# Note: This document was created by the Staff of the Division of Investment > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad01f7941bad44380 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Note: This document was created by the Staff of the Division of Investment Management to illustrate revisions to Form PF proposed in release IA-6959. This staff document does not reflect a complete and comprehensive list of all proposed changes to Form PF, or the entirety of the proposal, and does not supplement or substitute for the Commission’s proposal. UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM PF This is a reference copy of Form PF. You may not send a completed printout of this form to the SEC to satisfy a filing obligation. You can only satisfy an SEC filing obligation by submitting the information required by this form to the SEC in electronic format online at the Private Fund Reporting Depository (“PFRD”). More information on PFRD is available at https://www.iard.com/pfrd/default. FORM PF (Paper Version) Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors OMB APPROVAL OMB Number: 3235-0679 Estimated Average Burden Hours Per Response:[XX.XX] Form PF: General Instructions 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 billion in private fund assets under management as of the last day of your most recently completed fiscal 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. Large hedge fund advisers will need to file a current report in Section 5 and advisers to private equity funds will need to file a current report in Section 6, upon certain current reporting events. See Instructions 3, 9, and 12 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 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 2 If you and your related persons, collectively, had at least $1.510 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 must complete a separate Section 2 with respect to each qualifying hedge fund that you advise. You are not required to include the regulatory assets under management of any related person that is separately operated. In addition, you must complete a separate Section 2 for each parallel fund that is part of a parallel fund structure that, in the aggregate, comprises a qualifying hedge fund (even if that parallel fund is not itself a qualifying hedge fund); and you must complete a separate Section 2 for the master fund of any master-feeder arrangement that, in the aggregate, comprises a qualifying hedge fund (even if that master fund is not itself a qualifying hedge fund) in accordance with Instruction 6. Section 3 – Large liquidity fund advisers Section 3 You are required to complete Section 3 if (i) you advise one or more liquidity funds and (ii) as of the last day of any month in the fiscal quarter immediately preceding your most recently completed fiscal quarter, you and your related persons, collectively, had at least $1 billion in combined money market and liquidity fund assets under management. You are not required to include the regulatory assets under management of any related person that is separately operated. You must complete a separate Section 3 with respect to each liquidity fund that you advise. 2 Section 4 – Large private equity fund 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. Section 5 – Current report for large hedge fund advisers to qualifying hedge funds Section 5 Section 5 is the current reporting form for large hedge fund advisers to qualifying hedge funds. You must complete and file Section 5 for any current reporting event with respect to a qualifying hedge fund you advise. Section 6 – Quarterly event report for advisers to private equity funds Section 6 4. Section 6 is the quarterly event reporting form about private equity funds. You must complete and file Section 6 for any private equity reporting event with respect to a private equity fund you advise. Section 76 Advisers requesting a temporary hardship exemption – See Instruction 14 for details. Section 76 I am a subadviser or engage a subadviser for a private fund. Who is responsible for reporting information about that private fund? Only one private fund adviser should complete and file Form PF for each private fund. If the adviser that filed Form ADV Section 7.B.1 with respect to any private fund is required to file Form PF, the same adviser must also complete and file Form PF for that private fund. If the adviser that filed Form ADV Section 7.B.1 with respect to any private fund is not required to file Form PF (e.g., because it is an exempt reporting adviser) and one or more other advisers to the fund is required to file Form PF, another adviser must complete and file Form PF for that private fund. Where a question requests aggregate information regarding the private funds that you advise, you should only include information regarding the private funds for which you are filing Section 1b of Form PF. 5. For purposes of determining whether I meet any reporting threshold, when am I required to aggregate information regarding parallel funds, parallel managed accounts, master-feeder arrangements, and funds managed by related persons?     You must aggregate any private funds that are part of the same master-feeder arrangement (even if you did not, or were not permitted to, aggregate these private funds for purposes of Form ADV Section 7.B.1). You must aggregate any private funds that are part of the same parallel fund structure. Any dependent parallel managed account must be aggregated with the largest private fund to which that dependent parallel managed account relates. You must treat any private fund or parallel managed account advised by any of your related persons as though it were advised by you (including related persons that you have not identified in Question 1(b) as related persons for which you are filing Form PF, though you may exclude related persons that are separately operated). Where you are aggregating dependent parallel managed accounts to determine whether you meet a reporting threshold, 3 assets held in the accounts should be treated as assets of the private funds with which they are aggregated. 6. How do I report information regarding parallel funds, parallel managed accounts, master-feeder arrangements, and funds reported by related persons? You must separately report each component fund of master-feeder arrangements and parallel fund structures. However:     Do not report a feeder fund that invests all of its assets in (i) a single master fund, (ii) U.S. treasury bills, and/or (iii) cash and cash equivalents (i.e., a disregarded feeder fund). You may also treat a feeder fund that does not invest more than 5 percent of its gross asset value in other investments that are not in a single master fund, U.S. treasury bills, and/or cash and cash equivalents, as a disregarded feeder fund. In reporting a master fund, you must identify whether each feeder fund is a disregarded feeder fund in Question 7 and “look through” to any disregarded feeder funds’ investors in responding to Questions 21 – 22, 51 – 53, and 59 – 64. Do not report information regarding parallel managed accounts (except in Question 16). Do 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. Example 1. You advise a master-feeder arrangement with two feeder funds. Feeder fund X has invested $50040 in the master fund and holds a foreign exchange derivative with a notionalmark-to-market value of $10060 which represents 10% of the total gross asset value of $600 for feeder fund X. Feeder fund Y invests $200 in the master fund and has no other assets or liabilities, except cash. The master fund has used the $70040 received from the feeder funds to invest in corporate bonds. None of these funds has any other assets or liabilities. For purposes of determining whether any of the funds comprises a qualifying hedge fund, this master-feeder arrangement should be treated as a single private fund whose only investments are $70040 in corporate bonds and a foreign exchange derivative with a notionalmark-to-market value of $10060. For reporting purposes, if the aggregated master-feeder arrangement comprises a qualifying hedge fund, the master fund is reported as a qualifying hedge fund (complete Section 2 (even if is not a qualifying hedge fund by itself) and report feeder fund X and feeder fund Y as internal private fund investors in Question 7). A separate report for feeder fund X is required because the fund holds assets greater than 5 percent of its gross asset value in addition to its investment in the master fund and cash and cash equivalents (complete Section 1b and 1c). Further, if feeder fund X meets the threshold to be a qualifying hedge fund, it also must be reported as a qualifying hedge fund (complete Section 2 and Section 5, as applicable). In determining the feeder fund’s reporting threshold, you should include all assets and liabilities of the feeder fund, except for any assets invested in the master fund. A separate report is not required for feeder fund Y because it invests in a 4 single master fund and has no other assets or liabilities except cash. Example 2. You advise a parallel fund structure consisting of two hedge funds, named parallel fund A and parallel fund B. You also advise a related dependent parallel managed account. The account and each fund have invested in corporate bonds of Company X and have no other assets or liabilities. The value of parallel fund A’s investment is $400, the value of parallel fund B’s investment is $300 and the value of the dependent parallel managed account’s investment is $200. For purposes of determining whether either of the parallel funds is a qualifying hedge fund, the entire parallel fund structure and the related dependent parallel managed account should be treated as a single private fund whose only asset is $900 of corporate bonds issued by Company X. For reporting purposes, both parallel fund A and parallel fund B must be reported separately (for each of parallel fund A and B, complete Sections 1b and 1c, Section 2, and Section 5, as applicable, if the parallel fund structure is a qualifying hedge fund). Y ou would disregard the value of the investment by the dependent parallel managed account when reporting for parallel fund A and B, and instead, report the value of that investment ($200) in Question 16 for the largest parallel fund, parallel fund A. 7. I advise a private fund that invests in other private funds (e.g., a “fund of funds”) or trading vehicles. How should I treat these investments for purposes of Form PF? Reporting thresholds. You must include the value of private fund investments in other private funds in determining whether you are required to file Form PF and whether you meet thresholds for filing as a large hedge fund adviser, large liquidity fund adviser, or large private equity fund adviser and whether a reporting fund is a qualifying hedge fund. 5 Funds that invest 80% or more of their assets in other private funds. If you advise a private fund that (i) invests 80% or more of its assets in the equity of private funds (including internal private funds and external private funds) and (ii) aside from such private fund investments, holds only cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure, then you are only required to complete Section 1b for that fund. Trading vehicles. If the reporting fund holds assets, incurs leverage, or conducts trading or other activities through a trading vehicle, you must identify the trading vehicle in Question 9, and report answers on an aggregated basis for the reporting fund and such trading vehicle. You must include (look through to) the trading vehicle’s holdings, adjusted for the reporting fund’s percentage ownership of the trading vehicle, for all questions answered by the reporting fund. In responding to Question 9, you must identify each trading vehicle that is either (i) listed or required to be listed on Section 7.B of Schedule D of your or another adviser’s Form ADV or (ii) included or required to be included in a response to Questions 27, 28, 42, 43 or 44. Responding to questions. Except as otherwise provided in the instructions for a particular question in Form PF, include the value of a reporting fund’s investments in other private funds (both internal and external) in responding to questions under this Form PF. For example, (i) include the value of the reporting fund’s investments in other private funds in reporting gross asset value and net asset value in Question 11 and 12, but (ii) exclude the value of a reporting fund’s investment in other private funds in Question 3, the instructions to which explain that you must not include the value of a reporting fund’s investments in other internal private funds in responding to the question. Do not “look through” the reporting fund’s investments in internal private funds or external private funds (other than a trading vehicle as explained above) in responding to questions on the Form, unless the question instructs you to report exposure obtained indirectly through positions in such funds or other entities. For example, do not look through to the creditors of or counterparties to other private funds in responding to questions that ask about a reporting fund’s borrowing and counterparty exposure (e.g., Questions 18, 26, 27, and 28). However, Where selected questions in Section 2 of the Form require you to report indirect exposure resulting from positions held through other entities including private funds (See Question 32, Question 33, Question 35, Question 36, and Question 47), and you must “look through” the reporting fund’s investments in internal private funds and external private funds in responding to these questions. (See Question 32, Question 33, Question 35, Question 36,and Question 47.) you may report based on reasonable estimates that are consistent with your internal methodologies and conventions of service providers, as provided for in the instructions under those questions. If you cannot avoid “looking through” to the reporting fund’s investments in internal private funds or external private funds in responding to a particular question, provide an explanation in Question 4. Solely for purposes of this Instruction 7, you may treat as a private fund any issuer formed under the laws of a jurisdiction other than the United States that has not offered or sold its securities in the United States or to United States persons but that would be a private fund if it had engaged in such an offering or sale. 8. I advise a private fund that invests in funds or other entities that are not private funds or trading vehicles. How should I treat these investments for purposes of Form PF? Include the value of investments in any fund or other entity for all purposes under this Form PF. For example, you must include the value of these investments in determining reporting thresholds and responding to questions. For example, include the value of these investments in determining gross asset value in Question 11 and net asset value in Question 12. 6 Except for trading vehicles, do not “look through” a reporting fund’s investments in any fund or other entity, unless the question instructs you to report exposure obtained indirectly through positions in such funds or other entities. For example, do not “look through” to the creditors of or counterparties to any fund or other entity in responding to questions that ask about a reporting fund’s borrowing and counterparty exposure (e.g., Questions 18, 26, 27, and 28). However,Where selected questions in Section 2 of the Form require you to report indirect exposure resulting from positions held through entities, such as a fund or other entity (See Question 32, Question 33, Question 35, Question 36, and Question 47), and you must “look through” the reporting fund’s investments such funds or other entities in responding to these questions. (See Question 32, Question 33, Question 35, Question 36, and Question 47) you may report based on reasonable estimates that are consistent with your internal methodologies and conventions of service providers, as provided for in the instructions under those questions . You should “look through” trading vehicles for all questions as provided in Instruction 7. 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 each calendar quarter, 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. If your fiscal year does not end at the end of a calendar quarter, you must file a quarterly update that updates the answers to all Items in this Form PF within 60 days after the end of the next calendar quarter after your fiscal year end. You may, however, submit an initial filing for the next calendar quarter after your fiscal year end that updates information relating only to the hedge funds that you advise so long as you amend your Form PF within 120 calendar days after the end of your fiscal year to update information relating to any other private funds that you advise. When you file such an amendment, you are not required to update information previously filed for such quarter. Periodic filings (large liquidity fund advisers) Within 15 calendar days after the end of each calendar quarter, 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. If your fiscal year does not end at the end of a calendar quarter, you must file a quarterly update that updates the answers to all Items in this Form PF within 15 days after the end of the next calendar quarter after your fiscal year end. You may, however, submit an initial filing for the next calendar quarter after your fiscal year end that updates information relating only to the liquidity funds that you advise so long as you amend your Form PF within 120 calendar days after the end of your fiscal year to update information relating to any other private funds that you advise (subject to the next paragraph). When you file such an amendment, you are not required to update information previously filed for such quarter. If you are both a large liquidity fund adviser and a large hedge fund adviser, you must file your quarterly updates with respect to the 7 liquidity funds that you advise within 15 calendar days and with respect to the hedge funds you advise within 60 calendar days. Periodic filings (all other advisers) Within 120 calendar days after the end of your fiscal year, you must file an 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 next calendar quarter after their fiscal year end. Transition filing If you are transitioning from quarterly to annual filing because you are no longer a large hedge fund adviser or large liquidity fund adviser, then you must complete and file Item A of Section 1a and check the box in Section 1a indicating that you are making your final quarterly filing. You must file your transition filing no later than the last day on which your next quarterly update would be timely. Current reports (large hedge fund advisers) Large hedge fund advisers must file a current report in Section 5 upon certain current reporting events with respect to qualifying hedge funds they advise. See Section 5 for filing deadlines. Private equity event reports (all advisers to private equity funds) All advisers to private equity funds must file a private equity event report in Section 6 upon certain private equity reporting events with respect to private equity funds they advise within 60 calendar days after the end of each fiscal quarter. Final filing If you are no longer required to file Form PF, then you must complete and file Item A of Section 1a and check the box in Section 1a indicating that you are making your final filing. You must file your final filing no later than the last day on which your next Form PF update would be timely. This applies to all Form PF filers. Failure to update your Form PF as required by these instructions is a violation of SEC and, where applicable, CFTC rules and could lead to revocation of your registration. 10. How do I obtain private fund identification numbers for my reporting funds? Each private fund must have an identification number for purposes of reporting on Form ADV and Form PF. Private fund identification numbers can only be obtained by filing Form ADV. If you need to obtain a private fund identification number and you are required to file a quarterly update of Form PF prior to your next annual update of Form ADV, then you must acquire the identification number by filing an other-than-annual amendment to your Form ADV and following the instructions on Form ADV for generating a new number. When filing an other- than-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. 8 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. If you are a large hedge fund adviser filing a current report in Section 5, only file Section 5. Do not file any other sections of the Form. If you are an adviser to private equity funds filing a current report in Section 6 only file Section 6. Do not file any other sections of the Form. For all other types of filings, file the applicable sections as provided in Instruction 3. 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 76 of Form PF, checking the box in Section 1a indicating that you are requesting a temporary hardship exemption. Do not complete or file any other sections of Form PF. Mail one manually signed original and one copy of your exemption filing to: U.S. Securities and Exchange Commission, Investment Adviser Regulation Office, Mail Stop 0-25, 100 F Street NE, Washington, DC 20549 or submit electronically your signed exemption filing in PDF format by email to FormPF@sec.gov. You must preserve in your records a copy of any temporary hardship exemption filing. Any request for a temporary hardship exemption must be filed no later than one business day after the electronic Form PF filing was due. For more information, see SEC rule 204(b)-1(f). 9 15. May I rely on my own methodologies in responding to Form PF? How should I enter requested information? You may respond to this Form using your own internal methodologies and the conventions of your service providers, provided the information is consistent with information that you report internally and to current and prospective investors. However, your methodologies must be consistently applied, and your responses must be consistent with any instructions or other guidance relating to this Form. You may explain any of your methodologies, including related assumptions, in Question 4. In responding to Questions on this Form, the following guidelines apply unless otherwise specifically indicated:  provide the requested information as of the close of business on the data reporting date;  if information is requested for any month or quarter, provide the requested information as of the close of business on the last calendar day of the month or quarter, respectively;  if a question requests information expressed as a percentage, enter the response as a percentage (not a decimal) rounded to the nearest one hundredth of one percent;  if a question requests a monetary value, provide the information in U.S. dollars as of the data reporting date (or other requested date), rounded to the nearest thousand, using a foreign exchange rate for the applicable date;  if a question requests a monetary value for transactional data that covers a reporting period, provide the information in U.S. dollars, rounded to the nearest thousand, using foreign exchange rates as of the dates of any transactions to convert local currency values to U.S. dollars (see questions 14, 23(c)(iv)(B), 23(c)(iv)(C), 23(c)(iv)(D), 29, and 30(a), and 34);  if a question requests a numerical value other than a percentage or a dollar value, provide information rounded to the nearest whole number;  if a question requests information regarding a “position” or “positions,” treat two or more legs of a transaction even if offsetting or partially offsetting, or even if entered into with the same counterparty under the same master agreement as two separate positions, even if reported internally as part of a larger transaction. However, exclude closed-out positions that are closed out with the same counterparty provided that there is no credit or market exposure to the reporting fund;  if a question requires you to distinguish long positions from short positions, classify positions as follows: a long position experiences a gain when the price of the market factor to which it relates increases (and/or the yield of that factor decreases), and a short position experiences a loss when the price of the market factor to which it relates increases (and/or the yield of that factor decreases);  do not net long and short positions;  for derivatives (other than interest rate derivatives and options), “value” means gross notional value; for interest rate derivatives, “value” means the 10-year bond equivalent; for options, “value” means delta adjusted notional value (expressed as a 10-year bond equivalent for options that are interest rate derivatives); in determining the “value” of derivatives positions, do not net long and short positions or offsetting or partially offsetting trades; but exclude closed-out positions that are closed out with the same counterparty provided that there is no credit or market exposure to the reporting fund; 10 16.  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  for question 25, the numerator you use to determine the percentage of net asset value should be measured on the same basis as gross asset value. Your response to this question may total more than 100%. 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, or Section 5, or Section 6, as applicable, 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 2042(d), you may identify the private fund on Form PF using the same code or designation in place of the fund’s name. 18. How should I treat a commodity pool for purposes of Form PF? Commodity pools should be treated as hedge funds for purposes of Form PF. If you are reporting on Form PF regarding a commodity pool that is not a private fund, then you may treat it as a private fund for purposes of Form PF. However, such a commodity pool is not required to be included when determining whether you exceed one or more reporting thresholds. If such a commodity pool is a qualifying hedge fund and you are otherwise required to report information in section 2 of Form PF, then you must report regarding the commodity pool in section 2 of Form PF. Federal Information Law and Requirements for a Collection of Information Section 204(b) of the Advisers Act [15 U.S.C.80b-4(b)] authorizes the SEC to collect the information that Form PF requires. The information collected on Form PF is designed to facilitate the Financial Stability Oversight Council’s (“FSOC”) monitoring of systemic risk in the private fund industry and to assist FSOC in determining whether and how to deploy its regulatory tools with respect to nonbank financial companies. The SEC and CFTC may also use information collected on Form PF in their regulatory programs, including examinations, investigations and investor protection efforts relating to private fund advisers. Filing Form PF is mandatory for advisers that satisfy the criteria described in Instruction 1 to the Form. See also 17 CFR 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 11 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. 12 Information about you and your related persons (to be completed by all Form PF filers) Form PF Section 1a Section 1a: Information about you and your related persons _____________________________________________________________________________________________________________________________________________________________________ Check the box that indicates what you would like to do: a. If you are not a large hedge fund adviser or large liquidity fund adviser: Submit your first filing on Form PF for the period ended: Submit an annual update for the period ended: Amend a previously submitted filing for the period ended: Submit a final filing Request a temporary hardship exemption b. If you are a large hedge fund adviser or large liquidity fund adviser: Submit your first filing on Form PF for the [1st, 2nd, 3rd, 4th] quarter, which ended: Submit a quarterly update (including fourth quarter updates) for the [1st, 2nd, 3rd, 4th] quarter, which ended: Amend a previously submitted filing for the [1st, 2nd, 3rd, 4th] quarter, which ended: Transition to annual reporting Submit a final filing Request a temporary hardship exemption Item A. Information about you 1. (a) Provide your name and the other identifying information requested below. (This should be your full legal name. If you are a sole proprietor, this will be your last, first, and middle names. If you are a SID, enter the full legal name of your bank. Please use the same name that you use in your Form ADV.) Legal name SEC 801-Number NFA ID Number, if any Large trader ID, if any Large trader ID suffix, if any LEI, if any (b) Provide the following information for each of the related persons, if any, with respect to which you are reporting information on this Form PF: Legal name SEC 801-Number NFA ID Number, if any 13 Large trader ID, if any Large trader ID suffix, if any LEI, if any (c) Provide the following information for yourself and each of the related persons, if any, with respect to which you are reporting information on this Form PF that is registered or required to be registered as a CPO and/or CTA: Legal Name CPO, CTA, or Both [Drop-down list] [Drop-down list] 2. Signatures of sole proprietor or authorized representative (see Instruction 11 to Form PF). Signature on behalf of the firm and its related persons: I, the undersigned, sign this Form PF on behalf of, and with the authority of, the firm. In addition, I sign this Form PF on behalf of, and with the authority of, each of the related persons identified in Question 1(b) (other than any related person for which another individual has signed this Form PF below). To the extent that Section 1 or 2 of this Form PF is filed in accordance with a regulatory obligation imposed by CEA rule 4.27, the firm, each related person for which I am signing this Form PF, and I shall accept that any false or misleading statement of a material fact therein or material omission therefrom shall constitute a violation of section 6(c)(2) of the CEA. Name of individual: Signature: Title: Email address: Telephone contact number (include area code and, if outside the United States, country code): Date: Signature on behalf of related persons: I, the undersigned, sign this Form PF on behalf of, and with the authority of, the related person(s) identified below. To the extent that Section 1 or 2 of this Form PF is filed in accordance with a regulatory obligation imposed by CEA rule 4.27, each related person identified below and I shall accept that any false or misleading statement of a material fact therein or material omission therefrom shall constitute a violation of section 6(c)(2) of the CEA. Name of each related person on behalf of which this individual is signing: Name of individual: Signature: Title: Email address: Telephone contact number (include area code and, if outside the United States, country code): Date: 14 Item B. Information about assets of private funds that you advise 3. Provide a breakdown of your regulatory assets under management and your net assets under management as follows: (If you are filing a quarterly update for your first, second or third fiscal quarter, you are only required to update row (a), in the case of a large hedge fund adviser, or row (b), in the case of a large liquidity fund adviser. To avoid double counting, do not include the value of your private funds’ investments in other internal private funds.) Net assets under Regulatory assets management 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. To the extent responses relate to a particular question, provide the Question number(s), as applicable. Description Question number [drop-down list for question number or “all” options.] 15 Form PF Section 1b Information about the private funds you advise (to be completed by all Form PF filers) Section 1b: Information about the private funds you advise You must complete a separate Section 1b for each private fund that you advise, except as provided by Instruction 6. Item A. Reporting fund identifying information 5. (a) Name of the reporting fund (b) Private fund identification number of the reporting fund (c) NFA identification number of the reporting fund, if applicable (d) LEI of the reporting fund, if any 6. (a) For purposes of reporting on this Form PF, what type of fund is the reporting fund? [Select one] [drop-down list for hedge fund that is not a qualifying hedge fund, qualifying hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, venture capital fund, or “other.”] If you identify the reporting fund as “other,” describe the reporting fund in Question 4, including why it would not qualify for any of the other selections. If you identify the reporting fund as a different type of fund on Form ADV, explain why in Question 4. (b) Is the reporting fund a commodity pool? Yes No (c) Does the reporting fund operate as a UCITS? Yes No (d) If you checked yes in (c), in what countries does the reporting fund operate as a UCITS? [Drop-down list] (e) Does the reporting fund operate as an AIF? Yes No (f) If you checked yes in (e), in what countries does the reporting fund operate as an AIF? [Drop-down list] (g) Does the reporting fund offer itself as a money market fund outside the United States? Yes No (h) If you checked yes in (g), in what countries does the reporting fund offer itself as a money market fund? [Drop-down list] (For the purposes of responding to Question 6(g) and 6(h) only, a money market fund includes a 16 similar fund that operates outside of the United States in accordance with applicable non-U.S. laws and are not limited to “money market funds” as defined in the Glossary of Terms.) 7. (a) Is the reporting fund the master fund of a master-feeder arrangement? If so, check “yes” below, and complete (i), (ii), and (iii) for each feeder fund. Otherwise, check “no.” See Instructions 5, 6, and 7 for information on treatment of master-feeder arrangements. Yes No (i) Name of feeder fund................................................................... (ii) Private fund identification number of the feeder fund .............. (iii) Is the feeder fund a separate reporting fund? If so, check “yes,” below. If the feeder fund is a “disregarded” feeder fund in accordance with Instruction 6, check “no.” Yes No (b) Do any internal private funds (other than the feeder funds identified in (a) above) invest in the reporting fund? If so, check “yes” and complete (i), (ii), and (iii) for each such internal private fund. Otherwise, check “no.” No Yes (i) Name of internal private fund….................................................... (ii) Internal private fund’s LEI, if it has one....................................... (iii) Private fund identification number of the internal private fund…. 8. (a) Is the reporting fund a component of a parallel fund structure? If so, check “yes” below. Otherwise, check “no.” (See Instructions 5 and 6 for information regarding the treatment of parallel funds.) Yes No If you responded “yes” to Question 8(a), complete (b) through (e) below for each component in the parallel fund structure. (b) Name of the parallel fund (c) Private fund identification number of the parallel fund (d) NFA identification number of the parallel fund, if applicable (e) LEI of the parallel fund, if any 9. If the reporting fund holds assets, incurs leverage, or conducts trading or other activities through a trading vehicle, provide the following information about each trading vehicle that is either (i) listed or required to be listed on Section 7.B of Schedule D of your or another adviser’s Form ADV or (ii) included or required to be included in a response to Questions 27, 28, 42, 43 or 44. (a) Legal name ...................................................................................................................... (b) LEI, if any......................................................................................................................... (c) Other identifying information (indicate type used, if applicable. E.g., RSSD ID)……… (d) Does the reporting fund hold assets through the trading vehicle? Yes No (e) Does the reporting fund incur leverage through the trading vehicle? No Yes 17 (f) Does the reporting fund conduct trading or other activities through the trading vehicle? No Yes 10. (a) Is the reporting fund an open-end private fund? No Yes (b) Is the reporting fund a closed-end private fund? No Yes (If you responded “no” to both question 10(a) and question 10(b), please provide a detailed explanation in question 4.) (c) If you responded “yes” to 10(a), indicate whether withdrawals/redemptions are permitted most commonly (i.e. with respect to most investors) (regardless of whether there are notice requirements, “gates,” lock-ups, or other restrictions on withdrawals/redemptions). (check one): on any business day at intervals of least two business days and up to a month at intervals longer than monthly up to quarterly at intervals longer than quarterly up to annually at intervals of more than one year (d) If you responded “yes” to 10(a), indicate, as of the data reporting date, what percentage of the reporting fund’s net asset value, if any: (i) 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)............................................................. (ii) 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) ........... (iii) 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) ......................... (iv) 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) ........................................................................................... (For Question 10(d), 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.) 18 Item B. Assets, financing, and investor concentration 11. Date (a) Gross asset value of the reporting fund as of the end of the reporting period................................. [Drop-down list of month, day, year] (b) If you are filing a quarterly update, provide the reporting fund’s gross asset value if available, or gross reporting fund aggregate calculated value if the gross asset value is not available, as of the end of the first month of the reporting period….. [Drop-down list of month, day, year] (c) If you are filing a quarterly update, provide the reporting fund’s gross asset value if available, or gross reporting fund aggregate calculated value if the gross asset value is not available, as of the end of the second month of the reporting period.. [Drop-down list of month, day, year] Gross Asset Value or Gross Reporting fund Aggregate Calculated Value (The amount of the gross asset value of the reporting fund as of the end of the reporting period may differ from the amount you reported in response to question 11 of Form ADV Section 7.B.1. For instance, the amounts may not be the same if you are filing Form PF on a quarterly basis or because you may not aggregate a master-feeder arrangement for purposes of this Form PF.) (For a feeder fund, the gross asset value and gross reporting fund aggregate calculated value calculations should be inclusive of its equity holdings in the master fund, along with its other holdings). (d) Is the value reported in Question 11(b) above a gross reporting fund aggregate calculated value? Yes No (e) Is the value reported in Question 11(c) above a gross reporting fund aggregate calculated value? Yes No 19 12. Date (a) Net asset value of the reporting fund as of the end of the reporting period........................................... [Drop-down list of month, day, year] (b) If you are filing a quarterly update, provide the reporting fund’s net asset value if available or, reporting fund aggregate calculated value if the net asset value is not available, as of the end of the first month of the reporting period………………. [Drop-down list of month, day, year] (c) If you are filing a quarterly update, provide the reporting fund’s net asset value if available or, reporting fund aggregate calculated value if the net asset value is not available, as of the end of the second month of the reporting period……………... [Drop-down list of month, day, year] Net Asset Value or Reporting fund Aggregate Calculated Value (For a feeder fund, the net asset value and net reporting fund aggregate calculated value calculations should be inclusive of its equity holdings in the master fund, along with its other holdings). (d) Is the value reported in Question 12(b) above a reporting fund aggregate calculated value? Yes No (e) Is the value reported in Question 12(c) above a reporting fund aggregate calculated value? Yes No 13. Value of unfunded commitments included in gross asset value or gross reporting fund aggregate calculated value and net asset value or reporting fund aggregate calculated value reported in Questions 11 and 12 (if the reporting fund does not contract for unfunded commitments, enter “NA”)……. 14. Provide the following information concerning the reporting fund’s activity during the reporting period. (For the purpose of this question, contributions include all new contributions from investors, but exclude contributions of committed capital that you have already included in gross asset value calculated in accordance with Form ADV, Part 1A, Instruction 6.e.(3). Withdrawals and redemptions from the reporting fund include all withdrawals, redemptions and other distributions of any kind to investors.) (If you are filing a quarterly update, provide this information for each month of the reporting period.) (a) Contributions to the reporting fund during the reporting period…………………...... (b) Withdrawals and redemptions from the reporting fund during the reporting period… 20 15. (a) Value of reporting fund's investments in equity of external private funds: _________ (b) Check “yes” if the reporting fund is a feeder fund in a master-feeder arrangement and complete the information below for the master fund in which this fund invests. Otherwise, check “no.” Yes No (i) Name of master fund…………………………………………………………………… (ii) Private fund identification number of the master fund:…………………………... (iii) The master fund’s LEI, if any……………………………………………………….. (iv) Value of the private fund’s investments in equity of the master fund:………… (c) Check “yes” if the reporting fund invests in any internal private funds and complete the information below for each such internal private fund. Otherwise, check “no.” Do not complete (c)(i) through (c)(iv) for a master fund identified in (b), above. No Yes (i) Name of internal private fund…...................................................................... (ii) Private fund identification number of the internal private fund……………… (iii) The internal private fund’s LEI, if any……………………………………… (iv) Value of the private fund’s investments in equity of the internal private fund: 16. Value of all parallel managed accounts related to the reporting fund: ___________ (If any of your parallel managed accounts relates to more than one of the private funds you advise, only report the value of the account once, in connection with the largest private fund to which it relates) 17. What is the reporting fund’s base currency? [drop-down list of currencies] Other _______________________ 18. Provide the following information regarding the value of the reporting fund's borrowings and the types of creditors. (You are not required to respond to this question for any reporting fund with respect to which you are answering questions in Section 2 or Question 71 in Section 4. Do not net out amounts that the reporting fund loans to creditors or the value of collateral pledged to creditors.) (The percentages borrowed from the specified types of creditors should add up to approximately 100%.) (a) Dollar amount of total borrowings (b) Percentage borrowed from U.S. depository institutions (c) Percentage borrowed from U.S. creditors that are not U.S. depository institutions (d) Percentage borrowed from non-U.S. creditors 21 19. (a) Does the reporting fund have any outstanding derivatives positions? Yes No (b) If you responded “yes” to Question 19(a), provide the aggregate value of all derivatives positions of the reporting fund ................................................................ 20. Provide a summary of the reporting fund's assets and liabilities categorized using the hierarchy below and indicate the date as of which this categorization was performed. For assets and liabilities that you report internally and to current and prospective investors as representing fair value, or for which you are required to determine fair value in order to report the reporting fund's regulatory assets under management on Form ADV, categorize them into the following categories based on the valuation assumptions utilized: Level 1 – Quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2 – Other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 3 – Unobservable inputs, such as your assumptions or the fund’s assumptions used to determine the fair value of the asset or liability. For any assets and liabilities that you report internally and to current and prospective investors as representing a measurement attribute other than fair value, and for which you are not required to determine fair value in order to report the reporting fund's regulatory assets under management on Form ADV, separately report these assets and liabilities in the “cost-based” measurement column. Do not report cash and cash equivalents in any other column except for the cash and cash equivalents column. (If the fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) or another accounting standard that requires the categorization of assets and liabilities using a fair value hierarchy similar to that established under U.S. GAAP, then respond to this question using the fair value hierarchy established under the applicable accounting standard. Report the absolute value of all liabilities. If you report assets as a negative value, you must provide an explanation in Question 4.) (You should use the estimated values for the fiscal year for which you are reporting if the audit of the financial statement is not yet completed when the Form PF is required to be filed and explain that the information is an estimate in Question 4. You may, but are not required to, amend when the audited financial statements are complete.) (This question requires the use of fair values and cost-based measurements, which may be different from the values contemplated by Instruction 15. You are only required to respond to this question if you are filing an annual update or a quarterly update for your fourth fiscal quarter.) As of date [drop-down box for month, day, year] Level 1 Level 2 Fair Value Level 3 Assets Liabilities Cost-based Cash and Cash Equivalents 21. Specify the approximate percentage of the reporting fund's equity that is beneficially owned by the five beneficial owners having the largest equity interests in the reporting fund._______________ (For purposes of this question, if you know that two or more beneficial owners of the reporting fund are affiliated with each other, you should treat them as a single beneficial owner. If the reporting fund is the master fund in a master-feeder arrangement, include the beneficial owners of a disregarded feeder fund described by Instruction 6 as beneficial owners of the reporting fund.) 22 22. Specify the approximate percentage of the reporting fund's equity that is beneficially owned by the following groups of investors. If you select “other,” describe in Question 4 the type of investor, why it would not qualify for any of the other groups, and any other information to explain your selection. (Include each investor in only one group. The total should add up to approximately 100%. With respect to beneficial interests outstanding prior to March 31, 2012, that have not been transferred on or after that date, you may respond to this question using good faith estimates based on data currently available to you. If the reporting fund is the master fund in a masterfeeder arrangement, include the beneficial owners of a disregarded feeder fund described by Instruction 6 as beneficial owners of the reporting fund.) (a) Individuals that are United States persons (including their trusts) ........................... (b) Individuals that are not United States persons (including their trusts) ..................... (c) Broker-dealers that are United States persons.......................................................... (d) Broker-dealers that are not United States persons.................................................... (e) Insurance companies that are United States persons................................................ (f) Insurance companies that are not United States persons.......................................... (g) Investment companies registered with the SEC........................................................ (h) External private funds.............................................................................................. (i) Internal private funds............................................................................................... (j) Non-profits that are United States persons................................................................ (k) Non-profits that are not United States persons.......................................................... (l) U.S. pension plans (excluding governmental pension plans).................................... (m) Non-U.S. pension funds (plans and funds that are not U.S. private or governmental pension) plans.................................................................................... (n) Banking or thrift institutions that are United States persons..................................... (o) Banking or thrift institutions that are not United States persons............................... (p) U.S. state or municipal government entities (excluding governmental pension plans) ....................................................................................................................... (q) U.S. state or municipal governmental pension plans................................................. (r) Sovereign wealth funds and foreign official institutions (excluding pension funds). (s) Investors that are not United States persons and about which the foregoing beneficial ownership information is not known and cannot reasonably be obtained because the beneficial interest is held through a chain involving one or more thirdparty intermediaries .................................................................................................. (t) Other .......................................................................................................................... 23 Item C. Reporting fund performance 23. Complete (a) unless the reporting fund’s performance is reported to current and prospective investors, counterparties, or otherwise, as an internal rate of return since inception, in which case, complete (b). The reporting fund may report performance as either a time-weighted return or a money-weighted return, such as an internal rate of return; however, the methodology used for reporting performance should be consistent over time. (a) Provide the reporting fund's gross and net performance, as reported to current and prospective investors, counterparties, or otherwise. Report the data using the reporting fund’s base currency. Do not calculate the reporting fund’s performance using reporting fund aggregate calculated value. If the fund reports different performance results to different groups, provide the most representative results and explain your selection in Question 4. You are required to provide monthly and quarterly performance results only if such results are calculated for the reporting fund (whether for purposes of reporting to current or prospective investors, counterparties, or otherwise). If you are submitting an initial filing or an annual update, complete (i) through (xvi) (concerning monthly and quarterly data), only if you calculate such results, and complete (xvii) (concerning yearly data). (For example, if you are submitting an initial filing or an annual update and you do not calculate monthly or quarterly performance results, complete (xvii) only.) If you are submitting a quarterly update, complete the following:  Complete (i) through (iii) (concerning monthly data), if you calculate such results; and  Complete (xiii) through (xvi) for the applicable quarter. (For example, if you are filing a quarterly update for the first quarter of reporting funds’ fiscal year, complete (xiii) (concerning the first quarter), but do not complete (xiv) (concerning the second quarter), (xv) (concerning the third quarter), or (xvi) (concerning the fourth quarter); and  Complete (xvii) (data concerning the reporting fund's most recently completed fiscal year) only if the quarterly update is for the fourth quarter of reporting fund’s fiscal year. If the quarterly update is not the fourth quarter of the reporting fund’s fiscal year, do not complete (xvii). (If your fiscal year is different from the reporting fund’s fiscal year, then for any portion of the reporting fund’s fiscal year that has not been completed as of the data reporting date, provide the relevant information from that portion of the reporting fund’s preceding fiscal year.) (Performance results for monthly and quarterly periods should not be annualized. If any period precedes the date of the fund's formation, enter “NA”. You are not required to include performance results for any period with respect to which you previously provided performance results for the reporting fund on Form PF.) 24 End date [drop-down list of month, day, year] Monthly Data (i) 1st month of reporting period (ii) 2nd month of reporting period (iii) 3rd month of reporting period (iv) 4th month of reporting period (v) 5th month of reporting period (vi) 6th month of reporting period (vii) 7th month of reporting period (viii) 8th month of reporting period (ix) 9th month of reporting period (x) 10th month of reporting period (xi) 11th month of reporting period (xii) 12th month of reporting period Quarterly Data (xiii) First quarter of reporting fund’s fiscal year (xiv) Second quarter of reporting fund’s fiscal year (xv) Third quarter of reporting fund’s fiscal year (xvi) Fourth quarter of reporting fund’s fiscal year Yearly Data (xvii) Reporting fund's most recently completed fiscal year 25 Gross performance Net of management fees, incentive fees, and allocations (b) If the reporting fund’s performance is reported to current and prospective investors, counterparties, or otherwise, as an internal rate of return since inception, provide the reporting fund’s performance below. If such information is reported to current and prospective investors, counterparties, or otherwise, in a currency other than U.S. dollars, report the data using that currency, and identify the currency in Question 4. Do not calculate the reporting fund’s performance using a reporting fund aggregate calculated value. If the fund reports different performance results to different groups, provide the most representative results and explain your selection in Question 4. You are required to provide quarterly performance results since inception only if such results are calculated for the reporting fund (whether for purposes of reporting to current and prospective investors, counterparties, or otherwise). Internal rates of return for periods longer than one year must be annualized, while internal rates of return for periods one year or less must not be annualized. (i) Inception date used for internal rate of return calculation:………………………………… (ii) Inception through the first quarter of reporting fund’s fiscal year……………………........ (iii) Inception through the second quarter of reporting fund’s fiscal year.………………......... (iv) Inception through the third quarter of reporting fund’s fiscal year………………….......... (v) Inception through the end of the reporting fund’s most recently completed fiscal year…… (vi) Does the reported internal rate of return include the effect of any borrowings secured by unfunded commitments (i.e. subscription lines of credit)? Yes No (c) If you calculate a market value on a daily basis for any position in the reporting fund’s portfolio, report the following:(i) Provide the reporting fund aggregate calculated value at the end of the reporting period, and if you are filing a quarterly update, also report the reporting fund aggregate calculated value as of the end of the first and second month of the reporting period.(ii) Provide the reporting fund’s volatility of the natural log of the daily rate-of-return for each month of the reporting period, computed as the standard deviation of the natural log of one plus each of the daily rates-of-return in the month, annualized by the square root of 252 trading days. When calculating the natural log of a daily rate-of-return, the rate of return, which is expressed as a percent, must first be converted to a decimal value and then one must be added to the decimal value. Annualized volatility of returns (A) 1st month of reporting period (B) 2nd month of reporting period (C) 3rd month of reporting period. (D) 4th month of reporting period (E) 5th month of reporting period (F) 6th month of reporting period (G) 7th month of reporting period (H) 8th month of reporting period (I) 9th month of reporting period (J) 10th month of reporting period 26 (K) 11th month of reporting period (L) 12th month of reporting period (iii) Is the reporting fund’s volatility of the daily rates-of-return reported to current and prospective investors, counterparties, or otherwise using a different computation than Question 23(c)(ii)? If yes, describe it in Question 4. Yes No (iv)(A) Did the reporting fund have a negative daily rates-of-return for one or more days during the reporting period? Yes No (B) If you responded “yes” to (iv)(A), report the following for the most recent peak to trough drawdown: Amount in base currency _________ % in base currency ___ Beginning Date_________ End Date_________ If the drawdown was continuing on the data reporting date, do not enter an end date and check here □ (C) Largest peak to trough drawdown of the reporting fund over the reporting period: Amount in base currency _________ % in base currency ___ Beginning Date_________ End Date_________ If the drawdown was continuing on the data reporting date, check here □ (D) Largest single day drawdown of the reporting fund over the reporting period: Amount in base currency ________ % in base currency ___ Date_________ (E) Number of days with a negative daily rates-of-return in the reporting period __________. 27 Form PF Section 1c Information about the hedge funds you advise (to be completed by all Form PF filers that advise hedge funds) Section 1c: Information about the hedge funds you advise You must complete a separate Section 1c for each hedge fund that you advise, except as provided by Instruction 6 and Instruction 7. Item A. Reporting fund identifying information 24. (a) Name of the reporting fund.................................................................................... (b) Private fund identification number of the reporting fund....................................... Item B. Certain information regarding the reporting fund 25. Indicate which of the investment strategies in the drop-down menu below best describe the reporting fund's strategies on the last day of the reporting period. For each strategy that you have selected, provide a good faith estimate of the percentage of the reporting fund's net asset value represented by that strategy. If, in your view, the reporting fund's allocation among strategies is appropriately represented by the percentage of deployed capital, you may also provide that information. (Select the investment strategies that best describe the reporting fund's strategies, even if the descriptions below do not precisely match your characterization of those strategies; select “other” only if a strategy that the reporting fund uses is significantly different from any of the strategies identified below.) (The strategies in the drop-down menu below are mutually exclusive (i.e., do not report the same assets under multiple strategies). The reporting strategies methodology used should be consistent over time. The numerator you use to determine the percentage of net asset value should be measured on the same basis as gross asset value. Your response to this question may total more than 100%. If providing percentages of capital, the total should add up to approximately 100%, and may total more than 100%.) (If you select “other” as an investment strategy for the reporting fund, describe in Question 4 the investment strategy, why it would not qualify for any of the other categories, and any other information to explain the selection “other.” If a particular strategy could be classified as both a digital asset strategy and another strategy, report the strategy as the non-digital asset strategy.) % of NAV (required) Strategy [drop-down menu] 28 % 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) 26. Consolidated Counterparty Exposure Table Report in the consolidated counterparty exposure table below the reporting fund’s borrowing and collateral received (B/CR) and lending and posted collateral (L/PC) aggregated across all creditors and counterparties (including all CCPs) in U.S. dollars as of the end of the reporting period. (You are not required to complete this question monthly if the reporting fund is a qualifying hedge fund and you complete the consolidated counterparty exposure table in that is required to complete Section 2). You must net the reporting fund’s exposure with each counterparty and among affiliated entities of a counterparty to the extent such exposures may be contractually or legally set-off or netted across those entities or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another under the agreements governing the transactions. Netting must be used to reflect net cash borrowed from or lent to a counterparty but must not be used to offset securities borrowed and lent against one another, when reporting prime brokerage and repo/reverse repo transactions. Report the counterparty exposures of trading vehicles owned by the reporting fund based on the reporting fund’s percentage ownership of each trading vehicle, without netting the trading vehicle’s exposures with the reporting fund’s exposures if they are not guaranteed by the reporting fund or contractual obligations of the reporting fund. If the reporting fund guarantees or is contractually obligated to fulfill obligations of such trading vehicles or affiliated private funds, such exposures must be reported net with those of the reporting fund. If an adviser to an affiliated private fund separately files Form PF, such adviser to the affiliated private fund must exclude such exposures if they have been reported in the reporting fund’s filing. In completing the table, classify borrowing and collateral received and lending and posted collateral according to type (e.g., unsecured borrowing, secured borrowing, derivatives cleared by a CCP, and uncleared derivatives) and the governing legal agreement (e.g., a prime brokerage or other brokerage agreement for cash margin and securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, or an ISDA master agreement for synthetic long positions, synthetic short positions, and derivatives). Report transactions under a master securities loan agreement as other secured borrowing. □ Check this box if one or more prime brokerage agreements provide for cross-margining of derivatives and secured financing transactions. If you have checked this box, and collateral does not clearly pertain to secured financing vs. derivatives transactions, report exposures and collateral as follows:  For secured financing, exposures and collateral should be reported in sections (b), (c) and (d), as applicable  For derivatives, o Report the gross notional value and the mark-to-market exposure of the derivatives transactions with other derivatives transactions (lines (e)(i) or lines (f)(i) and (ii)) o Report associated collateral as collateral received (B/CR) or posted collateral (L/PC) under the prime brokerage agreement (lines (b)(ii) and (iii)).  For derivatives cleared by a CCP, for cases where the prime broker gathers additional collateral in excess of that required by exchanges, report collateral posted by the reporting fund to meet exchange requirements in the cleared derivatives section on lines (e)(ii) and (iii), and any additional collateral gathered by the prime broker under a cross margining agreement should appear on lines (b) (ii) and (iii). 29 Consolidated Counterparty Exposure Table B/CR L/PC Not Applicable (a) Unsecured borrowing – cash and cash equivalents (b) Secured borrowing and lending (prime brokerage or other brokerage agreement) (i) cash and cash equivalents received in cash margin borrowing, or received or paid by the reporting fund in securities lending and short sale transactions (ii) cash and cash equivalents received or posted by the reporting fund as collateral for derivatives under any cross-margining agreement (iii) government securities and other securities received and posted by the reporting fund (c) Secured borrowing and lending via repo and reverse repo (include tri-party repo) (i) cash and cash equivalents (ii) government securities and other securities (other than cash and cash equivalents) received and posted by the reporting fund (d) Other secured borrowing and lending (describe in Question 4) (i) cash and cash equivalents (ii) government securities and other securities (other than cash and cash equivalents) received and posted by the reporting fund (e) Derivative positions cleared by a CCP (i) mark-to-market exposure of derivatives transactions before collateral (ii) cash and cash equivalents received and posted by the reporting fund as collateral (iii) government securities and other securities received and posted by the reporting fund as collateral (f) Derivative positions that are not cleared by a CCP (uncleared) (i) gross notional value of synthetic long positions and synthetic short positions (ii) mark-to-market exposure of derivatives transactions before collateral (iii) cash and cash equivalents received and posted by the reporting fund as collateral (iv) government securities and other securities received and posted by the reporting fund as collateral 27. Identify each creditor or other counterparty (including CCPs) to which the reporting fund owed an amount in respect of cash borrowing entries(before posted collateral) which is equal to or greater than either (1) 5% of net asset value as of the data reporting date, or (2) $1 billion. If there are more than five such counterparties, report the five counterparties to which the reporting fund owed the largest dollar amount in cash borrowing entries before taking into account collateral posted by the reporting fund. (You are not required to complete this question if the reporting fund is a qualifying hedge fund and you complete Question 42 in Section 2). 30 In the table below, report the legal entity name and LEI of each creditor or other counterparty, if it has one, in columns (i) and (ii). Indicate whether the creditor or counterparty is affiliated with a major financial institution in column (iii). If you select “other,” name and describe the financial institution in Question 4. Do not treat affiliated counterparty entities as a single group, except that, if the applicable contractual and legal documentation requires cross margining, report the legal entity name and LEI of the contractual counterparty, typically the prime broker. Report the reporting fund’s cash borrowing entries for each reported creditor or counterparty in column (iv) as a negative number. Report in column (v) the collateral posted entries posted by the reporting fund for each reported creditor or other counterparty as a positive number. Report the legal name in column (vi) and its LEI, if any, in column (vii), of the entity that has the counterparty exposure. (i) Legal name of the counterp arty (a) (b) (c) (d) (e) (ii) Counterp arty LEI, if any (iii) Indicate below if the counterparty is affiliated with a major financial institution [drop-down list of counterparty names] Other: ____ [Not applicable] [drop-down list of counterparty names] Other: ______ [Not applicable] [drop-down list of counterparty names] Other: ______ [Not applicable] [drop-down list of counterparty names] Other: ______ [Not applicable] [drop-down list of counterparty names] Other: ______ [Not applicable] (iv) Borrowing by reporting fund (in U.S. dollars) (v) Collater al posted by reporting fund (in U.S. dollars) (vi) Legal name of entity (vii) Entity LEI, if any 28. Provide the following information for counterparties to which the reporting fund had net mark to market counterparty credit exposure, after taking into account collateral received or posted by the reporting fund, which is equal to or greater than either (1) 5% of the reporting fund’s net asset value as of the data reporting date, or (2) $1 billion. Include CCPs or other third parties holding collateral posted by the reporting fund in respect of cleared exposures (including tri-party repo). If there are more than five such counterparties, report the five to which the reporting fund had the greatest mark to market exposure after taking into account collateral. (You are not required to complete this question if the reporting fund is a qualifying hedge fund and you complete Question 43 in Section 2). 31 For counterparties to which the reporting fund had net borrowing exposure, the reporting fund’s net mark to market counterparty credit exposure before collateral equals the reporting fund’s cash borrowing entries. The reporting fund’s net mark to market counterparty credit exposure after collateral is the amount (if any) by which the reporting fund’s collateral posted entries exceed such cash borrowing entries. For counterparties to which the reporting fund had net lending exposure, the reporting fund’s net mark to market counterparty exposure before collateral means the cash lending entries. The reporting fund’s net mark to market counterparty credit exposure after collateral equals the amount (if any) by which the reporting fund’s cash lending entries exceeds the collateral received entries. For all counterparties (whether the reporting fund had borrowing or lending exposure), these computations will produce a positive value for the counterparties to which the reporting fund had net mark to market counterparty credit exposure after collateral. This may occur where the reporting fund’s posted collateral exceeded borrowings by the reporting fund from a counterparty. It also may occur where collateral received by the reporting fund fell short of the reporting fund’s net mark to market counterparty credit exposure through cash and cash equivalents received by a counterparty in margin borrowing, securities lending, repo and reverse repo transactions, and mark to market exposure in derivatives transactions. Report the legal entity name and LEI of each creditor or other counterparty, if it has one, in column (i) and (ii) below. Indicate if the counterparty is affiliated with a major financial institution in column (iii). If you select “other,” name and describe the financial institution in Question 4. In columns (iv) and (v), provide the reporting fund’s net mark to market counterparty credit exposure, before taking into account collateral (which will be a negative number where the reporting fund is a net borrower, and a positive number where the reporting fund is a net lender), and net mark to market counterparty credit exposure, after taking into account collateral (which will always be a positive number for counterparties included in this table). Report the legal name in column (vi) and its LEI, if any, in column (vii), of the entity that has the counterparty exposure. Do not treat affiliated counterparty entities as a single group, except that, if the applicable contractual and legal documentation requires cross margining, report the legal entity name and LEI of the contractual counterparty, typically the prime broker. (i) Legal name of the counterparty (a) (b) (ii) Counter -party LEI, if any (iii) Indicate if the counterparty is affiliated with a major financial institution [drop-down list of counterparty names] Other: ________ [Not applicable] [drop-down list of counterparty names] Other: ______ [Not applicable] (iv) Net mark to market exposure before collateral (in U.S. dollars) 32 (v) Net mark to market exposure after collateral (in U.S. dollars) (vi) Legal name of entity (vii) Entity LEI, if any (c) (d) (e) [drop-down list of counterparty names] Other: ______ [Not applicable] [drop-down list of counterparty names] Other: _______ [Not applicable] [drop-down list of counterparty names] Other: _______ [Not applicable] 29. Provide the following information regarding your use of trading and clearing mechanisms during the reporting period. (Provide good faith estimates of the mode in which each category was traded and cleared by the reporting fund, and not the market as a whole. For purposes of this question, a “trade” includes any transaction, whether entered into on a bilateral basis or through an exchange, trading facility or other system and whether long or short. With respect to clearing, transactions for which margin is held in a customer omnibus account at a CCP should be considered cleared by a CCP. Tri-party repo applies where repo/reverse repo collateral is executed using collateral management and settlement services of a third party that does not act as a CCP. Sponsored repo/reverse repo, including sponsored tri-party repo applies to transactions in which the reporting fund has been sponsored by a sponsoring member of the Fixed Income Clearing Corporation (FICC).) (Enter “NA” in each part of this question for which the reporting fund engaged in no relevant trades.)} (In column (i) “value traded,” report the total value in U.S. dollars of the reporting fund’s transactions in the instrument category and trading mode during the reporting period. In determining the “value traded” of derivatives trades for purposes of Questions 29(b) and 29(c), you should use the weightedaverage of the notional amount of the aggregate derivatives transactions entered into by the reporting fund during the reporting period, except for the following: (1) for options, you would use the delta adjusted notional value, (2) for interest rate derivatives, you would use the 10-year bond equivalent.) (In column (ii) “end of reporting period value of positions,” report the sum of the absolute value of all of the reporting fund’s long and short positions in each category and mode at (a) to (d) on the last date of the reporting period. If you complete Section 2 for the reporting fund, the sum of the end of the reporting period value of positions in each category should be consistent with the sum of long and short positions for sub-asset classes in that category reported in Question 32.) 33 (i) vValue (ii) End of traded (in U.S. reporting period dollars) value of positions (a) securities (other than derivatives) that were traded by the reporting fund. On a regulated exchange OTC (b) interest rate derivatives that were traded by the reporting fund On a regulated exchange or swap execution facility OTC (and cleared by a CCP) OTC/bilaterally transacted (and not cleared by a CCP) (c) derivatives (other than interest rate derivatives) that were traded by the reporting fund and: On a regulated exchange or swap execution facility OTC (and cleared by a CCP) OTC/bilaterally transacted (and not cleared by a CCP) (d) repo/reverse repo trades that were entered into by the reporting fund and: Cleared by a CCP (other than sponsored repo/reverse repo) Cleared by a CCP (sponsored repo/reverse repo). Bilaterally transacted (and not cleared by a CCP and not settled on tri-party platform) Tri-party repo/reverse repo (and not cleared by a CCP) 30. For transactions of the reporting fund that are not described in any of the categories listed in items (a) through (d) of Question 29, provide: (a) the value traded (in U.S. dollars) during the reporting period, calculated according to the method prescribed for column (i) of in Question 29, and. (b) the end of reporting period value of positions, calculated according to the method prescribed for column (ii) of Question 29. 34 Form PF Section 2 Information about qualifying hedge funds that you advise (to be completed by large hedge fund advisers) Section 2: Information about qualifying hedge funds that you advise. You must complete a separate Section 2 for each qualifying hedge fund that you advise, except as provided by Instruction 6. With respect to master-feeder arrangements and parallel fund structures that collectively comprise qualifying hedge funds, report the component funds as provided in the General Instructions. See Instructions 3, 5, and 6. Item A. Reporting fund identifying information 31. (a) Name of the reporting fund ......................................................................................... (b) Private fund identification number of the reporting fund ........................................... Item B. Reporting fund exposures and trading 32. Reporting fund exposures. For each month of the reporting period, report the information required by (a) to (c) below for the reporting fund’s long and short positions, by sub-asset class (and instrument type, if applicable). Report the absolute value of short positions. You are not required to report for sub-asset classes for which there are no relevant positions. For this question, sub-asset classes are: listed equity issued by financial institutions; American Depositary Receipts; other single name listed equity; indices on listed equity; other listed equity; unlisted equity issued by financial institutions; other unlisted equity; investment grade corporate bonds issued by financial institutions (other than convertible bonds); investment grade corporate bonds not issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds not issued by financial institutions (other than convertible bonds); investment grade convertible bonds issued by financial institutions; investment grade convertible bonds not issued by financial institutions; non-investment grade convertible bonds issued by financial institutions; non-investment grade convertible bonds not issued by financial institutions; U.S. treasury bills; U.S. treasury notes and bonds; agency securities; GSE bonds; sovereign bonds issued by G10 countries other than the U.S, other sovereign bonds (including supranational bonds); U.S. state and local bonds; leveraged loans; loans (excluding leveraged loans and repo); overnight repo, term repo (other than overnight); open repo; MBS; ABCP; CDO (senior or higher); CDO (mezzanine); CDO (junior equity); CLO (senior or higher); CLO (mezzanine); CLO (junior equity); Other ABS, other structured products; U.S. dollar interest rate derivatives; non-U.S. currency interest rate derivatives; sovereign single name CDS; financial institution single name CDS; other single name CDS; index CDS; exotic CDS; foreign exchange derivatives; correlation derivatives; inflation derivatives; volatility derivatives; variance derivatives; other derivatives, agricultural commodities; crude oil commodities; natural gas commodities; power and other energy commodities; gold commodities; other (non-gold) precious metal commodities; base metal commodities; other commodities; real estate; digital assets; U.S. currency holdings; non-U.S. currency holdings; certificates of deposit; other deposits; money market funds; other cash and cash equivalents (excluding bank deposits, certificates of deposit, money market funds, and U.S. treasury bills, notes and bonds); investments in other sub-asset classes. If a particular asset could be classified as both a digital asset and another asset, report the asset as the non-digital asset. Choose the sub-asset class (and instrument type, if applicable) that describes the sub-asset class exposure and instrument type of the reporting fund’s positions with the highest degree of precision. Include positions held in side-pockets as positions of the reporting fund. Include any closed out and OTC forward positions that 35 have not yet expired/matured. Provide the absolute value of short positions. Report cash borrowed via reverse repo as the short value of repos. See definitions of repo and reverse repo in the Glossary. (a) (1) Except for the sub-asset classes identified by (a)(2) below, report the dollar value of long positions and the dollar value of short positions in each sub-asset class by instrument type: For this purpose, instrument types are: cash/physical instruments, futures, forwards, swaps, listed options, unlisted options, other derivative products, ETFs, other exchange traded products, U.S. registered investment companies (excluding ETFs and money market funds), investments in nonU.S. registered investment companies, internal private funds, external private funds, commodity pools, and any other company, fund or entity. For foreign exchange derivatives, report foreign exchange swaps and currency swaps separately. In determining dollar value, do not net long and short positions within sub-asset classes or instrument types (with the exception of spot foreign exchange longs and shorts). In determining the reporting fund’s exposure to sub-asset classes for positions that are held indirectly through entities, e.g., ETFs, other exchange traded products, U.S. registered investment companies (excluding ETFs and money market funds), investments in non-U.S. registered investment companies, external private funds, internal private funds, commodity pools, or other companies, funds or entities, you may allocate the position entity’s exposure among sub—asset classes and instrument types using reasonable estimates consistent with your internal methodologies and conventions of service providers. You may report an entirely indirectly held entity position in one sub-asset class and instrument type that best represents the sub-asset class exposure of the indirectly held entity, unless you would allocate the exposure of the indirectly held entity more granularly under your own internal methodologies and conventions of your service providers. (i) Long: (ii) Short: (2) Report the dollar value of long positions and the dollar value of short positions for the sub-asset class (not by instrument type) for these sub-asset classes: leveraged loans, loans (excluding leveraged loans and repo); overnight repo, term repo (other than overnight), open repos; sovereign single name CDS; financial institution single name CDS; other single name CDS, index CDS; exotic CDS; U.S. currency holdings, non-U.S. currency holdings, certificates of deposit, other deposits, money market funds, other cash and cash equivalents (excluding bank deposits, certificates of deposit, money market funds, and U.S. treasury bills, notes and bonds). (i) Long: (ii) Short: Describe the nature of the reporting fund’s investment positions in Question 4, if you report long or short dollar value equal to or exceeding either (1) 5% of the reporting fund’s net asset value or (2) $1 billion in any of these sub-asset classes: loans (excluding leveraged loans and repo), other structured products, other derivatives, other commodities, digital assets, investments in other sub-asset classes.) (b) Adjusted exposure (1) For each sub-asset class in which the reporting fund held relevant positions, calculate the adjusted exposure of long and short positions by netting positions in the same underlying reference asset across instrument type, and for fixed income assets, within the same term, using the following maturity buckets: 0-1 year, 1-2 year, 2-5 year, 5-10 year, 10-15 year, 15-20 year, and 20+ year. You may net counterparties consistent with the information you report internally and to current and prospective investors. (i) Long: (ii) Short: 36 (2) If, under your methodologies for internal reporting and reporting to investors, you do not net all positions across all instrument types in monitoring the economic exposure of the reporting fund’s investment positions, you must also (i) report adjusted exposure for each subasset class calculated using your internal methodologies, and (ii) describe in Question 4 how your internal methodologies differ from the calculations required by subsection (b)(1). (c) Interest rate risk (10-year bond equivalent). For sub-asset classes with interest rate risk, report the 10-year bond equivalent of the sub-asset class long position dollar value and short position dollar value (by instrument type, if applicable) and adjusted exposure. Report 10-year bond equivalent as a long value for positions that have a gain when rates decline, and as a short value for positions that have a loss when rates decline, (NOTE: 10-year bond equivalent is required for these sub-asset classes: investment grade corporate bonds issued by financial institutions (other than convertible bonds); investment grade corporate bonds not issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds not issued by financial institutions (other than convertible bonds); investment grade convertible bonds issued by financial institutions; investment grade convertible bonds not issued by financial institutions; non-investment grade convertible bonds issued by financial institutions; non-investment grade convertible bonds not issued by financial institutions; U.S. treasury bills, U.S. treasury notes and bonds; U.S. agency securities; GSE bonds; sovereign bonds issued by G10 countries other than the U.S, other sovereign bonds (including supranational bonds); U.S. state and local bonds; leveraged loans, loans (excluding leveraged loans and repo); overnight repo, term repo (other than overnight), open repo, MBS, ABCP, Senior or higher CDO, Mezzanine CDO, Junior equity CDO, Senior or higher CLO, Mezzanine CLO, Junior equity CLO, Other ABS, other structured products; U.S. dollar interest rate derivatives, non-U.S. currency interest rate derivatives; certificates of deposit). 33. (a) For each month of the reporting period, report the net long value and net short value of the reporting fund’s currency exposure arising from foreign exchange derivatives and all other assets and liabilities of the reporting fund that are denominated in a currency other than the reporting fund’s base currency. Currency 1st Month Long value Short value 2nd Month Long value Short value 3rd Month Long value Short value [drop-down of currencies] [drop-down of currencies] (b) For each month of the reporting period, identify each currency to which the reporting fund has long dollar value or short dollar value exposure equal to or exceeding either (1) 5% of the reporting fund’s net asset value or (2) $1 billion and report the long dollar value and short dollar value of this exposure in U.S. dollars. In responding to this question, include the spot currency exposure arising from all holdings, including assets denominated in foreign currencies, and derivative products with currency exposure. Include currency exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. registered investment companies, non-U.S. registered investment companies, internal private funds, external private funds, commodity pools, or other companies, funds or entities). You may report reasonable estimates, if consistent with your internal methodologies and conventions of service providers. For indirectly held exposures, report currency exposures using reasonable estimates that best represent the exposures of the entity and are consistent with your internal methodologies and conventions of service providers. 37 Currency 1st Month Long value Short value 2nd Month Long value Short value 3rd Month Long value Short value [drop-down of currencies] [drop-down of currencies] 34. ReservedFor each month of the reporting period, provide the value of turnover during the month in each of the asset classes listed below for the reporting fund. (The value of turnover is the sum of the absolute values of transactions in the relevant asset class during the period.). 1st Month 2nd 3rd Month Month Listed equity (exclude listed equity derivatives).......... Corporate bonds (other than convertible bonds; exclude derivative exposure to corporate bonds)....... Convertible bonds (exclude derivative exposure to convertible bonds)....................................................... Sovereign bonds and municipal bonds (exclude derivative exposure) U.S. treasury bills................................................... U.S. treasury notes and bonds................................ Agency securities ……………………………………. GSE bonds.............................................................. Sovereign bonds issued by G10 countries other than the U.S............................................................ Other sovereign bonds (including supranational bonds)…... U.S state and local bonds..................................... Listed equity derivatives…………………………………. Interest rate derivatives………………………………….. U.S. dollars........................................................... Futures………………………………………. Swaps……………………………………….. Options…….………………………………… Other derivative instrument types Non-U.S. currencies Futures............................................................. Swaps............................................................... Options............................................................. Other derivative instrument types Foreign Exchange Derivatives …………………………. Swaps…….……………………………………… Options …………..…………………………………... Other instrument types …………………………….. Derivative exposure to U.S. treasury securities……….. 38 Derivative exposure to sovereign bonds issued by G10 countries other than the U.S……………………………… Derivative exposure to other sovereign bonds............... Other derivatives…………………………………………… 35. For each month of the reporting period, identify by ISO country code, each country to which the reporting fund has long dollar value or short dollar value exposure equal or exceeding either (1) 5% of the reporting fund’s net asset value or (2) $1 billion., and report the long dollar value and short dollar value of this exposure in U.S. dollars. Categorize investments based on concentrations of risk and economic exposures, and include country exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. registered investment companies, non-U.S. registered investment companies, internal private funds, external private funds, commodity pools, or other companies, funds or entities). You may report reasonable estimates, if consistent with your internal methodologies and conventions of service providers. For indirectly held exposures, report country exposures using reasonable estimates that best represent the exposures of the entity and are consistent with your internal methodologies and conventions of service providers. ISO Code 1st Month Long value Short value 2nd Month Long value Short value 3rd Month Long value Short value [drop-down of ISO Code] [drop-down of ISO Code] 36. For each month of the reporting period, identify the reporting fund's exposure by industry, based on the NAICS codes of the underlying exposures, equal or exceeding either: (1) 5% of the reporting fund’s net asset value or (2) $1 billion, and report the long dollar value and short dollar value of this exposure in U.S. dollars. Include industry exposure obtained indirectly (e.g., through ETFs, exchange traded products, U.S. registered investment companies, non-U.S. registered investment companies, internal private funds, external private funds, commodity pools, or other companies, funds or entities). You may respond to this Question using reasonable estimates based on your internal methodologies consistent with information you report internally and to investors. For indirectly held exposures, report industry exposures using reasonable estimates that best represent the exposures of the entity and are consistent with your internal methodologies and conventions of service providers. You may choose from the two, three, four, five, or six digit NAICS code in the drop-down for the underlying exposures. NAICS Code 1st Month Long value Short value 2nd Month Long value Short value 3rd Month Long value Short value [drop-down of NAICS Code] [drop-down of NAICS Code] 37. Provide the following information regarding the liquidity of the reporting fund's portfolio. Specify the percentage by value of the reporting fund’s positions that may be liquidated within each of the periods specified below. Each investment can be assigned to more than one period, but assignments should be based on the shortest period during which you believe that such position could reasonably be liquidated at or near its carrying value. If an investment is assigned to more than one period, reflect the percentage of net asset value that might be liquidated within each period (as opposed to the percentage of net asset value that the entire investment represents). Use good faith 39 estimates for liquidity based on market conditions over the reporting period and assuming no firesale discounting. Estimates must be based on a methodology that takes into account changes in portfolio composition, position size and market conditions over time. For example, estimates would change if the portfolio invests in more or less liquid assets, if/when the portfolio investments grow to a size relatively to the liquidity of the markets in which it invests that requires more time to liquidate, and if liquidity characteristics change measurably and meaningfully for the assets in which the portfolio invests. In the event that individual positions are important contingent parts of the same trade, group all those positions under the liquidity period of the least liquid part (so, for example, in a convertible bond arbitrage trade, the liquidity of the short should be the same as the convertible bond). Include cash and cash equivalents. (The total should add up to approximately 100%.) % of NAV 1 day or less ................................................................................................ 2 days – 7 days............................................................................................ 8 days – 30 days.......................................................................................... 31 days – 90 days........................................................................................ 91 days – 180 days...................................................................................... 181 days – 365 days.................................................................................... Longer than 365 days.................................................................................. 1st Month 2nd Month 3rd Month 38. Value of reporting fund's unencumbered cash.................................................. 39. ReservedReport the following with respect to the reporting fund’s long and short netted exposure to reference assets at the end of each month of the reporting period: For purposes of this Question 39, netted exposure means the sum of all positions with legal and contractual rights that provide exposure to the same reference asset. Take into account all positions, including offsetting and partially offsetting positions, relating to the same reference asset (without regard to counterparties or issuers of a derivative or other instrument that reflects the price of the reference asset). The netted exposure to a reference asset will be either long or short. Determine the value of each netted exposure to each reference asset in U.S. dollars, expressed as the delta adjusted notional value, or as the 10-year bond equivalent for reference assets that are fixed income assets. Do not report exposure to cash and cash equivalents. 1st Month Long Short (a) Total number of reference assets to which the reporting fund holds long and short netted exposure (approximate) (b) Percent of net asset value represented by the aggregated netted exposures of reference assets with the top five (5) long and short netted exposures. (c) Percent of net asset value represented by the aggregate netted exposures of reference assets representing the top ten (10) long and short netted exposures. 40 2nd Month Long Short 3rd Month Long Short 40. ReservedAs of the end of each month in the reporting period, provide the information requested below for each reference asset to which the reporting fund has gross exposure equal to or exceeding: (i) 1% of net asset value, if the reference asset is a debt security and the reporting fund’s gross exposure to the reference asset exceeds 20% of the size of the overall debt security issuance; (ii) 1% of net asset value, if the reference asset is a listed equity and the reporting fund’s gross exposure to the reference asset exceeds 20% of average daily trading volume measured over 90 days preceding the reporting date; or (iii) either (1) 5% of the reporting fund's net asset value or (2) $1 billion. For purpose of this Question 40, the reporting fund’s gross exposure to a reference asset means the sum of the absolute value of all long and short positions with legal and contractual rights that provide exposure to the reference asset. (a) First month of the reporting period, Position 1, 2, 3, etc. (i) Dollar value (in U.S. dollars) of all long positions with legal and contractual rights that provide exposure to the reference asset. (ii) Dollar value (in U.S. dollars) of all short positions with legal and contractual rights that provide exposure to the reference asset. (iii) Netted exposure to reference asset (as defined by Question 39 Instructions). (iv) Sub-asset class and instrument type: Instruction: Select all that apply. [two drop down menus] (v) Title or description of reference asset: (vi) Reference asset issuer (if any) name and LEI. (vii) CUSIP (if any), and at least one of the following other identifiers: (i) ISIN; (ii) Ticker if ISIN is not available); (iii) Other unique identifier (if ticker and ISIN are not available) [Must indicate type of identifier used]. (viii) For reference assets with no CUSIP or other identifier, describe the reference asset. (ix) If the reference asset is a debt security, size of issue: (x) If the reference asset is a listed equity, average daily trading volume, measured over 90 days preceding the reporting date. (xi) FIGI (optional) (b) Second month of the reporting period, Position 1, 2, 3, etc. (same list of information to collect) (c) Third month of the reporting period, Position 1, 2, 3, etc. (same list of information to collect) 41. ReservedConsolidated Counterparty Exposure Table Report in the consolidated counterparty exposure table below the reporting fund’s borrowing and collateral received (B/CR) and lending and posted collateral (L/PC) aggregated across all counterparties (including all CCPs) in U.S. dollars as of the end of each month of the reporting period. You must net the reporting fund’s exposure with each counterparty and among affiliated entities of a counterparty to the extent such exposures may be contractually or legally set-off or netted across those entities and/or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another under the agreements governing the transactions. Netting must be used to reflect net cash borrowed from or lent to a counterparty, but must not be used to offset securities borrowed and lent against one another, when reporting prime brokerage and repo/reverse repo transactions. Classify borrowing by creditor type (e.g., percentage borrowed from U.S. depository institutions, U.S. creditors that are not U.S depository institutions, non-U.S. creditors) based on the legal entity that is the contractual counterparty for such borrowing and not based on parent company or other affiliated 41 group. Report the counterparty exposures of trading vehicles owned by the reporting fund based on the reporting fund’s percentage ownership of each trading vehicle, without netting these exposures with those of the reporting fund if they are not guaranteed by the reporting fund or contractual obligations of the reporting fund. If the reporting fund guarantees or is contractually obligated to fulfill obligations of such trading vehicles or affiliated private funds, such exposures must be reported net with those of the reporting fund. If an adviser to an affiliated private fund separately files Form PF, such adviser must exclude such exposures if they have been included in the reporting fund’s filing. In completing the table, classify borrowing and collateral received and lending and posted collateral according to type, (e.g., unsecured, secured borrowing, derivatives cleared by a CCP, and uncleared derivatives) and the governing legal agreement, e.g., a prime brokerage or other brokerage agreement for cash margin and securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, or an ISDA master agreement for synthetic long positions, synthetic short positions and other derivatives. Report transactions under master securities loan agreement as other secured borrowing. □ Check this box if one or more prime brokerage agreements provide for cross-margining of derivatives and secured financing transactions. If you have checked this box, and collateral does not clearly pertain to secured financing vs. derivatives transactions, report exposures and collateral as follows:  For secured financing, exposures and collateral should be reported in sections (b), (c) and (d) as applicable.  For derivatives, o Report the gross notional value and the mark-to-market of the derivatives transactions with other derivatives transactions (line (e)(i) or lines (f)(i) and (ii) o Report associated collateral as collateral received (B/CR) or posted collateral (L/PC) under the prime brokerage agreement (lines (b)(ii),(iii), (iv) and (v)).  For derivatives cleared by a CCP, for cases where the prime broker gathers additional collateral in excess of that required by exchanges, report collateral posted by the reporting fund to meet exchange requirements in the cleared derivatives section on lines (e)(ii), (iii), (iv), and (v) and any additional collateral gathered by the prime broker under a cross margining agreement should appear on lines (b)(ii), (iii),(iv) and (v). 1st Month B/CR L/PC (a) Unsecured borrowing – cash and cash equivalents (A) percentage borrowed from U.S. depository institutions (B) percentage borrowed from U.S. creditors that are not U.S. depository institutions (C) percentage borrowed from non-U.S. creditors (b) Secured borrowing and lending (prime brokerage or other brokerage agreement) (i) cash and cash equivalents received in cash margin borrowing, or received or paid by the reporting fund in securities lending and short sale transactions 42 2nd Month B/CR L/PC 3rd Month B/CR L/PC Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable 1st Month B/CR L/PC (ii) cash and cash equivalents received and posted by the reporting fund as collateral for derivatives under any crossmargining agreement (iii) government securities (other than cash and cash equivalents) received and posted by the reporting fund (iv) securities (other than cash and cash equivalents and government securities) received and posted by the reporting fund (v) other collateral or credit support (including face amount of letters of credit and similar third party credit support) received and posted by the reporting fund (vi) percentage of secured borrowing (prime brokerage or other brokerage agreement) (sum of (b)(i), (iii), (iv) and (v)) (A) borrowed from U.S. depository institutions (B) borrowed from U.S. creditors that are not U.S. depository institutions (C) borrowed from non-U.S. creditors (vii) at the end of each month of the reporting period, expected increase in collateral required to be posted by the reporting fund, if required margin increases by 1% of position size. (B) borrowed from U.S. creditors that are not U.S. depository institutions (C) borrowed from non-U.S. creditors (vi) at the end of each month of the reporting period, expected increase in collateral required to be posted by the reporting fund, if required margin increases by 1% (d) Other secured borrowing and lending (describe in Question 4) (i) cash and cash equivalents (ii) government securities (other than cash and cash equivalents) received and posted by the reporting fund (iii) securities (other than cash and cash equivalents and government securities) received and posted by the reporting fund 43 Not Applicable 3rd Month B/CR L/PC Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable (c) Secured borrowing and lending via repo and reverse repo (include tri-party repo) (i) cash and cash equivalents (ii) government securities (other than cash and cash equivalents) received and posted by the reporting fund (iii) securities (other than cash and cash equivalents and government securities) received and posted by the reporting fund (iv) other collateral or credit support (including face amount of letters of credit and similar third party credit support) received and posted by the reporting fund (v) percentage of secured borrowing via repo and reverse repo (sum of (c)(i), (ii), (iii) and (iv)) (A) borrowed from U.S. depository institutions 2nd Month B/CR L/PC Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable Not Applicable 1st Month B/CR L/PC (iv) other collateral or credit support (including face amount of letters of credit and similar third party credit support) received and posted by the reporting fund (v) percentage of other secured borrowing (sum of (d)(i), (ii), (iii) and (iv)) (A) borrowed from U.S. depository institutions (B) borrowed from U.S. creditors that are not U.S. depository institutions (C) borrowed from non-U.S. creditors (vi) at the end of each month of the reporting period, expected increase in collateral required to be posted by the reporting fund, if required margin increases by 1% (e) Derivative positions cleared by a CCP (i) mark-to-market exposure of derivatives transactions before collateral (ii) cash and cash equivalents received and posted by the reporting fund as collateral (iii) government securities (other than cash and cash equivalents) received and posted by the reporting fund as collateral (iv) securities (other than cash and cash equivalents and government securities) received and posted by the reporting fund as collateral (v) other collateral or credit support (including face amount of letters of credit and similar third party credit support) received and posted by the reporting fund (vi) at the end of each month of the reporting period, expected increase in collateral required to be posted by the reporting fund, if required margin increases by 1% (f) Derivative positions that are not cleared by a CCP (uncleared) (i) gross notional value of synthetic long positions and synthetic short positions (ii) mark-to-market exposure of derivatives transactions before collateral (iii) cash and cash equivalents received and posted by the reporting fund as collateral (iv) government securities (other than cash and cash equivalents) received and posted by the reporting fund as collateral (v) securities (other than cash and cash equivalents and government securities) received and posted by the reporting fund as collateral (vi) other collateral or credit support (includin [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad01f7941bad44380. Public record. Not legal advice.