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pdfFORM PF (Paper Version)
Reporting Form for Investment Advisers to
Private Funds and Certain Commodity Pool
Operators and Commodity Trading Advisors
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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
to all such related persons and the private funds they advise. You must identify in your response
SEC 2048 (12-11)
Form PF: General Instructions
Page 2
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
Section 2a
You are required to complete Section 2a if you and your related persons,
collectively, 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 your most
recently completed fiscal quarter. You are not required to include the regulatory
assets under management of any related person that is separately operated.
Subject to Instruction 4, Section 2a requires information to be reported on an
aggregate basis for all hedge funds that you advise.
Section 2b
If you are required to complete Section 2a, you must complete a separate
Section 2b with respect to each qualifying hedge fund that you advise.
However:
if you are reporting separately on the funds of a parallel fund structure that, in the
aggregate, comprises a qualifying hedge fund, you must complete a separate
Section 2b for each parallel fund that is part of that parallel fund structure (even
if that parallel fund is not itself a qualifying hedge fund); and
if you report answers on an aggregated basis for any master-feeder arrangement
or parallel fund structure in accordance with Instruction 5, you should only
complete a separate Section 2b with respect to the reporting fund for such masterfeeder arrangement or parallel fund structure.
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
Form PF: General Instructions
Page 3
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.
However, if you report answers on an aggregated basis for any master-feeder
arrangement or parallel fund structure in accordance with Instruction 5, you
should only complete a separate Section 3 with respect to the reporting fund for
such master-feeder arrangement or parallel fund structure.
Section 4 – Large private equity advisers
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.
However, if you report answers on an aggregated basis for any master-feeder
arrangement or parallel fund structure in accordance with Instruction 5, you
should only complete a separate Section 4 with respect to the reporting fund for
such master-feeder arrangement or parallel fund structure.
Section 5 – Advisers requesting a temporary hardship exemption
Section 5
See Instruction 13 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.
Form PF: General Instructions
Page 4
When am I required to aggregate information regarding parallel funds, parallel managed
5.
accounts, master-feeder arrangements and funds managed by related persons?
You are required to aggregate related funds and accounts differently depending on the purpose of
the aggregation.
Reporting thresholds. For purposes of determining whether you meet any reporting threshold,
you must aggregate parallel funds, dependent parallel managed accounts and master-feeder
funds. In addition, you must treat any private fund or parallel managed account advised by any
of your related persons as though it were advised by you. You are not required, however, to
aggregate private funds or parallel managed accounts of any related person that is separately
operated.
Responding to questions. When reporting on individual funds, you may provide information
regarding master-feeder arrangements or parallel fund structures either in the aggregate or
separately, provided that you do so consistently throughout the Form. (For example, you may
complete either a single Section 1b for all of the funds in a master-feeder arrangement or a
separate Section 1b for each fund in the arrangement, but you must then take the same approach
when completing other applicable sections of the Form.) 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. You are not required
to report information regarding parallel managed accounts (except in Question 11). You should
not 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.
See the table below for additional details.
For purposes of determining whether a
private fund is a qualifying hedge fund
For purposes of reporting information in
Sections 1b, 1c, 2b, 3 and 4
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 may, but are not required to, report
answers on an aggregated basis for 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
You may, but are not required to, report
answers on an aggregated basis for 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 are not required to report information
regarding parallel managed accounts
(except in Question 11)
Form PF: General Instructions
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)
Page 5
You should not 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
6.
I am required to aggregate funds or accounts to determine whether I meet a reporting
threshold, or I am electing to aggregate funds for reporting purposes. How do I “aggregate” funds
or accounts for these purposes?
Where two or more parallel funds or master-feeder funds are aggregated in accordance with
Instruction 5, you must treat the aggregated funds as if they were all one private fund.
Investments that a feeder fund makes in a master fund should be disregarded but other
investments of the feeder fund should be treated as though they were investments of the
aggregated fund.
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.
Example 1.
You advise a master-feeder arrangement with one feeder fund. The feeder
fund has invested $500 in the master fund and holds a foreign exchange
derivative with a notional value of $100. The master fund has used the
$500 received from the feeder fund to invest in corporate bonds. Neither
fund has any other assets or liabilities.
For purposes of determining whether the funds comprise a qualifying hedge
fund, this master-feeder arrangement should be treated as a single private
fund whose only investments are $500 in corporate bonds and a foreign
exchange derivative with a notional value of $100. If you elect to aggregate
the master-feeder arrangement for reporting purposes, the treatment would
be the same.
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 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.
If you elect to aggregate the parallel fund structure for reporting purposes,
you would disregard the dependent parallel managed account, so the result
would be a single private fund whose only asset is $700 of corporate bonds
Form PF: General Instructions
Page 6
issued by Company X.
7.
I advise a private fund that invests in other private funds (e.g., a “fund of funds”). How
should I treat these investments for purposes of Form PF?
Investments in other private funds generally. For purposes of this Form PF, you may disregard
any private fund‟s equity investments in other private funds. However, if you disregard these
investments, you must do so consistently (e.g., do not include disregarded investments in the net
asset value used for determining whether the fund is a “hedge fund”). For Question 17, even if
you disregard these assets, you may report the performance of the entire fund and are not required
to recalculate performance in order to exclude these investments. Do not disregard any liabilities,
even if incurred in connection with these investments.
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 for which you are
not an adviser 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. For all other purposes, you should disregard
such fund. For example, where questions request aggregate information regarding the private
funds you advise, do not include the assets or liabilities of any such fund.
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.
Notwithstanding the foregoing, you must include disregarded assets in responding to Question 10.
8.
I advise a private fund that invests in companies that are not private funds. How should I
treat these investments for purposes of Form PF?
Except as provided in Instruction 7, investments in funds should be included for all purposes
under this Form PF. You are not, however, required to “look through” a fund’s investments in
any other entity unless the Form specifically requests information regarding that entity or the
other entity’s primary purpose is to hold assets or incur leverage as part of the reporting fund‟s
investment activities.
9.
When am I required to update Form PF?
You are required to update Form PF at the following times:
Periodic filings
(large hedge fund
advisers)
Within 60 calendar days after the end of your first, second and third fiscal
quarters, you must file a quarterly update that updates the answers to all
Items in this Form PF relating to the hedge funds that you advise.
Within 60 calendar days after the end of your fourth fiscal quarter, you must
file a quarterly update that updates the answers to all Items in this Form PF.
You may, however, submit an initial filing for the fourth quarter 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 the
quarter to update information relating to any other private funds that you
Form PF: General Instructions
Page 7
advise. When you file such an amendment, you are not required to update
information previously filed for such quarter.
Periodic filings
(large liquidity
fund advisers)
Within 15 calendar days after the end of your first, second and third fiscal
quarters, you must file a quarterly update that updates the answers to all
Items in this Form PF relating to the liquidity funds that you advise.
Within 15 calendar days after the end of your fourth fiscal quarter, you must
file a quarterly update that updates the answers to all Items in this Form PF.
You may, however, submit an initial filing for the fourth quarter 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
the quarter 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 an
(all other advisers) annual update that updates the answers to all Items in this Form PF.
Large hedge fund advisers and large liquidity fund advisers are not required
to file annual updates but instead file quarterly updates for the fourth
quarter.
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
Form PF: General Instructions
Page 8
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
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. Mail one manually signed original and one copy of
your exemption filing to: U.S. Securities and Exchange Commission, Branch of Regulations and
Form PF: General Instructions
Page 9
Examinations, Mail Stop 0-25, 100 F Street NE, Washington, DC 20549. 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 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) and round to the nearest one percent;
if a question requests a monetary value, provide the information in U.S. dollars as of the data
reporting date, rounded to the nearest thousand;
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,” you should determine
whether a set of legal and contractual rights constitutes a “position” in a manner consistent
with your internal recordkeeping and risk management procedures (e.g., some advisers may
record as a single position two or more partially offsetting legs of a transaction entered into
with the same counterparty under the same master agreement, while others may record these
as separate positions);
if a question requires you to distinguish long positions from short positions, classify positions
in a manner consistent with your internal recordkeeping and risk management procedures
(provided that, for CDS, exotic CDS, index CDS, and single name CDS, the protection seller
should be viewed as long and the protection buyer should be viewed as short);
do not net long and short positions;
for derivatives (other than options), “value” means gross notional value; for options, “value”
means delta adjusted notional value; for all other investments and for all borrowings where
the reporting fund is the creditor, “value” means market value or, where there is not a readily
available market value, fair value; for borrowings where the reporting fund is the debtor,
“value” means the value you report internally and to current and prospective investors; and
Form PF: General Instructions
Page 10
for questions 20, 21, 25, 28, 35 and 57, the numerator you use to determine the percentage of
net asset value should be measured on the same basis as gross asset value and may result in
responses that 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.
May I report on Form PF regarding a commodity pool that is not a private fund? How
should I treat the commodity pool for purposes of Form PF?
If you are otherwise required to report on Form PF, you may report information regarding any
commodity pool you advise on Form PF, even if it is not a private fund. Properly reporting on
Form PF regarding the commodity pool will constitute substitute compliance with CFTC
reporting requirements to the extent provided in CEA rule 4.27.
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 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 2a of
Form PF, then you must report regarding the commodity pool in section 2b 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 examinations, investigations and investor protection efforts relating to
private fund advisers. Filing Form PF is mandatory for advisers that satisfy the criteria described in
Form PF: General Instructions
Page 11
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.
Form PF
Section 1a
Information about you and your related persons
(to be completed by all Form PF filers)
Page 1 of 42
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
(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:
Legal name
SEC 801-Number
NFA ID
Number, if any
Large trader
ID, if any
Large trader
ID suffix, if any
Form PF
Section 1a
2.
Information about you and your related persons
(to be completed by all Form PF filers)
Page 2 of 42
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
Form PF
Section 1a
Information about you and your related persons
(to be completed by all Form PF filers)
Page 3 of 42
under management as follows:
(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.)
Regulatory
assets under
management
Net assets under
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.
Question
number
Description
Form PF
Section 1b
Information about the private funds you advise
(to be completed by all Form PF filers)
Page 4 of 42
Section 1b: Information about the private funds you advise
Subject to Instruction 5, you must complete a separate Section 1b for each private fund that you advise.
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 applicable .............................................
6.
Check “yes” below if the reporting fund is the master fund of a master-feeder arrangement and
you are reporting for all of the funds in the master-feeder arrangement on an aggregated basis.
Otherwise, check “no.”
(See Instruction 5 for information regarding aggregation of master-feeder arrangements. If you
respond “yes,” do not complete a separate Section 1b, 1c, 2b, 3 or 4 with respect to any of the
feeder funds.)
Yes
No
7.
(a) Check “yes” below if the reporting fund is the largest fund in a parallel fund structure and
you are reporting for all of the funds in the structure on an aggregated basis. Otherwise,
check “no.”
(See Instruction 5 for information regarding aggregation of parallel funds. If you respond
“yes,” do not complete a separate Section 1b, 1c, 2b, 3 or 4 with respect to any of the other
parallel funds in the structure.)
Yes
No
If you responded “yes” to Question 7(a), complete (b) through (e) below for each other parallel
fund 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 applicable................................................
Item B. Assets, financing and investor concentration
8.
Gross asset value of reporting fund..........................................................................
(This amount 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, if you are aggregating a master-feeder arrangement for purposes of this
Form PF and you did not aggregate that master-feeder arrangement for purposes of Form
ADV Section 7.B.1. or if you are aggregating parallel funds for purposes of this Form PF.)
9.
Net asset value of reporting fund..............................................................................
Form PF
Section 1b
Information about the private funds you advise
(to be completed by all Form PF filers)
10.
Value of reporting fund‟s investments in equity of other private funds ...................
11.
Value of all parallel managed accounts related to the reporting fund .....................
Page 5 of 42
(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.)
12.
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 Question 43 in Section 2b. 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. financial institutions ..............................................
(c) Percentage borrowed from non-U.S. financial institutions .......................................
(d) Percentage borrowed from U.S. creditors that are not financial institutions ............
(e) Percentage borrowed from non-U.S. creditors that are not financial institutions .....
13.
(a) Does the reporting fund have any outstanding derivatives positions?
Yes
No
(b) If you responded “yes” to Question 13(a), provide the aggregate value of all
derivatives positions of the reporting fund ................................................................
(You are not required to respond to Question 13 for any reporting fund with respect to which
you are answering Question 44 in Section 2b.)
14.
Provide a summary of the reporting fund‟s assets and liabilities categorized using the hierarchy
below. 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.
(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
Form PF
Section 1b
Page 6 of 42
Information about the private funds you advise
(to be completed by all Form PF filers)
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.)
(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.)
Fair value
Level 1
15.
Cost-based
Level 2
Level 3
Assets
$
$
$
$
Liabilities
$
$
$
$
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.)
16.
Specify the approximate percentage of the reporting fund‟s equity that is beneficially owned by
the following groups of investors.
(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.)
(a) Individuals that are United States persons (including their trusts) ............................
(b) Individuals that are not United States persons (including their trusts) ......................
(c) Broker-dealers ...........................................................................................................
(d) Insurance companies..................................................................................................
(e) Investment companies registered with the SEC.........................................................
(f) Private funds ..............................................................................................................
(g) Non-profits.................................................................................................................
(h) Pension plans (excluding governmental pension plans) ............................................
(i) Banking or thrift institutions (proprietary) ................................................................
(j) State or municipal government entities (excluding governmental pension plans) ....
(k) State or municipal governmental pension plans ........................................................
(l) Sovereign wealth funds and foreign official institutions ...........................................
(m) 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 ...................................................................................................
(n) Other ..........................................................................................................................
Form PF
Section 1b
Information about the private funds you advise
(to be completed by all Form PF filers)
Page 7 of 42
Item C. Reporting fund performance
17.
Provide the reporting fund‟s gross and net performance, as reported to current and prospective
investors (or, if calculated for other purposes but not reported to investors, as so calculated). If
the fund reports different performance results to different groups of investors, provide the most
representative results. 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 or otherwise).
(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.)
(Enter your responses as percentages rounded to the nearest one-hundredth of one percent.
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.)
Last day of fiscal
period
(a) 1st month of reporting fund‟s fiscal year ......
(b) 2nd month of reporting fund‟s fiscal year .....
(c) 3rd month of reporting fund‟s fiscal year ......
(d) First quarter....................................................
(e) 4th month of reporting fund‟s fiscal year ......
(f) 5th month of reporting fund‟s fiscal year ......
(g) 6th month of reporting fund‟s fiscal year ......
(h) Second quarter ...............................................
(i) 7th month of reporting fund‟s fiscal year ......
(j) 8th month of reporting fund‟s fiscal year ......
(k) 9th month of reporting fund‟s fiscal year ......
(l) Third quarter ..................................................
(m) 10th month of reporting fund‟s fiscal year ....
(n) 11th month of reporting fund‟s fiscal year ....
(o) 12th month of reporting fund‟s fiscal year ....
(p) Fourth quarter ................................................
(q) Reporting fund‟s most recently completed
fiscal year .......................................................
Gross
performance
Net of
management fees
and incentive fees
and allocations
Form PF
Section 1c
Information about the hedge funds you advise
(to be completed by all Form PF filers that advise hedge funds)
Page 8 of 42
Section 1c: Information about the hedge funds you advise
Subject to Instruction 5, you must complete a separate Section 1c for each hedge fund that you advise.
Item A. Reporting fund identifying information
18.
(a) Name of the reporting fund .........................................................................................
(b) Private fund identification number of the reporting fund ...........................................
Item B. Certain information regarding the reporting fund
19.
Does the reporting fund have a single primary investment strategy or multiple strategies?
Single primary strategy
20.
Multi-strategy
Indicate which of the investment strategies below best describe the reporting fund‟s
strategies. 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. You may refer to the reporting fund’s use of these
strategies as of the data reporting date or throughout the reporting period, but you must
report using the same basis in future filings.)
(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%.)
Strategy
Equity, Market Neutral
Equity, Long/Short
Equity, Short Bias
Equity, Long Bias
Macro, Active Trading
Macro, Commodity
Macro, Currency
Macro, Global Macro
Relative Value, Fixed Income Asset Backed
% of NAV
(required)
% of capital
(optional)
Form PF
Section 1c
Information about the hedge funds you advise
(to be completed by all Form PF filers that advise hedge funds)
Page 9 of 42
Relative Value, Fixed Income Convertible Arbitrage
Relative Value, Fixed Income Corporate
Relative Value, Fixed Income Sovereign
Relative Value, Volatility Arbitrage
Event Driven, Distressed/Restructuring
Event Driven, Risk Arbitrage/Merger Arbitrage
Event Driven, Equity Special Situations
Credit, Long/Short
Credit, Asset Based Lending
Managed Futures/CTA, Fundamental
Managed Futures/CTA, Quantitative
Investment in other funds
Other:
21.
22.
During the reporting period, approximately what percentage of the reporting fund‟s net
asset value was managed using high-frequency trading strategies?
(In your response, please do not include strategies using algorithms solely for trade
execution. This question concerns strategies that are substantially computer-driven,
where decisions to place bids or offers, and to buy or sell, are primarily based on
algorithmic responses to intraday price action in equities, futures and options, and where
the total number of shares or contracts traded throughout the day is generally
significantly larger than the net change in position from one day to the next.)
0%
less than 10%
10-25%
51-75%
76-99%
100% or more
26-50%
Identify the five counterparties to which the reporting fund has the greatest mark-tomarket net counterparty credit exposure, measured as a percentage of the reporting fund‟s
net asset value.
(For purposes of this question, you should treat affiliated entities as a single group to the
extent 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. CCPs should not be regarded as counterparties for purposes of this question.)
(In your response, you should take into account: (i) mark-to-market gains and losses on
derivatives; and (ii) any loans or loan commitments.)
(However, you should not take into account: (i) margin posted by the counterparty; or
(ii) holdings of debt or equity securities issued by the counterparty.)
Form PF
Section 1c
Information about the hedge funds you advise
(to be completed by all Form PF filers that advise hedge funds)
Legal name of the counterparty
(or, if multiple affiliated
entities, counterparties)
23.
Indicate below if the
counterparty is affiliated with
a major financial institution
(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]
Page 10 of 42
Exposure (% of
reporting fund’s
net asset value)
Identify the five counterparties that have the greatest mark-to-market net counterparty
credit exposure to the reporting fund, measured in U.S. dollars.
(For purposes of this question, you should treat affiliated entities as a single group to the
extent 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. CCPs should not be regarded as counterparties for purposes of this question.)
(In your response, you should take into account: (i) mark-to-market gains and losses on
derivatives; and (ii) any loans or loan commitments.)
(However, you should not take into account: (i) margin posted to the counterparty; or
(ii) holdings of debt or equity securities issued by the counterparty.)
Legal name of the counterparty
(or, if multiple affiliated
entities, counterparties)
Indicate below if the
counterparty is affiliated with
a major financial institution
(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]
Exposure (in
U.S. dollars)
Form PF
Section 1c
Information about the hedge funds you advise
(to be completed by all Form PF filers that advise hedge funds)
Page 11 of 42
Other:
[Not applicable]
24.
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 instruments were 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 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.)
(The total in each part of this question should add up to 100%. Enter “NA” in each part of
this question for which the reporting fund engaged in no relevant trades.)
%
(a) Estimated % (in terms of value) of securities (other than derivatives) that
were traded by the reporting fund:
On a regulated exchange ...........................................................................
OTC ...........................................................................................................
(b) Estimated % (in terms of trade volumes) of derivatives that were traded by
the reporting fund:
On a regulated exchange or swap execution facility ................................
OTC ..........................................................................................................
(c) Estimated % (in terms of trade volumes) of derivatives that were traded by
the reporting fund and:
Cleared by a CCP .....................................................................................
Bilaterally transacted (i.e., not cleared by a CCP) ...................................
(d) Estimated % (in terms of value) of repo trades that were entered into by the
reporting fund and:
Cleared by a CCP .....................................................................................
Bilaterally transacted (i.e., not cleared by a CCP) ...................................
Constitute a tri-party repo ........................................................................
25.
What percentage of the reporting fund‟s net asset value relates to transactions
that are not described in any of the categories listed in items (a) through (d) of
Question 24?
Form PF
Section 2a
Page 12 of 42
Aggregated information about hedge funds that you advise
(to be completed by large private fund advisers only)
Section 2a: Aggregated information about hedge funds that you advise
Item A. Exposure of hedge fund assets
26.
Aggregate hedge fund exposures.
(Give a dollar value for long and short positions as of the last day in each month of the
reporting period, by sub-asset class, including all exposure whether held physically,
synthetically or through derivatives. Enter “NA” in each space for which there are no
relevant positions.)
(Include any closed out and OTC forward positions that have not yet expired/matured. Do not
net positions within sub-asset classes. Positions held in side-pockets should be included as
positions of the hedge funds. Provide the absolute value of short positions. Each position
should only be included in a single sub-asset class.)
(Where “duration/WAT/10-year eq.” is required, provide at least one of the following with
respect to the position and indicate which measure is being used: bond duration, weighted
average tenor or 10-year bond equivalent. Duration and weighted average tenor should be
entered in terms of years to two decimal places.)
1st Month
LV
Listed equity
Issued by financial institutions ..................
Other listed equity ......................................
Unlisted equity
Issued by financial institutions ..................
Other unlisted equity ..................................
Listed equity derivatives
Related to financial institutions .................
Other listed equity derivatives ...................
Derivative exposures to unlisted equities
Related to financial institutions .................
Other derivative exposures to unlisted
equities .......................................................
Corporate bonds issued by financial
institutions (other than convertible bonds)
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
SV
2nd Month
3rd Month
LV
LV
SV
SV
Form PF
Section 2a
Aggregated information about hedge funds that you advise
(to be completed by large private fund advisers only)
Corporate bonds not issued by financial
institutions (other than convertible bonds)
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Convertible bonds issued by financial
institutions
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Convertible bonds not issued by financial
institutions
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Sovereign bonds and municipal bonds
U.S. treasury securities ..............................
Duration
WAT
10-year eq. .
Agency securities .......................................
Duration
WAT
10-year eq. .
GSE bonds .................................................
Duration
WAT
10-year eq. .
Sovereign bonds issued by G10 countries
other than the U.S. .....................................
Duration
WAT
10-year eq. .
Other sovereign bonds (including
supranational bonds) ..................................
Duration
WAT
10-year eq. .
U.S. state and local bonds ..........................
Duration
WAT
10-year eq. .
Loans
Leveraged loans ........................................
Page 13 of 42
Form PF
Section 2a
Aggregated information about hedge funds that you advise
(to be completed by large private fund advisers only)
Duration
WAT
10-year eq. .
Other loans (not including repos)..............
Duration
WAT
10-year eq. .
Repos ................................................................
Duration
WAT
10-year eq. .......
ABS/structured products
MBS ...........................................................
Duration
WAT
10-year eq. .
ABCP .........................................................
Duration
WAT
10-year eq. .
CDO/CLO ..................................................
Duration
WAT
10-year eq. .
Other ABS ..................................................
Duration
WAT
10-year eq. .
Other structured products .........................
Credit derivatives
Single name CDS ......................................
Index CDS .................................................
Exotic CDS ................................................
Foreign exchange derivatives (investment) .....
Foreign exchange derivatives (hedging) ..........
Non-U.S. currency holdings .............................
Interest rate derivatives ....................................
Commodities (derivatives)
Crude oil ....................................................
Natural gas ................................................
Gold ...........................................................
Power .........................................................
Other commodities .....................................
Commodities (physical)
Crude oil ....................................................
Natural gas ................................................
Page 14 of 42
Form PF
Section 2a
Aggregated information about hedge funds that you advise
(to be completed by large private fund advisers only)
Page 15 of 42
Gold ...........................................................
Power .........................................................
Other commodities .....................................
Other derivatives ..............................................
Physical real estate ...........................................
Investments in internal private funds ...............
Investments in external private funds ...............
Investments in registered investment
companies.........................................................
Cash and cash equivalents
Certificates of deposit ...............................
Duration
WAT
10-year eq. .
Other deposits ............................................
Money market funds ...................................
Other cash and cash equivalents
(excluding government securities) .............
Investments in funds for cash management
purposes (other than money market funds).......
Investments in other sub-asset classes .............
27.
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 hedge funds that you advise.
(The value of turnover should be the sum of the absolute values of transactions in the
relevant asset class during the period.)
1st Month
Listed equity .....................................................
Corporate bonds (other than convertible
bonds) ...............................................................
Convertible bonds ............................................
Sovereign bonds and municipal bonds
U.S. treasury securities ..............................
Agency securities .......................................
GSE bonds .................................................
Sovereign bonds issued by G10 countries
other than the U.S. .....................................
Other sovereign bonds (including
supranational bonds) ..................................
2nd Month
3rd Month
Form PF
Section 2a
Aggregated information about hedge funds that you advise
(to be completed by large private fund advisers only)
Page 16 of 42
U.S. state and local bonds ..........................
Futures ..............................................................
28.
(a) Provide a geographical breakdown of the investments held by the hedge funds that
you advise (by percentage of the total net asset value of these hedge funds).
(See Instruction 15 for information on calculating the numerator for purposes of
this Question.)
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 .................................................................................................
% of NAV
(b) Provide the value of investments in the following countries held by the hedge
funds that you advise (by percentage of the total net asset value of these hedge
funds).
(See Instruction 15 for information on calculating the numerator for purposes of
this Question.)
Country
(i) Brazil..............................................................................................................
(ii) China (including Hong Kong) .......................................................................
(iii) India ...............................................................................................................
(iv) Japan ..............................................................................................................
(v) Russia .............................................................................................................
(vi) United States ..................................................................................................
% of NAV
Form PF
Section 2b
Page 17 of 42
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Section 2b: Information about qualifying hedge funds that you advise.
You must complete a separate Section 2b for each qualifying hedge fund that you advise. However, with
respect to master-feeder arrangements and parallel fund structures that collectively comprise qualifying
hedge funds, you may report collectively or separately about the component funds as provided in the
General Instructions.
Item A. Reporting fund identifying information
29.
(a) Name of the reporting fund .........................................................................................
(b) Private fund identification number of the reporting fund ...........................................
Item B. Reporting fund exposures and trading
Check this box if you advise only one hedge fund. If you check this box, you may skip Question 30.
30.
Reporting fund exposures.
(Give a dollar value for long and short positions as of the last day in each month of the
reporting period, by sub-asset class, including all exposure whether held physically,
synthetically or through derivatives. Enter “NA” in each space for which there are no
relevant positions.)
(Include any closed out and OTC forward positions that have not yet expired/matured. Do not
net positions within sub-asset classes. Positions held in side-pockets should be included as
positions of the hedge funds. Provide the absolute value of short positions. Each position
should only be included in a single sub-asset class.)
(Where “duration/WAT/10-year eq.” is required, provide at least one of the following with
respect to the position and indicate which measure is being used: bond duration, weighted
average tenor or 10-year bond equivalent. Duration and weighted average tenor should be
entered in terms of years to two decimal places.)
1st Month
LV
Listed equity
Issued by financial institutions ..................
Other listed equity ......................................
Unlisted equity
Issued by financial institutions ..................
Other unlisted equity ..................................
Listed equity derivatives
SV
2nd Month
3rd Month
LV
LV
SV
SV
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Related to financial institutions .................
Other listed equity derivatives ...................
Derivative exposures to unlisted equities
Related to financial institutions .................
Other derivative exposures to unlisted
equities .......................................................
Corporate bonds issued by financial
institutions (other than convertible bonds)
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Corporate bonds not issued by financial
institutions (other than convertible bonds)
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Convertible bonds issued by financial
institutions
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Convertible bonds not issued by financial
institutions
Investment grade .......................................
Duration
WAT
10-year eq. .
Non-investment grade ...............................
Duration
WAT
10-year eq. .
Sovereign bonds and municipal bonds
U.S. treasury securities ..............................
Duration
WAT
10-year eq. .
Agency securities .......................................
Duration
WAT
10-year eq. .
Page 18 of 42
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
GSE bonds .................................................
Duration
WAT
10-year eq. .
Sovereign bonds issued by G10 countries
other than the U.S. .....................................
Duration
WAT
10-year eq. .
Other sovereign bonds (including
supranational bonds) ..................................
Duration
WAT
10-year eq. .
U.S. state and local bonds ..........................
Duration
WAT
10-year eq. .
Loans
Leveraged loans ........................................
Duration
WAT
10-year eq. .
Other loans (not including repos)..............
Duration
WAT
10-year eq. .
Repos ................................................................
Duration
WAT
10-year eq. .......
ABS/structured products
MBS ...........................................................
Duration
WAT
10-year eq. .
ABCP .........................................................
Duration
WAT
10-year eq. .
CDO/CLO ..................................................
Duration
WAT
10-year eq. .
Other ABS ..................................................
Duration
WAT
10-year eq. .
Other structured products .........................
Credit derivatives
Single name CDS ......................................
Index CDS .................................................
Exotic CDS ................................................
Foreign exchange derivatives (investment) .....
Foreign exchange derivatives (hedging) ..........
Non-U.S. currency holdings .............................
Page 19 of 42
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Interest rate derivatives ....................................
Commodities (derivatives)
Crude oil ....................................................
Natural gas ................................................
Gold ...........................................................
Power .........................................................
Other commodities .....................................
Commodities (physical)
Crude oil ....................................................
Natural gas ................................................
Gold ...........................................................
Power .........................................................
Other commodities .....................................
Other derivatives ..............................................
Physical real estate ...........................................
Investments in internal private funds ...............
Investments in external private funds ...............
Investments in registered investment
companies.........................................................
Cash and cash equivalents
Certificates of deposit ...............................
Duration
WAT
10-year eq. .
Other deposits ............................................
Money market funds ...................................
Other cash and cash equivalents
(excluding government securities) .............
Investments in funds for cash management
purposes (other than money market funds).......
Investments in other sub-asset classes .............
31.
What is the reporting fund‟s base currency?
[drop-down of currencies]
Other:
Page 20 of 42
Form PF
Section 2b
32.
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 21 of 42
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 should be assigned to only one
period and such assignment 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. 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). Exclude cash and cash equivalents.)
(The total should add up to approximately 100%.)
% of portfolio
capable of being
liquidated within
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
Month
2nd
Month
3rd
Month
33.
Value of reporting fund‟s unencumbered cash ...................................
34.
Total number of open positions (approximate), determined on the
basis of each position and not the issuer or counterparty ...................
35.
For each open position of the reporting fund that represents 5% or more of the reporting fund‟s net
asset value, provide the information requested below.
% of net asset value
(a)
(b)
(c)
Sub-asset class
First month of the reporting period
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
Second month of the reporting period
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
Third month of the reporting period
Form PF
Section 2b
36.
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 22 of 42
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
For each of the top five counterparties listed in your response to Question 22 with respect
to the reporting fund, provide the following information regarding the collateral and other
credit support that the counterparty has posted to the reporting fund.
(For purposes of Questions 36, 37and 38, include as collateral assets purchased in
connection with repos and collateral posted under an arrangement pursuant to which the
secured party has loaned securities to the pledgor. Repos and reverse-repos with the
same counterparty may be netted to the extent secured by the same type of collateral.)
(a) Counterparty [1, 2, 3, 4, 5]:
(i)
value of collateral posted in the form of cash and cash equivalents .....
(ii)
value of collateral posted in the form of securities (other than cash and
cash equivalent instruments)..................................................................
(iii) value of other collateral and credit support posted (including face
amount of letters of credit and similar third party credit support) .........
37.
For each of the top five counterparties listed in your response to Question 23 with respect
to the reporting fund, provide the following information regarding the collateral and other
credit support that the reporting fund has posted to the counterparty.
(a) Counterparty [1, 2, 3, 4, 5]:
(i)
value of collateral posted in the form of cash and cash equivalents .....
(ii)
value of collateral posted in the form of securities (other than cash and
cash equivalent instruments)..................................................................
(iii) value of other collateral and credit support posted (including face
amount of letters of credit and similar third party credit support) .........
38.
(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?
(b) Of the total amount of collateral and other credit support that the reporting
fund has posted to counterparties, what percentage may be rehypothecated?
39.
During the reporting period, did the reporting fund clear any transactions directly through a
CCP?
Yes
No
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 23 of 42
Item C. Reporting fund risk metrics
40.
(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 40(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 40(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 40(b)(iii), provide the
weighting factor used (as a decimal to two places) ..............................
(v)
What method was used to calculate VaR?
(vi)
Historical simulation
Monte Carlo simulation
Parametric
Other:
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)
41.
VaR at the end of the 3rd month of the reporting period
(as a % of NAV) .......................................................................................
Are there any risk metrics other than (or in addition to) VaR that you consider to be important
to the reporting fund‟s risk management?
(Select all that you consider relevant. Please respond without regard to whether you reported
the metric internally or to investors. If none, “None.”)
[drop-down of risk metrics]
Other:
42.
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.
(You may omit a response to any market factor that you do not regularly consider in formal
testing in connection with the reporting fund’s risk management. If you omit any market
factor, check either the box in the first column indicating that you believe that this market
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 24 of 42
Relevant/not
formally tested
Not relevant
factor is not relevant to the reporting fund’s portfolio or the box in the second column
indicating that this market factor is relevant but not formally tested. For this purpose,
“formal testing” means that the adviser has models or other systems capable of simulating the
effect of a market factor on the fund‟s portfolio, not that the specific assumptions outlined in
the question were used in testing.)
(For each market factor, 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;
(iii) A change in “credit spreads” means that all spreads against risk free interest rates
change by the specified amount;
(iv) 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;
(v) A change in “commodity prices” means that the prices of all physical commodities move
up or down by the specified amount;
(vi) 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; and
(vii) A change in “default rates” means that the rate at which debtors default on all
instruments of the specified type increases or decreases by the specified number of percentage
points.)
Market factor – changes in market factor
Equity prices:
Equity prices increase 5% .........................................
Equity prices decrease 5% ........................................
Equity prices increase 20% .......................................
Equity prices decrease 20% ......................................
Effect on
long
components
of portfolio
(as % of
NAV)
Effect on
short
components
of portfolio
(as % of
NAV)
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 25 of 42
Risk free interest rates (changes represent a parallel shift in the yield curve):
Risk free interest rates increase 25bp ........................
Risk free interest rates decrease 25bp .......................
Risk free interest rates increase 75bp ........................
Risk free interest rates decrease 75bp .......................
Credit spreads:
Credit spreads increase 50bp.....................................
Credit spreads decrease 50bp ....................................
Credit spreads increase 250bp...................................
Credit spreads decrease 250bp ..................................
Currency rates:
Currency rates increase 5% .......................................
Currency rates decrease 5% ......................................
Currency rates increase 20% .....................................
Currency rates decrease 20% ....................................
Commodity prices:
Commodity prices increase 10% ...............................
Commodity prices decrease 10% ..............................
Commodity prices increase 40%...............................
Commodity prices decrease 40% ..............................
Option implied volatilities:
Implied volatilities increase 4 percentage points ......
Implied volatilities decrease 4 percentage points......
Implied volatilities increase 10 percentage points ....
Implied volatilities decrease 10 percentage points ....
Default rates (ABS):
Default rates increase 1 percentage point..................
Default rates decrease 1 percentage point .................
Default rates increase 5 percentage points ................
Default rates decrease 5 percentage points ...............
Default rates (corporate bonds and CDS):
Default rates increase 1 percentage point..................
Default rates decrease 1 percentage point .................
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 26 of 42
Default rates increase 5 percentage points ................
Default rates decrease 5 percentage points ...............
Item D. Financing information
43.
For each month of the reporting period, provide the following information regarding the value of
the reporting fund‟s borrowings, the types of creditors and the collateral posted to secure its
borrowings.
(For each type of borrowing, information is requested regarding the percentage borrowed from
specified types of creditors. In each case, the total percentages allocated among these types of
creditors should add up to 100%.)
(Do not net out amounts that the reporting fund loans to creditors or the value of collateral pledged
to creditors.)
1st
Month
(a)
2nd
Month
3rd
Month
Dollar amount of unsecured borrowing .....................................
(i)
Percentage borrowed from U.S. financial institutions.......
(ii) Percentage borrowed from non-U.S. financial
institutions .........................................................................
(iii) Percentage borrowed from U.S. creditors that are not
financial institutions ........................................................
(iv) Percentage borrowed from non-U.S. creditors that are not
financial institutions ........................................................
(b)
Secured borrowing.
(Classify secured borrowing according to the legal agreement governing the borrowing (e.g.,
Global Master Repurchase Agreement for reverse repo and Prime Brokerage Agreement for
prime brokerage). Please note that for reverse repo borrowings, the amount should be the
net amount of cash borrowed (after taking into account any initial margin/independent
amount, „haircut‟ and repayments). Positions under a Global Master Repurchase Agreement
should not be netted.)
(i)
Dollar amount via prime brokerage...................................
(A) value of collateral posted in the form of cash and
cash equivalents ........................................................
(B) value of collateral posted in the form of securities
(other than cash and cash equivalent instruments) ...
(C) value of other collateral and credit support posted
(including face amount of letters of credit and
similar third party credit support) .............................
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
(D) percentage borrowed from U.S. financial
institutions .................................................................
(E) percentage borrowed from non-U.S. financial
institutions .................................................................
(F) percentage borrowed from U.S. creditors that are not
financial institutions ..................................................
(G) percentage borrowed from non-U.S. creditors that
are not financial institutions ......................................
(ii) Dollar amount via reverse repo (for purposes of items (A)
through (D) below, include as collateral any assets sold
in connection with the reverse repo as well as any
variation margin) ..............................................................
(A) value of collateral posted in the form of cash and
cash equivalents ........................................................
(B) value of collateral posted in the form of securities
(other than cash and cash equivalent instruments) ...
(C) value of other collateral and credit support posted
(including face amount of letters of credit and
similar third party credit support) .............................
(D) percentage borrowed from U.S. financial
institutions .................................................................
(E) percentage borrowed from non-U.S. financial
institutions .................................................................
(F) percentage borrowed from U.S. creditors that are not
financial institutions ..................................................
(G) percentage borrowed from non-U.S. creditors that
are not financial institutions ......................................
(iii) Dollar amount of other secured borrowings .....................
(A) value of collateral posted in the form of cash and
cash equivalents ........................................................
(B) value of collateral posted in the form of securities
(other than cash and cash equivalent instruments) ...
(C) value of other collateral and credit support posted
(including face amount of letters of credit and
similar third party credit support) .............................
(D) percentage borrowed from U.S. financial
institutions .................................................................
(E) percentage borrowed from non-U.S. financial
Page 27 of 42
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 28 of 42
institutions .................................................................
(F) percentage borrowed from U.S. creditors that are not
financial institutions ..................................................
(G) percentage borrowed from non-U.S. creditors that
are not financial institutions ......................................
1st
Month
2nd
Month
3rd
Month
44.
For each month of the reporting period, provide the aggregate value
of all derivatives positions of the reporting fund (enter “NA” if no
outstanding derivatives positions at the end of the relevant period)....
45.
For each month of the reporting period, provide the following information regarding the
reporting fund‟s derivative positions that were not cleared by a CCP and the collateral posted to
secure those positions.
(If the reporting fund is a net receiver of collateral, provide the collateral value as a negative
number.)
1st
Month
2nd
Month
(a) Aggregate net mark-to-market value of all derivatives positions
of the reporting fund that were not cleared by a CCP (enter
“NA” if no relevant derivatives positions outstanding at the end
of the relevant period) ..................................................................
(b) Net value of collateral posted by or to the reporting fund in
respect of these positions in the form of cash and cash
equivalents ...................................................................................
(c) Net value of collateral posted by or to the reporting fund in
respect of these positions in the form of securities (other than
cash and cash equivalent instruments) ........................................
(d) Net value of other collateral and credit support posted by or to
the reporting fund in respect of these positions (including face
amount of letters of credit and similar third party credit
support) ........................................................................................
46.
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) Divide the amount reported in response to Question 46(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
3rd
Month
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 29 of 42
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 ...........................................................................
47.
Identify each creditor, if any, to which the reporting fund owed an amount in respect of
borrowings equal to or greater than 5% of the reporting fund‟s net asset value as of the data
reporting date. For each such creditor, provide the amount owed to that creditor.
(This question does not require the precise legal name of the creditor; if the creditor
belongs to an affiliated group that is included in the list below, select that group and do not
enter the creditor‟s name in the space for “other.”)
Name of creditor
[drop-down list of creditor/counterparty names]
Other:
Dollar amount
owed to
each creditor
[repeat drop-down list of creditor/counterparty names]
Other:
[repeat drop-down list of creditor/counterparty names]
Other:
Item E. Investor information
48.
(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.)
(b)
Have additional assets been placed in a side-pocket since the end of the prior
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Page 30 of 42
reporting period?
(Check “NA” if you reported no assets under Question 48(a) in the current period
and/or the prior period.)
Yes
49.
No
NA
Provide the following information regarding the reporting fund‟s restrictions on investor
withdrawals and redemptions.
(For Questions 49 and 50, 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.)
(a)
Does the reporting fund provide investors with withdrawal/redemption rights in the
ordinary course?
Yes
No
(If you responded “yes” to Question 49(a), then you must respond to Questions 49(b)-(e).)
As of the data reporting date, what percentage of the reporting fund‟s net asset value, if
any:
50.
(b)
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) ........................................................................................
(c)
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) ................
(d)
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) .....................................
(e)
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) ....................................................................................................
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
Form PF
Section 2b
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
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 ..........................................................
Page 31 of 42
Form PF
Section 3
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
Page 32 of 42
Section 3: Information about 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
51.
(a) Name of the reporting fund ............................................................................
(b) Private fund identification number of the reporting fund ..............................
52.
Does the reporting fund use the amortized cost method of valuation in computing its net
asset value?
Yes
No
53.
Does the reporting fund use the penny rounding method of pricing in computing its net asset
value?
Yes
No
54.
(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 54(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
55.
Provide the following information for each month of the reporting period.
1st
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 arrangement)............................................
2nd
Month
3rd
Month
Form PF
Section 3
56.
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
(d)
WAM of reporting fund (in days)................................................
(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 ...................................................
Page 33 of 42
Selected product exposures by maturity for liquidity fund assets under management.
(Give the value of the reporting fund’s positions as of the data reporting date in each of the
following asset classes, divided by maturity.)
(Include all exposure whether held physically, synthetically or through derivatives. Include any
closed out and OTC forward positions that have not yet expired/matured. Do not net positions
within asset classes. Assets held in side-pockets should be included as assets of the reporting fund.
Each asset should only be included in a single asset class.)
Maturity
1 day or
less
Sovereign bonds and municipal bonds
U.S. treasury securities ......................................
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 ..................................
Instruments issued by U.S. financial institutions
Unsecured commercial paper .............................
ABCP ..................................................................
ABS and structured products other than ABCP ..
Certificates of deposit.........................................
Floating rate notes ..............................................
Repos
Where assets purchased are U.S. treasury
securities or agency securities .....................
2 days to
7 days
8 days to
30 days
31 days
to
397 days
Greater
than 397
days
Form PF
Section 3
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
Page 34 of 42
Where assets purchased are corporate
bonds that are investment grade ..................
Where other assets are purchased ................
Instruments issued by companies organized in
the U.S. (other than U.S. financial institutions)
Unsecured commercial paper .............................
Corporate bonds (other than unsecured
commercial paper), loans, ABS, structured
products and repos, combined ...........................
Instruments issued by non-U.S. financial
institutions
Unsecured commercial paper .............................
ABCP ..................................................................
ABS and structured products other than ABCP ..
Certificates of deposit.........................................
Floating rate notes ..............................................
Repos
Where assets purchased are U.S. treasury
securities or agency securities .....................
Where assets purchased are corporate
bonds that are investment grade ..................
Where other assets are purchased ................
Instruments issued by companies organized
outside the U.S. (other than non-U.S. financial
institutions)
Unsecured commercial paper .............................
Corporate bonds (other than unsecured
commercial paper), loans, ABS, structured
products and repos, combined ...........................
Other instruments
Investments in money market funds ...................
Investments in liquidity funds ............................
Cash and cash equivalents (other than
instruments covered by another category
above) .................................................................
57.
For each open position of the reporting fund that represents 5% or more of the reporting fund‟s net
asset value, provide the information requested below.
Form PF
Section 3
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
% of net asset value
(a)
(b)
(c)
Page 35 of 42
Sub-asset class
First month of the reporting period
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
Second month of the reporting period
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
Third month of the reporting period
(i)
Position ......................................................
[drop-down of asset classes]
(ii)
Position ......................................................
[drop-down of asset classes]
Item C. Financing information
58.
(a)
Is the amount of total borrowing reported in response to Question 12 equal to or
greater than 5% of the reporting fund‟s net asset value?
Yes
No
(b)
If you responded “yes” to Question 58(a) above, divide the dollar amount of total
borrowing reported in response to Question 12 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 12.)
1 day or
less
(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 ............................
(ii) Secured borrowing
(A) U.S. financial institutions ...........................
2 days to
7 days
8 days to
30 days
31 days
to
397 days
Greater
than 397
days
Form PF
Section 3
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
Page 36 of 42
(B) Non-U.S. financial institutions ...................
(C) Other U.S. creditors ...................................
(D) Other non-U.S. creditors ............................
59.
(a)
Does the reporting fund have in place one or more committed liquidity facilities?
Yes
No
(b)
If you responded “yes” to Question 59(a), provide the aggregate dollar
amount of commitments under the liquidity facilities ...............................
Item D. Investor information
60.
Specify the number of outstanding shares or units of the reporting fund‟s stock
or similar securities ...............................................................................................
61.
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?
62.
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 ..................................................................................................
63.
Provide the following information regarding the restrictions on withdrawals and
redemptions by investors in the reporting fund.
(For Questions 63 and 64, 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:
(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) ................
Form PF
Section 3
64.
Page 37 of 42
Information about liquidity funds that you advise
(to be completed by large private fund advisers only)
(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) ....................................................................................................
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 ..........................................................
Form PF
Section 4
Information about private equity funds that you advise
(to be completed by large private fund advisers only)
Page 38 of 42
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
65.
(a)
Name of the reporting fund .............................................................................
(b)
Private fund identification number of the reporting fund ...............................
Item B. Reporting fund financing and investments
66.
67.
(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 66(a) above, report the total dollar value
of all such guarantees and other obligations....................................................
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.)
68.
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)?
69.
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)?
70.
What is the aggregate gross asset value of the reporting fund‟s controlled
portfolio companies?
71.
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?
72.
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?
Form PF
Section 4
Information about private equity funds that you advise
(to be completed by large private fund advisers only)
Page 39 of 42
73.
What percentage of the aggregate borrowings of the reporting fund‟s controlled
portfolio companies is payment-in-kind (PIK) or zero-coupon debt?
74.
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
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
75.
(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 75(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.
Name
[repeat drop-down list of creditor/counterparty names]
Other:
Outstanding
amount of
financing, if drawn
Amount of
commitment, if
undrawn
[repeat drop-down list of creditor/counterparty names]
Other:
[repeat drop-down list of creditor/counterparty names]
Other:
76.
(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 76(a), then for each of the reporting fund‟s
controlled portfolio companies that constitutes a financial industry portfolio
company, provide the following information.
Legal
Name
Address of
principal
office
(include city,
state and
country)
NAICS
code
LEI, if
any
Debt-toequity
ratio of
portfolio
company
Gross
asset
value of
portfolio
company
% of
reporting
fund’s gross
assets
invested in
this portfolio
company
% of
portfolio
company
beneficially
owned by the
reporting
fund
Form PF
Section 4
77.
Information about private equity funds that you advise
(to be completed by large private fund advisers only)
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
78.
Page 40 of 42
% of reporting fund’s total
portfolio company investments
(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 the
reporting fund‟s investments in portfolio companies).
(The total should add up to approximately 100%.)
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 .........................................................................................................
%
Form PF
Section 4
79.
Information about private equity funds that you advise
(to be completed by large private fund advisers only)
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.
Page 41 of 42
Form PF
Section 5
Request for temporary hardship exemption
(to be completed by private fund advisers requesting exemption)
Page 42 of 42
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:
Form PF: Glossary of Terms
Page 1
GLOSSARY OF TERMS
ABCP
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).
ABS
Securities derived from the pooling and repackaging of cash flow producing
financial assets.
Advisers Act
U.S. Investment Advisers Act of 1940, as amended.
Affiliate
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.
Agency securities
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.
Annual update
An update of this Form PF with respect to any fiscal year.
Borrowings
Secured borrowings and unsecured borrowings, collectively.
bp
Basis points.
Cash and cash
equivalents
Cash (including U.S. and non-U.S. currencies), cash equivalents and government
securities. 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; and (iii) investments
in money market funds; and
government securities are: (i) U.S. treasury securities; (ii) agency securities;
and (iii) any certificate of deposit for any of the foregoing.
CCP
Central clearing counterparties (or central clearing houses) (for example, CME
Clearing, The Depository Trust & Clearing Corporation, Fedwire and LCH
Clearnet Limited).
CDO/CLO
Collateralized debt obligations and collateralized loan obligations (including, in
each case, cash flow and synthetic) other than MBS.
Do not include any positions held via CDS (these should be recorded in the CDS
category).
CDS
Credit default swaps, including any LCDS.
CEA
U.S. Commodity Exchange Act, as amended.
CFTC
U.S. Commodity Futures Trading Commission.
Combined money
market and liquidity
fund assets under
management
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.
Form PF: Glossary of Terms
Page 2
Committed capital
Any commitment pursuant to which a person is obligated to acquire an interest in,
or make capital contributions to, the private fund.
Commodities
Has the meaning provided in the CEA. Include ETFs that hold commodities.
For questions regarding commodity derivatives, provide the value of all exposure
to commodities that you do not hold physically, whether held synthetically or
through derivatives (whether cash or physically settled).
Commodity pool
A “commodity pool,” as defined in section 1a(10) of the CEA.
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).
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).
CPO
A “commodity pool operator,” as defined in section 1a(11) of the CEA.
Credit derivatives
Single name CDS, index CDS and exotic CDS.
Crude oil
For questions regarding crude oil derivatives, provide the value of all exposure to
crude oil that you do not hold physically, whether held synthetically or through
derivatives (whether cash or physically settled).
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
In the case of an initial filing, the data reporting date is the last calendar day of
your most recently completed fiscal year (or, if you are a large hedge fund adviser
or large liquidity fund adviser, your most recently completed fiscal quarter).
In the case of an annual update, the data reporting date is the last calendar day of
your most recently completed fiscal year.
In the case of a quarterly update, the data reporting date is the last calendar day
of your most recently completed fiscal quarter.
Dependent parallel
managed account
With respect to any private fund, any related parallel managed account other 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).
Derivative
All synthetic or derivative exposures to equities, including preferred equities, that
Form PF: Glossary of Terms
Page 3
exposures to
unlisted equities
are not listed on a regulated exchange. Include single stock futures, equity index
futures, dividend swaps, total return swaps (contracts for difference), warrants and
rights.
EEA
The European Economic Area. As of the effective date of this Form PF, the EEA
is comprised of: (i) the European Union member states, which are Austria,
Belgium, Bulgaria, Cyprus, the Czech Republic, Denmark, Estonia, Finland,
France, Germany, Greece, Hungary, Ireland, Italy, Latvia, Lithuania,
Luxembourg, Malta, the Netherlands, Poland, Portugal, Romania, Slovakia,
Slovenia, Spain, Sweden and the United Kingdom; and (ii) Iceland, Liechtenstein
and Norway.
ETF
Exchange-traded fund.
Exempt reporting
adviser
Has the meaning provided in Form ADV.
Exotic CDS
CDSs referencing bespoke baskets or tranches of CDOs, CLOs and other
structured investment vehicles, including credit default tranches.
Feeder fund
See master-feeder arrangement.
Financial industry
portfolio company
Any of the following: (i) a nonbank financial company, as defined in the
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
derivative
Any derivative whose underlying asset is a currency other than U.S. dollars or is
an exchange rate. Cross-currency interest rate swaps should be included in
foreign exchange derivatives and excluded from interest rate derivatives.
Only one currency side of every transaction should be counted.
Form ADV
Form ADV, as promulgated and amended by the SEC.
Form ADV Section
7.B.1
Section 7.B.1 of Schedule D to Form ADV.
G10
The Group of Ten. As of the effective date of this Form PF, the G10 is comprised
of: Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden,
Switzerland, the United Kingdom and the United States.
Gold
For questions regarding gold derivatives, provide the value of all exposure to gold
that you do not hold physically, whether held synthetically or through derivatives
(whether cash or physically settled).
Government entity
Has the meaning provided in Form ADV.
Gross asset value
Value of gross assets, calculated in accordance with Part 1A, Instruction 6.e(3) of
Form ADV.
Gross notional value
The gross nominal or notional value of all transactions that have been entered into
but not yet settled as of the data reporting date. For contracts with variable
Form PF: Glossary of Terms
Page 4
nominal or notional principal amounts, the basis for reporting is the nominal or
notional principal amounts as of the data reporting date.
GSE bonds
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 bond derivatives, but do not include any positions held via CDS (these
should be recorded in the CDS category).
Hedge fund
Any private fund (other than a securitized asset fund):
(a) with respect to which one or more investment advisers (or related persons of
investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation the
calculation of which may take into account unrealized gains solely for the
purpose of reducing such fee or allocation to reflect net unrealized losses);
(b) that may borrow an amount in excess of one-half of its net asset value
(including any committed capital) or may have gross notional exposure in
excess of twice its net asset value (including any committed capital); or
(c) that may sell securities or other assets short or enter into similar transactions
(other than for the purpose of hedging currency exposure or managing
duration).
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.
Index CDS
CDSs referencing a standardized basket of credit entities, including CDS indices
and indices referencing leveraged loans.
Investment grade
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.
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 10-year bond-equivalents.
Investments in
external private
funds
Investments in private funds that neither you nor your related persons advise
(other than cash management funds).
Investments in
internal private
funds
Investments in private funds that you or any of your related persons advise (other
than cash management funds).
Investments in other
Any investment not included in another sub-asset class.
Form PF: Glossary of Terms
Page 5
sub-asset classes
Investments in
registered
investment
companies
Investments in registered investment companies (other than cash management
funds, such as money market funds, and ETFs).
ETFs should be categorized based on the assets that the fund holds and should not
be included in this category.
Large hedge fund
adviser
Any private fund adviser that is required to file Section 2a of Form PF.
See Instruction 3 to determine whether you are required to file this section.
Large liquidity fund
adviser
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.
Large private equity
adviser
Any private fund adviser that is required to file Section 4 of Form PF.
See Instruction 3 to determine whether you are required to file this section.
Large private fund
adviser
Any large hedge fund adviser, large liquidity fund adviser or large private equity
adviser.
LEI
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. In the case of a financial institution, if a “legal
entity identifier” has not been assigned, then provide the RSSD ID assigned by
the National Information Center of the Board of Governors of the Federal Reserve
System, if any.
LCDS
Loan credit default swaps.
Leveraged loans
Loans that are made to entities whose senior unsecured long term indebtedness is
non-investment grade. This may include loans made in 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).
Liquidity fund
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.
Liquidity fund assets
under management
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).
Listed equity
Direct beneficial ownership of equities, including preferred equities, listed on a
regulated exchange.
Do not include synthetic or derivative exposures to equities. ETFs should be
categorized based on the assets that the fund holds and should only be included in
listed equities if the fund holds listed equities (e.g., a commodities ETF should be
categorized based on the commodities it holds).
Listed equity
derivatives
All synthetic or derivative exposures to equities, including preferred equities,
listed on a regulated exchange.
Include single stock futures, equity index futures, dividend swaps, total return
swaps (contracts for difference), warrants and rights.
Form PF: Glossary of Terms
Page 6
LV
Value of long positions, measured as specified in Instruction 15.
Master fund
See master-feeder arrangement.
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.
Maturity
The maturity of the relevant asset, determined without reference to the maturity
shortening provisions contained in paragraph (d) of rule 2a-7 regarding interest
rate readjustments.
MBS
Mortgage backed securities, including residential, commercial and agency.
Do not include any positions held via CDS (these should be recorded in the CDS
category).
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.
Natural gas
For questions regarding natural gas derivatives, provide the value of all exposure
to natural gas that you do not hold physically, whether held synthetically or
through derivatives (whether cash or physically settled).
Net assets under
management
Net assets under management are your regulatory assets under management
minus any outstanding indebtedness or other accrued but unpaid liabilities.
Net asset value or
NAV
With respect to any reporting fund, the gross assets reported in response to
Question 8 minus any outstanding indebtedness or other accrued but unpaid
liabilities.
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
institution
Any of the following: (i) a financial institution chartered outside the United
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.
Do not include any positions held via CDS (these should be recorded in the CDS
category).
Other commodities
Commodities other than crude oil, natural gas, gold and power. All types of oil
and energy products (aside from crude oil and natural gas), including (but not
Form PF: Glossary of Terms
Page 7
limited to) ethanol, heating oil propane and gasoline, should be included in this
category.
For questions regarding other commodity derivatives, provide the value of all
exposure to other commodities that you do not hold physically, whether held
synthetically or through derivatives (whether cash or physically settled).
Other derivatives
Any derivative not included in another 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.
Do not include any positions held via LCDS (these should be recorded in the CDS
category) or certificates of deposit.
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
products
Any structured products not included in another sub-asset class.
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
account
With respect to any private fund, a parallel managed account is any managed
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.
Power
For questions regarding power derivatives, provide the value of all exposure to
power that you do not hold physically, whether held synthetically or through
derivatives (whether cash or physically settled).
Principal office and
place of business
Has the meaning provided in Form ADV.
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
assets under
management
With respect to any adviser, private equity fund assets under management are the
portion of such adviser’s regulatory assets under management that are
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 or similar
arrangements.
Form PF: Glossary of Terms
Page 8
Private fund adviser
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.
Private fund assets
under management
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.
Qualifying hedge
fund
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.
Quarterly update
An update of this Form PF with respect to any fiscal quarter.
Real estate fund
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.
Regulatory assets
under management
Regulatory assets under management, calculated in accordance with Part 1A,
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.
Do not include any positions held via CDS (these should be recorded in the CDS
category).
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.
Reporting fund
A private fund as to which you must report information on Form PF.
Typically, each private fund is a reporting fund. However, if you are reporting
aggregate information for any master-feeder arrangement or parallel fund
structure, only the master fund or the largest parallel fund in the structure (as
applicable) should be identified as a reporting fund. See Instructions 3 and 5.
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.
Risk limiting
conditions
The conditions specified in paragraphs (c)(2) (maturity), (c)(3) (quality), (c)(4)
(diversification), and (c)(5) (liquidity) of rule 2a-7.
Rule 2a-7
Rule 2a-7 promulgated by the SEC under the Investment Company Act of 1940.
SEC
U.S. Securities and Exchange Commission.
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
Any private fund whose primary purpose is to issue asset backed securities and
Form PF: Glossary of Terms
Page 9
fund
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.
7-day gross yield
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 pre-existing
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.
Single name CDS
CDSs referencing a single entity.
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).
Structured products
Pre-packaged investment products, typically based on derivatives and including
structured notes.
Sub-asset class
Each sub-asset class identified in Questions 26 and 30.
SV
Value of short positions, measured as specified in Instruction 15.
Unlisted equity
Direct beneficial ownership of equities, including preferred equities, that are not
listed on a regulated exchange.
Do not include synthetic or derivative exposures to equities.
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.
Unencumbered cash
The fund’s cash and cash equivalents plus 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 transferred to a collateral taker pursuant to a title transfer
arrangement; and (ii) cash and cash equivalents subject to a security interest, lien
or other encumbrance (this could include cash and cash equivalents in an account
subject to a control agreement).
Unfunded
commitments
Committed capital that has not yet been contributed to the private equity fund by
investors.
Form PF: Glossary of Terms
Page 10
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.
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.
Venture capital fund
Any private fund meeting the definition of venture capital fund in rule 203(l)-1 of
the Advisers Act.
WAL
Weighted average portfolio maturity of a liquidity fund calculated taking into
account the maturity shortening provisions contained in paragraph (d) of
rule 2a-7, but determined without reference to the exceptions in paragraph (d) 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 (d) of
rule 2a-7.
Weekly liquid assets
Has the meaning provided in rule 2a-7.
| File Type | application/pdf |
| File Title | Form PF |
| Subject | Date: 2012-01-10 |
| Author | U.S. Securities and Exchange Commission |
| File Modified | 2012-01-10 |
| File Created | 2011-12-27 |