# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad947c6c013ce64e0 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics First Calendar Quarter 2021 November 1, 2021 This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. November 1, 2021 Analytics Office Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings.1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from Second Calendar Quarter 2019 through First Calendar Quarter 2021 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about First Calendar Quarter 2021 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject line “First Calendar Quarter 2021-Private Funds Statistics”. 1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis. 1 Contents I II III IV V VI Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fund Domiciles and Adviser Main Offices Beneficial Ownership A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Derivatives 5 5 8 10 11 13 15 15 16 17 18 19 20 Additional Hedge Fund Industry Information A High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . D Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . 21 21 22 24 26 VII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 28 30 31 32 VIII Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 34 36 38 39 41 42 44 46 47 2 November 1, 2021 J K Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 49 A B C D E Section 3 Liquidity Fund Specific Information Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 51 51 53 53 54 A B C Section 4 Private Equity Fund Specific Information CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 55 55 56 57 Appendices Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 59 59 59 60 60 60 61 61 62 IX X XI Analytics Office A 3 November 1, 2021 I Analytics Office Number of Funds and Advisers3 Table 1: Number of Funds The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2019Q2 13,035 9,484 4,714 3,932 2,851 1,772 1,577 971 71 43 32,703 2019Q3 13,043 9,494 4,701 3,932 2,839 1,790 1,579 969 71 41 32,696 2019Q4 14,347 9,296 4,965 4,394 3,118 1,808 1,719 1,156 64 42 34,665 2020Q1 14,481 9,369 4,967 4,405 3,119 1,812 1,721 1,158 63 40 34,878 2020Q2 14,493 9,401 4,972 4,405 3,115 1,800 1,721 1,155 66 44 34,923 2020Q3 14,490 9,462 4,960 4,408 3,116 1,766 1,726 1,150 68 46 34,972 2020Q4 15,623 9,355 5,358 5,266 3,288 1,779 1,837 1,413 71 52 36,945 2021Q1 15,712 9,457 5,374 5,291 3,291 1,845 1,842 1,413 72 53 37,161 Table 2: Number of Advisers Advising Each Fund Type The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Private Equity Fund Hedge Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 2019Q2 1,267 1,740 627 307 350 535 154 134 38 21 3,159 2019Q3 1,269 1,733 624 307 349 546 154 133 38 20 3,152 2019Q4 1,357 1,733 646 323 375 552 161 153 35 21 3,236 2020Q1 1,361 1,730 642 325 375 541 160 154 35 20 3,237 2020Q2 1,363 1,726 643 325 372 538 160 153 36 21 3,237 2020Q3 1,366 1,727 641 326 373 528 161 152 37 22 3,234 2020Q4 1,443 1,756 684 365 387 543 161 176 36 23 3,366 2021Q1 1,449 1,756 686 366 387 565 161 175 36 23 3,371 3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized terms used in this report. 4 November 1, 2021 Analytics Office II Gross and Net Assets A Aggregate Assets by Fund Type over Time Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions) As reported on Form PF, Question 8. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2019Q2 8,196 6,690 3,260 2,364 1,234 575 575 289 285 112 14,240 2019Q3 8,034 6,588 3,259 2,364 1,248 575 576 295 288 112 14,099 2019Q4 8,113 6,647 3,736 2,743 1,396 662 649 289 284 144 14,989 2020Q1 7,680 6,260 3,811 2,795 1,367 666 647 295 288 144 14,609 2020Q2 7,707 6,334 3,809 2,795 1,382 666 647 301 297 145 14,656 2020Q3 8,124 6,744 3,811 2,796 1,391 666 649 322 319 150 15,112 2020Q4 8,689 7,014 4,713 3,587 1,475 811 701 318 315 225 16,932 2021Q1 8,795 7,111 4,821 3,666 1,494 810 703 306 304 222 17,152 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 2019Q2 4,073 3,161 2,896 2,116 1,092 448 172 286 283 98 9,066 2019Q3 4,046 3,169 2,895 2,116 1,107 448 172 293 286 99 9,060 2019Q4 4,116 3,219 3,305 2,442 1,232 504 205 287 281 137 9,785 5 2020Q1 3,763 2,900 3,374 2,493 1,203 507 202 291 284 138 9,478 2020Q2 4,072 3,195 3,373 2,493 1,215 507 202 295 292 138 9,803 2020Q3 4,279 3,380 3,374 2,493 1,229 507 204 315 312 144 10,051 2020Q4 4,641 3,552 4,160 3,203 1,299 615 213 313 311 217 11,457 2021Q1 4,793 3,719 4,263 3,275 1,317 613 210 296 293 215 11,707 November 1, 2021 Analytics Office Figure 1: GAV and NAV Distributions As reported on Form PF, Questions 8 and 9. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean Qualifying Hedge Fund GAV ($ Billions) 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.2 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.5 0.5 0.6 1.2 1.2 1.2 1.0 1.2 1.2 2.8 2.8 2.7 2.5 2.7 2.9 6.4 6.4 6.3 6.0 6.2 6.6 3.8 3.7 3.7 3.5 3.5 3.8 Qualifying Hedge Fund NAV ($ Billions) 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.1 0.2 0.1 0.1 0.1 0.1 0.5 0.5 0.5 0.4 0.4 0.5 0.9 0.9 0.9 0.8 0.8 0.9 1.8 1.8 1.8 1.6 1.8 1.9 3.7 3.7 3.7 3.4 3.9 4.2 1.8 1.8 1.8 1.6 1.8 1.9 Section 4 Private Equity Fund GAV ($ Billions) 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.5 0.5 0.5 0.5 1.3 1.3 1.4 1.4 1.4 1.4 0.6 0.6 0.6 0.6 0.6 0.6 Section 4 Private Equity Fund NAV ($ Billions) 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 1.2 1.2 1.2 1.2 1.2 1.2 0.5 0.5 0.6 0.6 0.6 0.6 6 2020Q4 0.2 0.6 1.3 3.0 7.0 3.9 2021Q1 0.2 0.6 1.3 3.0 6.7 3.9 2020Q4 0.2 0.5 0.9 2.0 4.4 2.0 2021Q1 0.2 0.5 1.0 1.9 4.5 2.0 2020Q4 0.0 0.0 0.1 0.5 1.5 0.7 2021Q1 0.0 0.0 0.1 0.5 1.5 0.7 2020Q4 0.0 0.0 0.1 0.4 1.3 0.6 2021Q1 0.0 0.0 0.1 0.4 1.3 0.6 November 1, 2021 Analytics Office Figure 2: Ratio of GAV to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 1.0 1.0 1.0 1.1 2.0 1.7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 1.0 1.0 1.2 1.6 2.7 1.7 All Private Funds 2019Q3 2019Q4 2020Q1 2020Q2 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.2 1.1 2.0 2.1 2.1 2.1 1.7 1.8 1.8 1.8 Qualifying Hedge Funds 2019Q3 2019Q4 2020Q1 2020Q2 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.6 1.6 1.7 1.6 2.7 2.6 2.6 2.6 1.7 1.7 1.7 1.6 7 2020Q3 1.0 1.0 1.0 1.1 2.1 1.8 2020Q4 1.0 1.0 1.0 1.1 2.1 1.8 2021Q1 1.0 1.0 1.0 1.1 2.1 1.8 2020Q3 1.0 1.0 1.1 1.6 2.5 1.6 2020Q4 1.0 1.0 1.2 1.6 2.6 1.6 2021Q1 1.0 1.0 1.1 1.6 2.6 1.6 November 1, 2021 B Analytics Office Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Section 4 Private Equity Fund Other Private Fund Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2019Q2 52.1 47.2 43.3 14.6 5.2 3.4 5.1 0.9 0.0 0.0 2019Q3 52.2 46.7 43.1 14.6 5.2 3.4 5.1 0.9 0.0 0.0 2019Q4 52.5 47.4 43.5 14.8 7.3 4.5 6.5 0.8 0.0 0.0 2020Q1 49.0 46.1 42.4 14.9 7.3 4.8 6.4 0.7 0.0 0.0 2020Q2 47.7 45.3 41.3 14.6 7.3 4.7 6.4 0.8 0.0 0.0 2020Q3 47.5 47.0 42.9 14.6 7.3 4.8 6.4 0.8 0.0 0.0 2020Q4 53.6 45.5 40.9 13.8 5.1 5.0 5.0 0.5 0.0 0.0 2021Q1 50.2 44.9 40.6 13.9 4.9 4.9 4.7 0.5 0.0 0.0 Figure 3: Distribution of Total Borrowings As reported on Form PF, Questions 12 and 43. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.0 0.0 0.2 0.6 0.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.0 0.3 1.1 4.0 2.8 All Private Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 0.6 0.5 0.5 0.5 0.5 Qualifying Hedge Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.3 0.3 0.3 0.3 1.1 1.1 0.9 1.0 1.1 3.4 3.6 3.0 3.0 3.5 2.7 2.7 2.4 2.5 2.8 8 2020Q4 0.0 0.0 0.0 0.2 0.6 0.5 2021Q1 0.0 0.0 0.0 0.2 0.6 0.5 2020Q4 0.0 0.1 0.3 1.2 3.9 2.8 2021Q1 0.0 0.1 0.3 1.3 3.9 2.7 November 1, 2021 Analytics Office Figure 4: Ratio of Borrowings to NAV (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month). Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.0 0.2 0.9 4.5 2.5 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.1 0.3 0.9 2.3 0.9 All Private Funds 2019Q3 2019Q4 2020Q1 2020Q2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.9 0.9 0.9 0.9 4.5 5.7 5.6 5.2 2.5 2.3 2.3 2.3 Qualifying Hedge Funds 2019Q3 2019Q4 2020Q1 2020Q2 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.9 0.9 0.8 0.8 2.2 2.2 1.9 2.0 0.9 0.9 0.8 0.8 2020Q3 0.0 0.0 0.2 0.9 5.1 2.3 2020Q4 0.0 0.0 0.2 0.9 6.1 2.6 2021Q1 0.0 0.0 0.2 0.8 6.2 2.6 2020Q3 0.0 0.1 0.3 0.8 2.3 0.8 2020Q4 0.0 0.1 0.3 0.8 2.3 0.9 2021Q1 0.0 0.1 0.3 0.8 2.3 0.9 Table 6: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Questions 12 and 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2019Q2 66.0 31.4 2.2 0.9 2019Q3 66.2 31.2 2.3 0.8 2019Q4 65.7 31.0 2.4 1.0 9 2020Q1 64.9 32.3 2.6 1.0 2020Q2 66.7 30.7 2.5 1.0 2020Q3 64.9 32.7 2.4 1.0 2020Q4 66.4 30.3 2.3 1.0 2021Q1 67.3 30.0 2.4 1.0 November 1, 2021 C Analytics Office Fair Value Hierarchy Table 7: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2019Q2 3,272 3,023 3,475 2,531 2019Q3 3,234 3,025 3,469 2,525 2019Q4 3,827 3,453 4,060 2,342 2020Q1 3,793 3,477 4,112 2,327 2020Q2 3,802 3,468 4,117 2,317 2020Q3 3,814 3,486 4,127 2,314 2020Q4 4,223 3,603 5,076 2,315 2021Q1 4,253 3,586 5,175 2,316 Table 8: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2019Q2 1,228 1,056 200 2,102 2019Q3 1,221 1,046 202 2,097 2019Q4 1,265 1,015 264 2,223 2020Q1 1,279 1,050 268 2,229 10 2020Q2 1,270 1,042 268 2,219 2020Q3 1,280 1,049 267 2,220 2020Q4 1,332 1,165 295 2,060 2021Q1 1,324 1,144 297 2,071 November 1, 2021 D Analytics Office Parallel Managed Accounts4 Table 9: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund 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 2019Q2 648 504 315 221 112 78 *** 14 12 *** 1,568 2019Q3 652 503 294 227 112 78 *** 15 12 *** 1,551 2019Q4 614 505 332 222 136 95 *** 12 11 *** 1,565 2020Q1 628 501 331 232 136 95 *** 12 11 *** 1,574 2020Q2 610 500 330 227 135 95 *** 11 11 *** 1,553 2020Q3 601 493 330 221 135 95 *** 11 11 *** 1,537 2020Q4 597 478 311 210 103 73 17 *** 11 *** 1,489 2021Q1 581 475 311 199 103 73 17 *** 11 *** 1,470 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 2019Q2 713 1,832 48 466 33 5 *** 264 263 *** 2,863 2019Q3 712 1,832 48 470 33 5 *** 294 292 *** 2,891 2019Q4 717 2,068 58 477 38 10 *** 317 316 *** 3,171 2020Q1 637 2,052 58 433 38 10 *** 378 377 *** 3,135 2020Q2 638 2,044 58 434 38 10 *** 366 366 *** 3,117 2020Q3 634 2,028 58 414 38 10 *** 383 383 *** 3,113 2020Q4 764 2,583 98 473 44 7 1 *** 391 *** 3,845 2021Q1 768 2,620 98 470 44 7 1 *** 411 *** 3,905 4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11 November 1, 2021 Analytics Office Figure 5: Parallel Managed Account Value Distributions As reported on Form PF, Question 11. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.0 0.2 0.9 3.3 1.8 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.1 0.2 0.5 1.5 3.8 2.1 All Private Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 1.0 1.1 1.0 1.0 1.0 3.4 3.5 3.4 3.3 3.4 1.9 2.0 2.0 2.0 2.0 Qualifying Hedge Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.4 0.5 0.5 0.5 0.5 1.7 1.6 1.4 1.6 1.6 4.1 4.4 3.9 3.9 4.3 2.1 2.2 1.9 1.9 1.9 12 2020Q4 0.0 0.0 0.3 1.3 4.9 2.6 2021Q1 0.0 0.0 0.3 1.3 5.0 2.7 2020Q4 0.1 0.2 0.5 1.9 5.1 2.3 2021Q1 0.1 0.2 0.6 1.9 6.0 2.4 November 1, 2021 III Analytics Office Fund Domiciles and Adviser Main Offices Table 11: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Virgin Islands, British Bermuda Other Country Cayman Islands United States Ireland Virgin Islands, British Luxembourg Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands Canada United Kingdom Bermuda Other All Private Funds 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 50.5 50.5 51.2 51.4 50.9 34.8 34.6 34.5 34.1 34.6 4.5 4.7 4.6 4.5 4.6 3.0 2.9 3.1 3.1 3.1 1.5 1.5 1.3 1.1 1.1 1.1 1.2 1.1 1.1 1.1 4.6 4.6 4.1 4.7 4.6 Qualifying Hedge Funds 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 52.0 51.6 51.5 52.5 52.5 34.5 34.7 35.0 34.9 35.1 3.2 3.1 3.2 2.9 3.1 3.9 3.9 3.6 3.3 3.1 2.7 2.7 2.7 2.6 2.4 1.9 2.1 2.1 2.2 2.0 1.9 1.8 1.9 1.7 1.8 Section 3 Liquidity Funds 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 *** *** *** *** *** 30.3 26.9 22.6 25.7 24.8 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 56.0 56.0 56.2 55.0 55.1 30.1 30.1 32.0 31.4 31.3 1.1 1.1 1.7 1.8 1.8 2.3 2.3 1.9 1.7 1.7 0.9 0.9 1.0 1.0 1.0 9.6 9.6 7.2 9.1 9.1 13 2020Q3 50.4 34.9 4.8 3.1 1.1 1.0 4.5 2020Q4 51.0 34.2 4.6 3.7 1.0 1.0 4.5 2021Q1 50.9 34.1 4.3 3.7 1.0 1.0 5.0 2020Q3 53.2 34.5 3.1 2.9 2.6 1.9 1.8 2020Q4 53.4 34.1 3.3 2.8 2.8 1.8 1.9 2021Q1 52.7 34.9 3.1 2.8 2.7 1.7 2.0 2020Q3 *** 23.4 *** *** 2020Q4 *** 26.2 *** *** 2021Q1 *** 28.8 *** *** 2020Q3 55.1 31.3 1.8 1.7 1.0 9.1 2020Q4 56.3 29.6 2.2 1.5 1.1 9.3 2021Q1 55.2 29.0 2.2 1.5 1.1 11.0 November 1, 2021 Analytics Office Table 12: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2019Q2 89.4 6.1 4.5 Country United States United Kingdom Hong Kong Australia Other 2019Q2 89.2 5.7 *** *** 2.0 Country United States United Kingdom 2019Q2 *** *** Country United States Canada Other 2019Q2 94.1 *** *** All Private Funds 2019Q3 2019Q4 2020Q1 2020Q2 89.3 89.8 90.2 90.2 6.2 5.4 5.3 5.2 4.5 4.7 4.5 4.7 Qualifying Hedge Funds 2019Q3 2019Q4 2020Q1 2020Q2 89.5 88.9 89.4 89.8 5.4 5.4 4.9 4.5 *** *** *** *** *** *** *** *** 2.0 2.1 2.1 2.1 Section 3 Liquidity Funds 2019Q3 2019Q4 2020Q1 2020Q2 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2019Q3 2019Q4 2020Q1 2020Q2 94.1 93.8 93.8 93.8 *** *** *** *** *** *** *** *** 14 2020Q3 90.1 5.2 4.6 2020Q4 90.5 4.5 5.0 2021Q1 90.4 4.7 4.9 2020Q3 89.9 4.3 *** *** 1.9 2020Q4 88.9 4.7 *** *** 2.0 2021Q1 89.6 4.4 *** *** 1.8 2020Q3 *** *** 2020Q4 *** *** 2021Q1 *** *** 2020Q3 93.8 *** *** 2020Q4 94.2 *** *** 2021Q1 94.3 *** *** November 1, 2021 IV A Analytics Office Beneficial Ownership All Private Funds Table 13: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q2 1,566 1,381 1,248 1,085 885 902 609 415 218 221 130 171 124 109 2019Q3 1,559 1,392 1,243 1,081 887 900 608 414 217 223 135 166 124 109 2019Q4 1,676 1,466 1,333 1,167 958 993 657 460 232 242 171 178 135 114 2020Q1 1,643 1,451 1,299 1,103 914 930 648 460 229 230 167 169 127 106 2020Q2 1,671 1,508 1,328 1,139 965 990 669 468 246 236 170 167 129 112 2020Q3 1,711 1,560 1,340 1,161 998 1,017 689 474 256 258 172 166 128 115 2020Q4 2,038 1,819 1,531 1,245 1,163 1,140 802 550 294 275 189 164 133 111 2021Q1 2,072 1,852 1,553 1,263 1,194 1,167 844 563 308 268 196 171 142 110 2020Q4 17.8 15.9 13.4 10.9 10.2 9.9 7.0 4.8 2.6 2.4 1.6 1.4 1.2 1.0 2021Q1 17.7 15.8 13.3 10.8 10.2 10.0 7.2 4.8 2.6 2.3 1.7 1.5 1.2 0.9 Table 14: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Broker-Dealers 2019Q2 17.3 15.2 13.8 12.0 9.8 9.9 6.7 4.6 2.4 2.4 1.4 1.9 1.4 1.2 2019Q3 17.2 15.4 13.7 11.9 9.8 9.9 6.7 4.6 2.4 2.5 1.5 1.8 1.4 1.2 15 2019Q4 17.1 15.0 13.6 11.9 9.8 10.2 6.7 4.7 2.4 2.5 1.8 1.8 1.4 1.2 2020Q1 17.3 15.3 13.7 11.6 9.6 9.8 6.8 4.9 2.4 2.4 1.8 1.8 1.3 1.1 2020Q2 17.0 15.4 13.5 11.6 9.8 10.1 6.8 4.8 2.5 2.4 1.7 1.7 1.3 1.1 2020Q3 17.0 15.5 13.3 11.5 9.9 10.1 6.9 4.7 2.5 2.6 1.7 1.7 1.3 1.1 November 1, 2021 B Analytics Office Qualifying Hedge Funds Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q2 518 448 436 426 340 355 205 89 78 57 44 53 30 79 2019Q3 523 445 429 420 342 365 207 89 81 57 47 54 30 80 2019Q4 530 463 426 431 350 369 208 91 83 62 49 42 32 81 2020Q1 490 409 391 374 315 329 190 88 75 53 45 35 29 73 2020Q2 530 469 427 406 362 354 203 95 89 56 49 44 28 78 2020Q3 563 493 465 426 383 366 219 100 97 60 50 45 31 80 2020Q4 605 538 492 455 414 397 225 112 109 66 53 37 32 17 2021Q1 641 560 522 465 453 409 236 121 112 63 56 40 35 5 2020Q4 17.0 15.1 13.9 12.8 11.7 11.2 6.3 3.1 3.1 1.9 1.5 1.0 0.9 0.5 2021Q1 17.2 15.1 14.0 12.5 12.2 11.0 6.3 3.2 3.0 1.7 1.5 1.1 0.9 0.1 Table 16: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Other Pension Plans U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds And For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Sec-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers 2019Q2 16.4 14.2 13.8 13.5 10.8 11.2 6.5 2.8 2.5 1.8 1.4 1.7 1.0 2.5 2019Q3 16.5 14.0 13.5 13.2 10.8 11.5 6.5 2.8 2.6 1.8 1.5 1.7 1.0 2.5 16 2019Q4 16.5 14.4 13.2 13.4 10.9 11.5 6.5 2.8 2.6 1.9 1.5 1.3 1.0 2.5 2020Q1 16.9 14.1 13.5 12.9 10.9 11.3 6.6 3.0 2.6 1.8 1.5 1.2 1.0 2.5 2020Q2 16.6 14.7 13.4 12.7 11.3 11.1 6.4 3.0 2.8 1.8 1.5 1.4 0.9 2.4 2020Q3 16.6 14.6 13.8 12.6 11.3 10.8 6.5 3.0 2.9 1.8 1.5 1.3 0.9 2.4 November 1, 2021 C Analytics Office Section 3 Liquidity Funds Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Sec-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals State/Muni. Govt. Entities 2019Q2 57 59 84 19 *** *** 9 *** *** *** 3 *** *** *** 2019Q3 74 63 69 19 *** *** 8 *** *** 1 4 *** *** *** 2019Q4 73 62 62 14 *** *** 7 4 *** 2 4 *** *** *** 2020Q1 74 60 72 12 *** *** 9 *** *** 1 4 *** *** *** 2020Q2 90 58 57 17 *** *** 10 *** *** 1 3 *** *** *** 2020Q3 92 76 55 18 *** *** 9 5 *** 2 3 *** *** *** 2020Q4 87 79 59 20 *** *** 8 9 *** 2 *** 1 *** *** 2021Q1 80 72 54 24 *** *** 9 7 *** 2 *** 1 *** *** 2020Q4 28.0 25.5 18.8 6.5 *** *** 2.6 2.7 *** 0.7 *** 0.3 *** *** 2021Q1 27.3 24.5 18.5 8.1 *** *** 3.1 2.4 *** 0.8 *** 0.2 *** *** Table 18: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Other Unknown Non-U.S. Investors Private Funds Sec-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds And For. Official Inst. Non-Profits Non-U.S. Individuals State/Muni. Govt. Pension Plans U.S. Individuals State/Muni. Govt. Entities 2019Q2 20.0 20.8 29.6 6.7 *** *** 3.2 *** *** *** 1.1 *** *** *** 2019Q3 25.8 22.1 24.2 6.8 *** *** 2.7 *** *** 0.3 1.2 *** *** *** 17 2019Q4 25.8 22.1 22.0 4.8 *** *** 2.6 1.3 *** 0.6 1.3 *** *** *** 2020Q1 26.1 21.1 25.3 4.4 *** *** 3.3 *** *** 0.4 1.5 *** *** *** 2020Q2 30.9 19.9 19.4 5.8 *** *** 3.6 *** *** 0.4 0.9 *** *** *** 2020Q3 29.3 24.2 17.6 5.8 *** *** 2.9 1.6 *** 0.6 0.8 *** *** *** November 1, 2021 D Analytics Office Section 4 Private Equity Funds Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q2 397 454 336 244 175 127 117 116 48 36 31 17 17 1 2019Q3 397 454 336 244 175 127 117 116 48 36 31 17 17 1 2019Q4 467 514 369 278 199 152 132 139 51 56 36 28 19 1 2020Q1 468 526 392 286 201 154 132 140 54 56 37 28 19 1 2020Q2 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q3 468 526 392 285 201 154 132 140 54 56 37 28 19 1 2020Q4 656 652 513 361 246 189 186 180 65 63 38 27 25 3 2021Q1 659 654 544 387 246 190 187 180 71 63 38 27 25 3 Table 20: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds State/Muni. Govt. Pension Plans Other Sov. Wealth Funds And For. Official Inst. Pension Plans Insurance Companies U.S. Individuals Non-Profits Non-U.S. Individuals State/Muni. Govt. Entities Banking/Thrift Inst. Sec-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2019Q2 18.8 21.4 15.9 11.5 8.3 6.0 5.5 5.5 2.3 1.7 1.5 0.8 0.8 0.1 2019Q3 18.8 21.4 15.9 11.5 8.3 6.0 5.5 5.5 2.3 1.7 1.5 0.8 0.8 0.1 18 2019Q4 19.1 21.1 15.1 11.4 8.2 6.2 5.4 5.7 2.1 2.3 1.5 1.1 0.8 0.1 2020Q1 18.8 21.1 15.7 11.5 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q2 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q3 18.8 21.1 15.7 11.4 8.1 6.2 5.3 5.6 2.2 2.3 1.5 1.1 0.7 0.1 2020Q4 20.5 20.3 16.0 11.3 7.7 5.9 5.8 5.6 2.0 2.0 1.2 0.8 0.8 0.1 2021Q1 20.1 20.0 16.6 11.8 7.5 5.8 5.7 5.5 2.2 1.9 1.2 0.8 0.8 0.1 November 1, 2021 E Analytics Office Concentration Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent) As reported on Form PF, Questions 9 and 15. Type Other Private Fund Real Estate Fund Hedge Fund Venture Capital Fund Private Equity Fund Qualifying Hedge Fund Liquidity Fund Section 3 Liquidity Fund Section 4 Private Equity Fund Securitized Asset Fund Total 2019Q2 58.1 57.7 55.4 59.2 50.8 50.6 52.8 52.2 44.5 34.6 54.0 2019Q3 58.6 57.7 55.6 59.1 50.8 50.9 49.4 48.4 44.5 34.8 54.0 2019Q4 58.6 56.7 55.7 54.7 50.5 51.0 46.2 45.2 45.0 39.4 53.7 19 2020Q1 59.0 56.6 55.4 54.7 50.5 50.3 49.9 48.9 45.0 39.4 53.7 2020Q2 59.1 56.6 55.2 54.8 50.5 50.2 47.1 46.7 44.9 39.5 53.6 2020Q3 58.4 56.6 55.3 54.7 50.5 50.4 44.8 44.4 44.9 39.1 53.5 2020Q4 59.6 56.2 55.3 53.7 50.2 50.5 44.3 44.1 45.2 37.4 53.3 2021Q1 59.3 56.2 55.1 53.7 51.1 50.4 45.9 45.7 46.1 36.0 53.6 November 1, 2021 V Analytics Office Derivatives Table 22: Aggregate Derivative Value ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q2 12,975 11,346 134 37 31 17 *** *** 3 *** 13,199 2019Q3 13,447 11,371 135 37 31 17 *** *** 3 *** 13,468 2019Q4 12,638 11,035 111 95 37 18 *** *** 3 *** 12,782 2020Q1 11,895 10,460 108 96 37 18 *** *** 3 *** 12,140 2020Q2 10,935 9,424 108 96 37 18 *** *** 3 *** 11,196 2020Q3 13,563 11,593 106 97 37 18 *** *** 3 *** 13,813 2020Q4 13,905 11,665 134 66 34 19 *** *** 3 *** 14,220 2021Q1 14,929 13,185 138 66 34 18 *** *** 3 *** 15,198 Table 23: Aggregate Derivative Value (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Securitized Asset Fund Venture Capital Fund Total 2019Q2 318.6 358.9 12.3 1.3 1.5 3.7 *** *** 1.6 *** 145.6 2019Q3 332.3 358.8 12.2 1.3 1.5 3.7 *** *** 1.6 *** 148.7 2019Q4 307.0 342.8 9.0 2.9 1.5 3.6 *** *** 1.5 *** 130.6 20 2020Q1 316.1 360.7 9.0 2.9 1.5 3.6 *** *** 1.5 *** 128.1 2020Q2 268.5 295.0 8.9 2.9 1.5 3.6 *** *** 1.5 *** 114.2 2020Q3 317.0 343.0 8.6 2.9 1.5 3.6 *** *** 1.5 *** 137.4 2020Q4 299.6 328.4 10.3 1.6 1.1 3.1 *** *** 1.3 *** 124.1 2021Q1 311.5 354.6 10.5 1.6 1.0 2.9 *** *** 1.3 *** 129.8 November 1, 2021 Analytics Office Figure 6: Distribution of Derivative Values As reported on Form PF, Questions 13 and 44 (Third Month). VI A Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.0 0.0 0.3 1.5 1.2 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 0.0 0.1 0.4 2.2 11.2 6.6 All Private Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3 0.3 0.2 0.2 0.2 1.5 1.5 1.3 1.3 1.3 1.2 1.2 1.0 1.0 1.1 Qualifying Hedge Funds ($ Billions) 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.4 0.4 0.3 0.3 0.4 2.0 2.0 1.6 1.8 2.0 10.7 11.5 8.2 9.0 10.7 6.0 6.2 5.7 5.0 5.6 2020Q4 0.0 0.0 0.0 0.2 1.3 1.0 2021Q1 0.0 0.0 0.0 0.2 1.4 1.1 2020Q4 0.0 0.0 0.4 2.0 11.2 5.5 2021Q1 0.0 0.0 0.3 1.9 10.8 5.7 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 2019Q2 8,054 62 8 2019Q3 8,061 63 8 2019Q4 7,962 49 10 2020Q1 8,044 48 9 2020Q2 8,057 49 8 2020Q3 8,120 47 7 2020Q4 8,134 44 6 2021Q1 8,180 44 6 Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2019Q2 3,975 82 2 2019Q3 3,940 83 2 2019Q4 4,023 77 3 2020Q1 3,663 81 2 21 2020Q2 3,953 91 2 2020Q3 4,158 95 2 2020Q4 4,514 95 3 2021Q1 4,657 101 4 November 1, 2021 B Analytics Office Industry Concentration Table 26: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2019Q2 7.3 13.6 19.9 28.2 42.7 56.3 2019Q3 7.4 13.7 20.0 28.3 42.7 56.1 2019Q4 7.4 13.6 19.7 27.9 42.3 55.6 2020Q1 7.6 14.1 20.2 28.2 42.5 55.6 2020Q2 7.6 14.0 20.2 28.3 42.9 56.3 2020Q3 7.5 14.1 20.5 28.8 43.5 56.9 2020Q4 7.2 13.6 20.0 28.4 43.2 56.6 2021Q1 7.1 13.3 19.5 27.9 42.8 56.3 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 2019Q2 16.3 25.6 33.9 43.4 56.9 68.0 2019Q3 15.5 25.1 33.7 42.9 56.4 67.6 2019Q4 15.5 24.7 33.5 42.5 55.8 67.0 2020Q1 17.2 26.1 34.8 43.8 56.6 67.5 2020Q2 15.0 24.0 32.7 41.8 55.2 66.5 2020Q3 15.5 24.8 33.6 42.6 56.0 67.2 2020Q4 15.0 23.9 32.8 41.7 55.4 66.6 2021Q1 14.3 23.1 31.7 40.3 54.0 65.7 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 2019Q2 35.5 50.3 62.4 73.2 85.0 91.8 2019Q3 34.4 50.4 62.3 73.3 84.9 91.7 2019Q4 35.8 51.0 62.8 73.2 84.6 91.6 2020Q1 38.7 52.8 63.9 73.9 84.5 91.1 22 2020Q2 35.4 50.8 63.1 73.8 84.5 91.4 2020Q3 35.0 51.6 63.4 74.1 85.0 91.8 2020Q4 33.9 49.4 61.7 72.5 84.2 91.4 2021Q1 33.1 47.9 60.1 71.1 83.0 90.7 November 1, 2021 Analytics Office Table 29: Percent of Aggregate Hedge Fund Derivative Value Reported by Top Hedge Funds Sorted by Derivative Value As reported on Form PF, Questions 13 and 44 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2019Q2 29.4 47.4 60.2 72.8 86.4 93.3 2019Q3 30.8 48.8 61.8 73.9 87.2 93.9 2019Q4 29.2 47.8 60.6 72.5 86.7 93.7 2020Q1 34.2 52.6 65.4 76.6 88.3 94.4 2020Q2 32.9 49.4 62.1 73.8 87.3 93.9 2020Q3 39.7 54.5 66.7 77.1 89.2 95.0 2020Q4 41.4 55.9 67.5 77.4 89.2 94.9 2021Q1 42.3 57.1 68.1 78.2 89.3 94.9 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 2019Q2 28.5 45.3 58.3 69.7 83.1 91.6 2019Q3 29.0 46.5 58.8 70.0 83.2 91.5 2019Q4 29.5 46.9 59.1 70.5 83.5 91.7 2020Q1 33.5 51.4 62.6 72.9 84.8 92.3 23 2020Q2 32.3 48.7 59.8 70.5 83.2 91.4 2020Q3 36.2 51.4 61.9 72.1 84.2 92.1 2020Q4 36.2 50.0 60.7 71.0 83.5 91.7 2021Q1 37.3 51.0 61.2 71.5 83.5 91.4 November 1, 2021 C Analytics Office Single-Strategy US-Domiciled Hedge Funds Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q2 512 239 236 34 2 464 91 48 42 47 30 10 8 43 25 9 6 1 1 22 22 19 3 *** *** 6 *** *** 1,047 2019Q3 524 252 234 36 2 466 94 50 44 47 30 10 7 45 27 9 6 1 2 25 18 15 3 *** *** 6 *** *** 1,049 24 2019Q4 562 276 245 40 2 465 98 50 47 45 30 10 5 43 27 8 5 *** *** 31 15 12 1 *** *** 5 *** *** 1,081 2020Q1 485 235 207 40 2 433 96 48 48 43 31 8 4 40 27 7 3 *** *** 36 11 9 2 *** *** 5 *** *** 994 2020Q2 547 269 239 38 2 473 98 52 46 47 32 11 4 43 27 8 5 1 1 30 11 8 2 *** *** 5 *** *** 1,088 2020Q3 567 282 251 33 1 482 103 56 47 47 31 11 5 48 29 9 7 1 1 31 12 9 2 *** *** 5 *** *** 1,133 2020Q4 617 319 268 30 1 530 119 63 56 51 34 12 5 48 28 11 7 2 1 29 11 8 2 *** *** 6 *** *** 1,245 2021Q1 644 329 289 25 1 553 122 67 55 56 37 12 6 49 29 9 8 1 1 31 13 10 2 *** *** 6 *** *** 1,308 November 1, 2021 Analytics Office Table 32: Number of Single-Strategy US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Other Credit Event Driven Relative Value Investment in other funds Macro Managed Futures/CTA Total Strategy Subtotal Long Bias Long/Short Market Neutral Short Bias Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. F.I. Sov. Volatility Arb. Subtotal Subtotal Global Macro Commodity Active Trading Currency Subtotal Quantitative Fundamental Total 2019Q2 1,053 519 468 56 16 890 285 153 134 206 145 37 33 153 72 48 16 10 14 193 60 38 15 *** *** 34 *** *** 2,707 2019Q3 1,055 524 467 54 16 920 289 155 136 221 157 44 30 159 74 51 15 15 16 203 57 35 15 *** *** 32 *** *** 2,730 25 2019Q4 1,013 521 434 48 17 920 297 155 146 215 153 47 23 151 72 48 16 *** *** 211 44 24 9 *** *** 26 *** *** 2,683 2020Q1 1,007 511 438 47 18 927 303 159 147 220 159 45 23 149 69 47 17 *** *** 215 45 24 14 *** *** 27 *** *** 2,717 2020Q2 993 504 433 45 18 939 313 165 151 227 165 45 24 160 81 49 16 11 12 213 44 22 13 *** *** 27 *** *** 2,742 2020Q3 1,017 522 443 45 17 953 318 168 153 220 156 46 23 172 88 53 17 16 12 219 44 21 13 *** *** 28 *** *** 2,771 2020Q4 1,019 525 443 48 11 950 354 173 184 217 151 50 21 174 93 53 18 16 14 239 45 24 11 *** *** 26 *** *** 2,797 2021Q1 1,030 533 447 47 11 979 357 175 185 230 161 52 21 177 95 50 18 17 13 240 47 24 13 *** *** 27 *** *** 2,861 November 1, 2021 D Analytics Office Single-Strategy Non-US-Domiciled Hedge Funds Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions) As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Total 2019Q2 890 613 185 91 1 355 220 90 17 20 8 383 372 7 *** *** 507 180 137 43 133 83 27 23 168 *** *** 27 1,757 2019Q3 868 595 178 95 1 358 222 91 18 19 8 390 380 7 *** *** 531 183 137 46 122 80 20 22 173 *** *** 31 1,742 26 2019Q4 907 601 211 *** *** 359 224 88 19 17 10 356 345 7 *** *** 553 202 153 49 121 81 18 21 172 *** *** 30 1,797 2020Q1 779 512 190 *** *** 390 248 99 18 16 9 351 343 5 *** *** 522 206 150 56 111 72 21 18 153 *** *** 28 1,646 2020Q2 902 608 224 *** *** 377 256 74 24 12 11 341 331 5 *** *** 531 212 152 61 117 81 17 19 110 *** *** 29 1,812 2020Q3 994 670 249 *** *** 375 252 76 24 12 11 432 424 5 *** *** 557 220 155 65 136 93 22 21 132 *** *** 28 1,929 2020Q4 1,176 801 292 *** *** 408 272 79 29 14 13 377 368 6 *** *** 608 235 175 61 147 95 28 24 151 *** *** 30 2,146 2021Q1 1,157 777 295 *** *** 410 274 80 24 17 15 380 370 6 *** *** 648 248 186 62 168 103 35 29 167 *** *** 35 2,199 November 1, 2021 Analytics Office Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds As reported on Form PF, Questions 9, 19, and 20. Category Equity Relative Value Macro Other Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. Volatility Arb. F.I. Conv. Arb. Subtotal Global Macro Commodity Active Trading Currency Subtotal Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Risk Arb./Merger Arb. Equity Subtotal Quantitative Fundamental Subtotal Total 2019Q2 1,099 644 327 124 7 297 54 131 88 37 29 254 196 45 *** *** 776 344 254 98 311 209 60 71 131 *** *** 107 3,101 2019Q3 1,078 633 317 124 7 291 55 123 85 35 29 244 186 45 *** *** 792 337 246 94 314 216 57 72 129 *** *** 107 3,085 27 2019Q4 1,055 623 317 *** *** 296 57 130 91 34 28 214 160 43 *** *** 785 334 241 95 285 195 52 75 122 *** *** 130 3,022 2020Q1 1,059 632 317 *** *** 303 56 129 97 34 27 214 162 43 *** *** 822 333 237 99 295 206 47 78 132 *** *** 127 3,070 2020Q2 1,029 620 312 *** *** 300 58 134 97 28 27 207 157 39 *** *** 805 340 244 99 300 215 44 74 124 *** *** 130 3,039 2020Q3 1,030 618 315 *** *** 297 57 138 94 26 26 211 162 40 *** *** 802 345 246 101 306 223 43 72 121 *** *** 126 3,058 2020Q4 1,065 630 339 *** *** 306 60 151 94 26 24 210 162 36 *** *** 829 343 244 102 305 214 43 77 115 *** *** 112 3,094 2021Q1 1,040 603 340 *** *** 305 57 149 92 26 27 209 161 38 *** *** 811 343 243 103 313 218 43 82 118 *** *** 130 3,073 November 1, 2021 VII A Analytics Office Information Reported by Large Hedge Fund Advisers Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 1-0 1-0 202 202 202 1 1-0 1.0 1.2 1.9 3.4 8.4 3.9 3 2 0.9 1.1 1.8 3.3 8.1 3.7 202 202 1-0 1.0 1.2 1.9 3.5 7.6 3.9 202 0-1 202 0.9 1.1 1.9 3.6 7.8 4.1 202 1-0 1 0.8 1.1 1.8 3.3 7.3 3.7 2 1.0 1.2 1.9 3.3 7.7 3.8 0-1 0-0 202 1.0 1.2 1.9 3.5 8.2 4.0 202 0-0 0-0 0.9 1.2 1.9 3.4 7.6 3.9 202 7 202 0-0 6 0-0 0.9 1.1 1.9 3.4 7.0 4.0 0-1 0.9 1.2 1.9 3.4 7.4 4.1 202 5 0-0 0-0 202 202 0.9 1.2 1.8 3.4 7.8 4.1 -03 202 0-1 2 28 1.0 1.2 1.9 3.3 7.0 4.2 4 3 202 0-0 2 0-0 1.1 1.4 2.2 4.3 9.4 5.5 2 202 0-1 1 1.0 1.3 2.0 4.3 11.6 6.0 1 202 0-1 0 1.0 1.3 2.1 4.6 12.4 6.4 1 202 0-0 9 0.9 1.2 2.0 4.2 11.8 6.0 0 202 0-0 8 1.0 1.3 2.1 4.5 12.2 6.2 9 202 0.9 1.3 2.1 4.6 13.5 6.9 8 202 0-0 6 0.9 1.2 1.9 4.6 12.2 6.3 7 202 0-0 5 1.0 1.3 2.1 4.5 12.4 6.4 1.1 1.5 2.3 4.5 9.5 5.3 0-0 3 202 0-0 4 1.0 1.3 2.2 4.8 12.9 7.2 202 1.0 1.3 2.1 4.5 12.6 6.7 202 0-0 2 1.0 1.3 2.1 4.1 11.5 6.3 0-0 1 1.0 1.3 2.2 4.5 14.2 6.8 202 1.0 1.2 1.9 3.6 7.9 4.4 1.1 1.1 1.0 0.9 1.6 1.5 1.3 1.3 2.5 2.5 2.1 2.1 5.6 5.6 4.3 4.4 16.9 18.0 13.8 14.4 8.6 9.3 6.7 6.7 Excluding IRDs 202 2 1.0 1.2 1.9 3.8 8.5 4.7 201 201 9-1 0.9 1.2 1.9 3.9 8.2 4.7 9-1 1 1.0 1.2 1.9 3.9 7.9 4.4 201 9 1.0 1.2 2.0 3.8 8.1 4.9 9-0 9 1.0 1.2 2.1 4.1 8.5 4.9 201 -07 201 9-0 1.0 1.2 2.0 3.9 7.9 4.9 201 9 9-0 201 5 9-0 9-0 201 0.9 1.2 2.0 3.9 8.4 4.8 2 1.0 1.4 2.1 4.8 13.9 7.3 0-0 1 1.0 1.4 2.1 4.8 14.7 7.7 202 1 201 9-1 1.0 1.4 2.2 4.9 15.1 7.7 1.0 1.2 2.0 4.0 9.1 4.9 9-1 0 1.0 1.3 2.1 4.7 14.0 7.4 -10 201 9-1 9 201 8 1.0 1.4 2.3 5.0 16.8 8.2 9-0 201 1.0 1.4 2.3 5.0 17.1 8.4 8 201 9-0 6 1.0 1.4 2.2 4.8 16.5 7.8 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 9-0 7 201 1.0 1.4 2.2 5.0 16.7 8.3 6 201 9-0 9-0 5 201 1.0 1.4 2.2 4.9 16.8 8.3 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9 -04 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.8 3.3 7.7 3.9 November 1, 2021 Analytics Office Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 26. 29 2 3 1-0 202 1 -0 0.0 0.1 0.5 1.4 3.7 1.6 0.0 0.1 0.5 1.5 4.0 1.7 0.0 0.1 0.5 1.4 3.7 1.6 -03 -03 2 2 0.0 0.2 0.6 2.1 6.4 3.0 0.9 1.1 1.4 2.2 4.8 2.4 0.0 0.2 0.6 2.1 6.1 3.0 202 1-0 3 2 0.1 0.2 0.6 1.9 6.5 2.8 202 1 1-0 1-0 0.0 0.2 0.6 2.0 5.7 2.7 0.9 1.1 1.5 2.7 6.7 3.5 202 1 1 1-0 202 1 1-0 202 1-0 1 0.9 1.1 1.4 2.3 5.0 2.5 202 2 202 202 0.9 1.0 1.4 2.2 4.9 2.4 202 202 0-1 2 0.9 1.1 1.5 2.9 7.2 3.8 202 1-0 0.0 0.1 0.5 1.4 3.8 1.7 0.9 1.1 1.5 2.6 7.0 3.5 202 1-0 1 0.0 0.1 0.5 1.3 3.3 1.5 0.0 0.1 0.5 1.3 3.9 1.7 0-1 0-1 1 202 0-1 2 1 0.1 0.2 0.6 2.1 6.0 3.0 202 0-1 0.1 0.2 0.6 2.0 5.7 2.7 0.9 1.1 1.5 2.3 4.8 2.5 202 -10 202 0-1 1 0 0-1 0.9 1.0 1.5 2.3 4.7 2.5 202 202 0.8 1.0 1.3 2.2 4.5 2.4 202 0.9 1.1 1.6 2.8 6.6 3.7 0-1 0 0-0 9 0.9 1.1 1.5 3.0 7.2 4.1 202 9 0-0 202 8 0.8 1.0 1.4 2.9 6.9 3.8 0.1 0.2 0.6 2.1 6.4 2.9 202 8 0.0 0.2 0.5 1.4 4.0 1.8 202 0 202 9 0-0 202 8 0-0 0.9 1.1 1.5 2.2 4.8 2.4 0-0 0.1 0.2 0.7 2.1 6.7 3.3 0-0 7 0-0 8 202 0-0 7 202 0-0 7 0.9 1.1 1.6 2.8 6.8 3.8 202 0-0 -07 0.0 0.2 0.5 1.3 4.0 1.7 0.9 1.1 1.5 2.2 4.9 2.5 202 6 202 6 202 202 6 0-0 0.0 0.2 0.5 1.3 3.6 1.7 0.1 0.2 0.6 2.0 6.5 3.1 202 0 0-0 202 5 0.1 0.2 0.7 1.8 6.0 2.9 202 0.0 0.2 0.5 1.3 4.1 1.8 0.9 1.0 1.4 2.2 4.7 2.4 6 0-0 5 0-0 0-0 0.9 1.1 1.5 2.2 4.4 2.4 0.9 1.1 1.6 3.0 7.2 4.2 0-1 2 0.0 0.2 0.5 1.3 3.9 1.8 0.9 1.1 1.5 2.9 7.1 3.9 202 0-1 1 0.1 0.2 0.5 1.3 3.4 1.9 202 0-0 4 0-0 3 2 1 0-0 202 0.1 0.2 0.6 1.8 4.6 2.4 202 0-0 5 0-0 5 0-0 202 0-0 4 3 202 0-0 2 -01 0-0 202 202 202 0-0 0.1 0.2 0.6 1.9 4.6 2.3 202 4 0-0 202 202 0-0 3 2 -01 0-0 202 202 9-1 2 202 0 202 0 9-1 2 0.0 0.2 0.5 1.5 3.7 2.0 202 9-1 2 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.2 0.2 0.2 0.7 0.8 0.8 0.6 0.6 0.7 2.2 2.5 2.6 1.9 1.9 2.0 7.0 10.6 11.1 7.6 7.6 7.4 3.5 4.0 4.4 3.2 3.1 3.2 Short Exposure Excluding IRDs 0.9 1.1 1.6 2.7 6.6 3.7 202 4 0-0 202 202 3 2 0-0 0-0 202 -12 0-0 1 202 202 201 9 201 0.9 1.0 1.0 0.9 0.9 0.9 1.1 1.3 1.2 1.1 1.0 1.0 1.5 1.7 1.7 1.4 1.4 1.5 2.4 2.8 2.8 2.3 2.2 2.3 5.2 5.9 5.9 4.3 4.7 4.9 2.8 3.2 3.3 2.6 2.5 2.5 Short Exposure Including IRDs 201 -11 0.0 0.2 0.5 1.6 4.2 2.1 1.0 1.1 1.0 1.0 0.9 0.9 1.2 1.3 1.3 1.1 1.1 1.1 1.6 1.8 1.8 1.5 1.5 1.6 2.9 3.5 3.4 2.7 2.7 2.8 8.0 9.8 9.5 8.0 8.0 8.0 4.1 4.8 5.1 3.8 3.8 4.0 Long Exposure Excluding IRDs 201 9-1 1 9-1 1 0.1 0.3 0.7 2.2 9.0 3.7 9-1 1 9-1 0 -09 201 9 201 -10 0.1 0.2 0.6 1.6 3.9 2.0 0.9 1.1 1.5 2.5 5.4 3.0 201 -10 -10 0.1 0.3 0.7 2.2 8.2 3.7 0.9 1.1 1.6 3.0 8.0 4.3 201 201 201 9 201 9 9-0 9 9-0 9 0.0 0.2 0.6 1.7 4.2 1.9 0.9 1.1 1.5 2.4 5.2 2.9 201 9 201 201 0.1 0.3 0.7 2.3 8.8 3.4 0.9 1.1 1.6 3.1 7.6 4.3 202 0-1 0 0.1 0.2 0.6 1.7 4.6 2.2 0.9 1.1 1.5 2.3 5.1 2.7 201 9-0 8 9-0 8 0.1 0.3 0.8 2.3 9.2 4.0 9-0 9 201 9 -08 201 9 9-0 8 201 -07 0.1 0.2 0.6 1.7 5.1 2.3 0.9 1.1 1.5 2.5 5.2 2.9 201 -07 9-0 6 0.0 0.2 0.6 1.7 4.4 2.2 7 0.1 0.3 0.7 2.3 10.2 4.0 1.0 1.1 1.6 2.9 8.8 4.2 201 6 9-0 7 201 9-0 9-0 6 9-0 6 201 9 201 0.1 0.3 0.7 2.3 8.6 3.8 201 9-0 5 9-0 0.1 0.2 0.6 1.7 4.7 2.2 0.9 1.1 1.5 2.5 5.5 2.9 1.0 1.1 1.6 3.1 9.1 4.6 0-0 9 0.1 0.2 0.6 1.8 4.2 2.3 201 9-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.7 3.1 9.4 4.7 201 9 5 0.1 0.3 0.7 2.3 8.7 4.0 201 5 5 201 9-0 9-0 201 0.1 0.3 0.7 2.4 9.3 3.9 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.5 2.4 5.5 2.9 201 0.9 1.1 1.5 2.4 5.5 2.8 1.0 1.1 1.6 3.0 9.0 4.4 201 9-0 9-0 9-0 9-0 201 0.9 1.1 1.5 2.5 5.6 2.9 0.9 1.1 1.6 3.1 9.2 4.7 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 0.9 1.2 1.6 3.2 9.0 4.7 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 4 Long Exposure Including IRDs 0.0 0.1 0.5 1.4 4.0 1.7 November 1, 2021 B Analytics Office Industry Concentration Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 2021-01 2021-02 2021-03 Top 10 Advisers (NAV) 18.9 18.9 18.9 19.3 19.3 19.4 19.5 19.5 19.5 19.1 19.1 19.1 18.3 18.3 18.3 18.4 18.4 18.5 16.8 16.8 16.8 16.2 16.2 16.2 Top 20 Advisers (NAV) 28.5 28.5 28.5 28.8 28.8 28.9 29.3 29.3 29.3 29.6 29.6 29.6 29.0 29.0 29.0 29.1 29.1 29.3 26.4 26.4 26.4 26.2 26.2 26.2 30 Top 10 Advisers (GNE) 37.7 37.5 36.4 36.8 36.8 37.4 37.8 37.4 37.0 38.1 38.7 41.1 40.7 40.6 39.9 42.1 40.6 40.3 40.0 39.3 39.4 40.3 42.2 41.5 Top 20 Advisers (GNE) 54.1 54.1 52.7 53.9 54.1 54.2 54.2 54.2 53.7 55.4 56.0 56.7 56.8 56.3 55.7 57.2 56.7 56.1 55.8 56.3 54.7 55.8 57.6 56.0 November 1, 2021 C Analytics Office Portfolio Turnover Table 36: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2019-04 2019-05 2019-06 2019-07 2019-08 2019-09 2019-10 2019-11 2019-12 2020-01 2020-02 2020-03 2020-04 2020-05 2020-06 2020-07 2020-08 2020-09 2020-10 2020-11 2020-12 2021-01 2021-02 2021-03 Futures 9,911 18,298 16,327 10,900 15,837 15,755 12,744 14,093 13,345 13,058 19,136 25,062 9,351 12,203 12,862 7,951 10,039 11,031 9,339 12,508 17,695 10,675 17,631 18,591 Sov. and muni. bonds 3,391 3,798 3,832 3,454 4,353 3,897 3,627 3,835 3,311 3,762 4,578 6,430 4,426 4,146 4,003 3,305 3,777 3,696 4,086 4,598 4,356 4,367 5,493 5,419 Listed equities 2,263 2,528 2,188 2,278 2,400 2,226 2,566 2,280 2,302 2,719 2,916 4,071 2,658 2,677 3,201 2,928 2,552 2,866 2,756 3,227 2,993 3,454 3,460 4,131 Corporate bonds 127 134 134 136 116 144 152 134 95 176 167 230 226 211 220 164 165 207 189 171 125 176 175 189 Convertible bonds 18 22 25 21 26 34 19 27 21 36 31 36 39 44 51 40 39 38 44 55 56 58 63 63 Total 15,709 24,779 22,506 16,789 22,731 22,056 19,108 20,369 19,074 19,750 26,829 35,828 16,700 19,280 20,337 14,388 16,573 17,837 16,413 20,559 25,224 18,730 26,823 28,393 Figure 9: Distributions of Portfolio Turnover (Winsorized, limits=[1%,99%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 3(a) and 27. 0.0 0.1 0.5 2.3 14.7 6.7 0.0 0.1 0.4 2.2 13.6 6.8 0.0 0.1 0.6 2.3 19.8 7.2 0.0 0.1 0.4 1.7 12.9 4.8 0.0 0.1 0.4 1.7 13.6 6.1 0.0 0.1 0.4 2.2 16.2 6.2 0.0 0.1 0.3 2.0 13.2 5.6 0.0 0.1 0.4 1.9 14.4 6.8 0.0 0.1 0.4 2.1 15.3 7.0 0.0 0.1 0.5 2.0 13.3 5.8 0.0 0.1 0.4 2.1 15.6 7.5 0.0 0.1 0.5 2.6 19.0 8.1 1-0 1-0 0-0 0-0 9-0 -03 0.1 0.3 1.1 4.7 35.3 13.8 2 202 1 1-0 3 2 202 1 1-0 0.0 0.2 0.7 3.0 22.4 11.3 1 202 1-0 202 2 202 202 0-1 202 202 0-1 2 -11 202 0 1 0-1 202 0.0 0.1 0.5 2.5 19.2 8.5 -09 202 0.0 0.1 0.4 1.8 17.8 6.8 31 0-1 0 0-0 9 202 0-1 0 8 202 0 202 202 0 0.0 0.1 0.4 2.0 15.5 7.2 -08 202 0-0 -07 202 0-0 6 0.0 0.1 0.4 2.1 18.1 8.0 7 202 0-0 5 202 6 0-0 4 202 0.0 0.1 0.4 2.2 18.6 10.6 0-0 3 0.0 0.1 0.5 2.5 22.9 10.4 -02 0.0 0.1 0.4 1.9 14.9 9.1 1 0.0 0.1 0.5 2.2 22.3 11.6 9 0.0 0.1 0.5 2.6 20.8 11.7 6 0.0 0.1 0.4 1.9 16.3 7.9 -05 202 202 0 5 0.1 0.3 1.4 7.5 52.3 41.6 202 0 0-0 0.1 0.3 1.2 6.3 48.5 40.1 202 0-0 0.1 0.3 1.2 6.2 41.9 29.3 201 9-1 2 202 0.1 0.3 1.1 6.2 47.4 33.1 -10 202 0.0 0.3 1.1 7.0 41.0 30.7 201 9-1 1 202 0.1 0.2 0.9 5.8 40.9 26.6 201 9 0.1 0.3 1.1 6.2 43.8 30.1 8 0.1 0.3 1.0 5.6 41.5 27.5 201 9-0 0.1 0.3 0.9 5.4 36.1 22.3 7 0.1 0.3 1.4 6.6 50.8 31.8 201 9-0 202 3 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.3 0.3 0.6 0.4 0.3 0.9 1.1 1.4 2.3 1.2 1.1 5.7 6.5 7.4 11.5 6.4 5.9 46.1 49.5 64.5 92.8 45.9 44.0 28.5 31.3 43.7 55.3 27.6 31.2 Total Turnover to NAV Ratio 0-0 0.1 0.2 0.9 6.1 43.8 32.3 9-0 202 0-0 4 201 9-1 2 1 201 9-1 1 0.1 0.3 0.9 6.0 47.8 29.3 0-0 -10 201 9 0.1 0.3 1.1 5.8 52.9 33.4 201 202 0-0 2 8 201 9-0 0.1 0.3 1.1 6.3 59.1 38.9 201 9 7 201 9-0 6 9-0 0.1 0.2 1.0 5.4 45.9 27.9 9-0 201 0.1 0.3 1.2 6.8 60.9 34.6 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -05 201 0.1 0.3 1.3 7.0 61.5 39.7 201 9 4 201 9 0.1 0.3 1.0 5.3 46.7 25.4 201 9-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9-0 Total Turnover ($ Billions) November 1, 2021 D Analytics Office Region and Country Exposure Table 37: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Africa Middle East 2019Q2 5,522 1,764 840 82 119 38 33 28 2019Q3 5,325 1,717 723 82 100 68 29 26 2019Q4 5,367 1,603 759 85 121 53 33 29 2020Q1 4,902 1,426 649 92 87 42 30 39 2020Q2 4,912 1,398 665 93 86 54 37 28 2020Q3 5,376 1,616 804 125 97 35 40 35 2020Q4 5,065 1,521 793 105 93 33 40 29 2021Q1 5,244 1,348 779 289 85 45 34 29 Table 38: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia Europe Other South America Supranational Africa Middle East 2019Q2 156.5 50.0 23.8 2.3 3.4 1.1 0.9 0.8 2019Q3 153.7 49.6 20.9 2.4 2.9 2.0 0.8 0.8 2019Q4 150.7 45.0 21.3 2.4 3.4 1.5 0.9 0.8 2020Q1 150.7 43.8 20.0 2.8 2.7 1.3 0.9 1.2 32 2020Q2 138.0 39.3 18.7 2.6 2.4 1.5 1.0 0.8 2020Q3 142.2 42.7 21.3 3.3 2.6 0.9 1.1 0.9 2020Q4 129.0 38.7 20.2 2.7 2.4 0.8 1.0 0.7 2021Q1 127.2 32.7 18.9 7.0 2.1 1.1 0.8 0.7 November 1, 2021 Analytics Office Table 39: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States China (Inc. Hong Kong) Japan India Brazil Russia 2019Q2 5,233 186 239 32 46 11 2019Q3 5,121 175 286 34 40 11 2019Q4 5,034 198 263 37 50 14 2020Q1 4,681 180 220 29 32 15 2020Q2 4,692 221 190 30 33 17 2020Q3 5,117 270 213 32 36 16 2020Q4 4,830 285 214 36 38 18 2021Q1 4,992 280 208 46 33 16 2020Q4 123.0 7.3 5.4 0.9 1.0 0.5 2021Q1 121.1 6.8 5.0 1.1 0.8 0.4 Table 40: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States China (Inc. Hong Kong) Japan India Brazil Russia 2019Q2 148.3 5.3 6.8 0.9 1.3 0.3 2019Q3 147.9 5.1 8.3 1.0 1.2 0.3 2019Q4 141.3 5.6 7.4 1.0 1.4 0.4 33 2020Q1 143.9 5.5 6.8 0.9 1.0 0.5 2020Q2 131.8 6.2 5.3 0.8 0.9 0.5 2020Q3 135.3 7.2 5.6 0.9 1.0 0.4 November 1, 2021 VIII A Analytics Office Qualifying Hedge Fund Specific Information Economic Leverage Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. -0 3 202 1 1-0 202 1.0 1.1 1.7 3.2 7.0 3.4 202 1 1-0 202 1.0 1.1 1.7 3.1 7.1 3.3 -03 1-0 202 2 1-0 202 1.0 1.1 1.7 3.0 6.5 3.2 2 202 0 -1 2 202 1 0-1 1.0 1.2 1.8 3.3 7.2 3.5 1 202 0 -1 1 1.0 1.2 1.7 3.3 7.2 3.5 202 0-1 0-0 202 1.0 1.1 1.7 2.9 6.4 3.1 202 0-0 202 1.0 1.2 1.7 3.0 6.6 3.3 1 202 0-1 0 1.0 1.2 1.8 3.1 6.5 3.3 8 7 202 0-0 6 0-0 1.0 1.1 1.7 2.9 5.9 3.1 0-1 2 202 0-0 9 1.0 1.2 1.8 3.1 6.2 3.3 202 0-0 0-0 202 0-0 1.0 1.2 1.8 3.1 6.1 3.3 202 3 2 0-0 202 34 1.0 1.1 1.7 2.9 5.7 3.1 0 202 0-0 8 1.0 1.2 1.9 3.7 10.7 5.1 9 202 1.1 1.3 2.0 4.1 11.1 5.6 1.1 1.3 1.9 3.8 8.5 4.1 7 202 0 -0 6 1.1 1.3 2.0 4.0 11.1 5.5 0-0 202 0 -0 5 1.1 1.3 2.0 3.9 10.3 5.2 5 1.1 1.4 2.1 4.3 11.4 6.1 4 1.1 1.4 2.1 4.4 11.7 6.0 202 0 -0 3 202 0-0 4 1.1 1.3 2.0 3.8 9.6 5.1 202 1.1 1.4 2.0 4.3 10.2 5.6 1.1 1.3 2.0 3.7 8.3 4.1 202 0-0 2 1.1 1.4 2.1 4.2 10.3 5.7 0-0 1 1.0 1.3 2.0 3.8 9.5 5.0 202 2 2 1.0 1.1 1.8 3.4 7.2 3.6 1.1 1.4 2.1 4.2 10.3 5.7 0-0 1 201 9-1 1.0 1.2 1.9 3.8 8.1 4.1 1.2 1.2 1.1 1.1 1.5 1.5 1.3 1.4 2.3 2.3 2.0 2.1 4.8 4.8 3.9 4.2 12.6 12.8 8.8 10.4 6.8 7.1 5.2 5.6 Excluding IRDs 202 1 201 9-1 9-1 1 1.0 1.2 1.9 3.9 8.0 4.1 201 9-1 0 201 9-1 1.0 1.1 1.8 3.4 7.4 3.6 201 9 9-0 9 201 9-0 1.0 1.2 1.9 3.6 7.8 4.0 201 9-0 7 1.0 1.2 1.9 3.5 8.0 3.9 201 6 9-0 9-0 201 201 1.0 1.1 1.8 3.4 7.2 3.6 -10 1.1 1.3 2.0 4.3 11.2 5.8 1.0 1.2 1.8 3.6 7.6 3.8 9 201 1.1 1.5 2.3 4.8 12.6 7.1 1.0 1.2 1.8 3.6 7.6 3.9 8 201 1.1 1.5 2.3 5.0 12.6 6.9 9-0 201 9-0 1.0 1.4 2.1 4.6 11.1 6.1 8 1.1 1.4 2.2 4.9 12.4 7.2 201 9-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 6 1.1 1.4 2.2 4.7 12.8 7.7 9-0 7 201 1.1 1.4 2.2 4.4 11.1 6.3 5 201 9-0 4 201 1.1 1.5 2.2 4.8 12.9 7.5 9-0 201 1.1 1.4 2.2 4.6 12.1 7.0 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 9-0 5 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.6 3.0 6.6 3.1 November 1, 2021 Analytics Office Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 9, 10, 26, and 30. 35 2 3 1-0 202 1 -0 0.0 0.1 0.5 1.3 3.4 1.4 0.0 0.1 0.5 1.4 3.4 1.4 0.0 0.1 0.4 1.3 3.3 1.4 -03 -03 2 2 0.0 0.2 0.6 1.7 5.4 2.6 1.0 1.0 1.3 2.1 3.9 2.1 0.0 0.2 0.6 1.7 5.2 2.4 202 1-0 3 2 0.0 0.2 0.6 1.7 5.3 2.5 202 1 1-0 1-0 0.0 0.2 0.6 1.5 5.1 2.3 1.0 1.1 1.5 2.5 5.6 3.2 202 1 1 1-0 202 1 1-0 202 1-0 1 1.0 1.1 1.4 2.2 4.1 2.2 202 2 202 202 1.0 1.1 1.4 2.1 4.3 2.2 202 202 0-1 2 1.0 1.1 1.5 2.6 6.3 3.5 202 1-0 0.0 0.2 0.5 1.3 3.5 1.5 1.0 1.1 1.5 2.6 6.6 3.4 202 1-0 1 0.0 0.2 0.5 1.3 3.4 1.4 0.0 0.1 0.4 1.1 3.1 1.3 0-1 0-1 1 202 0-1 2 1 0.1 0.2 0.6 1.8 5.6 2.7 202 0-1 0.1 0.2 0.6 1.7 5.4 2.5 1.0 1.1 1.4 2.1 4.1 2.2 202 -10 202 0-1 1 0 0-1 1.0 1.1 1.4 2.3 4.3 2.3 202 202 1.0 1.1 1.4 2.2 4.3 2.3 202 1.0 1.1 1.5 2.5 6.0 3.2 0-1 0 0-0 9 1.0 1.2 1.6 2.7 6.8 3.7 202 9 0-0 202 8 1.0 1.1 1.5 2.7 6.9 3.6 0.0 0.2 0.6 1.5 4.6 2.1 202 8 0.0 0.1 0.5 1.2 3.4 1.4 202 0 202 9 0-0 202 8 0-0 1.0 1.1 1.4 2.1 3.9 2.1 0-0 0.0 0.2 0.6 1.7 4.9 2.3 0-0 7 0-0 8 202 0-0 7 202 0-0 7 1.0 1.1 1.5 2.5 5.6 3.3 202 0-0 -07 0.0 0.2 0.5 1.2 3.2 1.4 1.0 1.1 1.4 2.1 4.1 2.2 202 6 202 6 202 202 6 0-0 0.0 0.1 0.4 1.2 2.9 1.3 0.0 0.2 0.6 1.7 4.8 2.3 202 0 0-0 202 5 0.0 0.2 0.6 1.5 4.5 2.1 202 0.0 0.2 0.5 1.2 2.8 1.4 1.0 1.1 1.4 2.2 4.1 2.2 6 0-0 5 0-0 0-0 1.0 1.1 1.4 2.1 3.7 2.1 1.0 1.2 1.6 2.7 6.1 3.5 0-1 2 0.0 0.2 0.5 1.2 2.8 1.4 1.0 1.2 1.6 2.8 6.1 3.5 202 0-1 1 0.0 0.1 0.5 1.2 2.6 1.4 202 0-0 4 0-0 3 2 1 0-0 202 0.0 0.2 0.5 1.7 4.4 1.9 202 0-0 5 0-0 5 0-0 202 0-0 4 3 202 0-0 2 -01 0-0 202 202 202 0-0 0.0 0.1 0.5 1.6 4.1 1.8 202 4 0-0 202 202 0-0 3 2 -01 0-0 202 202 9-1 2 202 0 202 0 9-1 2 0.0 0.1 0.5 1.5 3.4 1.6 202 9-1 2 0.0 0.0 0.0 0.0 0.1 0.0 0.2 0.2 0.2 0.2 0.2 0.2 0.6 0.7 0.7 0.6 0.6 0.6 1.8 2.1 2.1 1.6 1.7 1.7 5.5 6.4 7.3 4.2 5.0 5.1 2.7 3.0 3.3 2.4 2.4 2.5 Short Exposure Excluding IRDs 1.0 1.1 1.5 2.5 5.5 3.2 202 4 0-0 202 202 3 2 0-0 0-0 202 -12 0-0 1 202 202 201 9 201 1.0 1.1 1.1 1.0 1.0 1.0 1.1 1.2 1.2 1.1 1.1 1.1 1.4 1.6 1.6 1.4 1.4 1.4 2.3 2.6 2.5 2.1 2.1 2.2 4.5 5.1 5.1 3.6 3.7 3.7 2.4 2.7 2.7 2.1 2.2 2.2 Short Exposure Including IRDs 201 -11 0.0 0.2 0.5 1.5 3.9 1.7 1.0 1.1 1.1 1.0 1.0 1.0 1.2 1.3 1.3 1.1 1.2 1.2 1.6 1.7 1.7 1.6 1.6 1.6 2.8 3.0 2.9 2.5 2.6 2.7 6.3 7.0 7.2 5.0 6.3 6.2 3.5 4.1 4.3 3.2 3.4 3.5 Long Exposure Excluding IRDs 201 9-1 1 9-1 1 0.0 0.3 0.7 2.0 6.1 3.2 9-1 1 9-1 0 -09 201 9 201 -10 0.0 0.2 0.5 1.6 3.8 1.8 1.0 1.1 1.5 2.5 5.0 2.6 201 -10 -10 0.1 0.3 0.7 2.0 5.9 3.1 1.0 1.2 1.6 3.0 7.2 4.1 201 201 201 9 201 9 9-0 9 9-0 9 0.0 0.2 0.5 1.5 3.7 1.6 1.0 1.1 1.5 2.5 5.0 2.6 201 9 201 201 0.0 0.2 0.6 1.9 5.5 2.8 1.0 1.2 1.7 3.0 7.6 4.1 202 0-1 0 0.0 0.2 0.5 1.5 3.6 1.7 1.0 1.0 1.4 2.4 4.6 2.4 201 9-0 8 9-0 8 0.0 0.2 0.7 1.9 5.7 3.2 9-0 9 201 9 -08 201 9 9-0 8 201 -07 0.0 0.2 0.6 1.5 3.7 1.7 1.0 1.1 1.5 2.5 4.9 2.5 201 -07 9-0 6 0.0 0.2 0.5 1.5 3.4 1.7 7 0.0 0.2 0.7 2.0 5.8 3.4 1.0 1.1 1.6 2.8 6.8 3.6 201 6 9-0 7 201 9-0 9-0 6 9-0 6 201 9 201 0.1 0.2 0.7 1.9 5.0 2.9 201 9-0 5 9-0 0.0 0.2 0.6 1.6 3.6 1.7 1.0 1.1 1.5 2.4 5.1 2.5 1.0 1.2 1.6 2.9 7.6 4.3 0-0 9 0.0 0.2 0.5 1.6 3.6 1.8 201 9-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.2 1.6 2.9 7.8 4.4 201 9 5 0.1 0.3 0.7 2.0 6.1 3.1 201 5 5 201 9-0 9-0 201 0.0 0.3 0.7 2.1 5.8 3.2 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.4 2.3 4.2 2.3 201 1.0 1.1 1.4 2.3 4.6 2.4 1.0 1.2 1.6 2.7 6.3 3.8 201 9-0 9-0 9-0 9-0 201 1.0 1.1 1.4 2.3 4.6 2.4 1.0 1.2 1.6 2.8 6.9 4.3 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.6 2.8 6.6 4.1 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 4 Long Exposure Including IRDs 0.0 0.1 0.4 1.3 3.3 1.3 November 1, 2021 B Analytics Office Gross Exposure by Strategy5 Table 41: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2019Q2 1,627 867 392 363 5 1,073 1,054 774 59 134 69 18 752 666 *** 37 *** 314 246 68 337 165 86 86 191 *** *** 41 5,389 2019Q3 1,600 833 404 360 4 1,082 1,021 723 57 159 64 19 707 629 *** 33 *** 305 234 71 308 160 78 71 191 *** *** 48 5,263 2019Q4 1,698 880 443 371 3 1,120 1,030 714 60 177 61 18 664 578 44 38 5 315 233 82 311 163 79 69 192 *** *** 48 5,378 2020Q1 1,370 713 373 *** *** 1,093 1,106 836 55 129 53 32 643 576 36 27 4 327 240 87 271 140 65 65 159 157 1 50 5,017 2020Q2 1,619 867 443 307 1 1,111 983 700 80 116 62 26 640 572 *** 24 *** 358 265 93 281 159 64 59 126 *** *** 42 5,159 2020Q3 1,730 957 485 *** *** 1,112 1,023 689 101 135 72 26 796 724 40 27 4 370 272 98 307 162 71 74 149 145 4 43 5,529 2020Q4 1,952 1,090 548 *** *** 1,173 997 676 121 112 56 32 745 680 30 30 4 393 295 98 366 169 96 101 164 *** *** 43 5,832 2021Q1 1,987 1,114 574 *** *** 1,233 981 647 129 103 58 43 736 666 *** 33 *** 414 315 98 408 180 116 111 169 *** *** 51 5,977 5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20. 36 November 1, 2021 Analytics Office Table 42: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Credit Event Driven Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Conv. Arb. F.I. Asset Backed F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Long/Short Asset Based Lending Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Quantitative Fundamental Subtotal Total 2019Q2 51.5 27.4 12.4 11.5 0.1 33.9 33.3 24.5 1.9 4.2 2.2 0.6 23.8 21.1 *** 1.2 *** 9.9 7.8 2.1 10.7 5.2 2.7 2.7 6.0 *** *** 1.3 170.5 2019Q3 50.5 26.3 12.7 11.3 0.1 34.1 32.2 22.8 1.8 5.0 2.0 0.6 22.3 19.8 *** 1.0 *** 9.6 7.4 2.2 9.7 5.0 2.5 2.2 6.0 *** *** 1.5 166.1 37 2019Q4 52.7 27.3 13.8 11.5 0.1 34.8 32.0 22.2 1.9 5.5 1.9 0.6 20.6 18.0 1.4 1.2 0.2 9.8 7.2 2.5 9.7 5.1 2.5 2.1 6.0 *** *** 1.5 167.1 2020Q1 47.2 24.6 12.9 *** *** 37.7 38.1 28.8 1.9 4.5 1.8 1.1 22.2 19.9 1.2 0.9 0.1 11.3 8.3 3.0 9.3 4.8 2.3 2.2 5.5 5.4 0.1 1.7 173.0 2020Q2 50.7 27.1 13.9 9.6 0.0 34.8 30.8 21.9 2.5 3.6 1.9 0.8 20.0 17.9 *** 0.8 *** 11.2 8.3 2.9 8.8 5.0 2.0 1.8 3.9 *** *** 1.3 161.5 2020Q3 51.2 28.3 14.4 *** *** 32.9 30.3 20.4 3.0 4.0 2.1 0.8 23.5 21.4 1.2 0.8 0.1 11.0 8.0 2.9 9.1 4.8 2.1 2.2 4.4 4.3 0.1 1.3 163.6 2020Q4 55.0 30.7 15.4 *** *** 33.0 28.1 19.0 3.4 3.2 1.6 0.9 21.0 19.1 0.8 0.9 0.1 11.1 8.3 2.7 10.3 4.8 2.7 2.8 4.6 *** *** 1.2 164.2 2021Q1 53.4 30.0 15.4 *** *** 33.1 26.4 17.4 3.5 2.8 1.6 1.2 19.8 17.9 *** 0.9 *** 11.1 8.5 2.6 11.0 4.8 3.1 3.0 4.5 *** *** 1.4 160.7 November 1, 2021 C Analytics Office Leverage by Strategy Table 43: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Equity Credit Managed Futures/CTA Event Driven Other Investment in other funds 2019Q2 6.0 4.5 2.5 1.6 1.5 1.4 1.3 1.8 1.2 2019Q3 5.7 4.1 1.9 1.6 1.5 1.5 1.3 1.6 3.9 2019Q4 5.6 4.2 2.3 1.6 1.6 1.4 1.3 1.7 1.2 2020Q1 6.3 4.3 2.3 1.5 1.7 1.4 1.4 1.7 1.2 2020Q2 5.0 3.6 2.0 1.6 1.6 1.4 1.4 1.6 1.3 2020Q3 4.8 4.5 2.5 1.6 1.5 1.5 1.3 1.5 1.3 2020Q4 5.7 4.4 3.0 1.6 1.5 1.5 1.3 1.5 1.2 2021Q1 5.6 4.3 3.1 1.5 1.5 1.5 1.4 1.4 1.2 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 Other Credit Equity Event Driven Investment in other funds 2019Q2 29.1 24.0 19.9 9.8 4.7 2.6 3.2 2.0 2.4 2019Q3 25.5 23.0 19.8 10.1 4.3 2.4 3.2 1.9 10.3 2019Q4 27.2 24.2 18.5 11.5 4.3 2.8 3.0 1.9 1.9 2020Q1 26.4 25.5 14.6 10.3 4.6 3.1 2.6 1.9 1.8 2020Q2 19.8 22.5 17.4 9.4 4.1 2.8 2.9 1.8 2.0 2020Q3 32.4 19.6 20.9 10.3 3.4 2.8 2.8 1.8 2.0 2020Q4 32.8 23.6 19.7 12.4 3.2 2.8 2.7 1.9 2.1 2021Q1 37.1 24.9 19.2 14.6 3.1 3.0 2.8 2.0 1.9 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 Multi-Strategy Relative Value Other Credit Equity Event Driven Investment in other funds 2019Q2 38.8 48.5 25.7 18.6 18.8 6.8 9.6 7.2 5.8 2019Q3 37.7 45.2 22.3 22.5 17.1 7.1 10.8 10.0 13.0 2019Q4 39.8 43.4 22.7 22.6 14.9 7.7 9.4 10.4 6.6 38 2020Q1 43.2 58.6 25.0 26.3 16.1 8.3 15.3 12.3 4.7 2020Q2 40.2 46.1 28.5 24.0 16.2 7.4 10.5 10.0 5.1 2020Q3 38.3 47.7 30.1 26.2 13.4 7.9 8.3 8.0 6.0 2020Q4 40.3 40.4 26.4 25.7 12.4 9.7 7.9 8.5 7.2 2021Q1 42.0 38.7 24.9 21.9 12.5 9.4 8.0 7.5 1.1 November 1, 2021 D Analytics Office Investment Exposures Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Non-Financial Unlisted Equities Commodity Derivatives Financial Listed Equities Sovereign Bonds - Other Non-Financial Corporate Bonds Leveraged Loans Other Derivatives Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Non-Financial Convertible Bonds MBS Cash/Cash Equivalents - MMFs Other Private Funds Physical Real Estate Other Loans (Excluding Repo) Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q2 6,707 2,496 2,101 1,936 2,188 1,165 1,275 717 448 232 279 280 277 236 152 274 178 194 79 222 154 125 97 107 92 120 64 48 42 44 21 21 27 11 10 2019Q3 6,029 3,120 1,995 1,869 2,112 1,310 1,123 682 448 236 282 272 270 224 157 214 183 202 86 264 161 121 107 99 98 111 69 47 45 43 26 20 25 10 3 2019Q4 5,662 2,932 2,123 1,898 2,180 1,433 1,187 651 445 268 313 292 286 221 166 403 182 205 90 295 171 123 106 107 106 96 66 49 43 42 24 20 13 10 3 39 2020Q1 5,568 3,176 1,547 1,986 1,941 1,128 923 533 468 238 205 195 229 201 168 229 151 212 86 207 209 113 102 100 82 103 63 41 36 31 22 20 11 8 2 2020Q2 5,225 2,829 1,937 1,772 1,754 1,117 952 485 393 255 234 236 269 244 181 197 187 190 117 236 186 114 99 109 89 100 66 41 35 35 22 20 22 9 3 2020Q3 6,285 3,154 2,134 2,031 1,723 1,146 1,143 531 373 288 272 242 342 243 197 228 174 190 140 243 169 122 100 117 86 85 68 43 39 35 24 19 19 8 4 2020Q4 6,147 3,177 2,484 1,875 1,574 1,248 1,260 582 391 317 304 270 321 217 202 226 170 184 174 205 168 133 112 115 92 89 66 42 42 33 26 19 16 8 7 2021Q1 6,666 3,698 2,537 1,825 1,638 1,571 1,278 729 482 385 328 312 272 234 223 211 201 196 182 174 173 145 120 118 97 95 65 43 39 35 27 18 16 9 4 November 1, 2021 Analytics Office Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Interest Rate Derivatives Foreign Exchange Derivatives Non-Financial Listed Equities Repurchase Agreements U.S. Treasury Securities Non-Financial Equity Derivatives Sovereign Bonds - Non-U.S. G10 Credit Derivatives Cash/Cash Equivalents - Other Non-Financial Unlisted Equities Commodity Derivatives Financial Listed Equities Sovereign Bonds - Other Non-Financial Corporate Bonds Leveraged Loans Other Derivatives Non-U.S. Currency Holdings Cash/Cash Equivalents - Deposits Non-Financial Convertible Bonds MBS Cash/Cash Equivalents - MMFs Other Private Funds Physical Real Estate Other Loans (Excluding Repo) Financial Equity Derivatives Other Financial Corporate Bonds Other ABS/Structured Products U.S. Agency and GSE Securities CDO/CLO Financial Unlisted Equities U.S. State and Local Bonds Registered Investment Companies Financial Convertible Bonds Physical Commodities 2019Q2 51.7 54.8 67.7 37.1 60.0 54.3 52.3 42.2 79.2 99.8 59.3 69.9 77.0 80.9 99.2 63.5 56.3 69.4 93.7 82.4 *** 99.8 *** 89.7 57.3 92.2 90.4 99.3 82.5 *** 99.8 99.3 97.7 95.7 99.0 2019Q3 49.7 59.4 67.8 35.1 61.2 54.4 55.2 45.2 81.2 99.8 58.8 68.9 78.0 81.0 99.5 56.2 58.3 64.0 92.6 82.6 *** 99.5 *** 89.5 55.5 96.1 91.6 99.3 79.9 *** 99.6 *** 98.0 96.0 97.7 2019Q4 47.8 58.3 68.7 35.9 60.6 57.8 54.4 49.7 81.6 99.9 64.8 68.7 75.5 82.1 99.5 41.5 52.9 61.0 94.5 81.6 98.9 99.8 *** 90.4 55.3 96.3 92.0 99.3 75.4 *** 99.4 99.5 97.3 95.8 *** 40 2020Q1 47.9 57.8 69.9 37.1 61.1 50.9 54.5 43.5 78.5 99.9 61.2 69.8 77.4 86.9 99.5 40.9 57.1 73.8 93.5 85.9 *** 99.8 *** 88.2 54.7 94.3 92.7 99.7 87.8 *** 99.8 99.1 96.4 96.7 98.9 2020Q2 44.4 60.3 69.0 38.4 61.3 50.6 52.4 41.7 80.5 99.8 64.5 69.5 77.9 86.4 98.2 48.6 51.2 70.9 99.2 83.6 *** 99.7 *** 90.9 55.0 94.4 91.5 *** 86.7 *** 99.8 *** 92.5 96.8 98.8 2020Q3 52.4 58.4 69.8 38.0 62.3 51.1 51.9 42.4 79.4 99.1 68.8 70.3 75.4 85.4 99.4 65.0 48.9 72.3 98.7 82.0 *** 99.7 *** 91.0 55.2 95.0 91.5 99.5 85.0 *** 99.9 *** 97.2 97.1 99.1 2020Q4 51.4 58.6 70.7 38.4 60.9 50.8 49.7 45.2 77.1 99.8 70.4 73.4 75.9 84.7 99.5 42.5 55.1 73.9 98.4 80.2 *** *** *** 88.8 57.8 94.9 90.0 99.8 78.5 *** 99.8 98.4 *** 97.4 99.2 2021Q1 49.6 58.7 71.0 45.2 55.1 57.1 48.5 46.8 72.5 99.7 68.6 72.5 75.7 82.2 98.3 43.9 53.2 72.9 97.9 81.8 *** *** *** 93.5 59.8 94.6 89.7 94.3 72.5 *** 99.7 98.3 *** 97.4 *** November 1, 2021 E Analytics Office Number of Positions Figure 12: Number of Positions Reported by Qualifying Hedge Funds 202 0-1 1 202 202 1 -0 202 202 1-0 3 1-0 2 202 0 -1 0 1 202 0 -1 2 202 9 202 0 -0 7 17 59 190 668 2,009 2,278 17 58 187 676 2,000 2,289 16 54 179 618 1,873 2,197 16 55 190 677 2,031 2,321 16 55 189 688 2,120 2,341 15 54 177 638 1,941 2,267 16 55 182 622 1,996 2,334 16 56 176 628 2,014 2,349 15 53 167 573 1,839 2,222 15 52 164 569 1,879 2,223 14 52 165 585 1,927 2,242 14 51 158 570 1,867 2,152 0-0 202 16 57 178 612 1,886 2,202 0-0 0 -0 8 0-0 202 14 59 184 666 2,158 2,327 9-0 6 202 0-0 4 14 60 180 655 2,148 2,252 41 5 202 202 0-0 3 0-0 202 14 59 174 575 1,998 2,131 9-0 2 201 15 64 187 655 2,127 2,225 0-0 201 15 66 187 634 2,109 2,230 9-1 2 201 16 60 179 619 2,035 2,129 9-1 1 201 9-0 18 65 192 679 2,237 2,219 9-1 0 -08 201 9 18 64 192 684 2,127 2,184 9 201 9-0 18 58 183 622 1,911 2,055 7 6 9-0 201 19 62 188 672 2,112 2,100 5 201 19 63 185 674 2,102 2,065 4 201 Month 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1 As reported on Form PF, Question 34. November 1, 2021 F Analytics Office Liquidity Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2019Q2 8.0 13.9 27.0 46.2 57.1 70.0 2019Q3 7.5 13.7 26.7 46.7 58.3 69.5 2019Q4 7.6 13.0 26.2 46.0 56.7 68.7 2020Q1 7.8 12.8 25.5 44.3 55.1 67.4 2020Q2 7.6 13.0 24.4 42.7 53.2 66.8 2020Q3 7.7 13.1 24.4 42.5 54.5 65.9 2020Q4 6.7 10.0 22.4 43.5 51.5 64.6 2021Q1 6.1 9.4 22.2 39.6 50.9 63.7 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 2019Q2 36.2 59.7 72.3 78.5 82.2 86.4 2019Q3 35.8 58.5 71.3 77.7 81.6 85.9 2019Q4 34.6 56.8 69.9 76.2 80.2 85.1 2020Q1 39.3 59.4 70.4 75.7 79.4 83.7 2020Q2 37.7 58.8 70.3 76.2 80.4 84.6 2020Q3 35.3 56.6 69.5 75.7 80.0 84.5 2020Q4 32.4 54.9 68.4 75.0 79.3 84.2 2021Q1 33.3 54.6 67.6 74.1 78.2 83.4 Figure 13: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2021 Statistic Port. Liquidity Inv. Liquidity At most 1 day 33.7 7.8 At most 7 days 54.6 11.6 At most 30 days 67.5 23.3 At most 90 days 74.0 40.1 At most 180 days 78.1 51.0 At most 365 days 83.1 64.4 Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Gated Suspended 2019Q2 2,424 1,512 42 40 16 2019Q3 2,410 1,487 45 42 18 2019Q4 2,413 1,546 47 42 15 2020Q1 2,147 1,381 47 47 22 42 2020Q2 2,359 1,514 54 56 18 2020Q3 2,484 1,601 61 50 15 2020Q4 2,605 1,726 73 64 20 2021Q1 2,702 1,801 89 76 19 November 1, 2021 Analytics Office Figure 14: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2019Q2 2.0 3.8 8.5 22.0 37.0 16.0 2019Q3 2.0 4.0 7.0 20.5 36.0 15.8 2019Q4 1.0 4.0 8.0 21.0 37.0 16.5 2020Q1 1.0 4.0 9.0 22.5 38.0 17.2 43 2020Q2 2.0 4.0 9.0 24.0 41.0 17.7 2020Q3 2.0 4.0 11.5 27.0 45.0 19.6 2020Q4 2.0 5.0 11.0 25.0 43.0 19.2 2021Q1 2.0 6.0 11.5 24.0 46.0 20.0 November 1, 2021 G Analytics Office Borrowings Table 51: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2019Q2 3,140 1,424 1,287 429 15 3,156 2019Q3 3,059 1,342 1,316 401 16 3,075 2019Q4 3,129 1,390 1,289 450 18 3,147 2020Q1 2,865 1,061 1,365 438 19 2,884 2020Q2 2,855 1,288 1,151 415 13 2,868 2020Q3 3,154 1,396 1,310 447 12 3,166 2020Q4 3,182 1,599 1,180 403 13 3,195 2021Q1 3,176 1,670 1,026 480 14 3,190 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 2019Q2 63.6 35.9 *** *** 2019Q3 63.6 35.8 *** *** 2019Q4 63.1 36.2 *** *** 2020Q1 61.2 38.0 0.6 0.1 2020Q2 63.5 35.8 *** *** 2020Q3 61.1 38.1 0.6 0.1 2020Q4 64.6 34.7 *** *** 2021Q1 65.3 34.0 0.6 0.1 Table 53: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2019Q2 1,792 1,214 578 1,354 803 550 494 324 169 3,639 2019Q3 1,690 1,147 543 1,370 835 535 482 339 143 3,542 2019Q4 1,751 1,212 539 1,304 799 506 498 344 154 3,553 44 2020Q1 1,405 952 453 1,464 874 590 510 351 159 3,379 2020Q2 1,703 1,174 529 1,191 770 421 486 344 142 3,380 2020Q3 1,843 1,281 562 1,346 907 439 513 379 134 3,701 2020Q4 2,117 1,500 617 1,262 862 400 497 389 108 3,876 2021Q1 2,191 1,530 661 1,062 727 335 594 434 159 3,847 November 1, 2021 Analytics Office Figure 15: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Question 43 (Third Month). 1.0 1.0 1.0 1.3 1.5 1.1 1.0 1.0 1.1 1.4 1.6 1.2 45 1.0 1.0 1.1 1.4 1.5 1.2 1.0 1.0 1.1 1.5 1.8 1.3 1.0 1.0 1.2 1.6 1.9 1.3 1.0 1.0 1.2 1.5 1.8 1.3 1.0 1.0 1.2 1.5 1.9 1.3 1.0 1.0 1.2 1.6 1.9 1.3 1.0 1.0 1.2 1.6 2.0 1.4 1.0 1.0 1.2 1.5 2.0 1.3 -0 3 202 1 -0 3 0.9 1.0 1.4 2.6 7.7 6.0 -03 2 2 2 1-0 202 1.0 1.0 1.1 1.5 2.1 1.3 202 1 1-0 1-0 1 0.9 1.0 1.3 2.6 6.3 5.6 0.9 1.0 1.4 2.5 6.0 4.7 202 1 1-0 1 1-0 202 202 0.9 1.0 1.3 2.7 8.1 7.9 202 0-1 202 1 0-1 202 0-1 0-0 202 8 0-0 202 1.0 1.0 1.2 1.5 1.8 1.3 202 202 0-0 0-0 202 1.0 1.0 1.2 1.6 1.8 1.3 202 202 0 -1 2 0.9 1.0 1.3 2.7 8.9 6.6 1 202 0 -1 1 0.9 1.0 1.3 2.6 8.7 8.7 1-0 202 0 -1 2 202 0-1 0 1.0 1.0 1.4 2.7 7.7 5.4 0.9 1.0 1.4 2.4 5.5 4.4 202 202 0 -1 1 202 0-0 9 0.9 1.0 1.3 2.7 7.4 6.8 0.8 1.0 1.4 2.5 6.3 5.0 2 202 0-1 0 202 0-0 8 0.9 1.0 1.3 2.7 7.1 4.2 0.9 1.0 1.4 2.8 6.0 4.1 0 202 0-0 9 0.9 1.0 1.4 2.5 6.7 4.2 9 0.8 1.0 1.4 2.3 6.6 4.7 7 7 0.9 1.0 1.4 2.4 7.0 3.9 0-0 202 0-0 8 0.9 1.0 1.3 2.3 6.6 3.7 6 0-0 202 5 0-0 4 0-0 1.0 1.0 1.2 1.5 1.7 1.3 202 202 202 0-0 3 2 0-0 202 1.0 1.0 1.1 1.3 1.6 1.2 0.9 1.0 1.3 2.4 5.9 3.3 202 202 0 -0 6 202 0 -0 5 202 0-0 4 0 -0 3 202 202 0-0 2 2 0-0 1 202 -01 9-1 2 202 0 201 1.0 1.0 1.1 1.3 1.5 1.1 0.9 1.0 1.4 2.4 5.7 3.7 7 202 0 -0 6 202 0 -0 5 0 -0 3 202 0-0 4 202 202 0-0 2 2 0-0 1 202 201 9-1 1 1 201 9-1 0.9 0.9 1.0 0.9 *** 1.0 *** 0.9 1.0 1.0 1.0 1.0 *** 1.0 *** 1.0 1.4 1.4 1.4 1.4 *** 1.4 *** 1.4 2.6 2.7 2.7 2.7 *** 2.5 *** 2.7 9.2 8.6 7.2 6.7 *** 7.3 *** 6.2 6.6 5.5 7.9 5.2 *** 4.0 *** 4.2 Ratio of Collateral/Reverse Repo Borrowing 9-1 1 1.0 1.0 1.1 1.3 1.6 1.1 201 9-1 9-1 0 *** *** *** *** *** *** 201 9-1 9-1 0 201 9 -10 0.9 1.0 1.4 2.6 6.4 5.6 0.9 0.9 0.9 0.9 0.9 1.0 0.9 0.9 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.3 1.3 1.3 1.3 1.3 1.4 1.4 2.1 2.2 2.3 2.3 2.2 2.2 2.2 2.5 5.5 6.2 5.8 5.6 5.2 5.5 5.4 5.7 3.7 4.1 4.4 4.0 2.9 3.0 3.4 4.3 Ratio of Collateral/Prime Broker Borrowing 201 201 9 9 0.9 1.0 1.3 2.6 7.4 4.9 0.9 1.0 1.3 2.2 4.8 3.1 201 9-0 201 9-0 201 8 1.0 1.0 1.0 1.3 1.6 1.1 0.9 1.0 1.3 2.2 4.9 3.4 9-0 9 9-0 8 -07 *** *** *** *** *** *** *** *** *** *** *** *** 201 0.9 1.0 1.4 2.5 6.8 4.7 8 201 9-0 201 9-0 9-0 7 201 9-0 7 201 6 1.0 1.0 1.1 1.3 1.5 1.1 0.8 1.0 1.3 2.2 4.8 3.3 201 9 9-0 6 201 5 1.0 1.0 1.0 1.3 1.4 1.1 6 201 9-0 201 9-0 9-0 5 5 9-0 201 0.9 1.0 1.4 2.6 6.0 6.8 0.8 1.0 1.3 2.1 5.1 3.8 201 1.0 1.0 1.0 1.3 1.4 1.1 0.9 1.0 1.3 2.5 5.2 3.8 9-0 9-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.3 2.2 5.0 3.3 201 201 9 0.9 1.0 1.4 2.5 6.4 6.8 4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.2 2.1 4.8 2.9 201 0.8 1.0 1.3 2.2 5.2 3.9 -04 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 9 -04 Ratio of Total Collateral/Total Secured Borrowing 1.0 1.0 1.2 1.5 2.1 1.3 November 1, 2021 Analytics Office Table 54: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2019Q2 34.5 51.1 67.9 83.4 95.4 96.5 2019Q3 39.8 54.2 68.8 82.6 95.1 96.2 2019Q4 29.2 48.1 67.2 82.6 94.9 96.0 2020Q1 37.2 50.6 69.9 83.8 94.3 95.3 2020Q2 39.4 50.9 66.5 81.1 94.5 95.9 2020Q3 39.2 51.4 67.4 80.8 94.7 96.0 2020Q4 27.9 44.7 65.3 79.2 94.9 96.0 2021Q1 38.0 45.7 65.1 78.6 94.4 95.5 Figure 16: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of First Calendar Quarter 2021. Statistic Financing Liquidity H At most 1 day 38.0 At most 7 days 48.3 At most 30 days 65.0 At most 90 days 77.0 At most 180 days 94.5 At most 365 days 95.8 Central Clearing Figure 17: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2019Q2 15.8 16.4 2019Q3 16.3 16.9 2019Q4 16.2 16.6 2020Q1 16.3 17.1 46 2020Q2 15.3 16.8 2020Q3 14.9 16.1 2020Q4 14.2 14.5 2021Q1 13.8 13.6 November 1, 2021 I Analytics Office Value-at-Risk (“VaR”) Reporting Table 55: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 2019Q2 657 303 165 183 46 1,115 2019Q3 660 312 167 177 45 1,130 2019Q4 665 315 174 176 43 1,143 2020Q1 661 309 176 172 48 1,151 2020Q2 656 309 169 174 46 1,144 2020Q3 619 283 167 168 43 1,147 2020Q4 604 276 168 155 43 1,175 2021Q1 587 266 171 151 45 1,258 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 2019Q2 3,981 2,197 700 807 851 2,709 2019Q3 3,872 2,052 709 805 868 2,717 2019Q4 3,894 2,039 736 774 913 2,753 2020Q1 3,743 1,940 704 713 868 2,517 2020Q2 3,640 1,819 804 717 807 2,694 2020Q3 3,867 1,953 836 744 845 2,877 2020Q4 3,832 1,984 883 605 898 3,182 2021Q1 3,727 1,938 871 604 846 3,385 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 2019Q2 1,379 557 332 472 131 1,783 2019Q3 1,367 559 334 450 135 1,802 2019Q4 1,363 557 351 441 121 1,856 47 2020Q1 1,219 504 318 372 131 1,681 2020Q2 1,318 544 341 410 140 1,877 2020Q3 1,357 560 351 421 147 2,023 2020Q4 1,328 574 361 363 145 2,225 2021Q1 1,337 580 368 360 156 2,381 November 1, 2021 J Analytics Office Stress Testing and VaR Table 58: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2019Q2 579 463 78 652 2019Q3 591 459 69 671 2019Q4 588 448 77 695 2020Q1 592 428 69 723 2020Q2 589 433 67 711 2020Q3 559 430 60 717 2020Q4 546 400 58 775 2021Q1 525 435 62 823 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 2019Q2 3,758 1,380 223 1,329 2019Q3 3,691 1,330 181 1,387 2019Q4 3,705 1,299 188 1,455 2020Q1 3,553 1,148 190 1,369 2020Q2 3,287 1,237 353 1,457 2020Q3 3,641 1,302 226 1,575 2020Q4 3,470 1,383 362 1,799 2021Q1 3,463 1,435 263 1,950 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 2019Q2 1,240 740 139 1,043 2019Q3 1,254 740 114 1,062 2019Q4 1,239 741 124 1,116 2020Q1 1,108 651 111 1,030 48 2020Q2 1,178 732 140 1,145 2020Q3 1,226 781 130 1,242 2020Q4 1,172 819 156 1,406 2021Q1 1,187 846 150 1,535 November 1, 2021 K Analytics Office Stress Testing Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor As reported on Form PF, Question 42. Market Factor Equity Prices Currency Rates Risk Free Rates Credit Spreads Implied Volatilities Commodity Prices Bond Default Rates ABS Default Rates 2019Q2 880 753 756 668 559 491 286 237 2019Q3 891 774 761 676 576 499 285 243 2019Q4 873 768 745 658 549 476 266 225 2020Q1 858 757 733 647 529 453 256 205 2020Q2 853 753 740 645 528 467 266 218 2020Q3 827 721 708 623 511 450 258 214 2020Q4 787 681 657 577 466 404 229 188 2021Q1 779 700 659 567 455 389 241 202 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 2019Q2 4,418 4,081 4,468 3,687 3,666 3,389 1,144 997 2019Q3 4,330 3,968 4,344 3,620 3,585 3,282 1,043 897 2019Q4 4,348 3,971 4,290 3,644 3,528 3,267 984 871 2020Q1 4,097 3,781 4,089 3,502 3,294 3,164 937 832 2020Q2 3,833 3,576 3,828 3,107 3,053 2,806 876 762 2020Q3 4,355 3,969 4,177 3,557 3,445 3,319 914 789 2020Q4 4,342 3,863 4,008 3,458 3,168 3,132 872 738 2021Q1 4,380 3,890 4,128 3,479 3,218 3,172 882 752 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 2019Q2 1,757 1,536 1,514 1,337 1,126 1,120 424 369 2019Q3 1,778 1,554 1,527 1,352 1,149 1,122 426 376 2019Q4 1,758 1,536 1,492 1,327 1,117 1,083 392 347 49 2020Q1 1,549 1,373 1,332 1,170 991 968 339 294 2020Q2 1,688 1,480 1,429 1,257 1,062 1,041 396 348 2020Q3 1,782 1,554 1,479 1,320 1,131 1,098 403 358 2020Q4 1,761 1,503 1,398 1,234 1,030 1,001 376 329 2021Q1 1,808 1,535 1,490 1,253 1,058 1,019 387 340 November 1, 2021 Analytics Office Table 64: Number of Qualifying Hedge Funds Stressing Market Factors As reported on Form PF, Question 42. Factors Tested 0 1 2 3 4 5 6 7 8 2019Q2 730 179 115 115 88 122 201 68 154 2019Q3 740 179 117 100 99 121 202 77 155 2019Q4 772 181 118 95 103 131 200 73 135 2020Q1 792 182 115 94 105 124 211 74 115 2020Q2 778 183 112 107 98 119 197 75 131 2020Q3 777 183 110 98 98 108 189 75 128 2020Q4 833 178 118 98 101 113 162 68 108 2021Q1 885 202 117 90 103 117 149 61 121 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 2019Q2 1,552 386 590 364 256 788 1,812 184 759 2019Q3 1,568 397 570 338 272 746 1,825 222 649 2019Q4 1,643 416 544 339 254 776 1,838 243 595 2020Q1 1,560 365 475 290 262 763 1,759 203 584 2020Q2 1,810 414 493 431 251 740 1,435 250 511 2020Q3 1,801 424 510 336 240 841 1,785 260 547 2020Q4 2,161 466 528 315 287 849 1,637 275 497 2021Q1 2,213 414 596 302 292 831 1,690 263 511 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 2019Q2 1,182 259 206 196 149 274 552 109 235 2019Q3 1,176 260 205 187 163 265 550 127 235 2019Q4 1,240 269 212 189 158 271 556 122 202 2020Q1 1,141 240 191 170 141 237 493 119 168 50 2020Q2 1,285 267 214 199 138 254 497 123 218 2020Q3 1,372 278 230 208 144 266 533 126 222 2020Q4 1,562 308 264 229 142 273 450 127 198 2021Q1 1,685 272 307 217 162 282 467 120 207 November 1, 2021 IX A Analytics Office Section 3 Liquidity Fund Specific Information Liquidity Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2019Q2 75.8 96.0 99.6 99.9 100.0 100.0 2019Q3 75.0 95.9 99.7 99.8 99.9 100.0 2019Q4 73.1 95.6 99.7 99.8 99.9 99.9 2020Q1 75.1 95.8 99.7 99.9 99.9 100.0 2020Q2 72.7 95.0 99.1 99.5 99.9 100.0 2020Q3 72.2 95.2 99.1 99.5 99.9 99.9 2020Q4 72.1 94.7 98.6 99.3 99.7 100.0 2021Q1 71.4 93.4 98.0 98.8 99.4 99.9 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 2019Q3 272 245 0 0 2019Q4 268 241 0 0 2020Q1 268 239 0 0 2020Q2 274 251 0 0 2020Q3 296 273 0 0 2020Q4 294 270 0 0 2021Q1 271 247 0 0 Portfolio Characteristics Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 2 1-0 3 1 202 202 202 202 202 202 1-0 202 0-1 202 1-0 1 2 0 0-1 202 0-0 202 0-1 9 8 7 0-0 202 0-0 202 0-0 6 5 4 0-0 3 202 0-0 202 0-0 2 1 0-0 2 202 0-0 1 201 9-1 0 201 9-1 201 9-1 8 9 201 9-0 7 201 9-0 6 201 9-0 201 9-0 9-0 201 Statistic Average WAM Asset-Weighted WAM 201 9-0 4 5 As reported on Form PF, Questions 55. 28.6 35.5 30.7 38.7 28.4 36.6 28.2 36.7 30.9 43.7 29.5 45.4 31.3 47.9 32.1 46.2 26.1 38.2 30.2 38.3 30.8 42.1 28.1 42.0 30.5 41.4 31.6 39.4 32.1 40.9 31.7 42.5 30.8 40.9 31.4 42.2 30.6 42.6 30.4 43.8 31.4 43.6 32.0 46.9 32.6 46.8 30.8 45.1 Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days) 3 2 202 202 1-0 202 1-0 1 202 0-1 202 1-0 2 1 0 202 0-1 9 202 0-1 202 0-0 202 0-0 8 7 202 0-0 6 5 202 0-0 4 202 0-0 3 202 0-0 202 0-0 0-0 202 0-0 2 2 1 1 9-1 201 9-1 201 57.3 72.7 55.9 67.3 59.6 68.3 65.6 82.2 66.1 84.3 66.6 88.0 63.7 83.8 56.2 77.5 61.2 78.9 62.0 81.6 55.8 73.3 51.2 67.9 51.4 62.1 52.8 59.4 52.9 58.6 51.4 56.1 51.6 61.3 47.0 54.5 47.4 55.7 47.6 54.7 48.0 57.5 51.1 59.4 47.9 58.4 9-1 201 0 9 9-0 201 8 7 9-0 201 9-0 201 6 5 53.8 66.9 9-0 201 9-0 9-0 201 Statistic Average WAL Asset-Weighted WAL 201 4 As reported on Form PF, Questions 55. Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 1 0 3 0.19 0.23 1-0 0.20 0.20 202 0.23 0.24 2 0.28 0.30 1-0 0.30 0.32 202 0.46 0.44 2 0.77 0.56 1-0 1.55 1.60 0-1 1.56 1.63 202 1.51 1.67 1 1.54 1.69 0-1 1.73 1.85 202 1.90 1.97 0-1 2.01 2.07 202 2.17 2.25 202 9 0-0 202 8 0-0 202 7 0-0 6 202 0-0 202 0-0 202 5 4 0-0 202 3 202 2.23 2.30 51 0-0 2 0-0 202 0-0 1 2 202 9-1 201 1 9-1 201 0 9 2.24 2.32 9-0 201 9-1 8 9-0 201 7 201 9-0 201 6 9-0 5 2.28 2.35 9-0 201 Statistic Average Gross Yield Asset-Weighted Gross Yield 201 9-0 4 As reported on Form PF, Questions 55. 201 B 2019Q2 271 241 0 0 0.26 0.14 0.25 0.13 0.24 0.12 0.21 0.11 0.19 0.10 0.19 0.08 November 1, 2021 Analytics Office Figure 21: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 2 202 1-0 3 1 48.75 40.15 53.96 53.41 50.92 45.85 53.26 47.39 52.35 41.69 52.10 42.40 52.77 44.34 56.67 55.49 49.39 49.10 49.19 45.52 47.41 43.97 47.10 44.58 46.49 44.46 46.07 40.35 1-0 202 2 202 1-0 1 50.27 41.52 0-1 202 0 202 51.57 40.70 0-1 202 0-1 9 0-0 202 8 7 0-0 202 6 0-0 202 5 202 0-0 202 0-0 4 3 0-0 202 0-0 2 0-0 202 0-0 202 1 2 202 1 9-1 201 0 49.39 42.08 9-1 201 9 50.49 43.27 9-1 201 50.77 43.37 9-0 52.38 46.56 9-0 201 8 7 52.74 48.05 9-0 201 6 201 50.13 47.80 9-0 201 48.26 45.09 9-0 201 52.06 47.25 9-0 201 Statistic Average DLA Asset-Weighted DLA 5 4 As reported on Form PF, Questions 55. Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -03 2 202 1 1 202 1-0 2 202 1-0 1 61.02 54.99 62.29 57.59 65.08 64.02 58.39 59.74 58.12 56.72 58.56 59.53 61.99 57.08 61.42 59.16 59.94 57.24 0-1 202 0-1 0 61.23 54.75 0-1 202 62.03 57.91 0-0 202 61.97 58.59 0-0 202 66.02 64.82 0-0 202 9 8 7 6 202 5 202 0-0 4 61.50 52.67 0-0 202 62.90 52.67 52 0-0 3 0-0 202 2 0-0 202 1 62.81 51.20 0-0 202 2 9-1 202 1 201 60.90 52.29 9-1 201 0 9 62.30 54.60 9-1 62.33 54.30 9-0 201 8 63.52 56.93 9-0 201 7 63.90 58.97 9-0 201 6 201 62.64 58.40 9-0 201 62.16 55.83 9-0 201 64.70 56.42 9-0 201 Statistic Average WLA Asset-Weighted WLA 5 4 As reported on Form PF, Questions 55. November 1, 2021 C Analytics Office Rule 2a-7 Compliance Table 69: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity None Fully 2019Q2 62.8 58.1 58.1 53.5 37.2 48.8 2019Q3 63.4 58.5 58.5 53.7 36.6 48.8 2019Q4 64.3 59.5 59.5 54.8 35.7 50.0 2020Q1 62.5 57.5 57.5 52.5 37.5 47.5 2020Q2 63.6 59.1 59.1 54.5 36.4 50.0 2020Q3 63.0 58.7 58.7 54.3 37.0 50.0 2020Q4 55.8 51.9 51.9 48.1 44.2 44.2 2021Q1 54.7 50.9 50.9 47.2 45.3 43.4 Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Maturity Liquidity None Fully D 2019Q2 13.8 13.0 13.0 12.8 86.2 10.9 2019Q3 13.8 13.2 13.2 13.0 86.2 11.0 2019Q4 13.1 12.5 12.5 12.3 86.9 10.3 2020Q1 13.4 12.7 12.7 12.4 86.6 10.4 2020Q2 14.1 13.2 13.2 12.9 85.9 10.9 2020Q3 13.5 12.4 12.4 12.1 86.5 10.2 2020Q4 14.0 12.7 12.7 12.5 86.0 10.4 2021Q1 16.7 15.4 15.4 15.1 83.3 13.1 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 2019Q2 74.4 25.6 2019Q3 75.6 24.4 2019Q4 73.8 26.2 2020Q1 75.0 25.0 2020Q2 72.7 27.3 2020Q3 73.9 26.1 2020Q4 73.1 26.9 2021Q1 75.5 24.5 Table 72: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2019Q2 55.7 44.3 2019Q3 62.2 37.8 2019Q4 63.9 36.1 2020Q1 67.7 32.3 53 2020Q2 67.4 32.6 2020Q3 69.4 30.6 2020Q4 65.7 34.3 2021Q1 68.1 31.9 November 1, 2021 Aggregate Portfolio Holdings Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 3 55.3 68.3 42.3 38.7 46.8 16.2 9.6 1.9 0.7 60.0 63.2 41.2 39.2 45.9 15.5 7.9 1.8 0.7 42.4 78.2 43.6 35.9 43.7 17.0 8.7 1.8 0.7 41.1 75.4 48.3 32.0 44.7 16.5 8.7 2.0 0.7 86.1 56.9 31.8 29.6 46.1 12.9 9.1 2.3 0.9 0-0 0-0 202 2 1 202 49.8 62.2 43.0 40.5 51.7 16.9 10.0 1.9 0.7 0-0 202 -12 201 9 1 50.2 63.7 40.4 40.7 52.0 17.4 9.6 2.2 0.6 9-1 201 0 41.3 67.9 42.7 42.3 60.6 17.3 8.0 2.4 0.6 9-1 9 201 36.6 66.0 40.1 46.6 69.8 18.2 11.8 2.3 0.7 9-0 201 8 201 39.5 63.6 39.0 43.3 62.5 17.7 11.6 3.4 0.7 9-0 201 9-0 37.5 60.2 41.5 38.1 59.0 20.6 10.4 4.2 0.8 9-0 7 9-0 6 201 Product Type U.S. Treasuries Deposits Commercial Paper Other Repo - Govt. Collateral Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 5 201 40.9 59.5 39.5 40.2 58.0 19.7 12.7 3.2 0.8 9-0 201 4 As reported on Form PF, Question 63. Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2 202 97.2 58.6 43.4 33.8 27.7 18.2 18.3 1.9 0.9 89.5 64.8 44.1 35.4 25.8 18.8 17.9 1.6 0.9 91.9 54.9 47.4 36.3 23.9 21.1 13.3 1.4 1.1 1-0 0-1 0 0-1 0-0 0-0 54 3 202 104.1 49.5 36.0 37.6 39.0 19.2 17.9 1.8 0.9 1-0 202 2 202 103.1 58.0 35.2 36.0 31.7 18.0 19.9 1.9 0.8 1-0 202 107.3 55.1 33.1 31.6 33.0 15.8 17.0 1.7 0.9 1 202 108.5 50.9 39.3 29.7 42.3 17.9 16.5 2.2 1.3 0-1 202 101.2 51.9 41.7 31.0 44.4 19.2 15.8 1.9 1.4 1 202 102.1 58.9 36.8 38.6 35.0 19.6 15.5 2.3 1.5 9 202 108.4 51.8 35.8 35.7 30.7 18.8 14.4 2.4 1.3 8 202 0 107.0 56.2 33.4 29.3 28.1 19.7 12.0 2.3 1.1 0-0 7 202 0-0 5 101.2 62.2 37.5 26.9 25.2 18.6 9.9 2.9 1.0 -06 4 0-0 Product Type U.S. Treasuries Deposits Commercial Paper Other Repo - Govt. Collateral Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 2 As reported on Form PF, Question 63. 202 E Analytics Office November 1, 2021 Analytics Office X Section 4 Private Equity Fund Specific Information A CPC Industry Concentration Table 75: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Software Publishers Electric Power Generation,... Telecommunications Data Processing... Data Processing, Hosting, &... Other Financial Investment... Other Information Services Pharmaceutical & Medicine Mfg Oil & Gas Extraction Custom Computer Programming... All Other Professional,... Other Financial Vehicles Insurance Agencies & Brokerages Management, Scientific, &... Scientific Research & Development... Pipeline Transportation Educational Services Other Computer Related Services Activities Related to Credit... 2014Q4 3.8 3.8 2.5 2.3 1.8 2.1 1.3 7.8 1.0 0.6 0.4 1.0 1.2 0.9 2.6 1.3 0.4 1.2 2015Q4 4.9 3.7 2.7 1.8 1.8 1.9 1.5 5.8 1.5 0.6 0.6 1.0 1.1 1.0 2.4 1.3 0.5 1.4 55 2016Q4 6.1 4.1 2.3 2.0 1.7 1.8 1.4 6.7 1.5 0.9 1.8 1.2 1.3 0.7 2.2 1.2 0.9 1.0 2017Q4 6.0 4.2 2.2 2.3 1.4 2.0 1.5 6.2 1.5 0.8 1.6 1.1 1.6 1.0 1.9 1.4 0.9 1.2 2018Q4 8.0 4.5 2.4 3.5 2.1 1.7 2.4 4.9 1.8 1.4 1.3 1.0 1.4 1.0 1.8 1.2 1.0 1.3 2019Q4 10.6 4.3 2.6 4.2 2.1 1.9 2.0 3.6 2.1 1.4 1.2 1.1 1.6 1.7 1.7 1.1 0.8 1.4 2020Q4 9.7 4.8 3.7 3.6 2.8 2.5 2.1 1.9 1.9 1.9 1.8 1.5 1.4 1.3 1.3 1.3 1.2 1.2 November 1, 2021 B Analytics Office CPC Financial Leverage Figure 23: Ratio of Portfolio Company Current to Total Liabilities (Percent) As reported on Form PF, Questions 71 and 72. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2014Q4 0.6 1.4 5.3 17.9 50.0 16.2 2015Q4 0.7 1.7 6.0 20.0 49.9 16.7 2016Q4 0.8 1.9 6.9 20.7 54.3 17.5 2017Q4 0.8 2.1 7.3 21.5 51.8 17.7 2018Q4 0.7 1.5 6.0 17.8 49.3 15.4 2019Q4 0.7 1.3 5.2 16.8 48.7 15.5 2020Q4 0.7 1.4 5.9 18.2 46.8 16.0 Figure 24: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) As reported on Form PF, Questions 73. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2014Q4 1.0 3.0 8.0 22.0 40.0 16.8 2015Q4 2.0 4.0 9.0 22.0 48.0 18.3 2016Q4 2.0 4.0 9.0 22.0 48.0 18.6 56 2017Q4 1.0 3.0 8.0 17.0 42.0 16.5 2018Q4 1.0 3.0 9.0 22.2 56.0 19.5 2019Q4 2.0 4.0 11.0 27.0 61.0 21.8 2020Q4 2.0 4.0 11.0 32.0 65.0 23.1 November 1, 2021 C Analytics Office CPC Investments by Region and Country Table 76: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2014Q4 4,506 1,259 462 9 85 67 12 12 2015Q4 4,132 941 447 21 58 23 9 12 2016Q4 3,942 848 406 22 111 37 15 18 2017Q4 3,961 963 379 40 184 49 23 14 2018Q4 4,211 1,256 435 46 140 55 16 10 2019Q4 5,163 1,547 561 69 149 60 18 15 2020Q4 6,633 2,156 1,028 158 141 78 44 9 Table 77: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia Europe Other South America Supranational Middle East Africa 2014Q4 70.2 19.6 7.2 0.1 1.3 1.0 0.2 0.2 2015Q4 73.2 16.7 7.9 0.4 1.0 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 0.4 2.0 0.7 0.3 0.3 57 2017Q4 70.5 17.1 6.8 0.7 3.3 0.9 0.4 0.3 2018Q4 68.2 20.3 7.0 0.7 2.3 0.9 0.3 0.2 2019Q4 68.0 20.4 7.4 0.9 2.0 0.8 0.2 0.2 2020Q4 64.7 21.0 10.0 1.5 1.4 0.8 0.4 0.1 November 1, 2021 Analytics Office Table 78: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States Japan China and Hong Kong India Brazil Russia 2014Q4 4,305 98 186 83 58 2 2015Q4 3,943 85 173 89 41 5 2016Q4 3,776 79 114 92 88 4 2017Q4 3,794 52 147 73 131 4 2018Q4 4,015 52 154 104 96 2 2019Q4 4,803 78 149 128 93 1 2020Q4 6,243 283 235 229 78 1 2019Q4 63.3 1.0 2.0 1.7 1.2 0.0 2020Q4 60.9 2.8 2.3 2.2 0.8 0.0 Table 79: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States Japan China and Hong Kong India Brazil Russia 2014Q4 67.1 1.5 2.9 1.3 0.9 0.0 2015Q4 69.9 1.5 3.1 1.6 0.7 0.1 2016Q4 69.9 1.5 2.1 1.7 1.6 0.1 58 2017Q4 67.6 0.9 2.6 1.3 2.3 0.1 2018Q4 65.1 0.8 2.5 1.7 1.6 0.0 November 1, 2021 XI A Analytics Office Appendices Form PF Filer Categories The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1 All Private Fund Advisers SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers managing less than $150 million in private fund assets in the U.S. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 59 November 1, 2021 3 Analytics Office Large Liquidity Fund Advisers Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4 Large Private Equity Fund Advisers Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5 Other Private Fund Advisers All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis. 9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund. 60 November 1, 2021 B Analytics Office Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: ˆ (Q1): February 15 to May 14 ˆ (Q2): May 15 to August 14 ˆ (Q3): August 15 to November 14 ˆ (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While Analytics Office staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles. 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition. 61 November 1, 2021 D Analytics Office Definitions Included by reference are all definitions included in the glossary of Form PF. Aggregate Exposure A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets. Borrowing In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements). CPC Controlled portfolio company, as defined in Form PF. Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF. IRDs Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging. Large Hedge Fund Adviser An adviser that has at least $1.5 billion in hedge fund assets under management. 62 November 1, 2021 Analytics Office Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management. Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets under management. Parallel Managed Account An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the reporting fund. Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser. Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser. Value For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors. 63 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad947c6c013ce64e0. Public record. Not legal advice.