Withdrawn Form PF FAQs

A.2

Section A: General Filing Information

I am a registered adviser with more than $1 billion attributable to liquidity funds and money market funds that filed my initial report on Form PF before July 16, 2012. In programming our internal systems to report the information required by Form PF to meet our filing deadline, we made assumptions regarding how to respond to certain questions in the Form, some of which may be inconsistent with the guidance that has since been provided by the Staff. Should I amend the report that I’ve already filed regarding liquidity funds before my next quarterly filing obligation?

A.3

Section A: General Filing Information

I am a registered adviser with more than $5 billion in assets under management attributable to hedge funds that, as a result of the June 15, 2012 compliance date of Form PF, is required to file my initial report on Form PF before August 29, 2012. In programming our internal systems to report the information required by Form PF to meet our filing deadline, we made assumptions regarding how to respond to certain questions in the Form, some of which may be inconsistent with the guidance provided by the Staff after we programmed our internal systems to meet our initial filing deadline. Should I delay filing my report regarding hedge funds until I can reprogram my internal systems to reflect the Staff guidance?

A.4

Section A: General Filing Information

One of my reporting funds or controlled portfolio companies has been issued a GMEI code by the Global Markets Entity Identifier (GMEI) utility. Should I use the GMEI code in response to questions on Form PF that request the reporting fund’s or controlled portfolio company’s LEI?

B.4

Amendments and Corrections

(Amended Form PF FAQs)

I advise a qualifying hedge fund that has a quarterly filing obligation and a private equity fund that has an annual filing obligation. I filed a quarterly update for the qualifying hedge fund on the prior version of Form PF before the compliance date. I am planning to amend that filing to submit the annual update filing for the private equity fund after the compliance date. Because I will be required to submit the private equity fund’s annual update on the amended version of Form PF, will I be required to amend the information that I previously reported for the qualifying hedge fund on the filing submitted prior to the compliance date, to reflect the amendments to Form PF?

E.2

Section E: Aggregation

Instruction 5 states that, for purposes of reporting information in Sections 1b, 1c, 2b, 3 and 4, I am not required to report information regarding parallel managed accounts (except in Question 11). If I choose to report information regarding parallel managed accounts when responding to questions related to a reporting fund, how can I indicate to you this reporting method?

F.1

Section F: Fund of Funds

Instruction 7 allows a filer to complete only section 1b for disregarded private funds (i.e., a private fund that (i) invests substantially all of its assets in the equity of private funds for which the filer is not the adviser (“external funds”) and (ii) aside from such external fund investments, holds only cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure). May a filer treat as a disregarded private fund a private fund that invests its assets in the equity of private funds for which the filer is the adviser (“internal funds”) in lieu of, or in addition to, external funds and, therefore, rely on Instruction 7 to complete only section 1b for such fund?

F.2

Section F: Fund of Funds

Instruction 7 specifies that a filer may disregard certain private funds and a private fund’s equity investments in other private funds. If I only advise disregarded private funds (or private funds whose investments may be disregarded) under Instruction 7, am I required to report on Form PF?

F.3

Section F: Fund of Funds

Instruction 7 allows me to exclude disregarded private funds (i.e., funds of funds) and any private fund’s equity investments in other private funds for reporting purposes. If I chose to disregard a private fund or an equity investment in other private funds in accordance with this Instruction, should I exclude these disregarded assets when reporting the fund’s assets in Questions 3, 8, 9, and 14 in section 1b?

F.4

Section F: Fund of Funds

If I disregarded a private fund or equity investments in other private funds when reporting the fund’s assets in Questions 3, 8, and 9, do I also disregard such assets when responding to Question 15 and 16?

F.5

Section F: Fund of Funds

Instruction 7 states that a filer may disregard any private fund’s equity investments in other private funds when reporting on Form PF. Should I indicate to you whether I include or disregard the reporting fund’s investment in other private funds when reporting on Form PF?

H.1

Section H: Master-Feeder Arrangement

If I reported private funds in a master-feeder arrangement on an aggregated basis for purposes of Form ADV, Section 7.B.1, am I required to report the master-feeder arrangement on an aggregated basis on Form PF?

H.2

Section H: Master-Feeder Arrangement

If I elect to aggregate a master-feeder arrangement for reporting purposes in accordance with Instruction 6, how do I respond to questions regarding the investors of the master-feeder arrangement?

13.1

Question 13

See Question 44 below. (Posted March 8, 2013)

13.2

Question 13

Question 13(a) asks if the reporting fund has any outstanding derivatives positions. Question 13(b) instructs that, if you responded “yes” to Question 13(a), you provide the aggregate value of all derivatives positions of the reporting fund. I report similar information for qualifying hedge funds in Question 44. Should I also complete Question 13 for these qualifying hedge funds?

14.3

Question 14

Should I include cash and cash equivalents when providing a summary of a reporting fund’s assets and liabilities in Question 14?

22.1

Question 22

Questions 22 and 23 ask for information about the counterparty credit exposure of a fund. Should I include the value of securities held by a fund’s custodian or prime broker or the value of any open futures positions or the amount of excess margin at a futures commission merchant (“FCM”) when responding to these questions?

22.5

Question 22

The instructions to Question 22 and 23 state that I should not take into account margin posted by or to a counterparty for purposes of identifying the top counterparties to which a fund has the greatest counterparty credit exposure and the top counterparties that have the greatest counterparty credit exposure to the fund, respectively. Does this instruction mean I should not take into account either initial margin or variation margin?

24.2

Question 24

How should I calculate the percentage of derivatives trade volume in Questions 24(b) and 24(c) for a fund?

24.3

Question 24

For Questions 24(b) and 24(c), I am reporting trade volume by using the weighted-average of the notional amount of the aggregate derivatives transactions, but have found it operationally difficult to provide the delta adjusted notional values for options and 10-year bond equivalents for interest rate derivatives. May I instead use the gross notional values for such options and interest rate derivatives when calculating my responses to these questions?

26.1

Question 26

Questions 26 and 30 ask for hedge fund exposures to “listed equity derivatives.” Does “listed” refer to whether the derivative is listed or whether the equity asset underlying the derivative is listed?

26.3

Question 26

The definitions for certain fixed-income asset and sub-asset classes in Questions 26 and 30 require us to include certain types of derivatives on the particular asset or sub-asset classes when measuring exposure for such asset or sub-asset class. See “corporate bonds,” “convertible bonds,” “GSE bonds,” and “sovereign bonds”. Should we also include derivative exposures when measuring exposures to each of the sub-asset classes under the “ABS/structured products” asset class (i.e., “MBS,” “ABCP,” “CDO/CLO,” “Other ABS,” and “Other structured products”)?

26.4

Question 26

Instruction 15 states that, unless otherwise specifically indicated, the value of derivatives (other than options) should be reported in terms of such derivatives’ gross notional value. The definition of “interest rate derivative”, however, requires filers to present this information in terms of 10-year bond equivalents. How should I report a reporting fund’s exposure to interest rate derivatives in Questions 26 and 30?

26.5

Question 26

Should I report the value of a reporting fund’s Reverse Repos as the Short Value (SV) in the “Repo” sub-asset class in Questions 26 and 30?

28.2

Question 28

Mexico is geographically considered to part of North America, but for purposes of our own risk assessments, we treat it as part of South America. May I report exposures to Mexican securities under the South America category in Questions 28 and 78?

30

Question 30

See Question 26 above (Posted June 29, 2012)

32.1

Question 32

Question 32 asks about the liquidity of the reporting fund's portfolio. The instructions to that question state that I should exclude cash and cash equivalents from the response. If my reporting fund only holds cash and cash equivalents, however, how should I respond to Question 32?

32.3

Question 32

The instructions to Question 32 require excluding cash and cash equivalents. In calculating the percentage of the reporting fund's positions that may be liquidated within each of the specified time periods, should I exclude cash and cash equivalents from both the numerator and denominator when calculating the percentages?

36 and 37

Questions 36 and 37

See Question 22.5 above (Posted July 19, 2012)

39

Question 39

See Question 24 above (Posted June 29, 2012)

42.1

Question 42

Question 42 requires an adviser to report the effect of specific changes for different market factors on a reporting fund’s portfolio if the adviser regularly considers the specified market factor in formal testing in connection with the reporting fund’s risk management. Formal testing is described to mean that the adviser has implemented systems capable of simulating the effect of a market factor, not that the specific assumptions or changes identified under each market factor in the Question were actually used in testing. While I maintain systems that are capable of simulating a market factor as part of my risk management, I do not currently use those systems to test for the factors identified in Question 42 or, even if I do test for a particular market factor, I do not test for the specific changes in the market factor identified. How do I respond to Question 42?

43

Question 43

See Question 12 above. (Posted July 19, 2012)

44.1

Question 44

One of my reporting funds has entered into several derivatives transactions with a single swap dealer. If I have an ISDA agreement in place with the swap dealer that allows me to net across all my positions, how should I report these derivatives transactions for purposes of Question 44?

44.2

Question 44

When reporting the aggregate value of all derivatives positions of a reporting fund in either Question 13(b) or Question 44, may I report a negative number?

46.2

Question 46

Question 46(a) requires an adviser to provide, for each qualifying hedge fund, the aggregate dollar amount of borrowings by and cash financing available to the reporting fund (including all drawn and undrawn, committed and uncommitted, lines of credit as well as any term financing). Question 43 requires that the qualifying hedge fund provide the value of the fund’s secured and unsecured borrowings. Should my response to Question 46(a) include the borrowings I reported in Question 43?

47.1

Question 47

In responding to Question 47, how do I indicate that the creditor that is responsive to the question is an affiliate of a group listed in the drop-down menu, but is not an identical legal entity to the group listed?

49.1

Question 49

Questions 49(c) and 49(e) and Questions 61(b) and 61(d) ask about the percentage of a reporting fund’s net asset value that may be subjected, or is subject, to material restrictions on investor withdrawals/redemption. When responding to these questions, should I take into account every type of material liquidity restrictions associated with the reporting fund?

78

Question 78

See Question 28 above. (Posted June 29, 2012)