Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

COMMODITY FUTURES TRADING COMMISSION 

RIN 3038-AF01 

SECURITIES AND EXCHANGE COMMISSION 

17 CFR Parts 275 and 279 

[Release No. IA-XXXX; File No. XX-XX-XX] 

[RIN 3235-AN13] 

Amendments to Form PF to Amend Reporting Requirements for All Filers and Large Hedge 

Fund Advisers 

AGENCIES: Commodity Futures Trading Commission and Securities and Exchange Commission. 

ACTION: Joint proposed rules. 

SUMMARY: The Commodity Futures Trading Commission (“CFTC”) and the Securities and 

Exchange Commission (“SEC”) (collectively, “we” or the “Commissions”) are proposing to amend 

Form PF, the confidential reporting form for certain SEC-registered investment advisers to private 

funds, including those that also are registered with the CFTC as a commodity pool operator (“CPO”)

or commodity trading adviser (“CTA”). The amendments are designed to enhance the Financial 

Stability Oversight Council’s (“FSOC’s”) ability to monitor systemic risk as well as bolster the 

SEC’s regulatory oversight of private fund advisers and investor protection efforts. In connection 

with the amendments to Form PF, the SEC proposes to amend a rule under the Investment Advisers 

Act of 1940 (the “Advisers Act”) to revise instructions for requesting a temporary hardship 

exemption. We also are soliciting comment on the proposed rules and a number of alternatives, 

including whether certain possible changes to the proposal should apply to Form ADV. 

DATES: Comments should be received on or before [INSERT DATE 30 DAYS AFTER DATE OF 

PUBLICATION IN THE FEDERAL REGISTER OR [INSERT DATE 60 DAYS AFTER DATE OF 

ISSUANCE AND PUBLICATION ON SEC.GOV], WHICHEVER IS LATER]. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

ADDRESSES: Comments may be submitted by any of the following methods. 

CFTC: Comments may be submitted to the CFTC by any of the following methods. 

• CFTC Comments portal: https://comments.cftc.gov. Follow the instructions for submitting 

comments through the website. 

• Mail: Christopher Kirkpatrick, Secretary of the Commission, Commodity Futures Trading 

Commission, Three Lafayette Centre, 1155 21st Street, NW, Washington, DC 20581. 

• Hand Delivery/Courier: Follow the same instructions as for Mail above. 

Please submit your comments using only one method. To avoid possible delays with mail or 

in-person deliveries, submissions through the CFTC website are encouraged. “Form PF” must be in 

the subject field of comments submitted via email, and clearly indicated on written submissions. All 

comments must be submitted in English, or if not, accompanied by an English translation. Comments 

will be posted as received to www.cftc.gov. You should submit only information that you wish to 

make available publicly. If you wish the CFTC to consider information that may be exempt from 

disclosure under the Freedom of Information Act, a petition for confidential treatment of the exempt 

information may be submitted according to the established procedures in 17 CFR 145.9. 

The CFTC reserves the right, but shall have no obligation, to review, prescreen, filter, redact, 

refuse, or remove any or all of your submission from www.cftc.gov that it may deem to be 

inappropriate for publication, including, but not limited to, obscene language. All submissions that 

have been redacted or removed that contain comments on the merits of the rulemaking will be 

retained in the public comment file and will be considered as required under the Administrative 

Procedure Act and other applicable laws, and may be accessible under the Freedom of Information 

Act, 5 U.S.C. 552, et seq. (“FOIA”). 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

SEC: Comments may be submitted to the SEC by any of the following methods: 

Electronic Comments: 

• Use the SEC’s internet comment forms (https://www.sec.gov/regulatory-actions/how-tosubmit-comments); or 

• Send an email to rule-comments@sec.gov. Please include File Number [ ] on the 

subject line. 

Paper Comments: 

• Send paper comments to Secretary, U.S. Securities and Exchange Commission, 100 F Street 

NE, Washington, DC 20549-1090. 

All submissions should refer to File Number [ ]. This file number should be 

included on the subject line if email is used. To help us process and review your comments more 

efficiently, please use only one method. The SEC will post all comments on the SEC’s website 

(https://www.sec.gov/rules/proposed.shtml). Comments also are available for website viewing and 

printing in the SEC’s Public Reference Room, 100 F Street NE, Washington, DC 20549, on official 

business days between the hours of 10 a.m. and 3 p.m. Operating conditions may limit access to the 

SEC’s Public Reference Room. All comments received will be posted without change. Persons 

submitting comments are cautioned that we do not redact or edit personal identifying information 

from comment submissions. You should submit only information that you wish to make available 

publicly. 

Studies, memoranda, or other substantive items may be added by the SEC or staff to the 

comment file during this rulemaking. A notification of the inclusion in the comment file of any such 

materials will be made available on the SEC’s website. To ensure direct electronic receipt of such 

notifications, sign up through the “Stay Connected” option at www.sec.gov to receive notifications by 

email. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

FOR FURTHER INFORMATION CONTACT: CFTC: Pamela Geraghty, Associate Director; 

Michael Ehrstein, Special Counsel; Andrew Ruggiero, Attorney-Advisor at (202) 418-6700, 

Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street, NW 

Washington, DC 20581. SEC: Alexis Palascak, Lawrence Pace, Senior Counsels; Christine 

Schleppegrell, Acting Branch Chief at (202) 551-6787 or IArules@sec.gov, Investment Adviser 

Regulation Office, Division of Investment Management, Securities and Exchange Commission, 100 F 

Street NE, Washington, DC 20549-8549. 

SUPPLEMENTARY INFORMATION: The CFTC and SEC are requesting public comment on the 

following under the Investment Advisers Act of 1940 [15 U.S.C. 80b] (“Advisers Act”).1 

Agency Reference CFR Citation 

CFTC & SEC Form PF2 17 CFR 279.9 

SEC Rule 204(b)-1 17 CFR 275.204(b)-1 

TABLE OF CONTENTS 

I. INTRODUCTION...................................................................................................................... 6 

II. DISCUSSION........................................................................................................................... 10 

A. Proposed Amendments to the General Instructions ..........................................................10 

1. Reporting Master-Feeder Arrangements and Parallel Fund Structures.........................10 

2. Reporting Private Funds that Invest in Other Funds .....................................................14 

3. Reporting Timelines ......................................................................................................20 

B. Proposed Amendments Concerning Basic Information about the Adviser and the Private 

Funds it Advises ................................................................................................................22 

1. Proposed Amendments to Section 1a of Form PF - Identifying Information ...............22 

2. Proposed Amendments to Section 1b of Form PF - Concerning All Private Funds .....26 

3. Proposed Amendments to Section 1c of Form PF - Concerning All Hedge Funds ......53 

1 15 U.S.C. 80b. Unless otherwise noted, when we refer to the Advisers Act, or any section of the Advisers Act, 

we are referring to 15 U.S.C. 80b, at which the Advisers Act is codified, and when we refer to rules under the 

Advisers Act, or any section of these rules, we are referring to title 17, part 275 of the Code of Federal 

Regulations [17 CFR 275], in which these rules are published. 

2 Form PF is a joint form between the SEC and CFTC only with respect to sections 1 and 2 of the Form. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

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C. Proposed Amendments Concerning Information about Hedge Funds Advised by Large Private 

Fund Advisers....................................................................................................................71 

1. Proposed Amendments to Section 2a ............................................................................74 

2. Proposed Amendments to Section 2b............................................................................77 

D. Proposed Amendments to Enhance Data Quality............................................................141 

E. Proposed Additional Amendments..................................................................................146 

III. ECONOMIC ANALYSIS ...................................................................................................... 148 

A. Introduction .....................................................................................................................148 

B. Economic Baseline and Affected Parties.........................................................................149 

1. Economic Baseline ......................................................................................................149 

2. Affected Parties ...........................................................................................................153 

C. Benefits and Costs ...........................................................................................................157 

1. Benefits........................................................................................................................157 

2. Costs ............................................................................................................................174 

D. Reasonable Alternatives ..................................................................................................177 

1. Alternatives to Proposed Amendments to General Instructions, Proposed Amendments to 

Enhance Data Quality, and Proposed Additional Amendments..........................................177 

2. Alternatives to Proposed Amendments to Basic Information about the Adviser and the 

Private Funds It Advises......................................................................................................178 

3. Alternatives to Proposed Amendments to Information about Hedge Funds Advised by 

Large Private Fund Advisers ...............................................................................................180 

4. Alternatives to the Definition of the Term “Hedge Fund” ..........................................182 

E. Request for Comment......................................................................................................186 

IV. PAPERWORK REDUCTION ACT ...................................................................................... 187 

A. Form PF ...........................................................................................................................188 

1. Purpose and Use of the Information Collection ..........................................................189 

2. Confidentiality.............................................................................................................190 

3. Burden Estimates.........................................................................................................191 

B. Request for Comments ....................................................................................................211 

V. REGULATORY FLEXIBILITY ACT CERTIFICATION ................................................... 212 

VI. CONSIDERATION OF IMPACT ON THE ECONOMY..................................................... 214 

VII. STATUTORY AUTHORITY ................................................................................................ 214 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

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I. Introduction 

The Commissions are proposing to amend sections of Form PF, the form that certain SECregistered investment advisers, including those that also are registered with the CFTC as a CPO or 

CTA, use to report confidential information about the private funds that they advise.3 The proposed 

amendments are designed to enhance FSOC’s monitoring and assessment of systemic risk and to 

provide additional information for FSOC’s use in determining whether and how to deploy its 

regulatory tools. The proposed amendments also are designed to collect additional data for use in the 

Commissions’ regulatory programs, including examinations, investigations and investor protection 

efforts relating to private fund advisers.4 Finally, the proposed amendments also are designed to 

improve the usefulness of this data.

5 

An adviser must file Form PF if (1) it is registered or required to register with the SEC as an 

investment adviser, (2) it manages one or more private funds, and (3) the adviser and its related 

3 Specifically, the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (“Dodd-Frank Act”),

mandated that the SEC and the CFTC, in consultation with the FSOC, jointly promulgate rules governing the 

form and substance of reports required by investment advisers to private funds to be filed with the SEC, and with 

the CFTC for those that are dually-registered with both Commissions. Pub. L. No. 111-203, 124 Stat. 1376 

(2010). See, 15 U.S.C. 80b-11. See also, 17 C.F.R. 4.27(d). The result was Sections 1 and 2 of Form PF, which 

were jointly promulgated. See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool 

Operators and Commodity Trading Advisors on Form PF, Advisers Act Release No. 3308 (Oct. 31, 2011), [76 

FR 71128 (Nov. 16, 2011)] (“2011 Form PF Adopting Release”) at section I. In 2014, the SEC amended Form 

PF section 3 in connection with certain money market fund reforms. See Money Market Fund Reform; 

Amendments to Form PF, Advisers Act Release No. 3879 (July 23, 2014), [79 FR 47736 (Aug. 14, 2014)] 

(“2014 Form PF Amending Release”).

4 Any reference to the “Commissions”, or “we”, as it relates to the collection and use of Form PF data are meant to 

refer to the agencies in their separate or collective capacities, and such data from filings made pursuant to 17 

CFR 275.204(b)-1, by and through Private Fund Reporting Depository, a subsystem of the Investment Adviser 

Registration Depository (“IARD”), and reports, analysis, and memoranda produced pursuant thereto. Further, as 

the collection is being made pursuant to the Advisers Act and the IARD is subject to the authority and control of 

the SEC, as of the date of this proposal, it should not be assumed that the CFTC has direct, or timely access to 

such data. The Commissions will continue to engage in interagency discussions on the sharing of portions of 

Form PF data relevant to the CFTC consistent with the terms of existing interagency agreements or arrangements 

related to the sharing of data. 

5 Additionally, the Federal Reserve Board uses this data for research and analysis. 

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persons collectively had at least $150 million in private fund assets under management as of the last 

day of its most recently completed fiscal year.6 A CPO or CTA that also is registered or required to 

register with the SEC as an investment adviser and satisfies the other conditions described above 

must file Form PF with respect to any commodity pool it manages that is a private fund. Most private 

fund advisers file annually to report general information such as the types of private funds advised 

(e.g., hedge funds, private equity funds, or liquidity funds), fund size, use of borrowings and 

derivatives, strategy, and types of investors. Certain larger advisers provide more information on a 

more frequent basis, including more detailed information on particular hedge funds and liquidity 

funds. 

Form PF provides the Commissions and FSOC with important information about the basic 

operations and strategies of private funds and has helped establish a baseline picture of the private 

fund industry for use in assessing systemic risk. We now have almost a decade of experience 

analyzing the information collected on Form PF. In that time, the private fund industry has grown in 

size and evolved in terms of business practices, complexity of fund structures, and investment 

See 17 CFR 204(b)-1. Advisers Act section 202(a)(29) defines the term “private fund” as an issuer that would be

an investment company, as defined in section 3 of the Investment Company Act of 1940 (“Investment Company 

Act”), but for section 3(c)(1) or 3(c)(7) of that Act. Section 3(c)(1) of the Investment Company Act provides an 

exclusion from the definition of “investment company” for any issuer whose outstanding securities (other than 

short-term paper) are beneficially owned by not more than one hundred persons (or, in the case of a qualifying 

venture capital fund, 250 persons) and which is not making and does not presently propose to make a public 

offering of its securities. Section 3(c)(7) of the Investment Company Act provides an exclusion from the 

definition of “investment company” for any issuer, the outstanding securities of which are owned exclusively by 

persons who, at the time of acquisition of such securities, are qualified purchasers, and which is not making and 

does not at that time propose to make a public offering of such securities. The term “qualified purchaser” is 

defined in section 2(a)(51) of the Investment Company Act. 

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strategies and exposures.7 For example, certain investment strategies, including credit, digital asset,

8 

litigation finance,

9 and real estate strategies, have become more common since the form was 

adopted.10 Similarly, we understand that qualifying hedge fund exposures to repurchase agreements 

(“repos”), reverse repurchase agreements (“reverse repos”), and U.S. treasury securities have 

increased in recent years.11 Experience with Form PF data also has identified potential ways to 

improve data quality, including in instances where existing reporting may not identify fully the 

potential risks, such as in the reporting of certain master-feeder arrangements. 

7 The value of private fund net assets reported on Form PF has more than doubled, growing from $5 trillion (net) 

in 2013 to $12 trillion (net) by the end of the third quarter of 2021, while the number of private funds reported on 

the form has increased by nearly 55 percent in that time period. Unless otherwise noted, the private funds 

statistics used in this Release are from the Private Funds Statistics Third Quarter 2021. Division of Investment 

Management, Private Fund Statistics Third Quarter 2021, (Mar. 30, 2022), available at 

https://www.sec.gov/divisions/investment/private-funds-statistics/private-funds-statistics-2021-q3.pdf (“Private

Fund Statistics Q3 2021”). Any comparisons to earlier periods are from the private funds statistics from that 

period, all of which are available at https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 

SEC staff began publishing the private fund statistics in 2015, including data from 2013. Therefore, many 

comparisons in this Release discuss the almost nine year span from the beginning of 2013 through third quarter 

2021. Some discussion in this Release compares data from a shorter time span, because the SEC staff published 

such data later than 2013. Staff reports, statistics, and other staff documents (including those cited herein) 

represent the views of SEC staff and are not a rule, regulation, or statement of the SEC. The SEC has neither 

approved nor disapproved the content of these documents and, like all staff statements, they have no legal force 

or effect, do not alter or amend applicable law, and create no new or additional obligations for any person. 

8 See Zuckerman, Gregory, Mainstream Hedge Funds Pour Billions of Dollars Into Crypto, The Wall Street 

Journal (March 2022) available at https://www.wsj.com/articles/mainstream-hedge-funds-pour-billions-ofdollars-into-crypto11646808223#:~:text=Brevan%20Howard%20launched%20a%20cryptocurrency,and%20investing%20in%20bl 

ockchain%20technology. 

9 See Burnett, David and Pierce, John, The Emerging Market for Litigation Funding, The Hedge Fund Journal 

(June 2013) available at https://thehedgefundjournal.com/the-emerging-market-for-litigation-funding/. 

10 See Private Fund Statistics Q3 2021, supra footnote 7, at p. 24. 

11 A qualifying hedge fund is defined in Form PF as “any hedge fund 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.” See Form PF Glossary of Terms. From 2015 through [the end of 2020], qualifying 

hedge fund exposure to repos doubled to $2 trillion, while from 2013 through [the end of 2020], qualifying 

hedge fund borrowings attributable to reverse repos more than doubled to $1.3 trillion. For the same period, 

qualifying hedge fund exposure to U.S. treasury securities increased by [almost 70 percent to $1.7 trillion] in 

aggregate qualifying hedge fund gross notional exposure. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Based on this experience and in light of these changes, the Commissions and FSOC have 

identified information gaps and situations where revised information would improve our 

understanding of the private fund industry and the potential systemic risk within it. We believe more 

detailed information, including with respect to strategies and exposures, would provide better 

empirical data to FSOC with which it may assess better the extent to which the activities of private 

funds or their advisers pose systemic risks. We expect that FSOC would use the new information 

collected on Form PF, together with market data from other sources, to assist in determining whether 

and how to deploy its regulatory tools.12 This may include, for instance, identifying private fund 

advisers that merit further analysis or deciding whether to recommend to a primary financial 

regulator, like the SEC or CFTC, more stringent regulation of the financial activities that FSOC 

determines may create or increase systemic risk. This revised information also would improve our 

ability to protect investors.13 

The Commissions have consulted with FSOC to gain input on this proposal, and to help 

ensure that Form PF continues to provide FSOC with information it can use to carry out its 

monitoring obligations and assess systemic risk in light of changes in the private fund industry over 

the past decade. The Commissions are jointly proposing amendments to the form’s general 

instructions, as well as section 1 of Form PF, which would apply to all Form PF filers. The 

Commissions also are jointly proposing amendments to section 2 of Form PF, which would apply to 

12 Under the Dodd-Frank Act, FSOC must monitor emerging risks to U.S. financial stability and employ its 

regulatory tools to address those risks. S. REP. NO. 111-176, at 2-3 (2010). 

13 The SEC also recently proposed amendments to the SEC-only sections of Form PF (sections 3, 4, 5, and newly 

proposed section 6) that would (1) require current reporting for large hedge fund advisers and advisers to private 

equity funds, (2) decrease the reporting threshold for large private equity advisers and amend reporting 

requirements for large private equity advisers, and (3) amend reporting requirements for large liquidity fund 

advisers. Amendments to Form PF to Require Current Reporting and Amend Reporting Requirements for Large 

Private Equity Advisers and Large Liquidity Fund Advisers, Investment Advisers Act Release No. 5950 (Jan. 26, 

2022), [87 FR 9106 (Feb. 17, 2022)] (“2022 SEC Form PF Proposal”). 

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large hedge fund advisers who advise qualifying hedge funds (i.e., hedge funds that have a net asset 

value of at least $500 million).14 

II. Discussion 

A. Proposed Amendments to the General Instructions 

We are proposing amendments to the Form PF general instructions designed to improve data 

quality and comparability and to enhance investor protection efforts and systemic risk assessment.15 

1. Reporting Master-Feeder Arrangements and Parallel Fund Structures 

Private funds often use complex structures to invest, including master-feeder arrangements 

and parallel fund structures.16 We are proposing amendments to Form PF that generally would 

require advisers to report separately each component fund of a master-feeder arrangement and 

parallel fund structure.

17 However, an adviser would continue to aggregate these structures for 

purposes of determining whether the adviser meets a reporting threshold.

18 

14 Unless stated otherwise, terms in this release that are defined in the Form PF Glossary of Terms are as defined 

therein. 

15 Additional proposed changes to the General Instructions concerning amendments to enhance data quality 

concerning methodologies and additional amendments are discussed in sections II.D and II.E of this Release, as 

well as the proposal to amend Instruction 3 to reflect our proposal to remove section 2a, which is discussed in 

footnote 138, and accompanying text. 

16 A “master-feeder arrangement” is an arrangement in which one or more funds (“feeder funds”) invest all or 

substantially all of their assets in a single private fund (“master fund”). A “parallel fund structure” is a structure 

in which one or more private funds (each, a “parallel fund”) pursues substantially the same investment objective 

and strategy and invests side by side in substantially the same positions as another private fund. See Form PF 

Glossary of Terms. 

17 Proposed Instruction 6. We also propose to amend Instruction 3 to reflect the proposed approach for reporting 

master-feeder arrangements and parallel fund structures. See infra footnote 18. 

18 Proposed Instruction 5. For example, an adviser would aggregate private funds that are part of the same masterfeeder arrangement in determining whether the adviser is a large hedge fund adviser that must complete section 2 

of Form PF. In connection with these proposed changes, we propose to amend the term “reporting fund” and 

Instruction 3 so they would no longer discuss reporting aggregated information. Additionally, we propose to 

reorganize current Instruction 5 and current Instruction 6 so they reflect the proposed approach for when to 

aggregate certain funds. Current Instruction 5 instructs advisers about when to aggregate information about 

certain funds for purposes of reporting thresholds and responding to questions. Current Instruction 6 instructs 

advisers about how to aggregate information about certain funds. Proposed Instruction 5 would instruct advisers 

on when to aggregate information about certain funds for purposes of determining whether they meet reporting 

thresholds. Proposed Instruction 6 would instruct advisers about how to report information about certain funds 

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Currently, Form PF provides advisers with flexibility to respond to questions regarding 

master-feeder arrangements and parallel fund structures either in the aggregate or separately, as long 

as they do so consistently throughout Form PF.19 In adopting this approach in 2011, the Commission 

stated that requiring advisers to aggregate or disaggregate funds in a manner inconsistent with their 

internal recordkeeping and reporting may impose additional burdens and that, as long as the structure 

of those arrangements is adequately disclosed, a prescriptive approach to aggregation was not 

necessary. 20 However, based on experience reviewing Form PF data, we observed that when some 

advisers report in aggregate and some advisers report separately, this can result in obscured risk 

profiles (e.g., asset size, counterparty exposure, investor liquidity) and made it difficult to compare 

complex structures, undermining the utility of the data collected. We believe prescribing the way 

advisers report a master-feeder arrangement and parallel fund structure would provide better insight 

into the risks and exposures of these arrangements. 

Accordingly, we propose to require an adviser to report each component fund of a masterfeeder arrangement and parallel fund structure, except where a feeder fund invests all its assets in a 

single master fund and/or “cash and cash equivalents” (i.e., a disregarded feeder fund).21 In the case 

of a disregarded feeder fund in Question 6, advisers instead would identify the disregarded feeder 

fund and look through to any disregarded feeder fund’s investors in responding to certain questions 

regarding fund investors on behalf of the applicable master fund. The master fund effectively is a 

when responding to questions. 

19 Current Instruction 5. 

20 2011 Form PF Adopting Release, supra footnote 3, at text following n.332. 

21 See proposed Instruction 6. The proposal would revise the term “cash and cash equivalents,” as described in

section II.B.2 in this Release. 

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conduit through which a disregarded feeder fund invests and we do not believe separate reporting for 

such a feeder fund is necessary for data analysis purposes. 

In addition, we propose to no longer allow advisers to report any “parallel managed 

accounts,” (which is distinguished from “parallel fund structure”), except advisers would continue to 

be required to report the total value of all parallel managed accounts related to each reporting fund.

22 

We continue to believe that including parallel managed accounts in the reporting may reduce the 

quality of data while imposing additional burdens on advisers.23 Data regarding the total value of 

parallel managed accounts, however, allow FSOC to take into account the greater amount of assets an 

adviser may be managing using a given strategy for purposes of analyzing the data reported on Form 

PF.24 

We request comment on the proposed amendments. 

1. Should we amend Form PF to require advisers to report component funds of masterfeeder arrangements and parallel fund structures separately except for disregarded 

feeder funds, as proposed? Would the proposed amendments lead to more accurate 

data regarding the risk profiles of reporting funds and improve comparability? 

Would the proposed amendments enhance investor protection efforts and systemic 

risk assessment? Are there better ways to meet these objectives? For example, 

22 Proposed Instruction 6. A “parallel managed account” is any managed account or other pool of assets managed 

by the adviser that pursues substantially the same investment objective and strategy and invests side by side in 

substantially the same positions as the identified private fund. See Form PF Glossary of Terms. Currently, 

advisers may, but are not required to, report information regarding parallel managed accounts in response to 

certain questions, except they must report the total value of all parallel managed accounts related to each 

reporting fund. See current Instruction 5. 

23 See 2011 Form PF Adopting Release, supra footnote 3, at n.334, and accompanying text (the Commission was 

persuaded that aggregating parallel managed accounts for reporting purposes would be difficult and “result in 

inconsistent and misleading data” because the characteristics of parallel managed accounts are often somewhat

different from the funds with which they are managed). For example, in a separately managed account a client 

generally selects an adviser’s strategy but tailors it to the client’s own investment guidelines. 

24 Id. at text following n.336. 

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should Form PF require advisers to report only at the master fund level or the feeder 

fund level? 

2. Do you agree that the master fund is effectively a conduit through which a 

disregarded feeder fund invests and that separate reporting for such a feeder fund is 

not necessary for data analysis purposes? Should we require advisers to report 

additional information regarding disregarded feeder funds? For example, should we 

require advisers to report the total cash holdings of such funds? 

3. Are there other exceptions for reporting each component of a master-feeder 

arrangement or parallel fund structures separately that we should adopt? 

4. Should we continue to require advisers to report only limited information on parallel 

managed accounts? If we should require additional reporting from parallel managed 

accounts, what additional information should we require? Should reporting of any 

such additional information be mandatory or voluntary? 

5. Should we continue to require advisers to aggregate structures when determining 

whether they meet reporting thresholds? 

6. Form PF currently does not require an adviser to report information regarding a 

private fund advised by any of the adviser’s related persons, unless the adviser 

identified that related person as one for which the adviser is filing Form PF. Should 

we take a different approach and require an adviser to include information regarding 

private funds advised by any of the adviser’s related persons if they are part of a 

master-feeder arrangement or parallel fund structure managed by the adviser? Or, 

would an adviser have difficulty gathering the information necessary to report this 

information for private funds managed by the adviser’s related persons whose 

operations are genuinely independent of the adviser’s own operations? 

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7. Could “parallel managed accounts,” be interpreted as overlapping with “parallel fund

structure?” If so, should we remove the phrase “or other pool of assets” in the 

definition of “parallel managed account” to prevent that?

2. Reporting Private Funds that Invest in Other Funds 

We are proposing amendments to Form PF regarding how advisers report private fund 

investments in other private funds, trading vehicles, and other funds that are not private funds. 

Investments in other private funds. We propose to amend Instruction 7, which addresses how 

advisers treat private fund investments in other private funds (e.g., a “fund of funds”). Currently, 

advisers include the value of private fund investments in other private funds in determining whether 

the adviser meets the filing threshold to file Form PF.

25 We believe this requirement is implicit in the 

current form and we propose to amend Instruction 7 to make it explicit. Current Form PF permits an 

adviser to disregard the value of a private fund’s equity investments in other private funds for 

purposes of both the form’s reporting thresholds (e.g., whether it qualifies as a large hedge fund 

adviser) and responding to questions on Form PF, as long as it does so consistently throughout Form 

PF, subject to certain exceptions.

26 Under the proposal, the form would continue to permit an adviser 

to include or exclude the value of investments in other private funds (including internal and external 

private funds) when determining whether the adviser meets the thresholds for reporting as a large 

hedge fund adviser, large liquidity fund adviser, or large private equity adviser, and whether a hedge 

fund is a qualifying hedge fund.

27 The Commissions continue to believe that allowing this flexibility 

25 Form PF Instruction 1 provides that certain advisers meet the filing threshold if they and their related persons, 

collectively, had at least $150 million in private fund assets under management as of the last day of their most 

recently completed fiscal year. 

26 For example, under the current instructions, an adviser is not permitted to disregard any liabilities of the private 

fund, even if incurred in connection with an investment in other private funds. See current Instruction 7. 

27 See current Instruction 7 and proposed Instruction 7. 

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for these reporting thresholds avoids duplicative reporting, which reduces the burden of reporting for 

advisers and improves the quality of the data reported.28 For example, under these instructions an 

adviser may exclude an investment in an external private fund that would already be counted through 

another adviser’s reporting obligations. 

However, we believe the form’s current flexibility on whether to disregard underlying funds 

when responding to questions has undermined the utility of the data collected, as it provides unclear, 

inconsistent data on the scale of reporting funds’ exposures. Therefore, we propose to amend 

Instruction 7 to require an adviser to include the value of a reporting fund’s investments in other 

private funds when responding to questions on Form PF, unless otherwise directed by the instructions 

to a particular question.29 We believe that requiring advisers to report fund of funds arrangements in 

a consistent manner would allow the Commissions and FSOC to understand better these fund 

structures by providing greater insight into the scale and exposures of reporting funds. 

Currently, advisers are not required to, but nonetheless have the option to, “look through” a 

reporting fund’s investments in any other entity (including other private funds), except in instances 

when the form directs otherwise.30 As a result, some advisers may “look through” a reporting fund’s

investments in other entities, while others do not, leading to unclear data, inconsistent comparisons, 

and less precise analysis across advisers. Therefore, we propose to amend Instruction 7 to provide 

that, when responding to questions, advisers must not “look through” a reporting fund’s investments

in internal private funds or external private funds (other than a trading vehicle, as described below), 

28 See 2011 Form PF Adopting Release, supra footnote 3, at n.128, and accompanying text. 

29 For example, an adviser would report the value of the reporting fund’s investments in other private funds when 

reporting its gross asset value and net asset value in proposed Questions 11 and 12; however, Question 3 would 

specify that advisers must exclude the value of the reporting fund’s investment in other internal private funds 

when providing a breakdown of their regulatory assets under management and net assets under management. 

30 See current Instruction 8. 

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unless the question instructs the adviser to report exposure obtained indirectly through positions in 

such funds or other entities.

31 We also propose to take the same approach with regard to a reporting 

fund’s investments in funds or other entities that are not private funds or trading vehicles.

32 These 

proposed amendments are designed to improve data quality and comparisons, so the Commissions 

and FSOC understand what Form PF data is from advisers “looking through” a reporting fund’s

investments, which we believe would lead to more effective systemic risk assessments and investor 

protection efforts. 

Trading vehicles. Some private funds wholly own separate legal entities that hold assets, 

incur leverage, or conduct trading or other activities as part of the private fund’s investment activities, 

but do not operate a business (each, a “trading vehicle”).33 We propose to amend Form PF’s general

instructions to explain how advisers would report information if the reporting fund uses a trading 

vehicle.34 Specifically, if the reporting fund uses a trading vehicle, and the reporting fund is its only 

equity owner, the adviser would either (1) identify the trading vehicle in section 1b, and report 

answers on an aggregated basis for the reporting fund and such trading vehicle, or (2) report the 

trading vehicle as a separate reporting fund. An adviser would have to report the trading vehicle 

separately if the trading vehicle holds assets, incurs leverage, or conducts trading or other activities 

31 See proposed Instruction 7. For example, advisers would not “look through” to the creditors of or counterparties 

to other private funds in responding to questions that ask about a reporting fund’s borrowings and counterparty

exposures. See proposed Question 18 (concerning borrowings) and proposed Questions 27 and 28 (concerning 

counterparty exposures). However, selected questions in section 2 of the form would require advisers to report 

indirect exposure resulting from positions held through other entities including private funds, and advisers would 

“look through” the reporting fund’s investments in internal private funds and external private funds in responding

to those questions. See e.g., proposed Question 32 (concerning reporting fund exposures). 

32 See proposed Instruction 8 and supra footnote 31 (which provides examples that also apply to advisers to 

reporting funds that invest in funds and other entities that are not private funds or trading vehicles). 

33 We propose to add “trading vehicle” to the Form PF Glossary of Terms.

34 See proposed Instruction 7. We propose to make a conforming change to Instruction 8 to reference this new 

instruction. 

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on behalf of more than one reporting fund. If reporting separately, (1) advisers would report the 

trading vehicle as a hedge fund if a hedge fund invests through the trading vehicle; (2) advisers would 

report the trading vehicle as a qualifying hedge fund if a qualifying hedge fund invests through the 

trading vehicle; (3) otherwise, advisers would report the trading vehicle as a liquidity fund, private 

equity fund, or other type of fund based on its activities.35 

Private funds may use trading vehicles for various purposes, including (1) for jurisdictional, 

tax, or other regulatory purposes, or (2) to “ring-fence” assets in light of liability or bankruptcy 

concerns associated with a particular investment (i.e., structure assets so counterparties would only 

have recourse against the trading vehicle and not against the private fund). Currently, Form PF does 

not require advisers to identify trading vehicles. As a result, Form PF does not provide a clear 

window into the use of trading vehicles and the risks they present. For example, if a trading vehicle 

is ring-fenced, current Form PF does not provide a view into the assets or collateral on which a 

counterparty to such trading vehicle relies or the size and nature of the trading vehicle’s exposure. In 

addition, where more than one reporting fund invests through a particular trading vehicle, the 

activities of multiple reporting funds are blended and potentially obscured. The proposed 

amendments are designed to address these concerns by providing more information on the extent 

private funds use trading vehicles to conduct investment activities. The proposed amendments also 

are designed to provide improved visibility into position sizes and counterparty exposures through 

trading vehicles. Having a clear, unobscured view into position sizes and counterparty exposures 

through trading vehicles is designed to help ensure accurate systemic risk assessment and analysis to 

further investor protection efforts, by providing the Commissions and FSOC with a view into the 

See proposed Instruction 7. 

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assets or collateral on which a counterparty to such trading vehicle relies and the size and nature of 

the trading vehicle’s exposure. 

Investments in funds that are not private funds. Under the proposal, advisers would continue 

to include the value of the reporting fund’s investments in funds and other entities that are not private 

funds, in determining reporting thresholds and responding to questions, unless otherwise directed, as 

Form PF currently requires.36 For the reasons discussed above, we are proposing that, when 

responding to questions, however, advisers must not “look through” a reporting fund’s investments in 

funds or other entities that are not private funds, or trading vehicles, unless the question instructs the 

adviser to report exposure obtained indirectly through positions in such funds or other entities.

37 

We request comment on the proposed amendments. 

8. Would the proposed amendments concerning reporting fund investments in other 

private funds, trading vehicles, and other funds that are not private funds provide a 

better understanding of the structure of private funds, and improve data quality and 

comparability? Is there a better way to meet these objectives? Should Form PF 

provide more or less flexibility to advisers in how they treat these types of private 

fund investments? For example, instead of allowing advisers the flexibility to 

include or exclude a private fund’s investments in other private funds (including 

internal private funds and external private funds) in determining whether they meet 

thresholds for filing as a large hedge fund adviser, large liquidity adviser, or large 

private equity adviser, and whether a reporting fund is a qualifying hedge fund, 

should we require advisers to include or exclude such investments? Should we 

36 See Instruction 8. 

37 See supra footnote 32, and accompanying text (discussing proposed amendments to Instruction 8). 

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require external qualifying hedge funds to be excluded, to avoid receiving duplicate 

data? If Form PF should provide more flexibility, how would we help ensure data is 

understandable and comparable across advisers? 

9. Would the proposed amendments regarding trading vehicles provide a clearer picture 

of how private funds use trading vehicles and their market risks? Would the 

proposed amendments provide improved visibility into position sizes and 

counterparty exposures? Is there a better way to meet these objectives? For 

example, should Form PF require advisers to report whether a trading vehicle is ringfenced for liability purposes? 

10. Under the proposal, if an adviser reports a trading vehicle as a separate reporting 

fund, the adviser must report the trading vehicle as a hedge fund, qualifying hedge 

fund, liquidity fund, private equity fund, or other type of fund, if it meets certain 

requirements. Would this proposed requirement help ensure advisers could not avoid 

reporting the trading vehicle as a private fund that is subject to additional reporting, 

such as a qualifying hedge fund? Is there a better way to meet this objective? 

Should Form PF instead only require advisers to report trading vehicles as 

investments in another fund? 

11. Are the “look through” requirements concerning how to report a reporting fund’s

investments in other entities clear? Should we require advisers to not look through a 

reporting fund’s investments in other entities, unless the question instructs the 

adviser to report exposure obtained indirectly through positions in such funds or 

other entities, as proposed? 

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3. Reporting Timelines 

We propose to amend Instruction 9 to require large hedge fund advisers and large liquidity 

fund advisers to update Form PF within a certain number of days after the end of each calendar 

quarter, rather than after each fiscal quarter, as Form PF currently requires.38 All other advisers 

would continue to file annual updates within 120 calendar days after the end of their fiscal year.39 

Form PF would continue to require all advisers to use fiscal quarters and years to determine filing 

thresholds because advisers already make such calculations under 17 CFR 279.1 (“Form ADV”), 

which requires annual updates based on fiscal year.

40 

Currently, fiscal quarter reporting significantly delays the time at which the Commissions and 

FSOC receive a complete data set for a calendar quarter. For example, large hedge fund advisers 

whose first fiscal quarter ends on the calendar quarter end of March, would file data covering 

January, February, and March by the end of May.

41 However, large hedge fund advisers whose fiscal 

quarter ends in May would not file their March data until the end of July, delaying Commission and 

FSOC access to full calendar quarter data by all large hedge fund advisers by four months. The 

proposed changes are designed to provide a more complete data set sooner to improve the efficiency 

and effectiveness of investor protection efforts and systemic risk assessment. Based on Form ADV 

data as of December 2021, 99.2 percent of private fund advisers already effectively file Form PF on a 

calendar basis because their fiscal quarter or year ends on the calendar quarter or year end, 

38 Large hedge fund advisers generally would file within 60 calendar days after the end of each calendar quarter 

and large liquidity fund advisers generally would file within 15 days after the end of each calendar quarter. See 

proposed Instruction 9. 

39 We also propose to amend the term “data reporting date” to reflect this proposed approach. See Form PF 

Glossary of Terms. 

40 See Form PF Instructions 1 and 3; Form ADV and [17 CFR 275.204-1] Advisers Act rule 204-1 (amendments to 

Form ADV). 

41 See current Instruction 9 (requiring large hedge fund advisers to update Form PF within 60 calendar days after 

the end of their first, second, and third fiscal quarters, among other things). 

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respectively.42 The 0.8 percent of private fund advisers that have a non-calendar fiscal approach, 

which could cause a temporary data gap, represents approximately 274 private funds, totaling $200 

billion in gross asset value. Calendar quarter reporting also would more closely align with reporting 

on [17 CFR pt. 4, app. A] Form CPO-PQR, which requires calendar quarterly reporting, allowing 

easier integration of these data sets. 

We request comment on the proposed amendments. 

12. Should we revise the reporting timelines, as proposed? 

13. Should Form PF continue to require advisers to determine filing thresholds by fiscal 

year given corresponding Form ADV requirements? Alternatively, should Form PF 

require all Form PF filers to use calendar years and quarters for all Form PF 

purposes, including in determining filing thresholds and when to update Form PF? 

14. Should we reduce the number of days by which filers must update Form PF to 

receive data sooner? How would this relieve or increase burdens? For example, 

should Form PF require large hedge fund advisers to update Form PF within 30 

calendar days after the end of each calendar or fiscal quarter, rather than 60 calendar 

days? Should Form PF require large liquidity fund advisers to report within 10 

calendar days after the end of each calendar quarter, rather than 15 calendar days? 

Should annual filers file within 30 calendar days after the end of their fiscal year, 

rather than 120 calendar days? 

15. Should Form PF reporting timelines be more or less consistent with Form CPOPQR? 

We are presenting data from all private fund advisers, not just those who would file on a quarterly basis (i.e., 

large hedge fund advisers and large liquidity fund advisers), to avoid potentially disclosing proprietary 

information of individual Form PF filers, and to be inclusive considering that the population of quarterly filers 

versus annual filers may change over time. 

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B. Proposed Amendments Concerning Basic Information about the Adviser and the 

Private Funds it Advises 

Each adviser required to file Form PF must complete all or part of section 1. The proposed 

amendments to section 1 are designed to provide greater insight into private funds’ operations and 

strategies, and assist in identifying trends, including those that could create systemic risk, which in 

turn is designed to enhance investor protection efforts and systemic risk assessment. The proposed 

changes are designed to improve comparability across advisers, improve data quality, and reduce 

reporting errors, based on our experience with Form PF filings. 

1. Proposed Amendments to Section 1a of Form PF - Identifying Information 

Section 1a requires an adviser to report identifying information about the adviser and the 

private funds it manages. We are proposing several amendments to collect additional identifying 

information regarding the adviser, its related persons, as well as their private fund assets under 

management. 

LEI for advisers and related persons. Legal entity identifiers, or “LEIs,” help identify entities 

and link data from different sources that use LEIs.43 Currently, Form PF requires advisers to report 

the LEI for certain entities, if they have one, such as for the reporting fund and any parallel funds.

44 

Form PF’s current definition of “LEI” provides that, in the case of a financial institution that has not 

been assigned an LEI, advisers must provide the RSSD ID assigned by the National Information 

43 Form PF generally defines “LEI” as: the “legal entity identifier” assigned by or on behalf of an internationally 

recognized standards setting body and required for reporting purposes by the U.S. Department of the Treasury’s 

Office of Financial Research or a financial regulator. See Form PF Glossary of Terms. 

44 See current Question 5(d) and current Question 7(e). Current Form PF also requires large liquidity advisers to 

report the LEI for each security and repo held by the reporting fund, if they have one. See current Question 63(d) 

and current Question 63(g), respectively. Current Form PF also requires large private equity advisers to report 

the LEI for each of the reporting fund’s controlled portfolio companies that constitute a financial industry 

portfolio company. See current Question 76. 

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Center of the Board of Governors of the Federal Reserve System (“Federal Reserve Board”), if the 

financial institution has an RSSD ID.

45 We propose to remove this requirement and, instead, provide 

that advisers must not substitute any other identifier that does not meet the definition of an LEI.

46 

However, advisers would use the RSSD ID, if the financial institution has one, for questions that 

specifically request an RSSD ID, and for questions that require advisers to report any other 

identifying information where the type of information is not specified.

47 These proposed 

amendments are designed to improve data quality because, based on experience with the current 

form, reporting RSSD IDs as LEIs makes it more difficult for staff to link data efficiently and 

effectively. 

While Form PF currently requires advisers to provide the LEI for entities such as reporting 

funds and parallel funds, if the entities have one, it does not require advisers to report the LEI for 

itself and its related persons.48 We propose to require advisers to provide the “LEI” for themselves 

and their “related persons,” if they have an LEI.49 This proposed amendment is designed to help 

identify advisers and their related persons and link data from other data sources that use this 

identifier. 

We request comment on the proposed amendments. 

45 See current Form PF Glossary of Terms. Currently, if an LEI has not been assigned and there is no RSSD ID, 

then the adviser would leave that line blank. 

46 See proposed Form PF Glossary of Terms. 

47 See e.g., proposed Question 9. We also would add “RSSD ID” to the Form PF Glossary of Terms and define it 

as the identifier assigned by the National Information Center of the Federal Reserve Board, if any. See Form PF 

Glossary of Terms. 

48 See e.g., current Question 5 and current Question 7. 

49 See Proposed Question 1. We also propose to require advisers to provide the LEI for other entities, if the other 

entities have one, including internal private funds (see proposed Question 7 and proposed Question 15), trading 

vehicles (see proposed Question 9), and counterparties (see proposed Question 27 and proposed Question 28). A 

“related person” has the meaning provided in Form ADV. See Form PF Glossary of Terms. Form ADV defines 

a “related person” as any advisory affiliate and any person that is under common control with the adviser. See 

Form ADV Glossary of Terms. 

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16. Should we require advisers to report “LEI” for financial institutions that have one 

and only report “RSSD ID” as a secondary identification where asked, as proposed? 

Would the proposed amendments help us improve data quality and help link data 

more efficiently and effectively from other sources that use LEIs and RSSD IDs? Is 

there a better way to meet these objectives? 

17. Should Form PF require advisers to report the LEI for certain entities, if they have 

one, as proposed, such as the adviser and each related person, as well as internal 

private funds, trading vehicles, creditors, and counterparties, or others? 

Alternatively, should Form PF require any entities to obtain LEIs if they do not have 

them? Would those entities seek to obtain LEIs in the future absent any regulatory 

requirement to do so? 

18. Are there other data sources we also should use that would allow us to link entities 

across forms? 

19. Should we amend the term “LEI” in Form PF to match Form ADV or any other 

forms that use the term or a similar term? 

Assets under management. We are proposing to revise how advisers report assets under 

management attributable to certain private funds. Current Question 3 requires advisers to provide a 

breakdown of regulatory assets under management and net assets under management. These data are 

designed to show the size of the adviser and the nature of the adviser’s activities. We propose to 

amend the instructions to direct advisers to exclude the value of private funds’ investments in other

internal private funds to avoid double counting of fund of funds assets.50 Advisers would include the 

value of trading vehicle assets because, under the proposed definition, they would be wholly owned 

See proposed Question 3. 

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by one or more reporting funds.

51 These proposed amendments are designed to provide a more 

accurate view of the assets managed by the adviser and its related persons, as well as the general 

distribution of those assets among various types of private funds, because accurately viewing the 

scale of these managed assets is important to effectively assess systemic risk and further investor 

protection efforts. 

We request comment on the proposed amendments. 

20. Would the proposed amendments prevent double counting fund of funds assets? Is 

there a better way to meet this objective? Should we include private funds managed 

by the adviser’s related persons in the definition of internal private fund for these 

purposes? Are there other types of investments that should be disregarded in order to 

prevent double counting? Are there other approaches to trading vehicles? 

21. Form PF currently requires advisers to provide a breakdown of assets under 

management and regulatory assets under management based on certain categories of 

private funds. Should we require advisers to provide a breakdown for more, fewer, 

or different categories of private funds than Form PF currently provides? For 

example, should Question 3 include categories such as special purpose vehicles, 

private credit funds, or types of fund of funds? 

Explanation of assumptions. We are proposing to amend current Question 4, which advisers 

use to explain assumptions that they make in responding to questions on Form PF. Specifically, we 

propose to add an instruction directing advisers to provide the question number when the assumptions 

See proposed Question 3. See proposed Form PF Glossary of Terms. 

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relate to a particular question.52 This amendment is designed to help assess data more efficiently and 

improve comparability, based on experience with the form. 

We request comment on the proposed amendments. 

22. Is there a better way to achieve our objectives of assessing data more efficiently and 

improving comparability? 

2. Proposed Amendments to Section 1b of Form PF - Concerning All Private 

Funds 

Section 1b requires advisers to report certain identifying and other basic information about 

each private fund the adviser manages. The proposal would amend section 1b to require advisers to 

report additional identifying information about the private funds they manage as well as the private 

funds’ assets, financing, investor concentration, and performance. The proposed changes are 

designed to provide greater insight into private funds’ operations and strategies and assist in 

identifying trends that we believe would enhance investor protection efforts and FSOC’s systemic 

risk assessment. At the same time, we believe the proposed amendments would help improve data 

quality and comparability, based on experience with Form PF. 

Type of private fund. We are proposing several amendments to identify different types of 

reporting funds better, and help isolate data according to fund type, to allow for more targeted 

analysis. Currently, advisers indicate a reporting fund’s type on the Private Fund Reporting 

Depository (“PFRD”) filing system, and by filling out particular sections of the form.

53 We have 

found instances, however, where advisers have identified a reporting fund differently on Form PF 

than on Form ADV, even though the definitions of each fund type are the same on both forms. This 

52 See proposed Question 4. 

53 For advisers that are also CPOs or CTAs, filing Form PF through PFRD is filing with both the SEC and CFTC. 

See Instruction 3 (instructing advisers to file particular sections of Form PF, depending on their circumstances. 

For example, all Form PF filers must file section 1 and large hedge fund advisers also must file section 2). 

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may be due to error, or may be due to the fund’s characteristics changing between deadlines for Form 

ADV and Form PF. Accordingly, to help prevent reporting errors and help ensure accuracy 

concerning the reporting fund’s type, we propose to require advisers to identify the reporting fund by 

selecting one type of fund from a list: hedge fund that is not a qualifying hedge fund, qualifying 

hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, venture capital 

fund, or “other.”54 If an adviser identifies the reporting fund as “other,” the adviser would describe 

the reporting fund in Question 4, including why it would not qualify for any of the other options. 

In addition, we propose to require an adviser to indicate whether the reporting fund is a 

“commodity pool,” which is categorized as a hedge fund on Form PF.55 Although the CFTC does 

not, as of the date of this proposal, consider Form PF reporting on commodity pools as constituting 

substituted compliance with CFTC reporting requirements, some CPOs may continue to report such 

information on Form PF.56 This proposed amendment would allow for analysis of hedge fund data 

both with and without commodity pools reported on the form. 

Finally, we propose to require advisers to report whether a reporting fund operates as a 

UCITS or AIF, or markets itself as a money market fund outside the United States, and in which 

countries (if applicable).

57 These proposed amendments are designed to allow the Commissions and 

54 Proposed Question 6(a). 

55 Proposed Question 6(b). Form PF defines “commodity pool” as defined in section 1a(10) of the U.S. 

Commodity Exchange Act, as amended. See Form PF Glossary of Terms. 

56 Previously, the CFTC permitted dually registered CPO-investment advisers to submit Form PF in lieu of certain 

CFTC reporting requirements. See Compliance Requirements for Commodity Pool Operators on Form CPOPQR, (Oct. 9, 2020) [85 FR 71772 (Nov. 10, 2020)] (“Form CPO-PQR Release”).

57 See proposed Question 6(c) through (h). We propose to define the term “UCITS” as Undertakings for Collective 

Investment in Transferable Securities, as defined in the UCITS Directive of the European Parliament and of the 

Council (No. 2009/65/EC), as amended, or as captured by the Collective Investment Schemes (Amendment etc.) 

(EU Exit) Regulations 2019, as amended. We propose to define “AIF” as an alternative investment fund that is 

not regulated under the UCITS Directive, as defined in the Directive of the European Parliament and of the 

Council on alternative investment fund managers (No. 2011/61/EU), as amended, or an alternative investment 

fund that is captured by the Alternative Investment Fund Managers (Amendment etc.) (EU Exit) Regulations 

2019, as amended. See Form PF Glossary of Terms. 

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FSOC to filter data for more targeted analysis to better understand the potential exposure to beneficial 

owners outside the United States and to avoid double counting when Form PF data is aggregated with 

other data sets that include UCITS, AIFs, and money market funds that are marketed outside the 

United States. 

We request comment on the proposed amendments. 

23. Should Form PF require advisers to report additional identifying information about 

the private funds they advise, as proposed? Would the proposed amendments help 

identify each type of reporting fund, allow the Commissions and FSOC to filter data 

concerning types of funds, and conduct more targeted analysis? Is there a better way 

to meet these objectives? 

24. Should proposed Question 6 include more, fewer, or different categories of private 

funds? For example, should the form include a category for funds that may be 

“hybrid” funds that may have characteristics of different types of private funds?

Should proposed Question 6 include an “other” category, as proposed? 

Alternatively, should proposed Question 6 not include an “other” category and 

instead require that advisers select the best fit among the specific categories? Are 

there other ways to limit the types of funds that may report as “other?” 

25. Should Form PF require advisers to explain in Question 4 why they choose “other” 

as a category, as proposed? Would this proposed requirement clarify what type of 

fund the reporting fund is, if it does not fit within the other categories? Is there a 

better way of identifying what type of fund the reporting fund is? Should Form PF 

require the adviser to include more, less, or different information in the explanation? 

26. Should Form PF require advisers to identify if the reporting fund is a commodity 

pool, as proposed? Are any CPOs currently reporting information regarding any 

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commodity pools, even if they are not private funds? If so, why? Alternatively, 

should we revise the definition of “hedge fund” so it would not include commodity 

pools? If we exclude commodity pools from the definition of “hedge fund,” should 

we amend Form PF to require advisers to report the same or different information 

about commodity pools as they do for hedge funds? 

27. Should Form PF require advisers to report whether and in which countries the 

reporting company operates as a UCITS or AIF, or markets itself as a money market 

fund outside the United States, as proposed? Would the proposed amendment allow 

us and FSOC to filter data for more targeted analysis to better understand the 

potential exposure to beneficial owners outside the United States and to avoid double 

counting when Form PF data is aggregated with other data sets that include UCITS 

and AIFs? Is there a better way to meet these objectives? 

28. Should Form PF define UCITS and AIF, as proposed? Would the proposed 

definitions keep the terms evergreen if directives change or new ones apply? If not, 

how should we define these terms? For example, should we provide less detail in the 

definition about the directives to keep the definitions evergreen? 

Master-feeder arrangements, internal private funds, external private funds, and parallel fund 

structures. To reflect that advisers would report components of master-feeder arrangements and 

parallel fund structures separately, we propose to amend Form PF to require advisers to report 

identifying information about master-feeder arrangements and other private funds (e.g., funds of 

funds), including internal private funds, and external private funds.58 Form PF currently requires 

For master-feeder arrangements, advisers would report the name of the feeder fund, its private fund identification 

number, and whether the feeder fund is a separate reporting fund or a disregarded feeder fund. For internal 

private funds that invest in the reporting fund, advisers would report the name of the internal private fund, its 

LEI, if it has one, and its private fund identification number. See proposed Question 7. If the reporting fund 

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advisers to report identifying information about parallel funds, and would continue to do so under the 

proposal.59 The proposal also would require advisers to report the value of the reporting fund’s

investments in other private funds (e.g., funds of funds), as current Question 10 requires, but with 

more detail.60 Specifically, the proposal would require advisers to report the value of the reporting 

fund’s equity investments in external private funds and internal private funds (including the master 

fund and each internal private fund), which would comprise the total investments in other private 

funds.

61 These amendments are designed to help map complex fund structures and cross reference 

private fund information across Form PF filings, to provide more complete and accurate information 

about each fund’s risk profile. 

In connection with these proposed amendments, in the Form PF Glossary of Terms, we 

propose to remove the terms “investments in external private funds” and “investments in internal 

private funds,” and replace them with “external private funds” (private funds that neither the adviser

nor the adviser’s related persons advise) and “internal private funds” (private funds that the adviser or 

any of the adviser’s related persons advise), respectively. The proposed definitions would not direct 

advisers to exclude “cash management funds,” as is currently the case under the terms being 

removed, because we observed that advisers determine whether a fund is a cash management fund 

inconsistently. Therefore, this proposed amendment is designed to improve data quality. 

invests in external private funds, advisers would report the name of the master fund, its private fund 

identification number, and the master fund’s LEI, if it has one. If the reporting fund invests in internal private 

funds, advisers would report the internal private fund’s name, its private fund identification number, and its LEI, 

if it has one. Proposed Question 15. 

59 See current Question 7 and proposed Question 8. 

60 This requirement would be part of proposed Question 15. 

61 See proposed Question 15. 

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We request comments on the proposed amendments. 

29. Would the proposed amendments help to map complex fund structures and cross 

reference them to private fund information across Form PF filings? Would the 

proposed amendments provide more complete and accurate information about each 

fund’s risk profile? Is there a better way to meet these objectives? 

30. Should the form require different or additional identifying information to identify a 

master fund, feeder fund, internal private fund, or external private fund? 

31. Should Form PF require advisers to report the private fund identification number for 

any feeder funds, as proposed, even though advisers annually report the private fund 

identification number of any feeder funds that invest in a private fund they advise on 

Form ADV?62 

32. Should Form PF define “internal private funds,” “external private funds,” and 

“trading vehicle,” as proposed? Are there alternative definitions we should adopt? 

For example, should we define “internal private funds” and “external private funds” 

to exclude cash management funds as the current definitions of “investments in 

internal private funds” and “investments in external private funds” do?

Withdrawal or redemption rights. The proposal would change how advisers report 

withdrawal and redemption rights. Form PF currently requires only large hedge fund advisers to 

report whether each qualifying hedge fund provides investors with withdrawal or redemption rights in 

the ordinary course.

63 We propose to require all advisers to provide this information for each 

reporting fund to inform the Commissions and FSOC better of all reporting funds’ susceptibility to 

62 Form ADV, section 7.B.(1).A.6. 

63 Current Question 49(a). 

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stress through investor redemptions, to help identify how widespread the stress is.

64 If the reporting 

fund provides investors with withdrawal or redemption rights in the ordinary course, we propose to 

require advisers to indicate how often withdrawals or redemptions are permitted by selecting from a 

list of categories.

65 Advisers would report this information regardless of whether there are notice 

requirements, gates, lock-ups, or other restrictions on withdrawals or redemptions.66 We believe 

these proposed amendments would allow us and FSOC to identify better reporting funds that may be 

affected by investor withdrawals during certain market events, or vulnerable to failure as a result of 

investor redemptions. We believe this information also would provide insight into other data that all 

reporting funds report. For example, we understand that private equity funds that do not typically 

offer redemption rights in the ordinary course likely have certain patterns of subscriptions and 

withdrawals, and also report performance to investors and prospective investors as an internal rate of 

return, rather than reporting based on changes in the portfolio market value. We propose to define 

“internal rate of return” in the proposed Form PF Glossary of Terms as the discount rate that causes 

the net present value of all cash flows throughout the life of the fund to be equal to zero. Analyzing 

reported information about investor withdrawal or redemption rights together with reported 

information about subscriptions and withdrawals or performance is designed to help us identify 

developing trends relevant to identifying systemic risk and would help us further investor protection 

efforts. We request comment on the proposed amendments. 

64 To implement this, the proposal would move current Question 49(a) from section 2b, which requires large hedge 

fund advisers to report information about qualifying hedge funds, to section 1b which requires all advisers to 

report information about all the reporting funds they advise, and redesignate it as Question 10. To accommodate 

moving the question, the proposal would make corresponding amendments to the instructions in current 

Question 49, which we would redesignate as Question 52. 

65 Proposed Question 10(b). The categories would be (1) any business day, (2) at intervals of at least two business 

days and up to a month, (3) at intervals longer than monthly up to quarterly, (4) at intervals longer than quarterly 

up to annually, and (5) at intervals of more than one year. 

66 For example, if the reporting fund allows quarterly redemptions that are subject to a gate, then the adviser would 

select “at intervals longer than monthly up to quarterly.” 

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33. Should we require all advisers to report information about withdrawal and 

redemption rights about all the reporting funds they advise, as proposed? 

Alternatively, should only certain advisers report this information for only certain 

reporting funds? If so, which ones and why? 

34. Should Form PF include more, fewer, or different categories for the schedule of 

withdrawal or redemption rights? As an alternative, should advisers be able to select 

“other” as a schedule category? Under what circumstances would an adviser select 

“other?” 

35. Should we define “internal rate of return” as proposed? If not, what alternative 

definitions should we use? 

Trading vehicles. We are proposing to require advisers to provide identifying information for 

any trading vehicle in which the reporting fund holds investments or conducts activities.

67 Advisers 

would disclose the trading vehicle’s legal name; LEI, if it has one; and any other identifying 

information about the trading vehicle, such as the RSSD ID, if it has one. This proposed amendment 

is designed to help the Commissions and FSOC understand the reporting fund’s activities, including 

how it interacts with the market if the fund trades through a trading vehicle and related counterparty 

exposures. The identifying information also is designed to allow comparisons of Form PF data with 

data from other sources that use such information to identify entities. Enhancing the ability to 

compare Form PF data in this way is designed to provide a more comprehensive view of the market, 

and therefore, enhance investor protection efforts and systemic risk assessment. 

We request comment on the proposed amendments. 

Proposed Question 9. 

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36. Should all advisers provide identifying information for a trading vehicle, including 

an LEI if it has one, as proposed? Alternatively, should only certain advisers report 

it for certain reporting funds? 

37. Do any trading vehicles not have an LEI? 

38. Should Form PF require more, less, or different identifying information for the 

trading vehicle? 

Gross asset value and net asset value. We propose several amendments to the way advisers 

report gross asset value and net asset value. We propose to require advisers who are filing quarterly 

updates to report gross asset value and net asset value as of the end of each month of the reporting 

period, rather than only reporting the information as of the end of the reporting period, as Form PF 

currently requires.

68 This proposed amendment is designed to facilitate analysis of other monthly 

Form PF data, including certain fund performance and risk metrics.

69 

We also propose to add new Question 13 to require advisers to separately report the value of 

unfunded commitments included in the gross and net asset value reported in proposed Questions 11 

and 12.

70 Current Questions 8 and 9 require valuations based on the instruction in Form ADV for 

calculating regulatory assets under management, which requires advisers to include the amount of 

68 See current Questions 8 and 9, and proposed Questions 11 and 12. We also propose to make amendments to the 

instructions in current Question 8 (which we would redesignate as proposed Question 11) to correspond with the 

proposed instructions that would no longer allow advisers to aggregate master-feeder arrangements, as discussed 

above. 

69 See e.g., proposed Question 23 (requiring all private fund advisers to report monthly performance data, to the 

extent such results are calculated for the reporting fund), supra footnote 98, and accompanying text, and 

proposed Question 48 (requiring large hedge funds to report monthly data concerning the reporting fund’s

portfolio correlation), infra section II.C.2 of this Release. 

70 Form PF currently defines “unfunded commitments” as “committed capital” that has not yet been contributed to 

the private equity fund by investors. We propose to amend the definition so it refers to all reporting funds, not 

only private equity funds. Form PF defines “committed capital” as any commitment pursuant to which a person 

is obligated to acquire an interest in, or make capital contributions to, the private fund. See Form PF Glossary of 

Terms. 

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any unfunded commitments.

71 This approach reflects that, in the early years of a private fund’s life,

its adviser typically earns fees based on the total amount of capital commitments, which we presume 

reflects compensation for efforts expended on behalf of the fund in preparation for the investments.72 

We continue to believe that net asset value and gross asset value should include unfunded 

commitments so Form PF data is comparable to Form ADV data. However, there are circumstances 

where understanding the amount represented by unfunded commitments would enhance our 

understanding of changes to a reporting fund’s net and gross asset value over time, inform us of 

trends, and improve data comparability over the life of the fund. For example, knowing the value of 

uncalled commitments would help the Commissions and FSOC more accurately identify how much 

leverage a fund with uncalled commitments has. Currently, the Commissions and FSOC only can 

infer this information but it is unclear whether such inferences are correct. Therefore, this proposed 

amendment is designed to improve data accuracy and comparability, which is important for effective 

system risk assessment and investor protection efforts. 

We request comment on the proposed amendments. 

39. Should Form PF require advisers who are filing quarterly updates to report 

information as of the end of each month of the reporting period, as proposed? Would 

this requirement facilitate our and FSOC’s analysis of such advisers’ other monthly 

Form PF data? Is there a better way to meet this objective? 

71 Form PF requires advisers to calculate gross asset value and net asset value using regulatory assets under 

management, a regulatory metric from Form ADV. See “gross asset value” and “net asset value” as defined in 

Form PF Glossary of Terms; Form ADV: Instructions for Part 1A, Instruction 5.b. An adviser must calculate its 

regulatory assets under management on a gross basis, that is, without deduction of any outstanding indebtedness 

or other accrued but unpaid liabilities. In addition, an adviser must include the amount of any uncalled capital 

commitments made to a private fund managed by the adviser. 

72 Rules Implementing Amendments to the Investment Advisers Act of 1940, Advisers Act Release No. 3221 (June 

22, 2011) [76 FR 42950, 42956 (July 19, 2011)], at text accompanying n.90. 

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40. Should Form PF require advisers to report the value of unfunded commitments 

included in the gross asset value and net asset value, as proposed? Would the 

proposed amendment improve data accuracy and comparability? Would the 

proposed amendment more accurately identify how much leverage a fund with 

uncalled commitments has? Is there a better way to meet this objective? 

Inflows and outflows. We propose to add a question requiring advisers to report information 

concerning the reporting fund’s activity, including contributions to the reporting fund, as well as 

withdrawals and redemptions, which would include all withdrawals, redemptions, or other 

distributions of any kind to investors.73 Form PF would specify that, for purposes of the question, 

advisers must include all new contributions from investors, but exclude contributions of committed 

capital that they have already included in gross asset value calculated in accordance with Form ADV 

instructions.74 Quarterly filers would provide this information for each month of the reporting period. 

This proposed requirement is designed to facilitate analysis of other monthly Form PF data, including 

certain fund performance and risk metrics.75 Therefore, this amendment is designed to improve data 

accuracy, and allow the Commissions and FSOC to analyze data more efficiently. Inflows and 

outflows inform the Commissions and FSOC of the relationship between flows and performance, 

changes to net and gross asset value, as well as trends in the private fund industry. Accordingly, this 

question is designed to provide a more accurate baseline understanding of inflows and outflows, so 

the Commissions and FSOC can, for example, more accurately assess how much the private fund 

industry has grown from flows versus performance. Inflows and outflows also can indicate funding 

fragility, which can have systemic risk implications. Therefore, this amendment also is designed to 

73 See proposed Question 14. 

74 Form PF would cite to Form ADV, Part 1A Instruction 6.e.(3). 

75 See supra footnote 69. 

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provide more accurate data of inflows and outflows for systemic risk assessment and investor 

protection efforts, including identifying activity that may not match investor disclosures. 

We request comment on the proposed amendments. 

41. Should proposed Question 14 apply to advisers to all reporting funds, as proposed, or 

only certain advisers to only certain reporting funds? 

42. Should proposed Question 14 instruct advisers to include or exclude any other 

information? Would proposed Question 14 raise operational challenges? For 

example, should the instructions specify whether to include or exclude distributions 

that may be recallable by the fund (i.e., “recyclable capital commitments” or capital 

that can be recalled to invest during a portion of the investment period)? 

43. Should Form PF require advisers to provide the amount of new redemptions or 

subscriptions based on notices that would be payable or expected after Form PF is 

due? If so, should all advisers submit such data for all reporting funds, or should 

only certain advisers submit it for only certain reporting funds? 

Base currency. The proposal would require all advisers to identify the base currency of all 

reporting funds, rather than only large hedge fund advisers identifying this information for only 

qualifying hedge funds.76 When a reporting fund uses a base currency other than U.S. dollars in the 

current Form PF, the adviser must convert all monetary values to U.S. dollars, unless otherwise 

specified, to complete Form PF, which may cause inconsistencies in the data.77 Currently, the 

Commissions and FSOC can identify such inconsistencies only for qualifying hedge funds from 

76 To implement this, the proposal would move current Question 31 from current section 2b, which requires large 

hedge fund advisers to report information about qualifying hedge funds, to section 1b which requires all advisers 

to report information about all the reporting funds they advise. See proposed Question 17. 

77 See current Instruction 15. We also propose to revise Instruction 15 to provide additional instructions concerning 

currency conversions. See section II.D of this Release. 

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current Question 31. Therefore, this proposed change is designed to allow us and FSOC to interpret 

more accurately responses to questions regarding foreign exchange exposures and the effect of 

changes in currency rates on all reporting fund portfolios to aid systemic risk assessment and investor 

protection efforts across all reporting fund portfolios. 

We request comment on the proposed amendments. 

44. Should we expand reporting of base currency information for all reporting funds, as 

proposed? Would the proposed change allow us and FSOC to interpret responses to 

questions regarding foreign exchange exposures and the effect of changes in 

currency rates for these funds? 

45. Would the proposed amendment improve efficiency? 

Borrowings and types of creditors. The proposal would revise how advisers report the 

reporting fund’s “borrowings.” We propose to revise the term “borrowings” to (1) specify that it 

includes “synthetic long positions,” which Form PF would define in the Glossary of Terms, and (2) 

provide a non-exhaustive list of types of borrowings.78 This proposed reporting approach is 

consistent with SEC staff guidance from Form PF Frequently Asked Questions.

79 This proposed 

amendment is designed to improve data quality, based on experience with the form. Current 

Question 12 requires advisers to report the value of the reporting fund’s borrowings and the types of 

78 “Borrowings” would include, but would not be limited to (1) cash and cash equivalents received with an 

obligation to repay; (2) securities lending transactions (count cash and cash equivalents and securities received 

by the reporting fund in the transaction, including securities borrowed by the reporting fund for short sales); (3) 

repo or reverse repo (count the cash and cash equivalents and securities received by the reporting fund); (4) 

negative mark-to-market of derivative transactions from the reporting fund’s point of view; and (5) the gross 

notional value of “synthetic long positions.” We propose to define a “synthetic long position” in the Form PF

Glossary of Terms (see the proposed Form PF Glossary of Terms for the proposed definition.) We are proposing 

this definition based on our understanding of the instruments and to help ensure data quality to aid comparability. 

79 See SEC staff Form PF Frequently Asked Questions, available at 

https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml (“Form PF Frequently Asked Questions”). See 

Form PF Frequently Asked Question 12.1 (which provides a non-exhaustive list of types of borrowings). 

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creditors. We propose to amend this question to require advisers to indicate whether a creditor is 

based in the United States and whether it is a “U.S. depository institution,” rather than a “U.S. 

financial institution” as is currently required.

80 This proposed amendment is designed to make the 

categories more consistent with the categories the Federal Reserve Board uses in its reports and 

analysis, to enhance systemic risk assessment. The proposal would not require advisers to distinguish 

between non-U.S. creditors that are depository institutions and those that are not. We understand that 

it is difficult for advisers to distinguish non-U.S. creditors by type, resulting in inconsistent data that 

is less valuable for analysis. 

We request comment on the proposed amendments. 

46. Should Form PF define or redefine any terms related to proposed Question 18? For 

example, should Form PF define “U.S. depository institution,” “synthetic long 

positions,” and revise the term “borrowings,” as proposed? Could the definitions be 

clearer? Should Form PF define the terms differently? For example, should 

“synthetic long position” provide a different list of assets to be included or excluded? 

See proposed Question 18. Form PF would define “U.S. depository institution” as any U.S. domiciled depository 

institution, including any of the following: (1) a depository institution chartered in the United States, including 

any federally-chartered or state-chartered bank, savings bank, cooperative bank, savings and loan association, or 

an international banking facility established by a depositary institution chartered in the United States; 

(2) banking offices established in the United States by a financial institution that is not organized or chartered in the 

United States, including a branch or agency located in the United States and engaged in banking not incorporated 

separately from its financial institution parent, United States subsidiaries established to engage in international 

business, and international banking facilities; (3) any bank chartered in any of the following United States affiliated 

areas: U.S. territories of American Samoa, Guam, and the U.S. Virgin Islands; the Commonwealth of the 

Northern Mariana Islands; the Commonwealth of Puerto Rico; the Republic of the Marshall Islands; the 

Federated States of Micronesia; and the Trust Territory of the Pacific Islands (Palau); or (4) a credit union 

(including a natural person or corporate credit union). Form PF defines “U.S. financial institution” as any of the 

following: (1) a financial institution chartered in the United States (whether federally-chartered or statechartered); (2) a financial institution that is separately incorporated or otherwise organized in the United States 

but has a parent that is a financial institution chartered outside the United States; or (3) a branch or agency that 

resides outside the United States but has a parent that is a financial institution chartered in the United States. See 

proposed Form PF Glossary of Terms. 

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Does the reference to deep-in-the-money options in the definition of “synthetic long 

position” need further clarification? If so, what clarifications should we make? 

47. Would advisers find it difficult to distinguish among different types of non-U.S. 

creditors? Should Form PF require advisers to distinguish between non-U.S. 

creditors that are depository institutions and those that are not, or non-U.S. creditors 

that are financial institutions and those that are not? 

Fair value hierarchy. Current Question 14 requires advisers to report the assets and liabilities 

of each reporting fund broken down using categories that are based on the fair value hierarchy 

established under U.S. generally accepted accounting principles.

81 Current Question 14 is designed 

to provide insight into the illiquidity and complexity of a fund’s portfolio and the extent to which the 

fund’s value is determined using metrics other than market mechanisms.82 We are proposing to 

revise how advisers report fair value hierarchy in current Question 14, which we would redesignate as 

proposed Question 20, in the following ways to improve data quality and better understand the 

reporting fund’s complexity and valuation challenges: 

• We propose to require advisers to indicate the date the categorization was performed. 

This proposed amendment is designed to show how old the data is. Some advisers 

report current fair value hierarchy, while others report a prior year’s fair value

hierarchy if the current data is not yet available.83 This can cause confusion when 

analyzing the data, because the fair value hierarchy data concerns a different time 

81 See 2011 Form PF Adopting Release, supra footnote 3, at text accompanying n.204. 

82 See 2011 Form PF Adopting Release, supra footnote 3, at n.204. 

83 Advisers are not required to update information that they believe in good faith properly responded to Form PF on 

the date of filing even if that information is subsequently revised for purposes of their recordkeeping, risk 

management, or investor reporting (such as estimates that are refined after completion of a subsequent audit). 

See Instruction 16. 

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period than the other data advisers report on Form PF. Therefore, we believe that 

adding a categorization date would help ensure the data is not incorrectly categorized 

as applying to the wrong time period, and in turn, would allow the Commissions and 

FSOC to correlate data to other Form PF data and market events more accurately. 

• We propose to direct advisers to report the absolute value of all liabilities. Currently, 

advisers report liabilities inconsistently, with some reporting absolute values and 

others reporting negative values. This inconsistency causes errors when the 

Commissions and FSOC aggregate this data and we believe the proposed instruction 

would help reduce aggregation errors. 

• We propose to direct advisers to provide an explanation in Question 4 if they report 

assets as a negative value. We have found that some advisers have reported negative 

values for assets in error. 84 Therefore, this instruction is designed to reduce 

inadvertent errors. 

• We propose to require advisers to separately report cash and cash equivalents. 

Currently, Form PF does not explain where advisers must report cash and cash 

equivalents in current Question 14. While SEC staff have suggested that advisers 

generally should report cash in the cost based column and cash equivalents in the 

applicable column in the fair value hierarchy or the cost based column, depending on 

the nature of the cash equivalents, we are proposing to add a separate column for cash 

and cash equivalents.

85 The proposed categorization is designed to differentiate 

84 We recognize that there may be cases when advisers correctly report negative values, such as when subtracting 

fund of fund investments. 

85 See Form PF Frequently Asked Question 14.3, Form PF Frequently Asked Questions, supra footnote 79. 

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reported holdings of cash and cash equivalents from harder to value assets that may be 

valued at cost, and in turn, improve data quality and comparability. 

• We propose to amend the definition of “cash and cash equivalents.” The current 

definition of “cash and cash equivalents” includes “government securities.”86 When 

reporting cash and cash equivalents, some advisers may include government securities 

with longer maturities, while others do not, which results in inconsistent reporting and 

may obscure our and FSOC’s understanding of fund exposures. Therefore, to improve 

data quality, we propose to remove government securities from the definition of “cash 

and cash equivalents,” and present it as its own line item in the proposed Form PF 

Glossary of Terms.

87 We also propose to amend the term “cash and cash equivalents”

so it would direct advisers to not include any digital assets when reporting cash and 

cash equivalents. As discussed in section II.B.3 of this Release, we propose to define 

“digital assets” and require advisers to report them separately than other types of 

assets.88 Therefore, this proposed amendment is designed to ensure that the categories 

of “cash and cash equivalents” and “digital assets” are clearly distinct to help ensure 

accurate reporting. 

• We propose to add instructions directing advisers about how to report data if their 

financial statement’s audit is not yet completed when Form PF is due. The 

instructions would state that advisers should use the estimated values for the fiscal 

86 Current Form PF defines “government securities” in the current term “cash and cash equivalents” as (1) U.S. 

treasury securities, (2) agency securities, and (3) any certificate of deposit for any of the foregoing. 

87 We propose to make corresponding amendments to the definition of “unencumbered cash” to reflect that

“government securities” would be a distinct term from “cash and cash equivalents.” This proposed amendment 

is not intended to change the meaning of the term “unencumbered cash.” See Form PF Glossary of Terms. 

88 See e.g., proposed Question 25, which would include digital assets as a strategy category for advisers to hedge 

funds. 

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year and explain that the information is an estimate in Question 4. The proposed 

instructions also would provide that the adviser may, but is not required to, amend 

Form PF when the audited financial statements are complete.89 The instructions are 

consistent with responses to Form PF Frequently Asked Questions and are designed to 

provide the Commissions and FSOC with more recent information regarding the 

reporting fund than may be possible if the reporting fund relied solely on audited 

financial statement information (i.e., the reporting fund’s previous fiscal year’s audited 

financial statements).

90 Given that advisers file Form PF sometimes months after their 

quarter and year ends, depending on their size and the type of funds they advise, we 

believe the proposed instruction would balance reporting burdens with more timely 

information for assessing potential systemic risk and investor protection concerns. 

We request comment on the proposed amendments. 

48. Should we require advisers to indicate the date the categorization was performed, as 

proposed? Would this proposed amendment help ensure the data is correctly 

categorized as applying to the appropriate time period, and in turn, allow the 

Commissions and FSOC to correlate data to other Form PF data and market events 

more accurately? Is there a better way to meet this objective? 

49. Should Form PF direct advisers to report the absolute value of all liabilities, as 

proposed? Would this proposed amendment reduce aggregation errors? Is there a 

better way to meet this objective? 

89 Form PF Instruction 16 would continue to provide that an adviser is not required to update information that it 

believes in good faith properly responds to Form PF on the date of filing, even if that information is subsequently 

revised, as Form PF currently provides. 

90 See Form PF Frequently Asked Question A.11, Form PF Frequently Asked Questions, supra footnote 79. 

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50. Should Form PF direct advisers to provide an explanation in Question 4 if they report 

assets as a negative value, as proposed? Would this proposed instruction reduce 

inadvertent errors? 

51. Should advisers report cash or cash equivalents separately from other assets, as 

proposed? Are there other alternatives we should implement? For example, should 

Form PF require advisers to report cash in the cost based column and cash 

equivalents in the applicable column in the fair value hierarchy or the cost based 

column, depending on the nature of the cash equivalents?91 

52. Would the proposed amendments to the terms “cash and cash equivalents” and 

“unencumbered cash,” and the addition of “government securities” allow for more

precise reporting for these types of assets? Alternatively, should the definition of 

“cash and cash equivalents” provide that government securities would be included in 

cash equivalents if they are eligible to be held by money market funds under the risklimiting condition set forth in [17 CFR 270.2a-7(d)(1)(i)] Investment Company Act 

rule 2a-7(d)(1)(i), which generally prohibits a money market fund from acquiring any 

instrument with a remaining maturity of greater than 397 calendar days? Should this 

language be more comparable with other requirements of Form PF, which require 

large liquidity fund advisers to report the dollar amount of a liquidity fund’s assets 

that have a maturity greater than 397 days?92 Should Form PF provide distinct line 

items for the term “cash” and “cash equivalents,” and revise questions to refer to 

each term, as applicable? Should the term “unencumbered cash” continue to refer to

91 See supra footnote 85. 

92 See e.g., Form PF, section 3, current Question 55(i). The SEC recently proposed amendments to Form PF 

section 3, which would redesignate current Question 55(i) to reflect new numbering. See 2022 SEC Form PF 

Proposal, supra footnote 13. 

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government securities, as proposed, or should we modify the term differently? For 

example, should “unencumbered cash” refer to U.S. treasury bills, rather than 

government securities? 

53. Should Form PF direct advisers to report estimated values if their financial 

statement’s audit is not yet completed when Form PF is due, as proposed? 

Alternatively, should we require advisers to update Form PF with updated values 

when the audited financial statements are complete? 

Beneficial Ownership of the Reporting Fund. Current Question 16 requires advisers to 

specify the approximate percentage of the reporting funds’ equity that is beneficially owned by 

different groups of investors. We propose to require advisers to provide more granular information 

regarding the following groups of beneficial owners.

93 

• Advisers would indicate whether beneficial owners that are broker-dealers, insurance 

companies, non-profits, pension plans, banking or thrift institutions are U.S. persons or 

non-U.S. persons.

94 This proposed amendment is designed to allow the Commissions 

and FSOC to conduct more targeted analysis about risks presented in the United States 

separate from risks presented abroad. With regard to pension plans, in particular, it is 

currently unclear how advisers must report assets in non-U.S. pension plans: as 

governmental pension plans or foreign official institutions. Therefore, this proposed 

amendment also is designed to improve data quality, based on experience with the form. 

93 See proposed Question 22. 

94 We understand that, in some cases, an adviser may not be able to determine what type of non-U.S. entity the 

investor is. Current Question 16 already provides a category that would address that scenario in certain 

circumstances, and we would maintain that approach. If investors that are not United States persons and about 

which certain beneficial ownership information is not known and cannot reasonably be obtained because the 

beneficial interest is held through a chain involving one or more third-party intermediaries, advisers currently 

report this in current Question 16(m), which we would redesignate as proposed Question 22(s). 

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• Advisers would indicate whether beneficial owners that are private funds are either 

internal private funds (i.e., managed by the adviser or its related persons) or external 

private funds. This proposed amendment is designed to help the Commissions and 

FSOC understand the interconnectedness of private funds to each other, which would aid 

systemic risk assessment and investor protection efforts. Furthermore, this information 

is designed to help the Commissions and FSOC understand a reporting fund’s risk from

investor demands for liquidity, because beneficial owners that are external private funds 

may have less predictable withdrawals than internal private funds. 

• We would specify that “state” investors are U.S. state investors to improve data quality 

and reduce potential confusion.

95 

The proposal would provide that if advisers report information in the “other” category, they 

must describe in Question 4 the type of investor, why it would not qualify for any of the other 

categories, and any other information to explain the selection of “other.” This proposed amendment 

is designed to improve data quality by providing context to the adviser’s selection of the “other” 

category, and help ensure that advisers do not inadvertently report information in the wrong category. 

We request comment on the proposed amendments. 

54. Should we revise the reporting categories as proposed? Should we eliminate, add, or 

change any categories? For example, should we add categories for security-based 

swap dealers that are U.S. persons and those that are not? The instructions for 

current Question 16 require advisers to include each investor in only one group. 

The proposal also would include instructions to proposed Question 22, as well as current Question 15, which we 

would redesignate as proposed Question 21 (concerning a certain percentage of beneficial ownership), providing 

that if the reporting fund is the master fund in a master-feeder arrangement, advisers must look through any 

disregarded feeder fund (i.e., a feeder fund that is not required to be separately reported). This proposed 

amendment is designed to implement the proposed master-feeder reporting. See section II.A.1 of this Release. 

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Therefore, if we require advisers to report whether an investor is a security-based 

swap dealer, how should they report the investor if the investor also qualifies for 

another category, such as broker-dealers or “banking or thrift institutions?” For 

example, should the list be non-exclusive? Is there a better way to address cases 

when advisers may not be able to determine what type of entity the investor is?96 

55. Should Form PF require advisers to explain their response when they select “other” 

as a category, as proposed? Should Form PF require the adviser to include more, 

less, or different information in the explanation? Would this proposed change 

provide context to the adviser’s selection of the “other” category and help prevent 

misreporting? 

56. Should we add instructions to current Question 15 (which we propose to redesignate 

as proposed Question 21) to allow good faith estimates in determining beneficial 

interests outstanding before March 31, 2012 (the effective date of Form PF), that 

have not been transferred on or after that date, as current Question 16 does and Form 

PF would continue to provide in proposed Question 22? 

57. Current Question 16 includes a category concerning broker-dealers. Under the 

proposal, advisers would distinguish between broker-dealers that are U.S. persons 

and those that are not U.S. persons. Should Form PF define “broker-dealer” or use 

different terms so the categories would be more consistent with the Federal Reserve 

Board’s reports and analysis? Is there a way to achieve this objective while ensuring 

the terms are consistent with the SEC’s definition of the terms? For example, should 

Form PF use and define the term “broker” or “dealer” as they are defined in the 

See supra footnote 94. 

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Securities Exchange Act of 1934 (“Exchange Act”)?97 Should Form PF use and 

define the term “foreign broker or dealer” as it is defined in [17 CFR 240.15a6(b)(3)] (“Exchange Act rule 15a-6(b)(3)”)? Should Form PF use the term 

“securities brokers and dealers,” and define it the following way: Firms that buy and 

sell securities for a fee, hold an inventory of securities for resale, or do both? Are the 

firms that make up this sector those that submit information to the SEC on one of two 

reporting forms, either [17 CFR 249.617] Form X-17A-5, Financial and Operational 

Combined Uniform Single Report of Brokers and Dealers (“FOCUS Report”) or [17 

CFR 449.5] Form G-405, on Finances and Operations of Government Securities 

Brokers and Dealers (“FOGS Report”)? 

Fund Performance. We are proposing several amendments regarding fund performance 

reporting in current Question 17, which we would redesignate as proposed Question 23.

98 Currently, 

Form PF requires all advisers to report gross and net fund performance for specified fiscal periods 

using a table in current Question 17. The table in current Question 17 requires advisers to provide 

monthly and quarterly performance results in the table only if such results are calculated for the 

reporting fund. This requirement would remain, but we propose to add instructions specifying which 

lines to complete depending on whether the adviser is submitting an initial filing, annual update, or 

quarterly update.99 We also propose to amend the instructions to the table to specify that if gross and 

97 15 U.S.C. 78c(a)(4) and 15 U.S.C. 78c(a)(5). 

98 In a separate release, the SEC is proposing a new rule under the Advisers Act to require advisers to provide 

certain fund performance information to its private funds’ investors in quarterly statements. See Private Fund 

Advisers; Documentation of Registered Investment Adviser Compliance Reviews, Advisers Act Release No. IA5955 (Feb. 9, 2022) [87 FR 16886, (Mar. 24, 2022)]. 

99 We also propose to reorganize the table so monthly, quarterly, and yearly data is presented in separate categories, 

but this change would not affect reporting; advisers would report information according to the same intervals, as 

they currently do. We also propose to amend the table to refer to the end date of each applicable month, quarter, 

and year, rather than last day of the fiscal period, to reflect the proposed amendments to the reporting period, as 

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net performance is reported to current and prospective investors, counterparties, or otherwise in a 

currency other than U.S. dollars, advisers must report the data using that currency. We believe this 

instruction is implied in the current form and we propose to amend this instruction to make it explicit. 

We also propose to require advisers to identify the currency in Question 4.100 This proposed 

amendment is designed to inform the Commissions and FSOC of the currency the adviser used to 

report the reporting fund’s gross and net performance, for more accurate and informed analysis.

We also propose to create an exception to the tabular reporting. If the reporting fund’s 

performance is reported to current and prospective investors, counterparties, or otherwise as an 

internal rate of return since inception, the adviser would report its performance as an internal rate of 

return.

101 If such information is reported to current and prospective investors, counterparties, or 

otherwise, in a currency other than U.S. dollars, advisers would report the data using that currency, 

and identify the currency in Question 4. This approach is designed to acknowledge that advisers 

calculate performance data differently for different types of private funds. For example, advisers of 

private equity funds may use internal rate of return to calculate performance data, while advisers to 

liquidity funds and hedge funds may use a periodic rate of return. These calculations may differ in 

the way they reflect realized and unrealized gains, among other things. Therefore, the proposed 

change is designed to allow the Commissions and FSOC to improve the usefulness and quality of 

performance data to conduct more accurate analysis, including comparisons, and aggregations. 

discussed above. See supra section II.A.3 of this Release, and proposed Question 23(a). 

100 See proposed Question 23(a). 

101 See proposed Question 23 instructions, and proposed Question 23(b). Proposed Question 23(b) also would 

require that if the fund reports different performance results to different groups, advisers must provide the most 

representative results and explain their selection in Question 4. The instructions to proposed Question 23(b) 

would specify that internal rates of return for periods longer than one year must be annualized, while internal rates 

of return for periods one year or less must not be annualized. This instruction is designed to help ensure consistent 

reporting for accurate comparisons. 

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The proposal would require advisers to report additional performance-related information if 

the adviser calculates a market value on a daily basis for any position in the reporting fund’s

portfolio. In such a case, the adviser would report the following: 

• The “reporting fund aggregate calculated value” at the end of the reporting period.102 

Advisers that file a quarterly update also would report the reporting fund aggregate 

calculated value as of the end of the first and second month of the reporting period.

103 

• The reporting fund’s volatility of the natural log of the daily “rate of return” for each 

month of the reporting period, following a prescribed methodology.

104 Advisers 

would report whether the reporting fund uses a different methodology than is 

prescribed in Form PF to report to current and prospective investors, counterparties, or 

otherwise, and if so, they would describe it in Question 4.105 

• Whether the reporting fund had one or more days with a negative daily rate of return 

during the reporting period. If so, advisers would report (1) the most recent peak to 

trough drawdown, and indicate whether the drawdown was continuing on the data 

reporting date, (2) the largest peak to trough drawdown, (3) the largest single day 

drawdown, and (4) the number of days with a negative daily rate of return in the 

102 We would define the term “reporting fund aggregate calculated value” in the Form PF Glossary of Terms. See 

proposed Form PF Glossary of Terms and proposed Question 23(c). 

103 See proposed Question 23(c)(i). 

104 We would define “rate of return” for a reporting fund as the percentage change in the reporting fund aggregate 

calculated value in the reporting fund’s base currency from one date to another, and adjusted for subscriptions 

and redemptions. For a portfolio position, the “rate of return” would be the percentage change in the “position 

calculated value,” adjusted for income earned. We would define “position calculated value” in the Form PF

Glossary of Terms. The prescribed methodology would be the standard deviation of the natural log of one plus 

each of the daily rates of return in the month, annualized by the square root of 252 trading days. When 

calculating the natural log of a daily rate of return, the rate of return, which is expressed as a percent, must first 

be converted to a decimal value and then one must be added to the decimal value. See proposed Form PF 

Glossary of Terms and Question 23(c)(ii). 

105 See proposed Question 23(c)(iii). 

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reporting period.

106 These measures are designed to help us and FSOC understand 

risk, particularly in reporting funds with unique return patterns that are poorly 

measured using volatility alone. We understand that advisers use drawdown metrics, 

therefore, this question also is designed to be more reflective of industry practice, and 

in turn improve data quality. 

Together, the proposed changes are designed to allow the Commissions and FSOC to more 

accurately compare volatility across different fund types to identify market trends (e.g., volatility of a 

specific fund type), for systemic risk assessment and investor protection efforts. For example, if 

several reporting funds that engage in similar trading activity experience a surge in volatility, the 

volatility itself or the reporting funds’ response to the volatility may impact others who also are 

engaging in similar trading activity, which could pose systemic risk, and negatively affect investors. 

We request comments on the proposed amendments. 

58. Would the proposed changes improve data quality and provide the Commissions and 

FSOC with a more robust picture of fund performance? 

59. Should we amend the table in current Question 17, as proposed? For example, 

should we specify that if a reporting fund’s gross and net performance is reported to 

current and prospective investors, counterparties, or others in a currency other than 

U.S. dollars, advisers must report the data using that currency, as proposed? Should 

we require advisers to identify the currency in Question 4, as proposed? 

60. Do different types of private funds calculate performance data differently based on 

industry conventions, or otherwise? Do the proposed requirements and defined terms 

See proposed Question 23(iv). 

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accurately capture the right types of performance reporting for investor protection 

and systemic risk assessment? Is there a better way to meet these objectives? 

61. As an alternative, should Form PF require advisers to report the reporting fund 

aggregate calculated value information only for reporting funds that meet a certain 

asset threshold? 

62. Should Form PF require advisers to follow the prescribed methodology to compute 

the reporting fund’s volatility of the daily rate of return, as proposed, or should Form 

PF require advisers to follow a different methodology? If so, what methodology 

should Form PF prescribe and why? Should advisers have the flexibility to use their 

own methodology to compute the reporting fund’s volatility of the daily rate of 

return? If advisers use their own methodology, how could the Commissions and 

FSOC ensure data could be aggregated and compared? 

63. Could the instructions on how to calculate the volatility of the daily rate of return be 

clearer? For example, should the form include a calculation worksheet for advisers 

to fill out to help advisers calculate the volatility of rates of return? 

64. Should we define “position calculated value,” “reporting fund aggregate calculated 

value,” and “rate of return,” as proposed?

65. We are not defining the term “drawdown.” Should Form PF define “drawdown?” 

For example, should Form PF define “drawdown” as the maximum loss in the value 

over a specified time internal? Should Form PF define or redefine any other terms? 

66. Should Form PF specify what “peak to trough” means? For example, should “peak 

to trough” mean the percentage decline from portfolio’s highest value (peak) to 

lowest value (trough) following the establishment of the highest value (peak)? Are 

there industry standards for determining peak to trough? For example, should Form 

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PF provide guidance on when the “peak” or “trough” should be reset? As an 

alternative to requiring information about “peak to trough,” should Form PF require 

advisers to report the maximum drawdown? If so, should Form PF define 

“maximum drawdown” as the largest decline over any time interval within the 

reporting period? 

67. Should Form PF require advisers to report information about the negative daily rates 

of return, as proposed? Alternatively, should Form PF require the largest peak to 

trough drawdown over a rolling 10-day period, or in each month? 

68. Alternatively, should Form PF require advisers to report the daily mark to market 

calculations, or both the daily rate of return and the daily mark to market 

calculations? 

69. Are the instructions clear for reporting funds that have base currencies other than 

U.S. dollars? Should we revise the form further to accommodate data concerning 

such funds? 

3. Proposed Amendments to Section 1c of Form PF - Concerning All Hedge 

Funds 

Section 1c requires advisers to report information about the hedge funds they advise. We 

propose to require advisers to report additional information about hedge funds to provide greater 

insight into hedge funds’ operations and strategies, assist in identifying trends, and improve data 

quality and data comparability for purposes of systemic risk assessments and to further investor 

protection efforts. We also propose to remove certain questions where other questions would provide 

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the same or more useful data to streamline reporting and reduce reporting burdens without 

compromising investor protection efforts and systemic risk analysis. 

Investment Strategies. We propose to amend how advisers report hedge fund investment 

strategies.

107 We propose to require advisers to indicate which investment strategies best describe the 

reporting fund’s strategies on the last day of the reporting period, rather than allowing advisers 

flexibility to report information as of the data reporting date or throughout the reporting period, as 

Form PF currently provides.

108 This amendment is designed to improve data quality by specifying 

how to report information if the reporting fund changes strategies over time. 

We also propose to update the strategy categories that advisers can select to reflect our 

understanding of hedge fund strategies better, and improve data quality and comparability, based on 

experience with the form. For example, we propose to include more granular categories for equity 

strategies, such as factor driven, statistical arbitrage, and emerging markets. Similarly, we propose to 

include more granular categories for credit strategies, such as litigation finance, emerging markets, 

and asset-backed/structured products. These more granular categories are designed to allow the 

Commissions and FSOC to conduct more targeted analysis and improve comparability among 

advisers and hedge funds, which the Commissions and FSOC can use to more accurately identify and 

address systemic risk and investor protection issues in times of stress. We also propose to add 

categories that have become more commonly pursued by hedge funds since Form PF was adopted, 

such as categories concerning real estate and digital assets.

109 Today, advisers may report 

107 We would amend current Question 20, and redesignate it as proposed Question 25. 

108 See current Question 20. 

109 Aggregate qualifying hedge fund gross notional exposure to physical real estate has grown by 72 percent from 

the second quarter 2018 through the third quarter of 2021, to $146 billion. See Private Funds Statistics, supra 

footnote 7, First Quarter 2020 (showing data from the second quarter of 2018), and Third Quarter 2021. 

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information regarding these strategies in the “other” category, resulting in less robust Form PF data 

for analysis, especially when such analysis filters results based on strategy.110 Therefore, the 

additional categories are designed to improve reporting quality and data comparability across 

advisers, based on experience with the form. If advisers select the “other” category, we propose to 

require them to describe in Question 4 the investment strategy, why the reporting fund would not 

qualify for any of the other categories, and any other information to explain the selection of “other.” 

This proposed change is designed to improve data quality by providing context to the adviser’s 

selection of the “other” category. It also is designed to help us ensure that advisers are not 

misreporting information in the “other” category when they should be reporting information in a

different category. 

In connection with these proposed amendments, we propose to define the term “digital asset” 

as an asset that is issued and/or transferred using distributed ledger or blockchain technology 

(“distributed ledger technology”), including, but not limited to, so-called “virtual currencies,” 

“coins,” and “tokens.” These types of assets also are commonly referred to as “crypto assets.”111 We 

view these terms as synonymous. We are proposing the term and definition to be consistent with the 

SEC’s recent statement on digital assets, and we believe that such term and definition would provide 

a consistent understanding of the type of assets we intend to address.

112 The SEC proposed to add the 

110 The amount of hedge fund exposure that advisers attribute to the “other” category has more than doubled to $57 

billion, from 2013 through third quarter 2021. See Private Funds Statistics, supra footnote 7. 

111 See e.g., FSOC 2021 Annual Report, at 184-185, available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf (noting that another industry term for 

“digital asset” is “crypto asset”). 

112 See Custody of Digital Asset Securities by Special Purpose Broker-Dealers, Exchange Act Release No. 90788 

(Dec. 23, 2020) [86 FR 11627 (Feb. 26, 2021)], at n.1. 

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same term and definition to SEC’s section of Form PF in the 2022 SEC Form PF Proposal.

113 The 

definition is designed to help ensure that advisers report digital asset strategies accurately. 

We request comment on the proposed amendments. 

70. Should Form PF direct advisers to report information about the reporting fund’s 

strategies on the last day of the reporting period, as proposed? Would this proposed 

amendment improve data quality, and reduce ambiguity? 

71. Should Form PF continue to provide that the strategies are mutually exclusive and 

direct advisers to not report the same assets under multiple strategies, as it currently 

does? Alternatively, should Form PF allow advisers to report the same assets under 

multiple strategies? 

72. Should Form PF include more, fewer, or different categories? Would the proposed 

categories improve reporting accuracy and data comparability across advisers? Are 

there other strategies that are important to track for assessing systemic risk or for the 

protection of investors? 

73. Are there categories that advisers report in the “other” category that Form PF should 

include as their own categories? Should we remove the “other” category? 

74. Should we require more specific disclosure of what each digital asset represents? If 

so, what kinds of descriptions would be needed and in what detail? For example, 

should the description include the rights the digital asset provides to the holder? 

Should Form PF distinguish, for example, between digital assets that represent an 

ability to convert or exchange the digital asset for fiat currency or another asset, 

including another digital asset, and those that do not represent such a right to convert 

2022 SEC Form PF Proposal, supra footnote 13. 

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or exchange? For those digital assets that represent a right to convert or exchange for 

fiat currency or another digital asset, should we distinguish between those where the 

redemption obligation is supported by an unconditional guarantee of payment, such 

as some “central bank digital currencies,” and those digital assets redeemable upon 

demand from the issuer, whether or not collateralized by a pool of assets or a 

reserve? Should we identify digital assets that do not represent any direct or indirect 

obligation of any party to redeem or those that represent an equity, profit, or other 

interest in an entity? 

75. Should Form PF define or re-define any terms that are listed as a proposed strategy? 

Should Form PF define “digital asset,” as proposed? If not, please identify 

alternative elements that would better identify the digital assets held by private funds. 

Should Form PF use the term “crypto asset” instead of the term “digital asset”?

76. Some reporting funds report as hedge funds, but may hold commodities that are not 

securities or may hold commodity derivatives such as bitcoin futures that would 

make them a commodity pool. Should Form PF include categories for funds that 

hold digital assets regardless of how the fund characterizes itself based on the assets 

it is holding or would the proposed categories (other than the “other” category)

apply? 

77. If advisers select the “other” category, should Form PF require them to explain the 

selection, as proposed? Should Form PF require the adviser to include more, less, or 

different information in the explanation? 

78. Should Form PF require advisers to provide explanations for any other categories 

besides the “other” category, as proposed? For example, if advisers report digital 

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assets, should Form PF require advisers to provide the name of the digital asset, or 

describe the characteristics of the digital asset? 

Counterparty exposures. Counterparty exposure informs the Commissions and FSOC of the 

interconnectedness of hedge funds with the broader financial services industry, which is a critical part 

of systemic risk assessment and investor protection efforts. Understanding counterparty exposures 

allows the Commissions and FSOC to assess who may be impacted by a reporting fund’s failure, and 

which reporting funds may be impacted by a counterparty’s failure. Counterparty exposure 

concerning central clearing counterparties (“CCPs”) is of importance to FSOC’s systemic risk 

assessment efforts as evidenced by the fact that FSOC has designated many CCP institutions as 

“systemically important,” and recommended that regulators continue to coordinate to evaluate threats 

from both default and non-default losses associated with CCPs.114 

The proposal would add proposed Question 26, and revise current Questions 22 and 23, and 

redesignate them as proposed Questions 27 and 28, to provide better insight into hedge funds’ 

borrowing and financing arrangements with counterparties, including CCPs. Proposed Question 26 

would require advisers to hedge funds (other than qualifying hedge funds) to complete a new table 

(the “consolidated counterparty exposure table”) concerning exposures that (1) the reporting fund has 

to creditors and counterparties, and (2) creditors and other counterparties have to the reporting 

fund.115 Advisers would report the U.S. dollar value of the reporting fund’s “borrowing and collateral 

114 Form PF defines “CCP” as central clearing counterparties (or central clearing houses) (for example, CME 

Clearing, The Depository Trust & Clearing Corporation, Fedwire and LCH Clearnet Limited). See Financial 

Stability Oversight Council, 2012 Annual Report, Appendix A, available at 

https://home.treasury.gov/system/files/261/2012-Annual-Report.pdf. (concerning the designations); Financial 

Stability Oversight Council, 2021 Annual Report, p. 14, available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. (concerning the recommendation). 

115 Qualifying hedge funds would not complete this table because section 2 would be revised to include similar 

questions that require additional detail. See discussion at Section II.C of this Release. Together the proposed 

questions in section 1c and similar questions at section 2 would allow the Commissions and FSOC to consolidate 

information relating to hedge funds’ and qualifying hedge funds’ arrangements with creditors and other 

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received (B/CR),” as well as its “lending and posted collateral (L/PC),” aggregated across all 

counterparties, including CCPs, as of the end of the reporting period.

116 The form would explain 

what exposures to net.117 Advisers would classify information according to type (e.g., unsecured 

borrowing, secured borrowing, derivatives cleared by a CCP, and uncleared derivatives) and the 

governing legal agreement (e.g., a prime brokerage or other brokerage agreement for cash margin and 

securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, and 

International Swaps and Derivatives Association (“ISDA”) master agreement for synthetic long 

positions, “synthetic short positions,” and derivatives).

118 Advisers would report transactions under a 

master securities loan agreement as secured borrowings. Advisers would check a box if one or more 

prime brokerage agreements provide for cross-margining of derivatives and secured financing 

counterparties, to support systemic risk assessment and investor protection efforts. We propose to define the 

term “consolidated counterparty exposure table” in the Form PF Glossary of Terms. For hedge funds, other than 

qualifying hedge funds, it would mean the section 1c table (at proposed Question 26) that collects the reporting 

fund’s borrowing and collateral received and lending and posted collateral aggregated across all creditors and 

counterparties as of the end of the reporting period. For qualifying hedge funds, it would mean the section 2 

table (at proposed Question 41) that collects the reporting fund’s borrowing and collateral received and lending 

and posted collateral aggregated across all creditors and counterparties as of the end of the reporting period. 

116 We would define “borrowing and collateral received (B/CR)” and “lending and posted collateral (L/PC)” in the 

Form PF Glossary of Terms. We are proposing these definitions based on our understanding of borrowing and 

lending and to help ensure data quality and comparability. We also propose to amend the term “gross notional

value” to provide more detail on how to report it to aid advisers completing the consolidated counterparty 

exposure table. See proposed Form PF Glossary of Terms. 

117 Advisers would net the reporting fund’s exposure with each counterparty and among affiliated entities of a 

counterparty to the extent such exposures may be contractually or legally set-off or netted across those entities or 

one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another under the agreements 

governing the transactions. We would include instructions providing that netting must be used to reflect net cash 

borrowed from or lent to a counterparty, but must not be used to offset securities borrowed and lent against one 

another, when reporting prime brokerage and repo/reverse repo transactions. These instructions are designed to 

help ensure data quality and comparability. See proposed Question 26. 

118 We propose to define “ISDA” as the International Swaps and Derivatives Association. We also propose to 

define “synthetic short positions” in the Form PF Glossary of Terms (see the proposed Form PF Glossary of 

Terms for the proposed definition). We are proposing this definition based on our understanding of the 

instruments and to help ensure data quality to aid comparability. See also supra footnote 78 (discussing the 

proposed definition of “synthetic long position”). 

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transactions. If advisers check the box, we propose to include instructions about how to report 

secured financing and derivatives in the consolidated counterparty exposure table. 

Form PF would continue to require advisers to report information about individual 

counterparties that present the greatest exposure to and from hedge funds.119 Under the proposal, 

however, advisers to qualifying hedge funds would not complete proposed Questions 27 and 28, if 

they complete certain similar questions in Form PF section 2, to avoid duplication.120 We also 

propose to revise current Questions 22 and 23 to improve data quality. 

• Although current Questions 22 and 23 provide instructions on how to identify the 

counterparties, we understand that advisers have been using different methodologies to 

identify them, and have misidentified lending relationships, which has limited the 

utility and comparability of the reported information. Therefore, we propose to 

provide more detailed instructions for advisers to use to identify the individual 

counterparties. For both proposed Questions 27 and 28, advisers would use the 

calculations from the consolidated counterparty exposure table to identify the 

counterparties.

121 This proposed amendment is designed to help ensure that the 

Commissions’ and FSOC’s analysis can identify true data differences, without the 

distraction of methodology differences, which can suggest differences where there are 

none, and reduce circumstances where advisers would misidentify lending 

relationships. 

119 See current Questions 22 and 23, and proposed Questions 27 and 28. 

120 See proposed Questions 42 and 43 in Form PF section 2, and supra footnote 115. 

121 See proposed Question 26 for the consolidated counterparty exposure table. The proposal would define new 

terms related to the consolidated counterparty exposure table: “cash borrowing entries,” “cash lending entries,” 

“collateral posted entries,” and “collateral received entries.” See proposed Form PF Glossary of Terms. 

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• Proposed Question 27 would require advisers to identify each creditor or other 

counterparty (including CCPs) to which the reporting fund owes a certain amount 

(before posted collateral) equal to or greater than either (1) five percent of net asset 

value as of the data reporting date or (2) $1 billion. If there are more than five such 

counterparties, the adviser only would report the five counterparties to which the 

reporting fund owes the largest dollar amount, before taking into account collateral 

that the reporting fund posted. If there are fewer than five such counterparties, the 

adviser only would report the counterparties that meet the threshold. For example, if 

only three counterparties meet the threshold, the adviser would report only three 

counterparties. This would be a change from current Question 22, which requires 

advisers to identify five counterparties to which the reporting fund has the greatest 

mark-to-market net counterparty credit exposure, regardless of the actual size of the 

exposure. The proposed threshold is designed to highlight two different, significant, 

potentially systemic, risks: five percent of net asset value represents an amount of 

borrowing by a reporting fund that, if repayment was required, could be a significant 

loss of financing that could result in a forced unwind and forced sales from the 

reporting fund’s portfolio. Additionally, the $1 billion represents an amount that, in 

the case of a very large fund, may not represent five percent of its net assets, but may 

be large enough to create stress for certain of its counterparties. 

• Proposed Question 28 would require advisers to provide information for counterparties 

to which the reporting fund has net mark-to-market counterparty credit exposure 

which is equal to or greater than either (1) five percent of the reporting fund’s net asset 

value as of the data reporting date or (2) $1 billion, after taking into account collateral 

received or posted by the reporting fund. If there are more than five such 

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counterparties, the adviser would only report the five to which the reporting fund has 

the greatest mark-to-market exposure after taking into account collateral received. If 

there are fewer than five such counterparties, the adviser only would report the 

counterparties that meet the threshold. This would be a change from current Question 

23, which requires advisers to identify five counterparties to which the reporting fund 

has the greatest mark-to-market net counterparty credit exposure, regardless of the 

actual size of the exposure. The proposed threshold is designed to represent an 

amount of lending from a reporting fund that, if a default occurred, could cause a 

significant loss that could result in a forced unwind and forced sales from the reporting 

fund’s portfolio. Furthermore, we believe that the five percent threshold level would 

be large enough to constitute a shock to a reporting fund’s net asset value and is an 

often-used industry metric. The $1 billion threshold represents an amount that, in the 

case of a very large counterparty, may not represent five percent of its net assets, but 

may be large enough to create stress for the reporting fund. 

• Currently, advisers report exposures that the reporting fund has to counterparties as a 

percentage of the reporting fund’s net asset value, and advisers report exposures that 

counterparties have to the reporting fund in U.S. dollars.122 We propose to require 

advisers to report both data sets in U.S. dollars for consistency and comparability.123 

• We propose to require advisers to report the amount of collateral posted, to help 

inform the Commissions and FSOC of the potential impact of a reporting fund or 

counterparty default. 

122 See current Questions 22 and 23. 

123 See proposed Questions 27 and 28. 

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• We also propose to require advisers to report the counterparty’s LEI, if it has one, to

help identify counterparties and more efficiently link data from other data sources that 

use this identifier. 

• Advisers would continue to indicate if a counterparty is affiliated with a major 

financial institution, as Form PF currently provides.124 If the financial institution is 

not listed on Form PF, advisers would continue to have the option of selecting “other” 

and naming the entity in the chart, as Form PF currently provides. However, we 

propose to require the adviser to also describe the financial institution in Question 4. 

This proposed amendment is designed to help the Commissions and FSOC efficiently 

and accurately identify the entity, without having to contact advisers individually. 

Together, the proposed amendments are designed to allow the Commissions and FSOC to 

identify and align sources of borrowing and lending to identify significant counterparty exposures, so 

that different styles of borrowing would not be not obscured by methodology differences or 

misidentified lending relationships, based on our experience with the form. We request comment on 

the proposed amendments. 

79. Would the proposed amendments help us and FSOC identify which advisers and 

reporting funds may have counterparty credit risk in the event of a counterparty 

failure (including CCP failure) or other market event that affects performance by 

prime brokers or other counterparties (including CCPs)? Is there a better way to 

meet these objectives? 

80. Are the proposed consolidated counterparty exposure table, its instructions, and 

defined terms clear? Could they be clearer? Are there circumstances not 

See current Question 22 and current Question 23. 

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contemplated by the instructions that need to be addressed? Is there an easier way 

for advisers to report counterparty exposures that would provide comparable data? 

Should Form PF define the terms “counterparty exposure table,” “borrowing and 

collateral received (B/CR),” “lending and posted collateral (L/PC),” “synthetic short

position,” “cash borrowing entries,” “cash lending entries,” “collateral posted 

entries,” “collateral received entries,” and redefine “gross notional value,” as 

proposed? For example, should “synthetic short position” provide a different list of 

assets to be included or excluded? Should Form PF define or redefine more, fewer, 

or different terms? 

81. Should Form PF require advisers to identify more or less than only significant 

counterparty exposures? Is the proposed threshold for identifying the counterparties 

with the most significant exposure to and from the reporting fund the right threshold? 

Does it represent an amount of borrowing from a reporting fund that, if repayment 

was required, could be a significant loss of financing that could result in a forced 

unwind and forced sales from the reporting fund’s portfolio? Is there a different 

threshold that would meet this objective? Should advisers report all counterparties 

that meet the threshold, even if there are more than five such counterparties? Should 

advisers report the five counterparties that the reporting fund has the greatest 

exposure to and from, even if they don’t meet the proposed threshold?

82. Should Form PF provide more detailed instructions for advisers to use to identify the 

individual counterparties, as proposed? Could the instructions be clearer? If Form 

PF should have less detailed instructions on how to identify the counterparties, how 

could the Commissions and FSOC help ensure that the data would be comparable? 

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83. Should we require advisers to report values in U.S. dollars, as proposed? 

Alternatively, should Form PF require advisers to report values as a percentage of the 

reporting fund’s net asset value? Should Form PF require advisers to report amounts 

as both U.S. dollars and as a percentage of the reporting fund’s net asset value, or 

another way? 

84. Should Form PF require advisers to report collateral posted, as proposed? Would the 

proposed amendment help inform the Commissions and FSOC of the potential 

impact of a reporting fund or counterparty default? Is there a better way to meet this 

objective? 

85. Should Form PF require advisers to report the counterparty’s LEI, if it has one?

86. If an adviser selects “other,” should we require the adviser to describe the entity in 

Question 4? Alternatively, should we eliminate the “other” category? 

Trading and clearing mechanisms. We propose to revise how advisers report information 

about trading and clearing mechanisms.125 These types of data inform the Commissions and FSOC of 

the extent of private fund activities that are conducted on and away from regulated exchanges and 

clearing systems, which is important to understanding systemic risk that could be transmitted through 

counterparty exposures.

126 We propose to require advisers to report (1) the value traded and (2) the 

value of positions at the end of the reporting period, rather than requiring advisers to report 

information as a percentage in terms of value and trade volumes, as Form PF currently requires.127 

125 See current Questions 24, and 25, which we would redesignate as proposed Questions 29 and 30. 

126 See supra footnote 114 and accompanying text (discussing the role of CCPs); 2011 Form PF Adopting Release, 

supra footnote 3, at n.228, and accompanying text. 

127 Proposed Question 29 would specify that “value traded” is the total value in U.S. dollars of the reporting fund’s 

transactions in the instrument category and trading mode during the reporting period. Proposed Question 29 also 

would specify that, for derivatives, value traded would be the weighted average of the notional amount of 

aggregate derivatives transactions entered into by the reporting fund during the reporting period, except for the 

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This proposed change is designed to simplify reporting because advisers would compute the value 

before they convert it into a percentage; therefore, this proposed change would eliminate an extra 

calculation for advisers. It also is designed to provide the Commissions and FSOC with data that can 

be more efficiently compared and aggregated among advisers and other data sources. With data in 

dollar values, the Commissions and FSOC could more effectively estimate the size, extent, and pace 

of each hedge fund’s participation in activity on or away from regulated exchanges and clearing 

systems in relation to total values. Understanding the size of hedge fund participation in activity on 

and away from regulated exchanges and clearing systems is important to assessing systemic risk, 

because activity that takes place on regulated exchanges and clearing systems presents different risks 

than activity that takes places away from regulated exchange and clearing systems. For example, 

activity that takes place away from a regulated exchange or clearing system may be less transparent, 

and may present more credit risk than activity that takes place on a regulated exchange and a clearing 

system that acts as a central counterparty that guarantees trades. 

We also propose to require advisers to report information about trading and clearing 

mechanisms for transactions in interest rate derivatives separately from other types of derivatives. 

Form PF data show that interest rate derivatives represent the largest gross investment exposure of 

qualifying hedge funds.128 Therefore, this amendment is designed to help ensure that the 

Commissions and FSOC can identify risks of such a significant volume of activity on and away from 

regulated exchanges and clearing systems, without the data being obscured by other types of 

derivatives. The proposal would require advisers to report interest rate derivatives and other types of 

following: (1) for options, advisers would use the delta adjusted notional value, and (2) for interest rate derivatives, 

advisers would use the “10-year bond equivalent.” This measurement is designed to track standard industry

convention. We propose to add the term “10-year bond equivalent” to the Form PF Glossary of Terms, as discussed

in section II.C.2 of this Release. See infra footnote 159. 

See Private Funds Statistics, supra footnote 7. 

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derivatives, by indicating the estimated amounts that were (1) traded on a regulated exchange or swap 

execution facility, (2) traded over-the-counter and cleared by a CCP, and (3) traded over the counter 

or bilaterally transacted (and not cleared by a CCP). These proposed categories reflect our 

understanding of how derivatives may be traded. 

The proposal would continue to require advisers to report clearing information concerning 

repos, but would specify how to report sponsored repos, and would specify that advisers must report 

reverse repos with repos.

129 According to the Fixed Income Clearing Corporation (“FICC”), FICC’s 

sponsored repo service has expanded in 2017 and 2019, ultimately resulting in daily volume up to 

$300 million per day as of 2021, with a peak in March 2020 of $564 billion.130 Sponsored repos 

incorporate a different structure than other repos, in that FICC serves as a counterparty to any 

sponsored trade and the sponsored member bears responsibility for meeting the obligations of the 

sponsored member on all transactions that it submits for clearing. Adding a particular reference to 

sponsored repos would ensure that advisers understand how sponsored repos cleared by a CCP should 

be reported, i.e., as trades cleared at a CCP.

131 Therefore, we propose to provide a separate line item 

for sponsored repos. The proposed amendment is designed to improve data quality concerning repos 

and sponsored repos, to allow the Commissions and FSOC to conduct more accurate and targeted 

129 The proposal also would explain that “repo” means “securities in” transactions and “reverse repo” means 

“securities out” transactions. Sponsored repos and sponsored reverse repos would apply to transactions in which 

the reporting fund has been sponsored by a sponsoring member of the Fixed Income Clearing Corporation. We 

would revise how Form PF explains tri-party repos to help ensure they do not exclude sponsored tri-party repos. 

Currently, Form PF explains that a tri-party repo applies where repo collateral is held at a custodian (not 

including a CCP) that acts as a third party agent to both the repo buyer and the repo seller. We propose to amend 

Form PF so it would explain that tri-party repo would apply where the repo or reverse repo collateral is executed 

using collateral management and settlement services of a third party that does not act as a CCP. See Form PF 

Glossary of Terms (modifying the terms “repo” and “reverse repo”) and Question 29 instructions (discussing 

sponsored repos, sponsored reverse repos, and tri-party repos). 

130 See FICC Sponsored Repo in 2021, by DTCC Connection Staff (Feb. 9, 2021), available at 

https://www.dtcc.com/dtcc-connection/articles/2021/february/09/ficc-sponsored-repo-in-2021. 

131 Current Question 24. 

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systemic risk assessments and analysis concerning investor protection efforts. We also propose to 

specify that advisers must report reverse repos with repos. Current Question 24 requires advisers to 

report “repos,” which some advisers could interpret to include reverse repos, while others could 

interpret as excluding reverse repos. Therefore, this proposed amendment is designed to improve 

data quality.

132 

The proposal also would revise current Question 25, which requires advisers to report the 

percentage of the reporting fund’s net asset value related to transactions not described in current 

Question 24, which we would redesignate as proposed Question 29. The proposal would, instead, 

require advisers to report both the value traded and the position value as of the end of the reporting 

period for transactions not described in proposed Question 29. These amendments are designed to 

make proposed Question 30 data comparable with data from proposed Question 29, so that together, 

Questions 29 and 30 would provide the Commissions and FSOC with a complete data set of the 

adviser’s trading and clearing mechanisms during the reporting period.

We request comment on the proposed amendments. 

87. Would the proposed amendments enhance analysis of clearance and settlement, 

interest rate derivatives, as well as repos, reverse repos, and sponsored repos? 

88. Should Form PF require advisers to add repos and reverse repos together when 

reporting information about trading and clearing mechanisms, as proposed? 

Alternatively, should Form PF require advisers to report information about repos 

separately from reverse repos? 

See proposed Question 29. 

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89. Do the proposed reporting categories cover the types of trading and clearing 

mechanisms used to trade derivatives? Should Form PF include more or fewer 

trading and clearing categories? 

90. Would the proposed amendments make data from proposed Questions 29 and 30 

comparable, so that together, the questions would provide the Commissions and 

FSOC with a complete data set of the adviser’s trading and clearing mechanisms 

during the reporting period? Is there a better way to meet this objective? 

91. Would the proposal to require advisers to report the value traded and the value of 

positions as of the end of the reporting period improve our ability to aggregate data 

and compare data among advisers? Would requiring the values, instead of the 

percentages, provide the Commissions and FSOC with a view into the extent of 

exposures across reporting funds, which would inform the Commissions and FSOC 

as to how much value would be at stake, given a market event? Are there better 

ways to meet these objectives? 

92. Should we amend the terms “repo” and “reverse repo,” as proposed? Are the

proposed definitions more consistent with how the private fund industry understands 

repos and reverse repos? If not, how should we define the terms, and would such 

definitions be consistent with how the Commissions use the terms in other contexts? 

Should Form PF refer to sponsored repos, as proposed? 

Removing Certain Questions Concerning Hedge Funds. We propose to remove current 

Questions 19 and 21 from the form. Current Question 19 requires advisers to hedge funds to report 

whether the hedge fund has a single primary investment strategy or multiple strategies. Proposed 

Question 25, which requires hedge fund advisers to disclose certain information about each 

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investment strategy, would provide this information, as discussed above in this section II.B.3 of the 

Release. 

We also propose to remove current Question 21, which requires hedge fund advisers to 

approximate what percentage of the hedge fund’s net asset value was managed using high frequency 

trading strategies. We believe the form’s question on portfolio turnover, with proposed revisions,

would better inform our and FSOC’s understanding of the extent of trading by large hedge fund 

advisers and would better show how larger hedge funds interact with the markets and provide trading 

liquidity.133 

We request comments on the proposed amendments. 

93. Should we remove current Questions 19 and 21, as proposed? Alternatively, should 

Form PF keep current Question 21, but revise it to improve data quality? For 

example, should Form PF define “high frequency trading?”

94. Does the turnover data Form PF would collect provide more informative data than 

current Question 21, which we propose to remove? 

95. Should Form PF require advisers to report more or less turnover data? For example, 

should Form PF require only large hedge fund advisers to report the value of 

turnover during the month for the qualifying hedge funds that they advise, as 

proposed, or should Form PF require such information for all advisers who advise 

hedge funds of any size? 

96. Should Form PF remove any other questions that would be answered by other 

questions that would provide the same or more useful data? 

See proposed revisions to current Question 27, as discussed in section II.C of this Release. 

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C. Proposed Amendments Concerning Information about Hedge Funds Advised by 

Large Private Fund Advisers 

A private fund adviser must complete section 2 of Form PF if it had at least $1.5 billion in 

hedge fund assets under management as of the last day of any month in the fiscal quarter immediately 

preceding the adviser’s most recently completed fiscal quarter.

134 This section requires additional 

information regarding the hedge funds these advisers manage, which is tailored to focus on relevant 

areas of financial activity that have the potential to raise systemic concerns. We are proposing 

several amendments to this section, including amendments that would remove aggregate reporting in 

section 2a, which we have found to be less meaningful for analysis and more burdensome for 

advisers to report, while preserving and enhancing reporting on a per fund basis in section 2b. We 

also propose to retain certain questions previously reported by advisers on an aggregate basis that we 

believe are important for data analysis and systemic risk assessment, but require reporting on a per 

fund basis. Collectively, the proposed changes to section 2 are designed to provide better insight into 

the operations and strategies employed by qualifying hedge funds and their advisers, and improve 

data quality and comparability to enable FSOC to monitor systemic risk better and enhance the 

Commissions’ regulatory programs and investor protection efforts. Furthermore, the proposal would 

remove certain other reporting requirements that we have found to be less useful based on our 

experience with Form PF since adoption, which would help reduce reporting burdens for advisers 

while preserving the Commissions’ and FSOC’s regulatory oversight. 

Section 2a requires a large hedge fund adviser to report certain aggregate information about any hedge fund it 

advises and section 2b requires a large hedge fund adviser to report certain additional information about any 

hedge fund it advises that has a net asset value 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 (a “qualifying hedge 

fund”).

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Currently, the Form PF Glossary of Terms defines a “hedge fund” generally as 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).

135 

The definition is designed to include any private fund having any one of three common 

characteristics of a hedge fund: (1) a performance fee that takes into account market value (instead of 

only realized gains); (2) leverage; or (3) short selling. We request comment on whether we should 

amend the definition of “hedge fund” as such term is defined in the Form PF Glossary of Terms in 

order to address potential data mismatches and improve data quality. Specifically, we request 

comment on the following: 

97. We understand that some reporting funds may consider themselves “private equity 

funds,” but advisers report them as hedge funds as Form PF directs because the 

reporting fund’s governing documents permit the fund to engage in certain 

borrowing and short selling (even though it did not do so at any time in the past, for 

example, 12 months) (a “deemed hedge fund” for purposes of this Release). Should 

we amend the definition of “hedge fund” in the Form PF Glossary of Terms so that 

such deemed hedge funds report as private equity funds and not hedge funds? If so, 

See current Form PF Glossary of Terms for the complete definition. 

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how? Would such changes improve data quality by excluding private equity 

strategies from reporting as hedge funds and instead requiring such funds to report as 

private equity funds? If so, and if we were to amend the definition of “hedge fund” 

in Form PF, should we amend it for all purposes under Form PF or only certain 

sections such as sections 1 and 2? Should we concurrently make conforming 

definitional changes to any other forms, such as Form ADV (or alternatively amend 

Form ADV so it would reference any revised definition of “hedge fund” in Form

PF)? 

98. As an example, should we amend the definition of “hedge fund” so that, to qualify as 

a hedge fund under the leverage prong of the definition, a fund would have to 

continue to satisfy subsection (b) of the definition, but also must have actually 

borrowed or used any leverage during the past 12 months, excluding any borrowings 

secured by unfunded commitments (i.e., subscription lines of credit);

136 and to 

qualify as a hedge fund under the short selling prong of the definition, the fund must 

have actually engaged in the short selling activities described in subsection c of the 

definition during the past 12 months?137 If we were to amend the definition, would 

excluding actual borrowings secured by unfunded commitments (i.e., subscription 

lines of credit) appropriately exclude private equity funds, which typically engage in 

such borrowings? Should any amended definition require actual borrowing or short 

136 Subsection (b) of the current definition of “hedge fund” states that a hedge fund is any private fund (other than a

securitized asset fund) 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). See current Form PF Glossary of Terms. 

137 Subsection (c) of the current definition of “hedge fund” states that a hedge fund is any private fund (other than a 

securitized asset fund) 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). See current Form PF Glossary of Terms. 

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selling in the last 12 months? Alternatively, should any amended definition require a 

longer or shorter time period, such as 18 months or nine months, or different time 

periods for borrowing versus short selling? 

99. Should any amended definition include a requirement for the reporting fund to 

provide redemption rights in the ordinary course or exclude actual portfolio company 

guarantees in the past 12 months (or some other time period)? What other alternative 

changes to any amended definition of “hedge fund” do you suggest?

100. Should any revised definition specify that subscription lines of credit encompass both 

short term and long term subscription lines of credit? If so, should we specify what 

constitutes “short term” and “long term”? For example, should “short term” mean 

three to six months, or less than the life of the fund, and should “long term” mean 

longer than six months, or the life of the fund? 

101. Would it be appropriate for any amended definition of “hedge fund” to continue to 

include commodity pools or should commodity pools be excluded? 

1. Proposed Amendments to Section 2a 

Removal of aggregate reporting. We propose to eliminate the requirement for large hedge 

fund advisers to report certain aggregated information about the hedge funds they manage.

138 Based 

on our experience using data obtained from Form PF since its adoption, we have found that 

We propose to remove section 2a and redesignate section 2b as section 2. In connection with the proposed 

removal of section 2a, we propose to revise the general instructions to make corresponding changes (including 

amending Instruction 3 to reflect the proposed removal of section 2a), and propose to revise current Question 27 

(reporting on the value of turnover in certain asset classes in advisers’ hedge funds’ portfolios) and current 

Question 28 (reporting on the geographical breakdown of investments held by advisers’ hedge funds), move each 

of these questions to new section 2, and redesignate them as Question 34 and Question 35, respectively. 

Furthermore, in connection with the proposed changes, we would revise the term “sub-asset class” so it no 

longer refers to Question 26, which the proposal would remove. 

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aggregated adviser level information combines funds with different strategies and activities, thus 

making analyses less meaningful. Aggregation can mask the directional exposures of individual 

funds (e.g., positions held by one reporting fund may appear to be offset by positions held in a 

different fund). Additionally, there can be inconsistencies between data reported in the aggregate in 

section 2a and on a per fund basis in section 2b (e.g., we have observed in some instances that the 

sum of fund exposures advisers report in current Question 30 on a per fund basis exceed the 

aggregate figure reported in current Question 26). We believe that aggregating information across 

funds may be burdensome for some advisers because certain advisers may keep fund records on 

different systems, and “rolling-up” the data from different sources to report on the form may be 

complex and time consuming. While advisers may be required to aggregate certain types of 

investment holdings across their funds for other regulatory purposes (e.g., certain U.S. registered 

equities for Form 13F reporting), advisers generally do not aggregate all portfolio investment 

exposure information across their funds other than for Form PF reporting purposes, given that 

counterparties, markets, and investors tend to interact with funds on an individual basis and not in the 

aggregate at the adviser level. 

We do not believe that removing section 2a would result in a meaningful deterioration in the 

information collected because the vast majority of gross hedge fund assets on which advisers report 

in the aggregate in section 2a constitute the gross assets of qualifying hedge funds that are reported in 

section 2b. For example, large hedge fund advisers reported total gross notional exposure for 

qualifying hedge funds in section 2b that constituted approximately 91 percent of the total gross 

notional exposure reported on an aggregate basis by large hedge fund advisers in section 2a as of the 

same date.

139 Furthermore, as discussed in section II.B.3. above, we are also proposing to enhance 

As noted above, based on experience with Form PF since adoption, we have found information gathered in 

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reporting for all hedge funds in section 1 (particularly section 1c), which we believe would mitigate 

against potential data gaps that could result from the removal of section 2a, given that advisers 

currently report information on all their hedge funds in section 2a but only report on qualifying hedge 

funds in section 2b. Additionally, certain information collected in section 2a is duplicative of 

information already collected on a per fund basis in section 2b.140 By continuing to require reporting 

on a per fund basis, information reported in section 2b would allow the Commissions and FSOC to 

compile aggregate figures.

141 

We request comments on the proposed amendments. 

102. Should we remove aggregate reporting by eliminating section 2a as proposed? 

Alternatively, should we retain a subset of the questions in section 2a to be reported 

on an aggregate basis? If so, which questions and why? 

103. Do you agree that counterparties, markets, and investors tend to look at funds on an 

individual basis and not in the aggregate at the adviser level and as such the proposed 

removal of section 2a would reduce the burden on advisers having to report fund 

level data on an aggregated basis? 

104. Do you agree that aggregating information across funds may be burdensome for 

some advisers? Do some advisers maintain fund records on different systems such 

section 2a for the remaining 9 percent of funds to not be very useful given that it is aggregated data across 

different funds. 

140 For example, Question 26 of section 2a requires large hedge fund advisers to report aggregated information on 

exposure to different types of assets, which is effectively the same exposure information reported on a per fund 

basis for each qualifying hedge fund in current Question 30 of section 2b. 

141 Additionally, we are proposing to move current Question 31 (base currency) currently required only for 

qualifying hedge funds to section 1b. We are also proposing to enhance section 1c to require more detailed 

information about hedge funds’ borrowing and financing arrangements (including posted collateral) and also

proposing to revise current Question 25 and current Question 26 to require end of period reporting of the value 

of certain instrument categories (including listed equities, interest rate derivatives and other derivatives, and 

repo/reverse repos). 

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that “rolling-up” the data from different sources to report on the form would be 

complex and time consuming? 

2. Proposed Amendments to Section 2b 

Current section 2b requires a large hedge fund adviser to report certain additional information 

about any hedge fund it advises that is a qualifying hedge fund.142 As noted in the 2011 Form PF 

Adopting Release, information reported in section 2b is designed to assist FSOC in monitoring the 

composition of hedge fund exposures over time as well as the liquidity of those exposures. The 

information also aids FSOC in its monitoring of credit counterparties’ unsecured exposure to hedge 

funds as well as hedge funds’ exposure and ability to respond to market stresses and 

interconnectedness with CCPs. Based on our experience with the data since Form PF was first 

adopted and our consultations with FSOC, we are proposing to amend section 2b to do the following: 

(1) Enhance, expand, and simplify investment exposure reporting; 

(2) Revise open and large position reporting; 

(3) Revise borrowing and counterparty exposure reporting; 

(4) Revise market factor effects reporting; and 

(5) Make certain other changes designed to streamline and enhance the value of data 

collected on qualifying hedge funds by: (a) adding reporting on currency exposure, turnover, country 

and industry exposure; (b) adding new reporting on CCPs; (c) streamlining risk metric reporting and 

collecting new information on investment performance by strategy and portfolio correlation; and (d) 

enhancing portfolio and financing liquidity reporting. 

In connection with the proposed amendments, we propose to redesignate section 2b as section 2. 

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a. Investment Exposure Reporting. 

Reporting on qualifying hedge fund exposures to different types of assets has been critical in 

helping to monitor the composition of hedge fund exposures over time, particularly as it relates to 

systemic risk monitoring. The proposal would (1) replace the table format of current Question 30, 

which we would redesignate as Question 32, with narrative instructions and a “drop-down” menu 

while also revising the instructions to specify how to report certain positions, (2) require reporting 

based on “instrument type” within sub-asset classes to identify whether the fund’s investment 

exposure is achieved through cash or physical investment exposure, through derivatives or other 

synthetic positions, or indirectly (e.g., through a pooled investment such as an ETF, an investment 

company, or a private fund), (3) require the calculation of “adjusted exposure” for each sub-asset 

class (i.e., require (in addition to value as currently reported) the calculation of “adjusted exposure” 

for each sub-asset class that allows netting across instrument types representing the same reference 

asset within each sub-asset class, and, for fixed income, within a prescribed set of maturity buckets), 

(4) require uniform interest rate risk measure reporting for sub-asset classes that have interest rate 

risk (while eliminating the current option to report one of duration, weighted average tenor (WAT) or 

10-year equivalents), and (5) amend the list of reportable sub-asset classes consistent with these other 

changes and collect enhanced information for some asset types.143 

Narrative reporting instructions and additional information on how to report. The proposal 

would replace the existing complex table in current Question 30 with reporting instructions that 

would use a series of “drop-down” menu selections for each sub-asset class and the applicable 

information required for each sub-asset class. This approach is similar to the narrative instructions 

In connection with the proposed amendments, we also propose to remove Question 44, which under the proposal 

would be duplicative of the new reporting requirements in proposed Question 32. 

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(and drop-down menus) already in effect for current section 3 with respect to liquidity fund position 

reporting.144 We believe that these changes and new format would simplify and specify how to report 

the required information in proposed Question 32. Additionally, the proposed changes may reduce 

filer burdens compared to the current form because advisers are currently required to enter “N/A” in 

each field for which there is not a relevant position, while the proposal would only require advisers to 

provide information for sub-asset classes in which their qualifying hedge funds hold relevant 

positions. Furthermore, the proposal would require advisers to report the absolute value of short 

positions, include positions held in side-pockets as positions of the reporting fund, and include any 

closed out and OTC forward positions that have not yet expired or matured. 

We propose to amend the instructions to current Question 30 to specify how advisers should 

classify certain positions. Specifically, the proposed instructions would require advisers to choose 

the sub-asset class that describes the position with the highest degree of precision, which we believe 

would result in more accurate classification of positions and therefore better data, rather than simply 

noting that any particular position should only be included in a single sub-asset class. This proposed 

change is designed to instruct advisers on how to classify positions that could be accurately classified 

in multiple sub-asset classes, and is consistent with SEC staff Form PF Frequently Asked 

Questions.145 The proposal also would add a new instruction that directs advisers to report cash 

borrowed via reverse repo as the short value of repos, and refer advisers to the proposed revised 

definitions of “repo” and “reverse repo” in the Glossary of Terms, also consistent with SEC staff 

Form PF Frequently Asked Questions.

146 We believe this proposed change would reduce confusion 

144 See Form PF, Section 3, Question 63(f) and (g). 

145 See Form PF Frequently Asked Questions, supra footnote 79, Question 26.2. 

146 See Form PF Frequently Asked Questions, supra footnote 79, Question 26.5. See also supra footnote 129. 

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on how to report repo information and help reduce filer errors. Finally, the amended instructions also 

would include a revised list of sub-asset classes.147 

We also propose to require advisers to provide additional explanatory information in 

situations where a qualifying hedge fund reports long or short dollar value exposure to “catch-all” 

sub-asset class categories148 equal to or exceeding either (1) five percent of a fund’s net asset value or 

(2) $1 billion.

149 We have observed that some funds report significant amounts of assets in these 

“catch-all” categories. We chose the five percent threshold level because we believe it represents a 

level that would identify exposure that could be material to a fund’s investment performance. The $1 

billion threshold represents a level for large funds (e.g., those with net asset values in excess of $20 

billion) that is large enough so as to have potential systemic risk implications even if the position is 

less than five percent of the fund. We propose to add this explanatory requirement to inform our 

understanding of significant exposure reported in these “other” sub-asset classes better, which we 

believe is important for assessing systemic risk. 

We request comment on the proposed amendments. 

105. Should we amend the format of current Question 30 as proposed? Do the proposed 

narrative instructions clarify and simplify reporting for advisers? Alternatively, if the 

proposed format creates additional complexity for filers, should only a subset of 

147 The proposed amendments to this list, as well as other changes to instructions in specific parts of proposed 

Question 32, are discussed below. 

148 These sub-asset classes include: loans (excluding leveraged loans and repos), other structured products, other 

derivatives, other commodities, digital assets, and investments in other sub-asset classes. 

149 Some filers report significant exposure to these “other” categories. For example, the public Private Fund 

Statistics Second Quarter 2020 (“Private Fund Statistics Q2 2020”) (Table 46) shows about $100 billion in 

aggregate QHF GNE reported as “other loans,” more than other asset categories of interest, such as

ABS/structured products (ex. MBS but including CLO/CDOs) (about $53 billion) and convertible bonds ($95 

billion) as of 2020 Q1. See Private Fund Statistics Q2 2020 available at 

https://www.sec.gov/divisions/investment/private-funds-statistics/private-funds-statistics-2020-q2.pdf. 

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qualifying hedge funds be required to complete proposed Question 32? If so, what 

should the threshold be and why? 

106. Do you agree that the proposed changes requiring advisers to choose the sub-asset 

class that describes positions with the highest degree of precision would result in 

more accurate classification of positions and therefore better data for analysis? If 

not, what alternatives do you suggest? 

107. Currently, most sub-asset classes (e.g., equities, corporate bonds) are not further 

divided to account for exposure by the sub-asset class to a particular country or 

region. Instead, other questions on Form PF collect this information (e.g., current 

Question 28). Should we further divide sub-asset classes by geographic exposure? If 

so, would the separation of sub-asset classes by U.S. and non-U.S. be helpful or 

would even more granularity be appropriate? 

108. As an alternative to the proposed requirement that advisers provide additional 

explanatory information in situations where a qualifying hedge fund has significant 

exposure to “catch-all” sub-asset class categories (i.e., if the long or short dollar 

value is equal to or exceeds either (1) five percent of a fund’s net asset value or (2) 

$1 billion), should we add additional sub-asset classes to further break out the types 

of instruments that are being classified in these “catch-all” buckets? If we should 

add more sub-asset classes, what should they be? Is the proposed threshold for 

requiring that advisers provide additional explanatory information set at the 

appropriate level? Should it be higher or lower? 

109. With respect to sub-asset classes pertaining to loans, should we add additional subasset classes to capture loans originated by banks versus other entities for purposes of 

monitoring systemic risk? Should we require reporting on private funds’ origination 

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activities in a separate question that would ask whether the private fund originate 

loans and if so much has it originated? 

110. Should any other sub-asset classes reflected in the proposal be broken out separately 

in proposed Question 32? If so, what sub-asset classes and why? 

111. Should the short dollar value of repo match borrowings by reverse repo reported in 

the counterparty exposure table in Question 41, and if they do not match, should we 

require explanation? 

112. The current instructions to Question 30 require advisers to include closed out and 

OTC forward positions that have not yet expired/matured. However, SEC staff Form 

PF Frequently Asked Question 44.1 states that reporting is not required for closed out 

positions if closed out with the same counterparty if there is no remaining legally 

enforceable obligation. Further, we understand that advisers use different internal 

methods to account for closed out and OTC forward positions not yet 

expired/matured, which introduces inconsistencies in data reported on Form PF. 

Should we require advisers to report closed out and OTC forward positions that have 

not yet expired/matured even if closed out as suggested by the current instructions? 

Alternatively, should we only require reporting unless the OTC forward positions are 

closed out with the same counterparty and there is no remaining legally enforceable 

obligation (consistent with our proposed revision to Instruction 15)? 

113. Is it clear in proposed Question 32 how to classify positions in certain sub-asset 

classes as “long” or “short” in light of the proposed changes to Instruction 15150 with 

respect to classifying positions? Should we provide additional guidance specific to 

See discussion at Section II.D of this Release. 

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proposed Question 32? If so, what additional instructions or guidance would be 

helpful? 

114. Current Question 30 and several other current and/or proposed questions in Section 2 

of Form PF would not be necessary if large hedge fund advisers instead filed 

information about each qualifying hedge fund’s portfolio positions similar to what is 

required by Section 3 for large liquidity fund advisers or on Form N-PORT for 

registered investment companies. Should we require, or permit, large hedge fund 

advisers to file this kind of position level information for qualifying hedge private 

funds instead of, or as an optional alternative to, responding to current Question 30 

and certain other questions concerning portfolio holdings, such as position 

concentrations, currency, geographic and industry exposure, and market factor 

testing? For example, if in lieu of completing current Question 30 (exposure 

reporting), current Question 28 (country exposure), current Question 34 (position 

concentration), current Question 35 (large positions), and current Question 44 

(aggregate value of derivatives positions), and potentially additional questions 

including those concerning counterparty exposures, advisers could instead choose to 

file position level information, would this help alleviate the reporting burden? 

Separate reporting for positions held physically, synthetically or through derivatives and 

indirect exposure. The proposal would require advisers to report the dollar value of a qualifying 

hedge fund’s long positions and the dollar value of the fund’s short positions in certain sub-asset 

classes by “instrument type” (i.e., cash/physical instruments, futures, forwards, swaps, listed options, 

unlisted options, and other derivative products, ETFs, exchange traded product, U.S. registered 

investment companies (excluding ETFs and money market funds), non-U.S. registered investment 

companies, internal private fund or external private fund, commodity pool, or other company, fund or 

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entity).

151 For each month of the reporting period, advisers would be required to report long and short 

positions in these sub-asset classes held physically, synthetically or through derivatives, and 

indirectly through certain entities,

152 separately in order to provide the Commissions and FSOC 

sufficient information to understand, monitor, and assess qualifying hedge funds’ exposures to certain 

types of assets and investment products. The current instructions (and the associated definitions) 

151 See Form PF Glossary of Terms (proposed definition of “instrument type”). See also proposed Question 32(a). 

Sub-asset classes that would require reporting by instrument type (see proposed Question 32(a)(1)) include: 

listed equity issued by financial institutions; American Depositary Receipts; other single name listed equity; 

indices on listed equity; other listed equity; unlisted equity issued by financial institutions; other unlisted equity, 

investment grade corporate bonds issued by financial institutions (other than convertible bonds); investment 

grade corporate bonds not issued by financial institutions (other than convertible bonds); non-investment grade 

corporate bonds issued by financial institutions (other than convertible bonds); non-investment grade corporate 

bonds not issued by financial institutions (other than convertible bonds); investment grade convertible bonds 

issued by financial institutions; investment grade convertible bonds not issued by financial institutions; noninvestment grade convertible bonds issued by financial institutions; non-investment grade convertible bonds not 

issued by financial institutions; U.S. treasury bills; U.S. treasury notes and bonds; agency securities; GSE bonds; 

sovereign bonds issued by G10 countries other than the U.S, other sovereign bonds (including supranational 

bonds); U.S. state and local bonds; MBS; ABCP; CDO (senior or higher); CDO (mezzanine); CDO (junior 

equity); CLO (senior or higher); CLO (mezzanine); CLO (junior equity); other ABS, other structured products; 

U.S. dollar interest rate derivatives; non-U.S. currency interest rate derivatives; foreign exchange derivatives; 

correlation derivatives; inflation derivatives; volatility derivatives; variance derivatives; other derivatives, 

agricultural commodities; crude oil commodities; natural gas commodities; power and other energy 

commodities; gold commodities; other (non-gold) precious metal commodities; base metal commodities; other 

commodities; real estate; digital assets; investments in other sub-asset classes. These sub-asset classes are 

reported at the sub-asset class level and not by instrument type (see proposed Question 30(a)(2)): leveraged 

loans, loans (excluding leveraged loans and repo); overnight repo, term repo (other than overnight), open repo; 

sovereign single name CDS; financial institution single name CDS; other single name CDS, index CDS; exotic 

CDS; U.S. currency holdings, non-U.S. currency holdings, certificates of deposit, other deposits, money market 

funds, other cash and cash equivalents (excluding bank deposits, certificates of deposit and money market 

funds). In connection with the proposal we also propose to amend the Glossary of Terms to (i) amend the 

definitions of agency securities, convertible bonds, corporate bonds, GSE bonds, leveraged loans, sovereign 

bonds, and U.S. treasury securities, in each case to include positions held indirectly through another entity, (ii) 

remove the definitions of crude oil, derivative exposures to unlisted equities, gold, natural gas, and power, and 

(iii) amend the definitions of commodities and other commodities. See Form PF Glossary of Terms. 

Additionally, for foreign exchange derivatives, advisers would report forex swaps and currency swaps 

separately, and in determining dollar value, would not net long and short positions within sub-asset classes or 

instrument types (with the exception of spot foreign exchange longs and shorts). 

152 In determining the reporting fund’s exposure to sub-asset classes for positions held indirectly through entities, 

the proposal would permit advisers to allocate the position among sub-asset classes and instrument types using 

reasonable estimates consistent with its internal methodologies and conventions of service providers. 

Furthermore, if a reporting fund’s position in any such entity represents less than (1) 5% of the reporting fund’s 

net asset value and (2) $1 billion, the proposal would permit advisers to report an entire entity position in one 

sub-asset class and instrument type that best represents the sub-asset class exposure of the entity, unless the 

adviser would allocate the exposure more granularly under its own internal methodologies and conventions of its 

service providers. 

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require advisers to combine exposure held physically, synthetically, or through derivatives when 

reporting certain fixed income and other sub-asset classes.

153 Even when certain sub-asset classes 

currently separate physical and derivative exposure (e.g., listed equities), all derivative instrument 

types are combined regardless of each derivative instrument type’s risk characteristics. Furthermore, 

the form’s current instructions for reporting investment exposure obtained through funds or other 

entities are different. For example, instructions require advisers to categorize ETFs based on the 

assets the ETF holds, while other registered investment companies are reported as a separate subasset class, and may obscure the extent of a reporting fund’s exposure to particular sub-asset classes. 

This difference and lack of granularity in reporting makes it difficult to understand the activities of 

qualifying hedge funds and limits the utility of data collected for purposes of understanding the role 

qualifying hedge funds play in certain market events. For example, when monitoring funds’ activities 

during recent market events like the March 2020 COVID-19 turmoil, the existing aggregation of U.S. 

treasury securities with related derivatives did not reflect the role hedge funds played in the U.S 

treasury market. 

We request comment on the proposed amendments. 

115. Do advisers’ internal risk reporting systems track long and short positions by 

instrument type? Does the proposed definition of “instrument type” present different 

types of risk such that it would be valuable to collect information separately for each 

instrument? Are the proposed instrument types appropriate? Alternatively, should 

we aggregate instrument types so that there are fewer options or should there be a 

We propose to require advisers to report the dollar value of long and short positions for the sub-asset class (and 

not instrument type) for following sub-asset classes: leveraged loans, loans (excluding leveraged loans and repo); 

overnight repo, term repo (other than overnight), open repo; sovereign single name CDS; financial institution 

single name CDS; other single name CDS, index CDS; exotic CDS; U.S. currency holdings, non-U.S. currency 

holdings, certificates of deposit, other deposits, money market funds, other cash and cash equivalents (excluding 

bank deposits, certificates of deposit and money market funds). See proposed Question 32(a). 

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different set of instrument types for different sub-asset classes? If so, what should 

they be? 

116. Should we require reporting of dollar value by instrument type as proposed or for 

fewer sub-asset classes? 

117. In proposed Question 32 we would not require advisers to report positions in certain 

sub-asset classes by instrument type154 because we understand that exposure to these 

sub-asset classes would generally be held physically (e.g., currency holdings) or 

through a single instrument type (e.g., repo and credit-default swaps). Should we 

also require reporting by instrument type for any of these sub-asset classes? 

118. Do the proposed amendments better capture exposures to sub-asset classes held 

physically, synthetically or through derivatives, and indirectly through certain 

entities? If not, how should we modify the proposal to better capture these types of 

exposures? 

Adjusted exposure reporting. While we would continue to require advisers to report “gross” 

long and short exposure, i.e., the dollar value of a qualifying hedge fund’s long positions and dollar 

value of the fund’s short positions for various sub-asset classes (and by instrument type for certain 

sub-asset classes as explained above), we propose to require advisers to also report the “adjusted”

exposure of long and short positions for each sub-asset class in which a fund has a reportable 

position.155 Based on our experience, we have found that gross exposure reporting, while useful 

because the information indicates fund size on a comparable basis among funds, may inflate some 

qualifying hedge funds’ reported long and short exposures in a way that does not properly represent 

154 See supra footnote 151. 

155 Proposed Question 32(b). See also Form PF Glossary of Terms (proposed definition of “adjusted exposure”).

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the economic exposure and market risk of a reporting fund’s portfolio. For example, when only 

looking at gross exposure, certain relative value strategies that are designed to match long and short 

exposures in the same or similar (highly correlated) assets may reflect very high leverage, but not 

have the same level of risk as portfolios with less leverage but that are more exposed directionally. 

Furthermore, some advisers, for purposes of managing risk, do not view their portfolio on a “gross” 

basis because they do not believe it provides a meaningful measure of risk. We believe that “gross” 

exposure reporting by itself presents an incomplete picture that represents a significant data gap for 

purposes of systemic risk analysis. 

We propose to require advisers to determine adjusted exposure for each “sub-asset” using a 

specified methodology that is designed to facilitate comparisons of the reported data. Specifically, 

the proposal would require advisers to calculate and report “adjusted exposure” of long and short 

positions for each sub-asset class by netting (1) positions that have the same underlying “reference 

asset” across “instrument type” (i.e., cash/physical instruments, futures, forwards, swaps, listed 

options, unlisted options, other derivative products, and positions held indirectly through another 

entity such as ETFs, other exchange traded products,

156 U.S. registered investment companies 

(excluding ETFs and money market funds), investments in non-U.S. registered investment 

companies,

157 other private funds, commodity pools, or other companies, funds or entities) and (2) 

156 In connection with this proposed amendment, we also propose to define “exchange traded product” as “an 

investment traded on a stock exchange that invests in underlying securities or assets, such as an ETF or exchange 

traded note.” See Form PF Glossary of Terms. Given that the exchange traded product market has grown 

significantly since Form PF was first adopted, we believe that activity in exchange traded products may present 

different systemic risks than traditional listed equities and other instruments that might be used to obtain 

exposure to underlying assets owned within an ETF. Furthermore, we believe added insight into whether the 

underlying sub-asset class exposure is held through an ETF would enhance FSOC’s analysis of systemic risk 

associated with this asset class. 

157 See Form PF Glossary of Terms (proposed definition of “investments in non-U.S. registered investment 

companies”). Furthermore, we also propose to remove the term “U.S. registered investment companies” from

the Form PF Glossary of Terms. 

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fixed income positions that fall within certain predefined maturity buckets (i.e., 0 to 1 year, 1 to 2 

year, 2 to 5 year, 5 to 10 year, 10 year, 10 to 15 year, 15 year, 15 to 20 year, and 20+ year).

158 

For purposes of determining “adjusted exposure,” we propose to permit cross counterparty 

netting consistent with information reported by a fund internally and to current and prospective 

investors, because we believe it would better reflect the fund’s economic exposure. For example, a 

fund with market-neutral trades may lose substantial amounts of capital in a period of market stress if 

prices diverge, regardless of the identities of the counterparties. Additionally, counterparty 

identification may be ambiguous for some positions, such as when a fund simply has a long position 

in an equity security traded over an exchange or purchased from a broker without the use of any 

financing. 

Finally, if a fund does not net across all instrument types in monitoring the economic 

exposure of the fund’s investment positions for purposes of internal reporting and reporting to 

investors, we would (in addition to adjusted exposure determined as specified above) also require the 

adviser to report adjusted exposure based on an adviser’s internal methodologies and describe in 

Question 4 how the adviser’s internal methodology differs from the standard approach in proposed 

Question 32. This additional information would provide better insight into how these advisers assess 

the economic exposure of their reporting fund’s portfolio, while still ensuring an adviser provides 

information that supports our and FSOC’s ability to aggregate and compare the data across funds. 

We request comment on the proposed amendments. 

See Form PF Glossary of Terms. We propose to define “reference asset” as a security or other investment asset 

to which a fund is exposed through direct ownership (i.e., a physical or cash position), synthetically (i.e. the 

subject of a derivative or similar instrument held by the fund), or indirect ownership (e.g., through ETFs, other 

exchange traded products, U.S. registered investment companies, non-U.S. registered investment companies, 

internal private funds, external private funds, commodity pools, or other companies, funds, or entities). An 

adviser may identify a reporting fund’s reference assets according to its internal methodologies and the 

conventions of service providers, provided that these methodologies and conventions are consistently applied, do 

not conflict with any instructions or guidance relating to Form PF and reported information is consistent with 

information it reports internally and to investors and counterparties. 

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119. The proposal would permit advisers to net across counterparties without limit if 

consistent with methodologies used for internal reporting and reporting to investors. 

Is this appropriate? Alternatively, should we only allow cross-counterparty netting to 

the extent that it is permitted by legal agreement? 

120. Is the proposed definition of “reference asset” sufficiently clear? Should we instead 

propose a definition that tailors the definition to different asset classes (e.g., repo 

exposures could be netted in accordance with GAAP rules for balance sheet netting, 

treasury exposures could be netted within maturity buckets)? 

121. The proposed definition of “reference asset” specifies using the cheapest-to-deliver 

security for bond futures. Should additional or alternative approaches for bond 

futures be included in the proposed definition? Are there other potentially 

ambiguous cases that should be clarified? If so, what are they? 

122. Is the proposed method for determining adjusted exposure appropriate? For 

example, is the proposed netting of fixed income positions that fall within certain 

predefined maturity buckets appropriate? Should we identify additional or different 

maturity buckets? If so, which maturity buckets? 

123. As an alternative, should we instead require ETFs, exchange traded products, U.S. 

and non-U.S. registered investment companies, other private funds, commodity 

pools, or other companies, funds or entities to be reported as stand-alone sub-asset 

classes? 

Require advisers to report a uniform interest rate risk measure. We propose to require 

advisers to report the 10-year zero coupon bond equivalent159 for all sub-asset classes with interest 

We are proposing a new glossary definition of 10-year bond equivalent to explain that the term 10-year bond 

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rate risk (by instrument type if applicable)160 rather than providing advisers with a choice to report 

duration, weighted average tenor (“WAT”), or an unspecified 10-year bond equivalent.161 The 

proposal would require advisers to report the 10-year zero coupon bond equivalent of the dollar value 

of long and short positions in each sub-asset class (and by instrument type, if applicable) as well as 

for the adjusted exposure of long and short exposures for each sub-asset class for each monthly 

period. 

The proposed change is designed to improve reporting and obtain better data, because the 

current approach, while providing optionality, makes it difficult to compare and aggregate data 

reported by different funds effectively. Furthermore, we believe that the 10-year zero coupon bond 

equivalent is commonly used by hedge fund advisers and would be a better and more consistent 

measure of interest rate risk than duration, WAT, or the current unspecified 10-year equivalent. 

WAT may be an incomplete measure because it does not always reflect the presence of options 

embedded in bonds or differing sensitivity to interest rate changes in circumstances where base 

currencies are subject to a higher or lower risk-free rate, and it also may not be meaningful for 

equivalent means “the equivalent position in a 10-year zero coupon bond, expressed in the base currency of the 

reporting fund.” See Form PF Glossary of Terms (proposed definition of “10-year bond equivalent”). We also 

would make a conforming change to the definition of interest rate derivative to use this new definition. 

160 We propose to require advisers to report the 10-year zero coupon bond equivalent for the following sub-asset 

classes: investment grade corporate bonds issued by financial institutions (other than convertible bonds); 

investment grade corporate bonds not issued by financial institutions (other than convertible bonds); noninvestment grade corporate bonds issued by financial institutions (other than convertible bonds); non-investment 

grade corporate bonds not issued by financial institutions (other than convertible bonds); investment grade 

convertible bonds issued by financial institutions; investment grade convertible bonds not issued by financial 

institutions; non-investment grade convertible bonds issued by financial institutions; non-investment grade 

convertible bonds not issued by financial institutions; U.S. treasury bills; U.S. treasury notes and bonds; U.S. 

agency securities; GSE bonds; sovereign bonds issued by G10 countries other than the U.S; other sovereign 

bonds (including supranational bonds); U.S. state and local bonds; leveraged loans; loans (excluding leveraged 

loans and repo); overnight repo; term repo (other than overnight); open repo; MBS; ABCP; Senior or higher 

CDO; Mezzanine CDO; Junior equity CDO; Senior or higher CLO; Mezzanine CLO; Junior equity CLO; other 

ABS; other structured product; U.S. dollar interest rate derivatives; non-U.S. currency interest rate derivatives; 

and certificates of deposit. See proposed Question 32(c). 

161 See proposed Question 32(c). 

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interest rate derivative products. Duration can tend toward infinity for certain derivatives, which can 

provide little meaning or utility. In addition, methodologies for calculations of duration and a 10-

year equivalent (if not standardized to a zero coupon bond) may vary, which can result in variability 

among calculations. Therefore, we believe that by eliminating additional reporting options, requiring 

the 10-year zero coupon bond equivalent would provide a common denominator across funds that 

advisers would be able to easily calculate and that would provide a consistent and comparable metric. 

In this regard, we do not believe the proposed requirement would create an additional burden for 

advisers that currently report based on a 10-year equivalent for these types of assets, which we 

estimate represents roughly 40 percent of the total number of advisers responding to Question 30.

162 

We request comment on the proposed amendments. 

124. Are the proposed changes with respect to reporting of the 10-year zero coupon bond 

appropriate? If not, what alternative do you suggest? 

125. What would be the burden on advisers of standardizing reporting to the 10-year zero 

coupon bond equivalent for sub-asset classes with interest rate risk, by instrument 

type? 

126. Alternatively, should we use a measure other than the 10-year zero coupon bond 

equivalent and if so, what measure should be used (e.g., duration, WAT or another 

measure?). 

127. As an alternative to the 10-year zero coupon bond equivalent, we considered whether 

to standardize the interest rate risk measure to DV01, which we would define as the 

gain or loss for a 1 basis point decline in the risk-free interest rate, expressed in U.S. 

dollars. In this regard, we understand that both duration and a 10-year bond 

162 Based on analysis of Form PF data 2021Q4 and 2020Q4. 

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equivalent rely on an initial calculation of DV01. Would DV01 be a better 

alternative for standardization to provide consistent reporting across all funds 

compared to the 10-year zero coupon bond equivalent? If DV01 is preferred, should 

we use a different formula (e.g., a 1 basis point increase)? If we should use a 

different formula, what should it be and why? Would the burden on advisers of 

standardizing reporting to DV01 be different than standardizing to the 10-year zero 

coupon bond equivalent? 

128. Should we define 10-year bond equivalent in the Glossary of Terms as “the 

equivalent position in a 10-year zero coupon bond, expressed in the base currency of 

the reporting fund,” as proposed? The glossary definition of “interest rate 

derivative” requires reporting relating to interest rate derivatives to be presented as 

“in terms of 10-year bond-equivalents.”

129. Do you agree that the 10-year zero coupon bond equivalent is commonly used by 

hedge fund advisers and would be a better and more consistent measure of interest 

rate risk than duration, WAT, or the current unspecified 10-year equivalent? 

Amended list of sub-asset classes. In proposed Question 32, we would revise the list of 

reportable sub-asset classes in two ways. First, some sub-asset classes are consolidated and tailored 

to reflect our proposed reporting of the dollar value of long and short positions by instrument type. 

For example, sub-asset classes for listed and unlisted equity derivatives are combined with sub-asset 

classes for listed and unlisted equities, and similarly, sub-asset classes for physical commodities and 

commodity derivatives are combined.163 Likewise, some current sub-asset classes would now be 

In connection with the proposed amendments, we would amend the definitions of “listed equity” and “unlisted 

equity” to reflect that filers should include synthetic or derivative exposure as well as positions held indirectly 

through another entity (e.g., through an ETF, exchange traded product, U.S.-registered investment companies, 

non-U.S. registered investment companies, internal private fund or external private fund, commodity pool, or 

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reflected as instrument types, such as internal private funds, external private funds and registered 

investment companies (now separated in to ETFs, U.S. registered investment companies and nonU.S. registered investment companies). Second, the proposal would add new sub-asset classes to 

provide additional information to help the Commissions and FSOC better understand qualifying 

hedge funds’ investment exposures to certain asset types, and reduce reporting in certain “catch-all” 

sub-asset classes, such as “other listed equity.”

Specifically, the proposal would: (1) expand equity exposure reporting to add sub-asset 

classes for (a) listed equity securities (including new sub-asset classes for other single name listed 

equities and indices on listed equities), and (b) American depository receipts (“ADRs”); (2) add 

additional sub-asset classes for reporting “repo” and “reverse repo” positions, based on term; (3) add 

additional sub-asset classes for asset backed securities (“ABS”) and other structured products; (4) add 

new sub-asset classes and revise existing sub-asset classes that capture certain derivatives, including 

certain credit derivatives and volatility and variance derivatives; (5) specify sub-asset classes 

pertaining to investments in cash and cash equivalents and commodities; and (6) add a new sub-asset 

class for digital assets. 

Listed equity securities. 

We propose to add new sub-asset classes for certain categories of listed equity securities, 

specifically, for other single name listed equities and indices on listed equities. This change is 

designed to provide added granularity to reporting on listed equities164 given the potential impact of 

other company, fund or entity). Additionally, we would amend the definition of “listed equity derivatives” to 

include derivatives relating to ADRs, and other derivatives relating to indices on listed equities. See Form PF 

Glossary of Terms (proposed definition of “listed equity,” “unlisted equity,” and “listed equity derivatives”). 

See current Question 26 and current Question 30, which require reporting on listed equities but do not separate 

out single names from indices. Investments in single name equities involve materially more idiosyncratic risks, 

such as the potential for more extreme price movements that are not correlated to other market movements, than 

investments in indices, and therefore we propose to require separate reporting. 

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these new sub-asset classes from an overall systemic risk perspective, as the form currently only 

requires advisers to single out and report for listed equities issued by financial institutions with all 

other listed equities reported in a catch-all category “other listed equity.” Identifying single equities 

separately from equity index exposure can help distinguish broadly diversified portfolios from those 

that could be more concentrated, and also help to identify what strategies are being pursued by multistrategy funds. Additionally, single equity positions may be more vulnerable to short squeezes 165 

(i.e., a type of manipulation in which prices are manipulated upward to force short sellers out of their 

positions, as short sellers are required by brokers to maintain margin above a certain level, and as 

prices rise short sellers must add cash to their margin accounts or close out their short positions) than 

index positions, so the level of granularity the proposal would obtain with respect to this information 

would help to identify better entities that may be affected during a short squeeze event. 

We request comments on the proposed amendments. 

130. Should we add new sub-asset classes for other single name listed equities and indices 

on listed equities as proposed? Are the proposed categories appropriate? If not, is 

there another alternative that we should use? 

ADRs 

We propose to add a new sub-asset class for ADRs in line with how ADRs are reported on the 

CFTC’s Form CPO-PQR.166 While ADRs are purchased in U.S. dollars, these instruments have 

currency risk because the underlying security is priced in its home country currency, and the ADR’s

165 Single stock shorts often account for a higher portion of the available float and/or often have a larger days to 

cover (i.e., the number of trading days to cover a short) than do shorts on ETFs. As a result, a potential need to 

cover a short could generally have a more pronounced effect on single stocks. 

166 As noted above, where applicable, we have proposed to align Form PF with Form CPO-PQR to (1) enable filers 

that currently are required to file both Form PF and Form CPO-PQR independently to compile and use similar 

data in completing both forms and (2) enable users of the reported data (e.g., FSOC and other regulatory 

agencies) to (i) link data for funds that file both forms and (ii) aggregate and compare data across data sets more 

easily. 

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U.S. dollar price fluctuates one-for-one with each movement in the home currency. Accordingly, the 

proposal would require ADRs to be reported separately from other listed equity instruments. This 

requirement also would help increase the utility of the information reported under the “other listed 

equity” sub-asset class on Form PF, which requires reporting of multiple other sub-asset classes. 

We request comment on the proposed amendments. 

131. Should we break out ADRs separately from the “other listed equity” category on 

Form PF as proposed? 

Repurchase Agreements (“Repos”)

We propose to add additional sub-asset classes to the “repos” section of proposed Question 32 

to capture a breakdown of repos by term (e.g., overnight, other than overnight, and open term). 

Hedge funds often borrow cash overnight and pledge securities such as government bonds as 

collateral. We believe that collecting more information on the different types of repos held by 

qualifying hedge funds would allow the Commissions and FSOC to understand better the role of 

these funds in potentially amplifying funding stresses and the risks associated with short-term 

funding for certain trading strategies, particularly in light of the issues the repo market experienced 

during the fall of 2019 and in March 2020.167 

We request comment on the proposed amendments. 

132. Should we add additional sub-asset classes to the “repos” section of proposed 

Question 32 as proposed? Are the proposed additional sub-asset classes appropriate? 

If not, is there another alternative that we should use? 

133. How often do hedge funds use “open” repo transactions (i.e., a repo with no defined 

term and which rolls over each day) and should we combine the open and overnight 

See. e.g., 2021 Financial Stability Oversight Council Annual Report at 12 and 159 available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. 

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repo categories? Alternatively, should we require a breakdown of repo exposure by 

term in a separate question in Item C “financing information” of section 2 instead of 

in proposed Question 32? 

Asset Backed Securities (“ABS”)/structured products 

We propose to separate the collateralized debt obligation (“CDO”) and collateralized loan 

obligation (“CLO”) sub-asset class in proposed Question 32 into two separate sub-asset classes (one 

for CDOs and one for CLOs), and further break out each of these new sub-asset classes based on the 

seniority of the instrument (e.g., senior, mezzanine, and junior tranches) similar to the reporting 

approach on the CFTC’s Form CPO-PQR.168 The proposed changes are designed to provide separate 

reporting for CDOs and CLOs, which we believe is important because CDOs and CLOs are 

fundamentally different financial products and the current combined reporting obscures the specific 

attributes of each product. Furthermore, given the recent focus on CLOs by FSOC169 in monitoring 

systemic risk, we believe that having detailed product specific data for CDOs and CLOs is justified 

due to the potential value this information would provide for systemic risk monitoring. 

We request comment on the proposed amendments. 

134. Should we break out the CDO and CLO sub-asset class in proposed Question 32 into 

two separate sub-asset classes (one for CDOs and one for CLOs) as proposed? If 

not, what alternatives do you suggest? 

168 See Form PF Glossary of Terms (proposed definitions of “CDO” and “CLO”). The proposal would separate the 

current definition of “CDO/CLO” into a separate definition for each financial product. The definition of CDO 

would only include collateralized debt obligations (including cash flow and synthetic) and the definition of CLO 

would include collateralized loan obligations (including cash flow and synthetic) other than MBS, and would not 

include any positions held via CDS. See also supra footnote 166 (regarding the proposed alignment of Form PF 

with Form CPO-PQR). 

169 See United States Government Accountability Office, Report to Agency Officials, “FINANCIAL STABILITY 

Agencies Have Not Found Leveraged Lending to Significantly Threaten Stability but Remain Cautious Amid 

Pandemic,” December 2020, available at: https://www.gao.gov/assets/gao-21-167.pdf. 

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135. In proposed Question 32, we do not break out sub-asset classes for derivatives 

exposures to ABS and structured products (e.g., forwards on MBS). Should these 

types of financial instruments be reported as “other derivatives” in proposed 

Question 32 or should we add additional sub-asset classes for reporting derivative 

exposures to these instruments? 

136. Would more granular reporting for CLOs and CDOs inform monitoring and 

assessment of systemic risk? Instead of senior, mezzanine, and junior categories, 

would investment grade and non-investment grade categories be simpler and less 

burdensome for advisers to report? Should other categories be added? If so, what 

categories? Should advisers separately report securitizations and re-securitizations, 

as required on the CFTC’s Form CPO-PQR? 

137. Should we collect separate information about MBS securitizations and resecuritizations in proposed Question 32? 

138. Does the real estate sub-asset class capture real estate exposure through vehicles that 

are not MBS or other structured products (e.g., commercial leases)? If not, how 

should we modify the proposal to do so? 

Credit, Foreign Exchange, Interest Rate, and Other Derivatives 

We propose to revise the credit, foreign exchange (“forex”), and interest rate and other 

derivative sub-asset classes to provide more detailed reporting. For example, with respect to credit 

derivatives, the proposal would collect more detail on single name CDS exposure to capture better 

information on risk signals from these instruments by adding separate sub-asset classes for sovereign 

single name CDS, financial institution single name CDS, and other single name CDS (to capture any 

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credit derivatives that do not fall into the other enumerated CDS categories).

170 We believe that an 

increase in single name CDS exposure may signify a bet against an entity or the market more 

generally, which may have significant systemic risk implications, particularly with respect to 

concentrated single-issuer positions that can drive more extreme price movements and face 

difficulties in the unwinding process, and for counterparties on the other side of highly leveraged 

trades when the market moves against these positions.

171 Furthermore, single name CDS exposure 

can represent important, concentrated risk positions for a fund, similar to large single equity 

positions, which can be connected to market contagion events, and have systemic risk and market 

liquidity implications. 

Similarly, we propose to add more detailed reporting for foreign exchange derivatives by 

adding separate sub-asset classes for forex swaps and currency swaps consistent with reporting to the 

Bank for International Settlements (“BIS”), while removing the less useful requirement of separate 

reporting for foreign exchange derivatives used for investment and hedging, as we have found the 

data of limited value because we do not believe that information is reported consistently across 

filers.

172 We believe that adding separate reporting for different types of foreign exchange 

instruments (e.g., forex swaps and currency swaps) is appropriate because they have materially 

different risk characteristics, including different maturity profiles, and may be executed under 

different documentation which could affect their ability to be netted against one another. We refer to 

170 See also Form PF Glossary of Terms (proposed revised definition of “single name CDS”). 

171 The CFTC’s Form CPO-PQR also requests information on single name financial CDS, and the revised IOSCO 

Global Fund Investment Survey also collects this information. 

172 In connection with these proposed changes, we also propose to make changes to the definition of “foreign 

exchange derivative” to improve data quality with respect to how advisers report foreign exchange derivative 

exposure. We propose to revise the definition to (1) now include any derivative whose underlying asset is a 

currency other than the base currency of the reporting fund, (2) provide additional information on the treatment 

of cross- foreign exchange versus regular foreign exchange, and (3) require reporting of both legs of cross 

currency foreign exchange derivatives to reflect exposures from such transactions. See Form PF Glossary of 

Terms (proposed revised definition of “foreign exchange derivative”). 

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the BIS framework because we understand that it reflects a commonly accepted industry approach for 

classifying these instruments. Furthermore, given the significance of hedge funds’ exposure to these 

instruments, we believe that more granular information would better inform our understanding of 

systemic risk issues that may arise from holdings in these different types of instruments. We also 

propose to divide the current “interest rate derivatives” sub-asset class into “U.S. dollar interest rate 

derivatives” and “non-U.S. currency interest rate derivatives.” We believe that added granularity 

would be important because we have found that Form PF data consistently shows interest rate 

derivatives as the sub-asset class to which qualifying hedge funds have the greatest exposure over 

time. A better understanding of whether these exposures are related to the U.S. dollar yield curve or 

other countries’ yield curves is important from a systemic risk analysis perspective. Finally, we 

propose to add new sub-asset classes for various types of derivatives that are regularly used by hedge 

funds including correlation derivatives, inflation derivatives, volatility derivatives, and variance 

derivatives, which would both provide additional insight into how qualifying hedge funds use these 

types of financial instruments and further limit the number and type of derivatives that advisers report 

in the “catch-all” “other derivatives” category.

173 

We request comment on the proposed amendments. 

139. As proposed, are the sub-asset classes for reporting on types of derivatives 

appropriate? For example, for forex derivatives, should we clarify, for crosscurrency pairs (where U.S. dollars are not involved), that each leg of the transaction 

should be reported as long and/or short? What other types of derivatives sub-asset 

In connection with these proposed amendments, we also propose to add new definitions to the Glossary of Terms 

for “correlation derivative,” “inflation derivative,” “volatility derivative,” and “variance derivative.” See Form 

PF Glossary of Terms (proposed definitions of “correlation derivatives,” “inflation derivative,” “volatility

derivative,” and “variance derivative”). 

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classes should be included or excluded, if any? Would the proposed sub-asset 

classes for reporting on derivatives be overly burdensome for advisers? 

140. Form CPO-PQR requires separate reporting for futures, forwards, swaps and options. 

The proposed revisions captured in proposed Question 32 would collect similar detail 

for the interest rate derivative and foreign exchange categories, but not for other asset 

categories. Would it be helpful to collect this level of detail for other derivatives 

positions beyond interest rate and foreign exchange? Additionally, should we add 

additional and/or standardization of derivative reporting that would align with 

Financial Conduct Authority/European Securities and Markets Authority data 

collection by capturing, for each sub-asset class, the total gross notional value of 

contracts including the total notional of futures and delta-adjusted notional of 

options? Finally, should we amend the instructions to Question 30 to require 

reporting of closed out and OTC forward positions which have not yet 

expired/matured? 

141. Should we give guidance on reporting total return swaps (e.g., as “other credit 

derivatives” or “interest rate swaps”)? 

142. With respect to the proposed addition of a new sub-asset class for volatility 

derivatives, do hedge funds use volatility derivatives? Additionally, are the sub-asset 

class categories in the proposed volatility derivative section appropriate? If not, 

should we add other sub-asset class categories or combine some of these categories? 

143. Should we require a more granular break out of interest rate derivative exposures? If 

so, what categories should we include? The definition of “interest rate derivative”

instructs advisers to present interest rate derivatives as 10-year bond equivalents. As 

noted, the proposal would specify that the 10-year zero coupon bond equivalent 

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would be required. Should we change how interest rate derivatives should be 

reported (e.g., the total gross notional value of outstanding contracts including the 

total notional value of futures and delta-adjusted value of options)? 

144. We propose to add new definitions for “correlation derivative,” “inflation 

derivative,” “volatility derivative,” and “variance derivative.” Are these definitions 

appropriate? If not, how would you modify one or more definitions? 

145. As noted above, we believe adding separate reporting for different types of foreign 

exchange instruments (e.g., forex swaps and currency swaps) is appropriate because 

they have materially different risk characteristics and may be executed under 

different documentation and we refer to the BIS framework because we understand 

that it reflects a commonly accepted industry approach for classifying these 

instruments. Do you agree with our view, and is the proposed approach appropriate? 

If not, what alternative approach do you suggest? 

Cash and Commodities 

We propose to make revisions to the sub-asset class categories for cash and commodities. 

We would require advisers to break out cash and cash equivalents174 between U.S. currency 

holdings and non-U.S. currency holdings, while also removing the current requirement to report on 

investments in funds for cash management purposes (other than money market funds) because in our 

experience advisers use inconsistent methods for determining whether a private fund investment is 

Some advisers include treasuries in their reporting of “cash” because it was part of the definition of “cash and 

cash equivalents.” We propose to revise the definition of “cash and cash equivalents” to reflect that treasuries 

should not be included in “cash and cash equivalents” sub-asset class. In connection with this proposed change 

we also propose to add a new separate definition for “government securities.” See Form PF Glossary of Terms 

(proposed revised definition of “cash and cash equivalents” and proposed definition of “government securities”). 

See also discussion at Section II.B.2 of this Release regarding the revised definitions of cash and cash 

equivalents and government securities. 

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being used for cash management purposes and we believe that other information reported in current 

section 2b is more useful for assessing liquidity management (e.g., current Question 33 with respect 

to unencumbered cash).

175 

Additionally, we propose to broaden the current power commodity sub-asset classes to also 

capture other energy commodities, and add additional commodity sub-asset classes (e.g., other (nongold) precious metals, agricultural commodities, and base metal commodities) to provide added 

granularity with respect to these financial products given their potential systemic risk implications 

and to better inform our and FSOC’s understanding of the activities of hedge funds in these important 

commodities markets. We have found that a limitation of the current form is that very different 

commodities (e.g., wheat and nickel) are reported together in the same sub-asset class (i.e., “other 

commodities”) making the reported data less meaningful for analysis. We believe that, with added 

granularity, we would be in a better position to identify concentrated exposures to particular 

commodities, data that could be valuable in the event of a dislocation in a particular commodity 

market.176 The additional commodity sub-asset classes that we propose to add, i.e., other (non-gold) 

precious metals, agricultural commodities and base metal commodities, were chosen because we 

175 Additionally, in many cases we would be able obtain more information about all internal fund investments 

(including whether a fund looks like a cash management vehicle) through the new information the proposal 

would require to be reported in section 1b. See discussion at Section II.B.2 of this Release. 

176 For example, we believe the addition of a base metal commodities sub-asset class would allow for identification 

of large players in the base metals market (such as those impacted by the March 2022 “nickel squeeze”). During 

the March 2022 “nickel squeeze,” the price of nickel rose unusually steeply and rapidly in response to 

commodity price increases caused by Russia’s invasion of Ukraine, and this event, coupled with one or more 

market participants holding large short positions, caused prices to increase in an extreme manner (e.g., a one-day 

increase of 63% for the generic first futures contract on March 7, 2022). See e.g., Shabalala, Zandi, Nickel 

booms on short squeeze while other metals retreat, Reuters (March 2022) available at 

https://www.reuters.com/markets/europe/lme-nickel-jumps-another-10-after-record-rally-supply-fears-2022-03-

08/; Nagarajan, Shalini, Nickel Trading Halted at LME Until Friday After Wild Price Spike 

(businessinsider.com) (March 2022) available at https://markets.businessinsider.com/news/commodities/nickelprice-london-metal-exchange-suspends-trading-shanghai-short-squeeze-2022-

3#:~:text=The%20London%20Metal%20Exchange%20has,17%25%20to%20their%20daily%20limit. 

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believe they are most relevant from a systemic risk perspective given the size of these markets and 

what we currently know of hedge fund exposures to these markets.

177 

We request comment on the proposed amendments. 

146. With respect to reporting on cash and cash equivalents, should we request separate 

reporting for US and non-US deposits? Would additional detail be burdensome for 

advisers? With respect to the proposed category “other cash and cash equivalents

(excluding bank deposits, certificates of deposit, money market funds and U.S. 

treasury bills, notes and bonds),” should we require advisers to provide a description 

in Question 4 of what is reported in this sub-asset class? 

147. We propose to add additional sub-asset classes for commodities. Are the proposed 

additional commodities sub-asset classes appropriate? If not, what alternatives do 

you suggest? Should we add more or fewer sub-asset classes for commodities? If 

we should add more, what additional sub-asset classes do you recommend? Should 

we add a sub-asset class for other physical assets? 

Digital Assets 

The proposal would add a new sub-asset class for digital assets and define the term “digital 

asset.”178 We have observed the growth as well as the volatility of this asset class in recent years.179 

We understand that many hedge funds have been formed recently to invest in digital assets, while 

177 These proposed change with respect to commodities sub-asset classes would also better align Form PF with 

Form CPO-PQR. 

178 See discussion at Section II.B.3 of this Release. See also Form PF Glossary of Terms (proposed definitions of 

“digital asset”). 

179 In early 2021 the digital asset market surpassed $1 trillion, mostly driven by the rise in Bitcoin's price, which 

some speculate may be driven in part by hedge fund investments. See Brettell, Karen and Chavez-Dreyfuss, 

Crypto market cap surges above $1 trillion for first time, Reuters (January 2021) available at 

https://www.reuters.com/world/china/crypto-market-cap-surges-above-1-trillion-first-time-2021-01-07/. 

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many existing hedge funds are also allocating a portion of their portfolios to digital assets.

180 

Accordingly, we believe it is important to collect information on funds’ exposures to digital assets in 

order to understand better their overall market exposures. 

We request comment on the proposed amendments. 

148. Should the sub-asset class for “digital assets” provide more granularity? For 

example, should we have separate sub-asset classes for digital assets that represent an 

ability to convert or exchange the digital asset for fiat currency or another asset, 

including another digital asset, and those that do not represent such a right to convert 

or exchange; for digital assets that represent a right to convert or exchange for fiat 

currency or another digital asset, those where the redemption obligation is supported 

by an unconditional guarantee of payment, such as some “central bank digital

currencies,” and those redeemable upon demand from the issuer, whether or not 

collateralized by a pool of assets or a reserve; for digital assets that do not represent 

any direct or indirect obligation of any party to redeem; and for digital assets that 

represent an equity, profit, or other interest in an entity? Should we require advisers 

to report the digital asset by name (e.g., Bitcoin and Ether) or describe its 

characteristics? 

Open and Large Position Reporting 

Advisers to qualifying hedge funds currently report (1) a fund’s total number of “open 

positions” determined on the basis of each position and not with reference to a particular issuer or 

See C. Williamson, Managers Taking Bigger Steps Into Crypto, Pensions&Investments (March 2022) available 

at https://www.pionline.com/cryptocurrency/hedge-fund-managers-taking-bigger-steps-cryptocurrency. 

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counterparty,

181 and (2) the percentage of a fund’s net asset value and sub-asset class for each open 

position that represents five percent or more of a fund’s net asset value.

182 We have found that 

advisers use different methods for identifying and counting their “open positions,” which has made 

making meaningful comparisons among funds difficult. This has also potentially obscured certain 

large exposures, which may make concentration assessments less exact. For example, an “open 

position” might indicate a position held physically, or synthetically through derivatives, or both. As 

such, we propose to require that advisers provide information about a fund’s investment exposures 

based on “reference assets,” which would capture securities or other assets to which a fund has 

exposure, be it direct or indirect ownership, synthetic exposure, or exposure through derivatives. 183 

The proposal is designed to provide insight into the extent of a fund’s portfolio concentration and 

large exposures to any reference assets. The proposal would require advisers to report (1) the total 

number of reference assets to which a fund holds long and short netted exposure, (2) the percentage of 

net asset value represented by the aggregated netted exposures of reference assets with the top five 

long and short netted exposures, and (3) the percentage of net asset value represented by the 

aggregate netted exposures of reference assets representing the top ten long and short netted 

exposures. We are proposing to require reporting for the top five long and short netted positions and 

the top ten netted long and short positions because combined these two metrics provide a holistic 

view of a reporting fund’s portfolio concentration. We also understand that these are commonly used 

industry metrics for assessing portfolio concentration levels. We propose to define “netted exposure”

as the sum of all positions with legal and contractual rights that provide exposure to the same reference 

181 Current Question 34. 

182 Current Question 35. 

183 See proposed Question 39. 

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asset, taking into account all positions, including offsetting and partially offsetting positions, relating 

to the same reference asset (without regard to counterparties or issuers of a derivative or other 

instrument that reflects the price of the reference asset).184 

The proposal also would require advisers to provide certain information on a fund’s reference 

asset to which the fund has gross exposure (as of the end of each month of the reporting period) equal 

to or exceeding (1) one percent of net asset value, if the reference asset is a debt security and the 

reporting fund’s gross exposure to the reference asset exceeds 20 percent of the size of the debt 

security issuance, (2) one percent of net asset value, if the reference asset is a listed equity security and 

the reporting fund’s gross exposure to the reference asset exceeds 20 percent of average daily trading

volume measured over 90 days preceding the reporting date, or (3) (a) five percent of the reporting 

fund’s net asset value or (b) $1 billion. Advisers would be required to report: (1) the dollar value (in 

U.S. dollars) of all long and the dollar value (in U.S. dollars) of all short positions with legal and 

contractual rights that provide exposure to the reference asset; (2) netted exposure to the reference 

asset; (3) sub-asset class and instrument type; (4) the title or description of the reference asset; (5) the 

reference asset issuer (if any) name and LEI; (6) CUSIP (if any);

185 and (7) if the reference asset is a 

debt security, the size of issue, and if the reference asset is a listed equity, the average daily trading 

volume, measured over 90 days preceding the reporting date. Additionally, advisers may at their 

184 Netted exposure to a reference asset would either be long or short, and advisers would determine the value of 

each netted exposure to each reference asset in U.S. dollars, expressed as the delta adjusted notional value, or as 

the 10-year bond equivalent for reference assets that are fixed income assets. Advisers would not report 

exposure to cash and cash equivalents. See proposed Question 39. See also Form PF Glossary of Terms 

(proposed definition of “netted exposure”). 

185 Advisers would also be required to provide at least one of the following other identifiers: (1) ISIN; (2) ticker if 

ISIN is not available); (3) other unique identifier (if ticker and ISIN are not available). For reference assets with 

no CUSIP, or other identifier, advisers would be required to describe the reference asset. See proposed Question 

40(a). 

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option choose to provide the FIGI for the reference asset, but they are not required to do so.186 We 

propose to define “gross exposure” to a “reference asset” as the sum of the absolute value of all long 

and short positions with legal and contractual rights that provide exposure to the reference asset.187 

We considered varying levels of thresholds and believe that the proposed thresholds described above 

are appropriate based on the following reasoning. First, the five percent threshold has been carried 

over from the current version of Form PF and is also a commonly used metric for identifying 

significant positions in a portfolio.

188 In addition, while a portfolio is generally viewed as diversified 

when it holds at least 20 different positions, when a position goes above five percent it reduces 

portfolio diversification. Second, the $1 billion threshold represents a level for large funds (e.g., those 

with net asset values in excess of $20 billion) that is large enough so as to have potential systemic risk 

implications even if the position is less than five percent of the fund. Finally, the proposed one percent 

threshold is aimed at limiting filer burdens while still providing insight into the risks associated with a 

position that may be small relative to a fund’s overall portfolio but which constitutes a large fraction of 

the market for a particular holding, given that a liquidation by one fund can trigger a disorderly 

liquidation. A disorderly liquidation of this kind may raise systemic risk concerns as it may lead to 

liquidation losses at other funds for which the position is more impactful and possibly lead to a 

cascade of additional unwinds. 

The purpose of these amendments is to improve our ability to assess the magnitude of hedge 

fund portfolio concentration, as well as to identify directional exposure. From a systemic risk and an 

investor protection perspective, high portfolio concentration carries the risk of amplified losses that 

can occur when a fund’s investment represents a large portion of a particular investment, asset class, 

186 See proposed Question 40(a)(xi). 

187 See proposed Question 40 and Form PF Glossary of Terms (proposed revised definition of “gross exposure”). 

188 E.g., Schedule 13G/13D uses a five percent threshold. 

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or market segment. Leveraged portfolios further amplify this risk. The proposed amendments are 

designed to better capture a fund’s concentration risk (e.g., where gross exposure to a reference asset 

is large compared to the fund’s NAV and/or compared to the market for a reference security). 

Reporting positions that are large compared to market size also may provide some insight about 

whether multiple firms are “crowding” into trades in certain types of securities or other financial 

assets. We believe that such “crowding” may increase the risk that one fund’s forced selling may 

trigger systemic effects across a particular market. We also believe that collecting information about 

the composition of exposure to a reference asset would allow us and FSOC to link the information 

reported in proposed Question 40 to exposure reporting in proposed Question 32, which would give 

the reported data added context and facilitate understanding of a fund’s investment portfolio and 

assessment of any implications for systemic risk and investor protection purposes. For example, in a 

convertible arbitrage trade involving a position in a convertible bond and an offsetting position in the 

equity securities of the same issuer, reference asset exposure might be obtained by positions in two 

different sub-asset classes (i.e., investment grade convertible bonds and equities) and using a 

combination of instrument types (e.g., physical ownership and futures or a swap). The combination 

of information reported in proposed Question 32 and proposed Question 40 would facilitate our 

ability to identify this type of situation, better understand a qualifying hedge fund’s investment 

approach and whether it is taking on concentrated positions (potentially with leverage), and assess 

whether or not a qualifying hedge fund’s activities may have systemic risk or investor protection 

implications. 

We request comment on these proposed amendments. 

149. The proposal would require advisers to report (1) the total number of reference assets 

to which a fund holds long and short netted exposure, (2) the percent of net asset value 

represented by the aggregated netted exposures of reference assets with the top five 

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long and short netted exposures, and (3) the percent of net asset value represented by 

the aggregate netted exposures of reference assets representing the top ten long and 

short netted exposures. Are these requirements appropriate? If not, how should we 

modify them? For example, should we require reporting on more or fewer long and 

short netted exposures rather than just the top five and the top ten? Instead of 

requiring disclosure on specific exposures described above, should we require a full 

position disclosure filing similar to Form N-PORT? 

150. Does our proposed “reference asset” definition work in the context of these 

questions? For example, does the definition capture interest rate derivatives? If not, 

how should we modify the definition or these questions to capture interest rate 

derivatives? If we should collect information about interest rate derivatives, should 

we specify reporting by maturity bucket and currency? If so, should we use the same 

maturity buckets that we have proposed for purposes of calculating “adjusted”

exposure in proposed Question 32? 

151. Should the “reference asset” definition be more specific or provide more guidance on 

how to “look through” certain instruments (e.g., a correlation basket or an index 

(such as the NASDAQ) or ETFs or other pooled vehicles and private funds)? 

152. Should we provide additional guidance in the definition of “reference asset” such as 

instructing advisers to refer to the “issuer”? Should we provide instructions or 

guidance on how advisers should address “reference assets” that have varying term 

structures (e.g., use maturity buckets)? 

153. The proposal would require advisers to provide certain information on a fund’s

reference asset to which the fund has gross exposure (as of the end of each month of 

the reporting period) equal to or exceeding (1) one percent of net asset value, if the 

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reference asset is a debt security and the reporting fund’s gross exposure to the 

reference asset exceeds 20 percent of the size of the debt security issuance, (2) one 

percent of net asset value, if the reference asset is a listed equity security and the 

reporting fund’s gross exposure to the reference asset exceeds 20 percent of average 

daily trading volume measured over 90 days preceding, or (3) either (a) five percent 

of the reporting fund’s net asset value or (b) $1 billion. Are these thresholds 

appropriate? If not, how should they be modified? Should separate thresholds be 

used to compare netted exposures, and gross exposures, to equity volume and debt 

issue size? For fixed income, is the reference to “debt security issuance” clear?

While this reference is designed to capture a full issue size, should it instead 

reference individual tranches of an issue? 

154. For position reporting in Question 40, should we also require advisers to report the 

number of shares, principal amount or other unit, currency value and percent of value 

compared to NAV? Would this be burdensome to report? 

155. In Question 40, are there other unique identifiers, in addition to or in lieu of LEI or 

CUSIP that we should add in addition to those proposed (e.g., for commodities or 

indices)? Alternatively, should we permit advisers to report FIGI in lieu of CUSIP in 

Question 40 rather the requiring advisers to report CUSIP? 

b. Borrowing and Counterparty Exposure 

Counterparty exposure. As noted above, we propose to revise and enhance how advisers 

report information about their relationships with creditors and other counterparties (including CCPs) 

and the associated collateral arrangements for their hedge funds.189 For qualifying hedge funds, we 

See discussion at Section II.B.3 of this Release. 

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propose to include a new consolidated counterparty exposure table, similar to the new consolidated 

counterparty exposure table proposed for hedge funds in section 1c of the form,190 which would 

capture all cash, securities, and synthetic long and short positions by a reporting fund, a fund’s credit

exposure to counterparties, and amounts of collateral posted and received. This table would replace 

the information currently required by Questions 43, 44, 45, and 47, each of which would be deleted 

under the proposal.191 Under the proposal, proposed Questions 42 and 43 would continue to collect 

information about a reporting fund’s key individual counterparties, but in more detail. These 

revisions are designed to improve data quality and comparability, close data gaps and provide better 

insight into qualifying hedge funds’ borrowing and financing relationships, their credit exposure to

counterparties and collateral practices, and also would enhance the Commissions’ and FSOC’s ability 

to assess the activities of qualifying hedge funds and their counterparties for investor protection 

purposes and in monitoring systemic risk. 

The proposed new consolidated counterparty exposure table would be designed to capture 

information on all non-portfolio credit exposure that a qualifying hedge fund has to its counterparties 

(including CCPs) and the exposure that creditors and other counterparties have to the fund, taking 

into account netting. The new table would require advisers to report in U.S. dollars, as of the end of 

each month of the reporting period, a qualifying hedge fund’s borrowings and other transactions with 

creditors and other counterparties by type of borrowing or transaction (e.g., unsecured, secured 

borrowing and lending under a prime brokerage agreement, secured borrowing and lending via repo 

or reverse repo, other secured borrowing and lending, derivatives cleared by a CCP, and uncleared 

190 See discussion at Section II.B.3 of this Release. 

191 In connection with the proposed removal of current Question 44, we propose to make a corresponding 

amendment to current Question 13, which would be redesignated as Question 19, to remove an instruction that 

would no longer be relevant. 

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derivatives) and the collateral posted or received by a reporting fund in connection with each type of 

borrowing or other transaction.192 The proposed table also would require advisers to qualifying 

hedge funds to (1) classify each type of borrowing by creditor type (i.e., U.S. depository institution, 

U.S. creditors that are not depository institutions, and non-U.S. creditors); (2) classify posted 

collateral by type (e.g., cash and cash equivalents, government securities, securities other than cash 

and cash equivalents and government securities and other types of collateral or credit support 

(including the face amount of letters of credit and similar third party credit support) received and 

posted by a reporting fund, and secured borrowing and lending (prime brokerage or other brokerage 

agreement), and (3) report, at the end of each month of the reporting period, the expected increase in 

collateral required to be posted by the reporting fund if the margin increases by one percent of 

position size for each type of borrowing or other transaction. We believe that measuring the impact 

of a one percent margin change will allow for a meaningful assessment of qualifying hedge funds’

vulnerability to changes in financing costs and identification of funds that are most sensitive to 

potential margin changes. We also believe that measuring this impact would provide a conventional 

way to obtain data on funds’ vulnerability to margin increases that is easy to scale up for analysis 

purposes and allows for uniform comparisons across hedge funds to see which funds have lockup 

The instructions would direct advisers to classify borrowings and other transactions and associated collateral 

based on the governing legal agreement (e.g., a prime brokerage or other brokerage agreement for cash margin 

and securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, and ISDA 

master agreement for synthetic long positions, synthetic short positions and other derivatives), and instruct 

advisers how to report when there is cross-margining under a fund’s prime brokerage agreement. We are also 

proposing to add new definitions of “synthetic long position” and “synthetic short position” to the Glossary of 

Terms. See Form PF Glossary of Terms (proposed definitions of “synthetic long position” and “synthetic short 

position”). Additionally, the instructions would permit advisers to net a reporting fund’s exposure with each 

counterparty and among affiliated entities of a counterparty to the extent such exposures may be contractually or 

legally set-off or netted across those entities and/or one affiliate guarantees or may otherwise be obligated to 

satisfy the obligations of another under the agreements governing the transactions. The instructions would also 

direct advisers to classify borrowing by creditor type (e.g., percentage borrowed from U.S depository 

institutions, U.S. creditors that are not U.S depository institutions, non-U.S. creditors) based on the legal entity 

that is the contractual counterparty for such borrowing and not based on parent company or other affiliated 

group. 

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agreements and which funds do not. Furthermore, the proposed table is designed to consolidate 

existing questions and provide more specific instructions in an effort to eliminate information gaps 

and improve the reliability of data collected. We believe that this new approach would collect better 

information about a qualifying hedge fund’s borrowing and financing, cleared and uncleared 

derivatives positions, and collateral practices as well as a fund’s credit exposure to counterparties

resulting from excess margin, haircuts and positive mark-to-market derivatives transactions, which 

we believe would enhance FSOC’s systemic risk assessments. 

We request comment on the proposed addition of this new table. 

156. Is the information to be collected in the proposed new table appropriate? If not, how 

should we modify the proposed reporting requirements? Would reporting in the 

proposed new table be overly burdensome for advisers? If so, how should we 

modify the proposed table to reduce burdens on advisers? 

157. Would the proposed table capture an accurate overall view of the non-portfolio credit 

exposure that a qualifying hedge fund has in aggregate to its counterparties 

(including CCPs) and the exposure that creditors and other counterparties have to the 

fund? Are the table instructions clear? Would the instructions properly capture a 

reporting fund’s borrowing and other transactions with creditors? Do we need to 

modify the proposed instructions for calculating and reporting associated collateral to 

clarify any matters? Do we need to modify the instructions with respect to netting to 

increase clarity or avoid undue burden? 

158. We propose to specify how to classify certain types of transactions based on legal 

agreement. We are proposing to classify all transactions under a master securities 

loan agreement (“MSLA”) as other secured borrowing. Is another classification 

more appropriate? If so, what classification do you suggest? For example, should 

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borrowing and collateral received and lending and posted collateral under an MSLA 

be reported in a separate category of borrowing or consolidated with prime broker 

borrowing? Are the instructions provided for cross margining reasonable and 

practicable, or should they be changed in any way? 

159. In connection with the proposal, we propose to add a new definition for “synthetic 

short position.” Is the list of assets to be included or excluded from the definition 

appropriate or should we provide a different list of assets? If we should provide a 

different list, what assets should be included and excluded? 

160. Is it clear that advisers should calculate the expected increase or decrease based on a 

margin increase of one percent of position size in proposed Question 41 or should we 

provide further guidance or clarify the question? Should the metric be something 

other than the expected increase or decrease based on a margin increase of one 

percent of position size? If so, what metric should be used? 

161. As an alternative, should we include a drop-down box with possible types of other 

secured borrowings (e.g., letters of credit, loans secured by other collateral such as 

real estate, equipment, receivables, etc.) and also include an “other” “catch-all” 

category that would need to be explained in Question 4? 

Significant counterparty reporting. The proposal would require advisers, for each of their 

qualifying hedge funds, to identify all creditors and counterparties (including CCPs) where the 

amount a fund has borrowed (including any synthetic long positions) before posted collateral equals 

or is greater than either (1) five percent of the fund’s net asset value or (2) $1 billion.

193 We believe 

See proposed Question 42. Advisers would use calculations performed to complete the new table in proposed 

Question 41 for purposes of identifying the counterparties to be reported in proposed Question 42 and Question 

43, and the calculation method would be designed to be similar to the calculations used to identify counterparties 

in proposed Question 27 and proposed Question 28 in order to facilitate aggregation and analysis of data across 

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this threshold is appropriate because it highlights two different but potentially significant risks. 

First, five percent of a fund’s net asset value represents an amount of borrowing that, if repayment 

was required, could be a significant loss of financing that could result in a forced unwind and forced 

sales from the reporting fund’s portfolio. Second, $1 billion represents an amount that, in the case of 

a very large fund, may not represent five percent of the fund’s net asset value, but may be large 

enough to create stress for certain of its counterparties. This change is designed to specify how 

securities held should be treated, avoiding a common source of error in how advisers have completed 

the current form, and allowing both counterparty risks related to collateralized transactions to be 

viewed in one place, i.e., the risk that collateral will not be returned, and the risk that the borrower of 

cash will fail to repay the amount borrowed, risks that we have found cannot be fully observed based 

on information collected on the current form. For the top five creditors and other counterparties from 

which a fund has borrowed the most (including any synthetic long positions) before posted collateral, 

advisers would be required to identify the counterparty (by name, LEI, and financial institutional 

affiliation) and to provide information detailing a fund’s transactions and the associated collateral. 

We have proposed a “top five” reporting threshold as this level is consistent with the current 

threshold for reporting on collateral practices on Form PF.194 Advisers would be required to present 

this information using a proposed individual counterparty exposure195 table that follows the same 

hedge funds and qualifying hedge funds. Furthermore, if more than five counterparties meet the threshold, 

advisers would complete an individual counterparty exposure table for the top five creditors or other 

counterparties to which a reporting fund owed the greatest amount in respect of cash borrowing entries (before 

posted collateral), and also identify all other creditors and counterparties (including CCPs) to which the reporting 

fund owed an amount in respect of cash borrowing entries (before posted collateral) equal to or greater than 

either (1) five percent of the reporting fund’s net asset value as of the data reporting date or (2) $1 billion. See 

also Form PF Glossary of Terms (proposed definitions of “cash borrowing entries” and “collateral posted 

entries”). 

194 See current Question 36. 

195 In connection with the proposal, we propose to add a new definition for “individual counterparty exposure table”

to the Form PF Glossary of Terms. 

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format as the new consolidated counterparty exposure table described above for Question 41, 

including borrowings and other transactions by type and collateral posted and received by type. For 

all other creditors and counterparties from which the amount a fund has borrowed (including any 

synthetic long positions) before posted collateral that equals or is greater than either (1) five percent 

of the fund’s net asset value or (2) $1 billion, advisers would be required to identify each 

counterparty (by name, LEI, and financial institution affiliation) and report the amount of such 

borrowings and the collateral posted by the fund in U.S. dollars. 

Similarly, the proposal would require advisers, for each of their qualifying hedge funds, to 

identify all counterparties (including CCPs) to which a fund has net mark-to-market counterparty 

credit exposure after collateral that equals or is greater than either (1) five percent of the fund’s net 

asset value or (2) $1 billion.

196 We believe this threshold is appropriate because both portions of the 

threshold highlight potential systemic risk: five percent of net asset value is a level that we believe 

represents significant exposure (based on the impact on performance) in the event of counterparty 

default, and $1 billion, while it may not equal five percent of a large hedge fund’s assets, may 

indicate a larger systemic stress involving a fund’s counterparties. For the top five of these 

counterparties, advisers would identify the counterparty (by name, LEI and financial institution 

affiliation) and provide information detailing a fund’s relationship with these counterparties including 

associated collateral using the same table required for individual counterparty reporting.

197 The 

proposal also would require qualifying hedge funds to identify all other counterparties (by name, LEI, 

and financial institution affiliation) to which a fund has net mark-to-market exposure after collateral 

that equals or is greater than either (1) five percent of a fund’s net asset value or (2) $1 billion and 

196 See proposed Question 43. 

197 Under the proposal, however, if an adviser completes the table in Question 42 for a particular counterparty, the 

adviser would not be required to complete the table twice. 

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would require these advisers to report the amount of the exposure before and after collateral posted 

by either the counterparty or the reporting fund as applicable. The purpose of this new requirement is 

to enhance our ability to understand the impact a particular counterparty failure like those that 

occurred during the 2008 financial crisis and in the period since (e.g., the failure of MF Global in 

2011)198, which we believe is important for systemic risk assessments and from an investor protection 

perspective. In assessing the risk to a fund of a counterparty default, the proposal would look at 

whether a fund has net borrowing exposure or net lending exposure to a counterparty. If the fund is a 

net borrower with respect to a counterparty, we would measure cash borrowed by the fund against 

collateral posted by fund. Alternatively, when the fund is a net lender with respect to a counterparty, 

we would measure cash loaned to the counterparty against collateral posted by the counterparty to 

assess whether the counterparty has posted insufficient collateral (relative to the amount 

borrowed).199 

These proposed amendments are designed to streamline the form by consolidating 

information currently collected in Question 47 into proposed Question 42, and to improve the quality 

and comparability of reported information and our ability to integrate the data obtained for analysis 

with other regulatory data sets by specifying how advisers determine borrowing and counterparty 

credit exposure.200 The proposed changes, in conjunction with the proposed new consolidated 

counterparty exposure table, would also provide a better overall view of hedge funds’ borrowing and 

198 See e.g., Gapper, John and Kaminska, Izabella, Downfall of MF Global - US broker-dealer bankruptcy highlights 

global reach of eurozone crisis, Financial Times (November 2011) available at 

https://www.ft.com/content/2882d766-06fb-11e1-90de-00144feabdc0. 

199 See Form PF Glossary of Terms (proposed definitions of “cash borrowing entries,” “collateral posted entries,” 

“cash lending entries,” and “collateral received entries”) for a detailed description of these calculations. 

200 The proposal would require creditor legal name and LEI, which would aid in the identification of counterparties 

and facilitate analysis of the interconnectedness of market participants (e.g., Form N-PORT and Form N-CEN 

already collect LEI for registered investment company counterparties, and including LEIs here would facilitate 

analysis across data sets). 

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other financing arrangements and counterparty credit exposure and associated collateral, which we 

believe would provide critical insight into (1) creditor and counterparty exposure to qualifying hedge 

funds through synthetic long positions through derivatives, (2) potential gaps in margin received by 

and posted by qualifying hedge funds and the size of any such gaps, (3) qualifying hedge funds’ 

exposure to a large counterparty failure, and (4) the expected impact on a fund’s financing 

arrangements of a change in margin requirements. 

Finally, the proposal would remove the requirement from current Question 38 for advisers to 

report the percentage of the total amount of collateral and other credit support that a fund has posted to 

counterparties that may be re-hypothecated.201 We are proposing this change because we believe that 

this reporting is burdensome for advisers, and we have found that the data obtained is generally not 

reliable because advisers cannot easily collect and report the required information as re-hypothecation 

commonly occurs from omnibus accounts into which advisers generally do not have visibility.202 We 

request comment on the proposed amendments. 

162. Should we amend counterparty reporting as proposed, including the proposed 

counterparty identifying information? Is the proposed identifying information 

appropriate? If not, what alternatives do you suggest? Would the proposed 

amendments lead to more accurate data regarding counterparties? 

163. We have proposed to limit more detailed reporting in proposed Question 42 to the 

top five creditor and counterparties from which a fund has borrowed the most 

(including any synthetic long positions) before posted collateral, and in proposed 

201 We would redesignate Question 38 as Question 45. 

202 See MFA Letter to Chairman Clayton, Sept. 17, 2018, available at https://www.managedfunds.org/wpcontent/uploads/2020/04/MFA.Form-PF-Recommendations.attachment.final_.9.17.18.pdf (noting the 

rehypothecated securities are taken out of an omnibus account, which makes reporting for advisers with any 

certainty difficult). 

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Question 43 to the top five counterparties to which a fund has the greatest net mark 

to market counterparty credit exposure after collateral. Should we expand this 

question to require more detailed reporting for the top, for example, ten creditors 

and/or counterparties, as applicable? Alternatively, should we further limit the scope 

of creditor and/or counterparty reporting? Should we require that all creditor and/or 

counterparties be listed? 

164. Do advisers find the re-hypothecation reporting burdensome? Are advisers able to 

collect and report information currently required by Question 38 given omnibus 

accounts? 

165. Are securities lending and borrowing different from other types of trading and 

financing activities (e.g., repo/reverse repo, prime broker borrowing) for purposes of 

counterparty monitoring and risk assessment? If so, should we treat them 

differently? 

166. As proposed, calculations in these questions would exclude collateral that is not cash 

and cash equivalents or other securities to avoid including letters of credit and other 

illiquid assets (e.g., real estate) posted as collateral. What other types of collateral 

would be omitted under this instruction? Would it omit types of collateral commonly 

accepted by creditors and other counterparties? If so, how should we modify the 

question? 

167. This proposal would collect information about top counterparties based on a fund’s

borrowing from each counterparty legal entity, rather than borrowing from all entities 

affiliated with a major financial institution. Could this approach result in data gaps 

where a fund borrows from different counterparties with one affiliated group below 

the reporting threshold? Alternatively, should we require funds to aggregate 

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borrowings from all affiliates of major counterparties, and report on each affiliate in 

this counterparty reporting? What data gaps might occur using this alternative 

approach? Is the proposed threshold (i.e., equal to or greater than either (1) five 

percent of the fund’s net asset value or (2) $1 billion) for identifying counterparties 

to which the fund is exposed appropriate? Will it capture those counterparties to 

which the fund may have material counterparty credit exposure? Should we adopt a 

combination of thresholds (e.g., greater than five percent or $1 billion for individual 

counterparties and greater than 10 percent or $1 billion for any affiliated group of 

counterparties)? 

c. Market Factor Effects 

The proposal would require advisers to qualifying hedge funds to respond to all market factors 

to which their portfolio is directly exposed, rather than allowing advisers to omit a response to any 

market factor that they do not regularly consider in formal testing in connection with the reporting 

fund’s risk management, as Form PF currently provides.203 These proposed changes are designed to 

enhance investor protection efforts and systemic risk assessment by allowing the Commissions and 

FSOC to track better common market factor sensitivities, as well as correlations and trends in those 

market factor sensitivities. 

We also propose to change the stress thresholds to (1) require advisers to report one threshold 

for each market factor, rather than two as is currently required, and (2) propose different thresholds 

for certain market factors to capture stress scenarios that are plausible but still infrequent market 

moves. 204 Information resulting from stress testing at thresholds in the current form (one low and one 

203 See current Question 42 and proposed Question 47. For market factors that have no direct effect on a reporting 

fund’s portfolio, we propose to instruct filers to enter zero. 

204 For example, on the current form, advisers must report the effect of an increase or decrease in equity prices by 

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high) is not useful because the thresholds are either too frequent (for the lower threshold) or too 

extreme and may not result in accurate estimates (for the higher threshold). Based on our experience 

with this information, we do not believe that collecting data at multiple thresholds205 for each market 

factor is significantly more meaningful than collecting market factor sensitivity at a single plausible 

but still infrequent threshold. 

The proposal also would add a market factor test concerning non-parallel risk free interest rate 

movements. It would test hedge fund exposure to changes in the slope of the yield curve, which is 

currently untested and can be a source of systemic risk when there are sudden interest rate changes. 

For example, this market factor could provide meaningful information on hedge funds that take 

complex positions, such as market neutral strategies (e.g., basis trading in particular) and other 

strategies that employ trades that take advantage of spreads in yield curves coupled with high use of 

leverage. 

The proposal also would revise the instructions so advisers would report the long component 

and short component consistently with market convention, rather than opposite from market 

convention, as Form PF currently provides in order to reduce inadvertent mistakes in completing the 

form.206 We request comment on the proposed amendments. 

five percent and by 20 percent, while under the proposal advisers would only report the effect of a 10 percent 

increase or decrease, which is a more plausible but still infrequent scenario. 

205 See current Question 42. 

206 The proposal would amend the instructions to provide that “risk free interest rates” would include interest rate 

swap rates in which a fixed rate is exchanged for a risk-free floating rate such as the secured overnight financing 

rate (“SOFR”) or the sterling overnight index average (“SONIA”). Additionally, the proposal would amend the 

instructions to specify that (1) for market factors involving interest rates and credit spreads, advisers should 

separate the effect on its portfolio into long and short components where (i) the long component represents the 

aggregate result of all positions whose valuation changes in the opposite direction from the market factor under a 

given stress scenario, and (ii) the short component represents the aggregate result of all positions whose 

valuation changes in the same direction as the market factor under a given stress scenario, and (2) for market 

factors other than interest rates and credit spreads, advisers should separate the effect on its portfolio into long 

and short components where (i) the long component represents the aggregate result of all positions whose 

valuation changes in the same direction as the market factor under a given stress scenario and (ii) the short 

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168. Should Form PF require advisers to qualifying hedge funds to respond to all market 

factors, as proposed? Alternatively, should Form PF allow advisers to omit a 

response to any market factor that it does not regularly consider in formal testing in 

connection with the reporting fund’s risk management? Do advisers or their

reporting funds regularly consider all, some, or other market factors we are 

proposing? If so which ones and why? Are adjustments needed for advisers that use 

a different stress test methodology than that required by the question as proposed? 

169. Should we revise the stress thresholds, as proposed? Would the proposed thresholds 

capture stress scenarios that are plausible but still infrequent market moves? Is there 

a better way to meet this objective? Are adjustments needed for advisers that test 

thresholds similar, but not identical to, those proposed? 

170. Should Form PF include a market factor concerning non-parallel risk free interest 

rate movements, as proposed? Would this proposed amendment provide meaningful 

exposure information for hedge funds that take complex positions, such as market 

neutral strategies (e.g., basis trading in particular) and other strategies that employ 

trades that take advantage of spreads in yield curves coupled with a high use of 

leverage? Would any of the other market factors better describe the risks such 

strategies are exposed to? 

171. Are the proposed amendments to how advisers would report long and short 

components consistent with market convention? Do market conventions vary by 

asset type? Would the proposed change relieve or increase burdens? Please provide 

supportive data. Is there a more effective way to require advisers to report long and 

component represents the aggregate result of all positions whose valuation changes in the opposite direction 

from the market factor under a given stress scenario. See proposed Question 47. 

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short components that would be consistent with market conventions and allow for 

data comparability? 

172. Are there any definitions or instructions that we should clarify or change in this 

question? 

173. As an alternative, should Form PF require all advisers to all types of reporting funds 

to report market factor data? Which ones and why? 

d. Additional Amendments to Section 2b 

Currency exposure reporting. The proposal would require qualifying hedge funds to report 

for each month of the reporting period, in U.S. dollars, (1) the net long value and short value of a 

fund’s currency exposure arising from foreign exchange derivatives and all other assets and liabilities 

denominated in currencies other than a fund’s base currency, and (2) each currency to which the fund 

has long dollar value or short dollar value exposure equal to or exceeding either (a) five percent of a 

fund’s net asset value or (b) $1 billion.

207 In responding, advisers would be required to include 

currency exposure obtained indirectly though positions held in other entities (e.g., investment 

companies, other private funds, commodity pools or other companies, funds or entities) and could 

report reasonable estimates if consistent with internal methodologies and conventions of service 

providers.208 This proposed requirement is designed to provide insight into whether notional 

currency exposures reported by qualifying hedge funds in Question 30 represent directional exposure 

or are hedges of equity and/or fixed income positions. This new question would allow us to 

understand whether a qualifying hedge fund’s portfolio is exposed to a given currency, and it would 

also provide a view into the fund’s currency exposure resulting from holdings in foreign securities 

207 Proposed Question 33. 

208 This instruction is designed to simplify and reduce the burdens of reporting sub-asset class exposures. 

Furthermore, the proposal would permit advisers to provide good faith estimates and take currency hedges into 

account, if consistent with their internal methodologies and information reported internally and to investors. 

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(e.g., Eurobonds). While current Question 30 requires advisers to separate currency exposure relating 

to hedging from other currency, we have found that this data has not been very useful for determining 

whether a currency position is speculative or a hedge. Additionally, we believe that it is important to 

consider a qualifying hedge fund’s currency exposure to identify vulnerabilities to currency 

fluctuations and market events that affect different countries and regions. Finally, we believe the 

proposed threshold of either (1) five percent of a fund’s net asset value or (2) $1 billion for reporting 

individual currency exposure is appropriate because it represents, in each prong of the threshold, a 

material level of portfolio exposure to currency risk at which we believe a deterioration in the value 

of a particular currency could have a significant negative impact on a fund’s investors. We also 

believe that if multiple large funds have significant exposure to a currency that is rapidly devaluing, 

this circumstance could raise financial stability concerns, and this proposed reporting would better 

enable review of this type of situation. More broadly, we also would be able to use the information 

obtained to identify concentrations in particular currencies and assess the potential impact of market 

events that affect particular currencies. We request comment on the proposed amendments. 

174. Should we add new Question 33, as proposed? 

175. Would this new question enhance systemic risk analysis, including the impact of 

currency risk? Is there a better way to meet this objective? How could we modify 

the proposed question to better meet its objective? 

176. Is the proposed threshold of either (1) five percent of a fund’s net asset value or (2) 

$1 billion for reporting individual currency exposure appropriate? If not, what 

threshold is appropriate? 

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Turnover. The proposal would require reporting on a per fund basis on the value of turnover 

in certain asset classes rather than on an aggregate basis as currently required.

209 We believe that 

requiring this reporting on a per fund basis would provide more detailed information to us and FSOC 

while at the same time simplifying reporting for advisers. We understand that advisers do not 

currently aggregate turnover related information among funds. Aggregating solely for Form PF 

reporting is particularly burdensome as the required data is typically on separate reporting systems 

and advisers must “roll-up” data from these sources to report on the form. 

We also propose to add new categories for turnover reporting that would disaggregate 

combined categories and better capture turnover of potentially relevant securities, such as various 

types of derivatives (e.g., listed equity, interest rate, foreign exchange), which we believe would help 

support analysis of hedge fund market activity.210 Furthermore, we propose to add a new 

consolidated foreign exchange and currency swaps category and make other changes.211 During the 

March 2020 COVID-19-related market turmoil, FSOC sought to evaluate the role hedge funds played 

in disruptions in the U.S. treasury market by unwinding cash-futures basis trade positions and taking 

advantage of the near-arbitrage between cash and futures prices of U.S. treasury securities.212 

Because the existing requirement regarding turnover reporting on U.S. treasury securities is highly 

209 Proposed Question 34. In connection with the proposed amendments, the proposal would move reporting on the 

value of turnover in certain asset classes and the geographical breakdown of investments from section 2a to 

section 2b. 

210 We also propose to break out some categories by futures, swaps, and options as different types of derivatives 

have different risk profiles and implications for systemic risk, and to add a category for “other derivative 

instrument types” so that all derivatives are reported.

211 We propose to add instructions requiring advisers to report turnover in derivatives separately from turnover in 

physical holdings for asset classes in proposed Question 32 and to make other conforming changes to reflect 

changes to defined terms in the Form PF Glossary of Terms. 

212 See U.S. Credit Markets Interconnectedness and the Effects of the COVID-19 Economic Shock, U.S. Securities 

Exchange Commission, October 2020 available at https://www.sec.gov/files/US-Credit-Markets_COVID19_Report.pdf. See Financial Stability Oversight Council 2021 Annual Report, available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf . 

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aggregated, the SEC staff, during retrospective analyses on the March 2020 market events, was 

unable to obtain a complete picture of activity relating to long treasuries and treasury futures. Given 

the significant size of hedge funds’ exposures to certain derivative products, we believe it is 

important to gain more insight into trading activities with respect to these financial instruments to 

better enable the Commissions and FSOC to assess and monitor the activity of qualifying hedge 

funds for systemic risk implications.

213 Expanded reporting on turnover also would provide better 

information for assessing trading frequency in lieu of requiring advisers to report what percentage of 

their hedge funds’ net asset value is managed using high-frequency trading strategies.

214 

We request comment on the proposed Question 34. 

177. Would the proposed detailed turnover reporting provide additional insight into a 

fund’s activities in key markets? Should additional categories be added to provide a 

clearer view of turnover and its potential to help us and FSOC identify and monitor 

activities that could indicate systemic risk in the market? If so, what categories do 

you suggest and why? Should we exclude any of the proposed categories? If so, 

why? 

178. The current instructions state that turnover value should be reported as the sum of the 

absolute value of transactions, and as such the reported value of turnover for certain 

derivatives may be very large (reflecting notional value). Should we use a different 

measure for valuing turnover (e.g., market value)? Recognizing that the current 

213 As of the end of the third quarter of 2021, interest rate derivatives currently make up approximately 25 percent of 

gross notional exposure (GNE) reported on Form PF, while foreign exchange derivatives make up 15 percent of 

GNE. Additionally, commodity, credit, and other derivatives when combined make up five percent, or nearly 

$1.5 trillion. See Private Fund Statistics Q3 2021, supra footnote 7. 

214 See current Question 21. We propose to remove Question 21 as it would be redundant in light of the proposed 

expanded turnover reporting. 

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instructions result in consistency in reported value among questions on Form PF, 

would a different measure be more or less useful? 

179. Do you agree that aggregating information may be burdensome for some advisers? 

Do some advisers maintain the required data on different systems such that “rollingup” the data from different sources to report on the form would be complex and time 

consuming? 

Country and industry exposure. We are proposing to require advisers to report all countries 

(by ISO country code215) to which a reporting fund has exposure equal to or exceeding either (1) five 

percent of its net asset value or (2) $1 billion, and to report the dollar value of long exposure and the 

dollar value of short exposure in U.S. dollars, for each monthly period to improve data comparability 

across funds.

216 Under the current approach, only certain regions are identified and these regions are 

not uniformly defined, which results in data that is not consistent.

217 In addition, at times we have 

needed to identify countries of interest not on this list. As such, we propose to replace the country of 

interest and regional reporting with this new country level information. Finally, we believe that the 

proposed threshold of either (1) five percent of net asset value or (2) $1 billion is appropriate because 

it represents a material level of portfolio exposure to risk relating to individual countries and 

geographic regions, and is a level that could significantly impact a fund and its investors if, for 

example, there are currency fluctuations or geopolitical instability. Furthermore, the data obtained 

would allow for identification of industry concentrations in particular countries and/or regions and 

215 This is similar to reporting on Form N-PORT and will improve the comparability of data between Form PF and 

Form N-PORT. 

216 Proposed Question 35. In connection with the proposed amendments, the proposal would move reporting on 

geographical breakdown of investments from section 2a to section 2b. 

217 Currently, consistent with staff guidance in Form PF Frequently Asked Questions 28.1 and 28.2 advisers may 

report geographical exposure based on internal methods and indicate in Question 4 if methods do not reflect risk 

and economic exposure. See Form PF Frequently Asked Questions, supra footnote 79. 

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help assess the potential impact of market events on these geographic segments. We believe that the 

five percent threshold level constitutes a reasonable shock to a fund’s net asset value. For example, 

to the extent there is a market-wide event, a worst-case scenario would be for long positions to lose 

their full value, in this shock case at least five percent. Furthermore, and particularly for funds 

without a benchmark, five percent is often evaluated for industry, individual position, and country 

risk, and is a common and easy to measure threshold. With respect to the $1 billion threshold, we 

believe it constitutes sufficiently large nominal value exposure from a risk perspective. 

We also propose to add a new question that would require advisers to provide information 

about each industry to which a reporting fund has exposure equal to or exceeding either (1) five 

percent of its net asset value or (2) $1 billion.

218 Advisers would be required to report, for each 

monthly period, the long dollar value and short dollar value of a reporting fund’s exposure by 

industry based on the NAICS219 code of the underlying exposure. The purpose of this new question 

would be to collect information that would provide insight into hedge funds’ industry exposures in a 

standardized way to allow for comparability among funds and meaningful aggregation of data to 

assess overall industry-specific concentrations. Further, we believe the proposed threshold of either 

(1) five percent of net asset value or (2) $1 billion is appropriate because it represents a material level 

of portfolio exposure to risk relating to individual industries, and is a level that could significantly 

impact a fund and its investors if, for example, there are market or geopolitical events that affect 

performance by a particular industry, such as the burst of the “tech bubble” in the early 2000s or 

COVID-19’s impact on airline, accommodation and food service industries. Furthermore, the data 

obtained would allow for identification of industry concentrations and help assess the potential 

218 Proposed Questions 36. 

219 North American Industry Classification System. 

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impact of market events on industries. While we considered a lower threshold, we believe that the 

proposed threshold strikes an appropriate balance between identifying significant industry exposure 

and the burdens of reporting this information on Form PF. We believe this information would be 

useful to the Commissions and FSOC in monitoring systemic risk, particularly if multiple funds have 

significant concentrations in industries that are experiencing periods of stress or disruption. 

When responding to these questions about country and industry exposure, advisers would be 

required to include exposure obtained indirectly though positions held in other entities (e.g., 

investment companies, other private funds, commodity pools or other company, funds or entities). 

Without this requirement, a fund’s exposure to geographic regions and industries could be obscured 

and hinder the Commissions’ and FSOC’s ability to assess risks and the potential impact of events and 

trends that affect a particular industry or geographic region, both of which could have implications for 

investors. While we believe that advisers typically maintain this information, the proposed 

instructions to these questions seek to minimize filer burdens by permitting advisers to report 

reasonable estimates if such reporting is consistent with internal methodologies and information 

reported internally and to investors. 

We request comment on the proposed Question 35 and proposed Question 36. 

180. Should we require advisers to report all countries (by ISO country code220) to which 

a reporting fund has exposure of equal to or exceeding (1) five percent or more of its 

net asset value or (2) $1 billion, and to report exposure in U.S. dollars? Is this 

threshold appropriate? If not, should the threshold be higher or lower? Do you agree 

that removing regional level reporting is appropriate? Are there any other 

alternatives? If so, what alternatives? 

This is similar to reporting on Form N-PORT and will improve the comparability of data between Form PF and 

Form N-PORT. 

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181. Should we require advisers to provide information about each industry to which a 

reporting fund has exposure equal to or exceeding (1) five percent or more of its net 

asset value or (2) $1 billion? Is this threshold appropriate? If not, should the 

threshold be higher or lower? 

182. With respect to requiring advisers to provide information about portfolio industry 

exposure, what level of industry detail should be gathered (for example, 2-digit 

NAICS codes represent 20 unique industries)? Is it more burdensome to provide 

more detail, or does aggregation to broader industry categories create additional 

burden? 

183. We propose to modify the instructions to require that investments be categorized 

based on concentration of risk and economic exposure. Should we add instructions 

or guidance for currency crosses or dollar denominated non-U.S. sovereign debt? 

Furthermore, current Question 77 (for private equity funds) also uses NAICS codes 

for reporting industry exposure. Should we use Global Industry Classification 

Standard (GICS) codes or another classification standard? Finally, how should ETFs 

and other exchange traded products be reported in this question? Are these financial 

instruments typically coded to industry sector? If not, what alternatives do you 

suggest and why? 

184. We propose to require advisers, when responding to proposed Question 35 and 

proposed Question 36 to include exposure obtained indirectly though positions held 

in other entities (e.g., investment companies, other private funds, commodity pools or 

other funds or entities). Is this appropriate? If not, why? Would this be overly 

burdensome for advisers? 

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Central clearing counterparty (CCP) reporting. We propose to require advisers to identify 

each CCP or other third party holding collateral posted by a qualifying hedge fund in respect of 

cleared exposures (including tri-party repo) equal to or exceeding either (1) five percent of a 

reporting fund’s net asset value or (2) $1 billion.

221 The proposed new question would exclude 

counterparties already reported in proposed Question 42 and proposed Question 43,

222 and require 

advisers to provide information on: (1) the legal name of the CCP or third party; (2) LEI (if 

available); (3) whether the CCP or third party is affiliated with a major financial institution; (4) the 

reporting fund’s posted margin (in U.S. dollars); and (5) the reporting fund’s net exposure (in U.S. 

dollars). We are proposing this new question based on our experience with Form PF since adoption 

as we have found data gaps with respect to identifying qualifying hedge fund exposures to CCPs and 

other third parties that hold collateral in connection with cleared exposures. Furthermore, we 

understand that (1) many large hedge fund advisers already track margin posted for cleared exposures 

because margin requirements at any given time may well exceed the clearinghouse’s exposure to a 

fund and therefore are an important credit risk exposure metric for a fund, and (2) that CCP recovery, 

resiliency and resolution also are current concerns for some advisers.223 Given these factors, we 

believe that the burden of this proposed new question would be justified by valuable insight the data 

obtained would provide into an area that could have significant implications from a systemic risk 

perspective. Additionally, we have chosen a reporting threshold of equal to or exceeding either (1) 

five percent of net asset value or (2) $1 billion to be consistent with the thresholds for other 

221 Proposed Question 44. 

222 See discussion at Section II.C.2.b of this Release. 

223 See “A Path Forward For CCP Resilience, Recovery, And Resolution,” March 10, 2020 available at 

https://www.blackrock.com/corporate/literature/whitepaper/path-forward-for-ccp-resilience-recovery-andresolution.pdf. See also J.P. Morgan Press Release, March 10, 2020, available at 

https://www.jpmorgan.com/solutions/cib/markets/a-path-forward-for-ccp-resilience-recovery-and-resolution. 

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counterparty exposure questions224, as we believe that a qualifying hedge fund is similarly exposed 

where a third party holds collateral irrespective of whether the third party is a CCP or other 

counterparty. The proposal would also remove current Question 39, which requires information 

about transactions cleared directly through a CCP, as the information collected is duplicative of 

information already collected in current Question 24. We request comment on the proposed addition 

of new Question 44. 

185. Should we collect information about the exposure of qualifying hedge funds to CCPs 

and other third parties holding collateral in respect of cleared exposures? If so, what 

information should be collected on these exposures? Does the proposed question 

collect helpful information? Should we collect different information, more 

information or less information? Is the proposed reported threshold of equal to or 

exceeding either (1) five percent of a reporting fund’s net asset value or (2) $1 billion 

appropriate? If not, how should the threshold be modified? 

186. Do you agree that many large hedge fund advisers already track margin posted for 

cleared exposures because margin requirements at any given time may well exceed 

the clearinghouse’s exposure to a fund and therefore are an important credit risk 

exposure metric for a fund? Additionally, do you agree that CCP recovery, 

resiliency, and resolution also are current concerns for some advisers? 

Risk metrics. We propose to eliminate the requirement that an adviser indicate whether there 

are risk metrics other than, or in addition to, Value at Risk (“VaR”) that the adviser considers 

important to managing a reporting fund’s risks.

225 Advisers generally do not report detailed 

224 See discussion at Section II.C.2.b of this Release. 

225 See current Question 41. 

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information in response to this requirement. Currently, about 60 percent of advisers to qualifying 

hedge funds (representing about 75 percent of the aggregate gross asset value of qualifying hedge 

funds) report using VaR or market factor changes in managing their hedge funds.226 Instead, we 

propose to require advisers to provide additional information about a reporting fund’s portfolio risk 

profile, including reporting on portfolio correlation, investment performance by strategy and 

volatility of returns and drawdowns.

227 The proposal would expand the amount of data collected by 

collecting risk data in circumstances where advisers do not use VaR or market factor changes, and 

thus provide insight across all (rather than only some) qualifying hedge funds. This new information 

would provide uniform and consistently reported risk information that will enhance our ability to 

monitor and assess investment risks of qualifying hedge funds to gauge systemic risk. In particular, 

volatility of returns and drawdown data is a simple measure of risk that enables us to monitor riskadjusted returns, changes in volatility and thereby risk profiles. 

We request comment on the proposed removal of Question 41. 

187. Do you agree with the proposed removal of Question 41? Instead, should we change 

this question to make it easier for advisers to report more detailed information? Do 

you believe that new Questions 48, 49 and 23(c) will provide better information 

about the risk profiles of qualifying hedge funds? 

226 See Private Funds Statistics Q2 2020 (Table 58/59). Current Question 40 requires advisers to report certain risk 

data if the adviser regularly calculates VaR of the reporting fund. Current Question 42 requires advisers, for 

specific market factors, to determine the effect of specified changes on a reporting fund’s portfolio, but permits 

advisers to omit a response to any market factor that they do not regularly consider in formal testing in 

connection with a reporting fund’s risk management. 

227 See Proposed Question 48 (portfolio correlation), proposed Question 49 (investment performance breakdown by 

strategy), and proposed Question 23(c) (volatility of returns and drawdown reporting). See discussion at Section 

II.B.2 of this Release. We propose to also revise the title of Item C. of current section 2b to “Reporting fund risk 

metrics and performance” to reflect that the proposal would add new questions on performance to this section of 

the form. 

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Investment performance by strategy. The proposal would require advisers to qualifying hedge 

funds that indicate more than one investment strategy for a fund in proposed Question 25 to report 

monthly gross investment performance by strategy if the adviser calculates and reports this data for 

such fund, whether to current and prospective investors, counterparties, or otherwise.

228 An adviser 

would be required to provide monthly performance results only if such results are calculated for a 

reporting fund (whether for purposes of reporting to current and prospective investors, counterparties, 

or otherwise), but would not be required to respond to this question if the adviser reports performance 

for the fund as an internal rate of return. This question is designed to integrate Form PF hedge fund 

data with the Federal Reserve Board’s reporting on Financial Accounts of the United States, which 

the Federal Reserve uses to track the sources and uses of funds by sector, and which are a component 

of a system of macroeconomic accounts including the National Income and Product accounts and 

balance of payments accounts, all of which serve as a comprehensive set of information on the 

economy’s performance. We also believe that this information could be helpful to the Commissions’

and FSOC’s monitoring and analysis of strategy-specific systemic risk in the hedge fund industry. 

We request comment on the proposed addition of new Question 49. 

188. Do you agree with the addition of new Question 49 as proposed? If not, what 

alternatives would you suggest and why? Would responding to this question be 

burdensome? If it would be overly burdensome, how would you suggest we modify 

the proposal? 

Proposed Question 49. The strategies in proposed Question 49 would be based on the strategies set forth in 

proposed Question 25 (the proposal would also revise the strategy categories in current Question 20, which we 

would redesignate as Question 25, to better reflect our understanding of hedge fund strategies and to improve 

data quality and comparability). See discussion at Section II.B.3 of this Release. 

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Portfolio correlation. The proposal would add a new question on portfolio correlation to 

collect data on the effects of a breakdown in correlation.

229 Based on feedback from advisers filing 

Form PF and data reported on Form PF, it appears that hedge funds using the most leverage tend to 

engage in long/short, relative value, and similar strategies that seek to pair trades in highly correlated 

instruments, possibly with a focus on factor models. For these hedge funds, VaR calculations that 

rely on static correlation matrices may not factor in periods of market turmoil when assumed 

correlations break down. Therefore, a breakdown in assumed correlations could cause these funds to 

de-lever and could have a significant impact on financial stability, particularly if there are “crowded” 

or overlapping positions across funds, which could lead to cascade effects. We recommend a new 

question that gathers data on the effects of a breakdown in assumed correlations rather than just 

historical correlations. The proposed new question would focus on assessing the risks associated 

with a correlation breakdown, and would require qualifying hedge funds to report for their portfolios 

(as of the end of each month of the reporting period) (1) the average pairwise 3-month realized prior 

Pearson correlation of each portfolio position’s periodic (e.g., daily or weekly) total rates of return 

using the greatest available frequency of data over the measurement window (e.g., daily or weekly), 

(2) the frequency of the data used over the prior 3-month window (e.g., daily or weekly) (3) the 

expected annualized volatility utilizing 3-month realized prior Pearson correlations of each portfolio 

position’s periodic (e.g., daily or weekly) total rates of return and assuming realized prior volatilities 

of portfolio positions with the same frequency window as that chosen when computing 3-month 

realized correlations, and (4) what the resulting annualized volatility would be if a reporting fund 

uniformly reduced or increased pairwise correlations by 20 percentage points utilizing 3-month 

realized prior Pearson correlations of portfolio positions’ periodic rates of return and assuming 3-

Proposed Question 48. 

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month realized prior volatilities of portfolio positions’ periodic rates of return with the same 

frequency window as that chosen when computing 3-month realized correlations. This question is 

designed to (1) isolate the impact of a breakdown in correlation on the volatility of long/short funds 

that may de-lever if there is an increase in their volatility, (2) avoid some of the pitfalls of VaR 

models such as relying on backwards looking assumptions on the relationship between securities, and 

(3) provide a measure of volatility sensitivity in addition to one-day VaR. We believe that this new 

question would not create a significant burden for advisers because portfolio positions’ periodic total

rates of return and corresponding correlation matrices are likely available for most qualifying hedge 

funds. We request comment on the proposed addition of new Question 48. 

189. Are the effects of a breakdown in correlations useful for monitoring systemic risk? 

Would this question provide helpful information for purposes of comparing fund 

activities and assessing risk? Does it offer insight into funds with a range of 

strategies or is it useful for only some strategies? What other questions could isolate 

the effects of a breakdown in correlations? Will it be burdensome for advisers to 

qualifying hedge funds to respond to this question and, if so, what burdens will be 

imposed? Are total rates of return and corresponding correlation matrices readily 

available for most qualifying hedge funds? If not, what strategies would have the 

most difficulty completing this question? Are there less burdensome questions that 

could help isolate the effects of a breakdown in correlations? 

190. As an alternative or in addition to measuring sensitivity to correlation, would any of 

the following approaches be preferable to our proposal: (1) subtract aggregate 

portfolio VaR from the sum of VaR computed at the asset class level, or some other 

sub-portfolio level, to measure the impact of diversification and the sensitivity to 

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correlation, or (2) combine single factor stress tests for the portfolio assuming zero 

correlation? 

191. As proposed, would responding to new Question 48 create an undue burden for 

advisers? If so, how should we modify the question to make it less burdensome for 

respondents? Does the flexibility embedded in the proposed question (i.e., the 

flexibility for a fund to choose its own frequency of position marks (be it daily, 

weekly, monthly)) make it easier for funds to respond? 

192. Is the proposed 20 percentage point sensitivity metric appropriate? If not, what 

alternative do you suggest? 

Portfolio Liquidity. We propose to require advisers to include cash and cash equivalents 

when reporting portfolio liquidity, rather than excluding them, as the question currently provides.

230 

We understand that reporting funds typically include cash and cash equivalents when analyzing their 

portfolio liquidity. We believe the proposed change would improve data quality by reducing 

inadvertent errors that result from requiring advisers to report in a way that is different from how they 

may report internally. We believe this proposed change is more reflective of industry practice, and it 

is preferable to receive reported data in a format that reflects how advisers typically analyze portfolio 

liquidity. 

We also propose to amend the form’s instructions to allow advisers to assign each investment 

to more than one period, rather than directing advisers to assign each investment to only one period, 

as Question 32 currently provides. We understand that directing advisers to assign an investment to 

only one period may make a reporting fund’s portfolio appear less liquid than it is because it would 

not reflect that reporting funds may divide up sales in different periods (e.g., a reporting fund could 

230 See current Question 32 and proposed Question 37. 

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sell off a portion in the first time period, and sell of the remainder in subsequent time periods). 

Therefore, this proposed change is designed to reflect the liquidity of a reporting fund’s portfolio

more accurately. 

While advisers would continue to be able to rely on their own methodologies to report 

portfolio liquidity, we propose to add an instruction explaining that estimates must be based on a 

methodology that takes into account changes in portfolio composition, position size, and market 

conditions over time. Based on experience with the form, we have found that some advisers have 

used static methodologies that do not consider portfolio composition and position size relative to the 

market, and therefore do not reflect a reasoned view about when positions could be liquidated at or 

near carrying value. Therefore, this proposed change is designed to continue to allow advisers to use 

their own methodologies, but improve data quality to ensure that the methodologies generate 

reporting that reflects a reasonable view of portfolio liquidity in light of changes in portfolio 

composition and size, and market conditions, over time. 

Finally, to facilitate more accurate reporting, collect better data, and reduce filer errors, we 

propose to amend the table to be included in proposed Question 37 to reflect that information should 

be reported as a percentage of NAV consistent with SEC staff Form PF Frequently Asked 

Questions.231 

We request comment on the proposed amendments. 

193. Should proposed Question 37’s portfolio liquidity requirements include cash and 

cash equivalents, as proposed, regardless of what types of advisers would complete 

it? Would this proposed amendment help the Commissions and FSOC better analyze 

portfolio liquidity? Would this proposed change make Form PF more consistent with 

See Form PF Frequently Asked Questions, supra footnote 79, Question 32.3. 

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how the industry analyzes portfolio liquidity? Is there a better way to meet these 

objectives? For example, should Form PF instead require advisers to report cash and 

cash equivalents for all reporting funds separately than other positions when 

reporting portfolio liquidity? 

194. Do you agree that reporting funds typically include cash and cash equivalents when 

analyzing their portfolio’s liquidity? 

195. Should Form PF allow advisers to assign investments to more than one period, as 

proposed? Would this proposed change more accurately reflect the liquidity of a 

reporting fund’s portfolio?

196. Should Form PF continue to allow advisers to rely on their own methodologies in 

reporting on portfolio liquidity? 

197. Should Form PF include an instruction that provides that estimates must be based on 

a methodology that takes into account changes in portfolio composition, position 

size, and market conditions over time, as proposed? Would this proposed change 

improve data quality? Is there a better way to achieve this objective? If we add the 

instruction to this question, in particular, would it suggest that the instruction would 

not apply to other liquidity analysis, or other portfolio metrics? 

198. As an alternative, should Form PF require all advisers to report portfolio liquidity for 

all reporting funds? 

199. Should Form PF change how advisers report portfolio liquidity in any other ways? 

For example, should we require advisers to report information in dollars, in addition 

to or instead of reporting as a percentage of the portfolio, as Form PF currently 

requires? Would such a requirement help the Commissions and FSOC to compare 

portfolio liquidity with other data on Form PF that advisers report in dollars? 

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Financing Liquidity. Question 46 is designed to show the extent to which financing may 

become rapidly unavailable for qualifying hedge funds.232 We propose to amend current Question 46 

to improve data quality thereby supporting more effective systemic risk analysis.

233 Advisers would 

provide the dollar amount of financing that is available to the reporting fund, including financing that 

is available but not used, by the following types: (1) “unsecured borrowing,” (2) “secured borrowing” 

via prime brokerage, (3) secured borrowing via reverse repo, and (4) other secured borrowings.234 

Currently, the Commissions and FSOC infer this data from this question and current Question 43 

(concerning the reporting fund’s borrowings).

235 However, these inferences may not be accurate 

given the number of assumptions that currently go into making such inferences. This proposed 

information would help us understand the extent to which a fund’s financing could be rapidly 

withdrawn and not replaced. 

We request comment on the proposed amendments. 

200. Should Form PF require advisers to report the amount of financing that is available to 

the reporting fund but not used, as a dollar amount, as proposed? Alternatively, 

should Form PF require advisers to report this information in a different way? For 

example, should Form PF require advisers to report the amount of financing that is 

available to the reporting fund but not used, as a percentage of total financing? 

232 See 2011 Form PF Adopting Release, supra footnote 3, at text accompanying n.281. 

233 We would redesignate Question 46 as Question 50. 

234 Form PF defines “unsecured borrowing” as obligations for borrowed money in respect of which the borrower has 

not posted collateral or other credit support. Form PF defines “secured borrowing” as obligations for borrowed 

money in respect of which the borrower has posted collateral or other credit support. For purposes of this 

definition, reverse repos are secured borrowings. See Form PF Glossary of Terms. These categories are 

designed to be consistent with borrowing categories that qualifying hedge funds would report on the new 

counterparty exposure table. 

235 Current Question 43 collects data on the reporting fund’s borrowing by type (e.g., unsecured, and secured by 

type, i.e., prime broker, reverse repo or other), while current Question 46 only collects a total amount of 

financing available, both used and unused, with no breakdown by type of financing. 

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Would it be more or less burdensome for advisers to report this information as a 

dollar amount than as a percentage of total financing? Please provide supportive 

data. 

201. As an alternative, should Form PF require all advisers to report financing liquidity 

for any size hedge funds they advise? If so, why? 

D. Proposed Amendments to Enhance Data Quality 

We are also proposing several amendments to the instructions to Form PF to enhance data 

quality.236 Specifically, we are proposing the following changes: 

Reporting of percentages. For questions that require information to be expressed as a 

percentage, we propose to require that percentages be rounded to the nearest one hundredth of one 

percent rather than rounded to the nearest whole percent. We believe that this additional level of 

precision is important, especially for questions where it is common for filers to report low percentage 

values (e.g., risk metric questions such as current Question 40 and current Question 42) to avoid 

situations where advisers round to zero and no data is reported, potentially obscuring small changes 

that may be meaningful from a risk analysis or stress testing perspective. 

Value of investment positions and counterparty exposures. We propose to specify how 

private fund advisers determine the value of investment positions (including derivatives) and 

counterparty exposures. The proposed changes are designed to provide a more consistent 

presentation of reported information on investment and counterparty exposures to support more 

accurate aggregation and comparisons among private funds by us and FSOC in assessing systemic 

risk. Under the form’s current instructions, advisers may report portfolios with similar exposures 

Proposed Instruction 15 (provides guidelines for advisers in responding to questions on Form PF relying on their 

own methodology). 

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differently.237 We understand that some advisers net legs of partially offsetting trades when 

calculating the value of derivatives positions in accordance with internal methodologies, but others do 

not, resulting in inconsistent reporting that may obscure a fund’s risk profile. We propose to require 

these trades to be reported independently on a gross basis, consistent with derivatives reporting on 

Form N-PORT.238 We also propose to instruct advisers that for all positions reported on Form PF, 

advisers should not include as “closed-out” a position if the position is closed out with the same 

counterparty and results in no credit or market exposure to the fund, making the approach on Form 

PF with respect to closed out positions consistent with rule 18f-4 of the Investment Company Act and 

our understanding of filers’ current practices.

239 

Reporting of long and short positions. We propose to amend the instructions regarding the 

reporting of long and short positions on Form PF to improve the accuracy and consistency of reported 

data used for systemic risk analysis. We propose to specify that if a question requires the adviser to 

distinguish long positions from short positions, the adviser should classify positions based on the 

following: (1) a long position experiences a gain when the value of the market factor to which it 

relates increases (and/or the yield of that factor decreases), and (2) a short position experiences a loss 

when the value of the market factor to which it relates increases (and/or the yield of that factor 

decreases). 

237 See Form PF: General Instruction 15. 

238 Specifically, proposed Instruction 15 requires that if a question in Form PF requests information regarding a 

“position” or “positions,” advisers must treat legs of a transaction even if offsetting or partially offsetting, or 

even if entered into with the same counterparty under the same master agreement as two separate positions, even 

if reported internally as part of a larger transaction. See also instructions to N-PORT, General Instruction G. 

239 See Use of Derivatives by Registered Investment Companies and Business Development Companies, IC Release 

No. 34084 (Nov. 2, 2020), Section II.E.2.c. [85 FR 83162, 83210] Dec. 21, 2020. See also Form PF Frequently 

Asked Questions, supra footnote 79, Question 44.1. 

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Calculating certain derivative values. We propose to amend the instruction to provide that, 

(1) for calculating the value of interest rate derivatives, “value” means the 10-year bond equivalent, 

and (2) for calculating the value of options, “value” means the delta adjusted notional value 

(expressed as a 10-year bond equivalent for options that are interest rate derivatives).240 The amended 

instruction would also provide that in determining the value of these derivatives, advisers should not 

net long and short positions or offset trades, but should exclude closed-out positions that are closed out 

with the same counterparty provided that there is no credit or market exposure to the fund. The 

proposed amendments are designed to provide more consistent reporting by advisers, which we 

believe would help support more accurate aggregation of data, better comparisons among funds, and 

a more accurate picture for purposes of assessing systemic risk.241 

Currency Conversions for Reporting in U.S. Dollars. We propose to amend Instruction 15 to 

clarify that if a question requests a monetary value, advisers should provide the information in U.S. 

dollars as of the data reporting date or other requested date (as applicable) and use a foreign exchange 

rate for the applicable date. We also propose to amend Instruction 15 to provide that if a question 

requests a monetary value for transactional data that covers a reporting period, advisers should 

provide the information in U.S. dollars, rounded to the nearest thousand, using foreign exchange rates 

as of the dates of any transactions to convert local currency values to U.S. dollars.242 

We request comment on the proposed amendments to Instruction 15. 

240 See Form PF Glossary of Terms (proposed definition of “10-year bond equivalent” specifies the zero coupon

bond equivalent). 

241 This is consistent with prior staff positions. See Form PF Frequently Asked Questions, supra footnote 79, 

Questions 24.3 and 26.1. 

242 See proposed Instruction 15. 

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202. Should we require reporting of “gross” positions and exposure as proposed? Would 

the proposed approach cause advisers to report misleading data? Would the 

proposed approach cause compliance or operational issues? What other approach 

could we take to obtain consistent data that would better reveal risks associated with 

a particular fund? We understand that most advisers’ risk management systems 

incorporate offsetting or netting methods, but they may take different approaches. 

Should we permit advisers to report using the offsetting or netting methods they use 

internally? Would that provide useful data? Should we instead require advisers to 

offset and net based on a consistent, prescribed method? 

203. The proposal would instruct advisers to not include as “closed-out” a position if the 

position is closed out with the same counterparty and results in no credit or market 

exposure to the fund. Do you agree that the proposed changes would make the 

approach on Form PF with respect to closed out positions consistent with rule 18f-4 

of the Investment Company Act and filers’ current practices? If not, what alternative 

approach do you suggest? 

204. Should we capture derivative exposure differently or request additional measures of 

derivatives? For example, the CFTC’s Form CPO-PQR requires reporting of 

positive/negative open trade equity (OTE), which refers to the amount of unrealized 

gain/loss on open derivative positions. Would this measure improve our ability to 

assess and compare private fund activities and assess systemic risk? 

205. Does reporting to the nearest one hundredth of one percent involve additional 

burdens compared to the current requirement to round to the nearest one percent? 

Would it meaningfully increase the accuracy of the reporting? Would permitting 

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rounding to the nearest one percent on any of the questions on Form PF that request 

information expressed as a percentage reduce burdens on filers? 

206. Are the proposed instructions with respect to classifying long and short positions 

consistent with industry conventions? Are these instructions clear for different types 

of products? If not, how should they be modified? For example, are there any 

elements of the Alternative Investment Fund Managers Directive or Open Protocol 

Enabling Risk Aggregation that would be helpful to incorporate? 

207. The proposal would require that advisers report two or more legs of a transaction –

even if offsetting – as separate positions. This proposed amendment is designed to 

elicit a more consistent presentation of investment and counterparty exposures. We 

understand, however, that this approach may inflate the value of a reporting fund’s

long and short investment exposures in a way that does not represent the adviser’s 

view of a reporting fund’s investment exposures and the associated risks. Is this a 

valid concern? Are there other approaches we should use for investment exposure 

reporting? For example, should we require netting of long and short positions under 

certain conditions (e.g., identical underlying securities and same counterparty) when 

consistent with the adviser’s internal recordkeeping and risk management? Should 

we require advisers to report exposures on both a “gross” basis as well as after all 

netting consistent with the adviser’s internal recordkeeping and risk management? 

208. The proposal would amend the instruction to provide that, (1) for calculating the 

value of interest rate derivatives, “value” means the 10-year bond equivalent, and 

(2) for calculating the value of options, “value” means the delta adjusted notional 

value (expressed as a 10-year bond equivalent for options that are interest rate 

derivatives). Is this approach appropriate? If not, what alternatives do you suggest? 

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209. Are the proposed instructions with respect to reporting in U.S. dollars when a question 

requests a monetary value appropriate? If not, how should they be modified? If a 

reporting fund’s base currency is not U.S. dollars, how and when do advisers convert

the base currency to U.S. dollars? Should Form PF include additional instructions on 

how or when to convert base currency to U.S. dollars? For example, should Form PF 

require advisers to report the conversion rate? Is further specificity needed regarding 

return series, volatility and other percentage measures for funds that have base 

currencies other than the U.S. dollar? 

E. Proposed Additional Amendments 

The proposal would make several additional amendments to the general instructions to Form 

PF. Specifically, we propose to amend Instruction 14 to allow advisers to request a hardship 

exemption electronically to make it easier to submit a temporary hardship exemption,243 and provide, 

by way of an amendment to rule 204(b)-1(f) under the Advisers Act, that for purposes of determining 

the date on which a temporary hardship exemption is filed, “filed” means the earlier of the date the 

request is postmarked or the date it is received by the Commission.244 We are proposing the latter 

change to assist advisers with determining what constitutes a “filed” temporary hardship exemption 

in the context of the requirement that the request be filed no later than one business day after a filer’s 

243 The proposal would also update the mailing address to which advisers requesting a temporary hardship 

exemption should mail their exemption filing, include the email address for submitting electronically the 

adviser’s signed exemption filing in PDF format, add an instruction noting that filers should not complete or file 

any other sections of Form PF if they are filing a temporary hardship exemption. See Proposed Instruction 14. 

The proposal would indicate that the reference regarding the instruction pertaining to temporary hardship 

exemptions should refer to Instruction 14 instead of Instruction 13. See Form PF General Instruction 3, Section 

5 - Advisers requesting a temporary hardship exemption. 

244 We are also amending rule 204(b)-1(f) under the Advisers Act to remove certain filing instructions in the rule for 

temporary hardship exemptions and instead direct filers to the instructions in the form. See 204(b)-1(f)(2)(i) 

(indicating that advisers should complete and file Form PF in accordance with the instructions to Form PF, no 

later than one business day after the electronic Form PF filing was due). 

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electronic Form PF filing was due as required under Instruction 14. Additionally, the proposal would 

amend Instruction 18 based on recent rule changes made by the CFTC with respect to Form CPOPQR. 245 While the CFTC no longer considers Form PF reporting on commodity pools as constituting 

substituted compliance with CFTC reporting requirements, some CPOs may continue to report such 

information on Form PF. 

The proposal would revise the terms “EEA,” which Form PF defines as the European 

Economic Area and “G10,” which Form PF defines as The Group of Ten, to (1) remove outdated 

country compositions and (2) include an instruction that if the composition of the EEA or G10 

changes after the effective date of these proposed amendments to Form PF if adopted, advisers would 

use the current composition as of the data reporting date. This proposed amendment is designed to 

address questions from advisers about whether to report data based on the composition of the EEA 

and G10 as of the effective date of these proposed amendments to Form PF if adopted, or the current 

composition of the EEA and G10, if it changes. 

We request comment on the proposed amendments. 

210. Would the proposed amendments to Instruction 14 and to rule 204(b)-1(f) under the 

Advisers Act make it easier to submit a temporary hardship exemption and assist 

advisers in determining the date on which a temporary hardship exemption is filed? 

If not, are there alternatives? 

211. Would the proposed amendments to the Glossary of Terms appropriately update the 

terms and provide clarification? Is there a better way to meet these objectives? If so, 

please provide examples. 

See Form CPO-PQR Release, supra footnote 56. 

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212. The proposal would amend Instruction 18 based on recent rule changes made by the 

CFTC with respect to Form CPO-PQR. Is this proposed change appropriate? 

213. The proposal would remove the list of country compositions and include an 

instruction that if the composition of the EEA or G10 changes after the effective date 

of these proposed amendments to Form PF (if adopted), advisers would use the 

current composition as of the data reporting date. Is this approach appropriate? If 

not, what alternative approach do you suggest? 

III. Economic Analysis 

A. Introduction 

The SEC is mindful of the economic effects, including the costs and benefits, of the proposed 

amendments. Section 202(c) of the Advisers Act provides that when the SEC is engaging in 

rulemaking under the Advisers Act and is required to consider or determine whether an action is 

necessary or appropriate in the public interest, the SEC shall also consider whether the action will 

promote efficiency, competition, and capital formation, in addition to the protection of investors.246 

The analysis below addresses the likely economic effects of the proposed amendments, including the 

anticipated and estimated benefits and costs of the amendments and their likely effects on efficiency, 

competition, and capital formation. The SEC also discusses the potential economic effects of certain 

alternatives to the approaches taken in this proposal. 

Many of the benefits and costs discussed below are difficult to quantify. For example, the 

SEC cannot quantify the effects of how regulators may adjust their policies and oversight of the 

private fund industry in response to the additional data collected under the proposed rule. Also, in 

some cases, data needed to quantify these economic effects are not currently available and the SEC 

15 U.S.C. 80b-2(c). 

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does not have information or data that would allow such quantification. For example, costs 

associated with the proposal may depend on existing systems and levels of technological expertise 

within the private fund advisers, which could differ across reporting persons. While the SEC has 

attempted to quantify economic effects where possible, much of the discussion of economic effects is 

qualitative in nature. The SEC seeks comment on all aspects of the economic analysis, especially any 

data or information that would enable a quantification of the proposal’s economic effects.

B. Economic Baseline and Affected Parties 

1. Economic Baseline 

As discussed above, the Commissions adopted Form PF in 2011, with additional amendments 

made to section 3 along with certain money market reforms in 2014.247 Form PF complements the 

basic information about private fund advisers and funds reported on Form ADV.248 Unlike Form 

ADV, Form PF is not an investor-facing disclosure form. Information that private fund advisers 

report on Form PF is provided to regulators on a confidential basis and is nonpublic.249 The purpose 

of Form PF is to provide the Commissions and FSOC with data that regulators can deploy in their 

247 See supra footnote 3. When the SEC adopted the amendments to section 3 in 2014 in connection with certain 

money market reforms, it noted that under the proposal it was concerned that some of the proposed money 

market reforms could result in assets shifting from registered money market funds to unregistered products such 

as liquidity funds, and that the proposed amendments were designed to help the SEC and FSOC track any 

potential shift in assets and better understand the risks associated with the proposed money market reforms. See, 

e.g., D. Hiltgen, Private Liquidity Funds: Characteristics and Risk Indicators (DERA White Paper Jan. 2017) 

(“Hiltgen Paper”), available at https://www.sec.gov/files/2017-03/Liquidity%20Fund%20Study.pdf; 2011 Form 

PF Adopting Release; 2014 Form PF Amending Release at 466; Commissioner Aguilar Statement, July 23, 

2014, available at https://www.sec.gov/news/public-statement/2014-07-23-open-meeting-statment-laa. 

248 Investment advisers to private funds report on Form ADV, on a public basis, general information about private 

funds that they advise, including basic organizational, operational information, and information about the fund’s

key service providers. Information on Form ADV is available to the public through the Investment Adviser 

Public Disclosure System, which allows the public to access the most recent Form ADV filing made by an 

investment adviser. See, e.g., Form ADV, available at https://www.investor.gov/introductioninvesting/investing-basics/glossary/form-adv. See also Investment Adviser Public Disclosure, available at 

https://adviserinfo.sec.gov/. 

249 As discussed above, SEC staff publish quarterly reports of aggregated and anonymized data regarding private 

funds on the SEC’s website. See supra footnote 7; see also Private Fund Statistics Q3 2021 

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regulatory and oversight programs directed at assessing and managing systemic risk and protecting 

investors.250 

Private funds and their advisers play an important role in both private and public capital 

markets. These funds, including hedge funds, currently have more than $18.0 trillion in gross private 

fund assets.251 Hedge funds in particular have more than $9.7 trillion in gross private fund assets.252 

Private funds invest in large and small businesses and use strategies that range from long-term 

investments in equity securities to frequent trading and investments in complex instruments. Their 

investors include individuals, institutions, governmental and private pension funds, and non-profit 

organizations. 

Before Form PF was adopted, the SEC and other regulators, including the CFTC, had limited 

visibility into the economic activity of private fund advisers and relied largely on private vendor 

databases about private funds that covered only voluntarily provided private fund data and did not 

represent the total population.253 Form PF represented an improvement in available data about 

private funds, both in terms of its reliability and completeness.254 Generally, investment advisers 

registered (or required to be registered) with the Commission with at least $150 million in private 

fund assets under management must file Form PF. Smaller private fund advisers and all private 

equity fund advisers file annually to report general information such as the types of private funds 

250 See supra section I. 

251 These estimates are based on staff review of data from the Private Fund Statistics report for the third quarter of 

2021, issued in March 2022. Private fund advisers who file Form PF currently have $18.1 trillion in gross assets. 

See Private Fund Statistics Q3 2021. 

252 See Division of Investment Management, Private Fund Statistics, (Aug. 21, 2021), available at 

https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 

253 See, e.g., SEC 2020 Annual Staff Report Relating to the Use of Form PF Data (Nov. 2020), available at 

https://www.sec.gov/files/2020-pf-report-to-congress.pdf. 

254 Id. 

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advised (e.g., hedge funds, private equity funds, or liquidity funds), fund size, use of borrowings and 

derivatives, strategy, and types of investors.255 In addition, large private equity advisers provide data 

about each private equity fund they manage. Large hedge fund and liquidity fund advisers also 

provide data about each reporting fund they manage, and are required to file quarterly.256 

The SEC and other regulators now have almost a decade of experience with analyzing the 

data collected on Form PF. The collected data has helped FSOC establish a baseline picture of the 

private fund industry for the use in assessing systemic risk257 and improved the SEC’s oversight of 

private fund advisers.258 Form PF data also has enhanced the SEC’s and FSOC’s ability to frame 

regulatory policies regarding the private fund industry, its advisers, and the markets in which they 

participate, as well as more effectively evaluate the outcomes of regulatory policies and programs 

directed at this sector, including the management of systemic risk and the protection of investors.259 

Additionally, based on the data collected through Form PF filings, regulators have been able to 

regularly inform the public about ongoing private fund industry statistics and trends by generating 

quarterly Private Fund Statistics reports260 and by making publicly available certain results of staff 

research regarding the characteristics, activities, and risks of private funds.261 As discussed above, 

255 Id. 

256 Id. 

257 See, e.g., OFR, 2021 Annual Report to Congress (Nov. 2021), available 

athttps://www.financialresearch.gov/annual-reports/files/OFR-Annual-Report-2021.pdf; Financial Stability 

Oversight Council, 2020 Annual Report, available at 

https://home.treasury.gov/system/files/261/FSOC2020AnnualReport.pdf. 

258 See, e.g., SEC 2020 Annual Staff Report Relating to the Use of Form PF Data (Nov. 2020), available at 

https://www.sec.gov/files/2020-pf-report-to-congress.pdf. 

259 See supra footnotes 257, 258. 

260 See supra footnote 249. 

261 See, e.g., David C. Johnson and Francis A. Martinez, Form PF Insights on Private Equity Funds and Their 

Portfolio Companies (OFR Brief Series No. 18-01, June 14, 2018), available at 

https://www.financialresearch.gov/briefs/2018/06/14/form-pf-insights-on-private-equity-funds/; Hiltgen Paper; 

G. Aragon, T. Ergun, M. Getmansky, and G. Girardi, Hedge Funds: Portfolio, Investor, and Financing Liquidity, 

(DERA White Paper, May 2017), available at https://www.sec.gov/files/dera_hf-liquidity.pdf; George Aragon, 

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these data may also be used by the CFTC for the purposes of its regulatory programs, including 

examinations, investigations and investor protection efforts.262 

However, this decade of experience with analyzing Form PF data has also highlighted certain 

limitations of information collected on Form PF, including information gaps and situations where 

more granular and timely information would improve the SEC’s and FSOC’s understanding of the 

private fund industry and the potential systemic risk relating to its activities, and improve regulators’

ability to protect investors.

263 For example, as discussed above, when monitoring funds’ activities

during recent market events like the March 2020 COVID-19 turmoil, the existing aggregation of U.S. 

treasury securities with related derivatives did not reflect the role hedge funds played in the U.S 

treasury market.264 Also during the COVID-19 market turmoil, FSOC sought to evaluate the role 

hedge funds played in disruptions in the U.S. treasury market by unwinding cash-futures basis trade 

positions and taking advantage of the near-arbitrage between cash and futures prices of U.S. treasury 

securities. Because the existing requirement regarding turnover reporting on U.S. treasury securities 

is highly aggregated, the SEC staff, during retrospective analyses on the March 2020 market events, 

Tolga Ergun, and Giulio Girardi, Hedge Fund Liquidity Management: Insights for Fund Performance and 

Systemic Risk Oversight (DERA White Paper, Apr. 2021), available at https://www.sec.gov/files/dera_hfliquidity-management.pdf; Mathis S. Kruttli, Phillip J. Monin, and Sumudu W. Watugala, The Life of the 

Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks (OFR Working Paper No. 19-

03, Oct., 2019), available at https://www.financialresearch.gov/working-papers/files/OFRwp-19-03_the-life-ofthe-counterparty.pdf; Mathias S. Kruttli, Phillip J. Monin, Lubomir Petrasek, and Sumudu W. Watugala, Hedge 

Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis (Federal Reserve Board, 

Finance and Economics Discussion Series No. 2021-038, Apr. 2021), available at 

https://www.federalreserve.gov/econres/feds/hedge-fund-treasury-trading-and-funding-fragility-evidence-fromthe-covid-19-crisis.htm; Mathias S. Kruttli, Phillip J. Monin, and Sumudu W. Watugala, Investor Concentration, 

Flows, and Cash Holdings: Evidence from Hedge Funds (Federal Reserve Board, Finance and Economics 

Discussion Series No. 2017-121 Dec. 15, 2017), available at 

https://www.federalreserve.gov/econres/feds/investor-concentration-flows-and-cash-holdings-evidence-fromhedge-funds.htm. 

262 See supra section I. 

263 See supra section I. 

264 See supra section II.C.2.a. 

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was unable to obtain a complete picture of activity relating to long treasuries and treasury futures.265 

The need for more granular and timely information collected on Form PF is further heightened by the 

increasing significance of the private fund industry to financial markets, and resulting regulatory 

concerns regarding potential risks to U.S. financial stability from this sector.266 The SEC’s and 

FSOC’s experiences analyzing Form PF data has also identified certain areas of Form PF where 

questions result in data received that is redundant to other questions, or instructions that result in 

unnecessary reporting burden for some advisers.267 

2. Affected Parties 

The proposal amends the general instructions and basic information reporting requirements 

facing all categories of private fund advisers. As discussed above, these include, but are not limited 

to, advisers to hedge funds, private equity funds, real estate funds, securitized asset funds, liquidity 

265 See supra section II.C.2.d. This also includes the SEC’s and FSOC’s experience analyzing data from multiple 

regulatory filings. For example, one SEC staff paper has used Form PF data and Form N-MPF data to study rule 

2a-7 risk limits and implications of money market reforms. See, e.g., Hiltgen Paper. 

266 The private fund industry has experienced significant growth in size and changes in terms of business practices, 

complexity of fund structures, and investment strategies and exposures in the past decade. See supra footnote 7. 

See also Financial Stability Oversight Council Update on Review of Asset Management Product and Activities 

(2014), available at 

https://www.treasury.gov/initiatives/fsoc/news/Documents/FSOC%20Update%20on%20Review%20of%20Asse 

t%20Management%20Products%20and%20Activities.pdf. 

267 Based on the PRA analysis in section IV.A.3, the current costs associated with filing Form PF report are 

estimated to be $4,173.75 per quarterly filing or $16,695 annually for smaller private fund advisers, $41,737.50 

per quarterly filing or $166,950 annually for large hedge fund advisers, $19,477.50 per quarterly filing or 

$77,910 annually for large liquidity fund advisers, and $27,825 per quarterly filing or $111,300 annually for 

large private equity advisers. The calculation for large liquidity fund advisers incorporates the adjustment 

explained in footnote 9 to Table 6 (yielding an estimate of costs prior to the proposal of $29,216.25/105*70 = 

$19477.50). See Table 6. A 2018 industry survey of large hedge fund advisers observed filing costs that ranged 

from 35% to 72% higher than SEC cost estimates. See Managed Funds Association, “A Streamlined Form PF: 

Reducing Regulatory Burden,” September 17, 2018, p. 3, available at https://www.managedfunds.org/wpcontent/uploads/2018/09/MFA.Form-PF-Recommendations.attachment.final_.9.17.18.pdf. However, a 2015 

academic survey of SEC-registered investment advisers to private funds affirmed the SEC’s cost estimates for 

smaller private fund advisers’ Form PF compliance costs, and observed that the SEC overestimated Form PF

compliance costs for larger private fund advisers. See Wulf Kaal, Private Fund Disclosures Under the DoddFrank Act, 9 Brooklyn Journal of Corporate, Financial, and Commercial Law 428 (2015). 

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funds, and venture capital funds.268 The proposal further amends reporting requirements for large 

hedge fund advisers, including specific revisions for large hedge fund advisers to qualifying hedge 

funds.269 

Hedge funds, the focus of part of the proposal, are one of the largest categories of private 

funds,270 and as such play an important role in the U.S. financial system due to their ability to 

mobilize large pools of capital, take economically important positions in a market, and their extensive 

use of leverage, derivatives, complex structured products, and short selling.271 While these features 

may enable hedge funds to generate higher returns as compared to other investment alternatives, the 

same features may also create spillover effects in the event of losses (whether caused by their 

investment and derivatives positions or use of leverage or both) that could lead to significant stress or 

failure not just at the affected fund but also across financial markets.272 

268 See supra section I. 

269 Form PF currently defines “hedge fund” broadly to include any private fund (other than a securitized asset fund) 

that has any of the following three characteristics: (1) a performance fee or allocation that takes into account 

unrealized gains, or (2) a high leverage (i.e., the ability to borrow more than half of its net asset value (including 

committed capital) or have gross notional exposure in excess of twice its net asset value (including committed 

capital)) or (3) the ability to short sell securities or enter into similar transactions (other than for the purpose of 

hedging currency exposure or managing duration). Any non-exempt commodity pools about which an 

investment adviser is reporting or required to report are automatically categorized as hedge funds. Excluded 

from the “hedge fund” definition in Form PF are vehicles established for the purpose of issuing asset backed 

securities (“securitized asset funds”). See Form PF Glossary of Terms. “Large” hedge fund advisers are those, 

collectively with their related persons, with at least $1.5 billion in hedge fund assets under management as of the 

last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal 

quarter. Qualifying hedge funds are hedge funds that have 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. See supra section II.C. 

270 See infra footnote 273. 

271 See, e.g., Lloyd Dixon, Noreen Clancy, and Krishna B. Kumar, Hedge Fund and Systemic Risk, RAND 

Corporation (2012); John Kambhu, Til Schuermann, and Kevin Stiroh, Hedge Funds, Financial Intermediation, 

and Systemic Risk, Federal Reserve Bank of New York’s Economic Policy Review (2007). 

272 See supra footnotes 257, 266. 

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In the third quarter of 2021, there were 9,484 hedge funds reported on Form PF, managed by 

1,758 advisers, with nearly $9.8 trillion in gross assets under management, which represented 

approximately 54% of assets reported by private fund advisers.

273 Currently, hedge fund advisers 

with between $150 million and $2 billion in regulatory assets (that do not qualify as large hedge fund 

advisers) file Form PF annually, in which they provide general information about funds they advise 

such as the types of private funds advised, fund size, their use of borrowings and derivatives, strategy, 

and types of investors. Large hedge fund advisers (those with at least $1.5 billion in regulatory assets 

under management attributable to hedge funds)

274 file Form PF quarterly, in which they provide data 

about each hedge fund they 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 

(those with 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)

275 than other hedge funds they 

manage during the reporting period. In the third quarter of 2021, there were 2,013 qualifying hedge 

funds reported on Form PF, managed by 592 advisers, with $8.3 trillion in gross assets under 

management, which represented approximately 85 percent of the reported hedge fund assets.276 

Private equity funds are another large category of funds in the private fund industry. In the 

third quarter of 2021, there were 15,835 private equity funds reported on Form PF, managed by 1,455 

advisers, with $4.8 trillion in gross assets under management, which represented over one quarter of 

273 In the third quarter of 2021, hedge fund assets accounted for 54 percent of the gross asset value (“GAV”) 

($9.8/$18.1 trillion) and 42.5 percent of the net asset value (“NAV”) ($5.1/$12.0 trillion) of all private funds

reported on Form PF. Private Fund Statistics Q3 2021 at p. 5. 

274 See supra footnote 269. 

275 Id. 

276 In the third quarter of 2021, qualifying hedge fund assets accounted for 85 percent of the GAV ($8.3/$9.8 

trillion) and 82 percent of the NAV ($4.2/$5.1 trillion) of all hedge funds reported on Form PF. Private Fund 

Statistics Q3 2021 at pp. 4-5. 

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the reported gross assets in the private fund industry.277 Many private equity funds focus on longterm returns by investing in a private, non-publicly traded company or business—the portfolio 

company—and engage actively in the management and direction of that company or business in order 

to increase its value.278 Other private equity funds may specialize in making minority investments in 

fast-growing companies or startups.279 

For the remaining categories of funds (real estate funds, securitized asset funds, liquidity 

funds, venture capital funds, and other private funds), advisers required to file Form PF had, in the 

third quarter of 2021, investment discretion over $3.5 trillion in gross assets under management.280 

These assets were managed by 1,442 fund advisers managing 12,019 funds.281 

Private funds are typically limited to accredited investors and qualified clients such as pension 

funds, insurance companies, foundations and endowments, and high income and net worth 

individuals.282 Private funds that rely on the exclusion from the definition of “investment company”

provided in Section 3(c)(7) of the Investment Company Act are limited to investors that are also 

qualified purchasers (as defined in section 2(a)(51) of the Investment Company Act). Retail U.S. 

277 In the third quarter of 2021, private equity assets accounted for 26 percent of the GAV ($4.8/$18.1 trillion) and 

35 percent of the NAV ($4.1/$12.0 trillion) of all private funds reported on Form PF. Private Fund Statistics Q3 

2021 at p. 5. 

278 After purchasing controlling interests in portfolio companies, private equity advisers frequently get involved in 

managing those companies by serving on the company’s board; selecting and monitoring the management team; 

acting as sounding boards for CEOs; and sometimes stepping into management roles themselves. See, e.g., 

Private Equity Funds, Securities and Exchange Commission, available at https://www.investor.gov/introductioninvesting/investing-basics/investment-products/private-investment-funds/private-equity. 

279 Id. 

280 Private Fund Statistics Q3 2021 at p. 5. 

281 Private Fund Statistics Q3 2021 at p. 4. 

282 See, e.g. Private Equity Funds, Securities and Exchange Commission, (Investor.gov: Private Equity Funds), 

available at https://www.investor.gov/introduction-investing/investing-basics/investment-products/privateinvestment-funds/private-equity; Hedge Funds, Securities and Exchange Commission (Investor.gov: Hedge 

Funds), available at https://www.investor.gov/introduction-investing/investing-basics/investmentproducts/private-investment-funds/hedge-funds. 

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investors with exposure to private funds are typically invested in private funds indirectly through 

public and private pension plans and other institutional investors.283 In the third quarter of 2021, 

public pension plans had $1,586 billion invested in reporting private funds while private pension 

plans had $1,263 billion invested in reporting private funds, making up 13.2 percent and 10.5 percent 

of the overall beneficial ownership in the private equity industry, respectively.284 Private fund 

advisers have also sought to be included in individual investors’ retirement plans, including their

401(k)s.285 

C. Benefits and Costs 

1. Benefits 

The proposal is designed to facilitate two primary goals the SEC sought to achieve with 

reporting on Form PF as articulated in the original adopting release, namely: (1) facilitating FSOC’s 

understanding and monitoring of potential systemic risk relating to activities in the private fund 

industry and assisting FSOC in determining whether and how to deploy its regulatory tools with 

respect to nonbank financial companies; and (2) enhancing the SEC’s abilities to evaluate and 

develop regulatory policies and improving the efficiency and effectiveness of the SEC’s efforts to 

protect investors and maintain fair, orderly, and efficient markets.

286 

The SEC believes the proposal would accomplish these goals in three key ways, each 

discussed in detail in the following sections. First, the proposal would provide for solutions to 

potential reporting errors and issues of data quality when analyzing Form PF filings across advisers 

283 See supra footnotes 251, 282. 

284 Private Fund Statistics Q3 2021 at p. 15. 

285 See, e.g., Dep’t of Labor, Information Letter (June 3, 2020), available at 

https://www.dol.gov/agencies/ebsa/about-ebsa/our-activities/resource-center/information-letters/06-03-2020. 

286 See supra section I. While the proposed amendments are also designed to improve the usefulness of this data for 

the CFTC, this economic analysis does not include the benefits associated with enhancements to the CFTC’s use

of reporting on Form PF. 

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and when analyzing multiple different regulatory filings. Higher quality data across different funds 

and across different regulatory filings can allow the SEC and FSOC to develop an understanding of 

one set of advisers and apply it to other advisers more rapidly, or apply lessons from one financial 

market to other financial markets. This can help the SEC and FSOC develop more effective 

regulatory responses, and help the SEC protect investors by identifying areas in need of outreach, 

examinations, and investigations in response to potential systemic risks, conflicting arrangements 

between advisers and investors, and other sources of investor harm. 

Second, the proposal would help Form PF more completely and accurately capture 

information relevant to ongoing trends in the private fund industry in terms of ownership, size, 

investment strategies, and exposures. This can improve the SEC’s and FSOC’s understanding of new 

developing systemic risks and potential conflicting arrangements, thereby further aiding in the 

development of regulatory responses, and also aiding the SEC in efforts to protect investors by 

identifying areas in need of outreach, examinations, and investigations. 

Third, the proposal would streamline reporting and reduce reporting burdens without 

compromising investor protection efforts and systemic risk analysis. This would improve the 

efficiency and effectiveness of the SEC’s efforts to protect investors and maintain fair, orderly and 

efficient markets. 

The SEC anticipates that the increased ability for the SEC’s and FSOC’s oversight, resulting 

from the proposed amendments, could promote better functioning and more stable financial markets, 

which may lead to efficiency improvements. The SEC does not anticipate significant effects of the 

proposed amendments on competition in the private fund industry because the reported information 

generally would be nonpublic and similar types of advisers would have comparable burdens under the 

amended Form. For similar reasons, the SEC does not anticipate significant effects of the proposed 

amendments on capital formation. 

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The proposal would amend the general instructions (as well as implement additional 

amendments), section 1 (requiring basic information about advisers and the private funds they 

advise), and section 2 (requiring information about hedge funds advised by large private fund 

advisers) of Form PF. The benefits associated with each of these specific elements are discussed in 

greater detail below. 

a. Proposed Amendments to General Instructions, Proposed 

Amendments to Enhance Data Quality, and Proposed Additional 

Amendments 

The proposal would update the Form PF general instructions to revise how all private fund 

advisers satisfy certain requirements on Form PF, it would issue a series of amendments to enhance 

data quality, and it would lastly issue a series of additional amendments.

287 There are five categories 

of such proposals. 

First, the proposal would amend the general instructions for reporting of master-feeder 

arrangements and parallel fund structures.

288 These revisions to the general instructions would 

improve consistency of reporting associated with measuring private fund interconnectedness and 

investment in other private funds by revising instructions for reporting of ownership structures and 

revising instructions that were previously ambiguous and resulted in reporting errors and issues of 

data quality across advisers. For example, as discussed above, Form PF currently provides advisers 

with flexibility to respond to questions regarding master-feeder arrangements, parallel fund 

structures, and use of funds of funds either in the aggregate or separately, as long as they do so 

287 See supra section II.A, II.D, II.E. 

288 See supra section II.A.1. However, an adviser would continue to aggregate these structures for purposes of 

determining whether the adviser meets a reporting threshold. 

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consistently throughout Form PF. The revised instructions would specify how to respond to these 

questions to prevent some advisers from responding in the aggregate and some advisers from 

responding separately.

289 The proposal would also require reporting on the total value of parallel 

managed accounts.290 The SEC anticipates these improved data would assist the SEC and FSOC in 

assessing potential risks to financial stability resulting from increasingly complex ownership and 

investment structures of private funds. While master-feeder arrangements, parallel fund structures, 

and use of funds of funds all allow private funds to benefit from larger pools of capital, diversify risk, 

and enjoy shared returns,291 these same features have inherent risks of spillovers in losses, as losses in 

a master fund or underlying investment of a fund of funds cause losses in connected funds as well. 

Complex ownership structures may also create conflicts of interest when the same individuals serve 

as directors on boards of both master and feeder funds under a single owner,292 and may also mask 

instances of fraud and a private fund’s methods for committing fraud.293 Investor protection efforts 

289 Similar benefits would be obtained from proposed revisions to Instruction 7, which address that advisers to funds 

of funds currently have flexibility to choose whether to disregard a private fund’s equity investments in other 

private funds for all Form PF purposes so long as they do so consistently throughout Form PF. Other proposed 

revisions could also provide benefits associated with consistency of reporting by revising instructions to avoid 

error across filers, such as the revisions to Instruction 8 that the instruction on which investments to include in 

determining reporting thresholds and responding to questions applies only to investments in funds that are not 

private funds, and to provide that advisers would not be required to look through a reporting fund’s investments 

in any other fund that is not a private fund, other than a trading vehicle. See supra section II.A.2. Similar 

benefits would also be obtained from the proposed amendments updating instructions to provide conformity with 

CFTC’s amendments to Form CPO-PQR, including those that specify when advisers that are also CPOs should 

complete particular sections of Form PF. See supra section II.E, see also Proposed Instruction 18. 

290 See supra section II.A.1. 

291 See, e.g., Robert Harris, Tim Jenkinson, Steven Kaplan, Ruediger Stucke, Financial Intermediation in Private 

Equity: How Well Do Funds of Funds Perform?, 129 Journal of Financial Economics 2, 287-305 (Aug. 2018). 

292 See, e.g., Todd Ehret, Platinum Fraud Charges Shine Light On Cayman Director Responsibilities, Reuters 

Financial Regulatory Forum, March 30, 2017 , available at https://www.reuters.com/article/bc-finreg-caymanprivate-structure/platinum-fraud-charges-shine-light-on-cayman-director-responsibilities-idUSKBN17030J. 

293 See, e.g., Melvyn Teo, Lessons Learned from Hedge Fund Fraud, Eureka Hedge, Oct. 2009, available at 

https://www.eurekahedge.com/Research/News/506/Lessons-Learned-From-Hedge-Fund-Fraud. 

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would therefore benefit from more consistent data providing connections from master funds to feeder 

funds and other ownership information. 

Second, the proposal would amend the general instructions for reporting for private funds that 

invest in other funds or trading vehicles.

294 Specifically, the proposal would revise Instructions 7 and 

8 to require advisers to include information pertaining to their trading vehicles when completing 

Form PF.

295 Because private funds may use trading vehicles for a wide variety of purposes, more 

complete and accurate visibility into asset class exposures, position sizes, and counterparty exposures 

relied on by trading vehicles can enhance the SEC’s and FSOC’s systemic risk and financial stability 

assessment efforts and the SEC’s efforts to protect investors by identifying areas in need of outreach, 

examination, or investigation. 

Third, the proposal would amend the general instructions for reporting timelines by revising 

Instruction 9 to require large hedge fund advisers and large liquidity fund advisers to update Form PF 

within a certain number of days after the end of each calendar quarter, rather than each fiscal quarter, 

as Form PF currently requires.296 The SEC anticipates that these amendments would improve the 

consistency of reporting across different private fund advisers, across quarterly and annual filings, 

and across different regulatory forms,297 which may improve the ability of regulators to analyze filing 

294 These proposed amendments would include requiring advisers to include the value of a private fund’s 

investments in other private funds when determining whether the adviser must file Form PF; requiring an adviser 

to include the value of a reporting fund’s investments in other private funds when responding to questions on the 

fund, but to not look through its investments in other private funds when responding to questions about the 

reporting fund’s investment and other activities; amending the general instructions to explain how advisers 

would report information if the reporting fund holds investments or conducts activities through a trading vehicle; 

amending Instruction 8 to indicate that the instruction on which investments to include in determining reporting 

thresholds and responding to questions applies only to investments in funds that are not private funds; and 

providing that advisers would not be required to look through a reporting fund’s investments in any other fund 

that is not a private fund, other than a trading vehicle. See supra section II.A.2. 

295 See supra section II.A.2. 

296 See supra section II.A.3. 

297 See supra section II.A.3. 

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data across fund advisers and across different regulatory forms by resolving reporting errors and 

issues of data quality. These data analyses are important contributors to the SEC’s and FSOC’s

efforts to assess systemic risk and develop a complete picture of private fund markets. The SEC 

anticipates that these improved reporting alignments may enhance the SEC’s and FSOC’s abilities to 

assess potential risks presented by private funds.

298 For example, as discussed above, academic 

research has used Form PF data and Form N-MPF data to study rule 2a-7 risk limits and implications 

of money market reforms.299 Standardizing data across regulatory filings can lead to further industry 

insights from combined regulatory filing data, and these industry insights may improve systemic risk 

assessment and regulator investor protection efforts. However, as discussed above, because almost 

all large hedge fund advisers and large liquidity fund advisers already effectively file on a calendar 

quarter basis because their fiscal quarter ends on the calendar quarter, the SEC anticipates that these 

benefits may be marginal.300 

Fourth, the proposal would issue a series of amendments that impact several sections of Form 

PF and which would broadly enhance data quality by potentially resolving reporting errors and issues 

of data quality. These amendments would specify that reported percentages be rounded to the nearest 

one hundredth of one percent, provide consistent instruction for reporting of investment and 

298 While the amendments to general instructions associated with reporting timelines would primarily offer 

economic benefits associated with improvement in data quality and resolutions to data gaps, the proposed 

amendments to reporting timelines would also provide a potential improvement to regulators’ ability to evaluate 

markets for investor protection efforts and system risk assessment, in that they accelerate the provision of data 

from quarterly reporting. See supra section II.A.3. Moreover, as the proposal would make reporting timelines 

more consistent, there could be reduced costs associated with regulatory filings, as private fund advisers reduce 

their need to track differentiated calendar quarter and fiscal quarter data. 

299 See supra section III.B.1. 

300 See supra section II.A.3. Specifically, and as discussed above, based on staff analysis of Form ADV data as of 

December 2021, 99.2 percent of private fund advisers already effectively file on a calendar basis because their 

fiscal quarter or year ends on the calendar quarter or year end, respectively. The 0.8 percent of private fund 

advisers that have a non-calendar fiscal approach represents approximately 274 private funds, totaling $200 

billion in gross asset value. See supra section II.A.3. 

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counterparty exposures, provide consistent instruction on the reporting of long and short positions, 

and provide consistent instruction for reporting of derivative values.301 We believe the resulting 

improved data quality would improve the ability of the SEC and FSOC to evaluate market risk and 

measure industry trends, thereby increasing the efficiency with which regulatory responses are 

developed, improving systemic risk assessment and regulator programs to protect investors. 

Lastly, the proposal would issue a series of additional amendments that would amend 

instructions related to temporary hardship exemptions, provide conformity with the CFTC’s

amendments to Form CPO-PQR (including those that specify when advisers that are also CPOs 

should complete particular sections of Form PF), and revise definitions of the terms EEA and G10 

within Form PF.302 The additional amendments updating instructions to the temporary hardship 

exemption to Form PF, by way of an amendment to rule 204(b)-1(f) under the Advisers Act, would 

make it easier to submit a temporary hardship exemption and would assist advisers in determining 

what constitutes a “filed” temporary hardship exemption.303 These amendments may facilitate more 

successful submissions of temporary hardship exemptions by private fund advisers who require one, 

and may thereby reduce costs to those private fund advisers. Similarly, by providing conformity with 

the CFTC’s amendments to Form CPO-PQR, including those that specify when advisers that are also 

CPOs should complete particular sections of Form PF, and revising definitions associated with the 

terms EEA and G10, the proposal may reduce confusion for advisers filing Form PF, thereby 

reducing the burden of filing.304 

301 See supra section II.D. 

302 See supra section II.E, Proposed Instruction 18. 

303 See supra section II.E. 

304 See supra section II.E, Proposed Instruction 18. 

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b. Proposed Amendments to Basic Information about the Adviser and 

the Private Funds It Advises 

The proposed amendments to section 1, which requires all private fund advisers to report 

information about the adviser and the private funds they manage, include revisions to section 1a 

(concerning basic identifying information),

305 revisions to section 1b (concerning all of a private fund 

adviser’s private funds),

306 and revisions to section 1c (more specifically concerning all of a private 

fund adviser’s hedge funds).

307 The proposed changes would provide greater insight into all private 

funds’ operations and strategies, and would further assist in assessing industry trends. This section 

discusses how the SEC believes the proposed changes would thereby enhance the SEC’s and FSOC’s

systemic risk assessment efforts and the SEC’s efforts to protect investors by identifying areas in 

need of outreach, examination, or investigation. This would be accomplished in four key ways. 

First, the proposed changes would provide more prescriptive requirements to improve 

comparability across advisers and reduce reporting errors and issues of data quality by aligning data 

across filers and across regulatory filings, based on experience with the form. This greater alignment 

could improve the efficiency with which the SEC and FSOC evaluate market risk and measure 

industry trends, thereby increasing the efficiency with which regulatory responses are developed, 

improving systemic risk assessment and regulator programs to protect investors. For example, 

revisions to section 1a (relating to adviser reporting of identifying information for all private funds 

they advise) would revise instructions on the use of LEIs and RSSD IDs for advisers and related 

persons, and could help link data more efficiently between Form PF and other regulatory filings that 

305 See supra section II.B.1. 

306 See supra section II.B.2. 

307 See supra section II.B.3. 

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use these universal identifiers.308 Several revisions to section 1b (relating to adviser reporting of 

basic information for all private funds they advise) would modify instructions and could prevent 

advisers from inadvertently reporting different fund types on different regulatory filings (or, when 

different reporting on two different forms is appropriate, the revised instructions are designed to 

solicit the reason for differentiated reporting), facilitating more robust data analyses that use 

combined data from multiple regulatory forms.

309 Revisions to section 1c would require advisers to 

indicate which investment strategies best describe the reporting fund’s strategies on the last day of the 

reporting period, addressing any ambiguity about how to report information if the reporting fund 

changes strategies over time.310 The SEC believes these revisions to section 1, and others,311 would 

improve the accuracy and reliability of Form PF data, thereby potentially improving the SEC’s and 

FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial 

instability, as well as potentially improving the SEC’s efforts to protect investors by identifying areas 

in need of outreach, examination, or investigation. 

308 See supra section II.B.1. For example, the proposed reporting of a fund’s and its adviser’s LEI is consistent with 

the way fund relationships are reported in the Global LEI system. See, e.g., LEI ROC, Policy on Fund 

Relationships and Guidelines for the Registration of Investment Funds in the Global LEI System (May 20, 2019), 

available at https://www.leiroc.org/publications/gls/roc_20190520-1.pdf. 

309 See supra section II.B.2. For example, the Division of Investment Management relies on Form PF and Form 

ADV filings in providing quarterly summaries of private fund industry statistics and trends. See, e.g., Division 

of Investment Management, Private Fund Statistics, (Aug. 21, 2021), available at 

https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 

310 See supra section II.B.3. 

311 Other proposed revisions that would provide this benefit include the proposal revising reporting of regulatory 

versus net assets under management; reporting of assumptions the adviser makes in responding to questions on 

Form PF; reporting of types of fund; reporting of master-feeder arrangements, internal/external private funds, 

and parallel fund structures; reporting of monthly gross and net asset values; reporting of the value of unfunded 

commitments; reporting on the value of borrowing activity; reporting of fair value hierarchy; reporting of 

beneficial ownership; reporting of fund performance; more granular reporting of hedge fund strategies; more 

granular reporting of hedge fund counterparty exposures including identification of counterparties representing a 

fund’s greatest exposure; and more granular reporting of hedge fund trading and clearing mechanisms. See 

supra section II.B. 

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Second, the proposal would expand the data collected by the forms into newly emerging areas 

of risk. These expanded areas of reporting broadly capture key trends in (i) private fund advisers’ 

ownership structures, and (ii) private fund advisers’ investment and trading strategies, including 

increasing exposures to new asset classes, changing exposures across different categories of 

counterparties, and increasing use of financial tools for increasing fund performance. 

With respect to updated reporting on ownership structures, as discussed above, interconnected 

ownership structures have inherent risks of spillovers in losses, as losses in a master fund or 

underlying investment of a fund of funds cause losses in connected funds as well, and so enhanced 

data on detailed ownership structures could improve systemic risk assessment efforts.312 These 

improved data could also contribute to efforts to protect investors from conflicts of interest and other 

sources of potential harm.313 The types of enhancements to Form PF’s data on interconnected 

ownership structures include, for example, requiring advisers to provide LEIs for themselves and any 

of their related persons, such as reporting funds and parallel funds,314 and expanding the required 

reporting detail on the value of the reporting fund’s investments in funds of funds.315 Similar to the 

amendments to general instructions, the SEC believes that these revisions would improve 

measurement of these complex ownership structures, thereby potentially improving the SEC’s and 

FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial 

instability, as well as potentially improving the SEC’s efforts to protect investors from conflicting 

arrangements and identify other areas in need of outreach, examination, or investigation.

316 

312 See supra section III.C.1.a. 

313 Id. 

314 See supra section II.B.1. 

315 See supra section II.B.2. 

316 See supra section III.C.1.a. 

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Many revisions would also keep Form PF filings up to date with key developing trends among 

private fund advisers’ investing and trading practices. These revisions would improve consistency of 

reporting of modern private fund issues across fund advisers, provide more complete and accurate 

information on developing trends, and improve the SEC’s and FSOC’s abilities to effectively and 

efficiently assess new systemic risks and other potential sources of investor harm, as well as inform 

the SEC’s and FSOC’s broader views on the private fund landscape. 

For example, in Form PF section 1c, the proposal would require hedge funds to report 

whether their investment strategy includes digital assets,317 which are a growing and increasingly 

important area of hedge fund strategy.318 The proposal would therefore help the SEC and FSOC to 

assess new sources of potential systemic risk and develop regulatory responses, and would further 

allow the SEC to analyze new areas of potential investor harm to determine any necessary outreach, 

examination, or investigation. 

As another example, the proposal would introduce several questions on counterparty 

exposures, corresponding to both CCP exposures and bilateral counterparty (i.e., non-CCP) 

exposures. These additions to Form PF include requiring advisers to report hedge fund borrowing, 

lending, and collateral with respect to transactions involving both their bilateral counterparties and 

CCPs, requiring reporting of hedge fund derivative and repo activity that was cleared by a CCP (as 

well as activity not cleared by a CCP), and instructing advisers on what exposures to net.

319 There 

317 See supra section II.B.3. 

318 See, e.g., AIMA, PwC, and Elwood Asset Management, 3rd Annual Global Crypto Hedge Fund Report 2021, 

available at https://www.aima.org/educate/aima-research/third-annual-global-crypto-hedge-fund-report2021.html (concluding that approximately a fifth of hedge funds were investing in such assets in 2021, with on 

average three percent of their total hedge fund assets under management invested, and 86 percent of those hedge 

funds intended to deploy more capital into this asset class by the end of 2021); see also supra footnote 111 and 

accompanying text. 

319 See supra section II.B.3. 

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are two economic considerations associated with counterparty exposure reporting on Form PF. First 

and foremost, bilateral exposures and CCP exposures have different risk profiles, with CCPs offering 

risk reduction mechanisms and other economic benefits by netting trading across counterparties and 

across different assets within an asset class or by centralizing clearance and settlement activities.

320 

The SEC therefore believes the proposal could help Form PF provide insight into relative trends in 

bilateral trading versus central counterparty trading and resulting systemic risks from counterparty 

exposures. Second, while CCPs reduce the systemic risk associated with the failure of any single 

hedge fund or other private fund, the failure of a large CCP itself could potentially represent a 

substantial systemic risk event in the future.

321 While a systemic risk event such as the failure of a 

CCP has never occurred in the United States, CCPs in other countries have failed,322 and the SEC 

believes the proposal could help Form PF provide new insights into the potential for such systemic 

risk events in the future. FSOC has also designated many CCP institutions as “systemically 

important,”323 and recommends that regulators continue to coordinate to evaluate threats from both 

default and non-default losses associated with CCPs.324 

The SEC therefore believes these revisions, and others like them,325 would help the SEC and 

FSOC better understand the modern landscape of the private fund industry, thereby potentially 

320 Siro Aramonte and Wenqian Huang, Costs and Benefits of Switching to Central Clearing, BIS Quarterly Review 

(Dec. 2019), available at https://www.bis.org/publ/qtrpdf/r_qt1912z.htm; Albert J. Menkveld & Guillaume 

Vuillemey, The Economics of Central Clearing, 13 ANN. REV. FIN. ECON. 153 (2021). 

321 Id. 

322 For example, the Hong Kong Futures Guarantee Corporation failed during the stock market crash of 1987. See 

Menkveld & Vuillemey, supra footnote 320. 

323 Financial Stability Oversight Council, 2012 Annual Report, Appendix A, available at 

https://home.treasury.gov/system/files/261/2012-Annual-Report.pdf. 

324 Financial Stability Oversight Council, 2021 Annual Report, p. 14, available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. 

325 Other proposed revisions that would provide this benefit include the proposal reporting of withdrawal and 

redemption rights; reporting of other inflows and outflows; more granular reporting of hedge fund strategies; 

more granular reporting of hedge fund counterparty exposures including identification of counterparties 

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improving the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to 

assess broader financial instability, as well as potentially improving the SEC’s efforts to protect 

investors by identifying areas in need of outreach, examination, or investigation. 

Third, there are revisions that would expand the scope of certain questions from only covering 

qualifying hedge funds advised by large hedge fund advisers to covering all hedge funds advised by 

any private fund adviser. By expanding the universe of private funds that are covered by several 

questions, the proposal would enhance the SEC’s and FSOC’s ability to conduct broad, representative 

measurements regarding the private fund industry. For example, the proposal would require all 

advisers to report whether each reporting fund they advise provides investors with withdrawal or 

redemption rights in the ordinary course, rather than only requiring large hedge fund advisers to 

report it for the qualifying hedge funds they advise, as Form PF currently requires.326 Because the 

activities of private fund advisers may differ significantly depending on their size, this enhanced 

coverage would potentially enhance regulators’ abilities to obtain a representative picture of the 

private fund industry and lead to more robust conclusions regarding emerging industry trends and 

characteristics. The SEC believes these proposed amendments, and others,327 would enhance 

regulator’s picture of the private fund industry, thereby potentially improving the SEC’s and FSOC’s

efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial instability, 

as well as potentially improving the SEC’s efforts to protect investors by identifying areas in need of 

outreach, examination, or investigation. 

representing a fund’s greatest exposure; and more granular reporting of hedge fund trading and clearing 

mechanisms. See supra section II.B. 

326 See supra section II.B.2. 

327 The proposed revisions to reporting of base currency would provide similar benefits. See supra section II.B. 

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Lastly, certain proposed changes would streamline reporting and reduce reporting burden by 

removing certain questions where other questions provide the same or superseding information. For 

example, the proposal would remove current Question 19, which requires advisers to hedge funds to 

report whether the hedge fund has a single primary investment strategy or multiple strategies, and 

would also remove current Question 21, which requires advisers to hedge funds to approximate what 

percentage of the hedge fund’s net asset value was managed using high frequency trading 

strategies.328 The SEC believes that these revisions would directly lower the costs and help reduce 

part of the burden on advisers of completing Form PF filings.329 

c. Proposed Amendments to Information about Hedge Funds Advised 

by Large Private Fund Advisers 

The proposed changes to section 2 would provide greater insight into operations and strategies 

into hedge funds advised by large private fund advisers specifically, and would also assist in 

assessing broader hedge fund industry trends. This section discusses how the SEC believes the 

proposed changes would thereby enhance the SEC’s and FSOC’s investor protection and systemic 

risk assessment efforts. This would be accomplished in three key ways. 

As with section 1, first, the proposed changes would provide more prescriptive requirements 

to improve comparability across advisers and reduce reporting errors and issues of data quality, based 

on experience with the form. This would be accomplished by standardizing reporting of information 

across different advisers and across different regulatory filings. For example, the proposed 

amendments to Question 30 (on qualifying hedge fund exposures to different types of assets) would 

328 See supra section II.B.3. 

329 These benefits from streamlined reporting and reduced reporting burden would be offset by increased costs 

associated with the additional and more granular detail that would be required on Form PF under the 

proposal. See infra section III.C.2, IV.A.3. 

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replace the existing complex table in Question 30 with reporting instructions that would use a series 

of drop-down menu selections and provide additional narrative reporting instructions and additional 

information on how to report exposures.

330 Similarly, advisers to qualifying hedge funds would now 

be required to report the 10-year zero coupon bond equivalent for all sub-asset classes with interest 

rate risk, rather than providing advisers with a choice to report duration, WAT, or an unspecified 10-

year equivalent.331 Several revisions (relating to adviser reporting of basic information for all hedge 

funds that it advises) would revise instructions relating to reporting of adjusted long and short 

exposures and market factor effects on a hedge fund’s portfolio.332 These revisions could potentially 

prevent, for example, data errors associated with reporting of long and short components of a 

portfolio or discrepancies across advisers in their choices of which market factors to report (as Form 

PF currently allows advisers to omit a response to any market factor that they do not regularly 

consider in formal risk management testing).333 As another example, the proposal would provide for 

a new sub-asset class in investment exposure reporting for ADRs, in line with how ADRs are 

reported on the CFTC’s Form CPO-PQR, potentially improving assessment of currency risk across 

regulatory filings.334 As a final example, the proposal would revise reporting for positions held 

physically, synthetically, or through derivatives and indirect exposure, and would require reporting 

turnover on a per fund basis instead of in the aggregate as well as providing for more granular 

330 See supra section II.C.2. 

331 Id. 

332 See supra section II.C.2.a; II.C.2.c. 

333 Id. For example, higher quality data on short positions could facilitate more accurate and timely identification of 

significant market participants during periods of volatility related to shorting activity, such as the January 2021 

“meme stock” episodes. See, e.g., Staff Report on Equity and Options Market Structure Conditions in Early 

2021 (Oct. 14, 2021), available at https://www.sec.gov/files/staff-report-equity-options-market-structionconditions-early-2021.pdf. 

334 See supra section II.C.2.a. 

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reporting of turnover.

335 The SEC believes these revisions, and others,336 would align Form PF data 

across filers, thereby potentially improving the efficiency with which the SEC and FSOC evaluate 

market risk and measure industry trends, thereby increasing the efficiency with which regulatory 

responses are developed, improving systemic risk assessment and regulatory programs to protect 

investors. 

Second, the proposed changes would help Form PF provide greater insight into newly 

emerging areas of risk, including increasing exposures to new asset classes, changing exposures 

across different categories of counterparties, and changing risk management practices (such as 

changing practices around posting of collateral). The SEC believes these proposed changes would 

help Form PF more completely and accurately capture information relevant to ongoing trends in the 

private fund industry. For example, in addition to the more general investment strategy questions in 

section 1c described above,337 section 2b would define the term “digital asset” and would require 

large advisers to qualifying hedge funds to report their total exposures to digital assets.338 As another 

example, large advisers to qualifying hedge funds would be required to report exposures to additional 

335 As discussed above, when monitoring funds’ activities during recent market events like the March 2020 COVID19 turmoil, the existing aggregation of U.S. treasury securities with related derivatives did not reflect the role 

hedge funds played in the U.S treasury market. See supra section II.C.2.a, III.B.1. Also during the COVID-19 

market turmoil, FSOC sought to evaluate the role hedge funds played in disruptions in the U.S. treasury market 

by unwinding cash-futures basis trade positions and taking advantage of the near-arbitrage between cash and 

futures prices of U.S. treasury securities. Because the existing requirement regarding turnover reporting on U.S. 

treasury securities is highly aggregated, the SEC staff, during retrospective analyses on the March 2020 market 

events, was unable to obtain a complete picture of activity relating to long treasuries and treasury futures. See 

supra section II.C.2.d, III.B.1. 

336 Other proposed revisions that would provide this benefit include the proposal revising reporting of reportable 

sub-asset classes, including those for certain categories of listed equity securities, repos, asset-backed securities 

and other structured products, derivatives, and cash and commodities; revising reporting of open and large 

position reporting; revising reporting of counterparty exposures including reporting of significant counterparties; 

revising currency reporting; requiring significant country and industry exposure; requiring additional reporting 

on fund portfolio risk profiles; requiring more granular reporting of investment performance by strategy; 

amending reporting of portfolio liquidity; and amending reporting of financing liquidity. See supra section II.C. 

337 See supra section III.C.1.b. 

338 See supra section II.C.2.a. 

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commodity sub-asset classes (e.g., other (non-gold) precious metals, agricultural commodities, and 

base metal commodities).339 They would also be required to report all other counterparties (by name, 

LEI, and financial institution affiliation) to which a fund has net mark-to-market exposure after 

collateral that equals or is greater than either (1) five percent of a fund’s net asset value or (2) $1 

billion, facilitating regulators’ abilities to understand the impact a particular counterparty failure like 

those that occurred during the 2008 financial crisis and in the period since (e.g., the failure of MF 

Global in 2011).

340 Advisers would also be required to report certain of their exposures to CCPs,341 

and would be required to report each CCP (or other third party) holding collateral in respect of 

cleared exposures in excess of 5 percent of the fund’s net asset value, or $1 billion.

342 As discussed 

above, these (and other) new granular reporting requirements would represent new possible sources 

of systemic risk for the SEC and FSOC to evaluate, and also new areas of focus for the SEC’s

regulatory outreach, examination, and investigation.343 The SEC believes these revisions, and 

others,344 would improve the SEC’s and FSOC’s efforts to assess developing systemic risks and 

339 See supra section II.C.2.a. 

340 See supra section II.C.2.a, footnote 198 and accompanying text. 

341 See supra section II.C.2.b. 

342 See supra section II.C.2.d. 

343 See supra section III.C.1.b. For example, the SEC believes the addition of a base metal commodities sub-asset 

class would allow for identification of large players in the base metals market (such as those impacted by the 

March 2022 “nickel squeeze,” during which the price of nickel rose unusually steeply and rapidly in response to 

commodity price increases caused by Russia’s invasion of Ukraine). See supra footnote 176. 

344 Other proposed revisions that would provide this benefit include revising reporting for positions held physically, 

synthetically, or through derivatives and indirect exposure; revising reportable sub-asset classes, including those 

for certain categories of listed equity securities, repos, asset-backed securities and other structured products, 

derivatives, and other cash and commodities; further revising reporting of counterparty exposures including 

reporting of significant counterparties (in addition to the revisions to CCP exposures); revising currency 

reporting; requiring more granular reporting of turnover; requiring significant country and industry exposure; 

requiring additional reporting on fund portfolio risk profiles; requiring more granular reporting of investment 

performance by strategy; requiring new reporting on portfolio correlation; amending reporting of portfolio 

liquidity; and amending reporting of financing liquidity. See supra section II.C. 

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FSOC’s efforts to assess broader financial stability, as well as potentially improve the SEC’s efforts 

to protect investors by identifying areas in need of outreach, examination, or investigation. 

Lastly, the proposal would remove certain questions where other questions provide the same 

or superseding information, which the SEC believes would streamline reporting and reduce reporting 

burden. For example, the proposal would remove section 2a entirely, proposing that the aggregated 

345 information in section 2a is redundant to information required to be reported in other sections, and

would remove the requirement from Question 38 for advisers to report the percentage of the total 

amount of collateral and other credit support that a fund has posted to counterparties that may be rehypothecated.346 The SEC believes that these revisions, and others,347 would directly lower the costs 

and reduce the burden to advisers of completing Form PF filings. 

2. Costs 

The proposed amendments to Form PF would lead to certain additional costs for private fund 

advisers. Any portion of these costs that is not borne by advisers would ultimately be passed on to 

private funds’ investors. These costs would vary depending on the scope of the required information, 

which is determined based on the size and types of funds managed by the adviser as well as each 

fund’s investment strategies, including choices of asset classes and counterparties. These costs are 

quantified, to the extent possible, by examination of the analysis in section IV.A.3. 

The SEC anticipates that the costs to advisers associated with Form PF would be composed of 

both direct compliance costs and indirect costs. Direct costs for advisers would consist of internal 

345 See supra section II.C.1. 

346 See supra section II.C.1. 

347 Other proposed revisions that would provide this benefit include the proposal consolidating Question 47 into 

Question 36; removing the requirement from Question 38 for advisers to report the percentage of the total 

amount of collateral and other credit support that a fund has posted to counterparties that may be rehypothecated; and requiring reporting turnover on a per fund basis instead of in the aggregate. See supra section 

II.C. 

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costs (for compliance attorneys and other non-legal staff of an adviser, such as computer 

programmers, to prepare and review the required disclosure) and external costs (including filing fees 

as well as any costs associated with outsourcing all or a portion of the Form PF reporting 

responsibilities to a filing agent, software consultant, or other third-party service provider).348 

The SEC believes that the direct costs associated with the proposed amendments would be 

most significant for the first updated Form PF report that a private fund adviser would be required to 

file because the adviser would need to familiarize itself with the new reporting form and may need to 

configure its systems to gather the required information efficiently. In subsequent reporting periods, 

the SEC anticipates that filers would incur significantly lower costs because much of the work 

involved in the initial report is non-recurring and because of efficiencies realized from system 

configuration and reporting automation efforts accounted for in the initial reporting period. This is 

consistent with the results of a survey of private fund advisers, finding that the majority of 

respondents identified the cost of subsequent annual Form PF filings at about half of the initial filing 

349 cost. 

The SEC anticipates that the proposed amendments aimed at improving data quality and 

comparability would impose limited direct costs on advisers given that advisers already accommodate 

similar requirements in their current Form PF reporting and can utilize their existing capabilities for 

preparing and submitting an updated Form PF. The SEC expects that most of the costs would arise 

from the proposed requirements to report additional and more granular information on Form PF. 

These direct costs would mainly include an initial cost to setup a system for collecting, verifying 

348 See section IV.A.3 (for an analysis of the direct costs associated with the new Form PF requirements for 

quarterly and annual filings). 

349 See Wulf Kaal, Private Fund Disclosures Under the Dodd-Frank Act, 9 Brooklyn Journal of Corporate, 

Financial, and Commercial Law 428 (2015). 

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additional more granular information, and limited ongoing costs associated with periodic reporting of 

this additional information.350 We believe that the proposed amendment to rule 204(b)-1(f) under the 

Advisers Act would have minimal costs associated with it, as the proposed amendment only makes it 

easier to submit a temporary hardship exemption and assists advisers in determining what constitutes 

a “filed” temporary hardship exemption.351 As discussed in the benefits section, the SEC believes 

that part of the costs to advisers arising from the proposed amendments would be mitigated by the 

cost savings resulting from reduced ambiguities and inefficiencies that currently exist in the reporting 

requirements, as this may reduce the amount of time and effort required for some advisers to prepare 

and submit Form PF information.352 

350 Based on the PRA analysis in section IV.A.3, initial costs associated with filing the first updated Form PF report 

are estimated to increase by $4,790 for smaller private fund advisers, $15,557 for large hedge fund advisers, 

$8,780 for large liquidity fund advisers, and $8,780 for large private equity advisers. These figures are 

calculated as the cost of filing under the proposal minus the cost of filing prior to the proposal for each category 

of adviser. See Table 5. Direct internal compliance costs associated with the proposal are estimated at $1,866.25 

per quarterly filing or $7,465 annually for smaller private fund advisers. Direct internal compliance costs 

associated with the proposal are estimated at $6,582.5 per quarterly filing or $26,330 annually for large hedge 

fund advisers. Direct internal compliance costs associated with the proposal are estimated at $3,172.5 per 

quarterly filing or $12,690 annually for large liquidity fund advisers. Direct internal compliance costs associated 

with the proposal are estimated at $3,885 per quarterly filing or $15,540 annually for large private equity 

advisers. These figures are calculated as the cost of filing under the proposal minus the cost of filing prior to the 

proposal for each category of adviser, with an additional correction for large liquidity fund advisers to 

incorporate the adjustment explained in footnote 9 to Table 6 (yielding an estimate of costs prior to the proposal 

of $29,216.25/105*70 = $19477.50). See Table 6. It is estimated that there will be no additional direct external 

costs and no changes to filing fees associated with the proposed amendments. See Table 8. The SEC anticipates 

that there may be additional first-time filing costs for filers who do not currently file on a calendar quarter basis, 

but that these costs are likely to be small and not likely to impact subsequent filings beyond the first. As 

discussed above, a 2018 industry survey of large hedge fund advisers found filing costs that ranged from 35% to 

72% higher than SEC cost estimates. These industry cost estimates would therefore suggest costs associated 

with the proposed changes to Form PF that are potentially 35% to 72% higher than those estimated here. See 

MFA Letter to Chairman Clayton, supra note 202, at 3. However, a 2015 survey of SEC-registered investment 

advisers to private funds affirmed the SEC’s cost estimates for smaller private fund advisers’ Form PF

compliance costs, and found that the SEC overestimated Form PF compliance costs for larger private fund 

advisers. These academic literature cost estimates would therefore suggest that the costs associated with the 

proposed changes to Form PF estimated here are potentially conservatively large. See Wulf Kaal, Private Fund 

Disclosures Under the Dodd-Frank Act, 9 Brooklyn Journal of Corporate, Financial, and Commercial Law 428 

(2015). See also supra footnote 267. 

351 See supra section II.E. 

352 The proposal also seeks to limit unnecessary costs by avoiding redundancies between new questions and existing 

questions. For example, if the proposal is adopted, the SEC would remove current Question 22, as it would be 

redundant in light of the proposed expanded turnover reporting. See supra footnote 214. 

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Indirect costs for advisers would include the costs associated with additional actions that 

advisers may decide to undertake in light of the additional reporting requirements on Form PF. 

Specifically, to the extent that the proposed amendments provide an incentive for advisers to improve 

internal controls and devote additional time and resources to managing their risk exposures and 

enhancing investor protection, this may result in additional expenses for advisers, some of which may 

be passed on to the funds and their investors. 

Form PF collects confidential information about private funds and their trading strategies, and 

the inadvertent public disclosure of such competitively sensitive and proprietary information could 

adversely affect the funds and their investors. However, the SEC anticipates that these adverse 

effects would be mitigated by certain aspects of the Form PF reporting requirements and controls and 

systems designed by the SEC for handling the data. For example, because data on Form PF generally 

could not, on its own, be used to identify individual investment positions, the ability of a competitor 

to use Form PF data to replicate a trading strategy or trade against an adviser is limited. The SEC has 

controls and systems for the use and handling of the proposed modified and new Form PF data in a 

manner that reflects the sensitivity of the data and is consistent with the maintenance of its 

confidentiality. The SEC has substantial experience with the storage and use of nonpublic 

information reported on Form PF as well as other nonpublic information that the SEC handles in the 

course of business. 

D. Reasonable Alternatives 

1. Alternatives to Proposed Amendments to General Instructions, Proposed 

Amendments to Enhance Data Quality, and Proposed Additional Amendments 

The SEC has considered alternatives to the proposed amendments to general instructions, 

proposed amendments to enhance data quality, and the proposed additional amendments considered 

in this proposal (including the amendments to the process for requesting temporary hardship 

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exemptions, by way of an amendment to rule 204(b)-1(f) under the Advisers Act). The alternatives 

considered have been in the form of different choices of framing, level of additional detail requested 

by Form PF, level of detail removed from Form PF, and precise information targeted. 

For example, in the general instructions, the SEC considered an alternative that would require 

advisers to report only at the master fund level or only at the feeder fund level. As another example, 

with respect to trading vehicles, the proposal currently would require advisers to report a trading 

vehicle as a separate reporting fund, the adviser must report the trading vehicle as a hedge fund, 

qualifying hedge fund, liquidity fund, private equity fund, or other type of fund, if it meets certain 

requirements, but the SEC considered an alternative that would only require advisers to report trading 

vehicles as investments in another fund. As a final example, the SEC considered requiring annual 

filers to file within 30 calendar days after the end of their fiscal year, rather than 120 calendar days. 

While many alternatives may be able to capture more detailed information, or may be able to 

capture relevant information with a smaller reporting burden for advisers, the SEC believes that each 

of the amendments to general instructions, amendments to enhance data quality, and additional 

amendments as proposed improve data quality and enhance the usefulness of reported data without 

imposing undue reporting burden. As discussed above we request suggestions and comments on each 

proposed revision and addition.353 

2. Alternatives to Proposed Amendments to Basic Information about the 

Adviser and the Private Funds It Advises 

The SEC has also considered alternatives to the proposed amendments to basic information 

about advisers and the private funds they advise. As above, these alternatives are in the form of 

See supra section II.A, II.D, II.E. 

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different choices of framing, level of additional detail requested by Form PF, level of detail removed 

from Form PF, and precise information targeted. 

For example, with respect to identifying information for private funds in section 1a, the SEC 

considered an alternative that would provide more granularity for advisers to list categories of funds, 

such as differentiating between different types of funds of funds (for example, differentiating between 

multi-manager funds of funds and multi-asset funds of funds). As another example, with respect to 

basic information reported for all private funds in section 1b, the SEC considered alternatives that 

would limit reporting information about withdrawal rights, redemption rights, and contributions to 

only funds and advisers of a certain size. The SEC also considered various alternatives with respect 

to reporting of digital assets, such as distinguishing between digital assets that represent an ability to 

convert or exchange the digital asset for fiat currency or another asset, including another digital asset, 

and those that do not represent such a right to convert or exchange; for digital assets that represent a 

right to convert or exchange for fiat currency or another digital asset, those where the redemption 

obligation is supported by an unconditional guarantee of payment, such as some “central bank digital

currencies,” and those redeemable upon demand from the issuer, whether or not collateralized by a 

pool of assets or a reserve; for digital assets that do not represent any direct or indirect obligation of 

any party to redeem; and for digital assets that represent an equity, profit, or other interest in an 

entity. As a final example, with respect to basic information reported for all hedge funds, the 

proposal would currently require advisers to identify each creditor or other counterparty (including 

CCPs) to which the reporting fund owes cash and synthetic financing borrowing (before posted 

collateral) equal to or greater than either (1) five percent of net asset value of the reporting fund as of 

the data reporting date or (2) $1 billion, but the SEC considered alternatives that would change the 

proposed thresholds, either increasing or decreasing Form PF’s definition of what constitutes a 

significant counterparty. 

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The SEC believes that each of the amendments as proposed improve data quality and enhance 

the usefulness of reported data without imposing undue reporting burden, but as discussed above we 

request suggestions and comments on each proposed revision and addition.354 

3. Alternatives to Proposed Amendments to Information about Hedge Funds 

Advised by Large Private Fund Advisers 

The SEC has considered alternatives to the proposed amendments to information about hedge 

funds advised by large private fund advisers. As above, these alternatives are in the form of different 

choices of framing, level of additional detail requested by Form PF, level of detail removed from 

Form PF, and precise information targeted. 

For example, with respect to investment exposure reporting, the proposal would continue to 

require reporting on qualifying hedge fund exposures to different types of assets, but would revise the 

instructions and format of this reporting. As an alternative, the SEC considered a proposal that would 

require or permit large hedge fund advisers to file portfolio position-level information for qualifying 

hedge funds similar to what is required for large liquidity fund advisers, and large hedge fund 

advisers who do so would be allowed to forgo responding to certain specific investment exposure 

questions in section 2, including Question 30. We believe that the questions as currently proposed 

improve data quality and enhance the usefulness of reported data without imposing undue reporting 

burden, but we request comment on each proposed revision and addition.

355 

As another example, the SEC considered alternative approaches for instructing reporting 

advisers on how to net long and short positions for each sub-asset class. One prong of the proposed 

instructions for netting long and short positions relies on a newly defined term “reference asset,” with 

354 See supra section II.B. 

355 See supra section II.C. 

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which we propose to define as “a security or other investment asset to which the reporting fund is 

exposed through direct ownership, synthetically, or indirect ownership,”356 and instructs advisers to 

net positions that have the same underlying reference asset across instrument types. The SEC has 

considered instead tailoring these instructions to different asset classes. For example, the SEC 

considered instructing advisers to net repo exposures in accordance with GAAP rules for balance 

sheet netting, or instructing advisers with exposures whose underlying reference assets are treasury 

securities to net within predefined maturity buckets. However, the SEC believes that providing 

netting instructions through the proposed single definition of “reference asset” improves data quality 

and enhances the usefulness of report data without imposing undue burden.357 

As final example, the SEC also considered requiring advisers to report DV01 instead of the 

10-year zero coupon bond equivalent. We understand that the 10-year zero coupon bond equivalent 

is the most widely used duration measure currently applied in the industry, and would require the 

fewest number of private funds to update their calculations of duration to comply with the reporting 

requirement, but as discussed above the SEC requests comment on whether DV01 would be a more 

appropriate reporting requirement.

358 

Broadly, the SEC believes that each of the amendments as proposed improve data quality and 

enhance the usefulness of reported data without imposing undue reporting burden, but as discussed 

above we request suggestions and comments on each proposed revision and addition.359 

356 See Proposed Form PF Glossary of Terms. The proposal would also instruct advisers to net fixed income 

positions that fall within certain predefined maturity buckets. See supra section II.C. 

357 See supra section II.C. 

358 See supra section II.C. 

359 See supra section II.C. 

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4. Alternatives to the Definition of the Term “Hedge Fund”

The SEC has also considered amending the definition of “hedge fund” which is defined in the 

Glossary of Terms as 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).360 As noted above, the current definition of “hedge fund” 

is designed to include any private fund having any one of three common characteristics of a hedge 

fund: (1) a performance fee, (2) leverage, or (3) short selling. In particular, this existing definition in 

Form PF of “hedge fund” focuses on a reporting fund’s ability to engage in certain borrowing and 

short selling, rather than actual or intended borrowing and short selling. Some reporting funds may 

consider themselves “private equity funds,” but advisers report them as hedge funds, because the 

reporting fund’s governing documents permit the fund to engage in certain borrowing and short 

selling (even though it did not do so at any time in the past 12 months). 

As discussed above, hedge funds and private equity funds are two separate categories of 

private funds, and typically differ in their characteristics, such as a hedge fund being more likely to 

engage in extensive use of (non-subscription lines of credit) leverage, derivatives, complex structured 

products, and short selling, and a private equity fund being more likely to focus on long-term returns 

See supra section II.C. 

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and engage actively in the management and direction of the companies it invests in.361 Under the 

existing definition, an adviser to a fund that holds itself out as a private equity fund and is permitted 

in its fund governing documents to engage in certain short-selling, but has not done so in the past 12 

months, would be reported in Form PF data as a hedge fund with zero short exposure. Depending on 

how widespread this definitional mismatch is, it could have an impact on data quality.362 

Accordingly, the SEC is requesting additional information on the issue.363 In doing so, the 

SEC is requesting comment on a potential alternative definition of “hedge fund,” under which, to 

qualify as a hedge fund under the leverage prong of the potential alternative definition, a fund would 

have to satisfy subsection (b) of the definition (the leverage prong), as it does today, but also must 

have actually borrowed or used any leverage during the past 12 months, excluding any borrowings 

secured by unfunded commitments (i.e., subscription lines of credit). Additionally, to qualify as a 

hedge fund under the short selling prong of the potential alternative definition (the short selling 

prong), the fund must have actually engaged in certain short selling during the past 12 months. The 

SEC also considered alternative definitions requiring, for example, longer or shorter time periods, 

different time periods for borrowing versus short selling, or requirements for the reporting fund to 

provide redemption rights in the ordinary course. 

A revised definition could better ensure advisers report information in closer accordance with 

their characteristics.364 For example, an adviser to a private fund that has actually engaged in short 

361 See supra section III.B.2. 

362 The SEC does not have data on how many reporting funds would be considered deemed hedge funds, but the 

SEC estimates that up to 30 percent of qualifying hedge funds could be deemed hedge funds that advisers should 

report as private equity funds. See Form PF data from current Question 49(a), as of the third quarter of 2021. 

363 See supra section II.C. 

364 This benefit may be mitigated to the extent that any private fund advisers deliberately seek to fill hedge fund 

reporting requirements because they believe their burden of reporting the hedge fund sections of Form PF is 

lower than the burden they would face from reporting the private equity sections of Form PF. Any such private 

fund advisers could, under the proposed definition, have their funds take on de minimis leverage or short selling, 

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selling in the preceding 12 months would meet this alternative definition of hedge fund and thus 

report the value of its short positions as part of section 2, Item B.365 Meanwhile, for example, an 

adviser to a private fund that holds itself out as a private equity fund, has not borrowed or used any 

leverage during the preceding 12 months (excluding subscription lines of credit), and has not sold 

securities or other assets short (or entered into similar transactions) would not meet this alternative 

definition of a hedge fund, and would report information more relevant for a private equity fund such 

as, among other items, the average debt-to-equity ratio of its portfolio investments.366 The SEC also 

believes an alternative definition would reduce the unnecessary reporting burden faced by advisers to 

deemed hedge funds that hold themselves out as private equity funds but currently comply with 

instructions to report information on Form PF section 2; however, this benefit would be partially 

mitigated by the impacted private fund advisers who would now need to report on necessary Form PF 

sections for private equity fund advisers.367 

and therefore still be instructed to report as a hedge fund. However, we estimate that Form PF filing is on 

average more burdensome for large hedge fund advisers than for large private equity advisers, and so there may 

be very few, if any, private fund advisers deliberately filing as a hedge fund adviser instead of as a private equity 

adviser. See infra section IV.A.3 

365 See supra section II.C.2. 

366 See supra section II.C.2; see also Form PF, section 4. 

367 See supra section II.C.2; III.C.2; see also infra section IV.A.3. We estimate that for advisers who would be 

required to file an initial filing as a large private equity adviser instead of a large hedge fund adviser because of 

the potential alternative definition of “hedge fund,” the impact on their filing costs would be the difference in the

proposed new cost of filing for large private equity advisers minus the current cost of filing for large hedge fund 

advisers. We estimate this figure would be negative, reflecting a cost savings. Thus, the potential alternative 

definition would reduce the costs for initial filers who would be impacted by the definition of “hedge fund” by 

approximately $30,883. See infra section IV.A.3, Table 5. We estimate that for the advisers who would be 

impacted by the potential alternative definition of “hedge fund” and would have to make ongoing annual filings 

as a large private equity adviser instead of ongoing quarterly filings as a large hedge fund adviser, the impact of 

the alternative definition on their filing costs would be the difference in the proposed new cost of filing for large 

private equity advisers minus four times the cost of filing prior to the proposal for large hedge fund advisers. We 

again estimate this figure to be negative, and estimate an ongoing annual cost savings to these advisers of 

$135,240. See infra section IV.A.3, Table 6. Because Form PF defines large hedge fund advisers by considering 

a threshold of $1.5 billion in assets under management but defines large private equity advisers by considering a 

threshold of $2 billion in assets under management, there may be private fund advisers who, under the potential 

alternative definition, would no longer be required to file as a large hedge fund adviser, and would also not be 

required to instead report as a large private equity adviser. 

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A potential unintended consequence of the existing reporting approach for hedge funds could 

be incomplete data sets for private equity funds, as well as less accurate reporting about hedge funds. 

However, a revised definition that focuses on actual or contemplated use may also result in 

incomplete data sets for hedge funds, which are a class of funds that may be systemically significant. 

In particular, when first adopting the definition, the Commissions reasoned that even a reporting fund 

for which leverage or short selling is an important part of its strategy may not engage in that practice 

during every reporting period.368 Because a reporting fund may vary from year to year in its use of 

leverage or short selling, a revised definition that focuses on actual or contemplated use would also 

cause fluctuations in the data from year to year, depending on which funds use leverage or short 

selling in a particular year, potentially impacting the quality or usefulness of resulting data. The 

potential costs of this alternative definition also include transition filing costs for advisers impacted 

by the definition, who would be required to update their reporting methods to capture information 

from their funds relevant for reporting on Form PF as a private equity fund instead of as a hedge 

fund, and completing corresponding sections of the form targeted at each category.

369 

The SEC has also considered conforming changes to the definition of “hedge fund” for the 

purposes of Form ADV.370 Form ADV relies on a definition of “hedge fund” for the purposes of only 

one question, which requires advisers to identify the type of private fund they advise by selecting 

368 See supra footnote 3; see also 2011 Form PF Adopting Release, at text accompanying footnote 78. 

369 We estimate that the average cost of a transition filing is $19.25. See Table 7. 

370 See supra section II.C. Form ADV filers include advisers registered with the SEC and those applying for 

registration with the SEC, as well as exempt reporting advisers. Some private fund advisers that are required to 

report on Form ADV are not required to file Form PF (for example, exempt reporting advisers and advisers with 

less than $150 million in private fund assets under management). Other advisers are required to file Form PF 

and are not required to file Form ADV (for example, advisers to commodity pools that are not private funds). 

Based on the staff review of Form ADV filings and the Private Fund Statistics, less than 10 percent of funds 

reported on Form ADV but not on Form PF in 2020. 

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from a list of funds, including hedge funds.371 As a result, we do not believe there would be any 

substantial additional economic effects of making conforming changes to Form ADV. By amending 

the definition in Form ADV so that it would be consistent with how the proposal would define it in 

Form PF, this alternative would maintain the baseline consistency of information between Form PF 

and Form ADV. The SEC anticipates that the costs associated with a potential alternative definition 

of “hedge fund” on Form ADV would be de minimis, as private fund advisers would not be required 

to complete any more or fewer questions on Form ADV, at any more or fewer intervals. 

E. Request for Comment 

The SEC requests comment on all aspects of our economic analysis, including the potential 

costs and benefits of the proposed amendments and alternatives thereto, and whether the 

amendments, if the SEC were to adopt them, would promote efficiency, competition, and capital 

formation. In addition, the SEC requests comments on our selection of data sources, empirical 

methodology, and the assumptions the SEC has made throughout the analysis. Commenters are 

requested to provide empirical data, estimation methodologies, and other factual support for their 

views, in particular, on costs and benefits estimates. In addition, the SEC requests comment on: 

214. Whether there are any additional costs and benefits associated with the proposed 

amendments to Form PF that we should include in our analysis? What additional 

materials and data should the SEC consider for estimating these costs and benefits? 

215. Whether our assumptions about costs associated with the proposal are accurate? For 

example, is it accurate to assume that certain costs may be mitigated given that 

advisers already accommodate similar requirements in their current Form PF and 

See Form ADV: Instructions for Part 1A, Instruction 6 and Form ADV Part 1A, Schedule D, section 7.B.(1), 

Question 10 (“Question 10”) (defining the term “hedge fund,” and specifying that the definition applies for 

purposes of Question 10). Form ADV also uses the term “hedge fund” in Part 2A, but does not refer to the 

definition provided for Question 10. 

186 

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Form ADV reporting and can utilize their existing capabilities for preparing and 

submitting an updated Form PF? 

216. Whether there are any additional benefits or costs that should be included associated 

with the reasonable alternatives considered? 

IV. Paperwork Reduction Act 

CFTC: 

The information collection titled “Form PF and Rule 204(b)-1” (OMB Control No. 3235-

0679) was issued to the SEC and implements sections 404 and 406 of the Dodd-Frank Act by 

requiring private fund advisers that have at least $150 million in private fund assets under 

management to report certain information regarding the private funds they advise on Form PF. The 

SEC makes information on Form PF available to the CFTC, subject to the confidentiality provisions 

of the Dodd-Frank Act, and the CFTC may use information collected on Form PF in its regulatory 

programs, including examinations, investigations and investor protection efforts relating to private 

fund advisers. 

CFTC rule 4.27372 does not impose any additional burden upon registered CPOs and CTAs 

that are dually registered as investment advisers with the SEC (“dual registrants”). There is no 

requirement to file Form PF with the CFTC, and any filings made by dual registrants with the SEC 

are made pursuant to the Advisers Act. While CFTC rule 4.27(d) states that dually registered CPOs 

and CTAs that file Form PF with the SEC will be deemed to have filed Form PF with the CFTC for 

purposes of any enforcement action regarding any false or misleading statement of material fact in 

Form PF, the CFTC is not imposing any additional burdens herein. Therefore, any burden imposed 

CFTC rule 4.27, 17 CFR 4.27, was adopted pursuant to the CFTC’s authority set forth in section 4n of the 

Commodity Exchange Act (“CEA”), 7 U.S.C. 6n. CFTC regulations are found at Title 17 Chapter I of the Code

of Federal Regulations (“CFR”). 

187 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

by Form PF on entities registered with both the CFTC and the SEC has been fully accounted for 

within the SEC’s calculations regarding the impact of this collection of information under the PRA, 

as set forth below.373 

SEC: 

The proposal would revise an existing “collection of information” within the meaning of the 

Paperwork Reduction Act of 1995 (“PRA”).374 The SEC is submitting the collection of information 

to the Office of Management and Budget (“OMB”) for review in accordance with the PRA.375 The 

title for the collection of information is “Form PF and Rule 204(b)-1” (OMB Control Number 3235-

0679), and includes both Form PF and rule 204(b)-1 (“the rules”).376 An agency may not conduct or 

sponsor, and a person is not required to respond to, a collection of information unless it displays a 

currently valid OMB control number. 

A. Form PF 

Compliance with the information collection titled “Form PF and Rule 204(b)-1” is mandatory. 

The respondents are investment advisers that (1) are registered or required to be registered under 

Advisers Act section 203, (2) advise one or more private funds, and (3) managed private fund assets 

of at least $150 million at the end of their most recently completed fiscal year (collectively, with their 

related persons).377 Form PF divides respondents into groups based on their size and types of private 

funds they manage, requiring some groups to file more information more frequently than others. The 

373 44 U.S.C. 3501–3521. 

374 44 U.S.C. 3501 through 3521. 

375 44 U.S.C. 3507(d); 5 CFR 1320.11. 

376 The SEC also submitted the collection of information to OMB in connection with the 2022 SEC Form PF 

Proposal (ICR Reference No. 202202-3235-026) (conclusion date May 17, 2022) available at 

https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202202-3235-026; 2022 SEC Form PF Proposal, 

supra footnote 3. 

377 See 17 CFR 204(b)-1. 

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types of respondents are (1) smaller private fund advisers, that report annually (i.e., private fund 

advisers that do not qualify as large private fund advisers), (2) large hedge fund advisers, that report 

more information quarterly (i.e., advisers with at least $1.5 billion in hedge fund assets under 

management), (3) large liquidity fund advisers, that report more information quarterly (i.e., advisers 

that manage liquidity funds and have at least $1 billion in combined money market and liquidity fund 

assets under management), and (4) large private equity advisers, that report more information 

annually (i.e., advisers with at least $2 billion in private equity fund assets under management). As 

discussed more fully in section II above and as summarized in sections IV.A.1 and IV.A.3.a below, 

the proposal would revise how all types of respondents report certain information on Form PF. 

1. Purpose and Use of the Information Collection 

The rules implement provisions of Title IV of the Dodd-Frank Act, which amended the 

Advisers Act to require the SEC to, among other things, establish reporting requirements for advisers 

to private funds.378 The information collected on Form PF is designed to facilitate FSOC’s

monitoring of systemic risk in the private fund industry and assist FSOC in determining whether and 

how to deploy its regulatory tools with respect to nonbank financial companies.379 The SEC also may 

use information collected on Form PF in its regulatory programs, including examinations, 

investigations, and investor protection efforts relating to private fund advisers.380 

The proposed amendments are designed to enhance FSOC’s ability to monitor systemic risk 

as well as bolster the SEC’s regulatory oversight of private fund advisers and investor protection 

efforts. The proposal would amend the form’s general instructions, as well as section 1 of Form PF, 

which would apply to all Form PF filers. The proposal also would amend section 2 of Form PF, 

378 See 15 U.S.C. 80b-4(b) and 15 U.S.C. 80b-11(e). 

379 See Form PF. 

380 Id. 

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which would apply to large hedge fund advisers that advise qualifying hedge funds (i.e., hedge funds 

with a net asset value of at least $500 million). 

2. Confidentiality 

Responses to the information collection will be kept confidential to the extent permitted by 

law.381 Form PF elicits non-public information about private funds and their trading strategies, the 

public disclosure of which could adversely affect the funds and their investors. The SEC does not 

intend to make public Form PF information that is identifiable to any particular adviser or private 

fund, although the SEC may use Form PF information in an enforcement action and FSOC may use it 

to assess potential systemic risk.382 SEC staff issues certain publications designed to inform the 

public of the private funds industry, all of which use only aggregated or masked information to avoid 

potentially disclosing any proprietary information.383 The Advisers Act precludes the SEC from 

being compelled to reveal Form PF information except (1) to Congress, upon an agreement of 

confidentiality, (2) to comply with a request for information from any other Federal department or 

agency or self-regulatory organization for purposes within the scope of its jurisdiction, or (3) to 

comply with an order of a court of the United States in an action brought by the United States or the 

SEC.384 Any department, agency, or self-regulatory organization that receives Form PF information 

must maintain its confidentiality consistent with the level of confidentiality established for the 

SEC.385 The Advisers Act requires the SEC to make Form PF information available to FSOC.386 For 

381 See 5 CFR 1320.5(d)(2)(vii) and (viii). 

382 See 15 U.S.C. 80b-10(c) and 15 U.S.C. 80b-4(b). 

383 See e.g., Private Funds Statistics, issued by staff of the SEC Division of Investment Management’s Analytics 

Office, which we have used in this PRA as a data source, available at 

https://www.sec.gov/divisions/investment/private-funds-statistics.shtml. 

384 See 15 U.S.C. 80b-4(b)(8). 

385 See 15 U.S.C. 80b-4(b)(9). 

386 See 15 U.S.C. 80b-4(b)(7). 

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advisers that are also commodity pool operators or commodity trading advisers, filing Form PF 

through the Form PF filing system is filing with both the SEC and CFTC.387 Therefore, the SEC 

makes Form PF information available to FSOC and the CFTC, pursuant to Advisers Act section 

204(b), making the information subject to the confidentiality protections applicable to information 

required to be filed under that section. Before sharing any Form PF information, the SEC requires 

that any such department, agency, or self-regulatory organization represent to the SEC that it has in 

place controls designed to ensure the use and handling of Form PF information in a manner consistent 

with the protections required by the Advisers Act. The SEC has instituted procedures to protect the 

confidentiality of Form PF information in a manner consistent with the protections required in the 

Advisers Act.388 

3. Burden Estimates 

We are revising our total burden estimates to reflect the proposed amendments, updated data, 

and new methodology for certain estimates.389 The tables below map out the Form PF requirements 

as they apply to each group of respondents and detail our burden estimates. 

387 See 2011 Form PF Adopting Release, supra footnote 3 at n.17. 

388 See 5 CFR 1320.5(d)(2)(viii). 

389 For the previously approved estimates, see ICR Reference No. 202011-3235-019 (conclusion date Apr. 1, 2021), 

available at https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202011-3235-019. 

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a. Proposed Form PF Requirements by Respondent 

Table 1: Proposed Form PF Requirements by Respondent 

Form PF 

Smaller 

private fund 

advisers 

Large hedge 

fund advisers 

Large 

liquidity fund 

advisers 

Large private 

equity 

advisers 

Section 1a and section 

1b (basic information 

about the adviser and 

the private funds it 

advises) 

Proposed revisions 

Annually Quarterly Quarterly Annually 

Section 1c (additional 

information concerning 

hedge funds) 

Proposed revisions 

Annually, if 

they advise 

hedge funds 

Quarterly 

Quarterly, if 

they advise 

hedge funds 

Annually, if 

they advise 

hedge funds 

Section 2 (additional 

information concerning 

qualifying hedge funds) 

Proposed revisions 

No Quarterly No No 

Section 3 (additional 

information concerning 

liquidity funds) 

No proposed revisions 

No No Quarterly No 

Section 4 (additional 

information concerning 

private equity funds) 

No proposed revisions 

No No No Annually 

Section 5 (temporary 

hardship request) 

The proposal would 

revise filing 

instructions 

Optional, if 

they qualify 

Optional, if 

they qualify 

Optional, if 

they qualify 

Optional, if 

they qualify 

Transition Filings 

(indicating the adviser 

is no longer obligated to 

file on a quarterly basis) 

No proposed revisions 

Not applicable 

If they cease 

to qualify as a 

large hedge 

fund adviser 

If they cease to 

qualify as a 

large liquidity 

fund adviser 

Not Applicable 

Final Filings (indicating 

the adviser is no longer 

subject to the rules) 

No proposed revisions 

If they qualify If they qualify If they qualify If they qualify 

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b. Annual Hour Burden Estimates 

Below are tables with annual hour burden estimates for (1) initial filings, (2) ongoing annual 

and quarterly filings, and (3) transition filings, final filings, and temporary hardship requests. 

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Table 2: Annual Hour Burden Estimates for Initial Filings 

Number of 

Respondent1 

Respondents 

= 

Aggregate 

Number of 

Responses2 

Hours 

Per 

Response3 

Hours Per 

Response 

Amortized Over 3 

Years4 

Aggregate 

Hours 

Amortized 

Over 3 Years5 

Smaller 

Requested 6 309 responses 50 hours ÷ 3 = 17 hours 5,253 hours 

Private 

Fund 

Advisers 

Previously 

Approved 272 responses 40 hours 23 hours 6,256 hours 

Change 37 responses 10 hours (6) hour (1,003) hours 

Large 

Hedge 

Fund 

Requested 

Previously 

Approved 

7 15 responses 

17 responses 

345 hours 

325 hours 

÷ 3 = 115 hours 

658 hours 

1,725 hours 

11,186 hours 

Advisers 

Change (2) responses 20 hours (543) hours (9,461) hours 

Large 

Liquidity 

Fund 

Requested 

Previously 

Approved 

1 responses8 

2 responses 

210 hours 

200 hours 

÷ 3 = 70 hours 

588 hours 

70 hours 

1,176 hours 

Advisers 

Change (1) responses 10 hours (518) hours (1,106) hours 

Large 

Private 

Equity 

Advisers 

Requested 

Previously 

Approved 

Change 

9 13 responses 

9 responses 

4 responses 

210 hours 

200 hours 

10 hours 

÷ 3 = 70 hours 

133 hours 

(63) hours 

910 hours 

1,197 hours 

(287) hours 

194 
 

 

 

 

 

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Notes: 

1. We expect that the hourly burden will be most significant for the initial report because the 

adviser will need to familiarize itself with the new reporting form and may need to configure its 

systems in order to efficiently gather the required information. In addition, we expect that some 

large private fund advisers will find it efficient to automate some portion of the reporting 

process, which will increase the burden of the initial filing but reduce the burden of subsequent 

filings. 

2. This concerns the initial filing; therefore, we estimate one response per respondent. The 

proposed changes are due to using updated data to estimate the number of advisers. 

3. Hours per response changes are due to the proposed amendments. 

4. We propose to amortize the initial time burden over three years because we believe that most of 

the burden would be incurred in the initial filing. We propose to use a different methodology to 

calculate the estimate than the methodology staff used for the previously approved burdens. We 

believe the previously approved burdens for initial filings inflated the estimates by using a 

methodology that included subsequent filings for the next two years, which, for annual filers, 

included 2 subsequent filings, and for quarterly filers, included 11 subsequent filings. For the 

requested burden, we propose to calculate the initial filing, as amortized over the next three 

years, by including only the hours related to the initial filing, not any subsequent filings. This 

approach is designed to more accurately estimate the initial burden, as amortized over three 

years. (For example, to estimate the previously approved burden for a large hedge fund adviser 

making its initial filing, staff estimated that the adviser would have an amortized average annual 

burden of 658 hours: ((1 initial filing x 325 hours) + (11 subsequent filings (because it files 

quarterly) x 150 hours) = 1,975 hours. 1,975 hours / 3 years = approximately 658 previously 

approved hours per response, amortized over three years).) Changes are due to using the revised 

methodology and the proposed amendments. 

5. (Number of responses) x (hours per response amortized over three years) = aggregate hours 

amortized over three years. Changes are due to (1) using updated data to estimate the number of 

advisers, (2) the new methodology to estimate the hours per response, amortized over three 

years, and (3) the proposed amendments. 

6. Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third 

quarter of 2021. Based on filing data from the last five years, an average of 12.9 percent of 

them did not file for the previous due date. (2,394 x 0.129 = 309 advisers.) 

7. Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of 

2021. Based on filing data from the last five years, an average of 2.6 percent of them did not 

file for the previous due date. (592 x 0.026 = 15 advisers.) 

8. Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter 

of 2021. Based on filing data from the last five years, an average of 1.5 percent of them did not 

file for the previous due date. (24 x 0.015 = 0.36 advisers, rounded up to 1 adviser.) 

9. Private Funds Statistics show 369 large private equity advisers filed Form PF in the third quarter 

of 2021. Based on filing data from the last five years, an average of 3.5 percent of them did not 

file for the previous due date. (369 x 0.035 = 13 advisers.) 

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Table 3: Annual Hour Burden Estimates for Ongoing Annual and Quarterly Filings 

Number of Number of Hours Per Aggregate Respondent1 

Respondents2 Responses3 Response4 Hours5 

Smaller 

Private 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

2,085 advisers6 

2,055 advisers 

30 advisers 

x 

x 

1 response 

1 response 

0 

x 

x 

20 hours 

15 hours 

5 hours 

= 

= 

41,700 hours 

30,825 hours 

10,875 hours 

Large 

Hedge 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

577 advisers7 

537 advisers 

40 advisers 

x 

x 

4 responses 

4 responses 

0 

x 

x 

160 hours 

150 hours 

10 hours 

= 

= 

369,280 hours 

322,200 hours 

47,080 hours 

Large 

Liquidity 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

23 advisers8 

20 advisers 

3 advisers 

x 

x 

4 responses 

4 responses 

0 

x 

x 

75 hours 

70 hours 

5 hour 

= 

= 

6,900 hours 

5,600 hours 

1,300 hours 

Large 

Private 

Equity 

Advisers 

Requested 

Previously 

Approved 

Change 

356 advisers9 

313 advisers 

43 advisers 

x 

x 

1 response 

1 response 

0 

x 

x 

105 hours 

100 hours 

5 hour 

= 

= 

37,380 hours 

31,300 hours 

6,080 hours 

196 
 

 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Notes: 

1. We estimate that after an adviser files its initial report, it will incur significantly lower costs to 

file ongoing annual and quarterly reports, because much of the work for the initial report is nonrecurring and likely created system configuration and reporting efficiencies. 

2. Changes to the number of respondents are due to using updated data to estimate the number of 

advisers. 

3. Smaller private fund advisers and large private equity advisers file annually. Large hedge fund 

advisers and large liquidity fund advisers file quarterly. 

4. Hours per response changes are due to the proposed amendments. 

5. Changes to the aggregated hours are due to (1) using updated data to estimate the number of 

advisers and (2) the proposed amendments. 

6. Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third 

quarter of 2021. We estimated that 309 of them filed an initial filing, as discussed in Table 2: 

Annual Hour Burden Estimates for Initial Filings. (2,394 total smaller advisers – 309 advisers 

that made an initial filing = 2,085 advisers that make ongoing filings.) 

7. Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of 

2021. We estimated that 15 of them filed an initial filing, as discussed in Table 2: Annual Hour 

Burden Estimates for Initial Filings. (592 total large hedge fund advisers – 15 advisers that 

made an initial filing = 577 advisers that make ongoing filings.) 

8. Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter 

of 2021. We estimated that one of them filed an initial filing, as discussed in Table 2: Annual 

Hour Burden Estimates for Initial Filings. (24 total large liquidity fund advisers – 1 adviser that 

made an initial filing = 23 advisers that make ongoing filings.) 

9. Private Funds Statistics show 369 large private equity advisers filed Form PF in the third quarter 

of 2021. We estimated that 13 of them filed an initial filing, as discussed in Table 2: Annual 

Hour Burden Estimates for Initial Filings. (369 total large private equity advisers – 13 advisers 

that made an initial filing = 356 advisers that make ongoing filings.) 

197 
 

 

 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Table 4: Annual Hour Burden Estimates for Transition Filings, Final Filings, and 

Temporary Hardship Requests 

Aggregate Hours Per Aggregate Filing Type1 Number of Response Hours3 

Responses2 

Transition Filing 

from Quarterly to 

Annual 

Requested 

Previously 

Approved 

Change 

4 68 responses 

45 responses 

23 responses 

x 

x 

0.25 hours 

0.25 hours 

0 hours 

= 

= 

17 hours 

11.25 hours 

5.75 hours 

Requested 5 233 responses x 0.25 hours = 58.25 hours 

Final Filings Previously 

Approved 

Change6 

54 responses 

179 responses 

x 0.25 hours 

0 hours 

= 13.5 hours 

44.75 hours 

Temporary 

Hardship Requests 

Requested 

Previously 

Approved 

Change 

3 responses7 

4 responses 

(1) responses 

x 

x 

1 hour 

1 hour 

0 hours 

= 

= 

3 hours 

4 hours 

(1) hour 

Notes: 

1. Advisers make limited Form PF filings in three situations. First, any adviser that 

transitions from filing quarterly to annually because it has ceased to qualify as a large 

hedge fund adviser or large liquidity fund adviser, must file a Form PF indicating that it 

is no longer obligated to report on a quarterly basis. Second, any adviser that is no 

longer subject to Form PF’s reporting requirements, must file a final filing indicating 

this. Third, an adviser may request a temporary hardship exemption if it encounters 

unanticipated technical difficulties that prevent it from making a timely electronic 

filing. A temporary hardship exemption extends the deadline for an electronic filing 

for seven business days. To request a temporary hardship exemption, the adviser must 

file a request on Form PF. The proposal would amend how advisers file temporary 

hardship exemption requests, as discussed in section II.E of this Release; however, the 

proposed amendment would not result in any changes to the hours per response. 

2. Changes to the aggregate number of responses are due to using updated data. Changes 

for final filings also are due to using a different methodology, as discussed below. 

3. Changes to the aggregate hours are due to the changes in the aggregate number of 

responses. 

4. Private Funds Statistics show 616 advisers filed quarterly reports in the third quarter of 

2021. Based on filing data from the last five years, an average of 11.1 percent of them 

filed a transition filing. (616 x 0.111 = 68 responses.) 

198 
 

 

 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

5. Private Funds Statistics show 3,379 advisers filed Form PF in the third quarter of 2021. 

Based on filing data from the last five years, an average of 6.9 percent of them filed a 

final filing. (3,379 x 0.069 = approximately 233 responses.) 

6. Changes for final filings are due to using a different methodology. The previously 

approved estimates used a percentage of quarterly filers to estimate how many advisers 

filed a final report. We propose to use a percentage of all filers to estimate how many 

advisers filed a final report, because all filers may file a final report, not just quarterly 

filers. Therefore, this proposed methodology is designed to more accurately estimate 

the number of responses for final filings. 

7. Based on experience receiving temporary hardship requests, we estimate that 1 out of 

1,000 advisers will file a temporary hardship exemption annually. Private Funds 

Statistics show 3,379 advisers filed Form PF in the third quarter of 2021. (3,379 / 

1,000 = approximately 3 responses.) 

c. Annual Monetized Time Burden Estimates 

Below are tables with annual monetized time burden estimates for (1) initial filings, (2) 

ongoing annual and quarterly filings, and (3) transition filings, final filings, and temporary hardship 

requests.390 

The hourly wage rates are based on (1) SIFMA's Management & Professional Earnings in the Securities 

Industry 2013, modified by SEC staff to account for an 1,800-hour work-year and inflation, and multiplied by 

5.35 to account for bonuses, firm size, employee benefits and overhead; and (2) SIFMA’s Office Salaries in the 

Securities Industry 2013, modified by SEC staff to account for an 1,800-hour work-year and inflation, and 

multiplied by 2.93 to account for bonuses, firm size, employee benefits and overhead. 

199 

390 
 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Table 5: Annual Monetized Time Burden of Initial Filings 

Respondent1 Per 

Response2 

Per Response 

Amortized 

Over 3 years3 

Aggregate 

Number of 

Responses4 

Aggregate 

Monetized 

Time Burden 

Amortized 

Over 3 Years 

Smaller 

Private 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

$18,2505 

$13,460 

$4,790 

÷ 3 = $6,083 x 

x 

309 responses 

272 responses 

37 responses 

= 

= 

$1,879,647 

$3,661,120 

($1,781,473) 

Large 

Hedge 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

$118,6806 

$103,123 

$15,557 

÷ 3 = $39,560 x 

x 

15 responses 

17 responses 

(2) responses 

= 

= 

$593,400 

$1,753,091 

($1,159,691) 

Large 

Liquidity 

Fund 

Advisers 

Requested 

Previously 

Approved 

Change 

$72,2407 

$63,460 

$8,780 

÷ 3 = $24,080 x 

x 

1 responses 

2 responses 

(1) responses 

= 

= 

$24,080 

$126,920 

($102,840) 

Large 

Private 

Equity 

Advisers 

Requested 

Previously 

Approved 

Change 

$72,2408 

$63,460 

$8,780 

÷ 3 = $24,080 x 

x 

13 responses 

9 responses 

4 responses 

= 

= 

$313,040 

$571,140 

($258,100) 

200 
 

 

 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Notes: 

1. We expect that the monetized time burden will be most significant for the initial report, for 

the same reasons discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. 

Accordingly, we anticipate that the initial report will require more attention from senior 

personnel, including compliance managers and senior risk management specialists, than will 

ongoing annual and quarterly filings. Changes are due to using (1) updated hours per 

response estimates, as discussed in Table 2: Annual Hour Burden Estimates for Initial 

Filings, (2) updated aggregate number of responses, as discussed in Table 2: Annual Hour 

Burden Estimates for Initial Filings, and (3) updated wage estimates. Changes to the 

aggregate monetized time burden, amortized over three years, also are due to amortizing the 

monetized time burden, which the previously approved estimates did not calculate, as 

discussed below. 

2. For the hours per response in each calculation, see Table 2: Annual Hour Burden Estimates 

for Initial Filings. 

3. We propose to amortize the monetized time burden for initial filings over three years, as we 

do with other initial burdens in this PRA, because we believe that most of the burden would 

be incurred in the initial filing. The previously approved burden estimates did not calculate 

this. 

4. See Table 2: Annual Hour Burden Estimates for Initial Filings. 

5. For smaller private fund advisers, we estimate that the initial report will most likely be 

completed equally by a compliance manager at a cost of $339 per hour and a senior risk 

management specialist at a cost of $391 per hour. (($339 per hour x 0.5) + ($391 per hour x 

0.5)) x 50 hours per response = $18,250. 

6. For large hedge fund advisers, we estimate that for the initial report, of a total estimated 

burden of 345 hours, approximately 60 percent will most likely be performed by 

compliance professionals and 40 percent will most likely be performed by programmers 

working on system configuration and reporting automation (that is approximately 207 hours 

for compliance professionals and approximately 138 hours for programmers). Of the work 

performed by compliance professionals, we anticipate that it will be performed equally by a 

compliance manager at a cost of $339 per hour and a senior risk management specialist at a 

cost of $391 per hour. Of the work performed by programmers, we anticipate that it will be 

performed equally by a senior programmer at a cost of $362 per hour and a programmer 

analyst at a cost of $263 per hour. (($339 per hour x 0.5) + ($391 per hour x 0.5)) x 207 

hours = $75,555. (($362 per hour x 0.5) + ($263 per hour x 0.5)) x 138 hours = $43,125. 

$75,555 + $43,125 = $118,680. 

7. For large liquidity fund advisers, we estimate that for the initial report, of a total estimated 

burden of 210 hours, approximately 60 percent will most likely be performed by 

compliance professionals and approximately 40 percent will most likely be performed by 

programmers working on system configuration and reporting automation (that is 

approximately 126 hours for compliance professionals and 84 hours for programmers). Of 

the work performed by compliance professionals, we anticipate that it will be performed 

equally by a compliance manager at a cost of $339 per hour and a senior risk management 

specialist at a cost of $391 per hour. Of the work performed by programmers, we anticipate 

that it will be performed equally by a senior programmer at a cost of $362 per hour and a 

programmer analyst at a cost of $263 per hour. (($339 per hour x 0.5) + ($391 per hour x 

201 
Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

0.5)) x 126 hours = $45,990. (($362 per hour x 0.5) + ($263 per hour x 0.5)) x 84 hours = 

$26,250. $45,990 + $26,250 = $72,240. 

8. For large private equity advisers, we expect that for the initial report, of a total estimated 

burden of 210 hours, approximately 60 percent will most likely be performed by compliance 

professionals and approximately 40 percent will most likely be performed by programmers 

working on system configuration and reporting automation (that is approximately 126 hours 

for compliance professionals and 84 hours for programmers). Of the work performed by 

compliance professionals, we anticipate that it will be performed equally by a compliance 

manager at a cost of $339 per hour and a senior risk management specialist at a cost of $391 

per hour. Of the work performed by programmers, we anticipate that it will be performed 

equally by a senior programmer at a cost of $362 per hour and a programmer analyst at a 

cost of $263 per hour. (($339 per hour x 0.5) + ($391 per hour x 0.5)) x 126 hours = 

$45,990. (($362 per hour x 0.5) + ($263 per hour x 0.5)) x 84 hours = $26,250. $45,990 + 

$26,250 = $72,240. 

202 
 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Table 6: Annual Monetized Time Burden of Ongoing Annual and Quarterly Filings 

Aggregate Aggregate 

Respondent1 Per Response2 Number of Monetized 

Responses Time Burden 

Requested $6,0403 x 4 2,085 responses = $12,593,400 

Smaller 

Private Fund 

Advisers 

Previously 

Approved 

Change 

$4,173.75 

$1,866.25 

x 2,055 responses 

30 responses 

= $8,577,056 

$4,016,344 

Requested $48,3205 x 6 2,308 responses = $111,522,560 

Large Hedge 

Fund Advisers 

Previously 

Approved $41,737.50 x 2,148 responses = $89,652,150 

Change $6,582.50 160 responses $21,870,410 

Large 

Liquidity 

Fund Advisers 

Requested 

Previously 

Approved 

Change9 

$22,6507 

$29,216.25 

($6,566.25) 

x 

x 

8 92 responses 

80 responses 

12 responses 

= 

= 

$2,083,800 

$2,337,300 

($253,500) 

Large Private 

Equity 

Advisers 

Requested 

Previously 

Approved 

Change 

$31,71010 

$27,825 

$3,885 

x 

x 

11 356 responses 

313 responses 

43 responses 

= 

= 

$11,288,760 

$8,709,225 

$2,579,505 

Notes: 

1. We expect that the monetized time burden will be less costly for ongoing annual and 

quarterly reports than for initial reports, for the same reasons discussed in Table 3: Annual 

Hour Burden Estimates for Ongoing Annual and Quarterly Filings. Accordingly, we 

anticipate that senior personnel will bear less of the reporting burden than they would for 

the initial report. Changes are due to using (1) updated wage estimates, (2) updated hours 

per response estimates, as discussed in Table 3: Annual Hour Burden Estimates for 

Ongoing Annual and Quarterly Filings, and (3) updated number of respondents, as 

discussed in Table 3: Annual Hour Burden Estimates for Ongoing Annual and Quarterly 

Filings. Changes to estimates concerning large liquidity fund advisers primarily appear to 

be due to correcting a calculation error, as discussed below. 

2. For all types of respondents, we estimate that both annual and quarterly reports would be 

completed equally by (1) a compliance manager at a cost of $339 per hour, (2) a senior 

compliance examiner at a cost of $260, (3) a senior risk management specialist at a cost of 

$391 per hour, and (4) a risk management specialist at a cost of $218 an hour. ($339 x 

0.25 = $84.75) + ($260 x 0.25 = $65) + ($391 x 0.25 = $97.75) + ($218 x 0.25 = $54.50) 

= $302. To calculate the cost per response for each respondent, we used the hours per 

203 
Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

response from Table 3: Annual Hour Burden Estimates for Ongoing Annual and Quarterly 

Filings. 

3. Cost per response for smaller private fund advisers: ($302 per hour x 20 hours per 

response = $6,040 per response.) 

4. (2,085 smaller private fund advisers x 1 response annually = 2,085 aggregate responses.) 

5. Cost per response for large hedge fund advisers: ($302 per hour x 160 hours per response 

= $48,320 per response.) 

6. (577 large hedge fund advisers x 4 responses annually = 2,308 aggregate responses.) 

7. Cost per response for large liquidity fund advisers: ($302 per hour x 75 hours per response 

= $22,650 per response. 

8. (23 large liquidity fund advisers x 4 responses annually = 92 aggregate responses.) 

9. The previously approved estimates appear to have mistakenly used 105 hours instead of 

the actual estimate for large liquidity fund advisers (which was 70 hours per response), 

causing the monetized time burden to be inflated in error. Therefore, the extent of these 

changes are primarily due to using the correct hours per response, which we now estimate 

as 75 hours, as discussed in Table 3: Annual Hour Burden Estimates for Ongoing Annual 

and Quarterly Filings. 

10. Cost per response for large private equity advisers: ($302 per hour x 105 hours per 

response = $31,710 per response.) 

11. (356 private equity advisers x 1 response annually = 356 aggregate responses.) 

204 
 

 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Table 7: Annual Monetized Time Burden for Transition Filings, Final Filings, and 

Temporary Hardship Requests 

Filing Type1 

Transition Filing 

from Quarterly to 

Annual 

Requested 

Previously 

Approved 

Change 

Per 

Response 

$19.253 

$17.75 

$1.50 

x 

x 

Aggregate 

Number of 

Responses2 

68 responses 

45 responses 

23 responses 

= 

= 

Aggregate 

Monetized 

Time Burden 

$1,309 

$798.75 

$510.25 

Requested $19.254 x 233 responses = $4,485.25 

Final Filings Previously 

Approved $17.75 x 54 responses = $958.50 

Change $1.50 179 responses $3,526.75 

Requested $237.505 x 3 responses = $712.50 

Temporary 

Hardship Requests 

Previously 

Approved $221.63 x 4 responses = $886.52 

Change $15.87 (1) responses ($174.02) 

Notes: 

1. All changes are due to using updated data concerning wage rates and the number of 

responses. 

2. See Table 4: Annual Hour Burden Estimates for Transition Filings, Final Filings, and 

Temporary Hardship Requests. 

3. We estimate that each transition filing will take 0.25 hours and that a compliance clerk 

would perform this work at a cost of $77 an hour. (0.25 hours x $77 = $19.25.) 

4. We estimate that each final filing will take 0.25 hours and that a compliance clerk would 

perform this work at a cost of $77 an hour. (0.25 hours x $77 = $19.25.) 

5. We estimate that each temporary hardship request will take 1 hour. We estimate that a 

compliance manager would perform five-eighths of the work at a cost of $339 and a 

general clerk would perform three-eighths of the work at a cost of $68. (1 hour x ((5/8 

of an hour x $339 = $212) + (3/8 of an hour x $68 = $25.50)) = $237.50 per response. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

d. Annual External Cost Burden Estimates 

Below is a table with annual external cost burden estimates for initial filings as well as 

ongoing annual and quarterly filings. There are no filing fees for transition filings, final filings, or 

temporary hardship requests and we continue to estimate there would be no external costs for those 

filings, as previously approved. 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Table 8: Annual External Cost Burden for Ongoing Annual and Quarterly Filings as well as Initial Filings 

Aggregate 

Respondent1 

Number of 

Responses 

Per 

Respondent2 

Filing 

Fee 

Per 

Filing3 

Total 

Filing 

Fees 

External 

Cost of 

Initial 

Filing4 

External 

Cost of 

Initial Filing 

Amortized 

Over 3 

Years5 

Number 

of Initial 

Filings6 

External 

Cost of 

Initial 

Filing 

Amortized 

Over 3 

Years7 

Total 

Aggregate 

External 

Cost8 

Smaller 

Private 

Fund 

Requested 

Previously 

Approved 

1 

1 

x 

x 

$150 

$150 

= 

= 

$150 

$150 

$10,000 ÷ 3 = $3,333 x 309 

Not Applicable 

= $1,029,897 $1,388,9979 

$349,050 

Advisers Change 0 $0 $0 Not Applicable $1,039,947 

Large 

Hedge 

Fund 

Requested 

Previously 

Approved 

4 

4 

x 

x 

$150 

$150 

= 

= 

$600 

$600 

$50,000 

$50,000 

÷ 3 = $16,667 x 

x 

15 

17 

= 

= 

$250,005 

$850,000 

$605,20510 

$1,182,400 

Advisers Change 0 $0 $0 $0 (2) ($599,995) ($577,195) 

Large Requested 4 x $150 = $600 $50,000 ÷ 3 = $16,667 x 1 = $16,667 $31,06711 

Liquidity 

Fund 

Advisers 

Previously 

Approved 

Change 

4 

0 

x $150 

$0 

= $600 

$0 

$50,000 

$0 

x 2 

(1) 

= $100,000 

($83,333) 

$113,200 

($82,133) 

Large 

Private 

Equity 

Requested 

Previously 

Approved 

1 

1 

x 

x 

$150 

$150 

= 

= 

$150 

$150 

$50,000 

$50,000 

÷ 3 = $16,667 x 

x 

13 

9 

= 

= 

$216,671 

$450,000 

$272,02112 

$498,300 

Advisers Change 0 $0 $0 $0 4 ($233,329) ($226,279) 

207 
 

Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

Notes: 

1. We estimate that advisers would incur the cost of filing fees for each filing. For initial filings, advisers may 

incur costs to modify existing systems or deploy new systems to support Form PF reporting, acquire or use 

hardware to perform computations, or otherwise process data that Form PF requires. 

2. Smaller private fund advisers and large private equity advisers file annually. Large hedge fund advisers and 

large liquidity fund advisers file quarterly. 

3. The SEC established Form PF filing fees in a separate order. Since 2011, filing fees have been and continue 

to be $150 per annual filing and $150 per quarterly filing. See Order Approving Filing Fees for Exempt 

Reporting Advisers and Private Fund Advisers, Advisers Act Release No. 3305 (Oct. 24, 2011) [76 FR 67004 

(Oct. 28, 2011)]. 

4. In the previous PRA submission for the rules, staff estimated that the external cost burden for initial filings 

would range from $0 to $50,000 per adviser. This range reflected the fact that the cost to any adviser may 

depend on how many funds or the types of funds it manages, the state of its existing systems, the complexity 

of its business, the frequency of Form PF filings, the deadlines for completion, and the amount of information 

the adviser must disclose on Form PF. Staff also estimated that smaller private fund advisers would be 

unlikely to bear such costs because the information they must provide is limited and will, in many cases, 

already be maintained in the ordinary course of business. Given the proposed amendments, we propose to 

estimate that the external cost burden for smaller private fund advisers would range from $0 to $10,000, per 

smaller private fund adviser. This range reflects the proposed amendments and is designed to reflect that the 

cost to any smaller private fund adviser may depend on how many funds or the type of funds it manages, the 

state of its existing systems, and the complexity of its business. We propose to use the upper range to 

calculate the estimate for smaller private fund advisers: $10,000. Also, given the proposed amendments, we 

continue to estimate that the external cost burden for initial filings for large hedge fund advisers, large 

liquidity fund advisers, and large private equity advisers would continue to range from $0 to $50,000 for the 

same reasons as the current estimates for those types of advisers. We propose to use the upper range to 

calculate the estimates: $50,000. 

5. We propose to amortize the external cost burden of initial filings over three years, as we do with other initial 

burdens in this PRA, because we believe that most of the burden would be incurred in the initial filing. The 

previously approved burden estimates did not calculate this. 

6. See Table 2: Annual Hour Burden Estimates for Initial Filings. 

7. Changes to the aggregate external cost of initial filings, amortized over three years are due to (1) the proposed 

amendments, (2) using updated data, and (3) amortizing the external cost of initial filings over three years, 

which the previously approved PRA did not calculate. 

8. Changes to the total aggregate external cost are due to (1) the proposed amendments, (2) using updated data, 

and (3) amortizing the external cost of initial filings over three years, which the previously approved PRA did 

not calculate. 

9. Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third quarter of 2021. 

(2,394 smaller private fund advisers x $150 total filing fees) + $1,029,897 aggregate external cost of initial 

filing amortized over three years = $1,388,997 total aggregate external cost. 

10. Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of 2021. (592 

large hedge fund advisers x $600 total filing fees) + $250,005 aggregate external cost of initial filing 

amortized over three years = $605,205 total aggregate external cost. 

11. Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter of 2021. (24 

large liquidity fund advisers x $600 total filing fees) + $16,667 aggregate external cost of initial filing 

amortized over three years = $31,067 total aggregate external cost. 

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(subject to pre-publication technical corrections) 

12. Private Funds Statistics show 369 large private equity advisers filed Form PF in the third quarter of 2021. 

(369 large private equity advisers x $150 total filing fees) + $216,671 aggregate external cost of initial filing 

amortized over three years = $272,021 total aggregate external cost. 

e. Summary of Estimates and Change in Burden 

Table 9: Aggregate Annual Estimates 

Description1 Requested Previously 

Approved Change 

Respondents 3,379 respondents2 3,225 respondents 154 respondents3 

Responses 5,483 responses4 5,056 responses 427 responses5 

Time Burden 463,296 hours6 409,768 hours 53,528 hours7 

Monetized Time Burden 

(Dollars) $140,305,1948 $122,152,100.25 $18,153,0949 

External Cost Burden 

(Dollars) $2,297,29010 $3,628,850 ($1,331,560)11 

Notes: 

1. Changes are due to (1) the proposed amendments, (2) using updated data, and (3) using 

different methodologies to calculate certain estimates, as described in this PRA. 

2. Private Funds Statistics show the following advisers filed Form PF in the third quarter 

of 2021: 2,394 smaller private fund advisers + 592 large hedge fund advisers + 24 large 

liquidity fund advisers + 369 large private equity advisers = 3,379 advisers. 

3. Changes are due to using updated data. 

4. For initial filings (Table 2): (309 smaller private fund adviser responses + 15 large 

hedge fund adviser responses + 1 large liquidity fund adviser response + 13 large 

private equity adviser responses = 338 responses.) For ongoing annual and quarterly 

filings (Table 6): (2,085 smaller private fund adviser responses + 2,308 large hedge 

fund adviser responses + 92 large liquidity fund adviser responses + 356 large private 

equity adviser responses = 4,841 responses.) (338 responses for initial filings + 4,841 

responses for ongoing annual and quarterly filings + 68 responses for transition filings 

+ 233 responses for final filings + 3 responses for temporary hardship requests = 5,483 

responses.) 

5. Changes are due to using updated data concerning the number of filers. 

209 
 

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(subject to pre-publication technical corrections) 

6. For initial filings: (5,253 hours for smaller private fund advisers + 1,725 hours for large 

hedge fund advisers + 70 hours for large liquidity fund advisers + 910 hours for large 

private equity advisers = 7,958 hours). For ongoing annual and quarterly filings: 

(41,700 hours for smaller private fund advisers + 369,280 hours for large hedge fund 

advisers + 6,900 for hours large liquidity fund advisers + 37,380 hours for large private 

equity advisers = 455,260 hours). (7,958 hours for initial filings + 455,260 for ongoing 

annual and quarterly filings + 17 hours for transition filings + 58.25 hours for final 

filings + 3 hours for temporary hardship requests = 463,296 hours. 

7. Although we would expect the time burden to increase more, given the proposed 

amendments, we estimate a smaller increase primarily because we propose to use a 

different methodology to calculate initial burden hours, as discussed in Table 2: Annual 

Hour Burden Estimates for Initial Filings, because the previously approved burdens for 

initial filings appear to have inflated the estimates. 

8. For initial filings: ($1,879,647 for smaller private fund advisers + $593,400 for large 

hedge fund advisers + $24,080 for large liquidity fund advisers + $313,040 for large 

private equity advisers = $2,810,167). For ongoing annual and quarterly filings: 

($12,593,400 for smaller private fund advisers + $111,522,560 for large hedge fund 

advisers + $2,083,800 for large liquidity fund advisers + $11,288,760 for large private 

equity advisers = $137,488,520). ($2,810,167 for initial filings + $137,488,520 for 

ongoing annual and quarterly filings + $1,309 for transition filings + $4,485.25 for final 

filings + $712.50 for temporary hardship requests = $140,305,194. 

9. Although we would expect the monetized time burden to increase more, given the 

proposed amendments, we estimate a smaller increase primarily because we propose to 

use a different methodology to calculate it. We believe the previously approved burden 

inflated the estimates by using a methodology that inflated an element of the total: the 

monetized time burden for initial filings. To calculate the monetized time burden for 

initial filings, the previously approved estimates included subsequent filings. For the 

requested total burden, we propose to calculate the initial filing element by including 

only the hours related to the initial filing, not any subsequent filings. We also propose 

to amortize the monetized time burden for an initial filing over three years, by dividing 

the initial filing burden by three years, as discussed in Table 5: Annual Monetized Time 

Burden of Initial Filings. The proposed methodology is designed to more accurately 

reflect the estimates. 

10. For the external cost burden: $1,388,997 for smaller private fund advisers + $605,205 

for large hedge fund advisers + $31,067 for large liquidity fund advisers + $272,021 for 

large private equity advisers = $2,297,290. 

11. Although we would expect the external cost burden to increase, given the proposed 

amendments, we estimate it would decrease primarily because we propose to use a 

different methodology to calculate it. We believe the previously approved burden 

inflated the estimates by (1) multiplying the filing fees by three years and (2) not 

amortizing the external costs for initial filings: ($742,950 aggregate annual filing fees x 

3 years = $2,228,850 in filing fees) + $1,400,000 external costs of initial filings = 

$3,628,850). We propose to not multiply the aggregate annual filing fees by three years 

because we are estimating the external cost burden for one year, not three. We propose 

to amortize the external cost for initial filings over three years, by dividing the external 

cost of an initial filing by three years, as discussed in Table 8: Annual External Cost 

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Burden for Ongoing Annual and Quarterly Filings as well as Initial Filings. The 

proposed methodology is designed to more accurately reflect the estimates. 

B. Request for Comments 

We request comment on whether our estimates for burden hours and external costs as 

described above are reasonable. Pursuant to 44 U.S.C. 3506(c)(2)(B), the SEC solicits comments in 

order to (1) evaluate whether the proposed collection of information is necessary for the proper 

performance of the functions of the SEC, including whether the information will have practical 

utility; (2) evaluate the accuracy of the SEC’s estimate of the burden of the proposed collection of 

information; (3) determine whether there are ways to enhance the quality, utility, and clarity of the 

information to be collected; and (4) determine whether there are ways to minimize the burden of the 

collection of information on those who are to respond, including through the use of automated 

collection techniques or other forms of information technology. 

Persons wishing to submit comments on the collection of information requirements of the 

proposed amendments should direct them to the OMB Desk Officer for the Securities and Exchange 

Commission, MBX.OMB.OIRA.SEC_desk_officer@omb.eop.gov, and should send a copy to 

Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090, 

with reference to File No. [XXX]. OMB is required to make a decision concerning the collections of 

information between 30 and 60 days after publication of this release; therefore a comment to OMB is 

best assured of having its full effect if OMB receives it within 30 days after publication of this 

release. Requests for materials submitted to OMB by the Commission with regard to these 

collections of information should be in writing, refer to File No. [XXX], and be submitted to the 

Securities and Exchange Commission, Office of FOIA Services, 100 F Street NE, Washington, DC 

20549-2736. 

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(subject to pre-publication technical corrections) 

V. Regulatory Flexibility Act Certification 

CFTC: 

The Regulatory Flexibility Act (the “RFA”)391 requires that Federal agencies consider 

whether the rules they propose will have a significant economic impact on a substantial number of 

“small entities”392 whenever an agency publishes a general notice of proposed rulemaking for any 

rule, pursuant to the notice-and-comment provisions of the Administrative Procedure Act.393 

Registered CPOs and CTAs that are dually registered as investment advisers with the SEC are 

only required to file Form PF with the SEC pursuant to the Advisers Act. CFTC rule 4.27(d) 

provides that dually registered CPOs and CTAs that file Form PF with the SEC will be deemed to 

have filed Form PF with the CFTC, for purposes of any enforcement action regarding any false or 

misleading statement of material fact in Form PF. The CFTC is not imposing any additional 

obligation herein beyond what is already required of these entities when filing Form PF with the 

SEC. 

Entities impacted by the Form PF are the SEC’s regulated entities and no small entity on its 

own would meet the Form PF’s minimum reporting threshold of $150 million in regulatory assets 

under management attributable to private funds. Also, any economic impact imposed by Form PF on 

small entities registered with both the CFTC and the SEC has been accounted for within the SEC’s

initial regulatory flexibility analysis regarding the impact of this collection of information under the 

RFA. Accordingly, the Chairman, on behalf of the CFTC, hereby certifies pursuant to 5 U.S.C. 

391 5 U.S.C. 601, et. seq. 

392 See 5 U.S.C. 603(a) and 5 U.S.C. 605(b). 

393 5 U.S.C. 553. The Administrative Procedure Act is found at 5 U.S.C. 551 et seq. 

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605(b) that the proposed rules will not have a significant economic impact on a substantial number of 

small entities. 

SEC: 

The Regulatory Flexibility Act of 1980 (“Regulatory Flexibility Act”)394 requires the SEC to 

prepare and make available for public comment an initial regulatory flexibility analysis of the impact 

of the proposed rule amendments on small entities, unless the SEC certifies that the rules, if adopted 

would not have a significant economic impact on a substantial number of small entities.395 For the 

purposes of the Advisers Act and the Regulatory Flexibility Act, an investment adviser generally is a 

small entity if it (1) has assets under management having a total value of less than $25 million, (2) did 

not have total assets of $5 million or more on the last day of the most recent fiscal year, and (3) does 

not control, is not controlled by, and is not under common control with another investment adviser 

that has assets under management of $25 million or more, or any person (other than a natural person) 

that had total assets of $5 million or more on the last day of its most recent fiscal year.396 

Pursuant to section 605(b) of the Regulatory Flexibility Act, the SEC hereby certifies that the 

proposed amendments to Advisers Act rule 204(b)-1 and Form PF would not, if adopted, have a 

significant economic impact on a substantial number of small entities. By definition, no small entity 

on its own would meet rule 204(b)-1 and Form PF’s minimum reporting threshold of $150 million in 

regulatory assets under management attributable to private funds. Based on Form PF and Form ADV 

data as of December 2021, the SEC estimates that no small entity advisers are required to file Form 

PF. The SEC does not have evidence to suggest that any small entities are required to file Form PF 

but are not filing Form PF. Therefore, there would be no significant economic impact on a 

394 5 U.S.C. 601, et. seq. 

395 See 5 U.S.C. 603(a) and 5 U.S.C. 605(b). 

396 17 CFR 275.0-7. 

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substantial number of small entities. The SEC encourages written comments on the certifications. 

Commentators are asked to describe the nature of any impact on small entities and provide empirical 

data to support the extent of the impact. 

VI. Consideration of Impact on the Economy 

For purposes of the Small Business Regulatory Enforcement Fairness Act of 1996 

(“SBREFA”),397 the SEC must advise OMB whether a proposed regulation constitutes a “major” rule. 

Under SBREFA, a rule is considered “major” where, if adopted, it results in or is likely to result in 

the following: 

• An annual effect on the economy of $100 million or more; 

• A major increase in costs or prices for consumers or individual industries; or 

• Significant adverse effects on competition, investment, or innovation. 

The SEC requests comment on whether the proposal would be a “major rule” for purposes of

SBREFA. The SEC solicits comment and empirical data on the following: 

• The potential effect on the U.S. economy on an annual basis; 

• Any potential increase in costs or prices for consumers or individual industries; and 

• Any potential effect on competition, investment, or innovation. 

Commenters are requested to provide empirical data and other factual support for their views 

to the extent possible. 

VII. Statutory Authority 

CFTC: 

The CFTC is not proposing any amendments to its rules in this rulemaking. 

Public Law 104-121, Title II, 110 Stat. 857 (1996) (codified in various sections of 5 U.S.C., 15 U.S.C. and as a 

note to 5 U.S.C. 601). 

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Voting Copy – As approved by the Commodity Futures Trading Commission on 8/10/2022 

(subject to pre-publication technical corrections) 

SEC: 

The SEC is proposing amendment to rule 204(b)-1 [17 CFR 275.204(b)-1] pursuant to its 

authority set forth in sections 204(b) and 211(e) of the Advisers Act [15 U.S.C. 80b-4 and 15 U.S.C. 

80b-11], respectively. 

The SEC is proposing amendments to rule 279.9 pursuant to its authority set forth in sections 

204(b) and 211(e) of the Advisers Act [15 U.S.C. 80b-4 and 15 U.S.C. 80b-11], respectively. 

List of Subjects 

17 CFR Parts 275 and 279 

Reporting and recordkeeping requirements, Securities. 

Text of Proposed Rules 

For the reasons set forth in the preamble, title 17, chapter II of the Code of Federal 

Regulations is amended as follows. 

PART 275 – RULES AND REGULATIONS, INVESTMENT ADVISERS ACT OF 1940 

1. The general authority citation for part 275 continues to read as follows. 

Authority: [15 U.S.C. 80b-2(a)(11)(G), 80b-2(a)(11)(H), 80b-2(a)(17), 80b-3, 80b-4, 80b-4a, 

80b-6(4), 80b-6a, and 80b-11, unless otherwise noted.] 

* * * * * 

§ 275.204(b)-1 Reporting by investment advisers to private funds. 

2. Amend § 275.204(b)-1 by: 

a. Revising paragraph (f)(2)(i) to remove the phrases “in paper format,” and “, Item

A of Section 1a and Section 5 of Form PF, checking the box in Section 1a 

indicating that you are requesting a temporary hardship exemption”; 

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b. Redesignating paragraph (f)(4) as paragraph (f)(5); and 

c. Adding new paragraph (f)(4). 

The addition reads as follows: 

§ 275.204(b)-1 Reporting by investment advisers to private funds. 

***** 

(f)* * * 

(4) A request for a temporary hardship exemption is considered filed upon the earlier of 

the date the request is postmarked or the date it is received by the Commission. 

* * * * * 

PART 279 – FORMS PRESCRIBED UNDER THE INVESTMENT ADVISERS ACT OF 1940 

3. The authority citation for part 279 continues to read as follows: 

Authority: The Investment Advisers Act of 1940, 15 U.S.C. 80b-1, et seq., Pub. L. 111-203, 

124 Stat. 1376. 

§ 279.9 Form PF, reporting by investment advisers to private funds. 

4. Form PF [referenced in § 279.9] is amended by revising the form. The revised version of 

Form PF is attached as Appendix A. 

Note: The text of Form PF does not, and the amendments will not, appear in the Code of 

Federal Regulations. 

* * * * * 

By the Commissions. 

Dated: [_____], 2022. 

Christopher Kirkpatrick, 

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Secretary, Commodity Futures Trading Commission. 

Vanessa A. Countryman, 

Secretary, Securities and Exchange Commission. 

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Form PF: General Instructions Page 1 

FORM PF (Paper Version) 

Reporting Form for Investment Advisers to 

Private Funds and Certain Commodity Pool 

Operators and Commodity Trading Advisors 

OMB APPROVAL 

OMB Number: 3235-0679 

Estimated average burden 

hours per response: [XX.XX] 

Form PF: General Instructions Page 1 

Read these instructions carefully before completing Form PF. Failure to follow these instructions, properly 

complete Form PF, or pay all required fees may result in your Form PF being delayed or rejected. 

In these instructions and in Form PF, “you” means the private fund adviser completing or amending this 

Form PF. If you are a “separately identifiable department or division” (SID) of a bank, “you” means the SID 

rather than the bank (except as provided in Question 1(a)). Terms that appear in italics are defined in the 

Glossary of Terms to Form PF. 

1. Who must complete and file a Form PF? 

You must complete and file a Form PF, if: 

A. You are registered or required to register with the SEC as an investment adviser; 

OR 

You are registered or required to register with the CFTC as a CPO or CTA and you are 

also registered or required to register with the SEC as an investment adviser; 

AND 

B. You manage one or more private funds. 

AND 

C. You and your related persons, collectively, had at least $150 million in private fund 

assets under management as of the last day of your most recently completed fiscal year. 

Many private fund advisers meeting these criteria will be required to complete only Section 1 of 

Form PF and will need to file only on an annual basis. Large private fund advisers, however, will be 

required to provide additional data, and large hedge fund advisers and large liquidity fund advisers 

will need to file every quarter. See Instructions 3 and 9 below. 

For purposes of determining whether you meet the reporting threshold, you are not required to 

include the regulatory assets under management of any related person that is separately operated. 

See Instruction 5 below for more detail. 

If your principal office and place of business is outside the United States, for purposes of this Form 

PF you may disregard any private fund that, during your last fiscal year, was not a United States 

person, was not offered in the United States, and was not beneficially owned by any United States 

person. 

2. I have a related person who is required to file Form PF. May I and my related person file a 

single Form PF? 

Related persons may (but are not required to) report on a single Form PF information with respect 

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Form PF: General Instructions Page 2 

to all such related persons and the private funds they advise. You must identify in your response 

to Question 1 the related persons as to which you are reporting and, where information is 

requested about you or the private funds you advise, respond as though you and such related 

persons were one firm. 

3. How is Form PF organized? 

Section 1 – All Form PF filers 

Section 1a All private fund advisers required to file Form PF must complete Section 1a. Section 1a 

asks general identifying information about you and the types of private funds you 

advise. 

Section 1b All private fund advisers required to file Form PF must complete Section 1b. Section 1b 

asks for certain information regarding the private funds that you advise. 

Section 1c All private fund advisers that are required to file Form PF and advise one or more hedge 

funds must complete Section 1c. Section 1c asks for certain information regarding the 

hedge funds that you advise. 

Section 2 – Large hedge fund advisers 

If you and your related persons, collectively, had at least $1.5 billion in hedge fund Section 2 

assets under management as of the last day of any month in the fiscal quarter 

immediately preceding your most recently completed fiscal quarter, you must complete 

a separate Section 2 with respect to each qualifying hedge fund that you advise. You are 

not required to include the regulatory assets under management of any related person 

that is separately operated. 

In addition, you must complete a separate Section 2 for each parallel fund that is part of 

a parallel fund structure that, in the aggregate, comprises a qualifying hedge fund (even 

if that parallel fund is not itself a qualifying hedge fund); and you must complete a 

separate Section 2 for the master fund of any master-feeder arrangement that, in the 

aggregate, comprises a qualifying hedge fund (even if that master fund is not itself a 

qualifying hedge fund) in accordance with Instruction 6. 

Section 3 – Large liquidity fund advisers 

Section 3 You are required to complete Section 3 if (i) you advise one or more liquidity funds 

and (ii) as of the last day of any month in the fiscal quarter immediately preceding 

your most recently completed fiscal quarter, you and your related persons, 

collectively, had at least $1 billion in combined money market and liquidity fund 

assets under management. You are not required to include the regulatory assets 

under management of any related person that is separately operated. 

You must complete a separate Section 3 with respect to each liquidity fund that 

you advise. 

Section 4 – Large private equity advisers 

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Form PF: General Instructions Page 3 

Section 4 You are required to complete Section 4 if you and your related persons, 

collectively, had at least $2 billion in private equity fund assets under management 

as of the last day of your most recently completed fiscal year. You are not required 

to include the regulatory assets under management of any related person that is 

separately operated. 

You must complete a separate Section 4 with respect to each private equity fund that 

you advise. 

Section 5 – Advisers requesting a temporary hardship exemption 

Section 5 See Instruction 14 for details. 

4. I am a subadviser or engage a subadviser for a private fund. Who is responsible for reporting 

information about that private fund? 

Only one private fund adviser should complete and file Form PF for each private fund. If the 

adviser that filed Form ADV Section 7.B.1 with respect to any private fund is required to file Form 

PF, the same adviser must also complete and file Form PF for that private fund. If the adviser that 

filed Form ADV Section 7.B.1 with respect to any private fund is not required to file Form PF (e.g., 

because it is an exempt reporting adviser) and one or more other advisers to the fund is required to 

file Form PF, another adviser must complete and file Form PF for that private fund. 

Where a question requests aggregate information regarding the private funds that you advise, you 

should only include information regarding the private funds for which you are filing Section 1b of 

Form PF. 

5. For purposes of determining whether I meet any reporting threshold, when am I required to 

aggregate information regarding parallel funds, parallel managed accounts, master-feeder 

arrangements, and funds managed by related persons? 

• You must aggregate any private funds that are part of the same master-feeder 

arrangement (even if you did not, or were not permitted to, aggregate these private 

funds for purposes of Form ADV Section 7.B.1). 

• You must aggregate any private funds that are part of the same parallel fund structure. 

• Any dependent parallel managed account must be aggregated with the largest private 

fund to which that dependent parallel managed account relates. 

• You must treat any private fund or parallel managed account advised by any of your related 

persons as though it were advised by you (including related persons that you have not 

identified in Question 1(b) as related persons for which you are filing Form PF, though you 

may exclude related persons that are separately operated).Where you are aggregating 

dependent parallel managed accounts to determine whether you meet a reporting threshold, 

assets held in the accounts should be treated as assets of the private funds with which they 

are aggregated. 

6. How do I report information regarding parallel funds, parallel managed accounts, masterfeeder arrangements, and funds reported by related persons? 

You must separately report each component fund of master feeder arrangements and parallel 

fund structures. However: 

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Form PF: General Instructions Page 4 

• Do not report a feeder fund that invests all of its assets in (i) a single master fund, and/or 

(ii) cash and cash equivalents (i.e., a disregarded feeder fund). In reporting a master 

fund, you must identify whether each feeder fund is a disregarded feeder fund in 

Question 7 and “look through” to any disregarded feeder funds’ investors in responding 

to Questions [21 - 22, 51 – 53 and 61 – 65.] 

• Do not report information regarding parallel managed accounts (except in Question 

16). 

• Report information for any private fund advised by any of your related persons unless 

you have identified that related person in Question 1(b) as a related person for which 

you are filing Form PF. 

Example 1. You advise a master-feeder arrangement with two feeder funds. Feeder 

fund X has invested $500 in the master fund and holds a foreign exchange 

derivative with a notional value of $100. Feeder fund Y invests $200 in 

the master fund and has no other assets or liabilities, except cash. The 

master fund has used the $700 received from the feeder funds to invest in 

corporate bonds. None of these funds has any other assets or liabilities. 

For purposes of determining whether any of the funds comprises a 

qualifying hedge fund, this master-feeder arrangement should be treated as 

a single private fund whose only investments are $700 in corporate bonds 

and a foreign exchange derivative with a notional value of $100. 

For reporting purposes, if the aggregated master-feeder arrangement 

comprises a qualifying hedge fund, the master fund is reported as a 

qualifying hedge fund (complete Section 2 (even if is not a qualifying hedge 

fund by itself) and report feeder fund X and feeder fund Y as internal private 

fund investors in Question 7). 

A separate report for feeder fund X is required because the fund holds 

assets in addition to its investment in the master fund and cash and cash 

equivalents (complete Section 1b and 1c). Further, if feeder fund X meets 

the threshold to be a qualifying hedge fund, it also must be reported as a 

qualifying hedge fund (complete Section 2). 

A separate report is not required for feeder fund Y because it invests in a 

single master fund and has no other assets or liabilities except cash. 

Example 2. You advise a parallel fund structure consisting of two hedge funds, named 

parallel fund A and parallel fund B. You also advise a related dependent 

parallel managed account. The account and each fund have invested in 

corporate bonds of Company X and have no other assets or liabilities. 

The value of parallel fund A’s investment is $400, the value of parallel 

fund B’s investment is $300 and the value of the dependent parallel 

managed account’s investment is $200. For purposes of determining 

whether either of the parallel funds is a qualifying hedge fund, the entire 

parallel fund structure and the related dependent parallel managed 

account should be treated as a single private fund whose only asset is 

$900 of corporate bonds issued by Company X. 

For reporting purposes, both parallel fund A and parallel fund B must be 

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Form PF: General Instructions Page 5 

reported separately (for each of parallel fund A and B, complete section 1b 

and 1c, and Section 2 if the parallel fund structure is a qualifying hedge 

fund). Y ou would disregard the value of the investment by the dependent 

parallel managed account when reporting for parallel fund A and B, and 

instead, report the value of that investment ($200) in Question 16 for the 

largest parallel fund, parallel fund A. 

7. I advise a private fund that invests in other private funds (e.g., a “fund of funds”) or trading

vehicles. How should I treat these investments for purposes of Form PF? 

Reporting thresholds. You must include the value of private fund investments in other private 

funds in determining whether you are required to file Form PF. However, you may include or 

exclude a private fund’s investments in other private funds (including internal private funds and 

external private funds) in determining whether you meet thresholds for filing as a large hedge 

fund adviser, large liquidity fund adviser, or large private equity adviser and whether a reporting 

fund is a qualifying hedge fund. 

Funds that invest substantially all of their assets in other private funds. If you advise a private 

fund that (i) invests substantially all of its assets in the equity of private funds (including internal 

private funds and external private funds) and (ii) aside from such private fund investments, holds 

only cash and cash equivalents and instruments acquired for the purpose of hedging currency 

exposure, then you are only required to complete Section 1b for that fund. 

Trading vehicles. If the reporting fund holds assets, incurs leverage, or conducts trading or other 

activities through a trading vehicle, and the reporting fund is the only equity owner of the trading 

vehicle, you may either (i) identify the trading vehicle in Section 1b, Question 7(b), and report 

answers on an aggregated basis for the reporting fund and such trading vehicle, or (ii) report the 

trading vehicle as a separate reporting fund. However, you must report a trading vehicle as a 

separate reporting fund if the trading vehicle holds assets, incurs leverage or conducts trading or 

other activities on behalf of more than one reporting fund. If you report a trading vehicle as a 

separately reported fund, you must report it as a hedge fund if a hedge fund invests through the 

trading vehicle and you must report it as a qualifying hedge fund if a qualifying hedge fund invests in 

the trading vehicle. Otherwise, you must report it as a liquidity fund, private equity fund, or other 

type of fund based on its activities. 

Responding to questions. Except as otherwise provided in the instructions for a particular question in 

Form PF, include the value of a reporting fund’s investments in other private funds (both internal 

and external) in responding to questions under this Form PF. For example, (i) include the value of 

the reporting fund’s investments in other private funds in reporting gross asset value and net asset 

value in Question 11 and 12, but (ii) exclude the value of a reporting fund’s investment in other 

private funds in Question 3, the instructions to which explain that you must not include the value of a 

reporting fund’s investments in other internal private funds in responding to the question. 

Do not “look through” the reporting fund’s investments in internal private funds or external private 

funds (other than a trading vehicle as explained above) in responding to questions on the Form, 

unless the question instructs you to report exposure obtained indirectly through positions in such 

funds or other entities. For example, do not look through to the creditors of or counterparties to other 

private funds in responding to questions that ask about a reporting fund’s borrowing and 

counterparty exposure (e.g., Questions 18, 26, 27, 28). However, selected questions in Section 2 of 

the Form require you to report indirect exposure resulting from positions held through other entities 

including private funds, and you must “look through” the reporting fund’s investments in internal 

5 
 

 

 

 

 

 

 

 

 

 

 

 

Form PF: General Instructions Page 6 

private funds and external private funds in responding to these questions. (See Question 32, Question 

33, Question 35, Question 36, Question 39, and Question 40.) 

Solely for purposes of this Instruction 7, you may treat as a private fund any issuer formed under 

the laws of a jurisdiction other than the United States that has not offered or sold its securities in 

the United States or to United States persons but that would be a private fund if it had engaged in 

such an offering or sale. 

8. I advise a private fund that invests in funds or other entities that are not private funds or 

trading vehicles. How should I treat these investments for purposes of Form PF? 

Include the value of investments in any fund or other entity for all purposes under this Form PF. For 

example, you must include the value of these investments in determining reporting thresholds and 

responding to questions. For example, include the value of these investments in determining gross 

asset value in Question 11 and net asset value in Question 12. 

Do not “look through” a reporting fund’s investments in any fund or other entity, unless the question 

instructs you to report exposure obtained indirectly through positions in such funds or other entities. 

For example, do not “look through” to the creditors of or counterparties to any fund or other entity in 

responding to questions that ask about a reporting fund’s borrowing and counterparty exposure (e.g., 

Questions 18, 26, 27, 28). However, selected questions in Section 2 of the Form require you to report 

indirect exposure resulting from positions held through entities, such as a fund or other entity, and 

you must “look through” the reporting fund’s investments such funds or other entities in responding 

to these questions. (See Question 32, Question 33, Question 35, Question 36, Question 39, and 

Question 40.) 

9. When am I required to update Form PF? 

You are required to update Form PF at the following times: 

Periodic filings Within 60 calendar days after the end of each calendar quarter, you 

(large hedge must file a quarterly update that updates the answers to all Items in this 

fund advisers) Form PF relating to the hedge funds that you advise. 

If your fiscal year does not end at the end of a calendar quarter, you 

must file a quarterly update that updates the answers to all Items in this 

Form PF within 60 days after the end of the next calendar quarter after 

your fiscal year end. 

You may, however, submit an initial filing for the next calendar quarter 

after your fiscal year end that updates information relating only to the 

hedge funds that you advise so long as you amend your Form PF within 

120 calendar days after the end of your fiscal year to update information 

relating to any other private funds that you advise. When you file such 

an amendment, you are not required to update information previously 

filed for such quarter. 

Periodic filings Within 15 calendar days after the end of each calendar quarter, you 

(large liquidity must file a quarterly update that updates the answers to all Items in this 

fund advisers) Form PF relating to the liquidity funds that you advise. 

6 
 

 

Form PF: General Instructions Page 7 

If your fiscal year does not end at the end of a calendar quarter, you 

must file a quarterly update that updates the answers to all Items in this 

Form PF within 15 days after the end of the next calendar quarter after 

your fiscal year end. 

You may, however, submit an initial filing for the next calendar quarter 

after your fiscal year end that updates information relating only to the 

liquidity funds that you advise so long as you amend your Form PF 

within 120 calendar days after the end of your fiscal year to update 

information relating to any other private funds that you advise (subject 

to the next paragraph). When you file such an amendment, you are not 

required to update information previously filed for such quarter. 

If you are both a large liquidity fund adviser and a large hedge fund 

adviser, you must file your quarterly updates with respect to the 

liquidity funds that you advise within 15 calendar days and with respect 

to the hedge funds you advise within 60 calendar days. 

Periodic filings Within 120 calendar days after the end of your fiscal year, you must file 

(all other an annual update that updates the answers to all Items in this Form PF. 

advisers) 

Large hedge fund advisers and large liquidity fund advisers are not 

required to file annual updates but instead file quarterly updates for the 

next calendar quarter after their fiscal year end. 

Transition filing If you are transitioning from quarterly to annual filing because you are 

no longer a large hedge fund adviser or large liquidity fund adviser, 

then you must complete and file Item A of Section 1a and check the box 

in Section 1a indicating that you are making your final quarterly filing. 

You must file your transition filing no later than the last day on which 

your next quarterly update would be timely. 

Final filing If you are no longer required to file Form PF, then you must complete 

and file Item A of Section 1a and check the box in Section 1a indicating 

that you are making your final filing. You must file your final filing no 

later than the last day on which your next Form PF update would be 

timely. This applies to all Form PF filers. 

Failure to update your Form PF as required by these instructions is a violation of SEC and, 

where applicable, CFTC rules and could lead to revocation of your registration. 

10. How do I obtain private fund identification numbers for my reporting funds? 

Each private fund must have an identification number for purposes of reporting on Form ADV and 

Form PF. Private fund identification numbers can only be obtained by filing Form ADV. 

If you need to obtain a private fund identification number and you are required to file a quarterly 

update of Form PF prior to your next annual update of Form ADV, then you must acquire the 

identification number by filing an other-than-annual amendment to your Form ADV and 

following the instructions on Form ADV for generating a new number. When filing an otherthan-annual amendment for this purpose, you must complete and file all of Form ADV Section 

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Form PF: General Instructions Page 8 

7.B.1 for the new private fund. 

See Instruction 6 to Part 1A of Form ADV for additional information regarding the acquisition 

and use of private fund identification numbers. 

11. Who must sign my Form PF or update? 

The individual who signs the Form PF depends upon your form of organization: For a sole 

proprietorship, the sole proprietor. • For a partnership, a general partner. 

• For a corporation, an authorized principal officer. 

• For a limited liability company, a managing member or authorized person. 

• For a SID, a principal officer of your bank who is directly engaged in the management, direction 

or supervision of your investment advisory activities. 

• For all others, an authorized individual who participates in managing or directing your affairs. 

The signature does not have to be notarized and should be a typed name. 

If you and one or more of your related persons are filing a single Form PF, then Form PF may be 

signed by one or more individuals; however, the individual, or the individuals collectively, must 

have authority, as provided above, to sign both on your behalf and on behalf of all such related 

persons. 

12. How do I file my Form PF? 

You must file Form PF electronically through the Form PF filing system on the Investment Adviser 

Registration Depository website (www.iard.com), which contains detailed filing instructions. 

Questions regarding filing through the Form PF filing system should be addressed to the Financial 

Industry Regulatory Authority (FINRA) at 240-386-4848. 

13. Are there filing fees? 

Yes, you must pay a filing fee for your Form PF filings. The Form PF filing fee schedule is 

published at http://www.sec.gov/iard and http://www.iard.com. 

14. What if I am not able to file electronically? 

A temporary hardship exemption is available if you encounter unanticipated technical difficulties 

that prevent you from making a timely filing with the Form PF filing system, such as a computer 

malfunction or electrical outage. This exemption does not permit you to file on paper; instead, it 

extends the deadline for an electronic filing for seven “business days” (as such term is used in SEC 

rule 204(b)-1(f)). 

To request a temporary hardship exemption, you must complete and file on paper Item A of Section 

1a and Section 5 of Form PF, checking the box in Section 1a indicating that you are requesting a 

temporary hardship exemption. Do not complete or file any other sections of Form PF. Mail one 

manually signed original and one copy of your exemption filing to: [U.S. Securities and Exchange 

Commission, Investment Adviser Regulation Office, Mail Stop X-XX, 100 F Street NE, 

Washington, DC 20549] or submit electronically your signed exemption filing in PDF format by 

email to FormPF@sec.gov. You must preserve in your records a copy of any temporary hardship 

exemption filing. Any request for a temporary hardship exemption must be filed no later than one 

8 
 

 

 

 

 

 

 

 

 

 

 

Form PF: General Instructions Page 9 

business day after the electronic Form PF filing was due. For more information, see SEC rule 

204(b)-1(f). 

15. May I rely on my own methodologies in responding to Form PF? How should I enter 

requested information? 

You may respond to this Form using your own internal methodologies and the conventions of your 

service providers, provided the information is consistent with information that you report internally 

and to current and prospective investors. However, your methodologies must be consistently 

applied and your responses must be consistent with any instructions or other guidance relating to this 

Form. You may explain any of your methodologies, including related assumptions, in Question 4. 

In responding to Questions on this Form, the following guidelines apply unless otherwise 

specifically indicated: 

• provide the requested information as of the close of business on the data reporting date; 

• if information is requested for any month or quarter, provide the requested information as of the 

close of business on the last calendar day of the month or quarter, respectively; 

• if a question requests information expressed as a percentage, enter the response as a percentage 

(not a decimal) rounded to the nearest one hundredth of one percent; 

• if a question requests a monetary value, provide the information in U.S. dollars as of the data 

reporting date (or other requested date), rounded to the nearest thousand, using a foreign 

exchange rate for the applicable date; 

• if a question requests a monetary value for transactional data that covers a reporting period, 

provide the information in U.S. dollars, rounded to the nearest thousand, using foreign 

exchange rates as of the dates of any transactions to convert local currency values to U.S. 

dollars (see questions 14, 23(c)(iv)(B), 23(c)(iv)(C), 23(c)(iv)(D), 29, 30(a) and 34); 

• if a question requests a numerical value other than a percentage or a dollar value, provide 

information rounded to the nearest whole number; 

• if a question requests information regarding a “position” or “positions,” treat two or more legs of 

a transaction even if offsetting or partially offsetting, or even if entered into with the same 

counterparty under the same master agreement as two separate positions, even if reported 

internally as part of a larger transaction. However, exclude closed-out positions that are closed 

out with the same counterparty provided that there is no credit or market exposure to the 

reporting fund; 

• if a question requires you to distinguish long positions from short positions, classify positions as 

follows: a long position experiences a gain when the price of the market factor to which it 

relates increases (and/or the yield of that factor decreases), and a short position experiences a 

loss when the price of the market factor to which it relates increases (and/or the yield of that 

factor decreases). 

• do not net long and short positions; 

• for derivatives (other than interest rate derivatives and options), “value” means gross notional 

9 
 

 

 

 

 

 

 

 

Form PF: General Instructions Page 10 

value; for interest rate derivatives, value means the 10 year bond equivalent; for options, 

“value” means delta adjusted notional value (expressed as a 10 year bond equivalent for options 

that are interest rate derivatives); in determining the “value” of derivatives positions, do not net 

long and short positions or offsetting or partially offsetting trades; but exclude closed-out 

positions that are closed out with the same counterparty provided that there is no credit or market 

exposure to the reporting fund; 

• 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; 

• for question 25, the numerator you use to determine the percentage of net asset value should be 

measured on the same basis as gross asset value. Your response to this question may total more 

than 100%. 

16. How do I amend Form PF, for example, to make a correction? 

If you discover that information you filed on Form PF was not accurate at the time of filing, you may 

correct the information by re-filing and checking the box in Section 1a indicating that you are 

amending a previously submitted filing. You are not required to update information that you believe 

in good faith properly responded to Form PF on the date of filing even if that information is 

subsequently revised for purposes of your recordkeeping, risk management or investor reporting 

(such as estimates that are refined after completion of a subsequent audit). 

Large hedge fund advisers and large liquidity fund advisers that comply with their fourth quarter 

filing obligations by submitting an initial filing followed by an amendment in accordance with 

Instruction 9 will not be viewed as affirming responses regarding one fund solely by providing 

updated information regarding another fund at a later date. 

17. How may I preserve on Form PF the anonymity of a private fund that I advise? 

If you seek to preserve the anonymity of a private fund that you advise by maintaining its identity in 

your books and records in numerical or alphabetical code, or similar designation, pursuant to rule 

204-2(d), you may identify the private fund on Form PF using the same code or designation in place 

of the fund’s name. 

18. How should I treat a commodity pool for purposes of Form PF? 

Commodity pools should be treated as hedge funds for purposes of Form PF. If you are reporting on 

Form PF regarding a commodity pool that is not a private fund, then you may treat it as a private fund 

for purposes of Form PF. However, such a commodity pool is not required to be included when 

determining whether you exceed one or more reporting thresholds. If such a commodity pool is a 

qualifying hedge fund and you are otherwise required to report information in section 2 of 

Form PF, then you must report regarding the commodity pool in section 2 of Form PF. 

Federal Information Law and Requirements for a Collection of Information 

Section 204(b) of the Advisers Act [15 U.S.C. § 80b-4(b)] authorizes the SEC to collect the information that 

Form PF requires. The information collected on Form PF is designed to facilitate the Financial Stability 

Oversight Council’s (“FSOC”) monitoring of systemic risk in the private fund industry and to assist FSOC in 

determining whether and how to deploy its regulatory tools with respect to nonbank financial companies. The 

SEC and CFTC may also use information collected on Form PF in their regulatory programs, including 

10 
 

 

 

 

 

Form PF: General Instructions Page 11 

examinations, investigations and investor protection efforts relating to private fund advisers. Filing Form PF is 

mandatory for advisers that satisfy the criteria described in Instruction 1 to the Form. See also 17 C.F.R. § 

275.204(b)-1. The SEC does not intend to make public information reported on Form PF that is identifiable to 

any particular adviser or private fund, although the SEC may use Form PF information in an enforcement 

action. See Section 204(b) of the Advisers Act. 

An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information 

unless it displays a currently valid control number. The Office of Management and Budget has reviewed this 

collection of information under 44 U.S.C. § 3507. Any member of the public may direct any comments 

concerning the accuracy of the burden estimate and any suggestion for reducing this burden to: Secretary, U.S. 

Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549. 

11 
_____________________________________________________________________________________________________________________________________________________________________ 

Form PF Information about you and your related persons Page 1 of 51 

Section 1a (to be completed by all Form PF filers) 

Section 1a: Information about you and your related persons 

Check the box that indicates what you would like to do: 

a. If you are not a large hedge fund adviser or large liquidity fund adviser: 

Submit your first filing on Form PF 

for the period ended: 

Submit an annual update 

for the period ended: 

Amend a previously submitted filing 

for the period ended: 

Submit a final filing 

Request a temporary hardship exemption 

b. If you are a large hedge fund adviser or large liquidity fund adviser: 

Submit your first filing on Form PF 

for the [1st, 2nd, 3rd, 4th] quarter, which ended: 

Submit a quarterly update (including fourth quarter updates) 

for the [1st, 2nd, 3rd, 4th] quarter, which ended: 

Amend a previously submitted filing 

for the [1st, 2nd, 3rd, 4th] quarter, which ended: 

Transition to annual reporting 

Submit a final filing 

Request a temporary hardship exemption 

Item A. Information about you 

1. (a) Provide your name and the other identifying information requested below. 

(This should be your full legal name. If you are a sole proprietor, this will be your last, first, 

and middle names. If you are a SID, enter the full legal name of your bank. 

Please use the same name that you use in your Form ADV.) 

Legal name SEC 801-Number 

NFA ID 

Number, if any 

Large trader 

ID, if any 

Large trader 

ID suffix, if any LEI, if any 

(b) Provide the following information for each of the related persons, if any, with 

respect to which you are reporting information on this Form PF: 

Large 

NFA ID Large trader trader ID

Legal name SEC 801-Number Number, suffix, if any LEI, if any if any ID, if any 

1 
 

Form PF 

Section 1a 

Information about you and your related persons 

(to be completed by all Form PF filers) 

Page 2 of 51 

2. Signatures of sole proprietor or authorized representative (see Instruction 11 to Form PF). 

Signature on behalf of the firm and its related persons: 

I, the undersigned, sign this Form PF on behalf of, and with the authority of, the firm. In addition, I 

sign this Form PF on behalf of, and with the authority of, each of the related persons identified in 

Question 1(b) (other than any related person for which another individual has signed this Form PF 

below). 

To the extent that Section 1 or 2 of this Form PF is filed in accordance with a regulatory obligation 

imposed by CEA rule 4.27, the firm, each related person for which I am signing this Form PF, and I 

shall accept that any false or misleading statement of a material fact therein or material omission 

therefrom shall constitute a violation of section 6(c)(2) of the CEA. 

Name of individual: 

Signature: 

Title: 

Email address: 

Telephone contact number (include area code and, 

if outside the United States, country code): 

Date: 

Signature on behalf of related persons: 

I, the undersigned, sign this Form PF on behalf of, and with the authority of, the related 

person(s) identified below. 

To the extent that Section 1 or 2 of this Form PF is filed in accordance with a regulatory 

obligation imposed by CEA rule 4.27, each related person identified below and I shall accept 

that any false or misleading statement of a material fact therein or material omission 

therefrom shall constitute a violation of section 6(c)(2) of the CEA. 

Name of each related person on behalf of which 

this individual is signing: 

Name of individual: 

Signature: 

Title: 

Email address: 

Telephone contact number (include area code and, 

if outside the United States, country code): 

Date: 

Item B. Information about assets of private funds that you advise 

3. Provide a breakdown of your regulatory assets under management and your net assets under 

management as follows: 

2 
 

 

 

 

 

 

 

Form PF 

Section 1a 

Information about you and your related persons 

(to be completed by all Form PF filers) 

Page 3 of 51 

(If you are filing a quarterly update for your first, second or third fiscal quarter, you are only required 

to update row (a), in the case of a large hedge fund adviser, or row (b), in the case of a large liquidity 

fund adviser. To avoid double counting, (i) do not include the value of your private funds’ investments

in other internal private funds, and (ii) if one or more of your private funds invests or conducts 

activities through a trading vehicle, do not report the trading vehicle separately, and instead include 

the assets of the trading vehicle as part of the regulatory assets under management and net assets of the 

trading vehicle’s private fund equity owner.) 

Regulatory assets Net assets under 

under management management 

(a) Hedge funds ...................................................... 

(b) Liquidity funds .................................................. 

(c) Private equity funds .......................................... 

(d) Real estate funds ............................................... 

(e) Securitized asset funds ...................................... 

(f) Venture capital funds ........................................ 

(g) Other private funds ........................................... 

(h) Funds and accounts other than private funds (i.e., 

the remainder of your assets under 

management)..................................................... 

Item C. Miscellaneous 

4. You may use the space below to explain any assumptions that you made in responding to 

any question in this Form PF. Assumptions must be in addition to, or reasonably follow 

from, any instructions or other guidance relating to Form PF. If you are aware of any 

instructions or other guidance that may require a different assumption, provide a citation 

and explain why that assumption is not appropriate for this purpose. To the extent 

responses relate to a particular Question, provide the Question number(s), as applicable. 

Question 

number 

Description 

[drop-down list for question 

number or “all” options.]

3 
 

 

 

 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 4 of 51 

Section 1b: Information about the private funds you advise 

You must complete a separate Section 1b for each private fund that you advise, except as provided by 

Instruction 6. 

Item A. Reporting fund identifying information 

5. (a) Name of the reporting fund 

(b) Private fund identification number of the reporting fund 

(c) NFA identification number of the reporting fund, if applicable 

(d) LEI of the reporting fund, if any 

6. (a) For purposes of reporting on this Form PF, what type of fund is the reporting fund? [Select one] 

[drop-down list for hedge fund that is not a qualifying hedge fund, qualifying hedge fund, liquidity 

fund, private equity fund, real estate fund, securitized asset fund, venture capital fund, or “other.”]

If you identify the reporting fund as “other,” describe the reporting fund in Question 4, including 

why it would not qualify for any of the other selections. If you identify the reporting fund as a 

different type of fund on Form ADV, explain why in Question 4. 

(b) Is the reporting fund a commodity pool? 

Yes No 

(c) Does the reporting fund operate as a UCITS? 

Yes No 

(d) If you checked yes in (c), in what countries does the reporting fund operate as a UCITS? 

[Drop-down list] 

(e) Does the reporting fund operate as an AIF? 

Yes No 

(f) If you checked yes in (e), in what countries does the reporting fund operate as an AIF? 

[Drop-down list] 

(g) Does the reporting fund market itself as a money market fund outside the United States? 

Yes No 

(h) If you checked yes in (g), in what countries does the reporting fund market itself as a money 

market fund? [Drop-down list] 

4 
 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 5 of 51 

7. (a) Is the reporting fund the master fund of a master-feeder arrangement? If so, check “yes” below, 

and complete (i) and (ii) for each feeder fund. Otherwise, check “no.” See Instructions 5, 6, and 7 

for information on treatment of master-feeder arrangements.) 

Yes No 

(i) Name of feeder fund................................................................... 

(ii) Private fund identification number of the feeder fund .............. 

(iii) Is the feeder fund a separate reporting fund? If so, check “yes,” below. If the feeder fund is a 

“disregarded” feeder fund in accordance with Instruction 6, check “no.” 

Yes No 

(b) Do any internal private funds (other than the feeder funds identified in (a) above) invest in the 

reporting fund? If so, check “yes” and complete (i), (ii), and (iii) for each such internal private 

fund. Otherwise, check “no.”

Yes No 

(i) Name of internal private fund.......................................................

(ii) Internal private fund’s LEI, if it has one....................................... 

(iii) Private fund identification number of the internal private fund....

8. (a) Is the reporting fund a component of a parallel fund structure? If so, check “yes” below.

Otherwise, check “no.” (See Instructions 5 and 6 for information regarding the treatment of 

parallel funds.) 

Yes No 

If you responded “yes” to Question 7(a), complete (b) through (e) below for each component in 

the parallel fund structure. 

(b) Name of the parallel fund 

(c) Private fund identification number of the parallel fund 

(d) NFA identification number of the parallel fund, if applicable 

(e) LEI of the parallel fund, if any 

9. If the reporting fund holds assets, incurs leverage or conducts trading or other activities through a 

trading vehicle, provide the following information about each trading vehicle. 

(a) Legal name ...................................................................................................................... 

(b) LEI, if any......................................................................................................................... 

(c) Other identifying information (indicate type used, if applicable. E.g., RSSD ID).........

10. (a) Does the reporting fund provide investors with withdrawal/redemption rights in the ordinary 

course? 

Yes No 

5 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 6 of 51 

(b) If the reporting fund provides investors with withdrawal/redemption rights in the ordinary course, 

indicate whether withdrawals/redemptions are permitted (regardless of whether there are notice 

requirements, “gates,” lock-ups, or other restrictions on withdrawals/redemptions) (check one): 

any business day 

at intervals of least two business days and up to a month 

at intervals longer than monthly up to quarterly 

at intervals longer than quarterly up to annually 

at intervals of more than one year 

Item B. Assets, financing, and investor concentration 

11. 

Date Gross Asset Value 

(a) Gross asset value of the reporting fund as of the 

end of the reporting period........................................ 

(b) If you are filing a quarterly update, provide the 

reporting fund’s gross asset value as of the end of the 

first month of the reporting period.......................

(c) If you are filing a quarterly update, provide the 

reporting fund’s gross asset value as of the end of the 

second month of the reporting period.......................

[Drop-down list of 

month, day, year] 

[Drop-down list of 

month, day, year] 

[Drop-down list of 

month, day, year] 

(The amount of the gross asset value of the reporting fund as of the end of the reporting period may 

differ from the amount you reported in response to question 11 of Form ADV Section 7.B.1. For 

instance, the amounts may not be the same if you are filing Form PF on a quarterly basis or because 

you may not aggregate a master-feeder arrangement for purposes of this Form PF.) 

12. 

Date Net Asset Value 

(a) Net asset value of the reporting fund as of the end 

of the reporting period................................................ 

(b) If you are filing a quarterly update, provide the 

reporting fund’s net asset value as of the end of the 

first month of the reporting period.......................

(c) If you are filing a quarterly update, provide the 

reporting fund’s net asset value as of the end of the 

second month of the reporting period.......................

[Drop-down list of 

month, day, year] 

[Drop-down list of 

month, day, year] 

[Drop-down list of 

month, day, year] 

6 
 

 

 

 

 

 

 

 

 

 

Form PF Information about the private funds you advise Page 7 of 51 

Section 1b (to be completed by all Form PF filers that advise hedge funds) 

13. Value of unfunded commitments included in gross asset value and net asset value reported in 

Questions 11 and 12 (if the reporting fund does not contract for unfunded commitments, enter 

NA).......

14. Provide the following information concerning the reporting fund’s activity during the reporting 

period. 

(For the purpose of this question, contributions include all new contributions from investors, but 

exclude contributions of committed capital that you have already included in gross asset value 

calculated in accordance with Form ADV, Part 1A, Instruction 6.e.(3). Withdrawals and redemptions 

from the reporting fund include all withdrawals, redemptions and other distributions of any kind to 

investors. ) 

(If you are filing a quarterly update, provide this information for each month of the reporting period.) 

(a) Contributions to the reporting fund during the reporting period...........................

(b) Withdrawals and redemptions from the reporting fund during the reporting period...

15. (a) Value of reporting fund's investments in equity of external private funds: _________ 

(b) Check “yes” if the reporting fund is a feeder fund in a master-feeder arrangement and complete the 

information below for the master fund in which this fund invests. Otherwise, check “no.”

Yes No 

(i) Name of master fund..............................................................................

(ii) Private fund identification number of the master fund:.................................

(iii) The master fund’s LEI, if any.................................................................

(iv) Value of the private fund’s investments in equity of the master fund:............

(c) Check “yes” if the reporting fund invests in any internal private funds and complete the information 

below for each such internal private fund. Otherwise, check “no.” Do not complete (c)(i) through 

(c)(iv) for a master fund identified in (b), above. 

Yes No 

(i) Name of internal private fund......................................................................... 

(ii) Private fund identification number of the internal private fund..................

(iii) The internal private fund’s LEI, if any.............................................

(iv) Value of the private fund’s investments in equity of the internal private fund: 

16. Value of all parallel managed accounts related to the reporting fund: ___________ 

(If any of your parallel managed accounts relates to more than one of the private funds you advise, 

only report the value of the account once, in connection with the largest private fund to which it 

relates) 

7 
 

 

 

 

 

Form PF Information about the private funds you advise Page 8 of 51 

Section 1b (to be completed by all Form PF filers that advise hedge funds) 

17. What is the reporting fund’s base currency? 

[drop-down list of currencies] 

Other _______________________ 

18. Provide the following information regarding the value of the reporting fund's borrowings and the 

types of creditors. 

(You are not required to respond to this question for any reporting fund with respect to which you are 

answering questions in Section 2. Do not net out amounts that the reporting fund loans to creditors or 

the value of collateral pledged to creditors.) 

(The percentages borrowed from the specified types of creditors should add up to approximately 

100%.) 

(a) Dollar amount of total borrowings 

(b) Percentage borrowed from U.S. depository institutions 

(c) Percentage borrowed from U.S. creditors that are not U.S. depository institutions 

(d) Percentage borrowed from non-U.S. creditors 

19. (a) Does the reporting fund have any outstanding derivatives positions? 

Yes No 

(b) If you responded “yes” to Question 19(a), provide the aggregate value of all 

derivatives positions of the reporting fund................................................................ 

20. Provide a summary of the reporting fund's assets and liabilities categorized using the hierarchy below 

and indicate the date as of which this categorization was performed. For assets and liabilities that you 

report internally and to current and prospective investors as representing fair value, or for which you 

are required to determine fair value in order to report the reporting fund's regulatory assets under 

management on Form ADV, categorize them into the following categories based on the valuation 

assumptions utilized: 

Level 1 – Quoted prices (unadjusted) in active markets for identical assets or liabilities. 

Level 2 – Other than quoted prices included within Level 1 that are observable for the asset or 

liability, either directly or indirectly. 

Level 3 – Unobservable inputs, such as your assumptions or the fund’s assumptions used to determine 

the fair value of the asset or liability. 

For any assets and liabilities that you report internally and to current and prospective investors as 

representing a measurement attribute other than fair value, and for which you are not required to 

determine fair value in order to report the reporting fund's regulatory assets under management on 

Form ADV, separately report these assets and liabilities in the “cost-based” measurement column. 

Do not report cash and cash equivalents in any other column except for the cash and cash equivalents 

column. 

(If the fund’s financial statements are prepared in accordance with U.S. generally accepted accounting 

principles (“U.S. GAAP”) or another accounting standard that requires the categorization of assets 

and liabilities using a fair value hierarchy similar to that established under U.S. GAAP, then respond 

to this question using the fair value hierarchy established under the applicable accounting standard. 

Report the absolute value of all liabilities. If you report assets as a negative value, you must provide 

an explanation in Question 4.) 

(You should use the estimated values for the fiscal year for which you are reporting if the audit of the 

financial statement is not yet completed when the Form PF is required to be filed and explain that the 

8 
 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 9 of 51 

information is an estimate in Question 4. You may, but are not required to, amend when the audited 

financial statements are complete.) 

(This question requires the use of fair values and cost-based measurements, which may be different 

from the values contemplated by Instruction 15. You are only required to respond to this question if 

you are filing an annual update or a quarterly update for your fourth fiscal quarter.) 

As of date [drop-down box for month, day, year] 

Level 1 Level 2 Fair Value 

Level 3 

Cost-based Cash and Cash 

Equivalents 

Assets 

Liabilities 

21. Specify the approximate percentage of the reporting fund's equity that is beneficially owned by the 

five beneficial owners having the largest equity interests in the reporting fund._______________ 

(For purposes of this question, if you know that two or more beneficial owners of the reporting fund 

are affiliated with each other, you should treat them as a single beneficial owner. If the reporting fund 

is the master fund in a master feeder arrangement, include the beneficial owners of a disregarded 

feeder fund described by Instruction 6 as beneficial owners of the reporting fund.) 

22. Specify the approximate percentage of the reporting fund's equity that is beneficially owned by the 

following groups of investors. If you select “other,” describe in Question 4 the type of investor, why it

would not qualify for any of the other groups, and any other information to explain your selection. 

(Include each investor in only one group. The total should add up to approximately 100%. 

With respect to beneficial interests outstanding prior to March 31, 2012, that have not been 

transferred on or after that date, you may respond to this question using good faith estimates 

based on data currently available to you. If the reporting fund is the master fund in a master 

feeder arrangement, include the beneficial owners of a disregarded feeder fund described by 

Instruction 6 as beneficial owners of the reporting fund.) 

(a) Individuals that are United States persons (including their trusts)........................... 

(b) Individuals that are not United States persons (including their trusts)..................... 

(c) Broker-dealers that are United States persons.......................................................... 

(d) Broker-dealers that are not United States persons.................................................... 

(e) Insurance companies that are United States persons................................................ 

(f) Insurance companies that are not United States persons.......................................... 

(g) Investment companies registered with the SEC........................................................ 

(h) External Private funds............................................................................................. 

(i) Internal private funds............................................................................................... 

(j) Non-profits that are United States persons................................................................ 

(k) Non-profits that are not United States persons.......................................................... 

(l) U.S. pension plans (excluding governmental pension plans)................................... 

9 
 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 10 of 51 

(m) Non-U.S. pension funds (plans and funds that are not U.S. private or 

governmental pension 

plans.......................................................................................................................... 

(n) Banking or thrift institutions that are United States persons.................................... 

(o) Banking or thrift institutions that are not United States persons............................... 

(p) U.S. state or municipal government entities (excluding governmental pension 

plans) ....................................................................................................................... 

(q) U.S. state or municipal governmental pension plans................................................. 

(r) Sovereign wealth funds and foreign official institutions (excluding pension funds). 

(s) Investors that are not United States persons and about which the foregoing 

beneficial ownership information is not known and cannot reasonably be obtained 

because the beneficial interest is held through a chain involving one or more thirdparty intermediaries .................................................................................................. 

(t) Other .......................................................................................................................... 

Item C. Reporting fund performance 

23. Complete (a) unless the reporting fund’s performance is reported to current and prospective investors, 

counterparties, or otherwise, as an internal rate of return since inception, in which case, complete (b). 

(a) Provide the reporting fund's gross and net performance, as reported to current and prospective 

investors, counterparties, or otherwise. If such information is reported to current and prospective 

investors, counterparties, or otherwise, in a currency other than U.S. dollars, report the data using 

that currency, and identify the currency in Question 4. 

If the fund reports different performance results to different groups, provide the most 

representative results and explain your selection in Question 4. You are required to provide 

monthly and quarterly performance results only if such results are calculated for the reporting fund 

(whether for purposes of reporting to current or prospective investors, counterparties, or 

otherwise). 

If you are submitting an initial filing or an annual update, complete (i) through (xvi) (concerning 

monthly and quarterly data), only if you calculate such results, and complete (xvii) (concerning 

yearly data). (For example, if you are submitting an initial filing or an annual update and you do 

not calculate monthly or quarterly performance results, complete (xvii) only.) 

If you are submitting a quarterly update, complete the following: 

• Complete (i) through (iii) (concerning monthly data), if you calculate such results; and 

• Complete (xiii) through (xvi) for the applicable quarter. (For example, if you are filing a 

quarterly update for the first quarter of reporting funds’ fiscal year, complete (xiii) 

(concerning the first quarter), but do not complete (xiv) (concerning the second quarter), 

(xv) (concerning the third quarter), or (xvi) (concerning the fourth quarter); and 

• Complete (xvii) (data concerning the reporting fund's most recently completed fiscal 

year) only if the quarterly update is for the fourth quarter of reporting fund’s fiscal year. 

If the quarterly update is not the fourth quarter of the reporting fund’s fiscal year, do not 

10 
 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 11 of 51 

complete (xvii). 

(If your fiscal year is different from the reporting fund’s fiscal year, then for any portion of the 

reporting fund’s fiscal year that has not been completed as of the data reporting date, provide the 

relevant information from that portion of the reporting fund’s preceding fiscal year.) 

(Performance results for monthly and quarterly periods should not be annualized. If any period 

precedes the date of the fund's formation, enter “NA”. You are not required to include 

performance results for any period with respect to which you previously provided performance 

results for the reporting fund on Form PF.) 

End date 

[drop-down 

list of month, 

day, year] 

Gross 

performance 

Net of 

management 

fees, incentive 

fees, and 

allocations 

Monthly Data 

(i) 1st month of reporting period 

(ii) 2nd month of reporting period 

(iii) 3rd month of reporting period 

(iv) 4th month of reporting period 

(v) 5th month of reporting period 

(vi) 6th month of reporting period 

(vii) 7th month of reporting period 

(viii) 8th month of reporting period 

(ix) 9th month of reporting period 

(x) 10th month of reporting period 

(xi) 11th month of reporting period 

(xii) 12th month of reporting period 

Quarterly Data 

(xiii) First quarter of reporting fund’s fiscal year 

(xiv) Second quarter of reporting fund’s fiscal year 

(xv) Third quarterof reporting fund’s fiscal year 

(xvi) Fourth quarter of reporting fund’s fiscal year 

Yearly Data 

(xvii) Reporting fund's most recently completed 

fiscal year 

11 
 

 

 

 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 12 of 51 

(b) If the reporting fund’s performance is reported to current and prospective investors, 

counterparties, or otherwise, as an internal rate of return since inception, provide the reporting 

fund’s performance below. If such information is reported to current and prospective investors, 

counterparties, or otherwise, in a currency other than U.S. dollars, report the data using that 

currency, and identify the currency in Question 4. 

If the fund reports different performance results to different groups, provide the most 

representative results and explain your selection in Question 4. You are required to provide 

quarterly performance results since inception only if such results are calculated for the reporting 

fund (whether for purposes of reporting to current and prospective investors, counterparties, or 

otherwise). Internal rates of return for periods longer than one year must be annualized, while 

internal rates of return for periods one year or less must not be annualized. 

(i) Inception date used for internal rate of return calculation:.......................................

(ii) Inception through the first quarter of reporting fund’s fiscal year................................

(iii) Inception through the second quarter of reporting fund’s fiscal year............................ 

(iv) Inception through the third quarter of reporting fund’s fiscal year...............................

(v) Inception through the end of the reporting fund’s most recently completed fiscal year......

(c) If you calculate a market value on a daily basis for any position in the reporting fund’s portfolio, 

report the following: 

(i) Provide the reporting fund aggregate calculated value at the end of the reporting period, and 

if you are filing a quarterly update, also report the reporting fund aggregate calculated value 

as of the end of the first and second month of the reporting period. 

(ii) Provide the reporting fund’s volatility of the natural log of the daily rate of return for each 

month of the reporting period, computed as the standard deviation of the natural log of one 

plus each of the daily rates of return in the month, annualized by the square root of 252 

trading days. When calculating the natural log of a daily rate of return, the rate of return, 

which is expressed as a percent, must first be converted to a decimal value and then one must 

be added to the decimal value. 

Monthly volatility of returns 

(A) 1st month of reporting period 

(B) 2nd month of reporting period 

(C) 3rd month of reporting period. 

(D) 4th month of reporting period 

(E) 5th month of reporting period 

(F) 6th month of reporting period 

(G) 7th month of reporting period 

(H) 8th month of reporting period 

12 
 

 

 

Form PF 

Section 1b 

Information about the private funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 13 of 51 

(I) 9th month of reporting period 

(J) 10th month of reporting period 

(K) 11th month of reporting period 

(L) 12th month of reporting period 

(iii) Is the reporting fund’s volatility of the daily rates of return reported to current and 

prospective investors, counterparties, or otherwise using a different computation than 

Question 23(ii)? If yes, describe it in Question 4. 

Yes No 

(iv)(A) Did the reporting fund have a negative daily rate of return for one or more days during the 

reporting period? 

Yes No 

(B) If you responded “yes” to (iv)(A), report the following for the most recent peak to trough 

drawdown: 

Amount in base currency _________ Beginning Date_________ End Date_________ 

If the drawdown was continuing on the data reporting date, do not enter an end date and 

check here □

(C) Largest peak to trough drawdown of the reporting fund over the reporting period: 

Amount in base currency _________ Beginning Date_________ End Date_________ 

If the drawdown was continuing on the data reporting date, check here □

(D) Largest single day drawdown of the reporting fund over the reporting period: 

Amount in base currency ________ Date_________ 

(E) Number of days with a negative daily rate of return in the reporting period __________. 

13 
 

 

 

 

Form PF 

Section 1c 

Information about the hedge funds you advise 

(to be completed by all Form PF filers that advise hedge funds) 

Page 14 of 51 

Section 1c: Information about the hedge funds you advise 

You must complete a separate Section 1c for each hedge fund that you advise, except as provided by 

Instruction 6. 

Item A. Reporting fund identifying information 

24. (a) Name of the reporting fund......................................................................................... 

(b) Private fund identification number of the reporting fund ........................................... 

Item B. Certain information regarding the reporting fund 

25. Indicate which of the investment strategies below best describe the reporting fund's strategies on the 

last day of the reporting period. For each strategy that you have selected, provide a good faith 

estimate of the percentage of the reporting fund's net asset value represented by that strategy. If, in 

your view, the reporting fund's allocation among strategies is appropriately represented by the 

percentage of deployed capital, you may also provide that information. 

(Select the investment strategies that best describe the reporting fund's strategies, even if the 

descriptions below do not precisely match your characterization of those strategies; select “other”

only if a strategy that the reporting fund uses is significantly different from any of the strategies 

identified below.) 

(The strategies listed below are mutually exclusive (i.e., do not report the same assets under multiple 

strategies). If providing percentages of capital, the total should add up to approximately 100%.)(If 

you select “other” as an investment strategy for the reporting fund, describe in Question 4 the 

investment strategy, why it would not qualify for any of the other categories, and any other information 

to explain the selection “other”)

14 
 

 

 

 

 

 

 

Form PF 

Section 1c 

Information about the hedge funds you advise 

(to be completed by all Form PF filers that advise private funds) 

Page 15 of 51 

% of NAV % of capital Strategy (required) (optional) 

□ Equity, Market Neutral 

□ Equity, Long Bias 

□ Equity, Short Bias 

□ Equity, Factor Driven 

□ Equity, Statistical Arbitrage 

□ Equity, Emerging Markets 

□ Macro, Global Macro 

□ Convertible Arbitrage 

□ Relative Value, Fixed Income Corporate 

□ Relative Value, Fixed Income Arbitrage. (E.g., U.S. 

treasuries, sovereign bonds, Eurodollar futures, 

Federal National Mortgage Association, Government 

National Mortgage Association, Federal Home Loan 

Mortgage Corporation, and to-be-announced 

securities, etc.) 

□ Relative Value, Volatility Arbitrage 

□ Event Driven, Distressed 

□ Event Driven, Risk Arbitrage/Merger Arbitrage 

□ Event Driven, Special Situations 

□ Credit, Asset Based Lending 

□ Credit, Litigation Finance 

□ Credit, Emerging Markets 

□ Credit, Asset Backed/Structured Products. (E.g.,

asset backed securities, credit default swaps, 

collateralized loan obligation, etc.) 

□ Managed Futures/CTA, Fundamental 

15 
 

 

 

Form PF Information about the hedge funds you advise Page 16 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

□ Managed Futures/CTA, Quantitative 

□ Investment in other funds 

□ Real Estate 

□ Real Estate Investment Trusts 

□ Real Assets Excluding Real Estate 

□ Digital assets 

Cash and cash equivalents (not otherwise allocated to □ another strategy) 

□ Other: 

26. Consolidated Counterparty Exposure Table 

Report in the consolidated counterparty exposure table below the reporting fund’s borrowing and 

collateral received (B/CR) and lending and posted collateral (L/PC) aggregated across all creditors and 

counterparties (including all CCPs) in U.S. dollars as of the end of the reporting period. (You are not 

required to complete this question if the reporting fund is a qualifying hedge fund and you complete the 

consolidated counterparty exposure table in Section 2). 

You must net the reporting fund’s exposure with each counterparty and among affiliated entities of a 

counterparty to the extent such exposures may be contractually or legally set-off or netted across those 

entities or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another 

under the agreements governing the transactions. Netting must be used to reflect net cash borrowed 

from or lent to a counterparty, but must not be used to offset securities borrowed and lent against one 

another, when reporting prime brokerage and repo/reverse repo transactions. 

In completing the table, classify borrowing and collateral received and lending and posted collateral 

according to type (e.g., unsecured borrowing, secured borrowing, derivatives cleared by a CCP, and 

uncleared derivatives) and the governing legal agreement (e.g., a prime brokerage or other brokerage 

agreement for cash margin and securities lending and borrowing, a global master repurchase agreement 

for repo/reverse repo, or an ISDA master agreement for synthetic long positions, synthetic short 

positions and derivatives). Report transactions under a master securities loan agreement as other 

secured borrowing. 

□ Check this box if one or more prime brokerage agreements provide for cross-margining of 

derivatives and secured financing transactions. If you have checked this box, and collateral does not 

clearly pertain to secured financing vs. derivatives transactions, report exposures and collateral as 

follows: 

• For secured financing, exposures and collateral should be reported in sections (b), (c) and (d) 

as applicable 

• For derivatives, 

o Report the gross notional value and the mark-to-market exposure of the derivatives 

transactions with other derivatives transactions (lines (e)(i) or lines (f)(i) and (ii)) 

16 
 

Form PF Information about the hedge funds you advise Page 17 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

o Report associated collateral as collateral received (B/CR) or posted collateral (L/PC) 

under the prime brokerage agreement (lines (b)(ii) and (iii)). 

• For derivatives cleared by a CCP, for cases where the prime broker gathers additional 

collateral in excess of that required by exchanges, report collateral posted by the reporting 

fund to meet exchange requirements in the cleared derivatives section on lines (e)(ii) and (iii), 

and any additional collateral gathered by the prime broker under a cross margining agreement 

should appear on lines (b) (ii) and (iii). 

Consolidated Counterparty Exposure Table B/CR L/PC 

(a) Unsecured borrowing – cash and cash equivalents Not 

Applicable 

(b) Secured borrowing and lending (prime brokerage or other brokerage agreement) 

(i) cash and cash equivalents received in cash margin borrowing, or received or paid 

by the reporting fund in securities lending and short sale transactions 

(ii) cash and cash equivalents received or posted by the reporting fund as collateral 

for derivatives under any cross-margining agreement 

(iii) government securities and other securities received and posted by the reporting 

fund 

(c) Secured borrowing and lending via repo and reverse repo (include tri-party repo) 

(i) cash and cash equivalents 

(ii) government securities and other securities (other than cash and cash equivalents) 

received and posted by the reporting fund 

(d) Other secured borrowing and lending (describe in Question 4) 

(i) cash and cash equivalents 

(ii) government securities and other securities (other than cash and cash equivalents) 

received and posted by the reporting fund 

(e) Derivative positions cleared by a CCP 

(i) mark-to-market exposure of derivatives transactions before collateral 

(ii) cash and cash equivalents received and posted by the reporting fund as collateral 

(iii) government securities and other securities received and posted by the reporting 

fund as collateral 

(f) Derivative positions that are not cleared by a CCP (uncleared) 

(i) gross notional value of synthetic long positions and synthetic short positions 

(ii) mark-to-market exposure of derivatives transactions before collateral 

(iii) cash and cash equivalents received and posted by the reporting fund as collateral 

(iv) government securities and other securities received and posted by the reporting 

fund as collateral 

17 
 

 

 

 

 

 

 

Form PF Information about the hedge funds you advise Page 18 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

27. Identify each creditor or other counterparty (including CCPs) to which the reporting fund owed an 

amount in respect of cash borrowing entries (before posted collateral) which is equal to or greater than 

either (1) 5% of net asset value as of the data reporting date, or (2) $1 billion. If there are more than 

five such counterparties, report the five counterparties to which the reporting fund owed the largest 

dollar amount in cash borrowing entries before taking into account collateral posted by the reporting 

fund. (You are not required to complete this question if the reporting fund is a qualifying hedge fund 

and you complete Question 42 in Section 2). 

In the table below, report the legal entity name and LEI of each creditor or other counterparty, if it has 

one, in columns (i) and (ii). Indicate whether the creditor or counterparty is affiliated with a major 

financial institution in column (iii). If you select “other,” name and describe the financial institution in 

Question 4. Do not treat affiliated counterparty entities as a single group, except that, if the applicable 

contractual and legal documentation requires cross margining, report the LEI of the contractual 

counterparty, typically the prime broker. 

Report the reporting fund’s cash borrowing entries for each reported creditor or counterparty in 

column (iv) as a negative number. Report in column (v) the collateral posted entries posted by the 

reporting fund for each reported creditor or other counterparty as a positive number. 

(v) Collateral 

(iii) Indicate below if (iv) Borrowing posted by 

(i) Legal name (ii) the counterparty is by reporting reporting 

of the Counterparty affiliated with a major fund (in U.S. fund (in U.S. 

counterparty LEI, if any financial institution dollars) dollars) 

(a) [drop-down list of 

counterparty names] 

Other: ____ 

[Not applicable] 

(b) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

(c) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

(d) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

(e) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

28. Provide the following information for counterparties to which the reporting fund had net mark to 

market counterparty credit exposure, after taking into account collateral received or posted by the 

reporting fund, which is equal to or greater than either (1) 5% of the reporting fund’s net asset value as 

of the data reporting date, or (2) $1 billion. Include CCPs or other third parties holding collateral 

posted by the reporting fund in respect of cleared exposures (including tri-party repo). If there are 

18 
 

 

 

 

 

Form PF Information about the hedge funds you advise Page 19 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

more than five such counterparties, report the five to which the reporting fund had the greatest mark to 

market exposure after taking into account collateral. (You are not required to complete this question if 

the reporting fund is a qualifying hedge fund and you complete Question 43 in Section 2). 

For counterparties to which the reporting fund had net borrowing exposure, the reporting fund’s net 

mark to market counterparty credit exposure before collateral equals the reporting fund’s cash

borrowing entries. The reporting fund’s net mark to market counterparty credit exposure after 

collateral is the amount (if any) by which the reporting fund’s collateral posted entries exceed such 

cash borrowing entries. 

For counterparties to which the reporting fund had net lending exposure, the reporting fund’s net mark 

to market counterparty exposure before collateral means the cash lending entries. 

The reporting fund’s net mark to market counterparty credit exposure after collateral equals the 

amount (if any) by which the reporting fund’s cash lending entries exceeds the collateral received 

entries. 

For all counterparties (whether the reporting fund had borrowing or lending exposure), these 

computations will produce a positive value for the counterparties to which the reporting fund had net 

mark to market counterparty credit exposure after collateral. This may occur where the reporting 

fund’s posted collateral exceeded borrowings by the reporting fund from a counterparty. It also may 

occur where collateral received by the reporting fund fell short of the reporting fund’s net mark to 

market counterparty credit exposure through cash and cash equivalents received by a counterparty in 

margin borrowing, securities lending, repo and reverse repo transactions, and mark to market exposure 

in derivatives transactions. 

Report the legal entity name and LEI of each creditor or other counterparty, if it has one, in column (i) 

and (ii) below. Indicate if the counterparty is affiliated with a major financial institution in column 

(iii). If you select “other,” name and describe the financial institution in Question 4. In columns (iv) 

and (v), provide the reporting fund’s net mark to market counterparty credit exposure, before taking 

into account collateral (which will be a negative number where the reporting fund is a net borrower, 

and a positive number where the reporting fund is a net lender), and net mark to market counterparty 

credit exposure, after taking into account collateral (which will always be a positive number for 

counterparties included in this table). 

Do not treat affiliated counterparty entities as a single group, except that, if the applicable contractual 

and legal documentation requires cross margining, report the legal entity name and LEI of the 

contractual counterparty, typically the prime broker. 

(iii) Indicate if the (iv) Net mark to (v) Net mark to 

(ii) Counter- counterparty is market exposure market exposure 

(i) Legal name of party LEI, if affiliated with a major before collateral after collateral 

the counterparty any financial institution (in U.S. dollars) (in U.S. dollars) 

(a) [drop-down list of 

counterparty names] 

Other: ________ 

[Not applicable] 

(b) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

19 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF Information about the hedge funds you advise Page 20 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

(c) [drop-down list of 

counterparty names] 

Other: ______ 

[Not applicable] 

(d) [drop-down list of 

counterparty names] 

Other: _______ 

[Not applicable] 

(e) [drop-down list of 

counterparty names] 

Other: _______ 

[Not applicable] 

29. Provide the following information regarding your use of trading and clearing mechanisms during the 

reporting period. 

(Provide good faith estimates of the mode in which each category was traded and cleared by the 

reporting fund, and not the market as a whole. For purposes of this question, a “trade” includes any 

transaction, whether entered into on a bilateral basis or through an exchange, trading facility or other 

system and whether long or short. With respect to clearing, transactions for which margin is held in a 

customer omnibus account at a CCP should be considered cleared by a CCP. Tri-party repo applies 

where repo/reverse repo collateral is executed using collateral management and settlement services of 

a third party that does not act as a CCP. Sponsored repo/reverse repo, including sponsored tri-party 

repo applies to transactions in which the reporting fund has been sponsored by a sponsoring member of 

the Fixed Income Clearing Corporation (FICC).) 

(Enter “NA” in each part of this question for which the reporting fund engaged in no relevant trades.} 

(In column (i) “value traded,” report the total value in U.S. dollars of the reporting fund’s transactions 

in the instrument category and trading mode during the reporting period. In determining the “value

traded” of derivatives trades for purposes of Questions 29(b) and 29(c), you should use the weightedaverage of the notional amount of the aggregate derivatives transactions entered into by the reporting 

fund during the reporting period, except for the following: (1) for options, you would use the delta 

adjusted notional value, (2) for interest rate derivatives, you would use the 10-year bond equivalent.) 

(In column (ii),“end of reporting period value of positions,” report the sum of the absolute value of all

of the reporting fund’s long and short positions in each category and mode at (a) to (d) on the last date 

of the reporting period. If you complete Section 2 for the reporting fund, the sum of the end of the 

reporting period value of positions in each category should be consistent with the sum of long and 

short positions for sub-asset classes in that category reported in Question 32.) 

20 
 

 

 

 

 

 

 

 

 

 

Form PF Information about the hedge funds you advise Page 21 of 51 

Section 1c (to be completed by all Form PF filers that advise private funds) 

(ii) End of 

reporting period 

(i) value traded value of 

(in U.S. dollars) positions 

(a) securities (other than derivatives) that were traded by the 

reporting fund. 

On a regulated exchange 

OTC 

(b) interest rate derivatives that were traded by the reporting fund 

On a regulated exchange or swap execution facility 

OTC (and cleared by a CCP) 

OTC/bilaterally transacted (and not cleared by a CCP) 

(c) derivatives (other than interest rate derivatives) that were traded 

by the reporting fund and: 

On a regulated exchange or swap execution facility 

OTC (and cleared by a CCP) 

OTC/bilaterally transacted (and not cleared by a CCP) 

(d) repo/reverse repo trades that were entered into by the reporting 

fund and: 

Cleared by a CCP (other than sponsored repo/reverse repo) 

Cleared by a CCP (sponsored repo/ reverse repo). 

Bilaterally transacted (and not cleared by a CCP and not 

settled on tri-party platform) 

Tri-party repo/reverse repo (and not cleared by a CCP) 

30. For transactions of the reporting fund that are not described in any of the categories listed in items 

(a) through (d) of Question 29, provide: 

(a) the value traded (in U.S. dollars) during the reporting period, calculated according to the method 

prescribed for column (i) of Question 29, and 

(b) the end of reporting period value of positions, calculated according to the method prescribed for 

column (ii) of Question 29. 

21 
 

 

 

 

 

 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 22 of 51 

Section 2: Information about qualifying hedge funds that you advise. 

You must complete a separate Section 2 for each qualifying hedge fund that you advise, except as provided 

by Instruction 6. With respect to master-feeder arrangements and parallel fund structures that collectively 

comprise qualifying hedge funds, report the component funds as provided in the General Instructions. 

See Instructions 3, 5, and 6. 

Item A. Reporting fund identifying information 

31. (a) Name of the reporting fund ......................................................................................... 

(b) Private fund identification number of the reporting fund ........................................... 

Item B. Reporting fund exposures and trading 

32. Reporting fund exposures. 

For each month of the reporting period, report the information required by (a) to (c) below for the reporting 

fund’s long and short positions, by sub-asset class (and instrument type, if applicable). Report the absolute 

value of short positions. You are not required to report for sub-asset classes for which there are no relevant 

positions. 

For this question, sub-asset classes are: listed equity issued by financial institutions; American Depositary 

Receipts; other single name listed equity; indices on listed equity; other listed equity; unlisted equity issued 

by financial institutions; other unlisted equity; investment grade corporate bonds issued by financial 

institutions (other than convertible bonds); investment grade corporate bonds not issued by financial 

institutions (other than convertible bonds); non-investment grade corporate bonds issued by financial 

institutions (other than convertible bonds); non-investment grade corporate bonds not issued by financial 

institutions (other than convertible bonds); investment grade convertible bonds issued by financial 

institutions; investment grade convertible bonds not issued by financial institutions; non-investment grade 

convertible bonds issued by financial institutions; non-investment grade convertible bonds not issued by 

financial institutions; U.S. treasury bills; U.S. treasury notes and bonds; agency securities; GSE bonds; 

sovereign bonds issued by G10 countries other than the U.S, other sovereign bonds (including supranational 

bonds); U.S. state and local bonds; leveraged loans; loans (excluding leveraged loans and repo); overnight 

repo, term repo (other than overnight); open repo; MBS; ABCP; CDO (senior or higher); CDO (mezzanine); 

CDO (junior equity); CLO (senior or higher); CLO (mezzanine); CLO (junior equity); other ABS, other 

structured products; U.S. dollar interest rate derivatives; non-U.S. currency interest rate derivatives; 

sovereign single name CDS; financial institution single name CDS; other single name CDS, index CDS; 

exotic CDS; foreign exchange derivatives; correlation derivatives; inflation derivatives; volatility 

derivatives; variance derivatives; other derivatives, agricultural commodities; crude oil commodities; natural 

gas commodities; power and other energy commodities; gold commodities; other (non-gold) precious metal 

commodities; base metal commodities; other commodities; real estate; digital assets; U.S. currency holdings; 

non-U.S. currency holdings; certificates of deposit; other deposits; money market funds; other cash and cash 

equivalents (excluding bank deposits, certificates of deposit, money market funds, and U.S. treasury bills, 

notes and bonds); investments in other sub-asset classes. 

Choose the sub-asset class (and instrument type, if applicable) that describes the sub-asset class exposure and 

instrument type of the reporting fund’s positions with the highest degree of precision. Include positions held 

in side-pockets as positions of the reporting fund. Include any closed out and OTC forward positions that 

have not yet expired/matured. Provide the absolute value of short positions. Report cash borrowed via 

reverse repo as the short value of repos. See definitions of repo and reverse repo in the Glossary. 

22 
 

 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 23 of 51 

(a) (1) Except for the sub-asset classes identified by (a)(2) below, report the dollar value of long positions and 

the dollar value of short positions in each sub-asset class by instrument type: For this purpose, instrument 

types are: cash/physical instruments, futures, forwards, swaps, listed options, unlisted options, other derivative 

products, ETFs, other exchange-traded products, U.S. registered investment companies (excluding ETFs and 

money market funds), investments in non-U.S. investment companies, internal private funds, external private 

funds, commodity pools, and any other company, fund or entity. For foreign exchange derivatives, report forex 

swaps and currency swaps separately. In determining dollar value, do not net long and short positions within 

sub-asset classes or instrument types (with the exception of spot foreign exchange longs and shorts). 

In determining the reporting fund’s exposure to sub-asset classes for positions held indirectly through 

entities, e.g., ETFs, other exchange traded products, U.S. registered investment companies (excluding 

ETFs and money market funds), investments in non-U.S. investment companies, external private funds, 

internal private funds, commodity pools, or other companies, funds or entities, you may allocate the 

position among sub—asset classes and instrument types using reasonable estimates consistent with your 

internal methodologies and conventions of service providers. If the reporting fund’s position in any such 

entity represents less than (1) 5% of the reporting fund’s net asset value and (2) $1 billion, you may report 

entire entity position in one sub-asset class and instrument type that best represents the sub-asset class 

exposure of the entity, unless you would allocate the exposure more granularly under you own internal 

methodologies and conventions of your service providers. 

(i) Long: 

(ii) Short: 

(2) Report the dollar value of long positions and the dollar value of short positions for the sub-asset class 

(not by instrument type) for these sub-asset classes: leveraged loans, loans (excluding leveraged loans and 

repo); overnight repo, term repo (other than overnight), open repo; sovereign single name CDS; financial 

institution single name CDS; other single name CDS, index CDS; exotic CDS; U.S. currency holdings, 

non-U.S. currency holdings, certificates of deposit, other deposits, money market funds, other cash and 

cash equivalents (excluding bank deposits, certificates of deposit, money market funds, and U.S. treasury 

bills, notes and bonds). 

(i) Long: 

(ii) Short: 

Describe the nature of the reporting fund’s investment positions in Question 4, if you report long or short 

dollar value equal to or exceeding either (1) 5% of the reporting fund’s net asset value or (2) $1 billion in 

any of these sub-asset classes: loans (excluding leveraged loans and repo), other structured products, 

other derivatives, other commodities, digital assets, investments in other sub-asset classes.) 

(b) Adjusted exposure (1) For each sub-asset class in which the reporting fund held relevant positions, 

calculate the adjusted exposure of long and short positions by netting positions in the same underlying 

reference asset across instrument type, and for fixed income assets, within the same term, using the following 

maturity buckets: 0-1yr, 2 year, 2-5 year, 5-10 year, 10 year, 10-15 year, 15 year, 15-20 year, and 20+ year. 

You may net counterparties consistent with the information you report internally and to current and 

prospective investors. 

(i) Long: 

(ii) Short: 

(2) If, under your methodologies for internal reporting and reporting to investors, you do not 

net all positions across all instrument types in monitoring the economic exposure of the 

23 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 24 of 51 

reporting fund’s investment positions, you must also (i) report adjusted exposure for each subasset class calculated using your internal methodologies, and (ii) describe in Question 4 how 

your internal methodologies differ from the calculations required by subsection (b)(1). 

(c) Interest rate risk (10-year bond equivalent). For sub-asset classes with interest rate risk, report the 10-year 

bond equivalent of the sub-asset class long position dollar value and short position dollar value (by instrument 

type, if applicable) and adjusted exposure. Report 10 year bond equivalent as a long value for positions that 

have a gain when rates decline, and as a short value for positions that have a loss when rates decline, 

(NOTE: 10-year bond equivalent is required for these sub-asset classes: investment grade corporate bonds 

issued by financial institutions (other than convertible bonds); investment grade corporate bonds not issued 

by financial institutions (other than convertible bonds); non-investment grade corporate bonds issued by 

financial institutions (other than convertible bonds); non-investment grade corporate bonds not issued by 

financial institutions (other than convertible bonds); investment grade convertible bonds issued by financial 

institutions; investment grade convertible bonds not issued by financial institutions; non-investment grade 

convertible bonds issued by financial institutions; non-investment grade convertible bonds not issued by 

financial institutions; U.S. treasury bills, U.S. treasury notes and bonds; U.S. agency securities; GSE 

bonds; sovereign bonds issued by G10 countries other than the U.S, other sovereign bonds (including 

supranational bonds); U.S. state and local bonds; leveraged loans , loans (excluding leveraged loans and 

repo); overnight repo, term repo (other than overnight), open repo, MBS, ABCP, Senior or higher CDO, 

Mezzanine CDO, Junior equity CDO, Senior or higher CLO, Mezzanine CLO, Junior equity CLO, other 

ABS, other structured product; U.S. dollar interest rate derivatives, non-U.S. currency interest rate 

derivatives; certificates of deposit). 

33. (a) For each month of the reporting period, report the net long value and net short value of the 

reporting fund’s currency exposure arising from foreign exchange derivatives and all other assets and 

liabilities of the reporting fund that are denominated in a currency other than the reporting fund’s 

base currency. 

Currency 1st Month 2nd Month 3rd Month 

Long value Short value Long value Short value Long value Short value 

[drop-down of currencies] 

[drop-down of currencies] 

(b) For each month of the reporting period, identify each currency to which the reporting fund has 

long dollar value or short dollar value exposure equal to or exceeding either (1) 5% of the reporting fund’s net 

asset value or (2) $1 billion and report the long dollar value and short dollar value of this exposure in U.S. 

dollars. 

In responding to this question, include the spot currency exposure arising from all holdings, including 

assets denominated in foreign currencies, and derivative products with currency exposure. Include 

currency exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. registered 

investment companies, non-U.S. registered investment companies, internal private funds, external 

private funds, commodity pools, or other companies, funds or entities). You may report reasonable 

estimates, if consistent with your internal methodologies and conventions of service providers.) 

Currency 1st Month 2nd Month 3rd Month 

Long value Short value Long value Short value Long value Short value 

[drop-down of currencies] 

[drop-down of currencies] 

24 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 25 of 51 

34. For each month of the reporting period, provide the value of turnover during the month in each of the 

asset classes listed below for the reporting fund. 

(The value of turnover is the sum of the absolute values of transactions in the relevant asset class 

during the period.). 

1st Month 2nd Month 3rd Month 

Listed equity (exclude listed equity derivatives)..... 

Corporate bonds (other than convertible bonds; 

exclude derivative exposure to corporate bonds).... 

Convertible bonds (exclude derivative exposure to 

convertible bonds).................................................... 

Sovereign bonds and municipal bonds (exclude 

derivative exposure) 

U.S. treasury bills.................................... 

U.S. treasury notes and bonds 

Agency securities .....................................

GSE bonds....................................................... 

Sovereign bonds issued by G10 countries other 

than the U.S............................................ 

Other sovereign bonds (including supranational 

bonds)........................................ 

U.S state and local bonds................................. 

Listed equity derivatives...............................

Interest rate derivatives.........................

U.S. dollars 

Futures................................

Swaps.............................

Options........................................

Other derivative instrument types 

Non-U.S. currencies 

Futures 

Swaps 

Options 

Other derivative instrument types 

Foreign Exchange Derivatives ...................

Swaps ..... 

Options ......................................

Other instrument types ..........

Derivative exposure to 

U.S treasury securities 

Derivative exposure to sovereign bonds issued by G10 

countries other than the U.S....

25 
 

 

 

 

Form PF 

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Information about qualifying hedge funds that you advise Page 26 of 51 

Derivative exposure to other sovereign bonds 

Other Derivatives..........................................

35. For each month of the reporting period, identify by ISO country code, each country to which the 

reporting fund has long dollar value or short dollar value exposure equal or exceeding either (1) 5% of 

the reporting fund’s net asset value or (2) $1 billion., and report the long dollar value and short dollar 

value of this exposure in U.S. dollars. 

(See Instruction 15 for information on calculating the numerator for purposes of this Question. 

Categorize investments based on concentrations of risk and economic exposures, and include country 

exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. registered 

investment companies, non-U.S. registered investment companies, internal private funds, external 

private funds, commodity pools, or other companies, funds or entities. You may report reasonable 

estimates, if consistent with your internal methodologies and conventions of service providers.) 

ISO Code 1st Month 2nd Month 3rd Month 

Long value Short value Long value Short value Long value Short value 

[drop-down of ISO Code] 

[drop-down of ISO Code] 

36. For each month of the reporting period, identify the reporting fund's exposure by industry, based on 

the NAICS codes of the underlying exposures, equal or exceeding either (1) 5% of the reporting 

fund’s net asset value or (2) $1 billion, and report the long dollar value and short dollar value of this 

exposure in U.S. dollars. 

Include industry exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. 

registered investment companies, non-U.S. registered investment companies, internal private funds, 

external private funds, commodity pools, or other companies, funds or entities). You may respond to 

this Question using reasonable estimates based on your internal methodologies consistent with 

information you report internally and to investors. 

NAICS Code 1st Month 2nd Month 3rd Month 

Long value Short value Long value Short value Long value Short value 

[drop-down of NAICS 

Code] 

[drop-down of NAICS 

Code] 

37. Provide the following information regarding the liquidity of the reporting fund's portfolio. 

Specify the percentage by value of the reporting fund’s positions that may be liquidated within each 

of the periods specified below. Each investment can be assigned to more than one period, but 

assignments should be based on the shortest period during which you believe that such position 

could reasonably be liquidated at or near its carrying value. Use good faith estimates for liquidity 

based on market conditions over the reporting period and assuming no fire-sale discounting. 

Estimates must be based on a methodology that takes into account changes in portfolio composition, 

position size and market conditions over time. In the event that individual positions are important 

contingent parts of the same trade, group all those positions under the liquidity period of the least 

liquid part (so, for example, in a convertible bond arbitrage trade, the liquidity of the short should be 

the same as the convertible bond). Include cash and cash equivalents. 

26 
 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 27 of 51 

(The total should add up to approximately 100%.) 

% of NAV 

1 day or less ................................................................................................ 

2 days – 7 days............................................................................................ 

8 days – 30 days.......................................................................................... 

31 days – 90 days........................................................................................ 

91 days – 180 days...................................................................................... 

181 days – 365 days.................................................................................... 

Longer than 365 days.................................................................................. 

1st 2nd 3rd 

Month Month Month 

38. Value of reporting fund's unencumbered cash................ 

39. Report the following with respect to the reporting fund’s long and short netted exposure to reference 

assets at the end of each month of the reporting period: 

For purposes of this Question 39, netted exposure means the sum of all positions with legal and 

contractual rights that provide exposure to the same reference asset. Take into account all positions, 

including offsetting and partially offsetting positions, relating to the same reference asset (without 

regard to counterparties or issuers of a derivative or other instrument that reflects the price of the 

reference asset). The netted exposure to a reference asset will be either long or short. Determine the 

value of each netted exposure to each reference asset in U.S. dollars, expressed as the delta adjusted 

notional value, or as the 10-year bond equivalent for reference assets that are fixed income assets. 

Do not report exposure to cash and cash equivalents. 

. 

1st Month 2nd Month 3rd Month 

Long Short Long Short Long Short 

(a) Total number of reference assets to which the reporting 

fund holds long and short netted exposure (approximate) 

(b) Percent of net asset value represented by the aggregated 

netted exposures of reference assets with the top five (5) long 

and short netted exposures. 

(c) Percent of net asset value represented by the aggregate 

netted exposures of reference assets representing the top ten 

(10) long and short netted exposures. 

40. As of the end of each month in the reporting period, provide the information requested below for each 

reference asset to which the reporting fund has gross exposure equal to or exceeding: 

27 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 28 of 51 

(i) 1% of net asset value, if the reference asset is a debt security and the reporting fund’s gross 

exposure to the reference asset exceeds 20% of the size of the debt security issuance; 

(ii) 1% of net asset value, if the reference asset is a listed equity security and the reporting fund’s gross

exposure to the reference asset exceeds 20% of average daily trading volume measured over 90 days 

preceding the reporting date; or 

(iii) either (1) 5% of the reporting fund's net asset value or (2) $1 billion. 

For purpose of this Question 40, the reporting fund’s gross exposure to a reference asset means the sum 

of the absolute value of all long and short positions with legal and contractual rights that provide 

exposure to the reference asset. 

(a) First month of the reporting period, Position 1, 2, 3, etc. 

(i) Dollar value (in U.S. dollars) of all long positions with legal and contractual rights that 

provide exposure to the reference asset. 

(ii) Dollar value (in U.S. dollars) of all short positions with legal and contractual rights that 

provide exposure to the reference asset. 

(iii) Netted exposure to reference asset (as defined by Question 39 Instructions). 

(iv) Sub-asset class and instrument type: Instruction: Select all that apply. [two drop down 

menus] 

(v) Title or description of reference asset: 

(vi) Reference asset issuer (if any) name and LEI. 

(vii) CUSIP (if any), and at least one of the following other identifiers: (i) ISIN; (ii) Ticker 

if ISIN is not available); (iii) Other unique identifier (if ticker and ISIN are not 

available) [Must indicate type of identifier used]. 

(viii) For reference assets with no CUSIP or other identifier, describe the reference asset. 

(ix) If the reference asset is a debt security, size of issue: 

(x) If the reference asset is a listed equity, average daily trading volume, measured over 90 

days preceding the reporting date. 

(xi) FIGI (optional) 

(b) Second month of the reporting period, Position 1, 2, 3, etc. (same list of information to collect) 

(c) Third month of the reporting period, Position 1, 2, 3, etc. (same list of information to collect) 

41. [Consolidated Counterparty Exposure Table] 

Report in the consolidated counterparty exposure table below the reporting fund’s borrowing and 

collateral received (B/CR) and lending and posted collateral (L/PC) aggregated across all 

counterparties (including all CCPs) in U.S. dollars as of the end of each month of the reporting period. 

You must net the reporting fund’s exposure with each counterparty and among affiliated entities of a 

counterparty to the extent such exposures may be contractually or legally set-off or netted across those 

entities and/or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of 

another under the agreements governing the transactions. Netting must be used to reflect net cash 

borrowed from or lent to a counterparty, but must not be used to offset securities borrowed and lent 

against one another, when reporting prime brokerage and repo/reverse repo transactions. 

Classify borrowing by creditor type (e.g., percentage borrowed from U.S. depository institutions, U.S. 

creditors that are not U.S depository institutions, non-U.S. creditors) based on the legal entity that is 

the contractual counterparty for such borrowing and not based on parent company or other affiliated 

group. 

28 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 29 of 51 

In completing the table, classify borrowing and collateral received and lending and posted collateral 

according to type, (e.g., unsecured, secured borrowing, derivatives cleared by a CCP, and uncleared 

derivatives) and the governing legal agreement, e.g., a prime brokerage or other brokerage agreement 

for cash margin and securities lending and borrowing, a global master repurchase agreement for 

repo/reverse repo, or an ISDA master agreement for synthetic long positions, synthetic short positions 

and other derivatives. Report transactions under master securities loan agreement as other secured 

borrowing. 

□ Check this box if one or more prime brokerage agreements provide for cross-margining of 

derivatives and secured financing transactions. If you have checked this box, and collateral does 

not clearly pertain to secured financing vs. derivatives transactions, report exposures and collateral 

as follows: 

• For secured financing, exposures and collateral should be reported in sections (b), (c) and (d) 

as applicable 

• For derivatives, 

o Report the gross notional value and the mark-to-market of the derivatives transactions 

with other derivatives transactions (line (e)(i) or lines (f)(i) and (ii) 

o Report associated collateral as collateral received (B/CR) or posted collateral (L/PC) 

under the prime brokerage agreement (lines (b)(ii),(iii), (iv) and (v)). 

• For derivatives cleared by a CCP, for cases where the prime broker gathers additional 

collateral in excess of that required by exchanges, report collateral posted by the reporting 

fund to meet exchange requirements in the cleared derivatives section on lines (e)(ii), (iii), 

(iv), and (v) and any additional collateral gathered by the prime broker under a cross 

margining agreement should appear on lines (b)(ii), (iii),(iv) and (v). 

1st Month 2st Month 3st Month 

B/CR L/PC B/CR L/PC B/CR L/PC 

(a) Unsecured borrowing – cash and cash equivalents Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applica 

ble 

(A) percentage borrowed from U.S. depository 

institutions 

Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicab 

le 

(B) percentage borrowed from U.S. creditors 

that are not U.S. depository institutions 

Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicab 

le 

(C) percentage borrowed from non-U.S. 

creditors 

Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicab 

le 

(b) Secured borrowing and lending (prime brokerage or other 

brokerage agreement) 

(i) cash and cash equivalents received in cash margin 

borrowing, or received or paid by the reporting fund in 

securities lending and short sale transactions 

(ii) cash and cash equivalents received and posted by 

the reporting fund as collateral for derivatives under 

any cross-margining agreement 

(iii) government securities (other than cash and cash 

equivalents) received and posted by the reporting fund 

29 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 30 of 51 

1st Month 2st Month 3st Month 

B/CR L/PC B/CR L/PC B/CR L/PC 

(iv) securities (other than cash and cash equivalents 

and government securities) received and posted by the 

reporting fund 

(v) other collateral or credit support (including face 

amount of letters of credit and similar third party credit 

support) received and posted by the reporting fund 

(vi) percentage of secured borrowing (prime brokerage 

or other brokerage agreement) (sum of (b)(i), (iii), (iv) 

and (v)) 

(A) borrowed from U.S. depository institutions Not Not Not 

Applic Applica Applicabl 

able ble e 

(B) borrowed from U.S. creditors that are not Not Not Not 

U.S. depository institutions Applic Applica Applicabl 

able ble e 

(C) borrowed from non-U.S. creditors Not Not Not 

Applic Applica Applicabl 

able ble e 

(vii) at the end of each month of the reporting period, 

expected increase in collateral required to be posted by 

the reporting fund, if required margin increases by 1% 

of position size. 

ot Applicable Not 

Applic 

able 

Not 

Applica 

ble 

(c) Secured borrowing and lending via repo and reverse repo 

(include tri-party repo) 

(i) cash and cash equivalents 

(ii) government securities (other than cash and cash 

equivalents) received and posted by the reporting fund 

(iii) securities (other than cash and cash equivalents 

and government securities) received and posted by the 

reporting fund 

(iv) other collateral or credit support (including face 

amount of letters of credit and similar third party credit 

support) received and posted by the reporting fund 

(v) percentage of secured borrowing via repo and 

reverse repo (sum of (c)(i), (ii), (iii) and (iv)) 

(A) borrowed from U.S. depository institutions Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(B) borrowed from U.S. creditors that are not 

U.S. depository institutions 

Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(C) borrowed from non-U.S. creditors Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(vi) at the end of the each month of the reporting 

period, expected increase in collateral required to be 

posted by the reporting fund, if required margin 

increases by 1% 

Not 

Applicabl 

e 

Not 

Applic 

able 

Not 

Applica 

ble 

(d) Other secured borrowing and lending (describe in 

Question 4) 

30 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 31 of 51 

1st Month 2st Month 3st Month 

B/CR L/PC B/CR L/PC B/CR L/PC 

(i) cash and cash equivalents 

(ii) government securities (other than cash and cash 

equivalents) received and posted by the reporting fund 

(iii) securities (other than cash and cash equivalents 

and government securities) received and posted by the 

reporting fund 

(iv) other collateral or credit support (including face 

amount of letters of credit and similar third party credit 

support) received and posted by the reporting fund 

(v) percentage of other secured borrowing (sum of 

(d)(i), (ii), (iii) and (iv)) 

(A) borrowed from U.S. depository institutions Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(B) borrowed from U.S. creditors that are not 

U.S. depository institutions 

Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(C) borrowed from non-U.S. creditors Not 

Applic 

able 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(vi) at the end of each month of the reporting period, 

expected increase in collateral required to be posted by 

the reporting fund, if required margin increases by 1% 

Not 

Applicabl 

e 

Not 

Applic 

able 

Not 

Applica 

ble 

(e) Derivative positions cleared by a CCP 

(i) mark-to-market exposure of derivatives transactions 

before collateral 

(ii) cash and cash equivalents received and posted by 

the reporting fund as collateral 

(iii) government securities (other than cash and cash 

equivalents) received and posted by the reporting fund 

as collateral 

(iv) securities (other than cash and cash equivalents 

and government securities) received and posted by the 

reporting fund as collateral 

(v) other collateral or credit support (including face 

amount of letters of credit and similar third party credit 

support) received and posted by the reporting fund 

(vi) at the end of each month of the reporting period, 

expected increase in collateral required to be posted by 

the reporting fund, if required margin increases by 1% 

Not 

Applicabl 

e 

Not 

Applic 

able 

Not 

Applica 

ble 

(f) Derivative positions that are not cleared by a CCP 

(uncleared) 

(i) gross notional value of synthetic long positions and 

synthetic short positions 

(ii) mark-to-market exposure of derivatives 

transactions before collateral 

(iii) cash and cash equivalents received and posted by 

the reporting fund as collateral 

31 
 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 32 of 51 

1st Month 2st Month 3st Month 

B/CR L/PC B/CR L/PC B/CR L/PC 

(iv) government securities (other than cash and cash 

equivalents) received and posted by the reporting fund 

as collateral 

(v) securities (other than cash and cash equivalents and 

government securities) received and posted by the 

reporting fund as collateral 

(vi) other collateral or credit support (including face 

amount of letters of credit and similar third party credit 

support) received and posted by the reporting fund 

(vii) percentage of synthetic long positions (sum of 

(f)(i), (iii), (iv) and (v)) 

(A) from U.S. depository institutions Not 

Applicabl 

e 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(B) from U.S. creditors that are not U.S. 

depository institutions 

Not 

Applica 

ble 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(C) from non-U.S. creditors Not 

Applica 

ble 

Not 

Applica 

ble 

Not 

Applicabl 

e 

(viii) at the end of each month of the reporting period, 

expected increase in collateral required to be posted by 

the reporting fund, if required margin increases by 1% 

Not 

Applicabl 

e 

Not 

Applic 

able 

Not 

Applica 

ble 

42. Identify each creditor or other counterparty (including CCPs) to which the reporting fund owed an 

amount in respect of cash borrowing entries (before posted collateral) which is equal to or greater than 

either (1) 5% of net asset value as of the data reporting date, or (2) $1 billion. In subsection (a), 

complete an individual counterparty exposure table for the five creditors and counterparties to which 

the reporting fund owed the greatest dollar amount in cash borrowing entries (before posted 

collateral). Follow the instructions for the consolidated counterparty exposure table in completing 

each individual counterparty exposure table. 

Identify in subsection (b) all other creditors and counterparties (including CCPs) that were not the top 

five listed in the individual counterparty tables, but to which the reporting fund owed an amount in 

respect of cash borrowing entries (before posted collateral) which is equal to or greater than either (1) 

5% of the reporting fund’s net asset value as of the data reporting date, or (2) $1 billion. 

For the entities identified in subsection (b), report the legal entity name and LEI of each creditor or 

other counterparty, if it has one, as indicated in subsections (a)(i) or in subsection (b) at columns (a) 

and (c). Indicate whether the creditor or counterparty is affiliated with a major financial institution in 

subsection (a)(i)(c) or in subsection (b) at column (c). If you select “other,” name and describe the 

financial institution in Question 4. You may not treat affiliated counterparty entities as a single group, 

except that, if the applicable contractual and legal documentation requires cross margining, report the 

LEI of the contractual counterparty, typically the prime broker. 

For subsection (b), for each entity identified, report the cash borrowing entries as determined above in 

column (d) as a negative number and report total collateral posted entries by the reporting fund in 

column (e) as a positive number. 

32 
 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 33 of 51 

(a) Individual Counterparty Exposure Table - Top 5 Creditor Counterparties [1, 2, 3, 4, 5]: (Because 

borrowing and cash lending should be netted for each counterparty, only one entry is required in each 

row of this table.) 

(i) (a) Counterparty name, 

(b) LEI, and 

(c) indicate if affiliated with a major financial institution [drop-down menu] 

B/CR L/PC 

(ii) Unsecured borrowing – cash and cash equivalents NA 

(iii) Secured borrowing and lending (prime brokerage or other brokerage 

agreement 

□ Check this box if one or more prime brokerage agreements provide for crossmargining of derivatives and secured financing transactions. If you have 

checked this box, and collateral does not clearly pertain to secured financing vs. 

derivatives transactions, report exposures and collateral as follows: 

• For secured financing, exposures and collateral should be reported in 

sections (iii), (iv) and (v) as applicable 

• For derivatives, 

o Report the gross notional value and the mark-to-market of the 

derivatives transactions with other derivatives transactions (lines 

(vi)(A) and (vii)(A) and (B)) 

o Report associated collateral as collateral received (B/CR) or 

posted collateral (L/PC) under the prime brokerage agreement 

(lines (iii)(B),(C), (D) and (E)). 

• For derivatives cleared by a CCP, for cases where the prime broker gathers 

additional collateral in excess of that required by exchanges, report 

collateral posted by the reporting fund to meet exchange requirements in 

the cleared derivatives section on lines (vi)(B), (C), (D), and (E), and enter 

any additional collateral gathered by the prime broker under a cross 

margining agreement on lines (iii)(B),(C), (D) and (E). 

(A) cash and cash equivalents received in cash margin borrowing, or received 

or paid by the reporting fund in securities lending and short sale transactions 

(B) cash and cash equivalents received and posted by the reporting fund as 

collateral for derivatives under any cross-margining agreement 

(C) government securities (other than cash and cash equivalents) received and 

posted by the reporting fund 

(D) securities (other than cash and cash equivalents and government 

securities) received and posted by the reporting fund 

(E) other collateral or credit support (including face amount of letters of credit 

and similar third party credit support) received and posted by the reporting 

fund 

33 
Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 34 of 51 

B/CR L/PC 

(iv) Secured borrowing and lending via repo and reverse repo (include tri-party 

repo 

(A) cash and cash equivalents 

(B) government securities (other than cash and cash equivalents) received and 

posted by the reporting fund 

(C) securities (other than cash and cash equivalents and government 

securities) received and posted by the reporting fund 

(D) other collateral or credit support (including face amount of letters of credit 

and similar third party credit support) received and posted by the reporting 

fund 

(v) Other secured borrowing and lending (describe in Question 4) 

(A) cash and cash equivalents 

(B) government securities (other than cash and cash equivalents) received and 

posted by the reporting fund 

(C) securities (other than cash and cash equivalents and government 

securities) received and posted by the reporting fund 

(D) other collateral or credit support (including face amount of letters of credit 

and similar third party credit support) received and posted by the reporting 

fund 

(vi) Derivative positions cleared by a CCP 

(A) mark-to-market exposure of derivatives transactions before collateral 

(B) cash and cash equivalents received and posted by the reporting fund as 

collateral 

(C) government securities (other than cash and cash equivalents) received and 

posted by the reporting fund as collateral 

(D) securities (other than cash and cash equivalents and government 

securities) received and posted by the reporting fund as collateral 

(E) other collateral or credit support (including face amount of letters of credit 

and similar third party credit support) received and posted by the reporting 

fund 

(vii) Derivative positions that are not cleared by a CCP (uncleared) 

(A) gross notional value of synthetic long positions and synthetic short 

positions 

(B) mark-to-market exposure of derivatives transactions before collateral 

(C) cash and cash equivalents received and posted by the reporting fund as 

collateral 

(D) government securities (other than cash and cash equivalents) received and 

posted by the reporting fund as collateral 

(E) securities (other than cash and cash equivalents and government 

securities) received and posted by the reporting fund as collateral 

34 
 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 35 of 51 

B/CR L/PC 

(F) other collateral or credit support (including face amount of letters of credit 

and similar third party credit support) received and posted by the reporting 

fund 

(b) Other Creditors and Counterparties 

(a) Legal name (c) Indicate if creditor or (e) Collateral 

of creditor or other counterparty is (d) Borrowing by posted by the 

other (b) Counterparty affiliated with a major the reporting fund reporting fund (in 

counterparty LEI, if any financial institution (in U.S. dollars) U.S. dollars) 

(i) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(ii) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(iii) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

43. Provide the information required by this question for counterparties to which the reporting fund had 

net mark to market counterparty credit exposure, after taking into account collateral received or 

posted by the reporting fund, which is equal to or greater than either (1) 5% of the reporting fund’s net 

asset value as of the data reporting date, or (2) $1 billion. Include CCPs or other third parties holding 

posted collateral of the reporting fund in respect of cleared exposures (including tri-party repo). 

For counterparties to which the reporting fund had net borrowing exposure, 

the reporting fund’s net mark to market counterparty credit exposure before collateral equals 

the reporting fund’s cash borrowing entries. The reporting fund’s net mark to market 

counterparty credit exposure after collateral is the amount (if any) by which the collateral 

posted entries exceed such cash borrowing entries. 

For counterparties to which the reporting fund had net lending exposure, the reporting fund’s net mark 

to market counterparty credit exposure before collateral means the cash lending entries. The 

reporting fund’s net mark to market counterparty credit exposure after collateral equals the amount (if 

any) by which the reporting fund’s cash lending entries exceed the collateral received entries. 

For all counterparties (whether the reporting fund had borrowing or lending exposure), these computations will 

produce a positive value for the counterparties to which the reporting fund had net mark to market 

counterparty credit exposure after collateral. This may occur where the reporting fund’s posted collateral 

exceeded borrowings by the reporting fund from a counterparty. It also may occur where collateral received by 

the reporting fund fell short of the reporting fund’s net mark to market counterparty credit exposure through 

cash and cash equivalents received by a counterparty in margin borrowing, securities lending, repo and 

reverse repo transactions, and mark to market exposure in derivatives transactions. 

Provide the information required by the individual counterparty exposure table at subsection (a) for the five 

counterparties to which the reporting fund had the greatest dollar net mark to market counterparty credit 

exposure after collateral. Do not report any counterparties that are reported in above in Question 42(a)) and 

do not include counterparties to which the reporting fund’s net market to market counterparty exposure (after 

35 
 

 

 

 

 

 

Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 36 of 51 

collateral) was not greater than either (1) 5% of the reporting fund’s net asset value on the data reporting 

date, or (2) $1 billion. 

If there are more than five counterparties to which the reporting fund had net mark to market counterparty 

credit exposure after collateral which was equal to or greater than either (1) 5% of the reporting fund’s net 

asset value as of the data reporting date, or (2) $1 billion (and which are not reported in Question 42(a)), 

identify these additional counterparties in subsection (b). Report, for each such counterparty, the reporting 

fund’s net mark to market counterparty credit exposure, before taking into account collateral (column (d)) 

which will be a negative number where the reporting fund is a net borrower, and a positive number where the 

reporting fund is a net lender, and net mark to market counterparty credit exposure, after taking into account 

collateral (column (e)), which will always be a positive number for any counterparties included in this table. 

In the individual counterparty table, report the legal entity name and LEI of each creditor or other 

counterparty, if it has one, as indicated in subsection (a)(i)(a) and (a) (i)(b) or in subsection (b), columns (a) 

and (b). Indicate in subsection (a)(i)(c) or subsection (b), column (c), if the counterparty is affiliated with a 

major financial institution. If you select “other,” name and describe the financial institution in Question 4.

You may not treat affiliated counterparty entities as a single group, except that, if the applicable contractual 

and legal documentation requires cross margining, report the legal entity name and LEI of the contractual 

counterparty, typically the prime broker. 

43(a) Individual Counterparty Exposure Table - Top “Debtor” Counterparties Complete the 

Individual Counterparty Exposure Table (see Q42(a)) for each of the top “debtor” counterparties)

43(b) Other Counterparties 

(d) Net mark to (e) Net mark to 

(c) Indicate if counterparty market exposure market exposure 

(a) Legal name (b) Counterparty is affiliated with a major before collateral after collateral (in 

of counterparty LEI, if any financial institution (in U.S. dollars) U.S. dollars) 

(i) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(ii) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(iii) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

44. Identify each CCP or other third party holding collateral posted by the reporting fund in respect of 

cleared exposures (including tri-party repo) equal to or exceeding either (1) 5% of the reporting 

fund’s net asset value as of the data reporting date or (2) $1 billion. (Exclude counterparties 

reported in Questions 42 and 43) 

36 
 

 

 

 

Form PF 

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Information about qualifying hedge funds that you advise Page 37 of 51 

CCP/third party affiliation Net Exposure 

CCP or Third with a major financial Posted Margin (in U.S. dollars) 

party legal name LEI, if any institution (if any) (in U.S. dollars) 

(a) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(b) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

(c) [drop-down list of counterparty 

names] 

Other: 

[Not applicable] 

45. (a) Of the total amount of collateral and other credit support that 

counterparties have posted to the reporting fund, what percentage: 

(i) may be rehypothecated? 

(ii) has the reporting fund rehypothecated? 

Item C. Reporting fund risk metrics and performance 

46. (a) During the reporting period, did you regularly calculate the VaR of the reporting fund? 

(Please respond without regard to whether you reported the result of this calculation internally or 

to investors.) 

□ Yes □ No 

(b) If you responded “yes” to Question 46(a), provide the following information. 

(If you regularly calculate the VaR of the reporting fund using multiple combinations of 

confidence interval, horizon and historical observation period, complete a separate 

response to this Question 46(b) for each such combination.) 

(i) Confidence interval used (e.g., 100%-alpha%) (as a percentage) .......... 

(ii) Time horizon used (in number of days)................................................... 

(iii) What weighting method was used to calculate VaR? 

□None □ Exponential □ Other: 

(iv) If you responded “exponential” to Question 46(b)(iii), provide the 

weighting factor used (as a decimal to two places).............................. 

(v) What method was used to calculate VaR? 

□ Historical simulation □ Monte Carlo simulation 

□ Parametric □ Other: 

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Form PF 

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(vi) Historical lookback period used (in number of years; enter “NA” if 

none used)............................................................................................ 

(vii) VaR at the end of the 1st month of the reporting period 

(as a % of NAV)....................................................................................... 

(viii) VaR at the end of the 2nd month of the reporting period 

(as a % of NAV)....................................................................................... 

(ix) VaR at the end of the 3rd month of the reporting period 

(as a % of NAV)....................................................................................... 

47. For each of the market factors identified below, determine the effect of the specified changes on the 

reporting fund's portfolio and provide the results. For market factors that have no direct effect on the 

reporting fund’s portfolio, enter zero.

(For market factors involving interest rates and credit spreads, separate the effect on your portfolio 

into long and short components where (i) the long component represents the aggregate result of all 

positions whose valuation changes in the opposite direction from the market factor under a given 

stress scenario, and (ii) the short component represents the aggregate result of all positions whose 

valuation changes in the same direction as the market factor under a given stress scenario.) (For 

market factors other than interest rates and credit spreads, separate the effect on your portfolio into 

long and short components where (i) the long component represents the aggregate result of all 

positions whose valuation changes in the same direction as the market factor under a given stress 

scenario and (ii) the short component represents the aggregate result of all positions whose valuation 

changes in the opposite direction from the market factor under a given stress scenario.) 

(Assume that changes in a market factor occur instantaneously and that all other factors are held 

constant. If the specified change in any market factor would make that factor less than zero, use zero 

instead.) 

(Please note the following regarding the market factors identified below: 

(i) A change in “equity prices” means that the prices of all equities move up or down by the 

specified amount, without regard to whether the equities are listed on any exchange or included in 

any index; 

(ii) “Risk free interest rates” means rates of interest accruing on sovereign bonds issued by 

governments having the highest credit quality, such as U.S. treasury securities; and interest rate swap 

rates in which a fixed rate is exchanged for a risk-free floating rate such as the secured overnight 

financing rate (SOFR) or the sterling overnight index average (SONIA); 

(iii) “Non-parallel risk free interest rate movements” means only risk free rates in the indicated

segment of the yield curve move, and no other rates, factors or prices move, and that all rates within 

the indicated segment of the yield curve move by the same amount; 

(iv) A change in “credit spreads” means that all spreads against risk free interest rates change by the 

specified amount; 

(v) A change in “currency rates” means that the values of all currencies move up or down by the 

specified amount relative to the reporting fund’s base currency; 

(vi) A change in “commodity prices” means that the prices of all physical commodities move up or 

down by the specified amount; 

(vii) A change in “option implied volatilities” means that the implied volatilities of all the options that 

the reporting fund holds increase or decrease by the specified number of percentage points (additive, 

not multiplicative); and 

38 
 

 

 

 

 

 

Form PF 

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(viii) A change in “default rates” means that the rate at which debtors default on all instruments of 

Effect on Effect on 

not

long 

tested 

short 

components components 

nt/va

yall

of portfolio of portfolio 

Rele

form

(as % of (as % of 

Not 

Market factor – changes in market factor NAV) NAV)

relevant 

the specified type increases or decreases by the specified number of percentage points.) 

□ □ Equity prices: 

Equity prices increase 10% ....................................... 

Equity prices decrease 10% ...................................... 

□ □ Risk free interest rates (changes represent a parallel shift in the yield curve): 

All risk free interest rates increase 50 bp............ 

All risk free interest rates decrease 50 bp .................... 

□ □ Non-parallel risk free interest rate movements: 

0-3 year rates only increase 50 bp 

0-3 year rates only decrease 50 bp 

>3-10 year rates only increase 50 bp 

>3-10 year rates only decrease 50 bp 

Only all >10 year rates increase 50 bp 

Only all >10 year rates decrease 50 bp 

□ □ Credit spreads: 

Credit spreads increase 100 bp........................... 

Credit spreads decrease 100 bp............................. 

□ □ Currency rates: 

□ □ Currency rates increase 10%..................................... 

Currency rates decrease 10% .................................... 

□ □ Commodity prices: 

□ □ Commodity prices increase 10%............................... 

Commodity prices decrease 10%.............................. 

□ □ Option implied volatilities: 

Implied volatilities increase 10 percentage points. 

Implied volatilities decrease 10 percentage points. 

39 
 

 

Form PF 

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Information about qualifying hedge funds that you advise Page 40 of 51 

□ □ Default rates (ABS): 

Default rates increase 10 percentage points ........... 

Default rates decrease 10 percentage points .......... 

□ □ Default rates (corporate bonds and CDS): 

Default rates increase 10 percentage points ................ 

Default rates decrease 10 percentage points ............... 

48. Portfolio correlation 

(a) For the reporting fund’s investment portfolio as of the last day of each month of the reporting 

period, what is the average pairwise 3-month realized prior Pearson correlation of the periodic 

(e.g., daily or weekly) total rates of return for each portfolio position using the greatest available 

frequency of data over that window (e.g. daily or weekly)? 

(b) What is the frequency of the data used over the prior 3-month window (e.g. daily or weekly)? 

(c) For the reporting fund’s investment portfolio as the last day of each month of the reporting period, 

utilizing 3-month realized prior Pearson correlations of the periodic (e.g., daily or weekly) total 

rates of return for each portfolio position and assuming 3-month realized prior volatilities of 

portfolio positions’ periodic (e.g., daily or weekly) total rates of return with the same frequency 

window as that chosen when computing 3-month realized correlations, what is the expected 

annualized volatility? 

(d) For your portfolio as of the last day of each month of the reporting period, utilizing 3-month 

realized prior Pearson correlations of portfolio positions’ periodic (e.g., daily or weekly) rates of 

return and assuming 3-month realized prior volatilities of the periodic (e.g., daily or weekly) total 

rates of return for each portfolio position with the same frequency window as that chosen when 

computing 3-month realized correlations, if you uniformly reduced pairwise correlations by 

twenty percentage points, what would be the resulting annualized volatility? 

(e) For your portfolio as of the last day of each month of the reporting period, utilizing 3-month 

realized prior Pearson correlations of the periodic (e.g., daily or weekly) total rates of return for 

each portfolio position and assuming 3-month realized prior volatilities of portfolio positions’ 

periodic (e.g., daily or weekly) rates of return with the same frequency window as that chosen 

when computing 3-month realized correlations, if you uniformly increased pairwise correlations 

by twenty percentage points, what would be the resulting annualized volatility? 

(In responding to this Question, cap the correlation at 100%,-100% in the event this Question would 

result in a correlation outside of that range.) 

49. If you indicated more than one investment strategy for the reporting fund in Question 25 and you 

calculate and report performance results to current and prospective investors, counterparties, or 

otherwise, for one or more of the investment strategies reported in Question 25, report the gross 

performance results attributable to each such strategy during the reporting period in base currency 

terms. 

You are required to provide monthly performance results only if such results are calculated for the 

reporting fund (whether for purposes of reporting to current and prospective investors, counterparties, 

or otherwise). You are not required to respond to this question if you report performance for the 

reporting fund as an internal rate of return. 

Investment Strategy 1st Month 2nd Month 3d Month Quarterly 

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Form PF 

Section 2 

Information about qualifying hedge funds that you advise Page 41 of 51 

Item D. Financing information 

50. Financing liquidity: 

(a) Provide the aggregate dollar amount of borrowing 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) .................... 

(b) Provide the dollar amount of financing that is available to the reporting fund but not used by type: 

(i) unsecured borrowing...................................................

(ii) secured borrowing via prime brokerage ..........................

(iii) secured borrowing via reverse repo ...........................

(iv) other secured borrowings ..........................................

(c) Divide the amount reported in response to part (a) among the periods specified below depending 

on the longest period for which the creditor is contractually committed to provide such financing. 

(If a creditor (or syndicate or administrative/collateral agent) is permitted to vary unilaterally 

the economic terms of the financing or to revalue posted collateral in its own discretion and 

demand additional collateral, then the financing should be deemed uncommitted for purposes of 

this question. Uncommitted financing should be included under “1 day or less.”)

(The total should add up to 100%.) 

% of total 

financing 

1 day or less ......................................................................................... 

2 days – 7 days..................................................................................... 

8 days – 30 days .................................................................................. 

31 days – 90 days ................................................................................ 

91 days – 180 days .............................................................................. 

181 days – 365 days............................................................................. 

Longer than 365 days........................................................................... 

Item E. Investor information 

51. (a) As of the data reporting date, what percentage of the reporting fund's net 

asset value, if any, is subject to a “side-pocket” arrangement? 

(This question relates to whether assets are currently in a side-pocket and not the potential for 

assets to be moved to a side-pocket.) 

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(b) Have additional assets been placed in a side-pocket since the end of the prior reporting period? 

(Check “NA” if you reported no assets under Question 51(a) in the current period and/or the 

prior period.) 

□ Yes □ No □ NA 

52. Provide the following information regarding the reporting fund's restrictions on investor 

withdrawals and redemptions. 

(For Questions 52 and 53, please note that the standards for imposing suspensions and 

restrictions on withdrawals/redemptions may vary among funds. Make a good faith 

determination of the provisions that would likely be triggered during conditions that you 

view as significant market stress.) 

(If you responded “yes” to Question [x] in Section 1b, then you must respond to Questions 49(a)-(d).) 

As of the data reporting date, what percentage of the reporting fund’s net asset value, if 

any: 

(a) May be subjected to a suspension of investor withdrawals/redemptions by 

an adviser or fund governing body (this question relates to an adviser's or 

governing body's right to suspend and not just whether a suspension is 

currently effective)........................................................................................ 

(b) May be subjected to material restrictions on investor withdrawals/ 

redemptions (e.g., “gates”) by an adviser or fund governing body (this 

question relates to an adviser's or governing body's right to impose a 

restriction and not just whether a restriction has been imposed) ................ 

(c) Is subject to a suspension of investor withdrawals/redemptions (this 

question relates to whether a suspension is currently effective and not just 

an adviser's or governing body's right to suspend) ..................................... 

(d) Is subject to a material restriction on investor withdrawals/redemptions 

(e.g., a “gate”) (this question relates to whether a restriction has been 

imposed and not just an adviser's or governing body's right to impose a 

restriction).................................................................................................... 

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53. Investor liquidity (as a % of net asset value): 

(Divide the reporting fund’s net asset value among the periods specified below depending on the 

shortest period within which investors are entitled, under the fund documents, to withdraw invested 

funds or receive redemption payments, as applicable. Assume that you would impose gates where 

applicable but that you would not completely suspend withdrawals/redemptions and that there are no 

redemption fees. Please base on the notice period before the valuation date rather than the date 

proceeds would be paid to investors.) 

(The total should add up to approximately 100%.) 

% of NAV locked for 

1 day or less ........................................................................ 

2 days – 7 days.................................................................... 

8 days – 30 days ................................................................. 

31 days – 90 days ............................................................... 

91 days – 180 days ............................................................. 

181 days – 365 days............................................................ 

longer than 365 days.......................................................... 

43 
 

 

 

 

 

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Form PF 

Section 3 

Information about liquidity funds that you advise Page 44 of 51 

Section 3: Information about the liquidity funds that you advise 

You must complete a separate Section 3 for each liquidity fund that you advise. However, with respect to 

master-feeder arrangements and parallel fund structures, you may report collectively or separately about the 

component funds as provided in the General Instructions. 

Item A. Reporting fund identifying and operational information 

54. (a) Name of the reporting fund ............................................................................ 

(b) Private fund identification number of the reporting fund .............................. 

55. Does the reporting fund use the amortized cost method of valuation in computing its net 

asset value? 

Yes No 

56. Does the reporting fund use the penny rounding method of pricing in computing its net asset 

value? 

Yes No 

57. (a) Does the reporting fund have a policy of complying with the risk limiting conditions 

of rule 2a-7? 

Yes No 

(b) If you responded “no” to Question 57(a) above, does the reporting fund have a policy 

of complying with the following provisions of rule 2a-7: 

(i) the diversification conditions? Yes No 

(ii) the credit quality conditions? Yes No 

(iii) the liquidity conditions? Yes No 

(iv) the maturity conditions? Yes No 

Item B. Reporting fund assets 

58. Provide the following information for each month of the reporting period. 

1st 

Month 

2nd 

Month 

3rd 

Month 

(a) Net asset value of reporting fund as reported to current 

and prospective investors 

(b) Net asset value per share of reporting fund as reported to 

current and prospective investors (to the nearest 

hundredth of a cent) 

(c) Net asset value per share of reporting fund (to the nearest 

hundredth of a cent; exclude the value of any capital 

support agreement or similar 

(d) WAM of reporting fund (in days) 

44 
 

Form PF 

Section 3 

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(e) WAL of reporting fund (in days) 

(f) 7-day gross yield of reporting fund (to the nearest 

hundredth of one percent) 

(g) Dollar amount of the reporting fund's assets that are daily 

liquid assets 

(h) Dollar amount of the reporting fund's assets that are 

weekly liquid assets 

(i) Dollar amount of the reporting fund's assets that have a 

maturity greater than 397 days 

45 
 

Form PF Information about liquidity funds that you advise Page 46 of 51 

Section 3 (to be completed by large private fund advisers only) 

Item C. Financing information 

59. (a) Is the amount of total borrowing reported in response to Question 18 equal to or 

greater than 5% of the reporting fund's net asset value? 

Yes No 

(b) If you responded “yes” to Question 59(a) above, divide the dollar amount of total 

borrowing reported in response to Question 18 among the periods specified below 

depending on the type of borrowing, the type of creditor and the latest date on 

which the reporting fund may repay the principal amount of the borrowing without 

defaulting or incurring penalties or additional fees. 

(If a creditor (or syndicate or administrative/collateral agent) is permitted to vary 

unilaterally the economic terms of the financing or to revalue posted collateral in 

its own discretion and demand additional collateral, then the borrowing should be 

deemed to have a maturity of 1 day or less for purposes of this question. For 

amortizing loans, each amortization payment should be treated separately and 

grouped with other borrowings based on its payment date.) 

(The total amount of borrowings reported below should equal approximately the total 

amount of borrowing reported in response to Question 18.) 

31 days Greater 

2 days 8 days to 397 than 

1 day or to to days 397 

less 7 days 30 days days 

(i) Unsecured borrowing 

(A) U.S. financial institutions......................... 

(B) Non-U.S. financial institutions.................. 

(C) Other U.S. creditors .................................. 

(D) Other non-U.S. creditors .......................... 

46 
 

 

Form PF Information about liquidity funds that you advise Page 47 of 51 

Section 3 (to be completed by large private fund advisers only) 

(ii) Secured borrowing 

(A) U.S. financial institutions........................ 

(B) Non-U.S. financial institutions.................. 

(C) Other U.S. creditors .................................. 

(D) Other non-U.S. creditors .......................... 

60. (a) Does the reporting fund have in place one or more committed liquidity facilities? 

Yes No 

(b) If you responded “yes” to Question 60(a), provide the aggregated 

dollar amount of commitments under the liquidity facilities............... 

Item D. Investor information 

61. Specify the number of outstanding shares or units of the reporting fund's 

stock or similar securities ....................................................................... 

62. Provide the following information regarding investor concentration. 

(For purposes of this question, if you know that two or more beneficial 

owners of the reporting fund are affiliated with each other, you should treat 

them as a single beneficial owner.) 

(a) Specify the percentage of the reporting fund's equity that is beneficially 

owned by the beneficial owner having the largest equity interest in the 

reporting 

fund................................................................................................. 

(b) How many investors beneficially own 5% or more of the reporting fund's 

equity?............................................................................................. 

63. Provide a good faith estimate, as of the data reporting date, of the 

percentage of the reporting fund's outstanding equity that was purchased 

using securities lending collateral .......................................................... 

64. Provide the following information regarding the restrictions on withdrawals and redemptions by 

investors in the reporting fund. 

(For Questions 64 and 65, please note that the standards for imposing suspensions and restrictions on 

withdrawals/redemptions may vary among funds. Make a good faith determination of the provisions 

that would likely be triggered during conditions that you view as significant market stress.) 

As of the data reporting date, what percentage of the reporting fund's net asset value, if any: 

47 
 

Form PF 

Section 3 

Information about liquidity funds that you advise 

(to be completed by large private fund advisers only) 

Page 48 of 51 

(a) May be subjected to a suspension of investor 

withdrawals/redemptions by an adviser or fund governing 

body (this question relates to an adviser's or governing body's 

right to suspend and not just whether a suspension is currently 

effective)................................................................................... 

(b) May be subjected to material restrictions on investor 

withdrawals/redemptions (e.g., “gates”) by an adviser or fund 

governing body (this question relates to an adviser's or 

governing body's right to impose a restriction and not just 

whether a restriction been imposed) .......................................... 

(c) Is subject to a suspension of investor withdrawals/redemptions 

(this question relates to whether a suspension is currently 

effective and not just an adviser's or governing body's right to 

suspend) ...................................................................................... 

(d) Is subject to a material restriction on investor 

withdrawals/redemptions (e.g., a “gate”) (this question relates 

to whether a restriction has been imposed and not just an 

adviser's or governing body's right to impose a restriction)... 

65. Investor liquidity (as a % of net asset value): 

(Divide the reporting fund’s net asset value among the periods specified below depending on the 

shortest period within which investors are entitled, under the fund documents, to withdraw invested 

funds or receive redemption payments, as applicable. Assume that you would impose gates where 

applicable but that you would not completely suspend withdrawals/redemptions and that there are no 

redemption fees. Please base on the notice period before the valuation date rather than the date 

proceeds would be paid to investors. 

The total should add up to 100%.) % of NAV locked for 

1 day or less ......................................................................... 

2 days – 7 days..................................................................... 

8 days – 30 days .................................................................. 

31 days – 90 days ................................................................ 

91 days – 180 days .............................................................. 

181 days – 365 days............................................................. 

Longer than 365 days........................................................... 

Item E. Portfolio Information 

66. For each security held by the reporting fund, provide the following information for each month of the 

reporting period. 

(a) Name of the issuer........................................................................................ 

(b) Title of the issue (including coupon, if applicable)...................................... 

(c) CUSIP........................................................................................................... 

48 
Form PF Information about liquidity funds that you advise Page 49 of 51 

Section 3 (to be completed by large private fund advisers only) 

(d) LEI, if available ........................................................................................... 

(e) In addition to CUSIP and LEI, provide at least one of the following other identifiers, if 

available: 

(i) ISIN.............................................................................................. 

(ii) CIK............................................................................................... 

(iii) Other unique identifier................................................................ 

(f) The category of investment that most closely identifies the instrument ...... 

(Select from among the following categories of investment: U.S. Treasury Debt; U.S. 

Government Agency Debt; Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt; 

Certificate of Deposit; Non- Negotiable Time Deposit; Variable Rate Demand Note; Other 

Municipal Security; Asset Backed Commercial Paper; Other Asset Backed Securities; U.S. 

Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) 

and cash; 

U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government 

agency securities, U.S. Treasuries, and cash; Other Repurchase Agreement, if any collateral 

falls outside Treasury, Government Agency and cash; Insurance Company Funding 

Agreement; Investment Company; Financial Company Commercial Paper; Non-Financial 

Company Commercial Paper; or Tender Option Bond. If Other Instrument, include a brief 

description.) 

(g) For repos, specify whether the repo is “open” (i.e., the repo has no specified end date and, by 

its terms, will be extended or “rolled” each business day (or at another specified period) unless 

the investor chooses to terminate it), and provide the following information about the securities 

subject to the repo (i.e., the collateral): 

(If multiple securities of an issuer are subject to the repo, the securities may be aggregated, in 

which case provide: (i) the total principal amount and value and (ii) the range of maturity 

dates and interest rates.) 

(i) Whether the repo is “open” .................................................. 

(ii) Name of the collateral issuer ................................................. 

(iii) CUSIP.................................................................................... 

(iv) LEI, if available .................................................................... 

(v) Maturity date ......................................................................... 

(vi) Coupon or yield ..................................................................... 

(vii) The principal amount, to the nearest cent.............................. 

(viii) Value of the collateral, to the nearest cent............................. 

(ix) The category of investment that most closely represents the 

collateral ................................................................................ 

(Select from among the following categories of investment: Asset- Backed Securities; Agency 

Collateralized Mortgage Obligations; Agency Debentures and Agency Strips; Agency 

Mortgage-Backed Securities; Private Label Collateralized Mortgage Obligations; Corporate 

Debt Securities; Equities; Money Market; U.S. Treasuries (including strips); Other 

Instrument. If Other Instrument, include a brief description, including, if applicable, 

whether it is a collateralized debt obligation, municipal debt, whole loan, or 

49 
Form PF Information about liquidity funds that you advise Page 50 of 51 

Section 3 (to be completed by large private fund advisers only) 

international debt). 

(h) If the rating assigned by a credit rating agency played a substantial role in the reporting fund’s

(or its adviser’s) evaluation of the quality, maturity or liquidity of the security, provide the name 

of each credit rating agency and the rating each assigned to the security. 

(i) The maturity date used to calculate WAM................................................... 

(j) The maturity date used to calculate WAL .................................................... 

(k) The ultimate legal maturity date (i.e., the date on which, in accordance with the terms of the 

security without regard to any interest rate readjustment or demand feature, the principal 

amount must unconditionally be paid) ....... 

(l) If the security has a demand feature on which the reporting fund (or its adviser) is relying when 

evaluating the quality, maturity, or liquidity of the security, provide the following information: 

(If the security does not have such a demand feature, enter “NA.”)

(i) Identity of the demand feature issuer(s) .............................. 

(ii) If the rating assigned by a credit rating agency played a substantial role in the 

reporting fund’s (or its adviser’s) evaluation of the quality, maturity or liquidity of the 

demand feature, its issuer, or the security to which it relates, provide the name of each 

credit rating agency and the rating assigned by each credit rating agency 

................................................ 

(iii) The period remaining until the principal amount of the security may be recovered 

through the demand feature....... 

(iv) The amount (i.e., percentage) of fractional support provided by each demand feature 

issuer.............................................. 

(v) Whether the demand feature is a conditional demand feature 

.............................................................................................. 

(m) If the security has a guarantee (other than an unconditional letter of credit reported in response 

to Question 66(l) above) on which the reporting fund (or its adviser) is relying when evaluating 

the quality, maturity, or liquidity of the security, provide the following information: 

(If the security does not have such a guarantee, enter "NA.") 

(i) Identity of the guarantor(s) ................................................. 

(ii) If the rating assigned by a credit rating agency played a substantial role in the reporting 

fund’s (or its adviser’s) evaluation of the quality, maturity or liquidity of the guarantee, 

the guarantor, or the security to which the guarantee relates, provide the name of each 

credit rating agency and the rating assigned by each credit rating agency..................

(iii) The amount (i.e., percentage) of fractional support provided by each guarantor......... 

(n) If the security has any enhancements, other than those identified in response to Questions 66(l) 

and (m) above, on which the reporting fund (or its adviser) is relying when evaluating the 

quality, maturity, or liquidity of the security, provide the following information: 

(If the security does not have such an enhancement, enter “NA.”)

(i) Identity of the enhancement provider(s) .............................. 

(ii) The type of enhancement(s) ................................................ 

(iii) If the rating assigned by a credit rating agency played a substantial role in the reporting 

50 
Form PF Information about liquidity funds that you advise Page 51 of 51 

Section 3 (to be completed by large private fund advisers only) 

fund’s (or its adviser’s) evaluation of the quality, maturity or liquidity of the 

enhancement, its provider, or the security to which it relates, provide the name of each 

credit rating agency used and the rating assigned by the credit rating 

agency................

(iv) The amount (i.e., percentage) of fractional support provided by each enhancement 

provider ............................................. 

(o) The yield of the security as of the reporting date:.............................

(p) The total value of the reporting fund’s position in the security, and separately, if the reporting 

fund uses the amortized cost method of valuation, the amortized cost value, in both cases to the 

nearest cent: 

(i) Including the value of any sponsor support.......................... 

(ii) Excluding the value of any sponsor support......................... 

(q) The percentage of the reporting fund’s net assets invested in the security, to the nearest 

hundredth of a percent........................................................... 

(r) Is the security categorized as a level 3 asset or liability in Question 20? 

(s) Is the security a daily liquid asset? 

(t) Is the security a weekly liquid asset? 

(u) Is the security an illiquid security? 

(v) Explanatory notes. Disclose any other information that may be material to other disclosures 

related to the portfolio security. 

(If none, leave blank.) 

Item F. Parallel Money Market Funds 

67. If the reporting fund pursues substantially the same investment objective and 

strategy and invests side by side in substantially the same positions as a money 

market fund advised by you or any of your related persons, provide the money 

market fund’s EDGAR series identifier ................................................................ 

(If neither you nor any of your related persons advise such a money market fund, 

enter “NA.”)

51 
Form PF 

Section 4 

Information about private equity funds that you advise Page 52 of 51 

Section 4: – Information about private equity funds that you advise._____________________________ 

You must complete a separate Section 4 for each private equity fund that you advise. However, with 

respect to master-feeder arrangements and parallel fund structures, you may report collectively or 

separately about the component funds as provided in the General Instructions. 

Item A. Reporting fund identifying information 

68. (a) Name of the reporting fund ............................................................................. 

(b) Private fund identification number of the reporting fund ............................... 

Item B. Reporting fund financing and investments 

69. (a) Do you or any of your related persons guarantee, or are you or any of your related persons 

otherwise obligated to satisfy, the obligations of any portfolio company in which the reporting 

fund invests? 

(You are not required to respond “yes” simply because a portfolio company is a primary 

obligor and is also your related person.) 

Yes No 

(b) If you responded “yes” to Question 69(a) above, report the total dollar value of all such 

guarantees and other obligations.................................................... 

70. What is the weighted average debt-to-equity ratio of the controlled portfolio 

companies in which the reporting fund invests (expressed as a decimal to the 

tenths place)? 

(Weighting should be based on gross assets of each controlled portfolio company as 

a percentage of the aggregate gross assets of the reporting fund’s controlled 

portfolio companies.) 

71. What is the highest debt-to-equity ratio of any controlled portfolio company in 

which the reporting fund invests (expressed as a decimal to the tenths place)? 

72. What is the lowest debt-to-equity ratio of any controlled portfolio company in 

which the reporting fund invests (expressed as a decimal to the tenths place)? 

73. What is the aggregate gross asset value of the reporting fund's controlled 

portfolio companies? 

74. What is the aggregate principal amount of borrowings categorized as current 

liabilities on the most recent balance sheets of the reporting fund's controlled 

portfolio companies? 

75. What is the aggregate principal amount of borrowings categorized as long-term 

liabilities on the most recent balance sheets of the reporting fund's controlled 

portfolio companies? 

76. What percentage of the aggregate borrowings of the reporting fund's controlled 

portfolio companies is payment-in-kind (PIK) or zero-coupon debt? 

77. During the reporting period, did the reporting fund or any of its controlled portfolio 

companies experience an event of default under any of its indentures, loan agreements or 

52 
 

Form PF 

Section 4 

Information about private equity funds that you advise Page 53 of 51 

other instruments evidencing obligations for borrowed money? 

(Do not include a potential event of default (i.e., an event that would constitute an event of default with the 

giving of notice, the passage of time or otherwise) unless it has become an event of default.) 

Yes No 

78. (a) Does any controlled portfolio company of the reporting fund have in place one or more bridge loans or 

commitments (subject to customary conditions) for a bridge loan? 

Yes No 

(b) If you responded “yes” to Question 78(a), identify each person that has provided all or part of any 

bridge loan or commitment to the relevant controlled portfolio company. For each such person, provide 

the applicable outstanding amount or commitment amount. 

Amount of 

Outstanding amount of commitment, if 

Name financing, if drawn undrawn 

[repeat drop-down list of 

creditor/counterparty names] 

Other: 

[repeat drop-down list of 

creditor/counterparty names] 

Other: 

[repeat drop-down list of 

creditor/counterparty 

names] Other: 

79. (a) Is any of the reporting fund's controlled portfolio companies a financial industry portfolio 

company? 

Yes No 

(b) If you responded “yes” to Question 79(a), then for each of the reporting fund's controlled portfolio 

companies that constitutes a financial industry portfolio company, provide the following 

information. 

% of % of 

Address of reporting portfolio 

principal Debt-to- Gross fund’s gross company 

office equity asset assets beneficially 

(include city, ratio of value of invested in owned by the 

Legal state and NAICS LEI, if portfolio portfolio this portfolio reporting 

Name country) code any company company company fund 

53 
 

 

 

 

 

 

 

 

 

Form PF 

Section 4 

Information about private equity funds that you advise Page 54 of 51 

80. Provide a breakdown of the reporting fund's investments in portfolio companies by 

industry, based on the NAICS codes of the companies. 

(The total should add up to 100%.) 

NAICS code % of reporting fund’s total portfolio 

company investment 

81. (a) Provide a geographical breakdown of the gross value of the reporting fund's investments in portfolio 

companies (by percentage of the total gross value of 

companies). 

(The total should add up to approximately 100%.) 

the reporting fund's investments in portfolio 

Region % 

(i) Africa .................................................................................................................... 

(ii) Asia and Pacific (other than the Middle East) ...................................................... 

(iii) Europe (EEA)........................................................................................................ 

(iv) Europe (other than EEA)....................................................................................... 

(v) Middle East........................................................................................................... 

(vi) North America ...................................................................................................... 

(vii) South America ...................................................................................................... 

(viii) Supranational ........................................................................................................ 

(b) Provide the gross value of the reporting fund's investments in portfolio companies in the following 

countries (by percentage of the total gross value of the reporting fund‟s investments in portfolio 

companies). 

(The total may not add up to 100%.) 

Country % 

(i) Brazil..................................................................................................................... 

(ii) China (including Hong Kong) .............................................................................. 

(iii) India ...................................................................................................................... 

(iv) Japan ..................................................................................................................... 

(v) Russia.................................................................................................................... 

(vi) United States......................................................................................................... 

If you or any of your related persons (other than the reporting fund) invest in any companies that are portfolio 

companies of the reporting fund, provide the aggregate dollar amount of these investments 

54 
Form PF 

Section 5 

Request for temporary hardship exemption 

(to be completed by private fund advisers requesting exemption) 

Page 55 of 55 

Section 5: Request for temporary hardship exemption 

You must complete Section 5 if you are requesting a temporary hardship exemption pursuant to SEC 

rule 204(b)-1(f). 

A. For which type of Form PF filing are you requesting a temporary hardship exemption? 

1. If you are not a large hedge fund adviser or large liquidity fund adviser: 

Initial filing 

Annual update 

Final filing 

2. If you are a large hedge fund adviser or large liquidity fund adviser: 

Initial filing 

Quarterly update 

Filing to transition to annual reporting 

Final filing 

B. Provide the following information regarding your request for a temporary hardship exemption (attach 

a separate page if additional space is needed). 

1. Describe the nature and extent of the temporary technical difficulties when you attempt 

to submit the filing to the Form PF filing system on the IARD: 

2. Describe the extent to which you previously have submitted documents in electronic 

format with the same hardware and software that you are unable to use to submit this 

filing: 

3. Describe the burden and expense of employing alternative means (e.g., a service 

provider) to submit the filing in electronic format in a timely manner: 

4. Provide any other reasons that a temporary hardship exemption is warranted: 

55 
 

 

Form PF: Glossary of Terms Page 1 

10-year bond equivalent 

7-day gross yield 

ABCP 

ABS 

Adjusted exposure 

Advisers Act 

Affiliate 

Agency securities 

AIF 

GLOSSARY OF TERMS 

For interest rate sensitive positions, the equivalent position in a 10-year zero 

coupon bond, expressed in the base currency of the reporting fund. 

Based on the 7 days ended on the data reporting date, calculate the liquidity 

fund’s yield by determining the net change, exclusive of capital changes and 

income other than investment income, in the value of a hypothetical preexisting account having a balance of one share at the beginning of the period 

and dividing the difference by the value of the account at the beginning of the 

base period to obtain the base period return, and then multiplying the base 

period return by (365/7) with the resulting yield figure carried to the nearest 

hundredth of one percent. The 7-day gross yield should not reflect a 

deduction of shareholders fees and fund operating expenses. 

Asset backed commercial paper, including (but not limited to) structured 

investment vehicles, single-seller conduits and multi-seller conduit programs. 

Do not include any positions held via CDS (these should be recorded in the 

CDS category). 

Securities derived from the pooling and repackaging of cash flow producing 

financial assets. 

The value of positions after netting as specified by instructions to Question 

32. 

U.S. Investment Advisers Act of 1940, as amended. 

With respect to any person, any other person that directly or indirectly 

controls, is controlled by or is under common control with such person. The 

term affiliated means that two or more persons are affiliates. 

Any security issued by a person controlled or supervised by and acting as an 

instrumentality of the government of the United States pursuant to authority 

granted by the Congress of the United States and guaranteed as to principal or 

interest by the United States. 

Include bond derivatives and positions held indirectly through another entity 

(e.g., through an ETF, exchange traded product, U.S. registered investment 

companies, non-U.S. registered investment companies, internal private fund 

or external private fund, commodity pool, or other company, fund or entity). 

An alternative investment fund that is not regulated under the UCITS 

Directive, as defined in the Directive of the European Parliament and of the 

Council on alternative investment fund managers (No. 2011/61/EU), as 

amended, or an alternative investment fund that is captured by the Alternative 

Investment Fund Managers (Amendment etc.) (EU Exit) Regulations 2019, 

as amended. 
Form PF: Glossary of Terms Page 2 

Annual update 

Borrowing and 

collateral received 

(“B/CR”)

Borrowings 

bp 

Cash and cash 

equivalents 

Cash borrowing entries 

An update of this Form PF with respect to any fiscal year. 

The mark-to-market value, as of the data reporting date, of the following: (i) 

cash and cash equivalents received as borrowing, (ii) securities borrowed or 

received by the reporting fund (include securities borrowed in connection 

with short sales, securities lending and repo), (iii) collateral posted by a 

counterparty to the reporting fund’s account, (iv) negative market-to-market 

value of derivatives (from the reporting fund’s point of view), and (v) the 

gross notional value of synthetic long positions. 

Secured borrowings and unsecured borrowings, collectively. Borrowings by 

a reporting fund include, but are not limited to (i) cash and cash equivalents 

received with an obligation to repay; (ii) securities lending transactions 

(count cash and cash equivalents and securities received by the reporting 

fund in the transaction, including securities borrowed by the reporting fund 

for short sales); (iii) repo or reverse repo (count the cash and cash 

equivalents and securities received by the reporting fund); (iv) negative 

mark-to-market of derivative transactions from the reporting fund’s point of

view; and (v) the gross notional value of synthetic long positions. 

Basis points. 

Cash (including U.S. and non-U.S. currencies) and cash equivalents. For 

purposes of this definition, cash equivalents are: 

(i) bank deposits, certificates of deposit, bankers acceptances and similar 

bank instruments held for investment purposes; 

(ii) the net cash surrender value of an insurance policy; or 

(iii) investments in money market funds. 

Do not include any digital asset in cash and cash equivalents. 

For Questions 26 and 41, the sum of amounts attributable to an individual 

counterparty included the entries on the following lines of the reporting 

fund’s consolidated counterparty exposure table: 

(a) unsecured borrowing – cash and cash equivalents, 

(b)(i) cash and cash equivalents received by the reporting fund in margin 

loans and securities lending transactions, 

(c)(i) cash and cash equivalents received by the reporting fund related to 

repo and reverse repo (include tri-party repo), 

(d)(i) cash and cash equivalents received by the reporting fund related to 

other secured borrowing, 

(e)(i) - negative mark to market exposure of derivative positions cleared by 

a CCP and 

(f)(i) and (ii) gross notional value of synthetic long positions and negative 

mark to market exposure of uncleared derivative positions (not cleared by 

a CCP). 
Form PF: Glossary of Terms Page 3 

Cash lending entries 

CCP 

CDO 

CDS 

CEA 

CFTC 

CITS 

CLO 

Collateral posted entries 

For Questions 26 and 41, the sum of amounts attributable to an individual 

counterparty included the entries on the following lines of the reporting 

fund’s consolidated counterparty exposure table: 

(b)(i) - cash and cash equivalents posted by reporting fund to the 

counterparty in margin borrowing and securities lending transactions, 

(c)(i) - cash and cash equivalents posted by the reporting fund relating to 

repo and reverse repo (include tri-party repo), 

(d)(i) - cash and cash equivalents posted by the reporting fund relating to 

other secured borrowing, 

(e) (i) - positive mark to market exposure in derivative positions cleared by 

a CCP, and 

(f) (i) and (ii) - gross notional value of synthetic short positions and 

positive mark to market exposure in uncleared derivative positions (not 

cleared by a CCP). 

Central clearing counterparties (or central clearing houses) (for example, 

CME Clearing, The Depository Trust & Clearing Corporation, Fedwire and 

LCH Clearnet Limited). 

Collateralized debt obligations (including cash flow and synthetic). 

Do not include any positions held via CDS (these should be recorded in the 

CDS category). 

Credit default swaps, including any LCDS. 

U.S. Commodity Exchange Act, as amended. 

U.S. Commodity Futures Trading Commission. 

Undertakings for Collective Investment in Transferable Securities, as defined 

in the UCITS Directive of the European Parliament and of the Council (No. 

2009/65/EC), as amended, or as captured by the Collective Investment 

Schemes (Amendment etc.) (EU Exit) Regulations 2019, as amended. 

Collateralized loan obligations (including cash flow and synthetic) other than 

MBS. 

Do not include any positions held via CDS (these should be recorded in the 

CDS category). 

For Question 26, the sum of amounts attributable to an individual 

counterparty included the entries on the following lines of the reporting 

fund’s consolidated counterparty exposure table: 

(b)(ii) - cash and cash equivalents posted by the reporting fund as 

collateral for derivatives under a cross-margining agreement; 

(b) (iii) - government securities and other securities posted by the 

reporting fund to the counterparty in margin borrowing, securities lending 

transactions, and as margin for derivatives under any cross-margining 
 

 

Form PF: Glossary of Terms Page 4 

Collateral received 

entries 

agreement; 

(c)(ii) - government securities and other securities posted by the reporting 

fund relating to repo and reverse repo (include tri-party repo), 

(d)(ii) - government securities and other securities posted by the reporting 

fund relating to other secured borrowing, 

(e)(ii) and (iii) - cash and cash equivalents, government securities and 

other securities posted by the reporting fund as collateral relating to 

derivative positions cleared by a CCP and 

(f)(iii) and (iv) - cash and cash equivalents, government securities and 

other securities posted by the reporting fund as collateral relating to 

uncleared derivative positions (not cleared by a CCP). 

For Question 41, entries on the following lines of the reporting fund’s 

counterparty credit exposure and collateral table: 

(b)(ii) - cash and cash equivalents posted by the reporting fund as 

collateral for derivatives under a cross-margining agreement; 

(b) (iii), and (iv) government securities and other securities posted by the 

reporting fund to the counterparty in margin borrowing, securities lending 

transactions, and as margin for derivatives under any cross-margining 

agreement; 

(c)(ii) and (iii) - government securities and other securities posted by the 

reporting fund relating to repo and reverse repo (include tri-party repo), 

(d)(ii) and (iii) - government securities and other securities posted by the 

reporting fund relating to other secured borrowing, 

(e)(ii), (iii) and (iv) - cash and cash equivalents, government securities and 

other securities posted by the reporting fund as collateral relating to 

derivative positions cleared by a CCP and 

(f)(iii), (iv) and (v) - cash and cash equivalents, government securities and 

other securities posted by the reporting fund as collateral relating to 

uncleared derivative positions (not cleared by a CCP). 

For Question 26, the sum of amounts attributable to an individual 

counterparty included the entries on the following lines of the reporting 

fund’s consolidated counterparty exposure table: 

(b)(ii) - cash and cash equivalents received by the reporting fund as collateral 

for derivatives under any cross-margining agreement; 

(b)(iii) - government securities and other securities received by the reporting 

fund in cash margin borrowing and securities lending transactions, 

(c)(ii) - government securities and other securities received by the reporting 

fund related to repo and reverse repo (include tri-party repo), 

(d)(ii) - government securities and other securities received related to other 

secured borrowing, 

(e)(ii) and (iii) – cash and cash equivalents, government securities and other 

securities received as collateral in derivative positions cleared by a CCP and 

(f)(iii) and (iv) - cash and cash equivalents, government securities and other 

securities received as collateral in uncleared derivative positions (not cleared 

by a CCP). 

For Question 41, entries on the following lines of the reporting fund’s 
 

 

 

Form PF: Glossary of Terms Page 5 

counterparty credit exposure and collateral table: 

Combined money market 

and liquidity fund assets 

under management 

Committed capital 

Commodities 

Commodity pool 

Conditional demand 

feature 

Consolidated 

counterparty exposure 

table 

(b)(ii) - cash and cash equivalents received by the reporting fund as collateral 

for derivatives under any cross-margining agreement; 

(b)(iii) and (iv) - government securities and other securities received by the 

reporting fund in cash margin borrowing and securities lending transactions, 

(c)(ii) and (iii) - government securities and other securities received by the 

reporting fund related to repo and reverse repo (include tri-party repo), 

(d)(ii) and (iii) - government securities and other securities received related to 

other secured borrowing, 

(e)(ii), (iii) and (iv) – cash and cash equivalents, government securities and 

other securities received as collateral in derivative positions cleared by a CCP 

and 

(f)(iii), (iv) and (v) - cash and cash equivalents, government securities and 

other securities received as collateral in uncleared derivative positions (not 

cleared by a CCP). 

With respect to any adviser, the sum of: (i) such adviser’s liquidity fund 

assets under management; and (ii) such adviser’s regulatory assets under 

management that are attributable to money market funds that it advises. 

Any commitment pursuant to which a person is obligated to acquire an 

interest in, or make capital contributions to, the private fund. 

Has the meaning provided in the CEA. 

For questions regarding commodities, provide the value of all exposure to 

commodities that you hold physically, synthetically or through derivatives 

(whether cash or physically settled), or indirectly through another entity (e.g., 

through an ETF, exchange traded product, U.S. registered investment 

companies, non-U.S. registered investment companies, internal private fund 

or external private fund, commodity pool, or other company, fund or entity). 

A “commodity pool,” as defined in section 1a(10) of the CEA. 

Has the meaning provided in rule 2a-7. 

For hedge funds, other than qualifying hedge funds, the Section 1c table (at 

Question 26) that collects the reporting fund’s borrowing and collateral 

received and lending and posted collateral aggregated across all creditors and 

counterparties as of the end of the reporting period. 

For qualifying hedge funds, the Section 2 table (at Question 41) that collects 

the reporting fund’s borrowing and collateral received and lending and 

posted collateral aggregated across all creditors and counterparties as of the 

end of the reporting period. 
 

 

Form PF: Glossary of Terms Page 6 

Control Has the meaning provided in Form ADV. The term controlled has a 

corresponding meaning. 

Controlled portfolio 

company 

With respect to any private equity fund, a portfolio company that is 

controlled by the private equity fund, either alone or together with the private 

equity fund’s affiliates or other persons that are, as of the data reporting date, 

part of a club or consortium including the private equity fund. 

Convertible bonds Convertible corporate bonds (not yet converted into shares or cash). 

Include bond derivatives, but do not include any positions held via CDS 

(these should be recorded in the CDS category). Include positions held 

indirectly through another entity (e.g., through an ETF, exchange traded 

product, U.S. registered investment companies, non-U.S. registered 

investment companies, internal private fund or external private fund, 

commodity pool, or other company, fund or entity). 

Corporate bonds Bonds, debentures and notes, including commercial paper, issued by 

corporations and other non-governmental entities. 

Do not include preferred equities. Include bond derivatives, but do not 

include any positions held via CDS (these should be recorded in the CDS 

category). Include positions held indirectly through another entity (e.g., 

through an ETF, exchange traded product, U.S. registered investment 

companies, non-U.S. registered investment companies, internal private fund 

or external private fund, commodity pool, or other company, fund or entity). 

Correlation derivative A derivative transaction for which the underlying asset is the between the 

price or rate movements of two instruments. 

CPO A “commodity pool operator,” as defined in section 1a(11) of the CEA. 

Credit derivatives Single name CDS, index CDS and exotic CDS. 

Credit rating agency Any nationally recognized statistical rating organizations, as that term is 

defined in section 3(a)(62) of the Securities Exchange Act of 1934. 

CTA A “commodity trading advisor,” as defined in section 1a(12) of the CEA. 

Daily liquid assets Has the meaning provided in rule 2a-7. 

Data reporting date If you are a large hedge fund adviser or a large liquidity fund adviser 

responding to Items on this Form PF relating to any hedge fund or liquidity 

fund, the data reporting date is the last calendar day of the most recently 

completed calendar quarter for all Items on Form PF relating to such hedge 

funds and liquidity funds. 

If you are filing an initial filing or annual update for any other private fund, 

the data reporting date is the last calendar day of your most recently 

completed fiscal year. 
 

 

Form PF: Glossary of Terms Page 7 

Demand feature Has the meaning provided in rule 2a-7. 

Dependent parallel With respect to any private fund, any related parallel managed account other 

managed account than a parallel managed account that individually (or together with other 

parallel managed accounts that pursue substantially the same investment 

objective and strategy and invest side by side in substantially the same 

positions) has a gross asset value greater than the gross asset value of such 

private fund (or, if such private fund is a parallel fund, the gross asset value 

of the parallel fund structure of which it is a part). 

Digital asset An asset that is issued and/or transferred using distributed ledger or 

blockchain technology (“distributed ledger technology”), including, but not 

limited to, so-called “virtual currencies,” “coins,” and “tokens.”

EEA European Economic Area. If the composition of the EEA has changed after 

the effective date of this Form PF, use the current composition of the EEA as 

of the data reporting date. 

ETF Exchange-traded fund. 

Exchange traded An investment traded on a stock exchange that invests in underlying 

products securities or assets, such as an ETF or exchange traded note. 

Exempt reporting Has the meaning provided in Form ADV. 

adviser 

Exotic CDS CDSs referencing bespoke baskets or tranches of CDOs, CLOs and other 

structured investment vehicles, including credit default tranches. 

External private funds Private funds that neither you nor your related persons advise. 

Feeder fund See master-feeder arrangement. 

Financial industry Any of the following: (i) a nonbank financial company, as defined in the 

portfolio company Financial Stability Act of 2010; or (ii) any bank, savings association, bank 

holding company, financial holding company, savings and loan holding 

company, credit union or other similar company regulated by a federal, state 

or foreign banking regulator, including the Federal Deposit Insurance 

Corporation, the Board of Governors of the Federal Reserve System, the 

Office of the Comptroller of the Currency, the National Credit Union 

Administration or the Farm Credit Administration. 

Firm The private fund adviser completing or amending this Form PF. 

Foreign exchange Any derivative whose underlying asset is a currency other than the base 

derivative currency of the reporting fund or is an exchange rate. Cross-currency interest 

rate swaps and currency forwards should be included in foreign exchange 

derivatives and excluded from interest rate derivatives. 
Form PF: Glossary of Terms Page 8 

Form ADV 

Form ADV Section 7.B.1 

G10 

Government entity 

Government securities 

Gross asset value 

Gross exposure 

Gross notional value 

GSE bonds 

Guarantee 

Guarantor 

Hedge fund 

If one leg of the foreign exchange derivative is the base currency of the 

private fund, only the foreign currency side of the transaction should be 

counted. If neither leg of the foreign exchange derivative is in the base 

currency, both legs should be counted. 

Form ADV, as promulgated and amended by the SEC. 

Section 7.B.1 of Schedule D to Form ADV. 

The Group of Ten. If the composition of the G10 has changed after the 

effective date of this Form PF, use the current composition of the G10. 

Has the meaning provided in Form ADV. 

Are: (i) U.S. treasury securities; (ii) agency securities; and (iii) any certificate 

of deposit for any of the foregoing. 

Value of gross assets, calculated in accordance with Part 1A, Instruction 

6.e(3) of Form ADV. 

The sum of the absolute value of all of the reporting fund’s long and short 

positions with legal and contractual rights to a reference asset. 

The 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 computed as the 

number of shares or units of the underlying reference asset times current 

price on the data reporting date. 

Notes, bonds and debentures issued by private entities sponsored by the U.S. 

federal government but not guaranteed as to principal and interest by the U.S. 

federal government. Include GSE MBS. 

Include bond derivatives, but do not include any positions held via CDS 

(these should be recorded in the CDS category). Include positions held 

indirectly through another entity (e.g., through an ETF, exchange traded 

product, U.S. registered investment companies, non-U.S. registered 

investment companies, internal private fund or external private fund, 

commodity pool, or other company, fund or entity). 

For purposes of Question 66, has the meaning provided in paragraph 

(a)(16)(i) of rule 2a-7. 

For purposes of Question 66, the provider of any guarantee. 

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 
 

 

Form PF: Glossary of Terms Page 9 

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). 

Solely for purposes of this Form PF, any commodity pool about which you 

are reporting or required to report on Form PF is categorized as a hedge fund. 

For purposes of this definition, do not net long and short positions. Include 

any borrowings or notional exposure of another person that are guaranteed by 

the private fund or that the private fund may otherwise be obligated to satisfy. 

Hedge fund assets under 

management 

With respect to any adviser, hedge fund assets under management are the 

portion of such adviser’s regulatory assets under management that are 

attributable to hedge funds that it advises. 

Illiquid security Has the meaning provided in rule 2a-7. 

Index CDS CDSs referencing a standardized basket of credit entities, including CDS 

indices and indices referencing leveraged loans. 

Individual counterparty 

exposure table 

The tables at Questions 42 and 43 that collect the reporting fund’s borrowing 

and collateral received and lending and posted collateral for each identified 

creditors and other counterparties as of the end of the reporting period. 

Inflation derivative A derivative transaction for which the underlying asset is the rate of inflation 

in a given country, or the price or yield of inflation-linked debt securities. 

Instrument type The instrument types specified by Question 32. 

Interest rate derivative Any derivative whose underlying asset is the obligation to pay or the right to 

receive a given amount of money accruing interest at a given rate. Crosscurrency interest rate swaps should be included in foreign exchange 

derivatives and excluded from interest rate derivatives. 

This information must be presented in terms of the 10-year bond equivalents. 

Internal private funds 

Investment grade 

Private funds that you or any of your related persons advise. 

A security is investment grade if it is sufficiently liquid that it can be sold at 

or near its carrying value within a reasonably short period of time and is 

subject to no greater than moderate credit risk. 

Internal rate of return The discount rate that causes the net present value of all cash flows 

throughout the life of the fund to be equal to zero. See also, rate of return. 
Form PF: Glossary of Terms Page 10 

Investments in non-U.S. 

registered investment 

companies 

Investments in other subasset classes 

ISDA 

Large hedge fund 

adviser 

Large liquidity fund 

adviser 

Large private equity 

adviser 

Large private fund 

adviser 

LCDS 

LEI 

Lending and posted 

collateral (L/PC) 

Leveraged loans 

Investments in investment companies (other than private funds, money 

market funds and ETFs) organized outside the U.S. and not registered as 

investment companies under the Investment Company Act of 1940. 

Any investment not included in another sub-asset class. 

International Swaps and Derivatives Association 

Any private fund adviser that is required to file Section 2 of Form PF for a 

qualifying hedge fund. See Instruction 3 to determine whether you are 

required to file this section. 

Any private fund adviser that is required to file Section 3 of Form PF. 

See Instruction 3 to determine whether you are required to file this section. 

Any private fund adviser that is required to file Section 4a of Form PF. 

See Instruction 3 to determine whether you are required to file this section. 

Any large hedge fund adviser, large liquidity fund adviser or large private 

equity adviser. 

Loan credit default swaps. 

With respect to any company, the “legal entity identifier” assigned by or on

behalf of an internationally recognized standards setting body and required 

for reporting purposes by the U.S. Department of the Treasury’s Office of 

Financial Research or a financial regulator. Do not substitute any other 

identifier that does not meet this definition. 

The mark-to-market value, as of the data reporting date, of the following: (i) 

cash and cash equivalents received by a counterparty from the reporting fund 

with the obligation to repay (exclude portfolio investments), (ii) securities 

borrowed or received by a counterparty in a reverse repo or securities lending 

transaction, (iii) collateral posted by the reporting fund to a counterparty, (iv) 

positive mark-to-market value of derivatives (from the reporting fund’s point 

of view) and (v) gross notional value of synthetic short positions. 

Do not include in lending and posted collateral any portfolio holdings or 

transactions for investment purposes, such as debt or equity securities issued 

by a counterparty, or the credit exposure of the reporting fund obtained by 

making secured or unsecured loans or similar transactions as part of the 

reporting fund’s investment strategy. For example, in the case of an option 

on a debt security, report counterparty credit exposure in respect of the 

positive or negative mark-to-market value of the option and associated posted 

collateral; do not report the credit risk of the underlying debt security. 

Loans that are made to entities whose senior unsecured long term 

indebtedness is non-investment grade. This may include loans made in 
 

LV 

Form PF: Glossary of Terms Page 11 

Liquidity fund 

Liquidity fund assets 

under management 

Listed equity 

Listed equity derivatives 

Master fund 

Master-feeder 

arrangement 

Maturity 

MBS 

connection with the financing structure of a leveraged buyout. 

Do not include any positions held via LCDS (these should be recorded in the 

CDS category). Include positions held indirectly through another entity (e.g., 

through an ETF, exchange traded product, U.S. registered investment 

companies, non-U.S. registered investment companies, internal private fund 

or external private fund, commodity pool, or other company, fund or entity). 

Any private fund that seeks to generate income by investing in a portfolio of 

short term obligations in order to maintain a stable net asset value per unit or 

minimize principal volatility for investors. 

With respect to any adviser, liquidity fund assets under management are the 

portion of such adviser’s regulatory assets under management that are 

attributable to liquidity funds it advises (including liquidity funds that are also 

hedge funds). 

Equities, including preferred equities, listed on a regulated exchange. 

Include synthetic or derivative exposures to equities. Include positions held 

indirectly through another entity (e.g., through an ETF, exchange traded 

product, U.S. registered investment companies, non-U.S. registered 

investment companies, internal private fund or external private fund, 

commodity pool, or other company, fund or entity). 

All synthetic or derivative exposures to equities, including preferred equities, 

listed on a regulated exchange. 

Include e.g., single stock futures, equity index futures, derivatives relating to 

ADRs, and other derivatives relating to indices on listed equities, dividend 

swaps, total return swaps (contracts for difference), warrants and rights. 

Value of long positions, measured as specified in Instruction 15. 

See master-feeder arrangement. 

An arrangement in which one or more funds (“feeder funds”) invest all or 

substantially all of their assets in a single private fund (“master fund”). A 

fund would also be a feeder fund investing in a master fund for purposes of 

this definition if it issued multiple classes (or series) of shares or interests and 

each class (or series) invests substantially all of its assets in a single master 

fund. 

The maturity of the relevant asset, determined without reference to the 

maturity shortening provisions contained in paragraph (i) of rule 2a-7 

regarding interest rate readjustments. 

Mortgage backed securities, including residential, commercial and agency. 

Do not include any positions held via CDS (these should be recorded in the 

CDS category). 
 

 

Form PF: Glossary of Terms Page 12 

Money market fund Has the meaning provided in rule 2a-7. 

NAICS code With respect to any company, the six-digit North American Industry 

Classification System code that best describes the company’s primary 

business activity and principal source of revenue. If the company reports a 

business activity code to the U.S. Internal Revenue Service, you may rely on 

that code for this purpose. 

Net asset value or With respect to any reporting fund, the gross assets reported in response to 

NAV Question 12 minus any outstanding indebtedness or other accrued but unpaid 

liabilities. 

Net assets under Net assets under management are your regulatory assets under management 

management minus any outstanding indebtedness or other accrued but unpaid liabilities. 

Netted exposure The reporting fund’s exposure to a reference asset, after netting under 

instructions at Question 39. 

NFA The National Futures Association. 

Non-investment grade A security is non-investment grade if it is not an investment grade security. 

Non-U.S. financial Any of the following: (i) a financial institution chartered outside the United 

institution States; (ii) a financial institution that is separately incorporated or otherwise 

organized outside the United States but has a parent that is a financial 

institution chartered in the United States; or (iii) a branch or agency that 

resides in the United States but has a parent that is a financial institution 

chartered outside the United States. 

OTC With respect to any instrument, the trading of that instrument over the 

counter. 

Other ABS ABS products that are not covered by another sub-asset class. 

Other commodities Commodities other than agriculture, base metals, crude oil, natural gas, gold, 

other (non-gold) precious metals, and power and other energy commodities. 

For questions regarding other commodities, provide the value of all exposure 

to other commodities that you hold physically, synthetically or through 

derivatives (whether cash or physically settled), and positions held indirectly 

through another entity (e.g., through an ETF, exchange traded product, U.S. 

registered investment companies, non-U.S. registered investment companies, 

internal private fund or external private fund, commodity pool, or other 

company, fund or entity). 

Other derivatives Any derivative not included as another instrument type or sub-asset class. 

Other loans All loans other than leveraged loans. Other loans includes (but is not limited 

to) bilateral or syndicated loans to corporate entities. 
 

 

 

Form PF: Glossary of Terms Page 13 

Other private fund Any private fund that is not a hedge fund, liquidity fund, private equity fund, 

real estate fund, securitized asset fund or venture capital fund. 

Other structured Any structured products not included in another sub-asset class. 

products Do not include any positions held via CDS (these should be recorded in the 

CDS category). 

Parallel fund See parallel fund structure. 

Parallel fund structure A structure in which one or more private funds (each, a “parallel fund”) 

pursues substantially the same investment objective and strategy and invests 

side by side in substantially the same positions as another private fund. 

Parallel managed With respect to any private fund, a parallel managed account is any managed 

account account or other pool of assets that you advise and that pursues substantially 

the same investment objective and strategy and invests side by side in 

substantially the same positions as the identified private fund. 

Person Has the meaning provided in Form ADV. 

Position calculated The value of a portfolio position using the most recent price or value 

value available for purposes of managing the investment portfolio. Where a given 

position is valued less frequently than daily, the last price used should be 

carried forward, though a current foreign exchange rate may be applied if 

the position is not valued in the reporting fund’s base currency. Position 

calculated values do not need to be subjected to fair valuation procedures. 

The position calculated value may be calculated using the adviser’s own

internal methodologies and conventions of the adviser’s service providers, 

provided that these are consistent with information reported internally. 

Principal office and Has the meaning provided in Form ADV. 

place of business 

Private equity fund Any private fund that is not a hedge fund, liquidity fund, real estate fund, 

securitized asset fund or venture capital fund and does not provide investors 

with redemption rights in the ordinary course. 

Private equity fund With respect to any adviser, private equity fund assets under management are 

assets under the portion of such adviser’s regulatory assets under management that are 

management attributable to private equity funds it advises. 

Private fund Any issuer that would be an investment company as defined in section 3 of 

the Investment Company Act of 1940 but for section 3(c)(1) or 3(c)(7) of that 

Act. 

If any private fund has issued two or more series (or classes) of equity 

interests whose values are determined with respect to separate portfolios of 

securities and other assets, then each such series (or class) should be regarded 

as a separate private fund. This only applies with respect to series (or classes) 

that you manage as if they were separate funds and not a fund’s side pockets 
Form PF: Glossary of Terms Page 14 

Private fund adviser 

Private fund assets 

under management 

Qualifying hedge fund 

Quarterly update 

Rate of return 

Real estate fund 

Reference asset 

Regulatory assets under 

or similar arrangements. 

Any investment adviser that (i) is registered or required to register with the 

SEC (including any investment adviser that is also registered or required to 

register with the CFTC as a CPO or CTA) and (ii) advises one or more 

private funds. 

With respect to any adviser, private fund assets under management are the 

portion of such adviser’s regulatory assets under management that are 

attributable to private funds it advises. 

Any hedge fund 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 your most recently completed fiscal quarter. 

In determining whether a hedge fund meets this threshold, you may exclude 

the fund’s investments in other private funds (including internal private funds 

and external private funds). 

An update of this Form PF with respect to any fiscal quarter. 

For a reporting fund, the rate of return is the percentage change in the 

reporting fund aggregate calculated value in the reporting fund’s base 

currency from one date to another and adjusted for subscriptions and 

redemptions. For a portfolio position, the rate of return is the percentage 

change in the position calculated value, adjusted for income earned. See 

also, internal rate of return. 

Any private fund that is not a hedge fund, that does not provide investors with 

redemption rights in the ordinary course and that invests primarily in real 

estate and real estate related assets. 

A security or other investment asset to which the reporting fund is exposed 

through direct ownership (i.e., a physical or cash position), synthetically (i.e., 

the subject of a derivative or similar instrument held by the reporting fund), 

or indirect ownership (e.g., through ETFs, other exchange traded products, 

U.S. registered investment companies, non-U.S. registered investment 

companies, internal private funds, external private funds, commodity pools, 

or other companies, fund or entities. In the case of futures contracts 

permitting multiple deliverable assets, the reference asset should be the thencurrent cheapest to deliver instrument. You may identify the reporting fund’s 

reference assets according to your internal methodologies and the 

conventions of service providers, provided that these methodologies and 

conventions are consistently applied and do not conflict with any instructions 

or guidance relating to this Form, and reported information is consistent with 

information you report internally and to investors and counterparties. 

Regulatory assets under management, calculated in accordance with Part 1A, 
 

 

Form PF: Glossary of Terms Page 15 

management Instruction 5.b of Form ADV. 

Related person Has the meaning provided in Form ADV. 

Repo Any purchase of securities coupled with an agreement to sell the same (or 

similar) securities at a later date at an agreed upon price (i.e., a “securities in” 

transaction). 

Do not include any positions held via CDS (these should be recorded in the 

CDS category). 

Reporting fund A private fund as to which you must report information on Form PF. 

Typically, each private fund is a reporting fund. 

Reporting fund 

aggregate calculated 

value 

Calculated in U.S. dollars (or the reporting fund’s base currency, if specified 

in a question). Every position in the reporting fund’s portfolio, including 

cash and cash equivalents, with the most recent price or value applied to the 

position for purposes of managing the investment portfolio. Where one or 

more portfolio positions are valued less frequently than daily, the last price 

used should be carried forward, though a current foreign exchange rate may 

be applied if the position is not valued in U.S. dollars or the reporting fund’s 

base currency, as required. It is not necessary to adjust the reporting fund 

aggregate calculated value for accrued fees or expenses. Reporting fund 

aggregate calculated values do not need to be subjected to fair valuation 

procedures. The inclusion of income accruals is recommended but not 

required; however, the approach should be consistent over time. The 

reporting fund aggregate calculated value may be calculated using the 

adviser’s own internal methodologies and conventions of the adviser’s 

service providers, provided that these are consistent with information 

reported internally. 

Reporting period With respect to an annual update, the twelve month period ending on the 

data reporting date. 

With respect to a quarterly update, the three month period ending on the data 

reporting date. 

Reverse repo Any sale of securities coupled with an agreement to repurchase the same (or 

similar) securities at a later date at an agreed upon price (i.e., a “securities 

out” transaction).

Risk limiting conditions 

RSSD ID 

The conditions specified in paragraphs (d) of rule 2a-7. 

The identifier assigned by the National Information Center of the Board of 

Governors of the Federal Reserve System, if any. 

Rule 2a-7 Rule 2a-7 promulgated by the SEC under the Investment Company Act of 

1940. 

SEC U.S. Securities and Exchange Commission. 
 

 

Form PF: Glossary of Terms Page 16 

Secured borrowing Obligations for borrowed money in respect of which the borrower has posted 

collateral or other credit support. For purposes of this definition, reverse 

repos are secured borrowings. 

Securities lending 

collateral 

Cash pledged to the reporting fund’s beneficial owners as collateral in respect 

of securities lending arrangements. 

Securitized asset fund Any private fund whose primary purpose is to issue asset backed securities 

and whose investors are primarily debt-holders. 

Separately operated For purposes of this Form, a related person is separately operated if you are 

not required to complete Section 7.A. of Schedule D to Form ADV with 

respect to that related person. 

Single name CDS CDSs referencing a single entity. Includes sovereign single name CDS, 

financial institution single name CDS, and other single name CDS. 

Sovereign bonds Any notes, bonds and debentures issued by a national government (including 

central governments, other governments and central banks but excluding U.S. 

state and local governments), whether denominated in a local or foreign 

currency. 

Include bond derivatives, but do not include any positions held via CDS 

(these should be recorded in the CDS category). Include positions held 

indirectly through another entity (e.g., through an ETF, exchange traded 

product, U.S. registered investment companies, non-U.S. registered 

investment companies, internal private fund or external private fund, 

commodity pool, or other company, fund or entity). 

Structured products Pre-packaged investment products, typically based on derivatives and 

including structured notes. 

Sub-asset class Each sub-asset class identified in Question 32. 

Synthetic long position A total return derivative or similar contract under which (i) the reporting fund 

receives returns of a risky reference asset in exchange for paying the returns 

of a different, riskless reference asset, or (ii) the reporting fund sells deep-inthe-money puts on a risky reference asset in exchange for an option premium. 

Total return derivatives may include, for example, a derivative that receives 

the total return or credit spread of equity or debt securities issued by 

individual issuers, or baskets or indices of such securities, including swaps, 

forwards, deep-in-the-money options and credit default swaps which receive 

the credit spread (also sometimes described as “short credit protection”). 

Exclude total return derivatives that have been cleared through a CCP; 

include uncleared OTC derivative positions only. 

Include derivatives providing the return of equity securities, real estate, 

digital assets, commodities, sovereign bonds, corporate bonds, municipal 

bonds, and other assets. 
 

 

 

 

 

Form PF: Glossary of Terms Page 17 

Synthetic short position 

Trading vehicle 

U.S. depository 

institution 

Do not include interest rate derivatives, volatility derivatives, variance 

derivatives or foreign exchange derivatives. Do not include deep-in-themoney call options purchased by the reporting fund if the reporting fund has 

already paid the option premium in full, but include them if the premium is 

being paid over time. 

A total return derivative or similar contract under which (i) the reporting fund 

pays returns of a risky reference asset in exchange for receiving the returns of 

a different, riskless reference asset, or (ii) the reporting fund sells deep-inthe-money calls on a risky reference asset in exchange for an option 

premium. Total return derivatives may include, for example, a derivative 

where the fund pays the total return or credit spread of equity or debt 

securities issued by individual issuers, or baskets or indices of such securities, 

including swaps, forwards, deep-in-the-money options, and credit default 

swaps which pay the credit spread (also sometimes described as “long credit

protection”). Exclude total return derivatives that have been cleared through a 

CCP; include uncleared OTC derivative positions only. 

Include derivatives where the fund pays the return of equity securities, real 

estate, digital assets, commodities, sovereign bonds, corporate bonds, 

municipal bonds and other assets. 

Do not include interest rate derivatives, volatility derivatives, variance 

derivatives or foreign exchange derivatives. Do not include deep-in-themoney put options purchased by the reporting fund if the reporting fund has 

already paid the option premium in full; do include them if the premium is 

being paid over time. 

A separate legal entity, wholly-owned by one or more reporting funds, that 

holds assets, incurs leverage, or conducts trading or other activities as part of 

a reporting fund’s investment activities but does not operate a business. 

Any U.S. domiciled depository institution, including any of the following: (i) 

a depository institution chartered in the United States, including any 

federally-chartered or state-chartered bank, savings bank, cooperative bank, 

savings and loan association, or an international banking facility established 

by a depositary institution chartered in the United States; (ii) banking offices 

established in the United States by a financial institution that is not organized 

or chartered in the United States, including a branch or agency located in the 

United States and engaged in banking not incorporated separately from its 

financial institution parent, United States subsidiaries established to engage 

in international business, and international banking facilities; (iii) any bank 

chartered in any of the following United States affiliated areas: U.S. 

territories of American Samoa, Guam, and the U.S. Virgin Islands; the 

Commonwealth of the Northern Mariana Islands; the Commonwealth of 

Puerto Rico; the Republic of the Marshall Islands; the Federated States of 

Micronesia; and the Trust Territory of the Pacific Islands (Palau); or (iv) a 

credit union (including a natural person or corporate credit union). 
Form PF: Glossary of Terms Page 18 

U.S. financial institution Any of the following: (i) a financial institution chartered in the United States 

(whether federally-chartered or state-chartered); (ii) a financial institution that 

is separately incorporated or otherwise organized in the United States but has 

a parent that is a financial institution chartered outside the United States; or 

(iii) a branch or agency that resides outside the United States but has a parent 

that is a financial institution chartered in the United States. 

U.S. treasury securities Direct obligations of the U.S. Government. Include U.S. treasury security 

derivatives Include positions held indirectly through another entity (e.g., 

through an ETF, exchange traded product, U.S. registered investment 

companies, non-U.S. registered investment companies, internal private fund 

or external private fund, commodity pool, or other company, fund or entity). 

Unencumbered cash The sum of the private fund’s (i) cash and cash equivalents, (ii) government 

securities, and (iii) the value of overnight repos used for liquidity 

management where the assets purchased are U.S. treasury securities or 

agency securities minus the sum of the following (without duplication): (i) 

cash and cash equivalents and government securities transferred to a 

collateral taker pursuant to a title transfer arrangement; and (ii) cash and cash 

equivalents and government securities subject to a security interest, lien or 

other encumbrance (this could include cash and cash equivalents and 

government securities in an account subject to a control agreement). 

Unfunded commitments Committed capital that has not yet been contributed to the reporting fund by 

investors. 

United States person Has the meaning provided in rule 203(m)-1 under the Advisers Act, which 

includes any natural person that is resident in the United States. 

Unlisted equity Equities, including preferred equities, that are not listed on a regulated 

exchange. 

Include synthetic or derivative exposures to equities and positions held 

indirectly through another entity (e.g., through an ETF, exchange traded 

product, U.S. registered investment companies, non-U.S. registered 

investment companies, internal private fund or external private fund, 

commodity pool, or other company, fund or entity). 

Unsecured borrowing Obligations for borrowed money in respect of which the borrower has not 

posted collateral or other credit support. 

Value See Instruction 15. 

VaR For a given portfolio, the loss over a target horizon that will not be exceeded 

at some specified confidence level. 

Variance derivative A derivative transaction for which the underlying asset is the price or yield 

variance of one or more assets or indices. 
Form PF: Glossary of Terms Page 19 

Venture capital fund Any private fund meeting the definition of venture capital fund in rule 203(l)-

1 of the Advisers Act. 

Volatility derivative A derivative transaction for which the underlying asset is the price or yield 

volatility of one or more assets or indices. 

WAL Weighted average portfolio maturity of a liquidity fund calculated taking into 

account the maturity shortening provisions contained in paragraph (i) of rule 

2a-7, but determined without reference to the exceptions in paragraph (i) of 

rule 2a-7 regarding interest rate readjustments. 

WAM Weighted average portfolio maturity of a liquidity fund calculated taking into 

account the maturity shortening provisions contained in paragraph (i) of rule 

2a-7. 

Weekly liquid assets Has the meaning provided in rule 2a-7.