The SEC recently issued additional FAQs related to Form PF. SEC-registered investment advisers which advise one or more private funds and have at least $150 million in regulatory assets under management attributable to private funds are required to file Form PF with the SEC. The breadth of the disclosure requirements and the frequency of filings on Form PF varies based on the types of private funds advised and the adviser’s assets under management. The purpose of Form PF is to allow the SEC and the CFTC to collect risk exposure information. Information reported on Form PF is not publicly filed and remains confidential.
The new FAQs address very specific questions regarding how to respond to questions contained in Form PF. Accordingly, these FAQs should be reviewed prior to completing and submitting your next (or your initial) Form PF. Some of the matters discussed in the new FAQs include:
- Treatment of short positions, derivatives, repurchase agreements, total return swaps and other financial instruments: if the private fund has a balance sheet, the fund may rely on gross assets reflected on the balance sheet to calculate regulatory assets under management and gross asset value. Therefore, the fund does not need to assess the value of these financial instruments in a manner different than applicable accounting standards.
- If a filer reported private funds in a master-feeder arrangement on an aggregated basis on its Form ADV, then the filer must report the master-feeder arrangement on an aggregated basis on Form PF.
- If a filer elects to aggregate a master-feeder arrangement for reporting purposes in accordance with Instruction 6, the filer should treat the aggregated funds as if they were all one private fund. Therefore, the filer should collapse the master-feeder structure and aggregate all investors in the master-feeder arrangement (but should not count the feeder funds themselves as investors) when responding to questions 15, 16 and 50 about investors of the master-feeder arrangement.
- When reporting aggregate value of all derivatives positions of a reporting fund in questions 13(b) and 44, the filer should report the absolute value of all outstanding derivatives positions, and should not report a negative number.
- Details on how to calculate the trade volume percentage of derivatives trades for purposes of Questions 24(b) and 24(c).
- A filer should include derivatives exposure when measuring exposures to each sub-asset class under the “ABS/structured products” asset class.
- A fund’s exposure to interest rate derivatives should be reported in terms of 10-year bond equivalents for purposes of questions 26 and 30.
- Details on how to calculate and report net asset value and percentages thereof.
- The breakdown of a fund’s investments in portfolio companies by NAICS codes should be based on the percentage of the total gross value of the fund’s investments in portfolio companies attributable to specific NAICS codes.