At most 90 days 77.3 At most 180 days 93.9 At most 365 days 95.4 Central Clearing Figure 17: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2019Q4 16.1 16.6 2020Q1 16.3 17.0 2020Q2 15.3 16.8 2020Q3 14.8 16.0 46 2020Q4 14.3 14.5 2021Q1 13.8 13.6 2021Q2 15.9 15.7 2021Q3 15.4 15.1 March 30, 2022 I Analytics Office Value-at-Risk (“VaR”) Reporting Table 55: 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 2019Q4 673 317 174 182 43 1,148 2020Q1 669 311 176 178 48 1,156 2020Q2 665 311 169 181 46 1,149 2020Q3 628 285 167 175 43 1,152 2020Q4 613 278 168 162 43 1,180 2021Q1 597 269 171 158 45 1,263 2021Q2 657 272 194 186 50 1,309 2021Q3 663 266 199 193 53 1,350 Table 56: 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 2019Q4 3,938 2,062 736 797 913 2,775 2020Q1 3,784 1,955 704 739 868 2,538 2020Q2 3,685 1,838 804 742 807 2,719 2020Q3 3,918 1,979 836 769 845 2,906 2020Q4 3,886 2,009 883 633 898 3,210 2021Q1 3,808 1,992 871 632 846 3,424 2021Q2 4,267 2,247 988 698 905 3,626 2021Q3 4,590 2,322 984 735 1,127 3,711 Table 57: 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 2019Q4 1,378 560 351 452 121 1,861 2020Q1 1,232 507 318 382 131 1,685 2020Q2 1,334 548 341 422 140 1,881 47 2020Q3 1,374 564 351 434 147 2,027 2020Q4 1,345 578 361 376 145 2,229 2021Q1 1,355 586 368 373 156 2,384 2021Q2 1,518 619 432 432 170 2,539 2021Q3 1,542 619 443 437 185 2,619 March 30, 2022 J Analytics Office Stress Testing and VaR Table 58: 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 2019Q4 596 448 77 700 2020Q1 600 428 69 728 2020Q2 598 433 67 716 2020Q3 568 430 60 722 2020Q4 555 400 58 780 2021Q1 535 435 62 828 2021Q2 565 450 92 859 2021Q3 556 472 107 878 Table 59: 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 2019Q4 3,750 1,299 188 1,476 2020Q1 3,594 1,148 190 1,390 2020Q2 3,332 1,237 353 1,482 2020Q3 3,692 1,302 226 1,604 2020Q4 3,524 1,383 362 1,827 2021Q1 3,545 1,435 263 1,989 2021Q2 3,955 1,496 312 2,130 2021Q3 4,226 1,538 364 2,173 Table 60: 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 2019Q4 1,254 741 124 1,120 2020Q1 1,122 651 111 1,034 2020Q2 1,194 732 140 1,149 2020Q3 1,243 781 130 1,246 48 2020Q4 1,189 819 156 1,411 2021Q1 1,206 846 150 1,538 2021Q2 1,314 887 204 1,653 2021Q3 1,288 936 254 1,683 March 30, 2022 K Analytics Office Stress Testing Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor As reported on Form PF, Question 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q4 881 776 753 664 555 484 266 225 2020Q1 866 765 741 653 535 461 256 205 2020Q2 862 762 749 652 535 476 266 218 2020Q3 836 730 717 630 518 459 258 214 2020Q4 796 690 666 584 473 413 229 188 2021Q1 789 710 669 575 463 399 241 202 2021Q2 826 741 700 616 485 419 253 225 2021Q3 844 748 708 610 501 428 268 228 Table 62: Aggregate GAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 8 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q4 4,393 4,016 4,335 3,666 3,550 3,311 984 871 2020Q1 4,137 3,822 4,130 3,527 3,320 3,204 937 832 2020Q2 3,877 3,621 3,873 3,133 3,079 2,851 876 762 2020Q3 4,407 4,021 4,229 3,582 3,471 3,371 914 789 2020Q4 4,395 3,917 4,062 3,486 3,196 3,186 872 738 2021Q1 4,461 3,972 4,210 3,512 3,250 3,254 882 752 2021Q2 4,880 4,375 4,628 3,912 3,624 3,605 1,001 852 2021Q3 5,194 4,646 4,927 4,228 3,909 3,883 1,136 882 Table 63: Aggregate NAV of Qualifying Hedge Funds Stressing Each Market Factor ($ Billions) As reported on Form PF, Questions 9 and 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q4 1,773 1,551 1,507 1,338 1,128 1,098 392 347 2020Q1 1,563 1,387 1,345 1,180 1,001 982 339 294 2020Q2 1,704 1,496 1,446 1,269 1,074 1,057 396 348 49 2020Q3 1,799 1,571 1,496 1,333 1,144 1,115 403 358 2020Q4 1,779 1,520 1,415 1,247 1,043 1,019 376 329 2021Q1 1,826 1,553 1,508 1,266 1,071 1,037 387 340 2021Q2 1,948 1,679 1,620 1,388 1,152 1,114 424 380 2021Q3 1,989 1,675 1,623 1,377 1,167 1,123 482 379 March 30, 2022 Analytics Office Table 64: Number of Qualifying Hedge Funds Stressing Market Factors As reported on Form PF, Question 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q4 777 181 118 95 105 131 206 73 135 2020Q1 797 182 115 94 107 124 217 74 115 2020Q2 783 183 112 107 100 119 204 75 131 2020Q3 782 183 110 98 100 108 196 75 128 2020Q4 838 178 118 98 103 113 169 68 108 2021Q1 890 202 117 90 105 117 157 61 121 2021Q2 951 210 121 96 107 127 155 60 139 2021Q3 985 214 130 83 101 137 155 71 137 Table 65: Aggregate GAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 8 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q4 1,665 416 544 339 277 776 1,860 243 595 2020Q1 1,581 365 475 290 276 763 1,784 203 584 2020Q2 1,834 414 493 431 270 740 1,461 250 511 2020Q3 1,830 424 510 336 266 841 1,810 260 547 2020Q4 2,189 466 528 315 313 849 1,665 275 497 2021Q1 2,253 414 596 302 341 831 1,722 263 511 2021Q2 2,441 425 638 342 346 926 1,890 279 605 2021Q3 2,538 444 629 324 363 929 2,101 360 613 Table 66: Aggregate NAV of Qualifying Hedge Funds Stressing Market Factors ($ Billions) As reported on Form PF, Questions 9 and 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q4 1,244 269 212 189 162 271 567 122 202 2020Q1 1,144 240 191 170 145 237 503 119 168 2020Q2 1,288 267 214 199 142 254 509 123 218 2020Q3 1,376 278 230 208 148 266 546 126 222 50 2020Q4 1,566 308 264 229 146 273 463 127 198 2021Q1 1,688 272 307 217 166 282 480 120 207 2021Q2 1,856 284 328 247 163 318 491 124 246 2021Q3 1,937 300 322 231 176 321 477 170 227 March 30, 2022 IX A Analytics Office Section 3 Liquidity Fund Specific Information Liquidity Table 67: 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 2019Q4 73.7 95.7 99.7 99.8 99.9 99.9 2020Q1 75.6 95.9 99.7 99.9 99.9 100.0 2020Q2 73.4 95.2 99.1 99.6 99.9 100.0 2020Q3 72.9 95.4 99.1 99.5 99.9 99.9 2020Q4 72.9 94.8 98.6 99.3 99.7 100.0 2021Q1 72.2 93.6 98.1 98.9 99.4 99.9 2021Q2 70.3 92.8 97.2 98.2 99.0 99.7 2021Q3 68.6 92.6 97.3 97.8 98.8 99.8 Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2020Q1 275 239 0 0 2020Q2 282 251 0 0 2020Q3 303 273 0 0 2020Q4 303 270 0 0 2021Q1 280 247 0 0 2021Q2 296 263 0 0 2021Q3 278 245 0 0 Portfolio Characteristics Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 8 1-0 9 7 202 202 202 202 202 202 1-0 202 1-0 202 1-0 5 6 4 1-0 202 1-0 202 1-0 3 2 1 1-0 202 0-1 202 1-0 2 1 0 0-1 9 202 0-0 202 0-1 8 7 0-0 6 202 0-0 5 202 0-0 4 202 0-0 202 0-0 2 3 202 0-0 1 202 0-0 2 202 0-0 201 9-1 9-1 201 Statistic Average WAM Asset-Weighted WAM 201 9-1 0 1 As reported on Form PF, Questions 55. 31.7 47.9 32.3 46.2 26.4 38.2 30.5 38.5 31.2 42.3 28.2 41.9 30.6 41.4 31.9 39.6 32.5 41.1 32.2 42.9 31.4 41.4 32.0 42.7 31.1 42.9 30.9 44.1 31.9 44.0 32.4 47.1 33.1 47.1 31.2 45.3 34.8 42.4 35.6 40.8 37.1 46.4 36.8 48.7 36.7 47.7 43.0 49.2 Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days) 9 8 202 202 1-0 202 1-0 7 202 1-0 202 1-0 6 5 4 202 1-0 3 202 1-0 202 1-0 202 1-0 2 1 202 1-0 2 1 202 0-1 0 202 0-1 9 202 0-1 202 0-0 0-0 202 0-0 8 6 7 5 0-0 202 0-0 202 64.3 83.9 56.8 77.6 61.7 79.0 62.6 81.6 56.0 73.2 51.5 67.8 51.7 62.2 53.0 59.5 53.2 58.7 51.7 56.4 51.8 61.3 47.5 54.9 47.8 56.1 48.2 55.4 48.5 58.1 51.6 59.9 48.3 58.7 50.5 55.5 49.8 53.7 51.4 59.3 51.7 63.4 52.0 63.3 58.3 65.5 0-0 202 4 3 0-0 202 2 1 0-0 202 0-0 202 2 1 67.1 88.0 9-1 201 9-1 9-1 201 Statistic Average WAL Asset-Weighted WAL 201 0 As reported on Form PF, Questions 55. Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 7 4 9 0.19 0.08 1-0 0.18 0.10 202 0.20 0.11 8 0.24 0.12 1-0 0.25 0.13 202 0.26 0.14 6 0.19 0.22 1-0 0.20 0.20 1-0 0.23 0.24 202 0.28 0.30 5 0.30 0.32 1-0 0.46 0.44 202 0.77 0.56 1-0 1.53 1.58 202 1.54 1.61 202 3 1-0 202 2 1-0 202 1 1-0 2 202 0-1 202 0-1 202 1 0 0-1 202 9 202 1.50 1.65 51 0-0 8 0-0 202 0-0 7 6 202 0-0 202 5 0-0 202 4 3 1.53 1.68 0-0 202 0-0 2 0-0 202 1 202 0-0 202 2 9-1 1 1.71 1.82 9-1 201 Statistic Average Gross Yield Asset-Weighted Gross Yield 201 9-1 0 As reported on Form PF, Questions 55. 201 B 2019Q4 274 241 0 0 0.17 0.07 0.16 0.06 0.16 0.06 0.14 0.06 0.14 0.05 0.17 0.05 March 30, 2022 Analytics Office Figure 21: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 8 202 1-0 9 7 52.17 43.82 55.72 53.84 48.82 48.38 48.68 44.94 46.82 43.22 46.54 43.76 46.02 43.88 45.68 39.95 43.95 40.67 49.46 43.52 48.36 40.69 52.42 43.97 51.53 44.78 49.72 45.16 1-0 202 6 202 1-0 5 51.34 41.74 1-0 202 4 202 51.52 41.02 1-0 202 1-0 3 1-0 202 2 1 1-0 202 2 1-0 202 1 202 0-1 202 0-1 0 9 0-1 202 0-0 8 0-0 202 0-0 202 7 6 202 5 0-0 202 4 52.42 46.64 0-0 202 3 50.29 45.32 0-0 202 53.33 52.84 0-0 48.00 39.63 0-0 202 2 1 49.34 40.79 0-0 202 2 202 50.77 40.21 9-1 201 48.48 41.44 9-1 201 49.55 42.53 9-1 201 Statistic Average DLA Asset-Weighted DLA 1 0 As reported on Form PF, Questions 55. Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -09 8 202 1 7 202 1-0 6 202 1-0 5 61.44 56.34 60.88 58.49 59.47 56.63 59.98 59.28 61.14 60.54 60.27 59.96 62.05 58.49 61.81 58.10 60.76 60.48 1-0 202 1-0 4 58.09 58.82 1-0 202 57.67 56.17 1-0 202 57.89 59.08 1-0 202 64.39 62.82 1-0 202 3 2 1 2 202 1 202 0-1 0 61.81 57.11 0-1 202 60.58 54.63 52 0-1 9 0-0 202 8 0-0 202 7 60.72 54.34 0-0 202 6 0-0 202 5 202 61.47 57.42 0-0 202 4 3 61.46 58.14 0-0 65.39 64.27 0-0 202 2 60.75 52.15 0-0 202 1 62.08 52.10 0-0 202 2 202 62.12 50.83 9-1 201 60.13 51.81 9-1 201 61.53 54.03 9-1 201 Statistic Average WLA Asset-Weighted WLA 1 0 As reported on Form PF, Questions 55. March 30, 2022 C Analytics Office Rule 2a-7 Compliance Table 69: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type None Credit Quality Diversification Maturity Liquidity Fully 2019Q4 37.2 62.8 58.1 58.1 53.5 48.8 2020Q1 39.0 61.0 56.1 56.1 51.2 46.3 2020Q2 37.8 62.2 57.8 57.8 53.3 48.9 2020Q3 38.3 61.7 57.4 57.4 53.2 48.9 2020Q4 45.3 54.7 50.9 50.9 47.2 43.4 2021Q1 46.3 53.7 50.0 50.0 46.3 42.6 2021Q2 48.2 51.8 48.2 48.2 44.6 39.3 2021Q3 50.9 49.1 45.6 45.6 42.1 38.6 Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type None Credit Quality Diversification Maturity Liquidity Fully D 2019Q4 87.2 12.8 12.2 12.2 12.0 10.1 2020Q1 86.9 13.1 12.4 12.4 12.1 10.2 2020Q2 86.3 13.7 12.9 12.9 12.6 10.6 2020Q3 86.9 13.1 12.1 12.1 11.8 9.9 2020Q4 86.4 13.6 12.3 12.3 12.1 10.1 2021Q1 83.7 16.3 14.9 14.9 14.7 12.7 2021Q2 81.6 18.4 17.1 17.1 16.9 14.3 2021Q3 80.9 19.1 17.4 17.4 17.2 15.0 Methods of Calculating NAV Table 71: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2019Q4 74.4 25.6 2020Q1 75.6 24.4 2020Q2 73.3 26.7 2020Q3 74.5 25.5 2020Q4 73.6 26.4 2021Q1 75.9 24.1 2021Q2 75.0 25.0 2021Q3 77.2 22.8 Table 72: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2019Q4 64.8 35.2 2020Q1 68.4 31.6 2020Q2 68.2 31.8 2020Q3 70.1 29.9 53 2020Q4 66.6 33.4 2021Q1 69.0 31.0 2021Q2 66.1 33.9 2021Q3 66.7 33.3 March 30, 2022 Aggregate Portfolio Holdings Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 9 101.2 65.4 38.6 25.2 28.3 20.1 9.9 2.9 1.0 107.0 59.2 34.8 28.1 30.8 21.3 12.0 2.3 1.1 108.4 55.0 37.7 30.7 37.0 20.3 14.4 2.4 1.3 102.1 62.1 38.7 35.0 39.9 21.4 15.5 2.3 1.5 101.2 55.4 43.6 44.4 32.2 21.0 15.8 1.9 1.4 108.5 54.2 40.8 42.3 30.7 19.6 16.5 2.2 1.3 0-0 0-0 202 8 86.1 59.9 32.2 46.1 31.0 14.2 9.1 2.3 0.9 0-0 202 41.1 78.8 49.3 44.7 32.9 17.8 8.7 2.0 0.7 0-0 202 7 6 42.4 81.7 44.6 43.7 37.0 18.4 8.7 1.8 0.7 0-0 202 5 202 -04 202 0 3 202 60.0 66.3 41.9 45.9 40.4 16.8 8.3 1.8 0.7 0-0 202 0-0 2 -01 202 0 9-1 2 201 55.3 71.2 42.6 46.8 40.2 17.6 9.6 1.9 0.7 9-1 201 49.8 65.4 43.8 51.7 42.1 18.2 10.0 1.9 0.7 9-1 201 Product Type U.S. Treasuries Deposits Commercial Paper Repo - Govt. Collateral Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 1 0 As reported on Form PF, Question 63. Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 202 1-0 9 8 202 1-0 7 202 1-0 6 202 1-0 5 202 1-0 4 202 1-0 202 1 -03 2 202 1-0 202 1-0 1 2 0-1 -11 202 Product Type U.S. Treasuries Deposits Commercial Paper Repo - Govt. Collateral Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 202 0 0-1 0 As reported on Form PF, Question 63. 202 E Analytics Office 107.3 58.3 34.7 33.0 32.5 17.3 17.0 1.7 0.9 103.1 61.8 36.9 31.7 36.6 19.6 19.9 1.9 0.8 104.1 52.8 37.7 39.0 38.7 20.9 18.0 1.8 0.9 97.2 63.7 45.2 27.7 34.6 20.0 18.3 1.9 0.9 89.5 69.1 45.3 25.8 36.2 20.3 17.9 1.6 0.9 91.9 59.5 48.8 23.9 36.9 22.8 13.3 1.4 1.1 82.7 76.0 50.0 23.8 33.4 21.8 13.2 1.5 1.2 86.1 80.0 53.4 26.1 29.1 22.3 12.4 1.3 1.2 94.8 69.9 51.2 32.1 27.9 21.7 15.1 1.4 1.1 86.4 83.1 52.3 26.0 24.0 20.9 12.4 1.3 0.9 80.2 75.5 51.7 35.2 21.0 21.0 11.6 1.2 0.9 73.1 69.7 51.4 40.2 26.0 23.0 12.1 1.4 1.1 54 March 30, 2022 Analytics Office X Section 4 Private Equity Fund Specific Information A CPC Industry Concentration Table 75: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Electric Power Generation,... Telecommunications Data Processing... Data Processing, Hosting, &... Other Financial Investment... Other Information Services Pharmaceutical & Medicine Mfg Oil & Gas Extraction Custom Computer Programming... All Other Professional,... Other Financial Vehicles Insurance Agencies & Brokerages Management, Scientific, &... Scientific Research & Development... Pipeline Transportation Educational Services Other Computer Related Services Activities Related to Credit... 2014Q4 3.8 3.8 2.5 2.3 1.8 2.1 1.3 7.8 1.0 0.6 0.4 1.0 1.2 0.9 2.6 1.3 0.4 1.2 2015Q4 4.9 3.7 2.7 1.8 1.8 1.9 1.5 5.8 1.5 0.6 0.6 1.0 1.1 1.0 2.4 1.3 0.5 1.4 55 2016Q4 6.1 4.1 2.3 2.0 1.7 1.8 1.4 6.7 1.5 0.9 1.8 1.2 1.3 0.7 2.2 1.2 0.9 1.0 2017Q4 6.0 4.2 2.2 2.3 1.4 2.0 1.5 6.2 1.5 0.8 1.6 1.1 1.6 1.0 1.9 1.4 0.9 1.2 2018Q4 8.0 4.5 2.4 3.5 2.1 1.7 2.4 4.9 1.8 1.4 1.3 1.0 1.4 1.0 1.8 1.2 1.0 1.3 2019Q4 10.6 4.3 2.6 4.2 2.1 1.9 2.0 3.6 2.1 1.4 1.2 1.1 1.6 1.7 1.7 1.1 0.8 1.4 2020Q4 9.7 4.8 3.7 3.6 2.8 2.5 2.1 1.9 1.9 1.9 1.8 1.5 1.4 1.3 1.3 1.3 1.2 1.2 March 30, 2022 B Analytics Office CPC Financial Leverage Figure 23: 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 2014Q4 0.6 1.4 5.3 17.9 50.0 16.2 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 2017Q4 0.8 2.1 7.3 21.5 51.8 17.7 2018Q4 0.7 1.5 6.0 17.8 49.3 15.4 2019Q4 0.7 1.3 5.2 16.8 48.7 15.5 2020Q4 0.7 1.4 5.9 18.2 46.8 16.0 Figure 24: 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 2014Q4 1.0 3.0 8.0 22.0 40.0 16.8 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 56 2017Q4 1.0 3.0 8.0 17.0 42.0 16.5 2018Q4 1.0 3.0 9.0 22.2 56.0 19.5 2019Q4 2.0 4.0 11.0 27.0 61.0 21.8 2020Q4 2.0 4.0 11.0 32.0 65.0 23.1 March 30, 2022 C Analytics Office CPC Investments by Region and Country Table 76: 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 Europe Other South America Supranational Middle East Africa 2014Q4 4,506 1,259 462 9 85 67 12 12 2015Q4 4,132 941 447 21 58 23 9 12 2016Q4 3,942 848 406 22 111 37 15 18 2017Q4 3,961 963 379 40 184 49 23 14 2018Q4 4,211 1,256 435 46 140 55 16 10 2019Q4 5,163 1,547 561 69 149 60 18 15 2020Q4 6,633 2,155 1,028 158 141 78 44 9 Table 77: 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 Europe Other South America Supranational Middle East Africa 2014Q4 70.2 19.6 7.2 0.1 1.3 1.0 0.2 0.2 2015Q4 73.2 16.7 7.9 0.4 1.0 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 0.4 2.0 0.7 0.3 0.3 57 2017Q4 70.5 17.1 6.8 0.7 3.3 0.9 0.4 0.3 2018Q4 68.2 20.3 7.0 0.7 2.3 0.9 0.3 0.2 2019Q4 68.0 20.4 7.4 0.9 2.0 0.8 0.2 0.2 2020Q4 64.7 21.0 10.0 1.5 1.4 0.8 0.4 0.1 March 30, 2022 Analytics Office Table 78: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States Japan China and Hong Kong India Brazil Russia 2014Q4 4,305 98 186 83 58 2 2015Q4 3,943 85 173 89 41 5 2016Q4 3,776 79 114 92 88 4 2017Q4 3,794 52 147 73 131 4 2018Q4 4,015 52 154 104 96 2 2019Q4 4,803 78 149 128 93 1 2020Q4 6,243 283 235 229 78 1 2019Q4 63.3 1.0 2.0 1.7 1.2 0.0 2020Q4 60.9 2.8 2.3 2.2 0.8 0.0 Table 79: 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 Japan China and Hong Kong India Brazil Russia 2014Q4 67.1 1.5 2.9 1.3 0.9 0.0 2015Q4 69.9 1.5 3.1 1.6 0.7 0.1 2016Q4 69.9 1.5 2.1 1.7 1.6 0.1 58 2017Q4 67.6 0.9 2.6 1.3 2.3 0.1 2018Q4 65.1 0.8 2.5 1.7 1.6 0.0 March 30, 2022 XI A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 59 March 30, 2022 3 Analytics Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 60 March 30, 2022 B Analytics 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: ˆ (Q1): February 15 to May 14 ˆ (Q2): May 15 to August 14 ˆ (Q3): August 15 to November 14 ˆ (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 61 March 30, 2022 D Analytics 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. 62 March 30, 2022 Analytics 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. 63 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ac6c4213e13bdc7f5. Public record. Not legal advice.