Beginning in 2012:Q4, market value level calculated from SEC Form PF Questions 8, 26, and 30. The long value exposure to corporate and foreign bonds reported in Questions 26 and 30 can include derivative exposure. Hedge funds' holdings of corporate and foreign bonds are estimated to exclude derivative exposure in two steps. First, the long value exposures of asset categories reported in Question 26 or 30 that include little to no derivative exposure are subtracted from the hedge fund's gross asset value. These asset categories are real estate, foreign currency, deposits, other cash and cash equivalents, money market funds, repos, agencies/GSEs, municipal securities, loans, corporate equities, investments in registered investment companies, investments in internal private funds, investments in external private funds, investments in funds for cash management purposes, and investments in other sub-asset classes. Second, the residual value is distributed between corporate and foreign bonds and treasury securities. The residual value allocated to corporate and foreign bonds is estimated based on the share of long value corporate and foreign bonds exposure reported in Question 26 or 30 (this includes the long exposure to corporate bond, convertible bond, sovereign bond, MBS ABCP, CDO/CLO, other ABS, and other structured product) relative to long value treasury securities exposure reported in Question 26 or 30. Values are adjusted upwards to account for non-qualifying funds.
Last edited on: 12/07/2020