Private Funds Statistics

Transcription

1 Division of Investment Management Private Funds Statistics First Calendar Quarter 217 October 23, 217 This is a report of the Staff of the Division of Investment Management s (REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein.

2 Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. 1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from Second Calendar Quarter 215 through First Calendar Quarter 217 as reported by Form PF filers. 2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. The Staff continues to work with data reported on Form PF and with filers to identify and correct filing errors. Staff updates reported statistics based on amended filings and also may make certain adjustments to the statistics presented to correct what appear to be clear filing errors. Further, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies and amended filings that change the underlying data could lead to changes in previously reported statistics. If you have any questions or comments about First Calendar Quarter 217 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line First Calendar Quarter 217-Private Funds Statistics. 1 Only SEC-registered advisers with at least $15 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $15 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 212. A full data set was not received until March 213. 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

3 Contents I Number of Funds and Advisers 4 II Gross and Net Assets 5 A Aggregate Assets by Fund Type over Time B Borrowings C Fair Value Hierarchy D Parallel Managed Accounts III Fund Domiciles and Adviser Main Offices 13 IV Beneficial Ownership 15 V Derivatives 19 VI High Frequency Trading 2 VII Hedge Fund Industry Concentration 21 VIII Information Reported by Large Hedge Fund Advisers 23 A Economic Leverage B Industry Concentration C Portfolio Turnover D Region and Country Exposure IX Qualifying Hedge Fund Specific Information 29 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 X Section 3 Liquidity Fund Specific Information 43 A Liquidity B Portfolio Characteristics C Rule 2a-7 Compliance D Methods of Calculating NAV

4 E Aggregate Portfolio Holdings XI Section 4 Private Equity Fund Specific Information 48 A CPC Industry Concentration B CPC Financial Leverage C CPC Investments by Region and Country XII Appendices 52 A Form PF Filer Categories All Private Fund Advisers Large Hedge Fund Advisers Large Liquidity Fund Advisers Large Private Equity Fund Advisers Other Private Fund Advisers B Handling Annual and Quarterly Data C How to Read a Boxplot D Mitigating the Effects of Outliers E Definitions

5 I Number of Funds and Advisers 3 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Equity Fund 8,332 8,25 9,638 9,7 9,711 9,738 1,332 1,35 Hedge Fund 8,845 8,93 8,769 8,897 8,95 8,964 8,883 9,36 Other Private Fund 4,21 4,198 4,128 4,99 4,125 4,117 4,427 4,448 Section 4 Private Equity Fund 2,388 2,362 2,733 2,739 2,741 2,746 3, 3,4 Real Estate Fund 1,81 1,86 2,56 2,93 2,91 2,18 2,424 2,422 Qualifying Hedge Fund 1,589 1,622 1,637 1,594 1,63 1,614 1,647 1,667 Securitized Asset Fund 1,347 1,349 1,46 1,421 1,418 1,417 1,451 1,463 Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total 25,1 25,81 26,698 26,99 26,962 27,62 28,34 28,541 Table 2: Number of Advisers Advising Each Fund Type The Total row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Equity Fund ,15 1,17 1,17 1,16 1,81 1,84 Hedge Fund 1,666 1,664 1,686 1,689 1,683 1,679 1,677 1,676 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 2,724 2,72 2,828 2,829 2,824 2,82 2,888 2,89 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 E for definitions of other capitalized terms used in this report. 4

6 II A Gross and Net Assets 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Hedge Fund 6,213 6,19 5,944 6,43 6,24 6,327 6,259 6,537 Qualifying Hedge Fund 5,144 5,61 4,865 4,876 4,98 5,11 5,74 5,331 Private Equity Fund 1,884 1,844 2,57 2,58 2,6 2,62 2,312 2,32 Section 4 Private Equity Fund 1,35 1,336 1,471 1,472 1,472 1,472 1,644 1,648 Other Private Fund ,66 1,76 Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 1,121 9,976 1,132 1,227 1,411 1,546 1,874 11,161 Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions) As reported on Form PF, Question 9. The Total row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Fund Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Hedge Fund 3,564 3,452 3,429 3,379 3,48 3,465 3,461 3,578 Qualifying Hedge Fund 2,842 2,737 2,711 2,629 2,644 2,71 2,715 2,8 Private Equity Fund 1,742 1,74 1,882 1,881 1,883 1,884 2,68 2,77 Section 4 Private Equity Fund 1,272 1,258 1,376 1,377 1,377 1,377 1,492 1,496 Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total 6,883 6,734 6,978 6,918 6,967 7,39 7,335 7,46 5

7 GAV ($Billions) Q2 215Q3 215Q4 216Q1 Figure 1: GAV and NAV Distributions See Appendix C for an explanation of boxplots. As reported on Form PF, Questions 8 and Q2 216Q3 216Q4 217Q1 NAV ($Billions) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (a) Qualifying Hedge Fund GAV (b) Qualifying Hedge Fund NAV GAV ($Millions) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (c) Section 4 Private Equity Fund GAV NAV ($Millions) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (d) Section 4 Private Equity Fund NAV 6

8 Ratio of GAV to NAV Winsorized (limits=[%,98%]) Figure 2: Ratio of GAV to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 8, 9, and Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (a) All Private Funds Ratio of GAV to NAV Winsorized (limits=[%,98%]) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (b) Qualifying Hedge Funds 7

9 B Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month). Fund Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 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 Total Borrowings ($Millions) Q2 Figure 3: Distribution of Total Borrowings for All Private Funds and Qualifying Hedge Funds See Appendix C for an explanation of boxplots. As reported on Form PF, Questions 12 and 43 (Third Month). 3.5 (a) All Private Funds 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Total Borrowings ($Billions) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (b) Qualifying Hedge Funds 8

10 Ratio of Borrowings to NAV Winsorized (limits=[%,98%]) Figure 4: Ratio of Borrowings to NAV See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 1, 12, and 43 (Third Month) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (a) All Private Funds Ratio of Borrowings to NAV Winsorized (limits=[%,98%]) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (b) Qualifying Hedge Funds 9

11 C Fair Value Hierarchy Table 6: Assets According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Level One 2,265 2,28 2,675 2,48 2,392 2,412 2,82 2,51 Level Two 2,327 2,333 2,433 2,123 2,54 2,46 2,518 2,176 Level Three 2,161 2,144 2,337 2,265 2,258 2,256 2,588 2,57 Cost-Based 1,222 1,28 1,712 1,543 1,51 1,5 1,928 1,647 Table 7: Liabilities According to Fair Value Hierarchy ($ Billions) As reported on Form PF, Question Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Level One Level Two Level Three Cost-Based

12 D Parallel Managed Accounts 4 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Hedge Fund Other Private Fund Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund *** *** *** *** *** *** *** *** Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund *** *** *** *** *** *** *** *** Total 1,45 1,43 1,453 1,454 1,453 1,451 1,51 1,515 Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions) As reported on Form PF, Question 11. The Total row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Hedge Fund Other Private Fund 1,411 1,399 1,329 1,325 1,37 1,361 1,491 1,529 Private Equity Fund Qualifying Hedge Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund *** *** *** *** *** *** *** *** Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund *** *** *** *** *** *** *** *** Total 2,658 2,543 2,495 2,521 2,472 2,533 2,592 2,675 4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers. 11

13 Parallel Managed Assets ($Billions) Q2 Figure 5: Parallel Managed Account Value Distributions See Appendix C for an explanation of boxplots. As reported on Form PF, Question 11. (a) All Private Funds 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Parallel Managed Assets ($Billions) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (b) Qualifying Hedge Funds 12

14 III Fund Domiciles and Adviser Main Offices Table 1: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. All Private Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States Cayman Islands Ireland Virgin Islands, British Luxembourg Bermuda United Kingdom Other Qualifying Hedge Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Cayman Islands United States Virgin Islands, British Ireland Bermuda Luxembourg Other Section 3 Liquidity Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Ireland *** *** *** *** *** *** *** *** United States Cayman Islands *** *** *** *** *** *** *** *** Other *** *** *** *** *** *** *** *** Section 4 Private Equity Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States Cayman Islands United Kingdom Bermuda Canada Other

15 Table 11: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV. All Private Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States United Kingdom Other Qualifying Hedge Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States United Kingdom Hong Kong *** *** *** *** *** *** *** *** Australia *** *** *** *** *** *** *** *** Other Section 3 Liquidity Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States United Kingdom *** *** *** *** *** *** *** *** France *** *** *** *** *** *** *** *** Section 4 Private Equity Funds Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States Canada *** *** *** *** *** *** *** *** Other *** *** *** *** *** *** *** *** 14

16 IV Beneficial Ownership Table 12: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds 1,365 1,337 1,353 1,32 1,316 1,315 1,331 1,347 State/Muni. Govt. Pension Plans ,6 1,27 Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities Table 13: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds State/Muni. Govt. Pension Plans Other Pension Plans U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst SEC-Registered Investment Companies Broker-Dealers State/Muni. Govt. Entities

17 Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst Table 15: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds Non-Profits Pension Plans Other U.S. Individuals State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst Broker-Dealers SEC-Registered Investment Companies Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors State/Muni. Govt. Entities Banking/Thrift Inst

18 Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds Unknown Non-U.S. Investors *** *** Other Broker-Dealers *** *** *** *** *** *** *** *** SEC-Registered Investment Companies Banking/Thrift Inst. *** *** *** *** *** *** 1 *** Insurance Companies Pension Plans *** 5 5 Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. *** *** *** *** *** *** *** *** Non-Profits *** *** *** *** *** *** 1 2 State/Muni. Govt. Pension Plans *** *** *** *** *** *** 1 1 State/Muni. Govt. Entities *** *** *** *** *** *** *** *** U.S. Individuals *** *** *** *** *** *** *** Table 17: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Private Funds Unknown Non-U.S. Investors *** *** Other Broker-Dealers *** *** *** *** *** *** *** *** SEC-Registered Investment Companies Banking/Thrift Inst. *** *** *** *** *** *** 3.6 *** Insurance Companies Pension Plans *** Non-U.S. Individuals Sov. Wealth Funds and For. Official Inst. *** *** *** *** *** *** *** *** Non-Profits *** *** *** *** *** ***.5.6 State/Muni. Govt. Pension Plans *** *** *** *** *** ***.4.6 State/Muni. Govt. Entities *** *** *** *** *** *** *** *** U.S. Individuals. *** *** *** *** *** *** *** 17

19 Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers Table 19: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 State/Muni. Govt. Pension Plans Private Funds Other Sov. Wealth Funds and For. Official Inst Pension Plans Insurance Companies Non-Profits U.S. Individuals Non-U.S. Individuals Banking/Thrift Inst State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers

20 V Derivatives 5 Table 2: Aggregate Derivative Notional ($ Billions) As reported on Form PF, Questions 13 and 44 (Third Month). The Total row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Hedge Fund 1,112 1,283 9,58 9,69 1,49 1,48 1,17 11,182 Qualifying Hedge Fund 8,865 9,25 7,936 8,48 9,45 9,178 8,736 9,718 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 1,332 1,54 9,247 9,875 1,598 1,672 1,32 11,387 Table 21: Aggregate Derivative Notional (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month). Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 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 Staff periodically updates reported statistics based on past identified filing errors that may materially change previously reported values (e.g. this table). The Staff notes that filers should report interest rate derivatives in terms of 1-year bond equivalents see Form PF FAQ

21 VI Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) Figure 6: Distribution of Derivative Notional Values See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 13 and 44 (Third Month) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (a) All Private Funds High Frequency Trading Total Derivative Value ($Billions) Winsorized (limits=[1%,99%]) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 (b) Qualifying Hedge Funds Table 22: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Question 21. Fraction of NAV 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 % 7,339 7,45 7,373 7,45 7,473 7,512 7,465 7,592 Less than 1% % or More Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Questions 9 and 21. Fraction of NAV 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 % 3,455 3,34 3,312 3,259 3,295 3,35 3,349 3,466 Less than 1% % or More

22 VII 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 Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Top Top Top Top Top Top 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 Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Top Top Top Top Top Top 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). 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Top Top Top Top Top Top

23 Table 27: Percent of Aggregate Hedge Fund Derivative Notional Value Reported by Top Hedge Funds Sorted by Derivative Notional Value As reported on Form PF, Questions 13 and 44 (Month 3). 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Top Top Top Top Top Top 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 3 (Month 3). 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Top Top Top Top Top Top

24 VIII Information Reported by Large Hedge Fund Advisers A Economic Leverage Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and 26. Ratio of GNE to NAV Winsorized (limits=[%,98%]) Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) (a) Gross Exposure with Interest Rate Derivatives (IRDs) (b) Gross Exposure without IRDs 23

25 Ratio of LNE to NAV Winsorized (limits=[%,98%]) Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value Distribution See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) (a) Long Exposure with IRDs (b) Long Exposure without IRDs Ratio of SNE to NAV Winsorized (limits=[%,98%]) Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) (c) Short Exposure with IRDs (d) Short Exposure without IRDs 24

26 B 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 Top 1 Advisers (NAV) Top 2 Advisers (NAV) Top 1 Advisers (GNE) Top 2 Advisers (GNE)

27 C Portfolio Turnover Table 3: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27. Month Futures Sov. and muni. bonds Listed equities Corporate bonds Convertible bonds Total ,521 2,673 1, , ,177 2,46 1, , ,231 2,837 1, , ,27 2,35 2, , ,121 2,293 2, , ,25 2,437 1, , ,499 2,2 7, , ,896 2,136 6, , ,844 2,46 7, , ,762 2,264 2, , ,272 2,441 2, , ,639 2,15 2, , ,476 2,74 1, , ,577 2,59 1, , ,915 2,795 2, , ,647 2,346 1, , ,563 2,514 1, , ,717 3,111 1, , ,569 2,433 1, , ,46 3,481 2, , ,117 2,265 1, , ,43 2,595 1, , ,331 2,749 1, , ,738 2,733 2, ,663 Total Turnover ($Billions) Winsorized (limits=[1%,99%]) Figure 9: Distributions of Portfolio Turnover See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 3(a) and (a) Total Turnover Ratio of Turnover to NAV Winsorized (limits=[1%,99%]) (b) Total Turnover to NAV Ratio

28 D 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 North America 3,965 3,867 3,767 3,878 3,942 4,11 4,82 4,48 Europe EEA 1,197 1,186 1,95 1,216 1,198 1,219 1,222 1,74 Asia South America Europe Other Supranational Middle East Africa 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 North America Europe EEA Asia South America Europe Other Supranational Middle East Africa

29 Table 33: Large Hedge Fund Adviser Hedge Fund Country Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28. Country 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States 3,786 3,68 3,597 3,637 3,658 3,923 3,871 4,186 Japan China (Inc. Hong Kong) Brazil India Russia 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 United States Japan China (Inc. Hong Kong) Brazil India Russia

30 IX A Qualifying Hedge Fund Specific Information Economic Leverage Figure 1: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 1, 26, and 3. Ratio of GNE to NAV Winsorized (limits=[%,98%]) (a) Including IRDs Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) (b) Excluding IRDs

31 Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and Short Notional Exposure (SNE) to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Questions 9, 1, 26, and 3. Ratio of LNE to NAV Winsorized (limits=[%,98%]) Ratio of SNE to NAV Winsorized (limits=[%,98%]) (a) LNE Including IRDs (c) SNE Including IRDs Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[%,98%]) (b) LNE Excluding IRDs (d) SNE Excluding IRDs 3

32 B Gross Exposure by Strategy 6 Table 35: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 2. Category Strategy 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Subtotal 1,51 1,43 1,442 1,351 1,362 1,426 1,4 1,482 Long/Short 1, Equity Long Bias Market Neutral *** Short Bias *** Other Subtotal Subtotal F.I. Sov Relative Value F.I. Asset Backed F.I. Conv. Arb F.I. Corp Volatility Arb Subtotal Global Macro Macro Currency *** *** Commodity *** *** 36 Active Trading *** *** *** *** 3 Subtotal Event Driven Distressed/Restruct Equity Risk Arb./Merger Arb Subtotal Credit Long/Short Asset Based Lending Subtotal Managed Futures/CTA Quantitative *** *** *** *** 117 *** *** 14 Fundamental *** *** *** *** 6 *** *** 9 Investment in other funds Subtotal Total Total 4,375 4,259 4,186 4,39 4,361 4,49 4,351 4,529 6 Form PF Question 2 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 2. 31

33 Table 36: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 2. Category Strategy 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Subtotal Long/Short Equity Long Bias Market Neutral *** Short Bias *** Other Subtotal Subtotal F.I. Sov Relative Value F.I. Asset Backed F.I. Conv. Arb F.I. Corp Volatility Arb Subtotal Global Macro Macro Currency *** *** Commodity *** *** 1.2 Active Trading..1.1 *** *** *** ***.1 Subtotal Event Driven Distressed/Restruct Equity Risk Arb./Merger Arb Subtotal Credit Long/Short Asset Based Lending Subtotal Managed Futures/CTA Quantitative *** *** *** *** 4.3 *** *** 4.9 Fundamental *** *** *** ***.2 *** ***.3 Investment in other funds Subtotal Total Total

34 C Leverage by Strategy Table 37: Asset Weighted-Average Ratio of GAV to NAV by Strategy As reported on Form PF, Questions 8, 9, 1, and 2. Strategy 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Relative Value Macro Multi-Strategy Equity Credit Other Event Driven Managed Futures/CTA Investment in other funds Table 38: Asset Weighted-Average Ratio of GNE to NAV by Strategy As reported on Form PF, Questions 9, 1, 2, 26, and 3 (Third Month). Strategy 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Relative Value Macro Multi-Strategy Managed Futures/CTA Other Credit Equity Event Driven Investment in other funds Table 39: Asset Weighted-Average Percent of Unencumbered Cash by Strategy As reported on Form PF, Questions 9, 1, 2, and 33 (Third Month). Strategy 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Managed Futures/CTA Macro Multi-Strategy Relative Value Other Equity Credit Event Driven Investment in other funds

35 D Investment Exposures Table 4: Aggregate Qualifying Hedge Fund Gross Notional Exposure by Asset Type ($ Billions) As reported on Form PF, Questions 26 and Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Cash/Cash Equivalents Securities - Equities 2,223 2,38 2,62 1,969 1,925 2,5 2,33 2,29 Securities - Treasuries 995 1, ,48 1,6 1,38 Securities - G1 (non-us) Securities - Corp. Bonds Securities - MBS Securities - Other Bonds Securities - ABS (non-mbs) Securities - Conv. Bonds Derivatives - IR 3,2 3,438 3,115 3,397 3,51 3,538 3,336 3,979 Derivatives - FX 2,416 2,497 2,269 2,513 2,445 2,336 2,318 2,516 Derivatives - Equity 1, ,68 1,13 1,178 Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements 1,38 1, ,14 1,49 1,13 1,135 1,276 Other Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure Representing Long Notional Exposure As reported on Form PF, Questions 26 and Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Cash/Cash Equivalents Securities - Equities Securities - Treasuries Securities - G1 (non-us) Securities - Corp. Bonds Securities - MBS Securities - Other Bonds Securities - ABS (non-mbs) Securities - Conv. Bonds Derivatives - IR Derivatives - FX Derivatives - Equity Derivatives - Credit Derivatives - Commodity Derivatives - Other Repurchase Agreements Other

36 E Liquidity Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 5. Liquidation Period 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 At most 1 day At most 7 days At most 3 days At most 9 days At most 18 days At most 365 days Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 26, 3, and 32. Liquidation Period 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 At most 1 day At most 7 days At most 3 days At most 9 days At most 18 days At most 365 days Figure 12: Asset Weighted-Average Qualifying Hedge Fund Investor and Portfolio Liquidity As reported on Form PF, Questions 9, 26, 3, 32, and 5 as of First Calendar Quarter 217. Percent of Fund Net Assets (%) At most 1 day Portfolio Liquidity At most 7 days At most 3 days At most 9 days Investor Liquidity At most 18 days At most 365 days 35

37 Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 May Suspend 2,318 2,213 2,175 2,97 2,116 2,152 2,128 2,195 May Have Gates 1,45 1,378 1,353 1,272 1,29 1,311 1,271 1,318 Side-Pocketed Suspended Gated Figure 13: Percentage of Qualifying Hedge Fund NAV Subject to a Side-Pocket Arrangement See Appendix C for an explanation of boxplots. As reported on Form PF, Questions 9 and NAV in Side-Pocket (%) Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 36

38 F Borrowings Table 45: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Type Subtype 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Subtotal 1,96 1,897 1,781 1,844 1,833 1,96 1,93 2,9 Secured Prime Broker 1,74 1, ,45 1,5 1,14 Reverse Repo Other Secured Unsecured Subtotal Total Total 1,917 1,98 1,791 1,853 1,843 1,971 1,942 2,13 Table 46: Aggregate Borrowing by Creditor Entity Type (Percent) As reported on Form PF, Question 43 (Third Month). Creditor Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 US Financial Non-US Financial US Non-Financial *** *** *** *** Non-US Non-Financial *** *** *** *** Table 47: Aggregate Collateral for Secured Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month). Borrowing Type Collateral Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Subtotal 1,395 1,313 1,289 1,235 1,27 1,314 1,31 1,434 Prime Broker Other Cash Subtotal Reverse Repo Other Cash Subtotal Other Secured Other Cash Total Total 2,295 2,277 2,159 2,197 2,147 2,316 2,25 2,483 37

39 Collateral/Prime Broker Borrowing Winsorized (limits=[%,98%]) Figure 14: Ratio of Collateral Posted to Secured Borrowing for Qualifying Hedge Funds See Appendix C and Appendix D for an explanation of boxplots and winsorization. As reported on Form PF, Question Collateral/Total Secured Borrowing Winsorized (limits=[%,98%]) (b) Prime Broker Borrowing (a) Total Secured Borrowing Collateral/Reverse Repo Borrowing Winsorized (limits=[%,98%]) (c) Reverse Repo Borrowing 38

40 Table 48: Financing Liquidity for Qualifying Hedge Funds (Percent of Available Financing) As reported on Form PF, Question 46. Financing Available 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 At most 1 day At most 7 days At most 3 days At most 9 days At most 18 days At most 365 days Figure 15: Weighted-Average Qualifying Hedge Fund Financing Liquidity (Percent of Available Financing) As reported on Form PF, Question 46 as of First Calendar Quarter 217. Percent of Available Financing (%) At most 1 day Financing Liquidity At most 7 days At most 3 days At most 9 days At most 18 days At most 365 days 39

41 G Central Clearing Figure 16: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question Percent of Funds Percent of NAV Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 4

42 H Value-at-Risk ( VaR ) Reporting Table 49: Number of Qualifying Hedge Funds Using VaR As reported on Form PF, Question 4. VaR Method 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 VaR (Any Method) Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 98 1,5 1, ,19 1,3 Table 5: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 8 and 4. VaR Method 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 VaR (Any Method) 3,49 3,67 2,895 2,964 3,84 3,134 3,82 3,268 Historical Simulation 1,65 1,655 1,543 1,586 1,67 1,743 1,68 1,88 Monte Carlo Simulation Parametric Other VaR Not Used 2,95 1,994 1,97 1,912 1,896 1,976 1,992 2,63 Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions) As reported on Form PF, Questions 9 and 4. VaR Method 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 VaR (Any Method) 1,336 1,291 1,28 1,245 1,267 1,282 1,276 1,318 Historical Simulation Monte Carlo Simulation Parametric Other VaR Not Used 1,56 1,446 1,431 1,384 1,376 1,428 1,439 1,482 41

43 I 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 4 and 42. Risk Tool Used 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Stress and VaR Stress, No VaR No Stress, VaR Neither Table 53: Aggregate Qualifying Hedge Fund GAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 8, 4, and 42. Risk Tool Used 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Stress and VaR 2,837 2,852 2,674 2,746 2,88 2,955 2,93 3,28 Stress, No VaR 1,85 1,65 1,32 1,11 1,8 1,3 1,1 1,76 No Stress, VaR Neither 1, Table 54: Aggregate Qualifying Hedge Fund NAV Managed Using VaR or Stress Testing ($ Billions) As reported on Form PF, Questions 9, 4, and 42. Risk Tool Used 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Stress and VaR 1,198 1,15 1,141 1,119 1,136 1,165 1,159 1,172 Stress, No VaR No Stress, VaR Neither

44 X A Section 3 Liquidity Fund Specific Information 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 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 At most 1 day At most 7 days At most 3 days At most 9 days At most 18 days At most 365 days Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 May Suspend May Have Gates Suspended Gated B Portfolio Characteristics Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Weighted Average Maturity (WAM) in Days Average WAM Asset-Weighted WAM

45 Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds As reported on Form PF, Question 55. Weighted Average Life (WAL) in Days Average WAL Asset-Weighted WAL Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds As reported on Form PF, Question Average Yield Asset-Weighted Yield Seven-Day Gross Yield (%)

46 Figure 2: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds As reported on Form PF, Question 55. Ratio of Daily Liquid Assets (DLA) to Net Asset Value (%) Average DLA Asset-Weighted DLA Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds As reported on Form PF, Question 55. Ratio of Weekly Liquid Assets (WLA) to Net Asset Value (%) Average WLA Asset-Weighted WLA

47 C Rule 2a-7 Compliance Table 57: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54. Compliance Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Credit Quality Diversification Liquidity Maturity Fully None Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54. Compliance Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Credit Quality Diversification Liquidity Maturity Fully None D Methods of Calculating NAV Table 59: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Stable *** *** *** *** *** *** Floating *** *** *** *** *** *** Table 6: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53. Type 215Q2 215Q3 215Q4 216Q1 216Q2 216Q3 216Q4 217Q1 Stable *** *** *** *** *** *** Floating *** *** *** *** *** ***

48 E Aggregate Portfolio Holdings Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) 1 of 2 As reported on Form PF, Question 56. Product Type 215Q2 215Q3 215Q4 216Q1 U.S. Treasuries 61.7 *** Other Deposits Repo - Govt. Collateral Commercial Paper Asset-Backed Securities Repo - Other Collateral *** U.S. Govt. Debt Municipal Debt.4 ***.5 *** Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) 2 of 2 As reported on Form PF, Question 63. Product Type Deposits U.S. Treasuries Other Commercial Paper Repo - Other Collateral *** *** *** *** *** Repo - Govt. Collateral Asset-Backed Securities U.S. Govt. Debt Municipal Debt *** *** *** *** ***

49 XI A Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 63: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77. Type 213Q4 214Q4 215Q4 216Q4 Oil & Gas Extraction Software Publishers Electric Power Generation, Transmission & Distribution Telecommunications Data Processing Services Pipeline Transportation Other Insurance Related Activities Data Processing, Hosting, & Related Services Other Information Services Other Financial Vehicles Other Financial Investment Activities Custom Computer Programming Services Pharmaceutical & Medicine Mfg Management, Scientific, & Technical Consulting Services Investigation & Security Services Educational Services Insurance Agencies & Brokerages Activities Related to Credit Intermediation Computer Systems Design Services

50 B CPC Financial Leverage Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities to Total Liabilities of Section 4 Private Equity Funds See Appendix C for an explanation of boxplots. As reported on Form PF, Questions 71 and 72. Ratio of Portfolio Company Current Liabilities to Total Liabilities (%) Q4 214Q4 215Q4 216Q4 Figure 23: Distribution of CPC Payment-in-Kind or Zero Coupon Borrowings to Total Borrowings Ratio See Appendix C for an explanation of boxplots. As reported on Form PF, Question CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%) Q4 214Q4 215Q4 216Q4 49

51 C CPC Investments by Region and Country Table 64: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 7 and 78. Region 213Q4 214Q4 215Q4 216Q4 North America 5,274 4,51 4,132 3,942 Europe EEA 1,423 1, Asia South America Supranational Europe Other Africa Middle East Table 65: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 7 and 78. Region 213Q4 214Q4 215Q4 216Q4 North America Europe EEA Asia South America Supranational Europe Other Africa Middle East

52 Table 66: Aggregate Gross Asset Value of Private Equity CPC Investments by Country ($ Billions) As reported on Form PF, Questions 7 and 78. Country 213Q4 214Q4 215Q4 216Q4 United States 5,35 4,3 3,943 3,776 China and Hong Kong India Brazil Japan Russia Table 67: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 7 and 78. Country 213Q4 214Q4 215Q4 216Q4 United States China and Hong Kong India Brazil Japan Russia

53 XII Appendices A 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 $15 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $15 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF. 7 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly. 8 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months. 9 2 Large Hedge Fund Advisers Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $5 million as of the last day of any month in the fiscal quarter immediately preceding the adviser s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 7 Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions from SEC registration in Advisers Act section 23(l) for venture capital fund advisers and section 23(m) for advisers managing less than $15 million in private fund assets in the U.S. 8 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 9 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date. 52

54 3 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. 1 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. 1 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. 53

55 B Handling Annual and Quarterly Data Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: (Q1): February 15 to May 14 (Q2): May 15 to August 14 (Q3): August 15 to November 14 (Q4): November 15 to February 14 Then, responses for funds that have no information are filled forward essentially, copied from last reported values up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations. 11 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for an explanation of each feature. Figure 24: How to Read a Boxplot 11 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 54