# U.S. Securities and Exchange Commission > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad390c3f0bfef97f9 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text U.S. Securities and Exchange Commission Annual Staff Report Relating to the Use of Form PF Data This is a report of the Staff of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. February 21, 2024 Executive Summary Since July 2012, the Commission has collected data about hedge funds, private equity funds, and other private funds reported by certain registered investment advisers to private funds on Form PF. This collection is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in 2010, that provide that the Commission require registered investment advisers to maintain records and file reports regarding the private funds they advise, for use by the Commission and by the Financial Stability Oversight Council (“FSOC”). The Commission is the primary regulator of advisers to private funds. Private funds and their advisers play an important role in both private and public capital markets. These funds, including hedge funds, private equity funds and liquidity funds (which operate, in certain respects, similarly to money market funds), currently have approximately $14 trillion in net assets. Private funds invest in large and small businesses and use strategies that range from long-term investments in equity to rapid trading and investments in complex instruments. Their investors include individuals, institutions, governmental and private pension funds, and non-profit organizations. The economic activity of private funds is significant both to large portions of the capital markets and to many individual American investors. Before Form PF was adopted, the Commission and other regulators had limited visibility into this economic activity. With the significant increase in private fund advisers registered with the Commission in 2012, Form PF represented an improvement in available data about private funds compared with the third party data on which the Commission would otherwise rely. Form PF data allow the Commission to better monitor and identify trends that may affect private funds, advisers, and investors. Part III of this eleventh Annual Report Relating to the Use of Form PF Data highlights the uses of the Form PF Data by the Commission and Commission staff. These include: • • • • Informing Commission Policy. Commission staff uses data from Form PF to identify trends and develop analyses that deepen staff understanding of private funds, private fund advisers and the markets in which they participate, subject to a framework designed to maintain the security and confidentiality of the data. The data set resulting from Form PF has provided a better perspective of the trading strategies and other activities of private funds, and of how private funds and their advisers may be affected by market and geopolitical events. This enhances the Commission’s ability to evaluate and frame regulatory policy, inform policy discussions of private fund activity, and test with evidence assertions about private fund activity. Informing the Public. Staff’s quarterly public report, Private Funds Statistics, provides analyses of aggregated Form PF data, including information about industry trends. Staff also uses Form PF data to conduct and publish research intended to deepen public understanding of private funds and their market activities and risks. Prioritizing and Informing Examination and Enforcement Efforts. Staff reviews and analyzes Form PF data to identify potential compliance risk areas and assist in prioritizing the use of exam and enforcement resources. Reports summarizing key information, which can be rapidly and automatically generated, expedite staff’s preparation and conduct of focused exams by helping to identify areas of inquiry. Facilitating Coordination with Other Regulators. The Commission adopted Form PF in part to obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets. Accordingly, the Commission makes Form PF data available to FSOC through the Office of Financial Research (“OFR”) and to the Federal Reserve Board (“FRB”), subject to agreements regarding appropriate use of and confidentiality protections for Form PF data. Staff also uses Form PF data when coordinating with other federal regulators and international organizations in areas of mutual interest, subject to protections designed to maintain data security. 1 I. Introduction Today’s U.S. private fund industry, including hedge funds, private equity, and other private funds, with approximately $14 trillion in reported net assets as of the second quarter of 20231 plays an active and important role in the U.S. private and public capital markets. Important financial innovations, capital market trends, and new investment strategies and structures have emerged first among private funds and private fund advisers. As the primary U.S. regulator of advisers to private funds,2 the Commission depends on robust and reliable information to inform its understanding of private funds and private fund advisers, including how private funds and advisers participate in financial markets, so that it can carry out its mission of protecting investors, maintaining fair, orderly, and efficient markets, and facilitating capital formation. Further, because of private funds’ important role in capital markets, the Commission can better identify potential trends in the markets that it regulates by understanding new developments and trends in private funds. Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered investment advisers to private funds (including hedge funds, private equity funds, liquidity funds, and other private funds) to file Form PF to report information about the private funds they manage.3 Section 204(b) of the Advisers Act requires an annual report to Congress regarding how the Commission has used the Form PF data to monitor markets for the protection of investors and the integrity of the markets.4 This report is being submitted to Congress to satisfy that requirement.5 This is a report of the staff of the Commission, and the Commission has expressed no view regarding any analysis, findings, or conclusions contained herein. II. Overview of Form PF and Form PF Data Management at the Commission Overview of Form PF 1 Private Funds Statistics, Second Calendar Quarter 2023, p.5, Table 4, at the Appendix. Reported net assets of private funds have more than doubled since this data collection began, growing from about $5 trillion as of the end of the first quarter of 2013. See Private Funds Statistics, Fourth Quarter 2014, Table 4. 2 Section 202(a)(29) defines a “private fund” as “an issuer that would be an investment company, as defined by section 3 of the Investment Company Act, but for section 3(c)(1) or 3(c)(7) of that Act.” Some investment advisers registered with the Commission are also registered with and regulated by the U.S. Commodity Futures Trading Commission as commodity pool operators (“CPOs”) or commodity trading advisers (“CTAs”). See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (Oct. 31, 2011) at n. 10 and text accompanying n. 49 [76 Fed. Reg. 71128, 71132 (Nov. 16, 2011)], https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the “Adopting Release”). 3 See Adopting Release, supra note 2; see also Money Market Fund Reform; Amendments to Form PF, Investment Advisers Act Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)], https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required by private liquidity funds) (the “Money Market Fund Reform Release”). https://www.reginfo.gov/public/do/PRAOMBHistory?ombControlNumber=3235-0679. 4 Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11). 5 See Division of Investment Management, U.S. Securities and Exchange Commission, Annual Staff Report Relating to the Use of Form PF Data, https://www.sec.gov/reports. 2 Form PF provides the Commission information that it uses in carrying out its mission.6 Before Form PF was adopted, the Commission and other regulators had more limited visibility into the economic activity of private funds. With the significant increase in private fund advisers registered with the Commission in 2012, Form PF represented an improvement in available data about private funds compared with the third party data on which the Commission would otherwise rely.7 The data set that is generated from information reported by private fund advisers on Form PF is more reliable and complete when contrasted with private vendor databases that cover only voluntarily-provided private fund data and are not representative of the total population. The Commission adopted Form PF in part to obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets.8 As required by statute, the Commission designed Form PF in consultation with FSOC.9 Generally, investment advisers registered (or required to be registered) with the Commission with at least $150 million in private fund assets under management must file Form PF. Most private fund advisers file annually to report general information such as the types of private funds advised (e.g., hedge funds, private equity funds, or liquidity funds), fund size, use of borrowings and derivatives, strategy, and types of investors. Certain larger advisers provide more information on a more frequent basis, including more detailed information on particular hedge funds and liquidity funds. How the Commission Secures and Manages Form PF Data Advisers file Form PF using the Private Fund Reporting Depository (“PFRD”), an electronic filing system maintained by the Financial Industry Regulatory Authority (“FINRA”).10 Commission staff receives Form PF data via a direct feed from FINRA and maintains the data on access-controlled internal data systems. Consistent with provisions under the Advisers Act that provide heightened confidentiality protections for any proprietary information of private fund advisers submitted on Form PF,11 Commission staff has implemented systems and controls designed to limit access to Form PF data and protect its confidentiality within and outside the agency. This includes limits on access to FINRA’s PFRD system and to internal data systems that contain PF Data to staff experts across the Commission who have been authorized to access the data, requirements that any PF Data is shared only with other SEC staff who have a need to see it for Work Duties, and processes under which any Form PF data released to the public is reviewed before release so that the data is aggregated and/or masked to avoid public disclosure of proprietary information of private fund advisers. Senior staff members from various Divisions and Offices within the Commission are members of the Form PF Steering Committee--now led by staff from the SEC’s Office of Chief Data 6 Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting requirements for private fund advisers as necessary and appropriate in the public interest and for the protection of investors, or for the assessment of systemic risk by FSOC. Section 204(b) was enacted as part of the Dodd- Frank Wall Street Reform and Consumer Protection Act of 2010, Public Law No. 111-203, § 404, 124 Stat. 1376 (the “Dodd-Frank Act”). 7 Adopting Release, supra note 2, at 71129 n. 11 (describing transition period for registration by private fund advisers that previously relied on the repealed exemption under section 203(b)(3) of the Advisers Act) and 71130 n.19 (citing FSOC 2011 Annual Report, http://www.treasury.gov/initiatives/fsoc/Pages/annualreport.aspx). 8 See supra note 6. 9 See Advisers Act section 204(b)(3) (requires the Commission to consult with FSOC). 10 The Commission developed PFRD to implement reporting requirements on Form PF. PFRD is operated under a contract between the Commission and FINRA as an extension of the Investment Adviser Reporting Depository system used by advisers to register with the Commission on Form ADV. See Adopting Release, supra note 2, at Section II.E 11 Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10). 3 Officer, tasked with overseeing these systems and controls for access, use, and security of Form PF data. The Committee, on an ongoing basis, monitors and updates these systems and controls, and meets regularly to address any new matters arising from time to time relating to the access, use, and security of the Form PF data. Efforts to Improve the Quality of Form PF Data Commission staff works with filers to improve the quality of data filed on Form PF. For example: • Staff responds to specific, factual inquiries about how to complete and file Form PF on an ongoing basis. Staff maintains a separate email address that advisers and others can use to obtain answers to questions about how to complete and file Form PF. Staff also issued and periodically updates a series of “Frequently Asked Questions” that address specific, factual questions received from advisers and other members of the public related to Form PF.12 • Staff regularly contacts individual filers when staff members identify anomalous and possibly erroneous data as well as possibly delinquent or missing filings. Staff works with these individual filers to determine steps for improving timeliness and accuracy of filings. • When delinquencies persist, the staff has taken further steps to ensure that information is appropriately filed.13 Analytical Tools Using Form PF Data Commission staff has developed various analytical tools to use Form PF data in support of its monitoring of private funds and private fund advisers, consistent with the systems and controls discussed above in Section II.B. These tools enhance staff’s ability to assess large volumes of data, streamline analysis of the data by automating certain analytical processes, and evaluate Form PF data alongside other relevant datasets. As examples, these analytical tools have enhanced the staff’s ability to: • • • • identify “outliers” among private funds and private fund advisers using factors such as performance, investment exposures, and liquidity; identify private funds based on one or more areas of policy interest, such as type of strategy, types of investments, use of derivatives, and extent of leverage; monitor changes and other trends in industry exposures, asset composition, and trading activity; empirically test claims made in the financial press or other public sources regarding private funds and the private fund industry; and 12 The Form PF Frequently Asked Questions (“PF FAQs”), https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml, represent the views of the staff of the Division of Investment Management. The PF FAQs are not a rule, regulation, or statement of the Commission, and the Commission has neither approved nor disapproved the information therein. The public Form PF inquiry email address as well as a phone number to reach staff with questions relating to Form PF is published at https://www.sec.gov/divisions/investment/iard/iardhelp.shtml. See also Division of Investment Management: Electronic Filing of Form PF for Investment Advisers on PFRD (PFRD Home Page) at https://www.sec.gov/divisions/investment/pfrd.shtml. 13 The Commission announced settlement orders with 13 registered investment advisers who repeatedly failed to file Form PF providing information about the private funds that they advise. See SEC Charges 13 Private Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at https://www.sec.gov/news/pressrelease/2018-100. 4 • III. facilitate assessment of the operations and investment activities of private funds and private fund advisers. How the Commission Uses Form PF Data The Commission staff in the various Divisions and Offices use Form PF data in mission-focused activities, including to inform policy by identifying and monitoring private fund trends, inform the public, conduct focused exams, and pursue potential wrongdoing. Additionally, consistent with the Advisers Act, the Commission makes the Form PF database available to FSOC through OFR.14 Staff also makes the Form PF database available to the FRB and uses Form PF data when coordinating with other federal regulators and international organizations in areas of mutual interest involving private fund advisers, subject to appropriate protections for data security. The following provides more detail on how the Commission staff uses Form PF data. Informing Commission Policy The Commission staff analyzes Form PF data to identify trends and possible emerging risks among private funds and private fund advisers and to develop analyses that deepen the Commission’s understanding of private funds, private fund advisers, and the markets in which they participate. As compared to third-party sources, Form PF provides the Commission with a broader perspective and more complete view of the financial markets in general and the private fund industry in particular. Using data collected on Form PF promotes the ability of the Commission staff to analyze information related to private fund activity, evaluate existing regulatory policies and programs directed to private fund advisers, evaluate the impact of policy choices on private funds’ activities, and consider whether activities of private funds may involve any potential wrongdoing that indicates a need for regulatory action. The Commission and its staff use this insight in support of the Commission’s mission to protect investors, maintain fair, orderly, and efficient markets, and facilitate capital formation. Some examples of how the Commission and staff use Form PF Data to inform policy are as follows: Assess Private Funds Activities and Trends. Staff uses Form PF data to identify and monitor the activities of private funds, trends in the private funds industry and the possible effects on the broader financial markets. Through this analysis, staff may consider persistent questions and test perceptions – and in some cases, misconceptions – about the activities of private funds and the effects of these activities in the markets the Commission regulates. For example, staff uses Form PF data to assess funds’ use of borrowing and leverage based on multiple metrics, including gross notional exposure to net asset value (economic leverage), long and short notional exposures, gross and net exposure by investment strategy, aggregate borrowings and posted collateral. Staff also uses Form PF data to consider liquidity trends, including funds’ portfolio, investor and financing liquidity, funds’ usage of derivatives and high frequency trading (among other strategies), and how private fund advisers use risk management tools such as stress tests and value at risk (VaR) reporting in the management of private funds.15 Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how private funds and private fund advisers might be affected by market and geopolitical events. Staff has assessed the exposure of private funds to various types of assets and financial markets. This type of 14 OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties. See Section 152 of the Dodd-Frank Act, supra note 7. 15 Staff makes some of this analysis publicly available in Private Funds Statistics, its quarterly report. See Appendix and Section III.B, infra. 5 assessment, aggregated with other industry information that may be available to staff, facilitates development of a broader understanding of the potential effects of certain market or global events for private funds and the financial markets regulated by the Commission in which private funds participate. Identify New Developments in Broader Financial Markets. Form PF data has the potential to capture new developments and trends among private funds and private fund advisers. This provides the Commission and staff with a window into potential new developments and trends in the broader public markets regulated by the Commission. For example, it is well-known that certain “alternative” investment strategies first offered in hedge funds have more recently been developed and modified to be offered by mutual funds.16 Staff has also used Form PF data to monitor trends in hedge fund exposures to leveraged loans and collateralized loan obligations. Assess Effects of Rulemaking. The Commission and staff also are using information from Form PF to assess the potential impact of rulemaking proposals and analyze impacts of its rulemaking on markets and market participants. For example, the Commission relied on data derived from Form PF in recently adopted amendments to Form PF which require new current reporting of certain events for large hedge fund advisers and advisers to private equity funds, among other things.17 The Commission also used Form PF data to estimate the number of affected parties in a recent final rulemaking to prohibit conflicts of interest in certain securitizations.18 The Commission also used statistics on private funds, which are published quarterly as discussed below, to inform several recent rulemakings, including: final amendments to certain rules that govern money market funds, which were designed to improve the resilience and transparency of money market funds;19 a final rule to enhance oversight on private fund advisers and to further protect private fund investors;20 in a final rule requiring the publication of certain short sale related data;21 and in final rules to facilitate improved risk management at U.S. Treasury securities central clearing agencies and increased central clearing in the U.S. Treasury market.22 Informing the Public about the Private Fund Industry 16 See, e.g., FINRA, Alternative Funds Are Not Your Typical Mutual Funds, http://www.finra.org/investors/alerts/alternative-funds-are-not-your-typical-mutual-funds (describing “alternative mutual funds” as funds that seek to accomplish the fund’s objectives through non-traditional investments and trading strategies that “may bring to mind” the strategies and investments of hedge funds). 17 See Form PF; Event Reporting for Large Hedge Fund Advisers and Private Equity Fund Advisers; Requirements for Large Private Equity Fund Adviser Reporting , Advisers Act Release No. 6297 (May 3, 2023,), [88 FR 38146 (June 12, 2023)], https://www.sec.gov/files/rules/final/2023/ia-6297.pdf. 18 See Prohibition Against Conflicts of Interest in Certain Securitizations, Securities Act Release No. 33-11254 (Nov. 27, 2023), [88 FR 85396 (Dec. 7, 2023)], https://www.sec.gov/files/rules/final/2023/33-11254.pdf. 19 See Money Market Fund Reforms, Securities Act Release No. 33-11211, (July 12, 2023), [88 FR 51404 (Aug. 3, 2023)], https://www.sec.gov/files/rules/final/2023/33-11211.pdf 20 See Private Fund Advisers; Documentation of Registered Investment Adviser Compliance Reviews, Advisers Act Release No. 6383 (Aug. 23, 2023), [88 FR 63206 (Sept. 14, 2023)], https://www.sec.gov/files/rules/final/2023/ia-6383.pdf. 21 See Short Position and Short Activity Reporting by Institutional Investment Managers, Securities Exchange Act Release No. 34-98738 (Oct. 13, 2023), [88 FR 75100 (Nov. 1, 2023)], https://www.sec.gov/files/rules/final/2023/34-98738.pdf See Standards for Covered Clearing Agencies for U.S. Treasury Securities and Application of the BrokerDealer Customer Protection Rule With Respect to U.S. Treasury Securities, Securities Exchange Act Release No. 34-99149 (Dec. 13, 2023), [89 FR 2714 (Jan. 16, 2024)], https://www.sec.gov/files/rules/final/2023/3499149.pdf 22 6 The Commission seeks to provide the public with more transparency into and an understanding of the private funds industry by publishing aggregated information and analysis from Form PF, subject to its systems and controls designed to preserve the confidentiality of proprietary information of individual advisers. Following are two examples. Private Funds Statistics. Since October 2015, Commission staff has published a quarterly report, Private Funds Statistics, which contains aggregated private fund industry statistics derived from Form PF data.23 As supplemented with new data and analysis in May 2017, and more recently in December 2020, the report includes more than 100 separate tables and figures that offer analyses of hedge fund industry practices.24 To avoid public disclosure of proprietary information of private fund advisers, the Form PF data provided in these reports is aggregated, rounded and/or masked under processes that are reviewed periodically for effectiveness. Information included in the reports is typically at least six months old when published. The Appendix contains the most recent report.25 Private Funds Statistics is designed to enhance public understanding of the private fund industry and facilitate Commission and staff participation in meetings and discussions with industry professionals, investors, and other regulators. Statistics that are published quarterly in Private Funds Statistics, include, for example, statistics describing numbers and assets of private funds; the extent of private funds’ borrowing and derivatives holdings; comparisons of investor, portfolio, and financing liquidity; use of financial and economic leverage by certain hedge funds; and categories of investment exposures. The report also includes information about the characteristics of private liquidity funds that may facilitate comparisons with data published by staff relating to registered money market funds.26 Staff understands that the financial industry press monitors the release of these quarterly reports and industry participants may use the report 23 See SEC Staff Publishes Private Funds Statistics Report, Press Release (Oct. 16, 2015), https://www.sec.gov/news/pressrelease/2015-240.html. 24 See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (Dec. 10, 2020), https://www.sec.gov/news/press-release/2020-313; SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (May 3, 2017), https://www.sec.gov/news/press-release/2017-92. 25 Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 26 See Division of Investment Management, Money https://www.sec.gov/divisions/investment/mmf-statistics.shtml. 7 Market Fund Statistics, to assist investors with investment decisions.27 In addition, the staff understands that other regulators and organizations may also monitor these public reports for their own risk monitoring activities.28 Staff Research Publications. Commission staff has used Form PF data to contribute to the Commission’s and investors’ understanding of the economic forces and dynamics underlying the private funds market by conducting and publishing research on various topics, such as characteristics of leverage used by hedge funds and consideration of self-reporting bias in commercial hedge fund databases. Research is aggregated and/or masked under processes that are reviewed periodically for effectiveness to avoid public disclosure of proprietary information of private fund advisers before any publication. Published staff research and white papers have used Form PF data to describe liquidity and other characteristics of certain 27 See, e.g. Finadium, “SEC publishes expanded analysis of hedge funds from forms PF and ADV” (Dec. 10, 2020); Graham Bippart, Private Funds CFO Blog, A CFO’s 2020 Outlook (Feb. 12, 2020), https://www.privatefundscfo.com/a-cfos-2020-outlook-part-one-us-steadily-losing-fund-domicile-marketshare/, Andy Jones, PEI Blog, Private Equity Firms – Form PF Data (Nov. 10, 2018), http://blog.privateequityinfo.com/index.php/2018/11/10/private-equity-firms-form-pf-data/, ICS Group, Summary of the 2017 Q2 Private Fund Statistics (Feb. 23, 2018), https://www.i-csolutions.net/updates/2018/02/23/2017-private-fund-statistics/, Marc Gorfinkle, SS&C Technologies, SEC releases expanded private fund statistics (Dec. 11, 2017), https://www.ssctech.com/blog/sec-releasesexpanded-private-fund-statistics; Crane Data, Prime Streak Ends; Still UP 20% YTD; SEC: Private Funds Drop in Q’17 (Oct. 27, 2017), https://cranedata.com/archives/all-articles/6890/; Lance Pan, Capital Advisors Group, Demystifying Private Liquidity Funds: Reaffirming Advantages of Separately Management Accounts (Mar. 14, 2017), https://www.capitaladvisors.com/research/demystifying-private-liquidity-funds/; Judy Gross, SEC Releases Data on Private Funds: Big Picture of US Private Fund Industry Emerges, Forbes (Oct. 26, 2015), https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-bigpicture-of-us-private-fund-industry-emerges/#6b77bbb393e5. 28 See IOSCO investment Funds Statistics Report, Jan. 2022, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD693.pdf. See also, Investment Funds Statistics Report, 2d ed., 41-App‘x A .2 (Methodology), Jan. 2023, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD725.pdf 8 hedge funds.29 Another staff white paper used Form PF data to characterize private liquidity funds and compare them to registered money market funds.30 Assisting the Examinations and Enforcement Programs31 Form PF data allows Commission staff to more efficiently prioritize its examinations and enforcement activities. Commission staff’s analyses of Form PF data include risk-based analysis and monitoring initiatives that facilitate the identification of potential compliance risks and assist in prioritizing the use of exam and enforcement resources. For example, Commission staff may use Form PF data to identify private fund advisers whose activities involve areas of specific examination focus or that may present heightened compliance risks. Before beginning an examination of an investment adviser, staff reviews applicable regulatory filings, such as Form ADV. For advisers that manage private funds, Form PF filings may also be reviewed as part of a routine pre-examination evaluation for risk identification and scoping. This review, in conjunction with other data sources, provides staff with an understanding of an adviser’s current business, operations, and investment strategy as well as an analysis of how this strategy has evolved or changed over different reporting periods. Commission staff has developed automated analyses and risk metrics that summarize and combine Form PF data with Form ADV data about an adviser’s private funds and advisory business. These reports expedite staff preparation for examinations of a private fund adviser and its private funds and are designed to make exams more efficient by helping to focus areas of inquiry. These reports also assist staff in identifying potential reporting errors, compliance issues, or other issues of interest for the examination team to consider in their examination scope. Developed based on examiner insight and experiences, these reports distribute knowledge gained from exams and analysis to relevant staff on a need-to-know basis, which in turn informs monitoring programs. Generated from analytical tools that use custom code developed by staff to automate report production, these reports deliver intuitive and timely output to examiners, using the most recently filed Form PF and Form ADV data. 29 See George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Fund Liquidity Management (May 17, 2017), https://www.sec.gov/dera/staffpapers/working-papers/aragon-ergun-getmansky-girardi_HF-Liquidity-Management; George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Funds: Portfolio, Investor and Financing Liquidity (May 17, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/aragon-ergun-getmansky-girardi_HF-Liquidity; George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Measuring Hedge Fund Liquidity Mismatch, (July 1, 2021), https://jai.pmresearch.com/content/iijaltinv/24/1/26.full.pdf., Aragon, George O. and Ergun, A. Tolga and Girardi, Giulio, Hedge Fund Liquidity Management: Insights for Fund Performance Mar. 22, 2022), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3734596. These papers report analyses using data reported on Form PF in quarterly filings from 2013 to 2017. 30 See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and Risk Indicators (Jan. 27, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that, while most private liquidity funds and their parallel accounts did not formally commit to comply with the rule 2a-7 risk limits that apply to registered money market funds, the vast majority held portfolios that were consistent with those limits during the period studied. 31 Because examination and enforcement matters are generally non-public, this report only summarizes generally how Form PF data has been integrated into exam and enforcement matters. See Advisers Act Section 210(b). 9 Commission staff also obtains and reviews Form PF information to focus its enforcement investigations, including investigations of private fund advisers. For example, Commission staff used Form PF data together with other information to identify hedge fund advisers whose reported data ― such as returns, exposures, liquidity ― appear inconsistent with the funds’ investment strategies or other benchmarks. These reviews have, in certain cases, led to examinations and enforcement investigations. Coordination and Consultation with Other Financial Regulators As required by statute, and as described above, the Commission adopted Form PF in part to obtain information about the operations and investment activities of private funds for FSOC to use in the assessment of systemic risk in the U.S. financial markets. The Commission has made the Form PF data available to FSOC through OFR since 2013, subject to agreements regarding appropriate use of and confidentiality protections for Form PF data. Beginning in July 2018, the Commission also makes Form PF data available to the FRB under agreements regarding appropriate use of and confidentiality protections for the Form PF data, which are similar to those provided under applicable agreements with OFR. The Commission staff also uses Form PF data in its collaborations with other federal regulators on areas of mutual interest, such as on matters affecting the integrity of the financial markets and in communications with international organizations on areas of mutual interest regarding private funds and their investment advisers. For example, the staff regularly discusses information and analysis of Form PF data with OFR. The staff has also used reports of data from Form PF in connection with its participation in FSOC’s review of asset management products and activities.32 Commission staff from time to time also may provide certain Form PF data to other federal regulators in connection with compliance and enforcement matters. In every instance where staff shares information with an external regulatory entity, staff seeks to limit the type and amount of data that may be shared consistent with the purpose for sharing, and the information is either subject to assurances of confidentiality or aggregated to prevent disclosure of any proprietary information of private fund advisers. IV. Conclusion During the past year, the Commission staff has continued to use Form PF data to enhance the Commission’s efforts to protect investors and the integrity of our markets, including through our work with other federal regulators and international organizations. 32 See, e.g., Financial Stability Oversight Council 2021 Annual Report (updated Dec. 17, 2021),home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. Section 3.5.2.5 of this report includes data from the SEC’s Private Funds Statistics in describing recent developments relating to alternative funds. 10 Appendix (Private Funds Statistics, Second Calendar Quarter 2023) A-1 Division of Investment Management Analytics Ofce Private Funds Statistics Second Calendar Quarter 2023 January 9, 2024 This is a report of the Staf of the Division of Investment Management’s Analytics Ofce of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, fndings, or conclusions contained herein. January 9, 2024 Analytics Ofce Introduction This report provides a summary of recent private fund industry statistics and trends, refecting data collected through Form PF and Form ADV flings.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 flers. This report refects data from Third Calendar Quarter 2021 through Second Calendar Quarter 2023 as reported by Form PF flers.2 Please see the Appendix for information on the categories of Form PF flers, the defnitions of capitalized terms, a description of the boxplots used in several fgures, as well as other technical descriptions. The Staf continues to work with data reported on Form PF and with flers to identify and correct fling errors. Staf updates reported statistics based on amended flings and also may make certain adjustments to the statistics presented to correct what appear to be clear fling errors. Further, the Staf has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended flings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about Second Calendar Quarter 2023 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “Second Calendar Quarter 2023-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 fle Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF flings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. 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 Ofces Benefcial 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 Specifc 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 47 48 2 January 9, 2024 J K Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 50 A B C D E Section 3 Liquidity Fund Specifc Information Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 52 52 55 55 56 A B C Section 4 Private Equity Fund Specifc Information CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 57 57 58 59 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 How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Mitigating the Efects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Defnitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 61 61 61 62 62 62 63 63 64 65 IX X XI Analytics Ofce A 3 January 9, 2024 I Analytics Ofce 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 Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 15,866 9,497 5,309 5,352 3,289 1,419 1,910 2,016 77 57 37,410 2021Q4 19,082 9,458 6,548 6,046 3,783 2,211 2,243 2,074 79 56 42,902 2022Q1 18,961 9,645 6,646 6,286 3,778 2,228 2,251 2,094 79 54 43,228 2022Q2 19,001 9,749 6,644 6,275 3,781 2,286 2,257 2,061 79 52 43,428 2022Q3 19,054 9,783 6,644 6,277 3,781 2,287 2,257 2,040 78 51 43,517 2022Q4 20,878 9,791 7,471 6,744 4,269 2,988 2,458 2,072 71 50 47,199 2023Q1 20,920 9,850 7,381 6,887 4,270 2,991 2,467 2,044 70 50 47,455 2023Q2 20,933 9,854 7,464 6,844 4,272 3,000 2,471 2,088 69 50 47,443 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 Section 4 Private Equity Fund Other Private Fund Real Estate Fund Venture Capital Fund Securitized Asset Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 1,458 1,762 369 682 388 176 165 596 37 24 3,389 2021Q4 1,638 1,861 434 738 427 234 176 620 39 24 3,676 2022Q1 1,636 1,860 435 738 428 236 175 609 39 23 3,676 2022Q2 1,640 1,863 435 734 430 238 175 601 39 22 3,680 2022Q3 1,642 1,861 436 732 430 239 173 585 39 21 3,675 2022Q4 1,753 1,859 452 759 459 283 177 592 34 21 3,794 2023Q1 1,756 1,860 450 763 459 285 175 576 33 21 3,799 2023Q2 1,756 1,859 452 765 460 286 174 590 33 21 3,798 3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that fle a Form PF to report private funds. Please see Appendix E for defnitions of other capitalized terms used in this report. 4 January 9, 2024 Analytics Ofce 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 Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 9,784 8,309 4,826 3,674 1,438 812 729 222 310 308 18,120 2021Q4 9,763 8,333 6,409 4,962 1,748 972 869 330 318 316 20,407 2022Q1 9,777 8,267 6,384 4,949 1,766 967 869 333 318 314 20,414 2022Q2 9,435 7,922 6,397 4,949 1,740 969 868 334 335 331 20,076 2022Q3 9,275 7,694 6,402 4,949 1,716 975 869 334 335 331 19,904 2022Q4 9,362 7,827 6,705 5,272 1,643 1,138 921 375 321 319 20,466 2023Q1 9,505 8,000 6,641 5,215 1,602 1,137 924 374 320 319 20,502 2023Q2 9,904 8,438 6,652 5,228 1,574 1,136 922 374 332 330 20,893 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 Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 5,115 4,166 4,271 3,283 1,274 615 220 215 302 300 12,011 2021Q4 5,134 4,191 5,746 4,489 1,559 745 264 310 313 311 14,071 2022Q1 5,153 4,149 5,729 4,483 1,582 744 265 313 313 309 14,098 5 2022Q2 4,918 3,879 5,738 4,483 1,557 745 264 314 327 324 13,865 2022Q3 4,856 3,772 5,742 4,483 1,534 750 264 314 331 327 13,792 2022Q4 4,823 3,795 6,022 4,772 1,413 858 264 342 318 316 14,041 2023Q1 4,864 3,881 5,965 4,720 1,370 858 265 341 313 311 13,975 2023Q2 4,918 3,939 5,976 4,730 1,343 858 265 341 319 317 14,020 January 9, 2024 Analytics Ofce Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. 8 6 6 NAV ($Billions) 4 2 2 (a) Qualifying Hedge Fund GAV (b) Qualifying Hedge Fund NAV 1500 NAV ($Millions) 1000 500 1000 500 0 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 20 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 20 21 Q3 0 21 GAV ($Millions) 1500 20 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 21 21 20 20 21 Q3 0 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 0 4 20 GAV ($Billions) As reported on Form PF, Questions 8 and 9. 8 (c) Section 4 Private Equity Fund GAV (d) Section 4 Private Equity Fund NAV 6 January 9, 2024 Analytics Ofce Figure 2: Ratio of GAV to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 2.0 1.5 1.0 0.5 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 0.0 3.0 2.5 2.0 1.5 1.0 0.5 0.0 21 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) 2.5 20 20 21 Ratio of GAV to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 8, 9, and 10. 3.0 (a) All Private Funds (b) Qualifying Hedge Funds 7 January 9, 2024 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 Other Private Fund Section 4 Private Equity Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2021Q3 49.8 44.6 41.3 14.0 3.9 4.9 4.7 0.5 0.0 0.0 2021Q4 52.4 45.6 42.1 13.2 3.5 5.4 5.5 0.7 0.0 0.0 2022Q1 49.7 43.2 39.8 12.3 3.6 5.5 5.5 0.7 0.0 0.0 2022Q2 49.3 43.3 39.7 12.2 3.5 5.4 5.5 0.7 0.0 0.0 2022Q3 49.4 43.4 39.9 12.5 3.7 5.4 5.5 0.7 0.0 0.0 2022Q4 56.5 44.4 40.7 14.0 5.6 5.7 5.7 0.6 0.0 0.0 2023Q1 53.7 46.9 43.2 13.2 5.8 5.8 5.6 0.6 0.0 0.0 2023Q2 53.7 48.0 44.1 13.2 5.9 5.8 5.6 0.6 0.0 0.0 Figure 3: Distribution of Total Borrowings for All Private Funds and Qualifying Hedge Funds See Appendix C for an explanation of boxplots. 1 (a) All Private Funds 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 0 20 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 0 2 21 200 3 20 400 4 Q3 Total Borrowings ($Billions) 600 21 Total Borrowings ($Millions) As reported on Form PF, Questions 12 and 43 (Third Month). 20 B Analytics Ofce (b) Qualifying Hedge Funds 8 January 9, 2024 Analytics Ofce Figure 4: Ratio of Borrowings to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. 2 1 0 4 3 2 1 0 20 20 21 21 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) 3 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Ratio of Borrowings to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). 4 (a) All Private Funds (b) Qualifying Hedge Funds 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 2021Q3 67.0 30.6 2.3 0.9 2021Q4 67.1 29.3 2.8 1.0 2022Q1 66.5 30.4 3.1 0.9 9 2022Q2 66.7 30.2 3.0 0.9 2022Q3 67.7 28.8 3.3 1.0 2022Q4 66.8 29.0 3.3 0.9 2023Q1 66.8 30.1 3.2 0.8 2023Q2 66.8 30.3 3.0 0.7 January 9, 2024 C Analytics Ofce 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 2021Q3 4,383 3,650 5,274 2,323 2021Q4 4,688 3,842 6,803 2,852 2022Q1 4,657 3,827 6,832 2,877 2022Q2 4,609 3,834 6,843 2,859 2022Q3 4,581 3,798 6,804 2,867 2022Q4 4,155 3,590 7,560 3,059 2023Q1 4,090 3,555 7,468 3,039 2023Q2 4,067 3,508 7,472 3,036 Table 8: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2021Q3 1,341 1,197 338 2,071 2021Q4 1,702 1,362 377 2,273 2022Q1 1,702 1,349 377 2,270 2022Q2 1,695 1,369 340 2,270 10 2022Q3 1,701 1,327 342 2,277 2022Q4 1,583 1,488 377 2,559 2023Q1 1,589 1,466 377 2,554 2023Q2 1,590 1,433 391 2,555 January 9, 2024 D Analytics Ofce 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 Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 560 485 312 208 115 73 17 *** *** *** 1,460 2021Q4 571 504 303 210 137 89 30 *** *** *** 1,509 2022Q1 580 503 303 211 137 89 30 *** *** *** 1,517 2022Q2 578 502 315 202 137 89 30 *** *** *** 1,526 2022Q3 576 498 314 208 137 89 30 *** *** *** 1,519 2022Q4 566 478 331 214 146 67 39 *** *** *** 1,491 2023Q1 562 481 407 207 146 68 39 *** *** *** 1,567 2023Q2 559 458 413 203 152 68 39 *** *** *** 1,547 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 Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 840 2,641 98 551 68 7 1 *** *** *** 3,992 2021Q4 881 2,674 119 566 102 16 2 *** *** *** 4,111 2022Q1 840 2,671 120 538 102 16 2 *** *** *** 4,025 2022Q2 765 3,451 152 483 110 16 2 *** *** *** 4,781 2022Q3 729 3,416 152 438 110 16 2 *** *** *** 4,705 2022Q4 725 2,369 114 435 114 14 2 *** *** *** 3,606 2023Q1 695 2,367 126 385 114 15 2 *** *** *** 3,592 2023Q2 693 1,535 119 405 108 15 2 *** *** *** 2,743 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 flers. 11 January 9, 2024 Analytics Ofce Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. 21 20 0 (a) All Private Funds 21 0 2 20 1 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Parallel Managed Assets ($Billions) 2 4 Q3 3 21 4 6 20 5 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Parallel Managed Assets ($Billions) As reported on Form PF, Question 11. (b) Qualifying Hedge Funds 12 January 9, 2024 III Analytics Ofce Fund Domiciles and Adviser Main Ofces Table 11: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Luxembourg Ireland Bermuda United Kingdom Virgin Islands, British Other Country Cayman Islands United States Luxembourg Ireland Virgin Islands, British Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands Canada United Kingdom Bermuda Other All Private Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 49.5 51.8 52.2 52.5 52.9 34.9 32.8 32.7 32.4 32.7 3.7 4.1 4.1 4.1 4.1 4.0 3.9 3.9 3.9 3.9 1.0 0.9 1.0 1.0 1.0 0.9 1.0 0.9 0.9 0.9 1.0 0.9 0.9 0.9 0.9 5.0 4.6 4.2 4.2 3.6 Qualifying Hedge Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 51.8 51.8 51.1 52.4 53.2 33.9 34.2 34.9 35.7 34.9 2.5 2.4 2.4 2.4 2.3 3.2 3.2 3.1 3.0 2.8 2.6 2.8 3.1 3.1 2.7 1.5 1.5 1.7 1.7 1.9 4.4 4.2 4.1 1.8 1.7 Section 3 Liquidity Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 *** *** *** *** *** 26.6 27.6 28.5 27.3 25.5 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 55.2 56.1 56.9 56.9 56.9 28.9 29.3 29.6 29.6 29.6 2.2 2.0 1.9 1.9 1.9 1.5 1.4 1.4 1.4 1.4 1.1 1.2 1.2 1.2 1.2 11.1 9.9 9.0 9.0 9.0 13 2022Q4 52.7 32.2 5.0 3.6 1.0 0.9 0.8 3.7 2023Q1 52.5 32.6 5.0 3.6 1.0 0.9 0.8 3.6 2023Q2 52.4 32.7 4.9 3.6 1.0 0.9 0.8 3.6 2022Q4 52.6 35.5 2.7 3.0 2.8 1.9 1.4 2023Q1 53.0 35.5 2.9 2.7 2.6 1.7 1.6 2023Q2 53.3 35.3 3.0 2.7 2.5 1.6 1.6 2022Q4 *** 23.4 *** *** 2023Q1 *** 23.9 *** *** 2023Q2 *** 23.5 *** *** 2022Q4 56.2 28.0 2.0 1.4 1.0 11.3 2023Q1 56.4 28.1 2.1 1.4 1.0 11.0 2023Q2 56.4 28.1 2.1 1.4 1.0 11.0 January 9, 2024 Analytics Ofce Table 12: Adviser Main Ofce Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2021Q3 89.6 4.6 5.8 Country United States United Kingdom Australia Hong Kong Other 2021Q3 88.0 4.1 *** *** 4.1 Country United States United Kingdom 2021Q3 *** *** Country United States Canada Other 2021Q3 94.3 *** *** All Private Funds 2021Q4 2022Q1 2022Q2 2022Q3 91.2 90.9 91.8 91.9 3.9 4.0 3.9 3.9 4.9 5.1 4.3 4.2 Qualifying Hedge Funds 2021Q4 2022Q1 2022Q2 2022Q3 88.1 88.5 90.7 91.1 4.1 3.9 3.7 3.5 *** *** *** *** *** *** *** *** 4.1 4.1 2.2 2.2 Section 3 Liquidity Funds 2021Q4 2022Q1 2022Q2 2022Q3 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2021Q4 2022Q1 2022Q2 2022Q3 95.6 95.6 95.6 95.6 *** *** *** *** *** *** *** *** 14 2022Q4 92.3 3.7 4.0 2023Q1 91.9 4.0 4.1 2023Q2 91.8 4.1 4.1 2022Q4 90.5 4.1 *** *** 3.0 2023Q1 90.7 3.9 *** *** 3.1 2023Q2 91.6 4.0 *** *** 2.1 2022Q4 *** *** 2023Q1 *** *** 2023Q2 *** *** 2022Q4 95.5 *** *** 2023Q1 95.4 *** *** 2023Q2 95.5 *** *** January 9, 2024 IV A Analytics Ofce Benefcial Ownership All Private Funds Table 13: Benefcial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Non-Profts Sov. Wealth Funds And For. Ofcial 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 2021Q3 2,132 1,929 1,587 1,208 1,263 1,215 856 594 384 266 203 189 138 44 2021Q4 2,597 2,445 1,858 1,422 1,372 1,316 1,007 697 416 317 232 188 155 42 2022Q1 2,635 2,444 1,882 1,417 1,378 1,298 1,000 705 402 306 226 195 161 45 2022Q2 2,594 2,408 1,871 1,372 1,342 1,246 1,004 702 396 312 222 194 151 44 2022Q3 2,589 2,415 1,862 1,366 1,273 1,256 1,010 703 393 306 223 197 148 42 2022Q4 2,597 2,541 1,912 1,324 1,307 1,245 1,082 745 376 286 240 193 149 38 2023Q1 2,595 2,557 1,905 1,335 1,305 1,254 1,068 754 315 252 247 190 150 40 2023Q2 2,611 2,555 1,914 1,348 1,293 1,268 1,080 761 318 254 249 179 145 38 2023Q1 18.6 18.3 13.6 9.6 9.3 9.0 7.6 5.4 2.3 1.8 1.8 1.4 1.1 0.3 2023Q2 18.6 18.2 13.6 9.6 9.2 9.0 7.7 5.4 2.3 1.8 1.8 1.3 1.0 0.3 Table 14: Benefcial 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 U.S. Individuals Pension Plans Non-Profts Sov. Wealth Funds And For. Ofcial 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 2021Q3 17.7 16.1 13.2 10.1 10.5 10.1 7.1 4.9 3.2 2.2 1.7 1.6 1.2 0.4 2021Q4 18.5 17.4 13.2 10.1 9.8 9.4 7.2 5.0 3.0 2.3 1.7 1.3 1.1 0.3 15 2022Q1 18.7 17.3 13.4 10.1 9.8 9.2 7.1 5.0 2.8 2.2 1.6 1.4 1.1 0.3 2022Q2 18.7 17.4 13.5 9.9 9.7 9.0 7.2 5.1 2.9 2.3 1.6 1.4 1.1 0.3 2022Q3 18.8 17.5 13.5 9.9 9.2 9.1 7.3 5.1 2.8 2.2 1.6 1.4 1.1 0.3 2022Q4 18.5 18.1 13.6 9.4 9.3 8.9 7.7 5.3 2.7 2.0 1.7 1.4 1.1 0.3 January 9, 2024 B Analytics Ofce Qualifying Hedge Funds Table 15: Benefcial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profts State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Ofcial Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 724 598 602 447 492 478 256 140 186 59 89 42 42 8 2021Q4 723 607 602 458 493 479 264 144 182 62 86 41 38 9 2022Q1 732 604 581 462 473 478 266 147 171 61 82 41 39 9 2022Q2 703 572 546 453 433 452 268 151 108 58 47 39 39 9 2022Q3 698 564 559 432 423 384 266 149 102 59 43 42 38 8 2022Q4 694 562 528 446 424 409 289 148 102 59 47 38 38 9 2023Q1 711 590 537 455 424 418 283 164 104 62 45 39 37 9 2023Q2 734 595 549 467 439 412 292 161 103 63 45 36 32 9 2023Q1 18.3 15.2 13.8 11.7 10.9 10.8 7.3 4.2 2.7 1.6 1.2 1.0 0.9 0.2 2023Q2 18.6 15.1 13.9 11.9 11.1 10.5 7.4 4.1 2.6 1.6 1.2 0.9 0.8 0.2 Table 16: Benefcial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Non-Profts State/Muni. Govt. Pension Plans U.S. Individuals Pension Plans Sov. Wealth Funds And For. Ofcial Inst. Insurance Companies Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2021Q3 17.4 14.4 14.4 10.7 11.8 11.5 6.1 3.4 4.5 1.4 2.1 1.0 1.0 0.2 2021Q4 17.2 14.5 14.4 10.9 11.8 11.4 6.3 3.4 4.3 1.5 2.1 1.0 0.9 0.2 16 2022Q1 17.6 14.6 14.0 11.1 11.4 11.5 6.4 3.5 4.1 1.5 2.0 1.0 0.9 0.2 2022Q2 18.1 14.7 14.1 11.7 11.2 11.6 6.9 3.9 2.8 1.5 1.2 1.0 1.0 0.2 2022Q3 18.5 15.0 14.8 11.4 11.2 10.2 7.1 4.0 2.7 1.6 1.1 1.1 1.0 0.2 2022Q4 18.3 14.8 13.9 11.7 11.2 10.8 7.6 3.9 2.7 1.5 1.3 1.0 1.0 0.2 January 9, 2024 C Analytics Ofce Section 3 Liquidity Funds Table 17: Benefcial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Sec-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Ofcial Inst. Non-U.S. Individuals Pension Plans Non-Profts State/Muni. Govt. Entities U.S. Individuals State/Muni. Govt. Pension Plans 2021Q3 101 50 50 *** *** 27 9 *** 3 7 3 *** *** 1 2021Q4 96 60 57 *** *** 23 9 *** *** 7 4 3 *** 1 2022Q1 103 51 58 *** *** 24 8 *** *** 5 3 *** *** 1 2022Q2 100 64 65 *** *** 16 9 *** *** 5 3 *** *** *** 2022Q3 106 68 64 *** *** 15 8 *** *** *** 3 *** *** *** 2022Q4 108 65 56 *** *** 14 10 *** *** *** 2 *** *** 1 2023Q1 106 63 50 *** *** 17 12 *** *** *** 3 *** *** *** 2023Q2 114 64 49 *** *** 16 11 *** *** 5 3 *** *** *** 2023Q1 34.1 20.2 15.9 *** *** 5.4 3.9 *** *** *** 0.9 *** *** *** 2023Q2 35.8 20.1 15.5 *** *** 5.0 3.6 *** *** 1.5 0.8 *** *** *** Table 18: Benefcial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Banking/Thrift Inst. Broker-Dealers Sec-Registered Investment Companies Insurance Companies Sov. Wealth Funds And For. Ofcial Inst. Non-U.S. Individuals Pension Plans Non-Profts State/Muni. Govt. Entities U.S. Individuals State/Muni. Govt. Pension Plans 2021Q3 33.8 16.7 16.5 *** *** 8.9 3.2 *** 0.9 2.4 1.1 *** *** 0.4 2021Q4 31.0 19.2 18.5 *** *** 7.5 2.8 *** *** 2.3 1.2 1.0 *** 0.3 17 2022Q1 33.4 16.6 18.6 *** *** 7.8 2.6 *** *** 1.7 1.0 *** *** 0.3 2022Q2 30.8 19.9 19.9 *** *** 4.9 2.8 *** *** 1.5 0.9 *** *** *** 2022Q3 32.4 20.7 19.6 *** *** 4.6 2.5 *** *** *** 0.8 *** *** *** 2022Q4 34.1 20.6 17.8 *** *** 4.3 3.0 *** *** *** 0.8 *** *** 0.4 January 9, 2024 D Analytics Ofce Section 4 Private Equity Funds Table 19: Benefcial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Ofcial Inst. Pension Plans Insurance Companies Non-Profts U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Sec-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q3 662 544 655 388 247 190 180 187 63 71 27 38 25 3 2021Q4 957 819 836 501 324 252 237 265 82 83 49 45 33 3 2022Q1 974 802 850 477 325 255 238 265 82 77 50 49 34 3 2022Q2 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q3 973 802 851 477 326 256 238 265 82 77 50 49 34 3 2022Q4 1,031 887 887 525 361 283 259 245 94 68 49 47 33 3 2023Q1 1,018 875 874 515 361 282 259 246 94 67 48 44 33 3 2023Q2 1,020 876 876 515 362 284 259 246 95 67 48 45 33 3 Table 20: Benefcial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Ofcial Inst. Pension Plans Insurance Companies Non-Profts U.S. Individuals State/Muni. Govt. Entities Non-U.S. Individuals Sec-Registered Investment Companies Banking/Thrift Inst. Unknown Non-U.S. Investors Broker-Dealers 2021Q3 20.2 16.6 20.0 11.8 7.5 5.8 5.5 5.7 1.9 2.2 0.8 1.2 0.8 0.1 2021Q4 21.3 18.2 18.6 11.2 7.2 5.6 5.3 5.9 1.8 1.9 1.1 1.0 0.7 0.1 18 2022Q1 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q2 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q3 21.7 17.9 19.0 10.6 7.3 5.7 5.3 5.9 1.8 1.7 1.1 1.1 0.8 0.1 2022Q4 21.6 18.6 18.6 11.0 7.6 5.9 5.4 5.1 2.0 1.4 1.0 1.0 0.7 0.1 2023Q1 21.6 18.5 18.5 10.9 7.6 6.0 5.5 5.2 2.0 1.4 1.0 0.9 0.7 0.1 2023Q2 21.6 18.5 18.5 10.9 7.7 6.0 5.5 5.2 2.0 1.4 1.0 1.0 0.7 0.1 January 9, 2024 E Analytics Ofce Concentration Table 21: Weighted-Average Benefcial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Other Private Fund Real Estate Fund Hedge Fund Qualifying Hedge Fund Venture Capital Fund Private Equity Fund Section 4 Private Equity Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Total 2021Q3 60.2 56.1 54.0 49.9 53.9 51.1 46.2 46.3 46.0 35.0 53.2 2021Q4 57.0 59.0 53.9 49.9 52.6 49.5 44.9 46.1 45.8 37.3 52.2 2022Q1 57.5 59.0 54.6 50.9 52.5 49.1 44.7 48.1 47.7 37.5 52.4 19 2022Q2 57.1 59.0 55.0 51.9 52.4 49.2 44.7 46.7 46.4 37.6 52.4 2022Q3 57.5 58.7 54.7 51.6 52.4 49.1 44.7 46.5 46.1 37.8 52.3 2022Q4 59.0 56.9 55.5 52.1 49.9 49.8 46.5 45.1 44.8 41.6 52.9 2023Q1 58.4 57.0 56.3 51.9 49.9 49.4 45.9 44.3 44.1 42.3 52.9 2023Q2 58.3 57.0 56.2 51.8 49.9 49.5 46.0 43.1 42.9 41.8 52.9 January 9, 2024 V Analytics Ofce 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 Private Equity Fund Other Private Fund Real Estate Fund Section 4 Private Equity Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 15,878 14,471 66 133 18 34 3 *** *** *** 16,084 2021Q4 15,521 14,163 70 118 41 52 5 *** *** *** 15,783 2022Q1 15,633 14,282 69 110 41 54 5 *** *** *** 15,817 2022Q2 14,545 13,289 69 110 41 54 5 *** *** 0 14,777 2022Q3 14,016 12,454 71 112 41 54 5 *** *** 0 14,257 2022Q4 14,759 12,890 158 105 72 73 *** 0 *** 0 15,139 2023Q1 15,271 13,005 159 103 76 72 6 0 0 0 15,618 2023Q2 14,986 13,594 159 104 78 72 4 0 0 0 15,344 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 Private Equity Fund Other Private Fund Real Estate Fund Section 4 Private Equity Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2021Q3 310.4 347.4 1.6 10.4 2.9 1.0 1.2 *** *** *** 133.9 2021Q4 302.3 337.9 1.2 7.6 5.6 1.2 1.8 *** *** *** 112.2 2022Q1 303.4 344.2 1.2 7.0 5.6 1.2 1.8 *** *** *** 112.2 20 2022Q2 295.7 342.6 1.2 7.1 5.6 1.2 1.8 *** *** 0.0 106.6 2022Q3 288.6 330.2 1.2 7.3 5.5 1.2 1.8 *** *** 0.0 103.4 2022Q4 306.0 339.7 2.6 7.4 8.4 1.5 *** 0.1 *** 0.0 107.8 2023Q1 314.0 335.1 2.7 7.5 8.9 1.5 2.1 0.1 0.0 0.0 111.8 2023Q2 304.7 345.1 2.7 7.8 9.0 1.5 1.4 0.1 0.0 0.0 109.4 January 9, 2024 Analytics Ofce Figure 6: Distribution of Derivative Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. 1.00 0.75 0.50 0.25 0.00 10 8 6 4 2 0 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) 1.25 20 20 21 21 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) As reported on Form PF, Questions 13 and 44 (Third Month). (a) All Private Funds VI A (b) Qualifying Hedge Funds 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 2021Q3 8,214 49 6 2021Q4 8,389 49 8 2022Q1 8,527 52 8 2022Q2 8,615 53 8 2022Q3 8,674 50 8 2022Q4 8,695 56 5 2023Q1 8,776 56 5 2023Q2 8,862 54 5 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 2021Q3 4,962 117 5 2021Q4 4,999 115 6 2022Q1 5,000 128 7 2022Q2 4,761 127 8 21 2022Q3 4,689 135 8 2022Q4 4,671 128 9 2023Q1 4,694 138 9 2023Q2 4,756 133 9 January 9, 2024 B Analytics Ofce 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 2021Q3 7.3 13.3 19.4 27.8 42.7 56.2 2021Q4 7.3 13.3 19.3 27.6 42.2 55.7 2022Q1 7.6 13.5 19.5 27.6 41.9 55.5 2022Q2 7.8 13.5 19.4 27.3 41.5 54.9 2022Q3 8.1 13.7 19.6 27.5 41.6 54.9 2022Q4 7.8 13.3 19.1 27.0 41.2 54.6 2023Q1 7.9 13.4 19.3 27.3 41.6 54.8 2023Q2 7.8 13.2 19.4 27.3 41.5 54.7 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 2021Q3 16.2 25.2 33.5 42.3 55.4 66.8 2021Q4 16.2 25.3 33.4 41.9 54.9 66.3 2022Q1 15.8 25.6 33.6 42.0 54.5 66.1 2022Q2 16.7 26.1 34.1 42.4 54.6 66.0 2022Q3 16.9 25.7 33.8 42.4 54.7 65.9 2022Q4 17.7 26.3 34.5 43.0 55.1 66.3 2023Q1 17.7 26.7 34.8 43.3 55.5 66.6 2023Q2 18.9 28.0 36.2 44.6 56.5 67.3 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 2021Q3 32.2 48.0 60.5 71.1 83.2 90.9 2021Q4 34.7 49.3 61.4 72.1 83.3 90.9 2022Q1 34.2 48.7 61.1 71.5 83.4 90.8 2022Q2 34.7 50.2 61.9 72.0 83.1 90.5 22 2022Q3 34.2 50.3 62.1 72.4 83.4 90.6 2022Q4 36.7 51.4 63.4 73.6 84.1 90.9 2023Q1 36.0 51.5 64.1 74.5 84.9 91.5 2023Q2 37.4 52.5 64.7 74.7 85.3 91.9 January 9, 2024 Analytics Ofce 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 2021Q3 40.7 56.8 69.2 79.6 90.5 95.5 2021Q4 41.0 55.4 67.6 78.5 89.8 95.2 2022Q1 38.9 55.3 67.6 79.0 90.2 95.4 2022Q2 39.0 54.9 66.7 78.3 89.8 95.1 2022Q3 40.3 55.0 67.3 79.0 90.0 95.2 2022Q4 37.4 54.6 68.2 80.0 90.5 95.4 2023Q1 40.3 56.0 68.3 80.3 90.8 95.6 2023Q2 41.5 55.1 67.4 79.3 90.5 95.4 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 2021Q3 35.0 49.6 60.7 70.9 83.4 91.1 2021Q4 35.4 48.5 59.7 70.2 82.7 90.7 2022Q1 34.7 48.7 60.0 70.8 82.9 90.8 2022Q2 34.6 49.1 60.5 70.8 82.8 90.5 23 2022Q3 34.8 49.2 60.3 71.2 83.0 90.6 2022Q4 34.0 49.5 61.0 72.3 83.8 91.0 2023Q1 36.2 50.8 61.9 73.3 84.3 91.4 2023Q2 37.5 50.5 61.4 72.7 84.1 91.2 January 9, 2024 C Analytics Ofce 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/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2021Q3 654 307 319 27 1 595 134 62 72 66 47 13 6 49 30 9 7 1 1 32 13 10 3 *** *** 6 *** *** 1,383 2021Q4 680 326 324 *** *** 625 141 70 71 74 43 20 11 55 31 11 9 2 1 33 13 9 3 *** *** 6 *** *** 1,437 24 2022Q1 637 311 298 26 1 649 144 73 72 76 46 19 10 55 32 11 9 2 1 34 15 10 4 *** *** 7 *** *** 1,433 2022Q2 589 280 273 *** *** 648 144 72 72 75 47 18 10 56 32 11 9 3 2 33 15 10 4 *** *** 6 *** *** 1,386 2022Q3 555 273 251 29 2 656 150 77 73 76 48 19 9 55 32 11 8 3 1 32 16 11 4 *** *** 6 *** *** 1,368 2022Q4 552 272 251 28 1 655 163 86 77 83 50 26 7 59 37 11 7 3 2 32 14 9 4 *** *** 6 *** *** 1,385 2023Q1 549 262 259 27 1 666 179 87 93 80 49 26 5 63 38 11 7 5 2 40 13 8 4 *** *** 6 *** *** 1,419 2023Q2 584 293 263 27 1 673 170 94 77 82 51 27 4 64 37 12 7 7 2 40 14 9 4 1 0 6 *** *** 1,443 January 9, 2024 Analytics Ofce 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/Short Long Bias Market Neutral Short Bias Subtotal Subtotal Asset Based Lending Long/Short Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. F.I. Sov. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2021Q3 1,035 458 527 45 11 1,017 373 198 178 236 166 52 21 174 96 48 18 11 15 238 43 22 13 *** *** 24 *** *** 2,931 2021Q4 1,128 471 605 *** *** 1,034 383 197 189 243 164 59 21 186 94 55 20 19 18 241 45 18 15 *** *** 24 *** *** 3,079 25 2022Q1 1,150 480 616 51 8 1,070 394 200 197 259 179 60 21 189 93 54 22 19 14 260 48 19 17 *** *** 24 *** *** 3,175 2022Q2 1,153 475 624 *** *** 1,093 404 197 210 270 189 60 21 198 99 59 23 20 19 261 48 19 17 *** *** 23 *** *** 3,216 2022Q3 1,156 474 627 51 9 1,114 422 207 218 276 195 61 21 201 100 58 26 20 19 257 45 19 16 *** *** 22 *** *** 3,265 2022Q4 1,136 494 588 47 13 1,169 429 212 220 298 212 68 19 212 107 58 26 18 18 306 44 18 15 *** *** 23 *** *** 3,348 2023Q1 1,141 497 591 47 12 1,197 441 212 232 297 211 68 19 219 119 59 24 18 18 331 44 18 15 *** *** 23 *** *** 3,421 2023Q2 1,142 511 583 46 12 1,223 455 220 238 305 218 69 19 221 123 57 24 18 18 334 46 21 15 10 0 24 *** *** 3,474 January 9, 2024 D Analytics Ofce 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 Other Relative Value Macro Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Total 2021Q3 1,275 825 360 *** *** 761 445 299 79 22 28 17 385 373 8 *** *** 325 229 96 233 *** *** 178 112 33 33 35 2,468 2021Q4 1,269 812 356 *** *** 767 456 315 77 22 27 16 267 255 8 *** *** 287 210 77 209 *** *** 185 117 35 33 33 2,436 26 2022Q1 1,141 726 321 *** *** 776 434 284 75 24 28 22 286 275 8 *** *** 297 217 81 231 *** *** 185 120 34 30 33 2,394 2022Q2 1,010 641 280 *** *** 736 442 309 75 27 18 13 306 295 8 *** *** 290 207 83 206 *** *** 180 120 30 30 30 2,222 2022Q3 954 609 259 *** *** 715 409 283 74 23 17 12 329 314 6 *** *** 309 219 89 240 *** *** 173 119 25 29 30 2,148 2022Q4 977 629 261 *** *** 760 369 248 71 20 17 12 329 316 7 *** *** 314 221 93 190 *** *** 166 117 28 21 27 2,156 2023Q1 969 638 229 *** *** 756 377 256 68 20 19 14 326 316 7 *** *** 321 227 94 226 *** *** 420 371 28 21 31 2,148 2023Q2 996 667 225 *** *** 762 352 229 68 23 18 14 337 328 7 *** *** 333 232 101 285 *** *** 182 132 27 22 37 2,172 January 9, 2024 Analytics Ofce Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Relative Value Macro Credit Managed Futures/CTA Event Driven Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed Volatility Arb. F.I. Corp. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Total 2021Q3 1,072 607 379 *** *** 857 304 54 147 25 98 27 207 160 34 *** *** 356 249 111 123 *** *** 321 223 79 47 102 3,132 2021Q4 1,092 629 391 *** *** 853 304 60 149 27 91 24 210 162 42 *** *** 353 248 108 108 *** *** 310 214 74 48 103 3,103 27 2022Q1 1,096 630 394 *** *** 875 302 59 146 26 92 25 214 168 40 *** *** 368 260 111 113 *** *** 316 221 70 50 101 3,158 2022Q2 1,095 630 388 *** *** 892 301 59 148 25 88 26 213 172 38 *** *** 370 260 113 120 *** *** 318 223 70 49 104 3,185 2022Q3 1,092 628 385 *** *** 881 305 61 150 24 90 24 216 171 39 *** *** 381 267 117 121 *** *** 314 223 69 47 108 3,187 2022Q4 1,074 602 386 *** *** 919 294 60 139 29 87 24 217 165 45 *** *** 376 267 112 125 *** *** 313 219 75 43 107 3,207 2023Q1 1,028 599 343 *** *** 932 300 59 143 29 91 24 213 163 40 *** *** 387 277 113 129 *** *** 313 223 70 44 107 3,186 2023Q2 1,015 592 340 *** *** 935 303 59 147 30 90 25 212 163 40 *** *** 405 285 123 126 *** *** 317 227 70 44 112 3,205 January 9, 2024 VII A Analytics Ofce Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 12.5 10.0 7.5 5.0 2.5 0.0 15.0 12.5 10.0 7.5 5.0 2.5 0.0 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 15.0 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 Ratio of GNE to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 3(a) and 26. (a) Gross Exposure with Interest Rate Derivatives (IRDs) 28 (b) Gross Exposure without IRDs 6 4 2 0 (c) Short Exposure with IRDs 29 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 (a) Long Exposure with IRDs 21 8 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 21 0 20 2 20 4 -09 6 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 8 21 10 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 21 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10 20 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 21 20 -09 21 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) January 9, 2024 Analytics Ofce Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value Distribution See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 26. 10 8 6 4 2 0 (b) Long Exposure without IRDs 10 8 6 4 2 0 (d) Short Exposure without IRDs January 9, 2024 B Analytics Ofce 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 2021-07 2021-08 2021-09 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 Top 10 Advisers (NAV) 16.3 17.0 17.0 17.1 17.1 17.1 17.5 16.8 16.8 17.1 17.2 17.2 17.5 17.5 17.5 17.4 17.4 17.4 17.5 17.5 17.5 17.7 17.7 17.7 Top 20 Advisers (NAV) 26.6 27.5 27.5 27.4 27.4 27.4 28.1 27.2 27.2 28.0 28.1 28.1 28.3 28.3 28.3 28.2 28.2 28.2 28.5 28.5 28.5 28.7 28.7 28.7 30 Top 10 Advisers (GNE) 40.6 39.2 38.7 38.3 38.4 38.1 38.9 38.4 38.3 42.8 42.8 39.0 40.1 40.1 39.8 39.2 39.6 38.9 39.7 39.8 40.9 42.0 42.2 41.9 Top 20 Advisers (GNE) 56.7 56.1 55.6 56.2 56.3 54.7 55.4 55.7 55.1 57.7 58.7 55.5 57.3 57.9 57.0 57.0 57.9 55.9 58.5 59.0 58.2 59.1 59.6 59.0 January 9, 2024 Portfolio Turnover Table 36: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2021-07 2021-08 2021-09 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 Futures 12,043 13,973 16,020 19,432 17,055 14,329 16,735 21,395 23,132 16,025 19,479 22,129 19,117 23,968 29,032 20,479 25,693 25,184 19,016 30,530 35,960 18,521 26,490 23,309 Sov. and muni. bonds 5,110 5,438 5,485 5,666 6,210 4,672 5,340 6,355 6,016 4,574 5,143 4,903 4,389 5,152 4,931 4,372 5,199 4,522 5,313 6,510 7,330 5,689 7,479 7,088 Listed equities 3,159 3,101 3,438 3,409 3,779 3,843 3,951 3,793 4,527 3,677 4,253 3,893 3,024 3,436 3,534 4,303 4,376 4,028 4,127 4,085 4,937 3,841 4,700 4,717 Corporate bonds 142 140 168 183 164 121 188 292 255 223 339 312 318 236 205 185 201 149 231 239 253 164 244 215 Convertible bonds 29 39 54 38 53 38 40 35 36 27 30 24 17 29 25 32 29 19 33 50 39 30 43 41 Total 20,483 22,691 25,165 28,729 27,262 23,002 26,254 31,871 33,966 24,526 29,243 31,262 26,865 32,821 37,726 29,372 35,498 33,903 28,719 41,415 48,518 28,244 38,957 35,370 Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 27. Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) 80 60 40 20 15 10 5 0 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 0 20 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 Total Turnover ($Billions) Winsorized (limits=[1%,99%]) C Analytics Ofce (a) Total Turnover (b) Total Turnover to NAV Ratio 31 January 9, 2024 D Analytics Ofce Region and Country Exposure Table 37: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2021Q3 5,849 1,595 800 314 87 51 31 33 2021Q4 5,944 1,482 768 306 86 48 30 27 2022Q1 5,865 1,637 718 418 93 42 27 29 2022Q2 5,581 1,480 713 324 81 38 26 22 2022Q3 5,426 1,433 737 336 81 32 46 21 2022Q4 5,547 1,658 750 356 86 27 26 24 2023Q1 5,855 1,530 732 372 83 34 26 21 2023Q2 6,179 1,455 753 393 90 36 31 23 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 Middle East Africa 2021Q3 128.5 35.1 17.6 6.9 1.9 1.1 0.7 0.7 2021Q4 131.0 32.7 16.9 6.7 1.9 1.1 0.7 0.6 2022Q1 132.2 36.9 16.2 9.4 2.1 0.9 0.6 0.7 2022Q2 132.0 35.0 16.9 7.7 1.9 0.9 0.6 0.5 32 2022Q3 131.4 34.7 17.9 8.1 2.0 0.8 1.1 0.5 2022Q4 133.9 40.0 18.1 8.6 2.1 0.7 0.6 0.6 2023Q1 136.7 35.7 17.1 8.7 1.9 0.8 0.6 0.5 2023Q2 143.0 33.7 17.4 9.1 2.1 0.8 0.7 0.5 January 9, 2024 Analytics Ofce Table 39: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) India Brazil Russia 2021Q3 5,479 233 251 53 33 16 2021Q4 5,548 217 239 51 33 16 2022Q1 5,549 213 204 48 39 5 2022Q2 5,287 240 198 47 34 5 2022Q3 5,148 266 174 49 34 5 2022Q4 5,276 337 171 44 34 3 2023Q1 5,556 332 171 44 31 3 2023Q2 5,887 354 138 50 40 3 2023Q1 129.8 7.8 4.0 1.0 0.7 0.1 2023Q2 136.2 8.2 3.2 1.2 0.9 0.1 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 Japan China (Inc. Hong Kong) India Brazil Russia 2021Q3 120.4 5.1 5.5 1.2 0.7 0.3 2021Q4 122.3 4.8 5.3 1.1 0.7 0.3 2022Q1 125.1 4.8 4.6 1.1 0.9 0.1 33 2022Q2 125.0 5.7 4.7 1.1 0.8 0.1 2022Q3 124.7 6.4 4.2 1.2 0.8 0.1 2022Q4 127.3 8.1 4.1 1.1 0.8 0.1 January 9, 2024 VIII Qualifying Hedge Fund Specifc Information Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. 7.5 5.0 2.5 7.5 5.0 2.5 0.0 20 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 0.0 10.0 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 10.0 12.5 21 12.5 Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) As reported on Form PF, Questions 9, 10, 26, and 30. Ratio of GNE to NAV Winsorized (limits=[0%,98%]) A Analytics Ofce (a) Including IRDs (b) Excluding IRDs 34 (a) LNE Including IRDs (c) SNE Including IRDs 35 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 0 21 2 20 4 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 21 20 0 -09 2 Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 4 21 6 Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%]) 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 20 Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 6 20 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 21 20 -09 21 20 Ratio of SNE to NAV Winsorized (limits=[0%,98%]) January 9, 2024 Analytics Ofce Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 6 4 2 0 (b) LNE Excluding IRDs 6 4 2 0 (d) SNE Excluding IRDs January 9, 2024 B Analytics Ofce 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. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. 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 2021Q3 2,229 1,201 649 *** *** 1,427 1,035 691 100 126 57 61 893 790 66 34 4 453 348 105 449 202 141 107 246 *** *** 57 6,789 2021Q4 2,250 1,211 643 396 0 1,456 1,063 709 102 123 65 63 794 704 54 *** *** 479 359 119 458 205 145 108 222 *** *** 65 6,787 2022Q1 2,029 1,098 577 *** *** 1,483 1,043 676 110 112 74 70 856 745 73 *** *** 485 359 127 429 202 136 91 238 *** *** 75 6,637 2022Q2 1,773 969 467 *** *** 1,441 1,028 684 113 89 79 62 874 744 88 39 2 482 350 132 403 201 112 90 215 *** *** 69 6,284 2022Q3 1,676 930 414 *** *** 1,427 969 638 115 84 72 60 886 748 92 44 2 507 367 140 394 201 101 93 258 *** *** 68 6,185 2022Q4 1,757 980 438 *** *** 1,458 950 627 121 82 54 66 999 902 58 37 2 527 378 149 371 203 96 72 196 *** *** 71 6,330 2023Q1 1,793 995 448 *** *** 1,487 1,035 706 103 88 76 61 897 820 44 *** *** 543 390 154 382 201 106 75 195 *** *** 84 6,416 2023Q2 1,887 1,064 453 *** *** 1,512 1,091 722 129 94 85 61 995 924 40 *** *** 538 369 168 397 210 102 85 287 *** *** 86 6,793 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 defne the investment strategies listed by Question 20. 36 January 9, 2024 Analytics Ofce 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. Asset Backed F.I. Conv. Arb. Volatility Arb. F.I. Corp. 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 2021Q3 53.5 28.8 15.6 *** *** 34.2 24.9 16.6 2.4 3.0 1.4 1.5 21.4 19.0 1.6 0.8 0.1 10.9 8.4 2.5 10.8 4.8 3.4 2.6 5.9 *** *** 1.4 163.0 2021Q4 53.7 28.9 15.4 9.4 0.0 34.8 25.4 16.9 2.4 2.9 1.5 1.5 18.9 16.8 1.3 *** *** 11.4 8.6 2.9 10.9 4.9 3.5 2.6 5.3 *** *** 1.6 162.0 37 2022Q1 48.9 26.5 13.9 *** *** 35.7 25.1 16.3 2.7 2.7 1.8 1.7 20.6 18.0 1.8 *** *** 11.7 8.7 3.0 10.3 4.9 3.3 2.2 5.7 *** *** 1.8 160.0 2022Q2 45.7 25.0 12.0 *** *** 37.1 26.5 17.6 2.9 2.3 2.0 1.6 22.5 19.2 2.3 1.0 0.1 12.4 9.0 3.4 10.4 5.2 2.9 2.3 5.5 *** *** 1.8 162.0 2022Q3 44.4 24.7 11.0 *** *** 37.8 25.7 16.9 3.0 2.2 1.9 1.6 23.5 19.8 2.4 1.2 0.1 13.5 9.7 3.7 10.5 5.3 2.7 2.5 6.8 *** *** 1.8 164.0 2022Q4 46.3 25.8 11.6 *** *** 38.5 25.1 16.5 3.2 2.2 1.4 1.7 26.3 23.8 1.5 1.0 0.1 13.9 10.0 3.9 9.8 5.4 2.5 1.9 5.2 *** *** 1.9 166.9 2023Q1 46.2 25.6 11.6 *** *** 38.3 26.7 18.2 2.7 2.3 2.0 1.6 23.1 21.1 1.1 *** *** 14.0 10.0 4.0 9.8 5.2 2.7 1.9 5.0 *** *** 2.2 165.3 2023Q2 47.9 27.0 11.5 *** *** 38.4 27.7 18.3 3.3 2.4 2.2 1.6 25.3 23.4 1.0 *** *** 13.7 9.4 4.3 10.1 5.3 2.6 2.2 7.3 *** *** 2.2 172.4 January 9, 2024 C Analytics Ofce 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 Investment in other funds Event Driven 2021Q3 7.0 4.8 3.3 1.5 1.5 1.5 1.5 1.3 1.4 2021Q4 7.0 4.2 3.4 1.6 1.5 1.4 1.5 1.3 1.4 2022Q1 6.0 4.5 3.1 1.6 1.6 1.5 1.4 1.2 1.4 2022Q2 6.5 4.3 3.0 1.6 1.6 1.9 1.4 1.5 1.4 2022Q3 6.2 4.5 2.9 1.7 1.6 1.6 1.5 1.4 1.3 2022Q4 5.9 4.9 3.5 1.7 1.6 1.5 1.5 1.3 1.3 2023Q1 5.8 5.0 3.6 1.7 1.6 1.6 1.5 1.3 1.3 2023Q2 6.2 5.6 3.9 1.8 1.7 1.5 1.4 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 Credit Equity Other Event Driven 2021Q3 34.6 26.4 22.9 16.2 3.3 3.0 2.9 3.2 2.0 2021Q4 32.9 27.1 16.9 16.0 3.3 3.1 3.1 3.1 1.9 2022Q1 33.0 25.4 15.0 14.9 2.8 3.2 2.9 3.1 1.9 2022Q2 29.2 24.8 16.5 13.2 4.1 3.1 2.9 2.9 2.0 2022Q3 29.6 23.8 14.0 11.0 3.9 3.2 2.9 2.9 1.8 2022Q4 34.9 21.3 14.3 14.5 3.0 3.2 2.9 2.9 1.8 2023Q1 37.3 23.1 12.1 14.1 5.8 3.4 3.0 2.8 2.1 2023Q2 36.8 25.5 17.1 14.8 3.6 3.5 3.1 2.7 2.1 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 Macro Managed Futures/CTA Relative Value Multi-Strategy Investment in other funds Equity Other Event Driven Credit 2021Q3 42.3 42.7 21.1 25.4 1.6 8.1 11.6 7.7 8.8 2021Q4 42.8 48.2 21.8 26.1 8.2 8.5 11.8 8.1 8.3 2022Q1 44.1 51.0 23.3 23.9 4.9 10.3 11.3 10.7 6.8 38 2022Q2 44.1 56.0 23.8 27.7 6.8 12.7 11.5 9.6 8.3 2022Q3 42.2 54.2 25.0 27.9 5.5 13.6 12.3 10.0 7.3 2022Q4 45.7 49.3 23.5 30.5 6.1 13.8 11.5 9.8 8.9 2023Q1 43.1 39.9 25.9 27.3 7.5 12.4 9.6 8.1 8.5 2023Q2 41.3 38.8 26.6 25.7 11.3 11.1 9.0 8.4 7.4 January 9, 2024 D Analytics Ofce 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 Repurchase Agreements Non-Financial Listed Equities U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Commodity Derivatives Financial Listed Equities Leveraged Loans Non-Financial Corporate Bonds Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Sovereign Bonds - Other Other Derivatives MBS Physical Real Estate Other Private Funds Cash/Cash Equivalents - MMFs Other ABS/Structured Products Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2021Q3 7,640 4,077 2,270 2,712 1,735 1,595 1,472 783 416 534 455 361 247 272 254 240 332 188 212 146 175 181 60 133 178 98 105 73 52 38 27 21 16 9 7 2021Q4 7,476 3,973 2,221 2,751 1,760 1,578 1,412 759 465 573 393 376 261 280 216 218 308 207 205 166 183 208 59 141 173 112 105 71 46 39 29 22 16 9 6 2022Q1 7,770 3,819 2,197 2,488 1,690 1,775 1,373 750 477 854 424 348 274 272 231 216 267 215 170 176 184 199 63 144 154 110 101 76 47 39 30 19 17 8 9 39 2022Q2 7,165 3,415 2,167 2,120 1,523 1,482 1,377 809 478 527 399 307 277 248 261 224 209 219 189 186 186 228 55 149 125 118 93 71 56 36 27 17 15 7 9 2022Q3 6,606 3,407 2,074 2,020 1,493 1,459 1,311 740 478 509 374 285 281 246 220 221 181 210 183 171 184 218 57 151 119 112 84 68 46 36 26 18 14 6 3 2022Q4 7,256 3,068 2,136 2,092 1,671 1,465 1,471 683 483 519 360 307 295 254 220 240 197 242 180 186 175 215 56 155 118 113 87 79 60 40 37 16 15 6 6 2023Q1 7,238 3,354 2,349 2,200 1,814 1,496 1,386 739 498 469 387 312 310 265 225 301 208 220 179 191 175 187 56 153 123 114 93 75 41 41 39 16 16 8 4 2023Q2 7,159 3,676 2,513 2,321 2,176 1,587 1,399 848 509 493 374 338 323 281 257 248 221 218 208 203 177 174 161 160 128 120 107 80 69 41 35 18 16 7 4 January 9, 2024 Analytics Ofce 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 Repurchase Agreements Non-Financial Listed Equities U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Non-Financial Unlisted Equities Cash/Cash Equivalents - Other Commodity Derivatives Financial Listed Equities Leveraged Loans Non-Financial Corporate Bonds Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Sovereign Bonds - Other Other Derivatives MBS Physical Real Estate Other Private Funds Cash/Cash Equivalents - MMFs Other ABS/Structured Products Other Loans (Excluding Repo) Non-Financial Convertible Bonds Other Financial Equity Derivatives Financial Corporate Bonds U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2021Q3 48.5 57.0 46.8 71.4 57.2 51.4 48.5 47.0 99.8 73.3 63.8 73.5 98.0 79.1 56.8 72.8 70.2 61.9 71.9 *** 99.9 *** 85.3 91.7 97.7 96.0 60.1 87.1 65.0 *** 99.7 *** 97.9 95.0 98.4 2021Q4 47.8 55.2 48.5 71.8 56.9 51.9 48.5 44.5 99.9 71.9 65.2 73.1 98.0 74.5 62.5 74.9 64.2 51.6 70.0 *** 99.9 *** 84.2 90.7 97.9 94.8 55.5 86.4 62.8 *** 99.7 98.6 97.8 96.2 *** 2022Q1 48.1 56.0 49.0 70.3 59.2 56.9 47.9 43.0 99.7 67.2 64.3 71.4 98.2 77.2 61.7 71.9 63.4 50.5 78.4 *** 99.9 *** 80.7 91.4 97.3 93.4 54.2 86.5 55.3 *** 99.7 98.9 98.1 96.7 99.8 40 2022Q2 47.4 55.2 48.5 68.2 62.8 50.6 48.2 40.2 99.8 77.3 59.9 69.5 98.7 75.4 60.8 67.3 58.6 44.8 81.7 *** 99.9 99.9 83.5 91.6 97.2 90.7 55.6 87.0 52.8 86.3 99.9 *** 98.8 96.3 99.4 2022Q3 47.0 54.6 47.2 67.8 60.0 48.3 49.7 41.1 99.9 78.5 55.4 68.6 97.6 76.4 62.1 63.6 60.7 41.9 83.6 *** 99.9 *** 82.3 89.4 97.5 90.0 55.5 86.3 61.7 86.7 99.9 99.2 98.3 96.3 *** 2022Q4 50.6 53.0 46.5 67.4 59.2 51.5 48.2 47.7 99.6 77.4 59.1 68.1 97.5 76.8 66.1 64.5 63.5 40.8 83.6 *** 100.0 99.9 86.5 91.3 97.7 86.4 59.0 88.6 58.8 88.1 99.9 98.8 98.5 98.1 93.9 2023Q1 48.3 53.8 43.2 66.8 61.5 50.4 48.9 45.9 99.8 81.7 57.5 67.5 97.8 76.2 59.1 65.0 69.0 58.7 84.3 *** *** *** 86.2 90.3 98.4 85.7 56.9 82.2 70.5 87.5 99.9 99.3 99.0 98.5 96.9 2023Q2 46.8 55.6 40.0 66.7 56.2 51.4 46.6 47.3 99.8 80.2 55.9 66.7 97.6 75.9 60.7 69.6 69.2 51.5 84.0 *** 100.0 *** 91.1 90.1 98.5 83.4 58.3 80.7 59.7 87.6 99.9 *** 98.8 97.8 98.2 January 9, 2024 Number of Positions Figure 12: Number of Positions Reported by Qualifying Hedge Funds As reported on Form PF, Question 34. 3000 2000 1000 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 20 22 -06 20 22 -03 20 22 -12 21 20 21 -09 0 20 Number of Positions E Analytics Ofce 41 January 9, 2024 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 2021Q3 7.5 11.1 23.1 40.2 52.3 63.5 2021Q4 7.5 11.0 23.1 42.9 50.3 62.8 2022Q1 7.5 10.9 23.4 39.8 50.1 62.2 2022Q2 5.8 8.6 19.9 36.7 47.0 60.4 2022Q3 5.5 8.2 18.9 35.6 47.4 59.1 2022Q4 5.6 8.2 18.5 37.8 45.6 58.5 2023Q1 5.4 7.5 18.6 34.5 45.4 56.7 2023Q2 5.6 7.8 17.9 34.1 44.3 56.5 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 2021Q3 33.3 53.2 66.1 73.0 77.3 82.2 2021Q4 33.7 52.9 65.7 72.5 77.0 81.9 2022Q1 35.4 53.5 64.9 71.1 75.5 80.5 2022Q2 33.6 51.5 62.3 68.4 73.5 79.3 2022Q3 33.6 50.4 61.3 67.6 72.8 78.6 2022Q4 32.3 49.4 60.3 66.4 71.8 77.9 2023Q1 31.5 49.0 59.1 65.2 70.8 76.5 Figure 13: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity Portfolio Liquidity 80 40 20 s 65 mo At st 3 80 mo st 1 day s day ays 42 At mo At st 9 mo At st 3 0d day st 7 mo 0d s ays 0 At st 1 mo Investor Liquidity 60 day Percent of Fund Net Assets (%) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2023. At F Analytics Ofce 2023Q2 31.3 49.1 59.6 65.7 70.7 76.7 January 9, 2024 Analytics Ofce Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. 2021Q3 2,981 1,926 110 84 18 2021Q4 2,924 1,885 114 84 18 2022Q1 2,884 1,878 104 74 17 2022Q2 2,660 1,847 97 74 14 2022Q3 2,534 1,754 96 75 13 2022Q4 2,499 1,728 90 81 20 2023Q1 2,562 1,757 87 80 22 Figure 14: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement See Appendix C for an explanation of boxplots. NAV in Side-Pocket (%) 60 As reported on Form PF, Questions 9 and 48. 40 20 21 Q 20 3 21 Q 20 4 22 Q 20 1 22 Q 20 2 22 Q 20 3 22 Q 20 4 23 Q 20 1 23 Q2 0 20 Type May Suspend May Have Gates Side-Pocketed Gated Suspended 43 2023Q2 2,574 1,762 90 81 23 January 9, 2024 G Analytics Ofce Borrowings Table 51: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Reverse Repo Prime Broker Other Secured Subtotal Total 2021Q3 3,671 1,205 1,919 547 32 3,704 2021Q4 3,747 1,151 1,964 633 49 3,796 2022Q1 3,531 1,090 1,842 599 39 3,570 2022Q2 3,397 1,150 1,659 588 34 3,431 2022Q3 3,300 1,143 1,590 567 36 3,336 2022Q4 3,431 1,215 1,634 582 39 3,470 2023Q1 3,709 1,432 1,706 570 40 3,748 2023Q2 4,008 1,636 1,824 547 38 4,046 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 2021Q3 64.5 34.8 0.6 0.1 2021Q4 65.3 33.9 0.7 0.2 2022Q1 63.7 35.4 0.9 0.0 2022Q2 63.9 35.4 0.7 0.0 2022Q3 65.1 33.8 1.1 0.0 2022Q4 64.1 34.8 1.0 0.1 2023Q1 63.6 35.5 0.8 0.0 2023Q2 64.2 35.1 0.7 0.0 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 2021Q3 2,433 1,582 852 1,271 908 363 709 522 186 4,413 2021Q4 2,408 1,586 822 1,204 826 378 755 520 235 4,367 2022Q1 2,236 1,471 765 1,141 766 375 727 528 199 4,103 44 2022Q2 1,971 1,321 650 1,196 815 381 734 561 173 3,902 2022Q3 1,921 1,277 644 1,185 786 399 723 562 161 3,829 2022Q4 2,025 1,353 672 1,262 788 473 729 535 194 4,016 2023Q1 2,123 1,423 700 1,475 940 535 727 566 161 4,325 2023Q2 2,239 1,504 734 1,677 1,028 649 721 561 160 4,637 6 4 2 0 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 8 Collateral/Reverse Repo Borrowing Winsorized (limits=[0%,98%]) 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 Collateral/Prime Broker Borrowing Winsorized (limits=[0%,98%]) 20 21 -0 20 9 21 -1 20 2 22 -0 20 3 22 -0 20 6 22 -0 20 9 22 -1 20 2 23 -0 20 3 23 -06 Collateral/Total Secured Borrowing Winsorized (limits=[0%,98%]) January 9, 2024 Analytics Ofce Figure 15: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Question 43. 8 6 4 2 0 (a) Total Secured Borrowing (b) Prime Broker Borrowing 45 8 6 4 2 0 (c) Reverse Repo Borrowing January 9, 2024 Analytics Ofce 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 2021Q3 36.4 47.7 64.8 76.6 94.4 95.5 2021Q4 26.4 42.7 63.0 77.3 93.9 95.5 2022Q1 35.5 46.2 63.6 76.6 93.9 95.1 2022Q2 36.7 47.0 64.7 76.2 92.9 94.3 2022Q3 27.1 47.0 62.2 75.5 92.8 94.2 2022Q4 25.3 41.4 61.7 75.3 91.8 94.0 2023Q1 28.4 47.8 63.6 76.3 92.8 94.6 Figure 16: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) Financing Liquidity 100 80 60 40 20 s mo At st 3 65 day s mo st 1 80 day ays 46 At 0d mo At st 9 mo At st 3 0d day s st 7 mo At mo st 1 At ays 0 day Percent of Available Financing (%) As reported on Form PF, Question 46 as of Second Calendar Quarter 2023. 2023Q2 27.8 48.4 63.7 77.3 92.8 94.6 January 9, 2024 Central Clearing Figure 17: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Percent of Funds 20 Percent of NAV 15 10 5 47 Q2 23 20 Q1 23 20 Q4 22 20 Q3 22 20 Q2 22 20 Q1 22 20 Q4 21 20 21 Q3 0 20 H Analytics Ofce January 9, 2024 I Analytics Ofce 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 2021Q3 663 266 199 193 53 1,353 2021Q4 678 268 201 201 55 1,396 2022Q1 685 268 210 202 52 1,409 2022Q2 653 275 193 181 52 1,408 2022Q3 694 284 186 220 50 1,346 2022Q4 651 280 181 181 53 1,421 2023Q1 625 271 181 167 47 1,419 2023Q2 646 284 180 171 51 1,442 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 2021Q3 4,590 2,322 984 735 1,127 3,718 2021Q4 4,467 2,198 1,014 721 1,119 3,866 2022Q1 4,449 2,154 1,029 695 1,124 3,817 2022Q2 4,317 2,146 966 625 1,114 3,605 2022Q3 4,266 2,146 916 641 1,095 3,428 2022Q4 4,326 2,174 945 556 1,220 3,501 2023Q1 4,436 2,263 938 560 1,233 3,564 2023Q2 4,770 2,500 907 577 1,389 3,668 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 2021Q3 1,542 619 443 437 185 2,624 2021Q4 1,549 608 448 441 182 2,642 2022Q1 1,550 613 460 422 191 2,599 48 2022Q2 1,418 604 391 368 192 2,461 2022Q3 1,425 620 372 373 200 2,347 2022Q4 1,357 593 373 330 191 2,437 2023Q1 1,352 595 367 325 199 2,529 2023Q2 1,363 607 352 329 209 2,577 January 9, 2024 J Analytics Ofce 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 2021Q3 556 472 107 881 2021Q4 562 478 116 918 2022Q1 571 479 114 930 2022Q2 581 465 72 943 2022Q3 589 458 105 888 2022Q4 578 466 73 955 2023Q1 556 469 69 950 2023Q2 576 467 70 975 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 2021Q3 4,226 1,538 364 2,181 2021Q4 4,076 1,555 391 2,311 2022Q1 4,108 1,548 341 2,269 2022Q2 4,084 1,450 234 2,155 2022Q3 4,001 1,384 264 2,045 2022Q4 4,099 1,398 227 2,104 2023Q1 4,216 1,386 221 2,178 2023Q2 4,528 1,427 241 2,241 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 2021Q3 1,288 936 254 1,688 2021Q4 1,287 922 261 1,720 2022Q1 1,302 904 248 1,695 2022Q2 1,274 850 144 1,611 49 2022Q3 1,266 821 159 1,526 2022Q4 1,220 843 138 1,594 2023Q1 1,216 860 136 1,669 2023Q2 1,226 872 137 1,705 January 9, 2024 K Analytics Ofce 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 2021Q3 844 748 708 610 501 428 268 228 2021Q4 860 746 708 622 499 425 270 227 2022Q1 876 766 722 650 530 443 291 252 2022Q2 864 771 736 657 526 455 287 252 2022Q3 859 778 735 656 523 451 286 247 2022Q4 857 768 732 657 524 447 288 253 2023Q1 839 751 718 655 512 429 296 258 2023Q2 856 770 733 662 525 440 293 261 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 2021Q3 5,194 4,646 4,927 4,228 3,909 3,883 1,136 882 2021Q4 5,042 4,527 4,758 4,235 3,713 3,742 1,134 899 2022Q1 5,087 4,562 4,870 4,359 3,796 3,846 1,184 970 2022Q2 5,086 4,489 4,808 4,341 3,787 3,975 1,123 936 2022Q3 4,940 4,392 4,707 4,225 3,707 3,867 1,139 901 2022Q4 5,062 4,519 4,801 4,352 3,842 4,002 1,102 938 2023Q1 5,179 4,610 4,883 4,479 3,873 4,078 1,132 1,093 2023Q2 5,523 4,917 5,210 4,774 4,428 4,385 1,239 1,238 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 2021Q3 1,989 1,675 1,623 1,377 1,167 1,123 482 379 2021Q4 1,972 1,655 1,599 1,385 1,128 1,108 467 374 2022Q1 1,967 1,691 1,654 1,459 1,192 1,151 504 422 50 2022Q2 1,894 1,639 1,629 1,448 1,176 1,169 484 409 2022Q3 1,858 1,634 1,625 1,443 1,166 1,159 471 382 2022Q4 1,833 1,590 1,586 1,416 1,140 1,115 427 390 2023Q1 1,846 1,601 1,593 1,436 1,124 1,123 443 401 2023Q2 1,870 1,596 1,607 1,447 1,192 1,145 437 415 January 9, 2024 Analytics Ofce 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 2021Q3 988 214 130 83 101 137 155 71 137 2021Q4 1,034 223 130 84 103 127 165 79 129 2022Q1 1,044 212 129 83 101 126 167 81 151 2022Q2 1,015 208 126 80 100 131 168 79 154 2022Q3 993 208 128 78 108 127 166 82 150 2022Q4 1,028 206 129 82 100 128 167 82 150 2023Q1 1,019 207 123 81 94 126 159 78 157 2023Q2 1,045 206 123 82 101 134 164 80 153 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 2021Q3 2,545 444 629 324 363 929 2,101 360 613 2021Q4 2,702 485 618 314 353 747 2,159 348 606 2022Q1 2,611 432 568 306 352 871 2,123 341 662 2022Q2 2,389 412 431 279 425 811 2,193 335 647 2022Q3 2,309 385 407 267 471 738 2,127 373 616 2022Q4 2,330 374 406 305 394 778 2,263 346 632 2023Q1 2,399 377 412 308 404 809 2,133 527 632 2023Q2 2,482 385 426 331 406 627 2,458 597 724 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 2021Q3 1,942 300 322 231 176 321 477 170 227 2021Q4 1,982 319 312 215 189 291 502 169 212 2022Q1 1,944 276 294 212 187 302 509 174 252 2022Q2 1,755 255 269 190 176 281 543 160 249 51 2022Q3 1,685 234 259 183 198 267 544 169 233 2022Q4 1,732 241 256 214 175 264 540 142 232 2023Q1 1,805 246 258 212 168 281 524 149 238 2023Q2 1,842 246 259 217 158 272 553 155 237 January 9, 2024 IX A Analytics Ofce Section 3 Liquidity Fund Specifc 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 2021Q3 68.6 92.6 97.3 97.8 98.8 99.8 2021Q4 68.9 92.4 96.6 97.8 99.0 99.8 2022Q1 69.5 91.6 96.0 97.9 99.5 99.8 2022Q2 66.4 91.8 96.5 98.5 99.6 99.8 2022Q3 68.1 92.7 97.2 98.5 99.5 99.6 2022Q4 70.7 93.1 97.2 98.3 99.5 99.7 2023Q1 71.1 92.9 97.3 98.2 99.3 99.7 2023Q2 71.0 92.6 97.0 97.9 99.1 99.8 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 2021Q4 291 260 0 0 2022Q1 290 261 0 0 2022Q2 310 281 0 0 2022Q3 313 281 0 0 2022Q4 302 275 0 0 2023Q1 294 266 0 0 2023Q2 301 274 0 0 Portfolio Characteristics Figure 18: Weighted-Average Maturity Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average WAM 60 Asset-Weighted WAM 50 40 30 20 10 23 20 -06 23 20 -03 22 20 -12 22 20 -09 22 20 -06 22 20 -03 21 20 -12 21 -09 0 20 Weighted Average Maturity (WAM) in Days B 2021Q3 278 245 0 0 52 January 9, 2024 Analytics Ofce Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds Average WAL 70 Asset-Weighted WAL 60 50 40 30 20 10 -06 20 23 -03 20 23 -12 20 22 -09 20 22 -06 20 22 -03 20 22 20 21 20 21 -12 0 -09 Weighted Average Life (WAL) in Days As reported on Form PF, Question 55. Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Average Yield Asset-Weighted Yield 5.0 4.0 3.0 2.0 1.0 53 -06 20 23 -03 20 23 -12 20 22 -09 20 22 -06 20 22 -03 20 22 -12 20 21 -09 0.0 20 21 Seven-Day Gross Yield (%) 6.0 January 9, 2024 Analytics Ofce Figure 21: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average DLA 100 Asset-Weighted DLA 80 60 40 20 -06 20 23 -03 20 23 -12 20 22 -09 20 22 -06 20 22 -03 20 22 20 21 20 21 -12 0 -09 Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) As reported on Form PF, Question 55. Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds Average WLA 100 Asset-Weighted WLA 80 60 40 20 23 20 -06 23 20 -03 22 20 -12 22 20 -09 22 20 -06 22 20 -03 21 20 -12 21 -09 0 20 Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) As reported on Form PF, Question 55. 54 January 9, 2024 C Analytics Ofce 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 Diversifcation Maturity Liquidity Fully 2021Q3 50.9 49.1 45.6 45.6 42.1 38.6 2021Q4 51.8 48.2 44.6 44.6 41.1 37.5 2022Q1 51.9 48.1 44.4 44.4 40.7 37.0 2022Q2 53.8 46.2 42.3 42.3 36.5 34.6 2022Q3 52.9 47.1 43.1 39.2 37.3 35.3 2022Q4 52.0 48.0 44.0 44.0 38.0 36.0 2023Q1 52.0 48.0 44.0 44.0 38.0 36.0 2023Q2 52.0 48.0 44.0 44.0 38.0 36.0 Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type None Credit Quality Diversifcation Maturity Liquidity Fully D 2021Q3 80.9 19.1 17.4 17.4 17.2 15.0 2021Q4 82.1 17.9 16.5 16.5 16.3 14.2 2022Q1 81.3 18.7 17.2 17.2 17.0 15.0 2022Q2 83.9 16.1 14.6 14.6 13.4 12.5 2022Q3 84.3 15.7 14.4 14.3 13.2 12.3 2022Q4 84.1 15.9 14.6 14.6 13.3 12.7 2023Q1 83.6 16.4 15.1 15.1 13.7 12.9 2023Q2 84.2 15.8 14.5 14.5 13.2 12.5 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 2021Q3 77.2 22.8 2021Q4 75.0 25.0 2022Q1 74.1 25.9 2022Q2 71.2 28.8 2022Q3 64.7 35.3 2022Q4 72.0 28.0 2023Q1 72.0 28.0 2023Q2 72.0 28.0 Table 72: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2021Q3 66.7 33.3 2021Q4 64.4 35.6 2022Q1 67.2 32.8 2022Q2 61.2 38.8 55 2022Q3 62.1 37.9 2022Q4 65.9 34.1 2023Q1 68.8 31.2 2023Q2 69.1 30.9 January 9, 2024 Aggregate Portfolio Holdings Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 -06 20 22 -05 20 22 -04 20 22 -03 20 22 -02 20 22 -01 20 22 -12 20 21 -11 20 21 -10 20 21 -09 20 21 -08 21 20 Product Type Repo - Govt. Collateral Deposits U.S. Treasuries Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 20 21 -07 As reported on Form PF, Question 63. 26.0 83.1 86.4 52.3 24.0 20.9 12.4 1.3 0.9 35.2 75.5 80.2 51.7 21.0 21.0 11.6 1.2 0.9 40.2 69.7 73.1 51.4 26.0 23.0 12.1 1.4 1.1 31.3 83.1 88.7 53.1 18.9 23.9 7.7 1.3 1.1 31.6 82.0 88.8 50.5 21.0 24.5 10.6 1.6 1.0 47.2 60.8 88.7 48.2 26.0 24.4 10.1 1.5 1.1 44.1 73.5 69.9 51.9 18.4 25.2 8.0 1.6 1.1 38.1 80.5 81.5 48.2 13.5 24.7 9.1 1.7 1.0 48.0 62.8 91.4 46.6 16.4 26.0 9.9 2.3 1.0 52.2 73.4 84.3 44.2 11.7 24.1 10.7 2.1 1.1 69.2 78.9 63.4 46.4 13.4 18.9 10.5 2.5 1.0 67.1 72.0 78.4 53.6 15.7 20.8 9.3 1.9 1.0 Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 -06 20 23 -05 20 23 -04 20 23 -03 20 23 -02 20 23 -01 20 23 -12 20 22 -11 20 22 -10 20 22 -09 22 -08 22 20 Product Type Repo - Govt. Collateral Deposits U.S. Treasuries Commercial Paper Other Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 20 22 -07 As reported on Form PF, Question 63. 20 E Analytics Ofce 80.9 85.0 57.2 46.5 11.3 20.4 10.4 3.3 0.9 86.3 88.8 59.9 42.1 10.0 20.2 9.1 5.2 1.0 78.8 73.9 69.2 45.3 16.6 20.6 8.7 5.2 1.0 85.2 91.4 48.8 49.5 14.1 20.1 10.4 5.7 0.9 78.4 88.9 53.8 53.0 13.7 17.7 10.9 5.4 0.9 84.2 70.4 49.7 52.9 17.9 18.6 9.7 8.7 0.8 82.0 78.3 43.0 52.7 13.8 19.2 7.7 7.7 0.7 84.3 78.0 47.5 47.6 10.1 20.1 9.4 7.5 0.7 103.7 69.4 32.7 45.1 14.5 16.9 10.9 13.9 0.7 105.4 75.3 25.6 47.8 21.8 17.7 11.2 13.1 1.0 104.9 81.7 27.2 47.0 15.3 17.8 10.0 10.7 1.0 75.3 75.3 58.5 47.7 21.0 18.2 11.1 6.3 0.9 56 January 9, 2024 Analytics Ofce X Section 4 Private Equity Fund Specifc 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 Computing Infrastructure... Other Financial Vehicles Custom Computer Programming... Insurance Agencies and Brokerages All Other Professional,... Computer Systems Design Services Other Computer Related Services Engineering Services Ofces of Physicians Natural Gas Distribution Other Activities Related to Real... Consumer Lending Commercial Banking Hotels and Motels Lessors of Nonresidential Buildings Full-Service Restaurants Ofces of Other Holding Companies Home Health Care Services Ofces of Dentists Commercial and Service Industry... Lessors of Residential Buildings... Marketing Research and Public... Supermarkets and Other Grocery... Electric Power Generation,... Semiconductor & Other Electronic... Facilities Support Services Real Estate Credit Support Activities for Water... 2014Q4 3.8 2.3 0.4 1.0 1.0 0.6 0.8 0.4 0.2 0.2 0.4 0.5 0.6 1.1 0.7 0.8 0.9 0.3 0.3 0.2 0.1 0.4 0.2 0.5 3.8 0.7 0.1 0.4 0.6 2015Q4 4.9 1.8 0.6 1.5 1.0 0.6 0.6 0.5 0.4 0.3 0.6 0.3 0.8 0.9 0.6 0.8 0.7 0.6 0.3 0.2 0.3 0.4 0.2 0.5 3.7 0.6 0.2 0.9 0.5 2016Q4 6.1 2.0 1.8 1.5 1.2 0.9 1.0 0.9 0.3 0.4 0.7 0.4 0.9 0.8 0.7 0.7 0.5 0.3 0.3 0.2 0.3 0.4 0.2 0.5 4.1 0.4 0.2 0.6 0.6 57 2017Q4 6.0 2.3 1.6 1.5 1.1 0.8 0.8 0.9 0.3 0.3 1.0 0.4 0.8 0.7 0.4 0.7 0.5 0.4 0.3 0.3 0.3 0.3 0.2 0.3 4.2 0.3 0.3 0.5 0.7 2018Q4 8.0 3.5 1.3 1.8 1.0 1.4 0.6 1.0 0.3 0.3 1.0 0.3 0.6 0.3 0.2 0.6 0.3 0.5 0.4 0.3 0.4 0.3 0.1 0.3 4.5 0.5 0.1 0.4 0.7 2019Q4 10.6 4.2 1.2 2.1 1.1 1.4 0.6 0.8 0.3 0.5 0.7 0.3 0.6 0.3 0.4 1.1 0.4 0.4 0.5 0.3 0.3 0.3 0.2 0.2 4.3 0.5 0.1 0.4 0.5 2020Q4 9.7 3.6 1.8 1.9 1.5 1.9 1.0 1.2 0.3 0.5 0.8 0.3 0.7 0.4 0.4 0.6 0.3 0.4 0.6 0.3 0.2 0.2 0.2 0.2 4.8 0.6 0.2 0.4 0.4 2021Q4 11.7 3.4 2.2 2.5 1.7 1.4 1.6 1.5 0.4 0.7 0.6 0.4 0.6 0.4 0.4 0.4 0.2 0.4 0.4 0.3 0.2 0.3 0.2 0.2 3.7 0.5 0.2 0.2 0.3 2022Q4 12.0 4.2 2.9 2.8 1.8 1.4 1.1 1.0 0.7 0.7 0.6 0.6 0.5 0.5 0.5 0.5 0.4 0.4 0.4 0.3 0.2 0.2 0.2 0.2 *** *** 0.2 0.1 *** January 9, 2024 CPC Financial Leverage Figure 23: Distribution of Ratio of Aggregate CPC Current Liabilities to Total Liabilities of Section 4 Private Equity Funds See Appendix C for an explanation of boxplots. Ratio of Portfolio Company Current Liabilities to Total Liabilities (%) 20 14 Q 20 4 15 Q 20 4 16 Q 20 4 17 Q 20 4 18 Q 20 4 19 Q 20 4 20 Q 20 4 21 Q 20 4 22 Q4 As reported on Form PF, Questions 71 and 72. 50 40 30 20 10 0 Figure 24: Distribution of CPC Payment-in-Kind or Zero Coupon Borrowings to Total Borrowings Ratio See Appendix C for an explanation of boxplots. As reported on Form PF, Question 73. 80 60 40 20 0 20 14 Q 20 4 15 Q 20 4 16 Q 20 4 17 Q 20 4 18 Q 20 4 19 Q 20 4 20 Q 20 4 21 Q 20 4 22 Q4 CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) B Analytics Ofce 58 January 9, 2024 C Analytics Ofce 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 [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad390c3f0bfef97f9. Public record. Not legal advice.