Alert July 24, 2012

Updates to SEC Form PF FAQ

The staff of the SEC’s Division of Investment Management (the “Staff”) updated its FAQ regarding Form PF.  The updates address:

  • how to include relying advisers and special purpose entities in Form PF

  • no-action relief for advisers that programmed internal systems or provided responses in filings based on assumptions that proved to be inconsistent with subsequent guidance issued by the Staff

  • the definition of “gross notional exposure”

  • the use of Question 4 to explain responses to other items in the Form

  • an exception to the requirements for calculating net asset value that allows the deduction of deferred compensation amounts under certain conditions

  • valuing derivatives in determining the value of a parallel managed account

  • the types of transactions that are borrowings for purposes of providing information on the value of a fund’s borrowing in response to Questions 12 and 43, and the valuation of short sales for this purpose

  • who are counterparties for purposes of the questions regarding credit counterparty exposure, and the calculation of credit counterparty exposure for different types of transactions

  • reporting exchange-traded derivatives

  • the definition of “listed equity derivative”

  • accounting for a position that could fall in multiple sub-asset classes identified in Questions 26 and 30

  • providing a geographical breakdown of fund investments

  • reporting the effect of different market factors in a fund’s risk management monitoring in response to Question 42

  • circumstances under which it is permissible to net across positions when reporting the aggregate value of all derivatives positions in Question 44