# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ae5d601cb4504c789 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Office Private Funds Statistics Fourth Calendar Quarter 2017 August 2, 2018 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. August 2, 2018 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 First Calendar Quarter 2016 through Fourth Calendar Quarter 2017 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about Fourth Calendar Quarter 2017 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Fourth Calendar Quarter 2017-Private Funds Statistics”. 1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis. 1 August 2, 2018 Analytics Office Contents I II Number of Funds and Advisers 4 Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 8 10 11 III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 20 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 23 25 26 27 IX Qualifying Hedge Fund Specific Information A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 29 31 33 34 35 37 39 40 41 X Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 42 42 44 44 2 August 2, 2018 Analytics Office E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Section 4 Private Equity Fund Specific Information A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 46 46 47 48 XII Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 50 50 50 51 51 51 52 52 53 XI 3 August 2, 2018 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 2016Q1 9,714 8,920 4,099 2,740 2,102 1,599 1,421 635 64 36 26,955 2016Q2 9,725 8,928 4,125 2,742 2,100 1,608 1,418 646 66 37 27,008 2016Q3 9,752 8,994 4,116 2,747 2,117 1,620 1,417 651 67 36 27,114 2016Q4 10,364 8,927 4,438 3,002 2,447 1,652 1,451 761 69 44 28,457 2017Q1 10,382 9,082 4,462 3,006 2,445 1,674 1,463 759 70 45 28,663 2017Q2 10,362 9,123 4,484 3,009 2,443 1,720 1,475 769 69 47 28,725 2017Q3 10,272 9,156 4,442 2,989 2,434 1,722 1,477 755 69 46 28,605 2017Q4 11,460 9,007 4,512 3,480 2,632 1,803 1,504 846 70 48 30,031 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 2016Q1 1,025 1,694 564 243 294 525 157 97 37 19 2,844 2016Q2 1,025 1,688 567 243 292 525 156 98 37 19 2,839 2016Q3 1,024 1,685 568 243 294 516 154 100 37 19 2,836 2016Q4 1,092 1,687 580 248 312 531 149 109 39 24 2,914 2017Q1 1,095 1,686 578 250 314 527 151 109 39 24 2,916 2017Q2 1,091 1,687 578 250 312 534 153 110 38 24 2,917 2017Q3 1,088 1,687 574 247 311 535 154 109 38 23 2,916 2017Q4 1,132 1,722 579 292 322 551 155 113 39 25 2,997 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 August 2, 2018 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 2016Q1 6,162 4,992 2,060 1,472 973 410 420 273 247 55 10,352 2016Q2 6,329 5,102 2,063 1,472 978 410 420 287 258 56 10,542 2016Q3 6,464 5,246 2,064 1,472 981 411 420 292 249 55 10,688 2016Q4 6,408 5,218 2,318 1,645 1,066 436 448 293 274 64 11,032 2017Q1 6,704 5,494 2,326 1,648 1,077 436 449 282 267 64 11,338 2017Q2 6,895 5,716 2,323 1,648 1,088 433 454 276 273 64 11,533 2017Q3 7,219 5,892 2,310 1,641 1,060 432 453 282 279 63 11,818 2017Q4 7,274 5,903 2,722 1,941 1,186 499 485 291 289 80 12,537 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 2016Q1 3,407 2,655 1,884 1,377 872 326 138 272 246 52 6,951 2016Q2 3,436 2,670 1,886 1,377 877 326 138 285 256 53 7,000 2016Q3 3,496 2,740 1,887 1,377 882 327 140 290 247 52 7,074 5 2016Q4 3,493 2,744 2,075 1,492 977 341 141 292 273 61 7,380 2017Q1 3,611 2,829 2,084 1,496 987 342 141 281 265 61 7,506 2017Q2 3,669 2,901 2,082 1,496 994 340 145 275 272 62 7,566 2017Q3 3,791 2,995 2,069 1,489 970 339 144 280 278 60 7,653 2017Q4 3,891 3,060 2,438 1,754 1,072 391 152 291 288 76 8,310 August 2, 2018 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) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.5 0.5 0.5 0.6 1.2 1.2 1.2 1.1 1.2 1.2 2.6 2.6 2.6 2.5 2.5 2.6 5.8 5.8 6.0 6.0 6.0 6.1 3.1 3.2 3.2 3.2 3.3 3.3 Qualifying Hedge Fund NAV ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 0.4 0.9 0.9 0.9 0.8 0.8 0.8 1.7 1.7 1.7 1.7 1.7 1.7 3.7 3.7 3.7 3.6 3.7 3.7 1.7 1.7 1.7 1.7 1.7 1.7 Section 4 Private Equity Fund GAV ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 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 1.3 1.3 1.3 1.3 1.3 1.3 0.5 0.5 0.5 0.5 0.5 0.5 Section 4 Private Equity Fund NAV ($ Billions) 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 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 0.3 0.4 0.4 0.4 0.4 0.3 1.2 1.2 1.2 1.2 1.2 1.2 0.5 0.5 0.5 0.5 0.5 0.5 6 2017Q3 0.2 0.6 1.2 2.6 6.2 3.4 2017Q4 0.1 0.6 1.2 2.5 6.0 3.3 2017Q3 0.1 0.5 0.9 1.8 3.8 1.7 2017Q4 0.1 0.4 0.9 1.8 3.7 1.7 2017Q3 0.0 0.0 0.1 0.4 1.3 0.5 2017Q4 0.0 0.0 0.1 0.4 1.3 0.6 2017Q3 0.0 0.0 0.1 0.3 1.2 0.5 2017Q4 0.0 0.0 0.1 0.3 1.2 0.5 August 2, 2018 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 2016Q1 1.0 1.0 1.0 1.1 1.9 1.6 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 1.0 1.0 1.2 1.6 2.5 1.5 All Private Funds 2016Q2 2016Q3 2016Q4 2017Q1 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 1.2 1.9 1.9 2.0 2.0 1.6 1.6 1.6 1.6 Qualifying Hedge Funds 2016Q2 2016Q3 2016Q4 2017Q1 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.1 1.6 1.6 1.6 1.6 2.5 2.6 2.5 2.7 1.6 1.6 1.6 1.6 7 2017Q2 1.0 1.0 1.0 1.2 2.0 1.6 2017Q3 1.0 1.0 1.0 1.2 2.0 1.6 2017Q4 1.0 1.0 1.0 1.1 1.9 1.6 2017Q2 1.0 1.0 1.2 1.6 2.6 1.6 2017Q3 1.0 1.0 1.1 1.6 2.5 1.6 2017Q4 1.0 1.0 1.1 1.5 2.4 1.5 August 2, 2018 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 Private Equity Fund Section 4 Private Equity Fund Other Private Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund 2016Q1 48.9 39.1 36.8 13.2 4.8 3.4 2.2 0.4 0.0 0.0 2016Q2 48.7 38.2 36.3 13.2 4.9 3.4 2.2 0.4 0.0 0.0 2016Q3 48.4 39.9 38.1 13.2 4.9 3.4 2.1 0.4 0.0 0.0 2016Q4 50.7 39.7 37.3 13.9 5.1 4.0 2.8 0.4 0.0 0.0 2017Q1 49.5 41.0 38.4 12.9 5.0 4.0 2.7 0.4 0.0 0.0 2017Q2 48.8 42.0 39.1 12.7 5.0 4.0 2.7 0.5 0.0 0.0 2017Q3 48.4 41.6 39.4 12.8 5.0 4.1 2.7 0.5 0.0 0.0 2017Q4 51.9 41.3 39.1 13.2 5.2 4.6 2.1 0.6 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 2016Q1 0.0 0.0 0.0 0.2 0.6 0.4 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 0.0 0.1 0.3 1.0 3.2 1.8 All Private Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.6 0.6 0.6 0.6 0.6 0.4 0.5 0.4 0.5 0.5 Qualifying Hedge Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 1.1 1.1 1.0 1.1 1.1 2.9 3.2 3.2 3.4 3.2 1.9 2.0 1.9 2.1 2.2 8 2017Q3 0.0 0.0 0.0 0.2 0.6 0.5 2017Q4 0.0 0.0 0.0 0.2 0.6 0.5 2017Q3 0.0 0.1 0.3 1.1 3.4 2.2 2017Q4 0.0 0.0 0.3 1.0 3.0 2.1 August 2, 2018 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 2016Q1 0.0 0.0 0.2 0.8 2.8 1.8 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 0.0 0.1 0.4 0.9 1.8 0.7 All Private Funds 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.8 0.8 0.9 0.9 3.0 3.0 3.6 3.8 1.7 1.8 1.8 1.8 Qualifying Hedge Funds 2016Q2 2016Q3 2016Q4 2017Q1 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.4 0.4 0.3 0.4 0.9 0.9 0.9 0.9 1.9 2.0 1.9 2.1 0.8 0.8 0.8 0.8 9 2017Q2 0.0 0.0 0.2 0.9 3.8 1.8 2017Q3 0.0 0.0 0.2 0.9 3.8 1.8 2017Q4 0.0 0.0 0.2 0.9 3.5 1.7 2017Q2 0.0 0.1 0.4 0.9 2.1 0.8 2017Q3 0.0 0.1 0.4 0.9 2.1 0.8 2017Q4 0.0 0.1 0.3 0.9 1.9 0.8 August 2, 2018 C Analytics Office Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2016Q1 2,481 2,140 2,271 1,581 2016Q2 2,464 2,070 2,265 1,539 2016Q3 2,485 2,063 2,263 1,537 2016Q4 2,877 2,544 2,594 1,972 2017Q1 2,585 2,201 2,512 1,691 2017Q2 2,578 2,186 2,512 1,723 2017Q3 2,562 2,231 2,506 1,731 2017Q4 3,274 2,764 2,887 2,240 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question 14. Level One Level Two Level Three Cost-Based 2016Q1 668 476 111 673 2016Q2 680 424 108 694 2016Q3 677 427 107 695 2016Q4 519 417 142 464 10 2017Q1 664 462 136 659 2017Q2 661 451 140 654 2017Q3 665 455 137 660 2017Q4 662 608 172 487 August 2, 2018 D Analytics Office Parallel Managed Accounts4 Table 8: Number of Funds with Parallel Managed Accounts As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2016Q1 696 408 252 234 82 52 16 15 *** *** 1,459 2016Q2 699 406 252 237 82 52 14 14 *** *** 1,458 2016Q3 696 409 251 233 82 52 15 15 *** *** 1,458 2016Q4 664 482 239 233 88 77 15 15 *** *** 1,517 2017Q1 654 498 240 224 88 77 16 16 *** *** 1,525 2017Q2 661 497 239 220 88 77 16 16 *** *** 1,530 2017Q3 668 495 273 227 88 77 16 16 *** *** 1,568 2017Q4 664 508 293 238 98 72 16 16 *** *** 1,567 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Securitized Asset Fund Total 2016Q1 633 1,296 96 449 19 11 321 316 *** *** 2,513 2016Q2 619 1,278 96 428 19 11 305 305 *** *** 2,465 2016Q3 651 1,332 96 448 19 11 312 312 *** *** 2,557 2016Q4 629 1,400 29 422 22 6 309 309 *** *** 2,555 2017Q1 666 1,438 29 438 22 6 333 333 *** *** 2,653 2017Q2 680 1,489 28 440 22 6 330 330 *** *** 2,714 2017Q3 714 1,508 28 525 22 6 345 345 *** *** 2,782 2017Q4 827 1,863 37 594 28 6 359 359 *** *** 3,094 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 August 2, 2018 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 2016Q1 0.0 0.0 0.2 0.9 3.5 1.7 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 0.0 0.1 0.4 1.2 3.0 1.9 All Private Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 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 0.9 0.9 0.8 0.9 0.9 3.3 3.5 3.2 3.5 3.5 1.7 1.8 1.7 1.7 1.8 Qualifying Hedge Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.4 0.4 0.4 0.5 0.5 1.2 1.5 1.3 1.6 1.7 3.0 3.4 3.2 3.4 3.4 1.8 1.9 1.8 2.0 2.0 12 2017Q3 0.0 0.0 0.2 0.9 3.5 1.8 2017Q4 0.0 0.0 0.2 0.9 3.6 2.0 2017Q3 0.1 0.2 0.6 1.8 3.7 2.3 2017Q4 0.1 0.2 0.5 1.9 4.0 2.5 August 2, 2018 III Analytics Office Fund Domiciles and Adviser Main Offices Table 10: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States Cayman Islands Ireland Luxembourg Virgin Islands, British United Kingdom Bermuda Other Country Cayman Islands United States Virgin Islands, British Ireland Luxembourg Bermuda Other Country Ireland United States Cayman Islands Other Country United States Cayman Islands United Kingdom Bermuda Canada Other All Private Funds 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 50.8 50.7 50.8 51.3 51.4 37.3 37.2 37.1 36.4 36.4 3.8 3.9 3.9 4.3 4.2 1.3 1.5 1.5 1.4 1.5 2.4 2.3 2.3 2.2 2.2 1.1 1.1 1.1 1.1 1.1 1.3 1.3 1.2 1.3 1.3 2.1 2.1 2.1 2.1 2.0 Qualifying Hedge Funds 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 54.6 54.4 53.7 52.9 52.7 32.7 33.1 33.8 34.3 34.6 5.7 5.7 5.5 5.5 5.3 2.6 2.5 2.6 2.7 2.7 1.2 1.2 1.3 1.3 1.3 1.4 1.4 1.4 1.8 1.7 1.8 1.7 1.7 1.7 1.7 Section 3 Liquidity Funds 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 *** *** *** *** *** 36.5 34.2 34.1 33.1 33.9 *** *** *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 62.0 62.0 62.0 63.8 63.8 30.3 30.3 30.3 29.5 29.4 2.6 2.6 2.6 1.9 1.9 1.3 1.3 1.3 1.1 1.1 1.2 1.2 1.2 0.9 0.9 2.6 2.6 2.7 2.9 2.9 13 2017Q2 51.4 36.4 4.2 1.6 2.0 1.1 1.3 2.0 2017Q3 51.0 36.7 4.3 1.6 2.0 1.1 1.3 2.0 2017Q4 51.3 35.5 4.5 1.9 1.8 1.3 1.2 2.6 2017Q2 52.5 35.0 5.0 2.7 1.5 1.7 1.6 2017Q3 51.8 35.3 4.8 2.8 1.7 1.7 1.9 2017Q4 51.3 35.7 4.5 2.9 1.9 1.6 2.0 2017Q2 *** 36.8 *** *** 2017Q3 *** 34.7 *** *** 2017Q4 *** 35.1 *** *** 2017Q2 63.8 29.4 1.9 1.1 0.9 2.9 2017Q3 63.7 29.5 2.0 1.1 0.9 2.9 2017Q4 60.7 30.4 2.7 1.0 1.0 4.1 August 2, 2018 Analytics Office Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. Country United States United Kingdom Other 2016Q1 89.5 6.6 3.9 Country United States United Kingdom Australia Hong Kong Other 2016Q1 89.3 5.7 *** *** 2.5 Country United States United Kingdom France 2016Q1 58.4 *** *** Country United States Canada Other 2016Q1 97.2 *** *** All Private Funds 2016Q2 2016Q3 2016Q4 2017Q1 89.6 89.6 90.1 89.3 6.6 6.6 6.2 6.5 3.9 3.7 3.8 4.1 Qualifying Hedge Funds 2016Q2 2016Q3 2016Q4 2017Q1 89.5 89.4 89.6 89.4 5.6 5.7 5.7 5.9 *** *** *** *** *** *** *** *** 2.4 2.4 2.3 2.3 Section 3 Liquidity Funds 2016Q2 2016Q3 2016Q4 2017Q1 59.4 64.1 62.5 64.2 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2016Q2 2016Q3 2016Q4 2017Q1 97.2 97.2 95.1 95.1 *** *** *** *** *** *** *** *** 14 2017Q2 89.0 6.8 4.2 2017Q3 88.8 6.9 4.3 2017Q4 89.4 6.5 4.1 2017Q2 89.3 6.3 *** *** 2.3 2017Q3 88.9 6.4 *** *** 2.3 2017Q4 88.5 6.7 *** *** 2.2 2017Q2 64.1 *** *** 2017Q3 63.0 *** *** 2017Q4 62.8 *** *** 2017Q2 95.1 *** *** 2017Q3 95.1 *** *** 2017Q4 94.8 *** *** August 2, 2018 IV Analytics Office Beneficial Ownership Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds and For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies State/Muni. Govt. Entities Broker-Dealers 2016Q1 1,328 883 912 882 705 768 382 274 163 196 144 123 87 107 2016Q2 1,324 895 920 894 704 771 386 276 171 199 149 121 89 104 2016Q3 1,324 920 935 909 724 778 387 275 170 199 145 119 90 97 2016Q4 1,342 976 1,009 948 749 773 429 305 187 198 136 125 100 102 2017Q1 1,356 997 1,029 958 770 786 438 310 187 198 140 127 105 104 2017Q2 1,372 1,011 1,033 967 778 789 443 312 186 185 142 129 107 107 2017Q3 1,372 1,039 1,048 973 790 798 444 314 189 183 146 137 108 111 2017Q4 1,491 1,188 1,153 1,037 848 816 514 348 194 187 159 138 122 112 2017Q3 17.9 13.6 13.7 12.7 10.3 10.4 5.8 4.1 2.5 2.4 1.9 1.8 1.4 1.5 2017Q4 17.9 14.3 13.9 12.5 10.2 9.8 6.2 4.2 2.3 2.3 1.9 1.7 1.5 1.3 Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other State/Muni. Govt. Pension Plans Pension Plans Non-Profits U.S. Individuals Sov. Wealth Funds and For. Official Inst. Insurance Companies Unknown Non-U.S. Investors Non-U.S. Individuals Banking/Thrift Inst. SEC-Registered Investment Companies State/Muni. Govt. Entities Broker-Dealers 2016Q1 19.1 12.7 13.1 12.7 10.1 11.0 5.5 3.9 2.3 2.8 2.1 1.8 1.2 1.5 2016Q2 18.9 12.8 13.1 12.8 10.1 11.0 5.5 3.9 2.4 2.8 2.1 1.7 1.3 1.5 15 2016Q3 18.7 13.0 13.2 12.9 10.2 11.0 5.5 3.9 2.4 2.8 2.1 1.7 1.3 1.4 2016Q4 18.2 13.2 13.7 12.8 10.2 10.5 5.8 4.1 2.5 2.7 1.8 1.7 1.3 1.4 2017Q1 18.1 13.3 13.7 12.8 10.3 10.5 5.8 4.1 2.5 2.6 1.9 1.7 1.4 1.4 2017Q2 18.1 13.4 13.7 12.8 10.3 10.4 5.9 4.1 2.5 2.5 1.9 1.7 1.4 1.4 August 2, 2018 Analytics Office Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds and For. Official Inst. Broker-Dealers Insurance Companies SEC-Registered Investment Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2016Q1 513 363 347 323 272 305 137 77 64 77 64 48 31 30 2016Q2 509 359 352 333 278 308 136 76 65 76 65 46 32 33 2016Q3 504 380 364 356 291 319 140 69 65 75 66 46 33 30 2016Q4 490 383 369 356 304 318 143 68 67 71 65 41 35 29 2017Q1 495 395 379 375 310 324 152 72 70 70 68 45 41 31 2017Q2 505 405 387 386 314 331 158 75 73 70 68 52 42 33 2017Q3 510 418 399 410 331 340 160 79 74 74 70 56 42 33 2017Q4 505 428 414 409 352 345 166 79 78 74 74 58 42 35 2017Q3 17.0 13.9 13.3 13.7 11.0 11.3 5.3 2.6 2.5 2.5 2.3 1.9 1.4 1.1 2017Q4 16.5 14.0 13.5 13.4 11.5 11.3 5.4 2.6 2.5 2.4 2.4 1.9 1.4 1.1 Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Non-Profits Pension Plans Other State/Muni. Govt. Pension Plans U.S. Individuals Sov. Wealth Funds and For. Official Inst. Broker-Dealers Insurance Companies SEC-Registered Investment Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst. 2016Q1 19.3 13.7 13.1 12.2 10.2 11.5 5.1 2.9 2.4 2.9 2.4 1.8 1.2 1.1 2016Q2 19.1 13.4 13.2 12.5 10.4 11.5 5.1 2.8 2.4 2.9 2.4 1.7 1.2 1.2 16 2016Q3 18.4 13.9 13.3 13.0 10.6 11.7 5.1 2.5 2.4 2.7 2.4 1.7 1.2 1.1 2016Q4 17.9 13.9 13.5 13.0 11.1 11.6 5.2 2.5 2.4 2.6 2.4 1.5 1.3 1.1 2017Q1 17.5 14.0 13.4 13.3 11.0 11.5 5.4 2.5 2.5 2.5 2.4 1.6 1.4 1.1 2017Q2 17.4 13.9 13.3 13.3 10.8 11.4 5.4 2.6 2.5 2.4 2.4 1.8 1.4 1.1 August 2, 2018 Analytics Office Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds and For. Official Inst. Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2016Q1 79 38 *** 17 *** *** 7 5 *** 17 *** *** *** *** 2016Q2 79 38 *** 17 *** *** 8 5 *** 17 *** *** *** *** 2016Q3 80 40 60 18 *** *** 8 *** *** 4 *** *** *** *** 2016Q4 81 52 65 16 *** 10 9 5 *** 4 *** 1 1 *** 2017Q1 75 51 60 18 *** *** 9 5 *** 4 *** 2 1 *** 2017Q2 89 51 52 21 *** 12 9 5 *** 4 *** 2 1 *** 2017Q3 83 51 55 24 *** *** 10 5 *** 4 *** 2 1 *** 2017Q4 96 55 53 23 *** *** 9 5 *** 4 *** 2 1 *** 2017Q3 30.0 18.5 19.9 8.6 *** *** 3.7 1.9 *** 1.4 *** 0.6 0.4 *** 2017Q4 33.3 19.1 18.4 7.8 *** *** 3.0 1.8 *** 1.3 *** 0.5 0.4 *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type Private Funds Other Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers Banking/Thrift Inst. Insurance Companies Pension Plans Sov. Wealth Funds and For. Official Inst. Non-U.S. Individuals State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals 2016Q1 32.2 15.5 *** 7.1 *** *** 2.9 1.9 *** 6.9 *** *** *** *** 2016Q2 30.9 14.7 *** 6.5 *** *** 3.3 1.8 *** 6.8 *** *** *** *** 17 2016Q3 32.3 16.2 24.2 7.1 *** *** 3.2 *** *** 1.6 *** *** *** *** 2016Q4 29.6 19.2 23.7 5.9 *** 3.6 3.3 1.7 *** 1.4 *** 0.5 0.4 *** 2017Q1 28.3 19.3 22.7 6.9 *** *** 3.4 1.8 *** 1.5 *** 0.6 0.6 *** 2017Q2 32.6 18.7 19.2 7.6 *** 4.3 3.3 1.8 *** 1.5 *** 0.6 0.4 *** August 2, 2018 Analytics Office Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities SEC-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2016Q1 326 270 140 132 138 84 87 95 35 32 19 5 15 1 2016Q2 326 270 140 132 137 84 87 95 35 32 19 5 15 1 2016Q3 326 270 140 131 138 84 87 95 35 32 19 5 15 1 2016Q4 366 283 162 153 142 94 92 88 34 31 22 12 14 1 2017Q1 366 285 162 154 142 94 92 88 34 31 22 12 14 1 2017Q2 366 284 161 154 142 94 92 88 34 31 22 12 14 1 2017Q3 366 284 161 153 139 94 90 88 34 31 22 12 13 1 2017Q4 415 353 212 186 159 109 104 94 36 29 28 16 14 1 Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst. Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst. State/Muni. Govt. Entities SEC-Registered Investment Companies Unknown Non-U.S. Investors Broker-Dealers 2016Q1 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.5 2.3 1.4 0.4 1.1 0.0 2016Q2 23.7 19.6 10.2 9.6 10.0 6.1 6.3 6.9 2.6 2.3 1.4 0.4 1.1 0.0 18 2016Q3 23.6 19.6 10.2 9.5 10.0 6.1 6.3 6.9 2.5 2.3 1.4 0.4 1.1 0.0 2016Q4 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.8 0.9 0.1 2017Q1 24.5 19.0 10.8 10.3 9.5 6.3 6.1 5.9 2.3 2.0 1.5 0.8 0.9 0.1 2017Q2 24.5 19.0 10.8 10.3 9.5 6.3 6.2 5.9 2.3 2.0 1.5 0.8 0.9 0.1 2017Q3 24.6 19.1 10.8 10.3 9.4 6.3 6.1 5.9 2.3 2.1 1.5 0.8 0.9 0.1 2017Q4 23.6 20.1 12.1 10.6 9.1 6.2 5.9 5.3 2.1 1.7 1.6 0.9 0.8 0.1 August 2, 2018 V Analytics Office Derivatives Table 20: 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 Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2016Q1 9,181 8,028 98 54 42 *** *** 21 11 *** 9,367 2016Q2 9,363 8,073 96 54 42 *** *** 21 11 *** 9,499 2016Q3 9,400 8,207 97 53 42 *** *** 21 10 *** 9,546 2016Q4 9,192 7,919 112 38 35 *** *** 16 14 *** 9,393 2017Q1 10,249 8,833 108 38 35 *** *** 16 14 *** 10,397 2017Q2 10,166 8,832 108 38 34 *** *** 16 14 *** 10,395 2017Q3 11,447 9,661 108 38 34 *** *** 16 13 *** 11,649 2017Q4 12,472 10,468 146 39 33 *** *** 17 3 *** 12,666 Table 21: 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 Liquidity Fund Section 3 Liquidity Fund Real Estate Fund Securitized Asset Fund Venture Capital Fund Total 2016Q1 269.5 302.4 11.2 2.8 3.1 *** *** 6.6 7.9 *** 134.8 2016Q2 272.5 302.3 10.9 2.8 3.1 *** *** 6.6 7.7 *** 135.7 2016Q3 268.9 299.5 11.0 2.8 3.1 *** *** 6.6 7.4 *** 134.9 19 2016Q4 263.1 288.6 11.4 1.8 2.3 *** *** 4.8 9.8 *** 127.3 2017Q1 283.8 312.3 10.9 1.8 2.3 *** *** 4.8 9.8 *** 138.5 2017Q2 277.1 304.4 10.8 1.8 2.3 *** *** 4.7 9.4 *** 137.4 2017Q3 301.9 322.5 11.2 1.8 2.3 *** *** 4.8 9.2 *** 152.2 2017Q4 320.5 342.1 13.6 1.6 1.9 *** *** 4.4 1.7 *** 152.4 August 2, 2018 Analytics Office Figure 6: Distribution of Derivative Values As reported on Form PF, Questions 13 and 44 (Third Month). VI Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 0.0 0.0 0.0 0.3 1.4 0.9 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 0.0 0.1 0.4 2.0 9.2 4.9 All Private Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 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 0.3 0.3 1.4 1.3 1.3 1.4 1.5 0.9 0.9 1.0 1.0 1.0 Qualifying Hedge Funds ($ Billions) 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.4 0.4 2.1 2.0 2.0 2.2 2.1 8.9 8.0 7.7 8.6 9.2 4.5 4.3 4.2 4.7 4.7 2017Q3 0.0 0.0 0.0 0.3 1.6 1.1 2017Q4 0.0 0.0 0.0 0.3 1.7 1.2 2017Q3 0.0 0.1 0.5 2.2 10.0 5.2 2017Q4 0.0 0.1 0.5 2.3 10.3 5.5 High Frequency Trading Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 0% Less than 100% 100% or More 2016Q1 7,466 63 9 2016Q2 7,489 64 10 2016Q3 7,534 70 9 2016Q4 7,495 62 11 2017Q1 7,624 62 12 2017Q2 7,669 66 11 2017Q3 7,697 63 12 2017Q4 7,745 42 12 Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 0% Less than 100% 100% or More 2016Q1 3,287 84 2 2016Q2 3,323 83 2 2016Q3 3,379 84 2 2016Q4 3,379 78 2 20 2017Q1 3,497 79 3 2017Q2 3,562 78 3 2017Q3 3,663 43 37 2017Q4 3,780 41 37 August 2, 2018 VII Analytics Office Hedge Fund Industry Concentration Table 24: Percent of Aggregate Hedge Fund Net Asset Value Reported by Top Hedge Funds Sorted by Net Asset Value As reported on Form PF, Questions 9 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2016Q1 7.9 13.7 20.5 29.2 44.3 57.9 2016Q2 7.8 13.6 20.4 29.1 44.1 57.6 2016Q3 7.9 13.8 20.6 29.2 44.2 57.7 2016Q4 7.9 13.7 20.5 29.0 44.1 57.5 2017Q1 7.7 13.3 20.2 28.6 43.7 57.0 2017Q2 7.7 13.5 20.2 28.5 43.4 56.9 2017Q3 7.5 13.2 20.0 28.4 43.4 56.8 2017Q4 7.4 13.2 20.0 28.5 43.1 56.4 Table 25: Percent of Aggregate Hedge Fund Gross Asset Value Reported by Top Hedge Funds Sorted by Gross Asset Value As reported on Form PF, Questions 8 and 10. Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2016Q1 15.0 23.3 30.5 40.0 54.4 66.4 2016Q2 15.0 23.6 31.2 40.8 54.9 66.7 2016Q3 14.4 22.9 31.2 41.0 55.2 66.9 2016Q4 14.7 23.2 31.4 41.0 55.0 66.8 2017Q1 14.6 23.5 32.0 41.5 55.2 66.8 2017Q2 14.9 23.1 31.5 41.3 55.2 66.9 2017Q3 15.4 24.1 32.5 42.2 56.0 67.5 2017Q4 15.1 23.7 31.9 41.4 55.4 66.7 Table 26: Percent of Aggregate Hedge Fund Borrowings Reported by Top Hedge Funds Sorted by Borrowings As reported on Form PF, Questions 12 and 43 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2016Q1 32.7 43.9 54.5 66.3 80.6 89.5 2016Q2 32.7 45.3 56.0 67.5 80.6 89.5 2016Q3 32.8 45.5 56.5 68.6 81.7 90.2 2016Q4 31.5 44.4 56.1 68.5 81.6 90.0 21 2017Q1 31.9 45.1 56.7 68.8 81.5 89.9 2017Q2 33.3 46.2 57.4 69.2 81.8 90.1 2017Q3 35.0 47.5 58.7 70.2 82.6 90.5 2017Q4 34.5 47.5 59.0 70.9 82.6 90.3 August 2, 2018 Analytics Office Table 27: 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 2016Q1 31.5 47.2 60.0 71.8 85.5 92.8 2016Q2 34.5 48.7 60.7 72.2 85.7 92.9 2016Q3 36.9 50.5 61.3 73.1 86.1 93.2 2016Q4 34.7 48.5 60.1 73.0 86.1 93.3 2017Q1 34.1 48.0 60.5 73.2 86.3 93.2 2017Q2 32.2 46.4 59.1 71.8 85.8 92.7 2017Q3 32.4 49.1 61.3 73.4 86.4 93.3 2017Q4 31.8 47.6 60.4 73.0 86.2 93.2 Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure Reported by Top Hedge Funds Sorted by Gross Notional Exposure As reported on Form PF, Questions 26 and 30 (Month 3). Top 10 Top 25 Top 50 Top 100 Top 250 Top 500 2016Q1 28.6 42.6 54.7 66.5 81.2 91.1 2016Q2 31.5 44.0 55.0 66.9 81.3 90.8 2016Q3 32.6 45.3 56.3 67.4 81.5 90.8 2016Q4 31.6 45.4 56.8 68.6 82.2 91.2 22 2017Q1 30.9 44.5 56.6 68.8 82.5 91.3 2017Q2 30.2 43.2 55.4 67.6 81.9 90.7 2017Q3 30.2 44.9 56.9 68.6 82.5 91.1 2017Q4 29.8 44.4 56.5 68.7 82.8 91.3 August 2, 2018 VIII 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. 7-1 7-1 201 201 201 7 7-1 1.0 1.3 2.1 3.8 9.1 4.3 2 1 0.9 1.3 2.1 3.7 8.8 4.2 201 201 7-1 1.0 1.3 2.0 3.7 9.2 4.2 201 7-0 201 1.0 1.3 2.1 3.7 8.9 4.3 201 7-1 0 0.9 1.3 2.1 3.7 8.7 4.3 9 1.0 1.3 2.1 3.6 8.3 3.8 7-0 7-0 201 1.0 1.4 2.2 3.8 8.7 4.2 201 7-0 7-0 1.0 1.4 2.1 3.7 8.6 4.1 201 4 201 7-0 3 7-0 1.0 1.3 2.1 3.6 7.9 3.9 7-0 1.0 1.3 2.1 3.7 8.4 4.1 201 2 7-0 7-0 201 201 1.0 1.3 2.1 3.6 8.1 4.0 -12 201 7-0 9 23 1.0 1.3 2.0 3.4 7.8 3.7 1 2 201 6-1 1 6-1 1.0 1.3 2.1 3.6 8.2 4.0 1 201 7-0 8 1.0 1.4 2.3 4.8 12.7 6.5 0 201 7-0 7 1.0 1.5 2.3 5.2 13.8 7.1 8 201 7-0 6 1.0 1.4 2.3 5.2 13.4 6.7 7 201 7-0 5 1.0 1.5 2.3 4.9 13.5 6.9 6 201 1.0 1.5 2.4 5.0 14.4 7.1 5 201 7-0 3 1.0 1.5 2.3 5.0 12.6 6.7 4 201 7-0 2 1.0 1.5 2.3 4.9 11.4 5.7 1.0 1.3 2.1 3.7 7.9 4.0 6-1 2 201 7-0 1 1.0 1.6 2.4 5.3 12.1 6.3 201 1.0 1.6 2.4 5.2 11.6 5.9 201 6-1 1 1.0 1.5 2.4 5.0 11.3 6.0 6-1 0 1.0 1.5 2.4 5.2 11.8 6.2 201 1.0 1.3 2.0 3.6 7.6 3.7 1.0 1.0 1.0 1.0 1.5 1.5 1.5 1.5 2.4 2.4 2.3 2.4 4.9 4.8 4.6 5.1 12.6 12.2 10.5 11.7 6.0 6.1 5.5 6.0 Excluding IRDs 201 9 1.0 1.3 2.0 3.7 7.2 3.8 201 201 6-0 1.0 1.3 2.0 3.6 7.0 3.7 6-0 8 1.0 1.3 2.0 3.6 6.9 3.5 201 6 1.0 1.4 2.0 3.7 7.4 3.6 6-0 6 1.0 1.4 2.0 3.7 7.2 3.6 201 -04 201 6-0 1.0 1.3 2.0 3.4 7.0 3.4 201 6 6-0 201 2 6-0 6-0 201 1.0 1.3 2.1 3.4 6.7 3.4 9 1.0 1.5 2.3 4.8 10.7 5.4 6-1 0 1.0 1.5 2.3 4.9 11.5 5.7 201 8 201 6-0 1.0 1.5 2.3 4.8 11.5 5.4 0.9 1.3 2.0 3.4 6.8 3.4 6-0 7 1.0 1.5 2.3 4.8 11.2 5.3 -07 201 6-0 6 201 5 1.0 1.6 2.4 4.9 12.0 5.7 6-0 201 1.0 1.5 2.3 4.8 11.6 5.4 5 201 6-0 3 1.0 1.5 2.3 4.7 11.1 5.6 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 6-0 4 201 1.0 1.5 2.3 4.8 11.7 5.5 3 201 6-0 6-0 2 201 1.0 1.5 2.4 4.7 11.1 5.2 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 6 -01 Including Interest Rate Derivatives (IRDs) 1.0 1.3 2.0 3.6 8.6 4.1 August 2, 2018 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. 24 1 2 7-1 201 7 -1 0.1 0.2 0.7 1.4 4.3 1.9 0.1 0.3 0.7 1.5 4.5 2.0 0.1 0.3 0.6 1.5 4.4 1.8 -12 -12 1 1 0.1 0.4 0.8 2.4 7.7 3.5 0.9 1.1 1.5 2.4 5.1 2.6 0.1 0.4 0.8 2.2 6.4 3.2 201 7-1 2 1 0.1 0.3 0.8 2.3 7.0 3.2 201 7 7-1 7-1 0.1 0.4 0.8 2.2 6.8 3.2 0.9 1.2 1.6 2.9 6.9 3.9 201 7 0 7-1 201 0 7-1 201 7-1 0 0.9 1.1 1.5 2.5 5.5 2.7 201 9 201 201 0.9 1.1 1.5 2.5 5.4 2.7 201 201 7-0 9 0.9 1.2 1.7 3.1 8.0 4.2 201 7-1 0.1 0.3 0.6 1.5 4.2 1.8 0.9 1.2 1.7 3.0 7.8 4.1 201 7-1 0 0.1 0.3 0.6 1.5 4.1 1.8 0.1 0.3 0.6 1.5 3.9 1.6 7-0 7-0 8 201 7-0 9 8 0.1 0.3 0.8 2.2 6.7 3.1 201 7-0 0.1 0.3 0.8 2.3 6.5 3.1 0.9 1.1 1.5 2.5 5.2 2.7 201 -07 201 7-0 8 7 7-0 0.9 1.1 1.5 2.4 5.2 2.7 201 201 0.9 1.1 1.5 2.4 5.2 2.7 201 1.0 1.2 1.6 3.0 7.4 4.2 7-0 7 7-0 6 1.0 1.2 1.6 3.1 7.9 4.2 201 6 7-0 201 5 0.9 1.2 1.6 3.1 7.6 3.9 0.1 0.3 0.8 2.3 5.9 2.7 201 5 0.1 0.3 0.6 1.5 4.3 1.8 201 7 201 6 7-0 201 5 7-0 1.0 1.1 1.6 2.4 5.0 2.5 7-0 0.1 0.4 0.8 2.3 6.2 2.9 7-0 4 7-0 5 201 7-0 4 201 7-0 4 1.0 1.2 1.7 3.0 6.7 3.5 201 7-0 -04 0.1 0.3 0.6 1.5 4.1 1.7 0.9 1.1 1.6 2.5 5.1 2.7 201 3 201 3 201 201 3 7-0 0.1 0.3 0.6 1.5 3.8 1.7 0.1 0.4 0.8 2.3 6.1 2.7 201 7 7-0 201 2 0.1 0.4 0.8 2.2 6.4 2.8 201 0.1 0.3 0.6 1.5 3.9 1.7 0.9 1.1 1.6 2.5 5.2 2.6 3 7-0 2 7-0 7-0 0.9 1.1 1.5 2.4 4.7 2.5 1.0 1.2 1.7 3.1 7.3 3.8 7-0 9 0.1 0.3 0.6 1.5 3.9 1.7 1.0 1.2 1.7 3.1 7.1 3.6 201 7-0 8 0.1 0.2 0.6 1.4 3.7 1.6 201 7-0 1 6-1 2 1 0 6-1 201 0.1 0.3 0.6 1.5 3.8 1.7 201 7-0 2 7-0 2 7-0 201 7-0 1 2 201 6-1 1 -10 6-1 201 201 201 6-1 0.1 0.3 0.6 1.5 3.6 1.7 201 1 7-0 201 201 6-1 2 1 -10 6-1 201 201 6-0 9 201 6 201 6 6-0 9 0.1 0.2 0.6 1.3 3.3 1.5 201 6-0 9 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.4 0.4 0.3 0.4 0.4 0.7 0.8 0.8 0.8 0.8 0.8 2.0 2.2 2.2 2.0 2.2 2.3 5.3 5.9 6.0 6.0 6.0 6.4 2.4 2.8 2.9 2.6 2.7 2.8 Short Exposure Excluding IRDs 1.0 1.2 1.7 3.0 6.3 3.6 201 1 7-0 201 201 2 1 6-1 6-1 201 -09 6-1 0 201 201 201 6 201 1.0 0.9 1.0 0.9 0.9 0.9 1.1 1.1 1.1 1.1 1.1 1.1 1.5 1.6 1.6 1.5 1.5 1.5 2.4 2.5 2.4 2.4 2.4 2.6 4.7 4.7 4.9 4.6 4.8 4.9 2.4 2.5 2.5 2.4 2.5 2.6 Short Exposure Including IRDs 201 -08 0.1 0.2 0.6 1.4 3.5 1.6 1.0 0.9 1.0 1.0 0.9 0.9 1.2 1.2 1.2 1.2 1.1 1.2 1.7 1.7 1.7 1.6 1.6 1.7 2.9 2.9 2.9 2.8 3.0 3.2 6.2 6.7 6.3 6.0 6.5 6.8 3.3 3.5 3.6 3.3 3.6 3.6 Long Exposure Excluding IRDs 201 6-0 8 6-0 8 0.1 0.3 0.8 2.1 5.7 2.7 6-0 8 6-0 7 -06 201 6 201 -07 0.1 0.2 0.6 1.3 3.3 1.5 1.0 1.1 1.5 2.4 4.5 2.4 201 -07 -07 0.1 0.3 0.7 2.0 5.8 2.6 1.0 1.2 1.7 2.9 6.4 3.4 201 201 201 6 201 6 6-0 6 6-0 6 0.1 0.2 0.6 1.3 3.4 1.4 0.9 1.1 1.5 2.4 4.5 2.4 201 6 201 201 0.1 0.3 0.8 2.0 5.1 2.4 0.9 1.1 1.6 2.9 6.4 3.3 201 7-0 7 0.1 0.2 0.6 1.3 3.6 1.5 1.0 1.1 1.5 2.3 4.6 2.3 201 6-0 5 6-0 5 0.1 0.3 0.8 2.1 5.4 2.6 6-0 6 201 6 -05 201 6 6-0 5 201 -04 0.0 0.2 0.6 1.3 3.5 1.4 1.0 1.1 1.5 2.5 4.7 2.4 201 -04 6-0 3 0.0 0.2 0.6 1.4 3.1 1.4 4 0.1 0.3 0.8 2.1 5.4 2.5 1.0 1.2 1.7 2.9 6.2 3.3 201 3 6-0 4 201 6-0 6-0 3 6-0 3 201 6 201 0.1 0.3 0.8 2.0 5.4 2.5 201 6-0 2 6-0 0.1 0.2 0.6 1.3 3.0 1.4 1.0 1.1 1.5 2.5 4.7 2.3 1.0 1.2 1.7 3.0 6.4 3.4 7-0 6 0.1 0.2 0.6 1.3 3.3 1.3 201 6-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.2 1.7 3.0 6.1 3.3 201 6 2 0.1 0.3 0.8 2.0 5.6 2.4 201 2 2 201 6-0 6-0 201 0.1 0.3 0.8 1.9 5.9 2.3 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.1 1.5 2.2 4.4 2.3 201 0.9 1.1 1.5 2.2 4.1 2.2 1.0 1.2 1.6 2.8 6.1 3.3 201 6-0 6-0 6-0 6-0 201 0.9 1.1 1.5 2.2 4.2 2.2 0.9 1.1 1.6 2.9 6.7 3.3 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 0.9 1.2 1.6 2.8 6.1 3.2 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 1 Long Exposure Including IRDs 0.1 0.2 0.6 1.5 4.2 1.7 August 2, 2018 B Analytics Office Industry Concentration Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26. Month 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 2017-10 2017-11 2017-12 Top 10 Advisers (NAV) 17.6 17.4 17.4 17.9 18.0 18.0 18.0 18.0 18.0 18.1 18.1 18.1 18.6 18.6 18.6 18.5 18.5 18.5 18.6 18.6 18.6 18.4 18.4 18.5 Top 20 Advisers (NAV) 27.5 27.3 27.3 27.8 28.0 28.0 27.9 27.9 27.9 27.9 27.9 27.9 28.2 28.2 28.2 28.1 28.1 28.1 28.1 28.1 28.1 27.8 27.7 27.8 25 Top 10 Advisers (GNE) 35.8 38.2 35.9 37.4 38.2 37.1 38.1 38.9 38.7 39.6 40.0 36.8 38.4 39.0 37.3 36.1 36.5 36.3 36.6 37.4 36.2 36.0 36.3 36.6 Top 20 Advisers (GNE) 50.0 51.4 49.1 51.2 51.7 51.0 52.4 52.8 52.8 53.2 53.4 50.8 52.2 52.8 51.1 50.1 50.5 50.5 51.1 52.5 50.8 51.3 52.0 51.9 August 2, 2018 C Analytics Office Portfolio Turnover Table 30: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2017-01 2017-02 2017-03 2017-04 2017-05 2017-06 2017-07 2017-08 2017-09 2017-10 2017-11 2017-12 Futures 8,762 10,272 11,639 8,476 9,577 12,915 7,649 9,564 11,718 8,570 13,406 11,117 11,430 12,332 14,741 11,035 12,042 17,107 11,207 10,895 13,554 8,837 10,447 13,442 Sov. and muni. bonds 2,265 2,439 2,104 2,073 2,588 2,793 2,346 2,515 3,114 2,434 3,481 2,265 2,596 2,750 2,735 1,992 3,001 2,963 2,673 2,932 2,997 2,646 2,857 2,459 Listed equities 2,190 2,239 2,036 1,972 1,969 2,108 1,824 1,874 1,937 1,887 2,235 1,785 1,855 1,869 2,043 1,846 2,189 2,187 2,099 2,385 2,260 2,222 2,400 2,082 Corporate bonds 110 101 119 111 110 99 89 90 104 97 95 70 123 105 125 85 131 115 101 92 109 107 210 70 Convertible bonds 15 15 18 22 17 21 14 19 20 24 19 17 20 21 25 16 25 23 17 21 24 29 25 15 Total 13,342 15,065 15,916 12,653 14,261 17,936 11,921 14,062 16,894 13,013 19,236 15,255 16,025 17,078 19,669 14,975 17,387 22,395 16,098 16,325 18,944 13,840 15,941 18,068 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 0.2 0.5 2.2 14.6 7.9 0.0 0.1 0.5 2.6 17.8 8.5 0.0 0.2 0.6 2.9 19.5 9.4 0.0 0.1 0.4 2.0 15.2 6.5 0.0 0.1 0.6 2.7 16.3 7.5 0.0 0.2 0.6 2.5 19.6 9.3 0.0 0.1 0.4 1.9 13.9 7.0 0.0 0.1 0.4 2.3 19.0 6.9 0.0 0.1 0.5 2.4 20.7 7.8 0.0 0.1 0.4 1.8 13.0 6.5 0.0 0.1 0.5 2.1 13.9 7.4 0.0 0.1 0.5 2.1 13.8 7.6 7-1 7-1 7-0 6-1 6-0 -12 0.0 0.2 0.5 2.4 16.7 8.7 1 201 7 7-1 2 1 201 0 7-1 0.1 0.2 0.7 2.9 18.6 10.2 0 201 7-1 201 9 201 201 7-0 201 201 7-0 9 -08 201 7 8 7-0 201 0.0 0.1 0.4 2.0 14.2 7.7 -06 201 0.0 0.1 0.5 2.1 18.2 8.1 26 7-0 7 7-0 6 201 7-0 7 5 201 7 201 201 7 0.0 0.1 0.4 2.0 12.3 7.0 -05 201 7-0 -04 201 7-0 3 0.0 0.1 0.4 1.8 12.0 6.6 4 201 7-0 2 201 3 7-0 1 201 0.0 0.2 0.5 2.2 19.0 9.1 6-1 2 0.0 0.1 0.5 2.1 13.5 7.9 -11 0.0 0.1 0.5 1.9 12.7 6.8 0 0.0 0.2 0.5 2.3 12.7 7.6 6 0.0 0.2 0.6 2.3 10.6 7.5 3 0.0 0.1 0.5 2.1 10.2 7.4 -02 201 201 7 2 0.1 0.3 1.1 4.9 37.6 26.5 201 6 7-0 0.1 0.3 1.2 5.1 43.1 25.3 201 7-0 0.1 0.3 1.0 4.7 35.7 20.7 201 6-0 9 201 0.1 0.3 1.1 6.0 59.2 31.5 -07 201 0.1 0.3 1.0 5.3 44.7 27.9 201 6-0 8 201 0.1 0.3 1.0 4.5 42.4 22.5 201 6 0.1 0.4 1.4 7.6 51.2 35.0 5 0.1 0.4 1.3 6.2 50.4 27.7 201 6-0 0.1 0.3 1.1 5.1 35.2 22.7 4 0.1 0.4 1.5 7.0 55.7 33.9 201 6-0 201 2 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.4 0.3 0.3 0.3 1.2 1.1 1.5 1.1 1.2 1.3 6.2 5.1 6.8 5.6 5.5 6.1 46.3 35.3 51.6 43.6 42.0 43.2 29.6 22.3 32.9 25.9 25.6 29.6 Total Turnover to NAV Ratio 6-1 0.1 0.3 1.1 5.5 35.0 24.0 6-0 201 7-0 1 201 6-0 9 0 201 6-0 8 0.1 0.3 1.1 4.7 30.0 19.6 6-1 -07 201 6 0.1 0.4 1.3 6.2 39.1 29.1 201 201 6-1 1 5 201 6-0 0.1 0.3 1.2 5.1 31.0 24.4 201 6 4 201 6-0 3 6-0 0.1 0.3 1.2 4.8 30.5 20.4 6-0 201 0.1 0.3 1.4 5.9 32.3 26.3 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean -02 201 0.1 0.3 1.3 6.6 28.3 24.9 201 6 1 201 6 0.0 0.3 1.3 5.4 28.3 23.0 201 6-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 6-0 Total Turnover ($ Billions) August 2, 2018 D Analytics Office Region and Country Exposure Table 31: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2016Q1 3,879 1,216 619 101 61 30 21 22 2016Q2 3,943 1,198 601 91 62 30 21 22 2016Q3 4,106 1,219 611 91 67 33 19 20 2016Q4 4,077 1,223 531 87 64 46 18 18 2017Q1 4,406 1,709 596 95 80 60 19 20 2017Q2 4,500 1,669 600 102 78 68 23 23 2017Q3 5,089 1,708 713 108 77 67 24 23 2017Q4 4,526 1,660 673 133 91 75 31 26 Table 32: Large Hedge Fund Adviser Hedge Fund Region Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East 2016Q1 134.1 42.1 21.4 3.5 2.1 1.0 0.7 0.8 2016Q2 136.4 41.4 20.8 3.2 2.1 1.0 0.7 0.8 2016Q3 138.4 41.1 20.6 3.1 2.3 1.1 0.6 0.7 2016Q4 136.3 40.9 17.7 2.9 2.1 1.5 0.6 0.6 27 2017Q1 141.7 55.0 19.2 3.1 2.6 1.9 0.6 0.6 2017Q2 142.9 53.0 19.0 3.2 2.5 2.2 0.7 0.7 2017Q3 155.9 52.3 21.8 3.3 2.4 2.0 0.7 0.7 2017Q4 135.6 49.7 20.2 4.0 2.7 2.2 0.9 0.8 August 2, 2018 Analytics Office Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2016Q1 3,638 290 139 42 28 11 2016Q2 3,659 264 129 35 30 13 2016Q3 3,920 263 136 36 35 15 2016Q4 3,866 219 129 37 30 14 2017Q1 4,182 231 130 40 32 17 2017Q2 4,246 229 144 42 35 13 2017Q3 4,824 233 152 45 37 16 2017Q4 4,312 245 164 60 47 18 2017Q3 147.8 7.1 4.7 1.4 1.1 0.5 2017Q4 129.1 7.3 4.9 1.8 1.4 0.5 Table 34: Large Hedge Fund Adviser Hedge Fund Country Exposure (Percent of Aggregate NAV) As reported on Form PF, Questions 3(a) and 28. Country United States Japan China (Inc. Hong Kong) Brazil India Russia 2016Q1 125.8 10.0 4.8 1.4 1.0 0.4 2016Q2 126.5 9.1 4.4 1.2 1.0 0.4 2016Q3 132.1 8.9 4.6 1.2 1.2 0.5 28 2016Q4 129.3 7.3 4.3 1.2 1.0 0.5 2017Q1 134.5 7.4 4.2 1.3 1.0 0.5 2017Q2 134.9 7.3 4.6 1.3 1.1 0.4 August 2, 2018 IX 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. -1 2 201 7 7-1 201 1.0 1.2 1.9 3.5 7.4 3.6 201 7 7-1 1.0 1.2 1.9 3.5 7.3 3.6 -12 7-1 201 1.0 1.2 1.8 3.3 6.7 3.2 201 201 8 7-0 1.0 1.2 1.9 3.4 6.9 3.4 1 7-1 201 1.0 1.2 1.9 3.3 6.6 3.4 201 7-0 7-0 201 1.0 1.2 1.9 3.3 6.8 3.3 201 7-0 201 1.0 1.2 1.9 3.4 7.1 3.5 1 201 7 -0 9 1.0 1.3 2.0 3.4 7.3 3.5 5 4 201 7-0 3 7-0 1.0 1.2 1.9 3.3 6.8 3.2 0 201 7 -0 8 1.0 1.3 2.0 3.4 6.9 3.3 201 7-0 7-0 1.0 1.3 2.0 3.5 6.8 3.2 201 6-1 201 201 2 1 6-1 201 29 1.0 1.2 1.9 3.3 6.2 3.1 0 201 7-0 7 1.1 1.4 2.1 4.4 9.5 4.9 7-0 9 201 7-0 6 1.1 1.5 2.3 4.7 11.4 5.5 7 201 7-0 5 1.1 1.5 2.3 4.6 11.0 5.4 6 201 1.1 1.4 2.2 4.3 9.4 4.7 1.0 1.3 1.9 3.4 7.0 3.3 4 201 7 -0 3 1.1 1.5 2.3 4.5 9.8 5.1 7-0 201 7 -0 2 1.1 1.5 2.3 4.4 9.7 5.0 2 1.1 1.5 2.2 4.4 9.5 4.7 1 6 -1 2 201 7-0 1 1.1 1.6 2.3 4.7 10.3 4.9 201 1.1 1.5 2.3 4.6 10.4 4.9 1.0 1.3 1.9 3.5 6.6 3.3 201 6-1 1 1.1 1.4 2.3 4.4 9.6 4.4 6-1 0 1.1 1.5 2.3 4.6 10.0 4.7 201 9 9 1.0 1.2 1.9 3.2 6.4 3.1 1.1 1.6 2.3 4.6 9.7 4.6 6-1 0 201 6-0 1.0 1.3 1.9 3.4 6.5 3.1 1.1 1.1 1.1 1.5 1.6 1.5 2.3 2.3 2.2 4.6 4.6 4.4 9.4 9.5 8.3 4.5 4.6 4.2 Excluding IRDs 201 8 201 6-0 1.1 1.5 2.2 4.3 8.6 4.2 6-0 8 6-0 7 201 6-0 -07 1.0 1.3 1.9 3.3 6.5 3.2 1.1 1.6 2.3 4.6 9.3 4.6 201 201 6 1.0 1.2 1.9 3.3 6.0 3.0 1.1 1.6 2.3 4.6 9.1 4.6 201 6 5 6-0 201 6-0 6 1.0 1.3 1.9 3.3 6.4 3.1 1.1 1.5 2.2 4.3 8.6 4.4 201 201 6-0 1.0 1.3 1.9 3.3 6.4 3.2 5 201 6-0 3 6-0 4 201 1.1 1.6 2.3 4.6 8.8 4.7 201 201 6-0 6-0 1.0 1.2 1.9 3.1 5.7 2.9 1.1 1.5 2.3 4.5 8.9 4.8 6-0 4 1.0 1.3 1.9 3.2 6.2 3.1 3 2 1.1 1.5 2.2 4.3 8.5 4.3 201 6-0 1 1.0 1.3 2.0 3.3 6.3 3.2 201 6-0 201 6-0 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.1 1.6 2.3 4.7 8.9 4.9 201 201 1.2 1.6 2.3 4.6 8.7 4.9 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 6-0 2 Including Interest Rate Derivatives (IRDs) 1.0 1.1 1.8 3.2 6.6 3.2 August 2, 2018 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. 30 1 2 7-1 201 7 -1 0.0 0.2 0.6 1.4 3.2 1.4 0.0 0.2 0.6 1.4 3.2 1.4 0.0 0.2 0.5 1.3 3.0 1.3 -12 -12 1 1 0.1 0.3 0.7 2.0 5.2 2.3 1.0 1.1 1.4 2.2 4.0 2.2 0.1 0.3 0.7 1.8 4.7 2.2 201 7-1 2 1 0.1 0.3 0.7 2.0 4.7 2.3 201 7 7-1 7-1 0.1 0.3 0.7 1.8 4.3 2.1 1.0 1.1 1.6 2.7 5.6 3.0 201 7 0 7-1 201 0 7-1 201 7-1 0 1.0 1.1 1.5 2.3 4.5 2.4 201 9 201 201 1.0 1.1 1.5 2.3 4.4 2.4 201 201 7-0 9 1.0 1.2 1.7 2.8 6.5 3.4 201 7-1 0.0 0.2 0.6 1.3 3.0 1.3 1.0 1.2 1.7 2.8 6.5 3.3 201 7-1 0 0.0 0.2 0.6 1.3 3.0 1.4 0.0 0.2 0.6 1.3 3.0 1.3 7-0 7-0 8 201 7-0 9 8 0.1 0.3 0.7 1.9 4.3 2.2 201 7-0 0.1 0.3 0.7 1.9 4.4 2.1 1.0 1.1 1.4 2.2 4.1 2.2 201 -07 201 7-0 8 7 7-0 1.0 1.1 1.5 2.3 4.3 2.3 201 201 1.0 1.1 1.4 2.3 4.0 2.2 201 1.0 1.1 1.6 2.7 5.4 2.9 7-0 7 7-0 6 1.0 1.2 1.7 2.8 5.7 3.1 201 6 7-0 201 5 1.0 1.2 1.6 2.8 5.7 3.1 0.1 0.3 0.7 1.8 4.4 2.0 201 5 0.0 0.2 0.6 1.4 3.1 1.4 201 7 201 6 7-0 201 5 7-0 1.0 1.1 1.5 2.2 4.1 2.2 7-0 0.1 0.3 0.8 2.0 4.9 2.1 7-0 4 7-0 5 201 7-0 4 201 7-0 4 1.0 1.2 1.6 2.7 5.5 2.9 201 7-0 -04 0.0 0.2 0.6 1.3 3.1 1.4 1.0 1.1 1.5 2.3 4.4 2.3 201 3 201 3 201 201 3 7-0 0.0 0.2 0.6 1.3 3.1 1.3 0.1 0.3 0.7 1.9 4.7 2.1 201 7 7-0 201 2 0.1 0.3 0.7 2.0 5.0 2.0 201 0.0 0.2 0.6 1.3 3.1 1.3 1.0 1.1 1.5 2.3 4.3 2.3 3 7-0 2 7-0 7-0 1.0 1.1 1.5 2.2 4.1 2.2 1.0 1.2 1.7 2.9 6.0 3.1 7-0 9 0.0 0.2 0.6 1.3 3.0 1.2 1.0 1.2 1.7 2.9 6.1 3.0 201 7-0 8 0.0 0.2 0.5 1.4 2.8 1.2 201 7-0 1 6-1 2 1 0 6-1 201 0.0 0.2 0.5 1.4 3.0 1.3 201 7-0 2 7-0 2 7-0 201 7-0 1 2 201 6-1 1 -10 6-1 201 201 201 6-1 0.0 0.2 0.6 1.4 3.0 1.3 201 1 7-0 201 201 6-1 2 1 -10 6-1 201 201 6-0 9 201 6 201 6 6-0 9 0.0 0.2 0.5 1.3 2.8 1.1 201 6-0 9 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.3 0.3 0.7 0.8 0.7 0.7 0.7 0.8 1.8 2.0 2.0 1.8 2.0 2.0 4.0 4.5 4.5 4.2 4.6 4.9 1.8 1.9 2.0 1.8 1.9 2.1 Short Exposure Excluding IRDs 1.0 1.2 1.6 2.8 5.3 2.7 201 1 7-0 201 201 2 1 6-1 6-1 201 -09 6-1 0 201 201 201 6 201 1.0 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.1 1.1 1.1 1.1 1.5 1.5 1.5 1.5 1.5 1.5 2.2 2.3 2.3 2.2 2.3 2.3 3.8 4.0 4.0 3.8 4.1 4.1 2.1 2.2 2.2 2.1 2.2 2.2 Short Exposure Including IRDs 201 -08 0.0 0.2 0.5 1.3 2.8 1.2 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.2 1.2 1.6 1.7 1.7 1.6 1.7 1.7 2.7 2.8 2.8 2.7 2.9 2.9 5.0 5.3 5.3 4.8 5.5 5.5 2.7 2.8 2.8 2.6 2.8 2.8 Long Exposure Excluding IRDs 201 6-0 8 6-0 8 0.1 0.3 0.8 1.8 4.3 1.9 6-0 8 6-0 7 -06 201 6 201 -07 0.0 0.2 0.6 1.3 2.8 1.2 1.0 1.1 1.4 2.3 3.9 2.1 201 -07 -07 0.1 0.3 0.8 1.8 4.3 1.9 1.0 1.2 1.6 2.8 5.4 2.8 201 201 201 6 201 6 6-0 6 6-0 6 0.0 0.2 0.5 1.3 2.8 1.1 1.0 1.1 1.5 2.3 3.9 2.2 201 6 201 201 0.1 0.3 0.7 1.8 4.0 1.8 1.0 1.2 1.6 2.8 5.2 2.8 201 7-0 7 0.0 0.2 0.5 1.2 2.9 1.2 1.0 1.1 1.5 2.2 3.6 2.1 201 6-0 5 6-0 5 0.1 0.3 0.8 1.9 4.1 2.0 6-0 6 201 6 -05 201 6 6-0 5 201 -04 0.0 0.2 0.6 1.2 3.1 1.2 1.0 1.1 1.5 2.2 3.9 2.1 201 -04 6-0 3 0.0 0.2 0.5 1.2 2.7 1.1 4 0.1 0.3 0.8 1.9 4.4 2.0 1.0 1.2 1.6 2.7 5.0 2.8 201 3 6-0 4 201 6-0 6-0 3 6-0 3 201 6 201 0.0 0.3 0.7 1.8 4.2 1.9 201 6-0 2 6-0 0.0 0.2 0.6 1.2 2.7 1.1 1.0 1.1 1.4 2.2 3.7 2.1 1.0 1.2 1.7 2.8 5.1 2.8 7-0 6 0.0 0.2 0.6 1.3 2.9 1.2 201 6-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.2 1.7 2.8 5.4 2.8 201 6 2 0.1 0.3 0.8 1.9 4.4 2.0 201 2 2 201 6-0 6-0 201 0.1 0.3 0.8 1.9 4.3 2.1 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 1.0 1.1 1.4 2.1 3.5 2.0 201 1.0 1.1 1.5 2.2 3.6 2.1 1.0 1.2 1.6 2.6 4.6 2.7 201 6-0 6-0 6-0 6-0 201 1.0 1.1 1.5 2.2 3.7 2.1 1.0 1.2 1.7 2.7 5.1 3.0 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 201 1.0 1.2 1.7 2.8 5.1 3.0 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 1 Long Exposure Including IRDs 0.0 0.2 0.5 1.3 3.0 1.3 August 2, 2018 B Analytics Office Gross Exposure by Strategy5 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2016Q1 1,360 865 268 221 5 812 784 547 127 38 45 28 555 486 *** 33 *** 358 170 97 92 356 316 40 98 *** *** 40 4,363 2016Q2 1,367 850 274 237 6 828 781 541 128 35 42 34 595 523 *** 35 *** 325 166 85 75 363 328 35 115 109 6 42 4,417 2016Q3 1,431 878 284 265 5 837 763 517 129 38 43 36 668 599 *** 34 *** 335 172 91 72 267 227 40 123 *** *** 42 4,467 2016Q4 1,408 841 288 273 6 851 701 469 123 39 41 28 697 614 *** 38 *** 324 173 80 71 274 231 43 124 *** *** 43 4,421 2017Q1 1,495 880 310 *** *** 884 717 488 115 44 41 30 702 621 44 35 3 342 172 94 77 283 240 43 140 131 9 42 4,606 2017Q2 1,560 906 330 *** *** 940 784 541 120 47 48 29 661 579 *** 35 *** 353 167 100 86 285 240 45 147 144 3 48 4,777 2017Q3 1,646 926 369 *** *** 974 851 601 119 49 50 31 709 626 *** 38 *** 359 170 100 89 289 240 49 145 143 2 49 5,023 2017Q4 1,677 945 371 *** *** 1,006 760 518 119 50 46 27 671 586 *** 40 *** 353 167 101 86 287 235 51 152 149 3 49 4,954 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. 31 August 2, 2018 Analytics Office Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category Equity Other Relative Value Macro Event Driven Credit Managed Futures/CTA Investment in other funds Total Strategy Subtotal Long/Short Long Bias Market Neutral Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Conv. Arb. F.I. Corp. Volatility Arb. Subtotal Global Macro Currency Commodity Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total 2016Q1 51.2 32.6 10.1 8.3 0.2 30.6 29.5 20.6 4.8 1.4 1.7 1.1 20.9 18.3 *** 1.2 *** 13.5 6.4 3.6 3.4 13.4 11.9 1.5 3.7 *** *** 1.5 164.4 2016Q2 51.2 31.8 10.3 8.9 0.2 31.0 29.3 20.3 4.8 1.3 1.6 1.3 22.3 19.6 *** 1.3 *** 12.2 6.2 3.2 2.8 13.6 12.3 1.3 4.3 4.1 0.2 1.6 165.4 32 2016Q3 52.2 32.1 10.3 9.7 0.2 30.6 27.9 18.9 4.7 1.4 1.6 1.3 24.4 21.9 *** 1.3 *** 12.2 6.3 3.3 2.6 9.7 8.3 1.5 4.5 *** *** 1.5 163.0 2016Q4 51.3 30.7 10.5 10.0 0.2 31.0 25.5 17.1 4.5 1.4 1.5 1.0 25.4 22.4 *** 1.4 *** 11.8 6.3 2.9 2.6 10.0 8.4 1.6 4.5 *** *** 1.6 161.1 2017Q1 52.9 31.1 11.0 *** *** 31.3 25.3 17.2 4.0 1.6 1.4 1.1 24.8 21.9 1.6 1.2 0.1 12.1 6.1 3.3 2.7 10.0 8.5 1.5 4.9 4.6 0.3 1.5 162.8 2017Q2 53.8 31.2 11.4 *** *** 32.4 27.0 18.6 4.1 1.6 1.6 1.0 22.8 20.0 *** 1.2 *** 12.2 5.8 3.4 3.0 9.8 8.3 1.6 5.1 5.0 0.1 1.6 164.7 2017Q3 55.0 30.9 12.3 *** *** 32.5 28.4 20.1 4.0 1.7 1.7 1.1 23.7 20.9 *** 1.3 *** 12.0 5.7 3.3 3.0 9.7 8.0 1.6 4.9 4.8 0.1 1.6 167.7 2017Q4 54.8 30.9 12.1 *** *** 32.9 24.8 16.9 3.9 1.6 1.5 0.9 21.9 19.2 *** 1.3 *** 11.5 5.4 3.3 2.8 9.4 7.7 1.7 5.0 4.9 0.1 1.6 161.9 August 2, 2018 C Analytics Office Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 10, and 20. Strategy Relative Value Macro Multi-Strategy Other Equity Credit Event Driven Managed Futures/CTA Investment in other funds 2016Q1 4.5 2.8 1.9 1.6 1.6 1.5 1.4 1.2 1.1 2016Q2 4.7 3.1 1.8 1.6 1.6 1.5 1.4 1.2 1.1 2016Q3 4.2 3.1 2.4 1.6 1.6 1.6 1.3 1.2 1.1 2016Q4 4.1 3.2 2.4 1.6 1.6 1.5 1.3 1.2 1.1 2017Q1 4.6 3.6 2.3 1.6 1.6 1.6 1.3 1.2 1.1 2017Q2 5.1 3.5 2.2 1.6 1.6 1.6 1.3 1.9 1.0 2017Q3 5.1 3.8 2.3 1.6 1.6 1.5 1.3 1.2 *** 2017Q4 4.7 3.6 2.2 1.7 1.6 1.5 1.3 1.2 1.0 Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month). Strategy Macro Relative Value Managed Futures/CTA Multi-Strategy Other Credit Equity Event Driven Investment in other funds 2016Q1 14.7 16.1 9.8 7.0 4.1 4.1 3.4 2.1 1.9 2016Q2 14.6 16.9 7.3 7.1 4.5 4.0 3.2 2.1 1.4 2016Q3 11.2 16.9 8.2 11.0 4.6 2.9 3.1 2.0 1.5 2016Q4 13.3 16.4 7.3 10.1 4.7 2.7 3.1 2.0 1.4 2017Q1 16.4 19.1 8.0 8.0 5.0 3.3 3.2 2.2 1.7 2017Q2 17.5 17.7 9.5 7.9 5.3 3.0 3.2 2.0 1.6 2017Q3 19.9 18.7 8.4 9.0 5.4 3.1 3.2 2.0 *** 2017Q4 21.9 18.4 10.0 8.6 5.4 3.2 3.2 2.0 1.7 Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month). Strategy Managed Futures/CTA Macro Multi-Strategy Other Relative Value Equity Credit Event Driven Investment in other funds 2016Q1 57.7 44.0 25.5 24.5 27.8 13.0 12.0 10.0 10.3 2016Q2 68.3 42.8 26.4 26.5 27.2 13.9 14.1 12.0 8.4 2016Q3 68.8 40.9 26.9 26.8 21.6 11.2 10.9 11.6 6.2 33 2016Q4 67.7 40.0 28.1 25.6 22.5 12.3 11.7 11.5 5.5 2017Q1 65.5 36.6 25.5 21.5 22.7 10.6 9.8 8.0 3.4 2017Q2 61.2 39.0 22.4 20.6 20.4 11.5 10.9 11.1 6.2 2017Q3 59.0 38.6 24.9 21.3 21.5 9.7 9.9 10.0 *** 2017Q4 58.0 38.5 24.8 21.0 19.8 10.2 9.8 9.7 9.4 August 2, 2018 D Analytics Office Investment Exposures Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - G10 (non-US) Securities - Treasuries Securities - MBS Securities - Other Bonds Securities - Corp. Bonds Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Other Derivatives - Commodity Repurchase Agreements Other 2016Q1 723 2,049 744 1,002 237 209 250 67 79 3,566 2,640 953 732 133 246 1,045 642 2016Q2 734 2,000 723 1,059 250 234 246 63 73 3,645 2,581 1,005 608 120 290 1,060 648 2016Q3 694 2,139 797 1,116 258 213 252 71 76 3,759 2,478 1,081 630 138 307 1,113 669 2016Q4 675 2,116 972 1,140 227 196 252 69 76 3,546 2,442 1,115 598 137 325 1,156 679 2017Q1 681 2,302 1,033 1,145 246 209 268 82 75 4,170 2,649 1,195 640 144 330 1,314 701 2017Q2 684 2,396 1,056 1,108 241 240 269 89 77 3,846 2,726 1,228 687 286 332 1,398 731 2017Q3 691 2,522 1,159 1,157 254 270 259 82 75 4,148 3,070 1,297 805 280 369 1,373 780 2017Q4 686 2,602 1,202 1,159 266 261 254 82 78 4,483 3,360 1,369 720 460 379 1,304 755 Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and 30. Cash/Cash Equivalents Securities - Equities Securities - G10 (non-US) Securities - Treasuries Securities - MBS Securities - Other Bonds Securities - Corp. Bonds Securities - Conv. Bonds Securities - ABS (non-MBS) Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Other Derivatives - Commodity Repurchase Agreements Other 2016Q1 87.0 69.3 56.6 69.6 78.7 74.8 80.3 93.3 99.1 49.6 50.4 53.4 46.0 57.0 59.3 43.3 90.5 2016Q2 88.1 69.2 55.5 66.8 76.6 71.6 80.9 95.2 99.4 50.8 52.5 55.0 44.4 58.2 62.2 43.4 90.5 2016Q3 87.3 69.8 53.4 66.6 74.7 78.0 82.9 95.5 99.0 52.8 51.7 55.3 47.3 60.2 63.4 45.3 89.6 34 2016Q4 86.9 70.1 49.6 68.1 76.0 75.4 81.7 95.2 98.7 51.0 48.5 55.1 48.2 58.6 63.4 48.7 89.0 2017Q1 85.0 70.2 49.2 65.3 74.1 78.1 80.9 95.2 98.0 48.3 50.8 56.2 47.1 62.6 64.2 50.0 87.8 2017Q2 86.9 70.0 50.0 63.2 73.6 78.3 79.9 95.6 98.0 47.2 50.1 55.5 47.6 55.2 58.8 49.4 90.3 2017Q3 88.1 70.3 50.0 62.3 71.9 71.5 81.2 94.1 96.7 47.7 49.7 56.8 47.2 53.2 64.0 51.6 86.7 2017Q4 86.0 71.8 50.2 62.9 71.2 74.4 81.5 93.4 96.8 49.4 47.1 57.6 47.5 53.1 64.4 51.9 89.2 August 2, 2018 E Analytics Office Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2016Q1 7.8 14.0 27.5 47.1 60.4 75.3 2016Q2 8.0 14.1 27.3 46.8 60.1 75.6 2016Q3 8.3 14.4 26.5 47.3 61.9 74.7 2016Q4 8.2 14.1 26.6 49.7 58.9 74.2 2017Q1 8.4 14.5 28.6 47.7 59.8 74.2 2017Q2 8.4 14.6 27.2 46.8 59.5 74.0 2017Q3 8.5 14.8 27.7 48.4 61.8 73.7 2017Q4 8.8 15.2 28.2 51.1 60.1 74.0 Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, and 32. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2016Q1 41.6 65.7 78.5 84.6 88.0 91.4 2016Q2 41.6 65.1 78.0 84.1 87.8 91.2 2016Q3 40.1 63.9 77.3 83.8 87.3 90.7 2016Q4 40.1 63.4 76.7 83.1 86.4 89.8 2017Q1 38.3 61.6 76.1 82.2 85.8 89.6 2017Q2 38.6 62.4 76.5 82.6 86.2 89.8 2017Q3 38.0 61.9 76.1 82.4 85.9 89.3 2017Q4 38.7 62.7 76.3 82.6 86.2 89.6 Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Fourth Calendar Quarter 2017 Statistic Port. Liquidity Inv. Liquidity At most 1 day 38.7 8.8 At most 7 days 62.7 15.2 At most 30 days 76.3 28.2 At most 90 days 82.6 51.1 At most 180 days 86.2 60.1 At most 365 days 89.6 74.0 Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type May Suspend May Have Gates Side-Pocketed Gated Suspended 2016Q1 2,122 1,289 38 29 14 2016Q2 2,141 1,307 37 27 16 2016Q3 2,180 1,330 38 30 16 2016Q4 2,154 1,290 38 27 19 35 2017Q1 2,222 1,338 39 27 27 2017Q2 2,275 1,362 38 28 27 2017Q3 2,338 1,396 39 30 22 2017Q4 2,376 1,409 39 38 17 August 2, 2018 Analytics Office Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement As reported on Form PF, Questions 9 and 48. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2016Q1 1.0 2.0 6.0 16.2 28.0 12.9 2016Q2 1.0 3.0 6.0 19.0 29.0 13.6 2016Q3 1.0 3.0 6.0 20.5 31.0 15.5 2016Q4 1.0 3.0 7.0 19.8 31.0 15.6 36 2017Q1 1.0 3.0 8.0 21.5 32.0 16.7 2017Q2 1.0 2.0 7.0 22.0 46.0 16.7 2017Q3 1.0 2.0 7.0 23.0 46.0 17.3 2017Q4 1.0 3.0 7.0 22.0 45.0 18.1 August 2, 2018 F Analytics Office Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Secured Unsecured Total Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total 2016Q1 1,942 977 696 269 10 1,952 2016Q2 1,939 980 692 267 9 1,948 2016Q3 2,079 1,084 729 267 11 2,090 2016Q4 2,057 1,087 675 295 12 2,069 2017Q1 2,239 1,186 739 313 14 2,253 2017Q2 2,391 1,265 795 331 11 2,402 2017Q3 2,437 1,371 721 345 12 2,448 2017Q4 2,419 1,379 685 356 14 2,433 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type US Financial Non-US Financial US Non-Financial Non-US Non-Financial 2016Q1 62.8 36.7 0.4 0.1 2016Q2 62.3 37.3 0.3 0.1 2016Q3 64.7 34.8 0.3 0.2 2016Q4 63.2 36.3 0.3 0.1 2017Q1 61.2 38.4 *** *** 2017Q2 61.1 38.5 0.3 0.1 2017Q3 61.4 38.3 *** *** 2017Q4 61.7 37.9 *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Prime Broker Reverse Repo Other Secured Total Collateral Type Subtotal Other Cash Subtotal Other Cash Subtotal Other Cash Total 2016Q1 1,253 801 452 718 547 171 320 240 79 2,291 2016Q2 1,229 776 454 711 518 194 308 230 78 2,249 2016Q3 1,339 861 478 774 574 200 312 236 77 2,426 37 2016Q4 1,334 857 477 691 451 241 349 210 139 2,375 2017Q1 1,467 949 518 783 517 266 384 254 130 2,634 2017Q2 1,545 1,022 522 786 506 281 407 251 156 2,738 2017Q3 1,674 1,151 523 734 478 256 423 265 158 2,831 2017Q4 1,686 1,183 503 718 455 263 426 262 165 2,830 August 2, 2018 Analytics Office Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds (Winsorized, limits=[0%,98%]) See Appendix C for an explanation of winsorization. As reported on Form PF, Question 43 (Third Month). 38 1.0 1.0 1.1 1.4 1.6 1.3 1.0 1.0 1.1 1.4 1.6 1.3 1.0 1.0 1.1 1.4 1.6 1.3 1.0 1.0 1.0 1.4 1.6 1.5 -1 2 -1 2 0.7 1.0 1.3 2.2 5.0 6.5 -12 1 201 7 1 1 7-1 201 201 7 7-1 201 0 7-1 201 0.7 1.0 1.3 2.2 5.4 3.6 0 7-0 201 8 7-0 201 7-0 7-0 201 5 7-0 201 1.0 1.0 1.1 1.4 1.7 1.2 0.7 1.0 1.3 2.2 4.7 3.2 0.9 1.0 1.3 2.1 4.2 3.0 201 7 1.0 1.0 1.1 1.4 1.6 1.2 201 201 7-0 201 7-0 3 7-0 1.0 1.0 1.1 1.4 1.6 1.2 0 201 7 -0 9 0.8 1.0 1.2 2.2 4.7 3.1 7-1 201 7 -0 9 201 7 -0 8 0.7 1.0 1.3 2.2 4.7 3.2 0.9 1.0 1.3 1.9 4.2 2.3 201 201 7 -0 8 201 7-0 7 0.7 1.0 1.3 2.1 4.4 2.8 0.8 1.0 1.3 2.0 4.2 2.6 9 201 7-0 7 201 7-0 6 0.7 1.0 1.2 2.2 4.7 2.9 7 201 7-0 6 201 7-0 5 0.7 1.0 1.3 2.3 4.8 3.4 0.7 1.0 1.2 2.1 4.5 2.8 6 4 4 0.8 1.0 1.2 2.0 4.0 2.5 7-0 201 7-0 5 0.8 1.0 1.3 2.0 4.0 2.5 7-1 1.0 1.0 1.0 1.3 1.6 1.2 201 2 1 7-0 201 7-0 1.0 1.0 1.0 1.3 1.6 1.2 0.8 1.0 1.2 2.0 4.0 2.5 201 *** *** *** *** *** *** 201 201 6-1 2 1 6-1 1.0 1.0 1.0 1.4 1.6 1.2 0.8 1.0 1.2 2.0 4.5 2.6 7-1 1.0 1.0 1.0 1.4 1.7 1.2 201 -10 201 6 6-0 9 1.0 1.0 1.1 1.4 1.7 1.3 0.8 1.0 1.3 2.0 4.6 2.9 201 201 7 -0 3 201 7 -0 2 201 7-0 1 6 -1 2 201 201 6-1 1 9 6-1 0 201 201 6-0 8 1.0 1.0 1.1 1.4 1.7 1.2 201 6-0 8 0.7 0.7 0.8 0.7 0.7 0.7 0.7 0.7 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.3 1.2 1.3 1.2 1.2 2.0 1.9 2.0 2.0 2.2 2.3 2.1 2.1 4.3 4.1 4.4 4.6 5.1 5.7 4.5 4.5 2.6 2.8 2.8 3.2 3.6 5.0 3.6 4.1 Ratio of Collateral/Reverse Repo Borrowing 0.8 1.0 1.2 1.9 4.1 2.4 4 201 7 -0 3 201 7 -0 2 6 -1 2 201 7-0 1 201 201 6-1 1 9 6-1 0 201 8 201 6-0 201 6-0 6 6-0 7 1.0 1.0 1.1 1.5 1.7 1.3 201 6-0 6-0 7 -07 0.7 1.0 1.2 2.0 4.0 2.2 0.8 0.8 0.8 0.8 0.8 0.8 0.8 0.8 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.2 1.2 1.2 1.3 1.2 1.3 1.9 1.9 1.9 1.9 2.0 2.1 1.9 2.1 3.8 4.0 3.6 3.7 4.3 4.8 4.2 4.3 2.2 2.3 2.2 2.5 2.7 4.2 2.6 2.7 Ratio of Collateral/Prime Broker Borrowing 201 201 201 6 1.0 1.0 1.1 1.4 1.7 1.2 0.8 1.0 1.2 1.9 3.5 1.9 201 6 6-0 201 6-0 201 0.7 1.0 1.2 2.1 4.5 2.4 6-0 6 5 1.0 1.0 1.1 1.5 1.7 1.2 0.8 1.0 1.3 1.9 3.8 2.1 201 6-0 5 -04 1.0 1.0 1.1 1.5 1.7 1.2 0.7 1.0 1.2 2.1 4.4 2.6 201 0.8 1.0 1.2 2.1 4.3 2.4 5 201 6-0 201 6-0 6-0 4 201 6-0 4 201 3 1.0 1.0 1.1 1.4 1.7 1.2 0.8 1.0 1.3 1.9 3.5 2.1 201 6 6-0 3 201 2 1.0 1.0 1.1 1.4 1.6 1.2 3 201 6-0 201 6-0 6-0 2 2 6-0 201 0.8 1.0 1.2 2.1 4.4 2.5 0.9 1.0 1.2 1.9 3.7 2.1 201 1.0 1.0 1.1 1.4 1.6 1.2 0.8 1.0 1.2 2.1 4.8 2.5 6-0 6-0 201 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.9 1.0 1.2 1.9 3.9 2.3 201 201 6 0.8 1.0 1.3 2.1 4.7 2.5 1 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 0.8 1.0 1.2 1.9 4.0 2.2 201 0.9 1.0 1.2 1.9 4.1 2.3 -01 Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 201 6 -01 Ratio of Total Collateral/Total Secured Borrowing *** *** *** *** *** *** *** *** *** *** *** *** 1.0 1.0 1.1 1.4 1.5 1.2 August 2, 2018 Analytics Office Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2016Q1 43.3 52.7 66.5 81.8 96.1 97.6 2016Q2 43.5 52.8 65.8 81.7 95.9 97.4 2016Q3 37.1 53.6 65.2 80.8 96.0 97.5 2016Q4 35.8 48.1 64.0 81.0 95.9 97.3 2017Q1 36.3 52.9 65.0 80.2 95.9 97.3 2017Q2 34.6 53.3 65.3 80.8 96.1 97.4 2017Q3 35.3 51.7 64.0 79.2 95.9 97.3 2017Q4 34.2 49.5 64.7 80.3 95.9 97.2 Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2017. Statistic Financing Liquidity G At most 1 day 34.2 At most 7 days 49.5 At most 30 days 64.7 At most 90 days 80.3 At most 180 days 95.9 At most 365 days 97.2 Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39. Statistic Percent of Funds Percent of NAV 2016Q1 18.2 18.3 2016Q2 17.5 17.4 2016Q3 16.4 17.7 2016Q4 17.6 16.8 39 2017Q1 16.5 17.4 2017Q2 16.9 17.2 2017Q3 16.6 16.7 2017Q4 17.5 16.7 August 2, 2018 H Analytics Office Value-at-Risk (“VaR”) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2016Q1 622 240 192 196 38 977 2016Q2 626 237 190 188 41 982 2016Q3 623 239 193 186 46 997 2016Q4 631 234 196 196 42 1,021 2017Q1 640 238 190 202 44 1,034 2017Q2 652 249 190 207 45 1,068 2017Q3 652 271 186 190 43 1,070 2017Q4 666 278 193 188 48 1,137 Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2016Q1 3,079 1,602 729 648 317 1,913 2016Q2 3,205 1,688 756 628 321 1,898 2016Q3 3,269 1,762 746 642 344 1,977 2016Q4 3,225 1,700 731 645 373 1,994 2017Q1 3,428 1,829 737 862 425 2,066 2017Q2 3,516 1,798 760 947 457 2,201 2017Q3 3,624 1,900 767 940 489 2,268 2017Q4 3,587 1,882 806 846 524 2,316 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 40. VaR Method VaR (Any Method) Historical Simulation Parametric Monte Carlo Simulation Other VaR Not Used 2016Q1 1,270 463 457 346 88 1,385 2016Q2 1,293 483 449 336 90 1,378 2016Q3 1,310 501 462 342 94 1,430 40 2016Q4 1,303 479 459 352 94 1,441 2017Q1 1,345 491 465 403 95 1,484 2017Q2 1,377 504 474 424 94 1,524 2017Q3 1,406 561 477 394 94 1,589 2017Q4 1,411 562 490 386 93 1,649 August 2, 2018 I Analytics Office Stress Testing and VaR Table 52: Number of Qualifying Hedge Funds Managed Using VaR or Market Factor Change Testing (“Stress Testing”) As reported on Form PF, Questions 40 and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2016Q1 538 444 84 533 2016Q2 545 454 81 528 2016Q3 548 447 75 550 2016Q4 555 453 76 568 2017Q1 548 451 92 583 2017Q2 558 457 94 611 2017Q3 558 467 94 603 2017Q4 592 498 74 639 Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2016Q1 2,861 1,011 218 902 2016Q2 3,001 1,008 204 890 2016Q3 3,090 1,030 179 948 2016Q4 3,045 1,001 179 993 2017Q1 3,189 1,076 240 990 2017Q2 3,244 1,114 271 1,086 2017Q3 3,388 1,178 236 1,089 2017Q4 3,426 1,190 160 1,126 Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 40, and 42. Risk Tool Used Stress and VaR Stress, No VaR No Stress, VaR Neither 2016Q1 1,144 669 125 717 2016Q2 1,162 666 131 712 2016Q3 1,193 666 117 763 2016Q4 1,185 661 117 780 41 2017Q1 1,199 683 146 801 2017Q2 1,230 673 147 850 2017Q3 1,248 712 158 877 2017Q4 1,302 736 108 914 August 2, 2018 Analytics Office X Section 3 Liquidity Fund Specific Information A Liquidity Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64. Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days 2016Q1 81.2 96.0 99.7 100.0 100.0 100.0 2016Q2 77.4 96.0 99.7 100.0 100.0 100.0 2016Q3 80.1 98.3 99.9 100.0 100.0 100.0 2016Q4 80.9 97.3 99.6 99.8 99.9 100.0 2017Q1 78.0 95.5 99.7 100.0 100.0 100.0 2017Q2 79.6 95.2 99.5 99.8 99.9 99.9 2017Q3 79.1 95.5 99.5 99.7 99.8 99.9 2017Q4 80.5 95.5 99.5 99.7 99.8 99.9 Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type May Suspend May Have Gates Suspended Gated 2016Q2 241 207 0 0 2016Q3 232 199 0 0 2016Q4 253 220 0 0 2017Q1 246 215 0 0 2017Q2 255 224 0 0 2017Q3 261 227 0 0 2017Q4 273 237 0 0 Portfolio Characteristics Figure 17: Weighted-Average Maturity of Section 3 Liquidity Funds (Days) 1 7-1 2 0 201 201 201 201 201 201 7-1 201 7-0 201 7-1 8 9 7 7-0 201 7-0 201 7-0 6 5 4 7-0 201 7-0 201 7-0 3 2 1 7-0 2 201 6-1 201 7-0 1 0 6-1 9 201 6-1 8 201 6-0 7 201 6-0 201 6-0 5 6 201 6-0 4 201 6-0 3 201 6-0 201 6-0 6-0 201 Statistic Average WAM Asset-Weighted WAM 201 6-0 1 2 As reported on Form PF, Questions 55. 33.4 43.5 34.5 49.3 36.3 49.6 33.1 45.6 30.2 41.6 30.5 42.1 29.0 41.2 28.3 44.8 30.7 44.8 28.9 42.2 28.3 43.0 29.0 39.3 34.5 42.9 32.0 42.1 31.7 40.3 33.4 41.4 29.0 40.6 29.6 40.8 32.8 42.1 30.6 38.8 31.1 37.4 34.0 39.2 32.1 38.5 32.2 35.6 Figure 18: Weighted-Average Life of Section 3 Liquidity Funds (Days) 2 1 201 201 7-1 201 7-1 0 201 7-0 201 7-1 9 8 7 201 7-0 6 201 7-0 201 7-0 201 7-0 5 4 201 7-0 3 2 201 7-0 1 201 7-0 2 201 7-0 201 6-1 6-1 201 6-1 1 9 0 8 6-0 201 6-0 201 61.7 73.6 63.3 74.0 81.9 81.1 79.6 76.7 80.1 78.8 78.2 78.3 77.8 85.6 74.5 82.6 62.0 78.9 61.1 78.4 61.5 70.4 67.5 74.3 65.1 76.8 65.2 77.5 68.5 81.2 64.1 79.4 58.8 74.0 67.9 77.0 63.8 73.8 63.7 71.7 59.2 68.6 55.8 68.4 55.0 64.5 6-0 201 7 6 6-0 201 5 4 6-0 201 6-0 201 3 2 61.4 70.8 6-0 201 6-0 6-0 201 Statistic Average WAL Asset-Weighted WAL 201 1 As reported on Form PF, Questions 55. Figure 19: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent) 0 7 2 0.95 1.03 7-1 0.82 0.91 201 0.84 0.88 1 1.07 0.83 7-1 0.90 0.70 201 0.88 0.69 9 0.66 0.63 7-1 0.48 0.54 7-0 0.47 0.53 201 0.54 0.49 8 0.46 0.44 7-0 0.47 0.43 201 0.50 0.43 7-0 0.49 0.43 201 0.45 0.43 201 6 7-0 201 5 7-0 201 4 7-0 3 201 7-0 201 7-0 201 2 1 7-0 201 2 201 0.42 0.42 42 6-1 1 6-1 201 6-1 0 9 201 6-0 201 8 6-0 201 7 6 0.41 0.39 6-0 201 6-0 5 6-0 201 4 201 6-0 201 3 6-0 2 0.38 0.36 6-0 201 Statistic Average Gross Yield Asset-Weighted Gross Yield 201 6-0 1 As reported on Form PF, Questions 55. 201 B 2016Q1 232 200 0 0 1.06 1.12 1.03 1.12 1.03 1.13 1.06 1.13 1.03 1.16 1.17 1.31 August 2, 2018 Analytics Office Figure 20: Ratio of Daily Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) 1 201 7-1 2 0 43.06 51.95 45.35 53.09 45.84 51.00 45.96 48.27 45.05 46.95 45.43 45.25 43.59 48.03 43.11 46.92 44.43 47.54 44.65 45.72 43.97 45.71 46.25 45.67 44.50 47.66 46.46 50.09 7-1 201 9 201 7-1 8 43.19 49.64 7-0 201 7 201 49.53 52.41 7-0 201 7-0 6 7-0 201 5 4 7-0 201 3 7-0 201 2 201 7-0 201 7-0 1 2 7-0 201 6-1 1 6-1 201 6-1 201 0 9 201 8 6-0 201 7 46.80 51.92 6-0 201 6 47.42 55.51 6-0 201 45.16 51.56 6-0 46.28 52.78 6-0 201 5 4 45.79 50.43 6-0 201 3 201 45.91 53.39 6-0 201 47.72 56.74 6-0 201 45.12 53.51 6-0 201 Statistic Average DLA Asset-Weighted DLA 2 1 As reported on Form PF, Questions 55. Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value for Section 3 Liquidity Funds (Percent) -12 1 201 7 0 201 7-1 9 201 7-1 8 59.23 55.67 58.12 56.92 58.54 59.65 58.54 57.36 58.62 56.45 58.70 58.38 59.72 57.36 58.87 59.98 60.16 58.91 7-0 201 7-0 7 60.73 58.18 7-0 201 59.10 56.93 7-0 201 59.29 60.06 7-0 201 59.88 62.29 7-0 201 6 5 4 3 201 2 201 7-0 1 57.36 60.37 7-0 201 57.37 57.65 43 7-0 2 6-1 201 1 6-1 201 0 61.64 60.22 6-1 201 9 6-0 201 8 201 57.95 60.07 6-0 201 7 6 57.02 63.11 6-0 55.00 59.26 6-0 201 5 56.13 60.48 6-0 201 4 54.48 57.80 6-0 201 3 201 53.86 59.62 6-0 201 56.31 61.85 6-0 201 53.45 60.12 6-0 201 Statistic Average WLA Asset-Weighted WLA 2 1 As reported on Form PF, Questions 55. August 2, 2018 C Analytics Office Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None 2016Q1 61.1 58.3 52.8 58.3 47.2 36.1 2016Q2 64.9 62.2 54.1 62.2 48.6 32.4 2016Q3 61.1 58.3 55.6 58.3 50.0 36.1 2016Q4 59.1 56.8 56.8 56.8 50.0 38.6 2017Q1 57.8 55.6 55.6 55.6 48.9 40.0 2017Q2 59.6 55.3 55.3 55.3 48.9 38.3 2017Q3 56.5 52.2 52.2 52.2 45.7 41.3 2017Q4 56.2 52.1 52.1 52.1 45.8 41.7 Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type Credit Quality Diversification Liquidity Maturity Fully None D 2016Q1 16.2 16.2 10.8 16.0 10.0 83.6 2016Q2 17.9 17.9 11.3 17.7 10.4 82.0 2016Q3 13.5 13.5 12.2 13.5 11.0 86.1 2016Q4 14.4 13.8 13.6 13.6 11.8 85.5 2017Q1 15.5 14.9 14.8 14.8 12.8 84.3 2017Q2 15.9 14.9 14.7 14.7 12.8 84.0 2017Q3 15.9 14.9 15.0 15.0 12.8 83.9 2017Q4 14.7 13.7 13.7 13.7 11.8 85.2 Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** 2016Q4 81.8 18.2 2017Q1 80.0 20.0 2017Q2 78.7 21.3 2017Q3 78.3 21.7 2017Q4 79.2 20.8 Table 60: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type Stable Floating 2016Q1 *** *** 2016Q2 *** *** 2016Q3 *** *** 2016Q4 69.9 30.1 44 2017Q1 71.4 28.6 2017Q2 68.3 31.7 2017Q3 70.2 29.8 2017Q4 69.1 30.9 August 2, 2018 Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2 As reported on Form PF, Question 56. Product Type U.S. Treasuries Other Deposits Repo - Govt. Collateral Commercial Paper Asset-Backed Securities Repo - Other Collateral U.S. Govt. Debt Municipal Debt 2016Q1 79.7 39.2 32.6 30.9 22.8 12.8 *** 5.5 *** Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 3 3 67.5 71.5 30.7 35.6 14.9 47.3 24.3 4.2 4.7 73.3 73.4 42.4 38.8 15.5 37.2 24.0 4.2 3.0 77.6 65.8 63.8 40.4 33.1 31.2 25.9 4.1 2.5 76.5 69.1 61.9 43.1 30.4 26.3 23.8 3.9 2.1 75.0 64.2 53.7 45.5 30.3 24.2 23.6 4.9 0.8 7-0 62.8 66.2 31.1 36.3 11.4 52.4 24.5 5.3 6.1 7-0 201 2 1 201 55.3 64.8 33.7 26.9 6.4 35.9 22.8 5.9 1.1 7-0 201 -12 201 6 1 55.5 67.2 31.6 26.0 *** 41.7 20.2 5.0 *** 6-1 201 0 58.6 70.3 29.3 27.1 *** 36.6 19.0 5.9 *** 6-1 9 201 55.3 69.9 30.4 25.5 *** 35.6 16.8 5.2 *** 6-0 201 8 201 57.5 67.1 28.0 26.6 *** 40.8 14.0 4.2 *** 6-0 201 6-0 7 6-0 6 5 201 Product Type Deposits U.S. Treasuries Other Commercial Paper Repo - Other Collateral Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt 6-0 51.1 66.8 24.0 28.0 *** 42.8 12.8 4.4 *** 6-0 201 4 As reported on Form PF, Question 63. 201 Table 63: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 3 of 3 2 83.5 61.5 62.8 45.9 38.6 32.7 22.0 4.5 1.3 83.2 56.6 60.6 45.1 46.6 30.9 21.8 4.0 1.1 79.7 55.3 62.1 45.2 48.8 32.5 23.9 5.8 1.1 83.0 61.1 57.1 48.2 40.0 38.6 22.6 5.5 1.1 83.6 66.4 55.7 47.7 36.8 36.7 21.7 5.8 1.1 73.2 69.0 64.7 41.8 32.0 29.6 20.6 5.9 0.9 7-1 201 1 201 77.3 57.5 67.2 41.3 35.4 34.8 21.3 6.0 1.1 7-1 201 7 -10 201 7-0 9 7-0 8 201 81.4 62.8 66.4 44.8 46.4 34.9 25.2 5.3 1.6 45 7-0 7 201 6 201 7-0 Product Type Deposits U.S. Treasuries Other Commercial Paper Repo - Other Collateral Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt 5 7-0 82.0 66.1 55.2 40.5 41.1 26.4 26.7 5.0 1.5 7-0 201 4 As reported on Form PF, Question 63. 201 E Analytics Office August 2, 2018 XI A Analytics Office Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 64: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type Oil & Gas Extraction Software Publishers Electric Power Generation, Transmission & Distribution Data Processing, Hosting, & Related Services Telecommunications Data Processing Services Other Information Services Pipeline Transportation Other Financial Vehicles Management, Scientific, & Technical Consulting Services Pharmaceutical & Medicine Mfg Custom Computer Programming Services Educational Services Other Financial Investment Activities Investigation & Security Services Activities Related to Credit Intermediation Other Insurance Related Activities Utility System Construction Insurance Agencies & Brokerages Natural Gas Distribution Support Activities for Mining Fruit & Vegetable Preserving & Specialty Food Mfg 46 2013Q4 7.9 2.8 3.8 2.9 2.6 2.0 2.4 0.4 1.0 1.0 0.9 1.4 2.0 0.5 1.2 0.9 0.4 0.9 0.5 1.3 0.2 2014Q4 7.8 3.8 3.8 2.3 2.5 2.1 2.6 0.4 1.2 1.3 1.0 1.3 1.8 0.5 1.2 1.0 0.5 1.0 0.4 1.6 0.1 2015Q4 5.8 4.9 3.7 1.8 2.7 1.9 2.4 0.6 1.1 1.5 1.5 1.3 1.8 0.7 1.4 1.0 0.8 1.0 0.6 1.2 0.0 2016Q4 6.7 6.1 4.1 2.0 2.3 1.8 2.2 1.8 1.3 1.4 1.5 1.2 1.7 1.2 1.0 2.0 0.8 1.2 0.7 1.0 0.1 2017Q4 6.2 6.0 4.2 2.3 2.2 2.0 1.9 1.6 1.6 1.5 1.5 1.4 1.4 1.4 1.2 1.2 1.2 1.1 1.0 1.0 1.0 August 2, 2018 B Analytics Office CPC Financial Leverage Figure 22: Ratio of Portfolio Company Current to Total Liabilities (Percent) As reported on Form PF, Questions 71 and 72. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 0.7 1.8 5.7 19.6 49.1 17.0 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 21.4 51.7 17.7 Figure 23: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent) As reported on Form PF, Questions 73. Statistic 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Mean 2013Q4 1.0 4.0 9.0 18.0 33.0 14.8 2014Q4 1.0 3.0 8.0 22.0 40.0 16.8 47 2015Q4 2.0 4.0 9.0 22.0 48.0 18.3 2016Q4 2.0 4.0 9.0 22.0 48.0 18.6 2017Q4 1.0 3.0 8.0 17.0 42.0 16.5 August 2, 2018 C Analytics Office CPC Investments by Region and Country Table 65: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2013Q4 5,279 1,423 571 75 25 65 8 20 2014Q4 4,506 1,259 462 85 9 67 12 12 2015Q4 4,132 941 447 58 21 23 9 12 2016Q4 3,942 848 406 111 22 37 15 18 2017Q4 4,274 1,543 379 258 98 49 23 14 Table 66: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Region North America Europe EEA Asia South America Europe Other Supranational Middle East Africa 2013Q4 70.7 19.1 7.6 1.0 0.3 0.9 0.1 0.3 2014Q4 70.2 19.6 7.2 1.3 0.1 1.0 0.2 0.2 48 2015Q4 73.2 16.7 7.9 1.0 0.4 0.4 0.2 0.2 2016Q4 73.0 15.7 7.5 2.0 0.4 0.7 0.3 0.3 2017Q4 64.4 23.2 5.7 3.9 1.5 0.7 0.3 0.2 August 2, 2018 Analytics Office Table 67: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong Brazil India Japan Russia 2013Q4 5,039 171 45 63 233 3 2014Q4 4,305 186 58 83 98 2 2015Q4 3,943 173 41 89 85 5 2016Q4 3,776 114 88 92 79 4 2017Q4 3,794 147 131 73 52 4 Table 68: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78. Country United States China and Hong Kong Brazil India Japan Russia 2013Q4 67.5 2.3 0.6 0.8 3.1 0.0 2014Q4 67.1 2.9 0.9 1.3 1.5 0.0 49 2015Q4 69.9 3.1 0.7 1.6 1.5 0.1 2016Q4 69.9 2.1 1.6 1.7 1.5 0.1 2017Q4 57.1 2.2 2.0 1.1 0.8 0.1 August 2, 2018 XII 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. 50 August 2, 2018 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. 51 August 2, 2018 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: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C Mitigating the Effects of Outliers Form PF data occasionally contains spurious outliers. While REO staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.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. 52 August 2, 2018 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. 53 August 2, 2018 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. 54 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ae5d601cb4504c789. Public record. Not legal advice.