Form PF; Reporting Requirements for All Filers and Large Hedge Fund Advisers

1 15 U.S.C. 80b. Unless otherwise noted, when we refer to the Advisers Act, or any section of the Advisers Act, we are referring to 15 U.S.C. 80b, at which the Advisers Act is codified, and when we refer to rules under the Advisers Act, or any section of these rules, we are referring to title 17, part 275 of the Code of Federal Regulations [17 CFR 275], in which these rules are published. 2Congress enacted Sections 404 and 406 of the Dodd-Frank Act, which required that private fund advisers file reports and specified certain types of information that should be subject to reporting and/ or recordkeeping requirements. With respect to such reports, the Dodd-Frank Act authorized the SEC to require that private fund advisers file such information ‘‘as necessary and appropriate in the public interest and for the protection of investors, or for the assessment of systemic risk.’’ The result of this enactment was Form PF, which is a joint form between the SEC and CFTC only with respect to sections 1 and 2 of the Form. COMMODITY FUTURES TRADING COMMISSION 17 CFR Chapter I RIN 3038–AF31 SECURITIES AND EXCHANGE COMMISSION 17 CFR Parts 275 and 279 [Release No. IA–6546; File No. S7–22–22] RIN 3235–AN13 Form PF; Reporting Requirements for All Filers and Large Hedge Fund Advisers AGENCY: Commodity Futures Trading Commission and Securities and Exchange Commission. ACTION: Joint final rule. SUMMARY: The Commodity Futures Trading Commission (‘‘CFTC’’) and the Securities and Exchange Commission (‘‘SEC’’) (collectively, ‘‘we’’ or ‘‘Commissions’’) are adopting amendments to Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds, including those that also are registered with the CFTC as a commodity pool operator (‘‘CPO’’) or commodity trading adviser (‘‘CTA’’). The amendments are designed to enhance the Financial Stability Oversight Council’s (‘‘FSOC’s’’) ability to monitor systemic risk as well as bolster the SEC’s regulatory oversight of private fund advisers and investor protection efforts. In connection with the amendments to Form PF, the SEC is amending a rule under the Investment Advisers Act of 1940 (‘‘Advisers Act’’) to revise instructions for requesting a temporary hardship exemption. DATES:
Effective date: This rule is effective March 12, 2025. Compliance date: See section II.F of this final rule. FOR FURTHER INFORMATION CONTACT:
CFTC: Pamela Geraghty, Acting Deputy Director; Michael Ehrstein, Special Counsel; Elizabeth Groover, Special Counsel; or Andrew Ruggiero, Special Counsel, at (202) 418–6700, Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581. SEC: Neema Nassiri, Jill Pritzker, Senior Counsels; Tom Strumpf, Branch Chief; or Melissa Roverts Harke, Assistant Director, at (202) 551–6787 or IArules@sec.gov, Investment Adviser Regulation Office, Division of Investment Management, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–8549. SUPPLEMENTARY INFORMATION: The Commissions are adopting amendments to Form PF [17 CFR 279.9] under the Advisers Act, and the SEC is adopting amendments to 17 CFR 275.204(b)–1 under the Advisers Act.1

3See 17 CFR 275.204(b)–1. Advisers Act section 202(a)(29) defines the term ‘‘private fund’’ as an issuer that would be an investment company, as defined in section 3 of the Investment Company Act of 1940 (‘‘Investment Company Act’’), but for
section 3(c)(1) or 3(c)(7) of that Act. Section 3(c)(1)
of the Investment Company Act provides an exclusion from the definition of ‘‘investment company’’ for any issuer whose outstanding securities (other than short-term paper) are beneficially owned by not more than one hundred persons (or, in the case of a qualifying venture capital fund, 250 persons) and which is not making and does not presently propose to make a public offering of its securities. Section 3(c)(7) of the Investment Company Act provides an exclusion from the definition of ‘‘investment company’’ for any issuer, the outstanding securities of which are owned exclusively by persons who, at the time of acquisition of such securities, are qualified purchasers, and which is not making and does not at that time propose to make a public offering of such securities. The term ‘‘qualified purchaser’’ is defined in section 2(a)(51) of the Investment Company Act. Any reference to the ‘‘Commissions’’ or ‘‘we,’’ as it relates to the collection and use of Form PF data, are meant to refer to the agencies in their separate or collective capacities (as the context requires or permits), and such data from filings made pursuant to 17 CFR 275.204(b)–1, by and through Private Fund Reporting Depository, a subsystem of the Investment Adviser Registration Depository (‘‘IARD’’), and reports, analysis, and memoranda produced pursuant thereto. 4Form PF was adopted in 2011 as required by the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (‘‘Dodd-Frank Act’’). Public Law 111–203, 124 Stat. 1376 (2010). See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF, Advisers Act Release No. 3308 (Oct. 31, 2011) [76 FR 71128 (Nov. 16, 2011)], at section I (‘‘2011 Form PF Adopting Release’’). In 2014, the SEC amended Form PF
section 3 in connection with certain money market
fund reforms. See Money Market Fund Reform; Amendments to Form PF, Advisers Act Release No. 3879 (July 23, 2014) [79 FR 47736 (Aug. 14, 2014)] (‘‘2014 Form PF Amending Release’’). In May 2023, the SEC amended Form PF section 4, added new sections 5 and 6, and redesignated prior section 5 as section 7 in connection with certain amendments to require event reporting for large hedge fund advisers and all private equity fund advisers and to revise certain reporting requirements for large private equity fund advisers. See Form PF; Event Reporting for Large Hedge Fund Advisers and Private Equity Fund Advisers; Requirements for Large Private Equity Fund Adviser Reporting, Advisers Act Release No. 6297 (May 3, 2023) [88 FR 38146 (June 12, 2023)] (‘‘May 2023 SEC Form PF Amending Release’’). In July 2023, the SEC amended Form PF section 3 in connection with certain money market fund reforms. See Money Market Fund Reforms; Form PF Reporting Requirements for Large Liquidity Fund Advisers; Technical Amendments to Form N–CSR and Form N–1A, Advisers Act Release No. 6344 (July 12,
2023) [88 FR 51404 (Aug. 3, 2023)] (‘‘July 2023 SEC
Form PF Amending Release’’). We are now adopting amendments to the general instructions, section 1, and section 2, and related amendments in the glossary of terms. 5The value of private fund net assets reported on Form PF has more than doubled, growing from $5 trillion (net) in 2013 to $14 trillion (net) through the first quarter of 2023, while the number of private funds reported on the form has increased by nearly 130% in that time period. Unless otherwise noted, the private funds statistics used in this Release are from the Private Funds Statistics First Quarter of
2023. Division of Investment Management, Private
Fund Statistics First Quarter 2023 (Oct. 16, 2023), available at https://www.sec.gov/files/investment/ private-funds-statistics-2023-q1.pdf (‘‘Private Fund Statistics Q1 2023’’). Any comparisons to earlier periods are from the private funds statistics from that period, all of which are available at https:// www.sec.gov/divisions/investment/private-fundsstatistics.shtml. SEC staff began publishing the private fund statistics in 2015, including data from
2013. Therefore, many comparisons in this Release
discuss the ten year span from the beginning of 2013 through the first quarter of 2023. Some discussion in this Release compares data from a shorter time span because the SEC staff published such data later than 2013. Staff reports, statistics, and other staff documents (including those cited herein) represent the views of SEC staff and are not a rule, regulation, or statement of the SEC. The SEC has neither approved nor disapproved the content of these documents and, like all staff statements, they have no legal force or effect, do not alter or amend applicable law, and create no new or additional obligations for any person. 6Additionally, the Board of Governors of the Federal Reserve System (‘‘FRB’’) uses this data for research and analysis. 7Form PF; Reporting Requirements for All Filers and Large Hedge Fund Advisers, Advisers Act Release No. 6083 (Aug. 10, 2022) [87 FR 53832 (Sept. 1, 2022)] (‘‘2022 Joint Form PF Proposing Release’’). The Commissions voted to issue the 2022 Joint Form PF Proposing Release on Aug 10, 2022. Continued Agency Reference CFR citation CFTC & SEC ..................................................... Form PF 2 ......................................................... 17 CFR 279.9. SEC ................................................................... Rule 204(b)–1 ................................................... 17 CFR 275.204(b)–1.
I. Introduction
II. Discussion
A. Amendments to the General Instructions

Reporting Master-Feeder Arrangements
and Parallel Fund Structures
Reporting Private Funds That Invest in
Other Funds
Reporting Timelines
B. Amendments Concerning Basic
Information About the Adviser and the Private Funds It Advises
Amendments to Section 1a of Form PF—
Identifying Information
Amendments to Section 1b of Form PF—
Concerning All Private Funds
Amendments to Section 1c of Form PF—
Concerning All Hedge Funds
C. Amendments Concerning Information
About Hedge Funds Advised by Large
Private Fund Advisers
Removal of Existing Section 2a
Amendments to Section 2
D. Amendments To Enhance Data Quality E. Additional Amendments F. Effective and Compliance Dates
III. Other Matters
IV. Economic Analysis
A. Introduction
B. Economic Baseline and Affected Parties
Economic Baseline
Affected Parties
C. Benefits, Costs, and Effects on
Efficiency, Competition, and Capital Formation
Benefits
Costs
D. Reasonable Alternatives
Alternatives to Amendments to General
Instructions, Amendments To Enhance
Data Quality, and Additional
Amendments
Alternatives to Amendments to Basic
Information About the Adviser and the Private Funds It Advises
Alternatives to Amendments to
Information About Hedge Funds Advised by Large Private Fund Advisers
Alternatives to the Definition of the
Term ‘‘Hedge Fund’’
V. Paperwork Reduction Act
A. Purpose and Use of the Information Collection B. Confidentiality
C. Burden Estimates
VI. Regulatory Flexibility Act Certification
Statutory Authority
I. Introduction
The Commissions are adopting amendments to sections of Form PF, the form that certain SEC-registered investment advisers, including those that also are registered with the CFTC as a CPO or CTA, use to report confidential information about the private funds that they advise.3 Form PF provides the Commissions and FSOC with important information about the basic operations and strategies of private funds and has helped establish a baseline picture of the private fund industry for use in assessing systemic risk. We now have more than a decade of experience analyzing the information collected on Form PF.4 In that time, the private fund industry has grown in size and evolved in terms of business practices, complexity of fund structures, and investment strategies and exposures.5 Based on this experience and in light of these changes, the Commissions and FSOC have identified significant information gaps and situations where revised information would improve the Commissions’ and FSOC’s understanding of the private fund industry and the potential systemic risk posed by it, as well as further investor protection efforts. Accordingly, to enhance FSOC’s monitoring and assessment of systemic risk and to collect additional data and make data more useful for the Commissions’ use in their respective regulatory programs,6 in August 2022, the Commissions proposed amendments to enhance the information advisers file on Form PF and improve data quality.7

The release was posted on each of the Commissions’ websites that day (or shortly thereafter), and comment letters were received beginning that same date. The comment period closed on Oct. 11, 2022. We have considered all comments received since Aug. 10, 2022. 8The comment letters on the 2022 Joint Form PF Proposing Release (File No. S7–22–22) that the SEC received are available at https://www.sec.gov/ comments/s7-22-22/s72222.htm. The comment letters that the CFTC received are available at https://comments.cftc.gov/PublicComments/ CommentList.aspx?id=7312. Several comment letters are addressed jointly to the Commissions and appear in both comment files. 9See, e.g., Comment Letter of Americans for Financial Reform Education Fund (Oct. 11, 2022) (‘‘AFREF Comment Letter I’’); Comment Letter of Better Markets, Inc. (Oct. 11, 2022) (‘‘Better Markets Comment Letter’’); Comment Letter of FACT Coalition (Oct. 11, 2022) (‘‘FACT Coalition Comment Letter’’); Comment Letter of Global Legal Entity Identifier Foundation (Oct. 11, 2022) (‘‘GLEIF Comment Letter’’); Comment Letter of Americans for Financial Reform Education Fund, et al. (Feb. 21, 2023); Comment Letter of Andrew V. (Aug. 10, 2022). 10See, e.g., Comment Letter of American Investment Council (Oct. 11, 2022) (‘‘AIC Comment Letter I’’); Comment Letter of U.S. Chamber of Commerce (Oct. 11, 2022) (‘‘USCC Comment Letter’’); Comment Letter of Alternative Investment Management Association Limited & Alternative Credit Council (Oct. 11, 2022) (‘‘AIMA/ACC Comment Letter’’); Comment Letter of Securities Industry and Financial Markets Association (Oct. 11, 2022) (‘‘SIFMA Comment Letter’’); Comment Letter of Managed Funds Association (Dec. 7, 2022) (‘‘MFA Comment Letter II’’). See infra at sections II and IV.C.1 of this Release for discussion of the benefits of the adopted amendments for systemic risk assessment and investor protection efforts. 11See, e.g., AIC Comment Letter I; SIFMA Comment Letter; Comment Letter of Managed Funds Association and National Association of Private Fund Managers (July 21, 2023) (‘‘MFA/ NAPFM Comment Letter’’). See discussion infra at
section IV.C of this Release.
12Amendments to Form PF to Require Current Reporting and Amend Reporting Requirements for Large Private Equity Advisers and Large Liquidity Fund Advisers, Advisers Act Release No. 5950 (Jan. 26, 2022) [87 FR 9106 (Feb. 17, 2022)] (‘‘2022 SEC Form PF Proposing Release’’). 13See, e.g., AIC Comment Letter I; Comment Letter of Managed Funds Association, Investment Adviser Association, et al. (Sept. 14, 2022) (‘‘MFA Comment Letter I’’); Comment Letter of Managed Funds Association (Mar. 16, 2023) (‘‘MFA Comment Letter III’’); SIFMA Comment Letter; Comment Letter of United States House of Representatives Committee on Financial Services (Sept. 26, 2023) (‘‘Comment Letter of U.S. House of Representatives Committee on Financial Services’’). See also May 2023 SEC Form PF Amending Release, supra footnote 4. See also Comment Letter of AIC (Aug. 8, 2023) (‘‘AIC Comment Letter II’’). See infra
section IV.C of this Release for discussion of costs
and benefits.
14As discussed in greater detail below, we are removing government securities from the definition of ‘‘cash and cash equivalents’’ and presenting government securities as its own line item in the Form PF Glossary of Terms. Thus, references herein to ‘‘cash and cash equivalents’’ refer to the amended definition, unless otherwise indicated. The amended definition is intended to provide more granular detail on this reporting form and is not intended to change any commercial understanding or accounting treatment of cash equivalents. See infra section II.B.2 of this Release. 15See Instruction 7. 16The calendar quarter basis filing requirement does not apply to a private equity fund adviser filing a private equity event report as contemplated by section 6 of Form PF, which requires such adviser to file within 60 calendar days after the end of the applicable fiscal quarter upon the occurrence of a private equity reporting event. See May 2023 SEC Form PF Amending Release, supra footnote 4. The Commissions received a number of comment letters on the 2022 Joint Form PF Proposing Release.8 Some commenters generally supported the policy goals of the proposal, stating that the proposal would help the Commissions and FSOC assess and respond to systemic risk and the Commissions to achieve their investor protection goals.9 Certain commenters stated that the additional proposed reporting requirements are not necessary to identify systemic risk or protect investors.10 Some commenters stated that the economic analysis understates the costs of compliance due to the scope of proposed changes and expressed skepticism at the stated benefits.11 Some commenters criticized the proposed rulemaking for not considering the cumulative impact and costs of the amendments proposed in the 2022 Joint Form PF Proposing Release along with those proposed in the 2022 SEC Form PF Proposing Release,12 which the SEC proposed in January 2022 and adopted in May 2023.13 We are adopting the amendments largely as proposed, but with certain modifications, in consideration of the comments we received:

First, we are adopting amendments
to the form’s general instructions, which apply to all Form PF filers, to improve data quality and comparability and to enhance investor protection efforts and systemic risk assessment. Amendments include:
Æ Reporting Master-Feeder and
Parallel Fund Structures. As proposed, we are adopting amendments that will require separate reporting for each component fund of a master-feeder arrangement and parallel fund structure, other than a disregarded feeder fund (i.e., a feeder fund that invests all of its assets in a single master fund, U.S. treasury bills, and/or cash and cash equivalents 14). In a change from the proposal, we are modifying the instructions to specify how a feeder fund is required to treat its equity in the master fund for the purpose of determining its reporting threshold and responding to certain questions. Æ Reporting Fund of Funds. We are also adopting, with some modifications from the proposal, amendments to Form PF regarding how advisers report private fund investments in other funds. We are revising proposed Instruction 7 to require an adviser to include the value of investments in other private funds (including internal and external private funds) when determining whether the adviser is required to file Form PF, whether it meets the thresholds for reporting as a large hedge fund adviser, large liquidity fund adviser, or large private equity fund adviser, and whether a hedge fund is a qualifying hedge fund, rather than permit an adviser to either include or exclude the value of investments in other private funds for the purpose of determining its reporting threshold, as proposed.15 Æ Reporting Trading Vehicles. In a change from the proposal, we are adopting an amendment to require advisers to identify trading vehicles in
section 1b of Form PF and report on an
aggregated basis for the reporting fund and all trading vehicles (whether fully owned by the reporting fund or partially owned), rather than (i) permitting advisers to report fully owned trading vehicles on an aggregated or disaggregated basis and (ii) requiring advisers to report partially owned trading vehicles on a disaggregated basis, as proposed. In a change from the proposal, we are also adding an instruction for advisers to specify whether the reporting fund holds assets, incurs leverage, or conducts trading or other activities through a trading vehicle. Æ Reporting Timelines. We are also adopting, as proposed, an amendment to the instructions that will require all quarterly filers to file on a calendar quarter basis, rather than on a fiscal quarter basis.16
Second, we are adopting
amendments to sections 1a and 1b of
Form PF, which apply to all Form PF filers, to provide greater insight into private funds’ operations and strategies, and assist in identifying trends, including those that could create systemic risk and which are as such designed to enhance investor protection efforts and systemic risk assessment. The amendments are also designed to improve comparability across advisers, improve data quality, and reduce reporting errors. We are adopting, as proposed, amendments to collect additional identifying information regarding the adviser and its related persons, as well as their private fund assets under management. We are also adopting, largely as proposed, amendments to require advisers to report additional identifying information about the private funds they manage and other information about the

17Unless stated otherwise, terms in this release that are defined in the Form PF Glossary of Terms are as defined therein. 18Additional adopted changes to the General Instructions concerning amendments to enhance data quality methodologies and additional amendments are discussed in sections II.D and II.E of this Release. The amendments to Instruction 3 to reflect the removal of section 2a are discussed in
section II.C.1 of this Release.
19A ‘‘master-feeder arrangement’’ is an arrangement in which one or more funds (‘‘feeder funds’’) invest all or substantially all of their assets in a single private fund (‘‘master fund’’). A ‘‘parallel fund structure’’ is a structure in which one or more private funds (each, a ‘‘parallel fund’’) pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as another private fund. See Form PF Glossary of Terms. 20See Instruction 6. We also are amending Instruction 3, as proposed, to reflect the adopted approach for reporting master-feeder arrangements and parallel fund structures. See infra footnote 21. 21See Instruction 5. For example, an adviser would aggregate private funds that are part of the same master-feeder arrangement in determining whether the adviser is a large hedge fund adviser that must complete section 2 of Form PF. In connection with these changes, we are amending, as proposed, the term ‘‘reporting fund’’ and Instruction 3 so that they no longer discuss reporting aggregated information. Additionally, we are reorganizing current Instruction 5 and current Instruction 6 so that they reflect the adopted approach for when to aggregate certain funds. Current Instruction 5 instructs advisers about when to aggregate information about certain funds for purposes of reporting thresholds and responding to questions. Current Instruction 6 instructs advisers about how to aggregate information about certain funds. Instruction 5, as amended, instructs advisers on when to aggregate information about certain funds for purposes of determining whether they meet reporting thresholds. Instruction 6, as amended, instructs advisers about how to report information about certain funds when responding to questions. Further, in a modification from the proposal, we have added a reference to section 5 (Current report for large hedge fund advisers to qualifying hedge funds), which a qualifying hedge fund would also be required to complete, as applicable, as a result of the amendments adopted in the May 2023 SEC Form PF Amending Release. 22See current Instruction 5. 23 2011 Form PF Adopting Release, supra footnote 4, at text following n.332. 24For example, a feeder fund may have counterparty exposure rather than the entire fund in the aggregate. When this is the case, fewer assets (e.g., only those held at the feeder level) may be available as collateral and the counterparty may have greater risk. 25See Instruction 6. We are also revising the term ‘‘cash and cash equivalents,’’ as described in
section II.B.2 in this Release, to improve data
quality and provide more granular detail of fund exposures to the Commissions and FSOC. In alignment with this revision, we have modified the term ‘‘disregarded feeder fund’’ for the purposes of Form PF to specifically include U.S. treasury bills. U.S. treasury bills are direct obligations of the U.S. Government with a maturity of one year or less. Because these short-term holdings are sufficiently cash-like for our reporting and data analysis purposes, separate reporting for a feeder fund that invests all of its assets in U.S. treasury bills (or some combination of U.S. treasury bills, ‘‘cash and cash equivalents,’’ and a single master fund) is not necessary. One commenter stated that the removal of government securities from the definition of cash and cash equivalents would reduce the number of funds that qualify as disregarded feeder funds. See AIMA/ACC Comment Letter. This commenter stated that the Commission should revise the definition to allow for disregarded feeder funds to invest in government securities. Id. The final Continued private funds’ assets, financing, investor concentration, and performance.

Third, we are adopting amendments
to section 1c of Form PF, which applies to private fund advisers that advise hedge funds. We are adopting, largely as proposed, amendments to require advisers to hedge funds to report certain additional information. As proposed, we are adopting amendments to require advisers to hedge funds to report on the fund’s use of digital assets as an investment strategy, but in a modification from the proposal, we are not adopting the proposed definition of digital assets. We are also adopting, as proposed, amendments to remove certain questions to streamline reporting and to reduce reporting burdens.
Fourth, as proposed, we are
redesignating existing section 2a and 2b of Form PF as section 2, and we are adopting amendments to the new consolidated section 2, which applies to large hedge fund advisers that advise qualifying hedge funds (i.e., hedge funds that have a net asset value of at least $500 million). As proposed, we are removing aggregate reporting questions for large hedge fund advisers and requiring additional fund-level reporting to enhance investor protection efforts and systemic risk assessment.17 We are adopting, largely as proposed, amendments to require large hedge fund advisers to report more granular information about the reporting fund’s investment exposure, open and large position reporting, borrowing and counterparty exposure, and market factor effects. In a change from the proposal, we are not adopting a proposed question about investment performance by portfolio correlation.
Finally, we are adopting, largely as
proposed, certain additional amendments to improve data quality and accuracy of reporting. The amendments we are adopting are important enhancements to the ability to monitor and assess systemic risk and to determine whether and how to deploy the Commissions’ or FSOC’s regulatory tools. The amendments will also strengthen the effectiveness of the SEC’s regulatory programs, including examinations, investigations, and investor protection efforts relating to private fund advisers. The Commissions consulted with FSOC to gain input on these amendments and to help ensure that Form PF continues to provide FSOC with information it can use to assess systemic risk.
II. Discussion
A. Amendments to the General
Instructions
We are adopting amendments to the
Form PF general instructions designed to improve data quality and comparability and to enhance investor protection efforts and systemic risk assessment.18

Reporting Master-Feeder
Arrangements and Parallel Fund
Structures
Private funds often use complex structures to invest, including masterfeeder arrangements and parallel fund structures.19 We are adopting, largely as proposed, amendments to Form PF that generally require advisers to report separately each component fund of a master-feeder arrangement and parallel fund structure.20 An adviser will continue to aggregate these structures, however, for purposes of determining whether the adviser meets a reporting threshold.21 Currently, Form PF provides advisers with flexibility to respond to questions regarding master-feeder arrangements and parallel fund structures either in the aggregate or separately, as long as they do so consistently throughout Form PF.22 In adopting this approach in 2011, the Commissions stated that requiring advisers to aggregate or disaggregate funds in a manner inconsistent with their internal recordkeeping and reporting may impose additional burdens and that, as long as the structure of those arrangements is adequately disclosed, a prescriptive approach to aggregation was not necessary.23 However, based on experience reviewing Form PF data, we observed that when some advisers report in aggregate and some advisers report separately, this can result in obscured risk profiles (e.g., with respect to asset size, counterparty exposure, investor liquidity) and make it difficult to compare complex structures, undermining the utility of the data collected.24 Prescribing the way advisers report a master-feeder arrangement and parallel fund structure will provide better insight into the risks and exposures of these arrangements. Accordingly, we are amending the instructions to require an adviser to report each component fund of a masterfeeder arrangement and parallel fund structure, except where a feeder fund invests all its assets in a single master fund, U.S. treasury bills, and/or ‘‘cash and cash equivalents’’ (i.e., is a disregarded feeder fund).25 In the case

amendments permit disregarded feeder funds to invest in U.S. treasury bills, but not other government securities. We believe this approach is appropriate because, as noted above and unlike certain other government securities, U.S. treasury bills are short-term holdings and sufficiently cashlike for our reporting and data analysis purposes. Further, U.S. treasury bills generally do not have the interest rate risk that longer-dated government securities have. 26See Instruction 6. 27See, e.g., AFREF Comment Letter I; Better Markets Comment Letter. 28See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 29See current Instruction 5. 30See, e.g., MFA Comment Letter II; USCC Comment Letter. 31AIC Comment Letter I. 32Since 2013, the number of private equity funds has more than doubled from under 7,000 to over 20,000, private equity fund gross assets have quadrupled from $1.6 trillion to $6.6 trillion, and private equity fund net assets have also quadrupled, increasing from $1.5 trillion to $6 trillion. See Private Fund Statistics Q1 2023, supra footnote 4. 33See, e.g., Public Plans Data (2022), available at https://publicplansdata.org/quick-facts/national/. 34USCC Comment Letter. 35See Instruction 6. of a disregarded feeder fund in Question 6, advisers instead will identify the disregarded feeder fund and look through to any disregarded feeder fund’s investors in responding to certain questions regarding fund investors on behalf of the applicable master fund, as proposed. The master fund effectively is a conduit through which a disregarded feeder fund invests, and we do not believe separate reporting for such a feeder fund is necessary for data analysis purposes. In a modification from the proposal, we are adopting instructions to specify that a feeder fund should disregard any of its holdings in the master fund’s equity for the purpose of determining its reporting threshold.26 Some commenters generally supported the proposed amendments that require more granular reporting of private fund structures because this would allow FSOC to assess systemic risk and the Commissions to protect investors more effectively.27 Other commenters generally opposed the proposed amendments to require disaggregated reporting of master-feeder funds and parallel fund structures, stating that it would be overly burdensome for advisers to report this information and of limited benefit to the Commissions and/or FSOC.28 Although we acknowledge that the requirement to report disaggregated data for parallel fund and master-feeder fund structures may increase the reporting burdens on certain advisers, we disagree that requiring disaggregated reporting would be significantly more burdensome than the existing requirements, because filers are already required to assemble aggregated data from the individual components of their fund structures to determine their reporting category on Form PF.29 Any increased burdens are justified because disaggregated data of these structures will
provide the Commissions and FSOC with increased transparency into risk profiles and complex fund structures, which will improve our ability to monitor systemic risk and protect investors. We also disagree that disaggregated reporting of master-feeder funds and parallel fund structures will be of limited value based on our experience with Form PF, which currently obscures our understanding of their fund structures and the risk exposure of their component funds. Some commenters opposed the proposed disaggregated reporting requirement, asserting that it would provide misleading information by reporting data in isolation as opposed to as part of an overall fund or investment program.30 However, rather than be misleading, the disaggregated reporting will allow for a clearer understanding of a fund’s structure. Disaggregated data will not be misleading to the Commissions or FSOC in comparison to aggregated data because the disaggregated data can still be aggregated by FSOC and the Commissions if necessary to understand and assess the risk of the fund. One commenter stated that the disaggregated reporting requirement would be particularly burdensome for private equity fund advisers, as this commenter believed private equity funds pose less systemic risk.31 The existing reporting instructions allowing aggregated reporting result in an obscured risk profile of all types of private funds, including private equity funds. Although private equity funds may exhibit a different risk profile than hedge funds, we disagree with the commenter that understanding their structure is unimportant to assessing systemic risk. Understanding the full risk profile of private equity funds is an important component of the reporting on Form PF because of the growth in the private equity fund industry and its significance to financial markets.32 Additionally, the disaggregated reporting requirement is important for investor protection efforts due to the increased exposure of investors to the private equity industry through investments such as pension funds.33 One commenter stated that requiring disaggregated data would add a data security risk that sensitive information about a fund’s strategy could be publicly exposed.34 We do not agree that requiring disaggregated reporting of component funds presents a significant increase in public disclosure risk, in
part because the required information is
no more granular than the information already required to be reported for other private funds without a master-feeder arrangement or parallel fund structure. The Commissions currently have robust data protection measures in place to protect all information filed on Form PF, which is filed on a non-public basis. Any limited increase in data security risk associated solely with the collection of more information is justified because of the importance of receiving this disaggregated information for FSOC and the Commissions’ systemic risk monitoring and the Commissions’ investor protection efforts. As discussed more fully above, this disaggregated data will provide increased transparency into complex fund structures and better insight into the risks presented by such arrangements. As discussed above, in response to commenters’ concerns, we are modifying the instructions for how a feeder fund determines its reporting category to specify that the feeder fund should exclude any of its holdings in the master fund’s equity when calculating its total asset value for the purpose of determining its reporting category.35 This modification will help avoid double counting of reported assets, given that data for the master fund will be separately reported on Form PF. It will also require a more appropriate level of information from feeder funds than we had proposed. As proposed, an adviser could have determined that a feeder fund is a qualifying hedge fund subject to additional reporting, even if the feeder fund’s investments outside of its master fund were trivial. This level of reporting for such a feeder fund is not necessary for data analysis purposes, and the amended Form PF will accordingly only require this additional reporting for feeder funds that are determined to be qualifying hedge funds based on their investments made outside of their master funds. Some commenters recommended adopting an instruction for disregarded feeder fund reporting obligations that allows for a de minimis amount of a disregarded feeder fund’s investments to be in other assets, such as up to 10 or 20 percent of a fund’s capital, rather than the proposed instruction, which would require all of the disregarded feeder fund’s assets to be invested in a single master fund, U.S. treasury bills, or cash and cash

36See AIMA/ACC Comment Letter; MFA
Comment Letter II.
37See Instruction 6. A ‘‘parallel managed account’’ is any managed account or other pool of assets managed by the adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially the same positions as the identified private fund. See Form PF Glossary of Terms. 38See 2011 Form PF Adopting Release, supra footnote 4, at n.334, and accompanying text (the Commissions were persuaded that aggregating parallel managed accounts for reporting purposes would be difficult and ‘‘result in inconsistent and misleading data’’ because the characteristics of parallel managed accounts are often somewhat different from the funds with which they are managed). For example, in a separately managed account a client generally selects an adviser’s strategy but tailors it to the client’s own investment guidelines. 39See Instruction 5; Form PF Glossary of Terms. 40AIMA/ACC Comment Letter. 41See David C. Johnson & Francis A. Martinez, Form PF Insights on Private Equity Funds and Their Portfolio Companies, Office of Financial Research, June 14, 2018, at 3–4, available at https://www. financialresearch.gov/briefs/files/OFRBr_2018_01_ Form-PF.pdf (stating that fund investments in other funds increased from $227 billion in 2013 to $319 billion in 2016 and noting that the existing reporting on parallel managed accounts may be underreported because parallel managed accounts are not currently required to be reported). 42Form PF Instruction 1 provides that certain advisers meet the filing threshold if they and their related persons, collectively, had at least $150 million in private fund assets under management as of the last day of their most recently completed fiscal year. 43For example, under the current instructions, an adviser is not permitted to disregard any liabilities of the private fund, even if incurred in connection with an investment in other private funds. See current Instruction 7. equivalents.36 We do not believe that these recommended exceptions would be appropriate. The adopted instruction, which provides that a feeder fund that invests all of its assets in a single master fund, U.S. treasury bills, or cash and cash equivalents is a disregarded feeder fund, is more appropriate because such a feeder fund is effectively investing only through its associated master fund. Disaggregated reporting of such a disregarded feeder fund is not necessary for data analysis purposes, because such reporting would not convey additional information about the feeder fund’s exposures, as the feeder fund’s investments are limited to its investments through its master fund, which are required to be reported on the amended Form PF. In contrast, a feeder fund that does not invest all of its assets in a single master fund, U.S. treasury bills, or cash and cash equivalents operates and invests in a different manner, and it is critical to our understanding of these funds and the risks that they may pose to receive disaggregated reporting
of these fund arrangements because such feeder funds will generally have distinct risk exposures than their associated master funds. Further, the modified instructions we are adopting, which provide that a reporting feeder fund is to disregard its holdings in the master fund’s equity for the purpose of determining its reporting threshold, are responsive to commenter concerns that the burdens on feeder funds with de minimis non-cash or cash equivalent holdings would be significant. For example, under the adopted instructions, a feeder fund with minimal holdings outside of the master fund’s equity may only be required to complete
section 1 of Form PF, when it may have
otherwise been required to complete additional sections if its holdings in the equity of the master fund were included in its reporting threshold determination, as proposed. The modified instructions take into consideration the potential burden of reporting feeder funds on a separate basis and allows the Commissions to receive important reporting on the exposures of feeder funds other than to its equity in its master fund. In addition, we are adopting, as proposed, an amendment to no longer allow advisers to separately report any ‘‘parallel managed accounts’’ (which is distinguished from a ‘‘parallel fund structure’’), provided that advisers will continue to be required to report the total value of all parallel managed accounts related to each reporting fund.37 Including parallel managed accounts in the reporting may reduce the quality of data for our analyses while also imposing additional burdens on advisers.38 Data regarding the total value of parallel managed accounts, however, will allow FSOC to take into account the greater amount of assets an adviser may be managing using a given strategy for purposes of analyzing the data reported on Form PF for systemic risk purposes. We are adopting, as proposed, an instruction to provide that a dependent parallel managed account must be aggregated with the largest private fund to which it relates and, unchanged from the current Form PF, with respect to any private fund, a ‘‘dependent parallel managed account’’ remains defined as any related parallel managed account other than a parallel managed account that individually (or together with other parallel managed accounts that pursue substantially the same investment objective and strategy and invest side by side in substantially the same positions) has a gross asset value greater than the gross asset value of such private fund (or, if the private fund is a parallel fund, the gross asset value of the parallel fund structure).39 One commenter sought clarification that a parallel managed account should be aggregated with the single largest private fund to which it relates.40 We continue to believe that this approach will more effectively support systemic risk analyses and our investor protection efforts, particularly given the growth in parallel managed accounts in recent years.41
2. Reporting Private Funds That Invest
in Other Funds
We are adopting amendments to Form
PF regarding how advisers report private fund investments in other private funds, trading vehicles, and other funds that are not private funds. Investments in other private funds. We are adopting, with modifications from the proposal, amendments to Instruction 7, which addresses how advisers treat private fund investments in other private funds (e.g., a ‘‘fund of funds’’). Currently, advisers include the value of private fund investments in other private funds in determining whether the adviser meets the filing threshold to file Form PF.42 This requirement is implicit in the current form, and we are amending this aspect of Instruction 7, as proposed, to make it explicit. Further, current Form PF generally permits an adviser to disregard the value of a private fund’s equity investments in other private funds for purposes of both the form’s reporting thresholds (e.g., whether it qualifies as a large hedge fund adviser) and responding to questions on Form PF, as long as the adviser does so consistently throughout Form PF, subject to certain exceptions.43 We proposed continuing to permit an adviser to either include or exclude the value of such investments for the purpose of determining its reporting thresholds but requiring an adviser to include the value of such investments for the purpose of responding to questions on Form PF. In a modification from the proposal, we are adopting an amendment to Instruction 7 to require an adviser to include the value of investments in other private funds (including internal and external private funds) when determining whether the adviser is required to file Form PF, whether it meets the thresholds for reporting as a large hedge fund adviser, large liquidity fund adviser, or large private equity fund adviser, and whether a hedge fund is a qualifying hedge fund, rather than permit an adviser to either include or exclude the value of investments in other private funds for the purpose of determining its reporting threshold, as

44See Instruction 7. In connection with this Instruction 7, we are also not adopting the proposed revision to the definition of ‘‘qualifying hedge fund,’’ which would have instructed advisers that they may exclude the fund’s investments in other private funds in determining whether a hedge fund meets the ‘‘qualifying hedge fund’’ definition. See Form PF Glossary of Terms. 45 Id. 46AIMA/ACC Comment Letter. 47See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 48AIMA/ACC Comment Letter. 49See current Instruction 7. 50AIMA/ACC Comment Letter. 51 Id. 52See current Instruction 8. proposed.44 As discussed further below, as proposed, an adviser will no longer have flexibility on whether to include or exclude a reporting fund’s investments in other private funds for purposes of responding to questions on Form PF.45 Instead, we are amending Instruction 7 to require an adviser to include the value of a reporting fund’s investments in other private funds when responding to questions on Form PF, unless otherwise directed by the instructions to a particular question. Requiring advisers to report fund of funds arrangements in a more consistent manner will allow the Commissions and FSOC to understand these fund structures more effectively by providing greater insight into the scale of reporting funds’ exposures. The form’s current flexibility on whether to disregard underlying funds for the purpose of determining a reporting fund’s reporting threshold and when responding to questions provides unclear and inconsistent reporting and data on the scale of reporting funds’ exposures. One commenter stated that allowing an adviser to determine whether to include or exclude a reporting fund’s investment in other private funds could result in distortions in the data collected on Form PF.46 This commenter recommended revising the instructions to prohibit an adviser from including a reporting fund’s investment in other private funds for the purpose of determining its reporting threshold. We agree with this commenter that permitting advisers the flexibility to include or exclude the value of the reporting fund’s investment in other private funds could result in distortions in the data and inconsistent reporting. Therefore, we have modified the instructions to remove this proposed flexibility. However, we have modified the instructions to provide that an adviser must include the reporting fund’s investment in other private funds for determining its reporting threshold. For the same reasons that Instruction 7 currently (and will continue to) provide that an adviser must include the reporting fund’s investments in other private funds in determining whether it is required to file Form PF, we believe it is appropriate for an adviser to use this same approach to determine the reporting fund’s appropriate reporting category. This modification will provide for consistent treatment of investments in other private funds for all Form PF purposes by specifying that these
investments should be included for the purpose of determining reporting threshold, determining filing threshold, and responding to questions on Form PF (unless otherwise instructed by a particular question). We do not believe that this modification will materially increase filing burdens because advisers are currently (and will continue to be) required to include the value of the reporting fund’s investments in other private funds for the purpose of determining whether it is required to file Form PF and, as discussed further below, will be required, as proposed, to include the value of the reporting fund’s investments in other private funds in answering questions on Form PF (unless otherwise instructed by a particular question). Some commenters opposed the proposed amendment to include the value of a reporting fund’s investment in other external private funds when responding to questions because of the burden of obtaining information about the underlying investments and their view on the limited value of the data.47 Data about underlying investments in external private funds is important to provide the Commissions and FSOC with sufficient information to understand a fund structure to be able to assess systemic risk. We disagree that reporting the value of a reporting fund’s investments in other external private funds is significantly more burdensome to report because an adviser is currently required to calculate the value of its investment in other private funds in determining whether the adviser meets the threshold to file Form PF. One commenter stated that investments in private funds should be treated like a disregarded feeder fund and not require disaggregated reporting.48 We disagree that a fund of funds structure presents the same risks as a disregarded feeder fund because, in a fund of funds structure, the feeder fund is itself engaging in direct investment, whereas a disregarded feeder fund invests its assets at the master fund level. Currently, Instruction 7 specifies that, in the case of a fund that invests substantially all of its assets in other private funds and, other than its investments in other private funds, only holds cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure, an adviser is only required to complete section 1b of Form PF for that fund.49 One commenter recommended modifying this instruction to replace the reference to ‘‘substantially all of its assets’’ in other private funds to 80% of its assets and to remove the reference to only holding cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure.50 This commenter stated that there are circumstances that may cause an adviser to invest a small portion of a fund of fund’s assets directly, such as for tax purposes or for an investor’s preference, which would cause the fund to no longer be considered a fund that invests substantially all of its assets in other private funds for purposes of
Form PF, which allows the adviser to only complete section 1b for that fund.51 Although we agree that the meaning of ‘‘substantially all of its assets’’ should be clarified for purposes of this form, so as to generally improve data quality and comparability, we disagree that the reference to only holding cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure should be removed. The exclusion from completing section 1c is intended to be limited to funds that invest only through other private funds for which we receive separate reporting. Allowing an exclusion for funds that invest in investments other than private funds would create a data gap because we would not receive separate reporting about investments that are not private funds. Accordingly, in a change from the proposal, we are modifying Instruction 7 only to replace the instruction ‘‘substantially all of its assets’’ to ‘‘80% or more of its assets.’’ This modification will help clarify which funds will need to complete only
section 1b of Form PF.
Currently, advisers are not required to, but nonetheless have the option to, ‘‘look through’’ a reporting fund’s investments in any other entity (including other private funds), except in instances when the form directs otherwise.52 As a result, some advisers may ‘‘look through’’ a reporting fund’s investments in other entities, while others do not, leading to unclear data, inconsistent comparisons, and less precise analysis across advisers. Therefore, we are amending, largely as proposed, Instruction 7 to provide that, when responding to questions, advisers must not ‘‘look through’’ a reporting fund’s investments in internal private

53See Instruction 7. For example, advisers will not ‘‘look through’’ to the creditors of or counterparties to other private funds in responding to questions that ask about a reporting fund’s borrowings and counterparty exposures. See Question 18 (concerning borrowings) and Questions 27 and 28 (concerning counterparty exposures). However, selected questions in section 2 of the form require advisers to report indirect exposure resulting from positions held through other entities including private funds, and advisers will ‘‘look through’’ the reporting fund’s investments in internal private funds and external private funds in responding to those questions. See, e.g., Question 32 (concerning reporting fund exposures). 54See Questions 33, 35, 36, and 47. 55We are adopting a definition of ‘‘trading vehicle’’ to the Form PF Glossary of Terms. In a modification from the proposed definition, we are specifying that a trading vehicle may be wholly or partially owned by a reporting fund. See Form PF Glossary of Terms (definition of ‘‘trading vehicle’’). The concept of a partially owned trading vehicle (i.e., if the reporting fund is not the trading vehicle’s only equity owner) was implicit in the proposed instructions, which would have provided for different treatment for a wholly owned or partially owned trading vehicle. See proposed Instruction 7. We are modifying the definition of ‘‘trading vehicle’’ to make this explicit. 56See Instruction 7. We are also making a conforming change to Instruction 8 to reference this new instruction. 57We proposed the following for reporting requirements for trading vehicles: if the reporting fund uses a trading vehicle, and the reporting fund is its only equity owner, the adviser would have been required to either (1) identify the trading vehicle in section 1b and report answers on an aggregated basis for the reporting fund and such trading vehicle, or (2) report the trading vehicle as a separate reporting fund. An adviser would have been required to report the trading vehicle separately if the trading vehicle holds assets, incurs leverage, or conducts trading or other activities on behalf of more than one reporting fund. If reporting separately, (1) advisers would have been required to report the trading vehicle as a hedge fund if a hedge fund invests through the trading vehicle; (2) advisers would have been required to report the trading vehicle as a qualifying hedge fund if a qualifying hedge fund invests through the trading vehicle; or (3) otherwise, advisers would have been required to report the trading vehicle as a liquidity fund, private equity fund, or other type of fund based on its activities. 58See Instruction 7. We had proposed to permit disaggregated reporting for wholly-owned trading vehicles and to require disaggregated reporting for partially-owned trading vehicles. As discussed below, the final amendments will instead require advisers to report all trading vehicles, whether wholly or partially owned, on
a consolidated basis. In connection with this change, the final amendments specify that an adviser must adjust trading vehicle information to reflect the reporting fund’s percentage ownership interest of the trading vehicle. 59See Questions 9(d) through (f). A trading vehicle is defined as a separate legal entity, wholly or partially owned by one or more reporting funds, that holds assets, incurs leverage, or conducts trading or other activities as part of a reporting fund’s investment activities but does not operate a business. See Form PF Glossary of Terms (definition of ‘‘trading vehicle’’). Questions 9(d) through (f) ask the reporting fund to identify the vehicle’s activities that results in it being a ‘‘trading vehicle,’’ as defined in the Form PF Glossary of Terms. 60See, e.g., Questions 27 and 28, which are required for all hedge fund advisers, and Questions Continued funds or external private funds (other than a trading vehicle, as described below), unless the question instructs the adviser to report exposure obtained indirectly through positions in such funds or other entities.53 In a modification from the proposal, we are adding an instruction that provides if an adviser cannot avoid ‘‘looking through’’ to the reporting fund’s investments in internal private funds or external private funds in responding to a particular question, then the adviser must provide an explanation of its responses in Question 4. This instruction is responsive to certain commenters’ concerns regarding the burden of disaggregated reporting where look-through aggregation may be unavoidable and will provide additional context for the data reported. Further, after consideration of commenter recommendations, in a modification from the proposal, we are revising certain questions related to exposures to instruct advisers to select the exposure that ‘‘best represents’’ the indirect investment of the reporting fund, as discussed more fully below in section II.C.54 This modification will reduce the burden on advisers in reporting exposure information about these investments in private funds, while providing reporting on indirect investments that is important for effective systemic risk assessment and investor protection efforts. As discussed further below, we are modifying from the proposal the reporting instructions for trading vehicles to require an adviser to ‘‘look through’’ trading vehicles for all questions. Given this modification, we are also adopting amendments to Instruction 8 to exclude trading vehicles from the general requirement that an adviser must not ‘‘look through’’ a reporting fund’s investments in funds or other entities unless the question instructs the adviser to report exposure obtained indirectly through positions in such funds or other entities. These amendments are designed to improve data quality and comparisons, so the Commissions and FSOC understand what Form PF data is from advisers ‘‘looking through’’ a reporting fund’s investments, which
will lead to more effective systemic risk assessments and investor protection efforts. Trading vehicles. Some private funds wholly or partially own separate legal entities that hold assets, incur leverage, or conduct trading or other activities as
part of the private fund’s investment
activities, but do not operate a business (each, a ‘‘trading vehicle’’).55 Private funds may use trading vehicles for various purposes, including (1) for jurisdictional, tax, or other regulatory purposes or (2) to ‘‘ring-fence’’ assets in light of liability or bankruptcy concerns associated with a particular investment (i.e., structure assets so counterparties would only have recourse against the trading vehicle and not against the private fund). Currently, Form PF does not require advisers to identify trading vehicles. As a result, Form PF does not provide a clear window into the existence or use of trading vehicles and the risks that they present. Because private funds may use trading vehicles for a wide variety of purposes, more complete and accurate visibility into asset class exposures, position sizes, and counterparty exposures relied on by trading vehicles can enhance the Commissions’ and FSOC’s systemic risk and financial stability assessment efforts and the Commissions’ efforts to protect investors by identifying areas in need of outreach, examination, or investigation. We are adopting amendments designed to address these concerns by requiring advisers to identify any trading vehicles of the reporting fund, how the reporting fund uses the trading vehicle, and the position sizes and counterparty exposures of the reporting fund that are attributable to the trading vehicle. We are adopting amendments, with certain modifications from the proposal, to Form PF’s general instructions to explain how advisers report information if the reporting fund uses a trading vehicle.56 Specifically, if the reporting fund uses a trading vehicle, the adviser will be required to identify the trading vehicle in section 1b and report answers on an aggregated basis for the reporting fund and such trading vehicle.57 Advisers will be instructed to ‘‘look through’’ the trading vehicle’s holdings on Form PF, adjusted for the reporting fund’s percentage ownership interest of the trading vehicle, in responding to questions on Form PF for the reporting fund, as discussed further below.58 As discussed more fully in section II.B below, an adviser will also be required to specify if the reporting fund holds assets through a trading vehicle, incurs leverage through a trading vehicle, or conducts trading or other activities through a trading vehicle.59 Finally, advisers will be required to report trading vehicles on a consolidated basis but in response to certain questions will be required to identify the positions and counterparty exposures that are held through a trading vehicle, which will help differentiate the reporting fund’s exposures and risks from those of its trading vehicles, as discussed more fully in sections II.B.3 and II.C.2 below.60

42, 43, and 44, which are required for large hedge fund advisers. 61NASAA Comment Letter. 62See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. 63See, e.g., MFA Comment Letter II; MFA/ NAPFM Comment Letter. 64AIMA/ACC Comment Letter. 65See, e.g., MFA Comment Letter II; Schulte Comment Letter. 66SIFMA Comment Letter. 67Schulte Comment Letter. 68MFA Comment Letter II. 69Schulte Comment Letter. 70See, e.g., Questions 27 and 28, which are applicable to all hedge funds, and Questions 42, 43, and 44, which are applicable to only large hedge funds. 71See Instruction 8. In a modification from the proposal, we are removing the erroneous reference to Questions 39 and 40 from Instructions 7 and 8, which implied that these questions require advisers to look-through the reporting fund’s investments. 72We are also specifying that advisers should ‘‘look through’’ trading vehicles for all questions, as provided in Instruction 7 and discussed above. 73Large hedge fund advisers generally are required to file within 60 calendar days after the end of each calendar quarter and large liquidity fund advisers generally are required to file within 15 calendar days after the end of each calendar quarter. See Instruction 9. 74AIMA/ACC Comment Letter. 75See infra section II.F (Effective and Compliance Dates). We are not adopting proposed amendments that would have permitted an adviser to select whether to report a wholly owned trading vehicle on either a consolidated or disaggregated basis and would have required advisers to report a partially owned trading vehicle on a disaggregated basis. One commenter stated the proposed disaggregated reporting for trading vehicles would provide the Commissions and FSOC with insights into a private fund’s assets and activities that are not currently reported on Form PF, which would support assessment of potential systemic risk.61 Other commenters opposed the proposed requirements to disclose trading vehicles on a disaggregated basis because of the significant cost and burdens for such reporting and their view on the limited benefit of such reporting to the Commissions.62 Some commenters stated that disaggregated reporting of trading vehicles would be misleading because advisers do not account for risk on a disaggregated basis.63 Another commenter stated that allowing consolidated reporting of trading vehicles would provide the Commissions with a clearer and more accurate depiction of a fund’s characteristics and exposures than disaggregated reporting.64 Some commenters stated that separate reporting for trading vehicles is not necessary because trading vehicles are often used for administrative purposes, such as for tax or efficiency purposes, but are managed on a consolidated basis and regarded as a single entity for investment purposes.65 Another commenter recommended limiting disaggregated reporting of trading vehicles to only vehicles that engage in leverage or borrowing to reduce the cost of
implementation of separate reporting.66 Another commenter recommended that we focus on specific questions on Form PF to gain information about trading vehicles instead of requiring full separate reporting of trading vehicles to reduce burdens and provide clearer reporting.67 Another commenter recommended permitting aggregated reporting for trading vehicles that are at least 90% owned by a single reporting fund.68 After considering such comments, we are not adopting the proposed requirement that would have permitted advisers to report fully owned trading vehicles on a disaggregated basis and required them to do so in the case of partially owned trading vehicles. Instead, we are requiring advisers to report all trading vehicles, whether wholly owned or partially owned, on a consolidated basis. Requiring advisers to instead ‘‘look through’’ the reporting fund’s investment in all trading vehicles on a consistent basis is appropriate because receiving disaggregated data for some but not all trading vehicles could result in distorted data. Requiring all reporting funds to report their trading vehicles, whether fully or partially owned, on an aggregated basis will improve data comparability and allow us to better understand the holdings and exposures of the fund structure for our assessments of potential systemic risk. We also understand from commenters that a consolidated reporting better aligns with how advisers regard trading vehicles internally. However, after considering a commenter’s recommendation to include specific questions on trading vehicles rather than full disaggregated reporting,69 we are adopting amendments to include specific questions relating to a reporting fund’s trading vehicle use and a trading vehicle’s position size and risk exposure, as opposed to requiring the greater burden of full separate reporting on Form PF for trading vehicles. We are also requiring advisers to identify the relevant party that bears certain risk exposures, which will allow us to understand how the reporting fund makes use of its fund structure, including any trading vehicles.70 This approach will result in greater insight into the overall fund structure and support of FSOC’s systemic risk assessments than under the existing reporting requirements, and it will also be less burdensome than the approach we had proposed to require separate full reporting for certain trading vehicles. We disagree that any trading vehicle reporting should be limited to only vehicles that are used for leverage and borrowing activities because the amendments are intended to support systemic risk assessments more broadly on and provide insight into how trading vehicles are used, which includes trading vehicles that are used for other purposes, such as holding assets or trading. This reporting is important for systemic risk assessment because it provides visibility into private funds’ operations and can assist the Commissions and FSOC in identifying trends across the industry.
Investments in funds that are not private funds. Advisers will continue to include the value of the reporting fund’s investments in funds and other entities that are not private funds, in determining reporting thresholds and responding to questions, unless otherwise directed, as Form PF currently requires.71 For the reasons discussed above, we are revising the instructions, substantially as proposed, to indicate that, when responding to questions, however, advisers must not ‘‘look through’’ a reporting fund’s investments in funds or other entities that are not private funds, or trading vehicles, unless the question instructs the adviser to report exposure obtained indirectly through positions in such funds or other entities.72
3. Reporting Timelines
We are amending, as proposed,
Instruction 9 to require large hedge fund advisers and large liquidity fund advisers to update Form PF within a certain number of days after the end of each calendar quarter, rather than after each fiscal quarter, as Form PF currently requires.73 One commenter stated that for quarterly filers who have a fiscal year ending in a non-calendar quarter month, the proposed instructions do not specify the procedure for a filer who, during the transition from fiscal to calendar quarter reporting, would otherwise be required to report twice in one calendar quarter.74 As suggested by this commenter, we are requiring that such filers transition to the new timing requirement by their first calendar quarter-end filing for the first full quarterly reporting period after the compliance date.75

76We also are adopting amendments to the term ‘‘data reporting date’’ to reflect this approach. See Form PF Glossary of Terms. 77See Form PF Section 6 and Instruction 9. 78See Form PF Instructions 1 and 3; Form ADV and [17 CFR 275.204–1] Advisers Act rule 204–1 (amendments to Form ADV). 79See current Instruction 9 (requiring large hedge fund advisers to update Form PF within 60 calendar days after the end of their first, second, and third fiscal quarters, among other things). 80We are presenting data from all private fund advisers, not just those who would file their routine filings on a quarterly basis (i.e., large hedge fund advisers and large liquidity fund advisers), to avoid potentially disclosing proprietary information of individual Form PF filers, and to be inclusive considering that the population of quarterly filers versus annual filers may change over time. 81See 17 CFR pt 4, app A. 82Comment Letter of Mohammed R. (Sept. 9, 2022). 83Schulte Comment Letter. 84May 2023 SEC Form PF Amending Release, supra footnote 4. 85Form PF generally defines ‘‘LEI’’ as, with respect to any company, the ‘‘legal entity identifier’’ assigned by or on behalf of an internationally recognized standards setting body and required for reporting purposes by the U.S. Department of the Treasury’s Office of Financial Research or a financial regulator. See Form PF Glossary of Terms (definition of ‘‘LEI’’). 86Currently, if an adviser has not been assigned an LEI and does not have an RSSD ID, then the adviser would leave that line blank. 87See, e.g., Questions 5(d) and 7(e). 88See, e.g., Question 9(c). We also added ‘‘RSSD ID’’ to the Form PF Glossary of Terms and have defined it as the identifier assigned by the National Information Center of the Board of Governors of the Federal Reserve System, if any. See Form PF Glossary of Terms. 89See Question 1. We are also adopting amendments to require advisers to provide the LEI for other entities, if the other entities have one, including internal private funds (see Question 7 and Question 15), trading vehicles (see Question 9), and counterparties (see Question 27 and Question 28). A ‘‘related person’’ has the meaning provided in Form ADV. See Form PF Glossary of Terms. Form ADV defines a ‘‘related person’’ as any Continued All other advisers will continue to file annual updates within 120 calendar days after the end of their fiscal year.76 Private equity fund advisers will continue to file any required quarterly private equity event reports on a fiscal quarter basis, as applicable.77 Form PF will continue to require all advisers to use fiscal quarters and years to determine filing thresholds because advisers already make such calculations under 17 CFR 279.1 (‘‘Form ADV’’), which requires annual updates based on fiscal year.78 Currently, routine fiscal quarter reporting by large hedge fund advisers and large liquidity fund advisers significantly delays the time at which the Commissions and FSOC receive a complete data set
for a calendar quarter. For example, large hedge fund advisers whose first fiscal quarter ends on the calendar quarter end of March, would file data covering January, February, and March by the end of May.79 However, large hedge fund advisers whose fiscal quarter ends in May would not file their March data until the end of July, delaying Commission and FSOC access to full calendar quarter data by all large hedge fund advisers by four months. The adopted changes are designed to provide a more complete data set sooner to improve the efficiency and effectiveness of investor protection efforts and systemic risk assessment. Based on Form ADV data as of December 2022, 99.6 percent of private fund advisers already effectively file Form PF on a calendar basis because their fiscal quarter or year ends on the calendar quarter or year end, respectively.80 The 0.4 percent of private fund advisers that have a noncalendar fiscal approach, which could cause a temporary data gap, represents approximately 224 private funds, totaling approximately $80 billion in gross asset value. Calendar quarter reporting also will more closely align with reporting on Form CPO–PQR,81 which requires calendar quarterly reporting, allowing easier integration of these data sets. In response to a request for comment whether reporting deadlines for large hedge fund advisers to complete their routine annual filing should be shortened to 30 calendar days (from 60 calendar days) after the end of each quarter, one commenter stated that shorter reporting timelines would provide FSOC and the Commissions with the most current information to monitor systemic risk.82 Another commenter opposed shortened reporting timelines and stated that the existing requirements are already burdensome and requiring shorter deadlines could undermine data quality.83 After the 2022 Joint Form PF Proposing Release, the SEC adopted amendments to Form PF, which require large hedge fund advisers to file current reports and private equity fund advisers to file event reports upon the occurrence of certain events.84 The amendment to require calendar quarter, rather than fiscal quarter, basis reporting will improve data comparability and will provide the Commissions with more timely information for those large hedge advisers that currently do not report on a calendar quarter basis. B. Amendments Concerning Basic Information About the Adviser and the Private Funds It Advises Each adviser required to file Form PF must complete all or part of section 1. We are adopting amendments to section 1 to provide greater insight into private funds’ operations and strategies and to assist in identifying trends, including those that could create systemic risk and which are as such designed to enhance investor protection efforts and systemic risk assessment. The amendments are designed to improve comparability across advisers, improve data quality, and reduce reporting errors, based on our experience with Form PF filings.

Amendments to Section 1a of Form
PF—Identifying Information
Section 1a requires an adviser to
report identifying information about the adviser and the private funds it manages. We are adopting, as proposed, several amendments to collect additional identifying information regarding the adviser, its related persons, and their private fund assets under management. Legal entity identifiers. We are adopting, as proposed, amendments to the definition of ‘‘LEI’’ to exclude the use of any non-LEI identifier, such as an RSSD ID, as a substitute for LEI. Legal entity identifiers, or ‘‘LEIs,’’ help identify entities and link data from different sources that use LEIs.85 These amendments will improve data quality because, based on our experience with the current form, reporting RSSD IDs as LEIs makes it more difficult for our staff to link data efficiently and effectively. Current Form PF requires advisers to report the LEI for certain entities, such as for the reporting fund, and any parallel funds if they have an assigned LEI. It currently instructs advisers, in the case of an entity that is a financial institution and does not have an assigned LEI, to provide the RSSD ID assigned to the financial institution by the National Information Center of the FRB.86 We are adopting an amendment to the definition of ‘‘LEI’’ to remove the instruction that an adviser provide an RSSD ID with respect to an entity that is a financial institution and that has not been assigned an LEI. Accordingly, an adviser will no longer be permitted to substitute an RSSD ID or any other financial identifier for any requirement in Form PF to provide an LEI, if one has been assigned.87 An adviser may continue to use an RSSD ID, if the financial institution has one, or another financial identifier for any question that requires an adviser to report other identifying information, where the form of identifying information is not specified.88 We are also adopting, as proposed, an amendment to require advisers to provide LEIs for themselves and their ‘‘related persons,’’ if they have an LEI.89

advisory affiliate and any person that is under common control with the adviser. See Form ADV Glossary of Terms. 90See GLEIF Comment Letter. 91See id. 92 Id. 93See Comment Letter of Bloomberg, L.P. (Oct. 13, 2022) (‘‘Bloomberg Comment Letter’’). 94See Question 3. 95 Id. We have also modified the proposed instructions to Question 3 to remove a reference to the proposed requirement to report trading vehicles on a disaggregated basis, which we are not adopting in this Release. See also Form PF Glossary of Terms. 96See Question 1(c). 97For advisers that are also CPOs or CTAs, filing Form PF through PFRD is filing with both the SEC and CFTC. See Instruction 3 (instructing advisers to file particular sections of Form PF, depending on their circumstances. For example, all Form PF filers must file section 1 and large hedge fund advisers also must file section 2). This amendment will help identify advisers and their related persons and link data from other data sources that use LEI as an identifier. One commenter supported an expanded use of LEI as a legal identifier in Form PF and stated that more comprehensive inclusion of LEI would create a more complete identification scheme for the Commissions.90 The commenter also stated that the LEI field in the existing Form PF should be used only for an LEI and not substitute any other identifier for an LEI.91 The commenter also supported the creation of a separate field for the RSSD ID.92 Another commenter stated that requirements in Form PF to use a particular financial identifier may increase costs and reduce innovation and competition among financial identifier providers and that increased competition among financial identifiers would improve overall transparency and data quality and reduce costs.93 As stated above, based on our experience with the current form, however, permitting the reporting of other financial identifiers (namely, RSSD IDs) as LEIs has generally made it more difficult for our staff to link data efficiently and effectively. The amendments to the ‘‘LEI’’ definition will thus improve data quality and comparability on Form PF, which supports effective assessment of systemic risk and investor protection efforts. Additionally, Form PF continues to not require an adviser to obtain or use LEI or any other particular financial identifier (other than private fund identification numbers for reporting funds), as our amendments provide only that any identifier that does not meet the definition of ‘‘LEI’’ may not be substituted for an LEI where a question requests an LEI. Form PF continues to permit advisers to use other financial identifiers elsewhere on Form PF where the reporting of LEI is either not specified or not required. The amendments to Form PF we are adopting do not require any entity that does not already have an LEI to obtain one and clarifies that an identifier that does not meet the ‘‘LEI’’ definition may not be substituted for an LEI where an LEI, if available, is requested on Form PF.
Assets under management. We are adopting, substantially as proposed, amendments to Question 3 to revise how advisers report assets under management attributable to certain private funds. Current Question 3 requires advisers to provide a breakdown of regulatory assets under management and net assets under management. These data are designed to show the size of the adviser and the nature of the adviser’s activities. We did not receive comment on the proposed amendments to Question 3. We are amending the instructions to direct advisers to exclude the value of private funds’ investments in other internal private funds to avoid double counting of fund of funds assets, as proposed.94 Advisers are required to include the value of trading vehicle assets because, under the amended instructions for reporting trading vehicle assets, as discussed more fully in section II.A.2 above, advisers are required to ‘‘look through’’ the reporting fund’s investment in any trading vehicles.95 We did not receive comment on the proposed change in instructions to Question 3. These amendments are designed to provide a more accurate view of the assets managed by the adviser and its related persons, as well as the general distribution of those assets among various types of private funds, because accurately viewing the scale of these managed assets is important to effectively assess systemic risk and further investor protection efforts. Explanation of assumptions. We are amending, as proposed, Question 4, which advisers use to explain assumptions that they make in responding to questions on Form PF, to add an instruction directing advisers to provide the question number when the assumptions relate to a particular question. We did not receive comments on this change. This amendment is designed to help assess data more efficiently and improve comparability, based on experience with the form. We asked in the proposal whether there are other data sources we should use to link entities across forms and to assess data more efficiently. In a further modification from the proposal, we are adopting an amendment to require an adviser to indicate whether it, or any of its related persons, is registered or required to be registered as a CPO and/ or a CTA and to provide the legal name of the entity.96 This information will help more accurately and efficiently identify dual registrants, including those that might be implicated in the identification of threats to financial stability, increase the usefulness and interoperability of the data collected by the Commissions on Form PF and by the CFTC on Form CPO–PQR, and facilitate collaboration between the Commissions with respect to dual registrants.
2. Amendments to Section 1b of Form
PF—Concerning All Private Funds
Section 1b requires advisers to report
certain identifying and other basic information about each private fund the adviser manages. We are adopting, largely as proposed, amendments to
section 1b to require advisers to report
additional identifying information about the private funds they manage as well as other basic information about the private funds’ assets, financing, investor concentration, and performance. The amendments are designed to provide greater insight into private funds’ operations and strategies and assist in identifying trends, which will enhance investor protection efforts and FSOC’s systemic risk assessment. At the same time, the amendments will help improve data quality and comparability, based on our experience with Form PF. Type of private fund. We are adopting several amendments to identify different types of reporting funds more effectively and to help better isolate data according to fund type, in order to allow for more targeted analysis. Currently, advisers indicate a reporting fund’s type on the Private Fund Reporting Depository (‘‘PFRD’’) filing system, and by filling out particular sections of the form, but they do not report on the form itself the type of fund.97 We have found instances, however, where advisers have identified a reporting fund differently on Form PF than on Form ADV, even though the definitions of each fund type are the same on both forms. This may be due to error, or may be due to the fund’s characteristics changing between deadlines for Form ADV and Form PF. Accordingly, to help prevent reporting errors and help ensure accuracy concerning the reporting fund’s type, we are adopting, as proposed, amendments to require advisers to identify the reporting fund by selecting one type of fund from the following list: hedge fund that is not a qualifying hedge fund, qualifying hedge fund, liquidity fund,

98Question 6(a).
99Question 6(b). Form PF defines ‘‘commodity pool’’ as defined in section 1a(10) of the U.S. Commodity Exchange Act, as amended. See Form PF Glossary of Terms. 100Previously, the CFTC permitted dually registered CPO-investment advisers to submit Form PF in lieu of certain CFTC reporting requirements. See Compliance Requirements for Commodity Pool Operators on Form CPO–PQR (Oct. 9, 2020) [85 FR 71772 (Nov. 10, 2020)] (‘‘Form CPO–PQR Release’’). 101See MFA Comment Letter II. 102See Questions 6(c) through (f). We are adopting, as proposed, a definition for the term ‘‘UCITS’’ as Undertakings for Collective Investment in Transferable Securities, as defined in the UCITS Directive of the European Parliament and of the Council (No. 2009/65/EC), as amended, or as captured by the Collective Investment Schemes (Amendment etc.) (EU Exit) Regulations 2019, as amended. We are adopting, as proposed, a definition for the term ‘‘AIF’’ as an alternative investment fund that is not regulated under the UCITS Directive, as defined in the Directive of the European Parliament and of the Council on alternative investment fund managers (No. 2011/61/ EU), as amended, or an alternative investment fund that is captured by the Alternative Investment Fund Managers (Amendment etc.) (EU Exit) Regulations 2019, as amended. See Form PF Glossary of Terms. 103See SIFMA Comment Letter. 104See AIMA/ACC Comment Letter. 105 Id. 106 ‘‘Offer’’ is defined in the Securities Act as ‘‘every attempt or offer to dispose of, or solicitation of an offer to buy, a security or interest in a security, for value.’’ 12 U.S.C. 77b(a)(3). For purposes of this question, activity may constitute an ‘‘offer’’ under this definition whether or not the offering is subject to the registration requirements of the Securities Act. 107AIMA/ACC Comment Letter. 108See Question 22. 109See Fact Coalition Comment Letter (discussing the importance of collecting information on exposures outside of the United States). 110AIMA/ACC Comment Letter. private equity fund, real estate fund, securitized asset fund, venture capital fund, or ‘‘other.’’ 98 If an adviser identifies the reporting fund as ‘‘other,’’ the adviser will be required to describe the reporting fund in Question 4, including why it would not qualify for any of the other options. We did not receive comments on this amendment. This amendment will further improve data quality and data comparability, based on our experience with Form PF. In addition, we are adopting, as proposed, amendments to require an adviser to indicate whether the reporting fund is a ‘‘commodity pool,’’ which is categorized as a hedge fund on Form PF.99 Although the CFTC does not, as of the date of this Release, consider Form PF reporting on commodity pools as constituting substituted compliance with CFTC reporting requirements, some CPOs may continue to report such information on Form PF.100 This amendment will allow for analysis of hedge fund data both with and without commodity pools
reported on the form. One commenter opposed the existing default treatment of a commodity pool as a hedge fund for purposes of Form PF and recommended allowing an adviser to categorize a commodity pool in the manner it determines most appropriate.101 The amendment we are adopting will improve data quality and comparability, based on our experience with Form PF, and enhance our understanding of the hedge fund data collected from Form PF by allowing for analysis of hedge fund data both including and excluding CPOs. Additionally, as it relates to the treatment of commodity pools as hedge funds for reporting purposes, such treatment further aligns the consistency of questions asked across these entities, both on Form PF, as well as on the CFTC’s Form CPO–PQR. Finally, we are adopting, with a modification from the proposal, amendments to require advisers to report whether a reporting fund operates as a UCITS or AIF.102 One commenter supported the requirement to report whether a fund is a UCITS or AIF and where a fund is domiciled, but not where the fund is ‘‘marketed,’’ because a fund could be marketed anywhere and a fund’s marketing activity may change over time.103 Another commenter recommended that references to ‘‘marketing’’ be reconsidered, because ‘‘marketing’’ is a defined term in the UCITS Directive applicable to a UCITS and in the AIFMD and UK AIFMR applicable to an AIF, and these definitions may differ in meaning from the rule’s references to ‘‘marketing.’’ 104 This commenter also stated that the references to ‘‘marketing’’ in the sense of rule 206(4)–1 and concepts of ‘‘offers’’ or ‘‘sales’’ under the Securities Act of 1933 would be confusing in this question if the purpose of the proposed question is to determine whether a fund calls itself a money market fund or an equivalent term to prospective investors outside of the United States.105 After considering comments, we are modifying the question from the proposal to require reporting of a fund that ‘‘offers,’’ rather than ‘‘markets,’’ itself as a money market fund outside the United States. This modification will more precisely capture the type of conduct that we intend to trigger a reporting requirement, and uses a term that we believe is commonly understood by the industry, and which we accordingly disagree would be confusing.106 Further, the modification will be less burdensome on advisers than the proposed use of ‘‘marketing’’ by clarifying the scope of information required to be reported and requiring a more limited subset of conduct to be reported. For example, a money market fund may engage in certain conduct that constitutes marketing in a particular jurisdiction but not an offering for purposes of the form. One commenter stated that proposed Question 6(c) would not enhance the Commissions’ knowledge about exposures to non-U.S. beneficial owners that is not already included in proposed Question 22 on Form PF.107 Question 6(c), however, is not intended to elicit the same information
about exposures to non-U.S. beneficial owners as proposed Question 22, as discussed further below in section II.B.3. The amendments to Question 6 relate to the conduct and operations of the reporting fund, which are designed to allow the Commissions and FSOC to filter data for more targeted analysis to better understand to what extent and in what jurisdictions a reporting fund operates outside of the United States. This information can help the Commissions better understand the private fund’s potential exposure to beneficial owners outside the United States and to identify potential systemic risk resulting from economic conditions or events in particular foreign jurisdictions. This reporting will also help avoid double counting when Form PF data is aggregated with other data sets that include UCITS, AIFs, and money market funds that are offered outside the United States. Proposed Question 22, as discussed further below in section II.B.3, requires an adviser to report more granular information about the fund’s beneficial owners, including the percentage of beneficial owners that are non-U.S. persons.108 The amendments will improve the data we collect on fund operations and help us better understand a fund’s potential exposure to beneficial owners outside the United States. The additional information is necessary for a more targeted analysis of risks presented in the United States from risks presented abroad.109 Another commenter stated that the proposed amendments do not specify what conduct constitutes operating as a UCITS or how to determine where a fund operates.110 A UCITS operates under the laws mandated by the member country of its headquarters when it is qualified as a UCITS and authorized by that jurisdiction. This commenter also stated that the meaning of money market fund in Question 6(g) is unclear, particularly for funds that are established and operate as money market funds outside of the United States. For purposes of this question, we have removed reference in Question 6 to

111See Form PF Glossary of Terms (definition of ‘‘money market fund’’). 112For master-feeder arrangements, advisers will be required to report the name of the feeder fund, its private fund identification number, and whether the feeder fund is a separate reporting fund or a disregarded feeder fund. For internal private funds that invest in the reporting fund, advisers will be required to report the name of the internal private fund, its LEI, if it has one, and its private fund identification number. See Question 7. If the reporting fund invests in external private funds, advisers will be required to report the name of the master fund, its private fund identification number, and the master fund’s LEI, if it has one. If the reporting fund invests in internal private funds, advisers will be required to report the internal private fund’s name, its private fund identification number, and its LEI, if it has one. See Question 15. 113See Question 7 and Question 8. 114See Question 15. 115 Id. 116See, e.g., Better Markets Comment Letter; NASAA Comment Letter. 117See, e.g., AIC Comment Letter I; AIMA/ACC Comment Letter; MFA Comment Letter II. 118See AIMA/ACC Comment Letter. 119We do not believe an instruction in Question 15(c) to exclude funds reported in Question 15(a) is necessary because Question 15(a) relates to external private funds only. 120See current Question 49(a). 121See proposed Question 10(a). 122See, e.g., AIMA/ACC Comment Letter; Comment Letter of Ropes & Gray LLP (Oct. 11,
2022) (‘‘Ropes & Gray Comment Letter’’).
123AIMA/ACC Comment Letter.
124See Form PF Glossary of Terms (definition of ‘‘closed-end private fund’’). The definition of ‘‘closed-end private fund’’ is adapted from the definition of ‘‘venture capital fund’’ in rule 203(l)– 1 under the Advisers Act. See 17 CFR 275.203(l)– 1. 125See Form PF Glossary of Terms (definition of ‘‘open-end private fund’’). the defined term ‘‘money market fund’’ as included in the Form PF Glossary of Terms, which continues to have the meaning provided in rule 2a–7 under the Investment Company Act.111 Instead, in a modification from the proposal, we have amended Question 6 to specify that a money market fund for purposes of Question 6 includes money market funds more generally, including those that operate outside of the United States in accordance with applicable non-U.S. laws, rather than being limited to only ‘‘money market funds’’ as defined in Form PF. Master-feeder arrangements, internal private funds, external private funds, and parallel fund structures. We are adopting, as proposed, amendments to Form PF to require advisers to report identifying information about masterfeeder arrangements and other private funds (e.g., funds of funds), including internal private funds, and external private funds.112 These changes to the form reflect that advisers will be required to report components of master-feeder arrangements and parallel fund structures separately, as discussed more fully in section II.A.1 above. Form PF currently requires advisers to report identifying information about parallel funds, and will continue to do so under the amended Form PF.113 The amendments will also require advisers to report the value of the reporting fund’s investments in other private funds (e.g., for funds of funds) in more detail than is currently required.114 Specifically, the amendments will require advisers to report the value of the reporting fund’s equity investments in external private funds and internal private funds (including the master fund and each internal private fund), which together make up the total investments in other private funds.115 These amendments are designed to help map complex fund structures and cross reference private fund information more effectively across Form PF filings, in order to provide more complete and accurate information about each fund’s risk profile. In connection with these amendments, in the Form PF Glossary of Terms, we are removing the terms ‘‘investments in external private funds’’ and ‘‘investments in internal private funds,’’ and replacing them with the terms ‘‘external private funds’’ (i.e., private funds that neither the adviser nor the adviser’s related persons advise) and ‘‘internal private funds’’ (i.e., private funds that the adviser or any of the adviser’s related persons advise), respectively. The definitions do not direct advisers to exclude ‘‘cash management funds,’’ as is currently the case under the terms being removed, because we have observed that advisers determine whether a fund is a cash
management fund inconsistently for purposes of Form PF, which reduces data quality. As discussed more fully above in
section II.A.1, some commenters
supported requiring disaggregated reporting of master-feeder arrangements and parallel fund structures, stating that it will allow the Commissions to identify potential systemic risk more effectively and increase the transparency of private fund holdings.116 Other commenters opposed the proposed amendments to require reporting of the components of parallel funds and master-feeder funds separately.117 We did not however receive specific comment on the proposed definitional changes. One commenter recommended including an exclusion in Questions 15(a) and 15(b), similar to the exclusion in Question 15(c), to avoid potentially double counting any master funds that are external private funds.118 We believe the instruction in Question 15(c) to exclude any funds disclosed in Question 15(b) is sufficient to avoid any double counting of assets in this set of questions.119 These amendments will improve data quality and comparability, based on our experience with Form PF and in light of adopted changes to master-feeder and parallel fund structure reporting on Form PF. Withdrawal or redemption rights. We are also adopting, with modifications from the proposal, as specified below, amendments to change how advisers report withdrawal and redemption rights. Form PF currently requires only large hedge fund advisers to report whether each qualifying hedge fund provides investors with withdrawal or redemption rights in the ordinary course.120 We proposed adding a new Question 10(a) which would generally require all advisers to report whether a reporting fund provides investors with withdrawal and/or redemption rights in the ordinary course.121 In a modification from the proposal, we are adopting a modified Question 10, which instead requires all advisers to indicate whether the reporting fund is an open-end private fund in Question 10(a) or a closed-end private fund in Question 10(b). We are relatedly adopting new defined terms for ‘‘open-end private fund’’ and ‘‘closed-end private fund’’ and modifying Question 10 to ask whether the reporting fund is an ‘‘openend private fund’’ or ‘‘closed-end private fund,’’ rather than whether the reporting fund provides investors with withdrawal and/or redemption rights in the ordinary course. In discussing certain aspects of the proposal, some commenters distinguished between open-end and closed-end funds.122 One commenter indicated that the term ‘‘closed-end fund’’ refers to funds that do not offer withdrawal or redemption rights in the ordinary course.123 We are defining a ‘‘closed-end private fund’’ as any private fund that only issues securities, the terms of which do not provide a holder with any right, except in extraordinary circumstances, to withdraw, redeem, or require the repurchase of such securities, but which may entitle holders to receive distributions made to all holders pro rata.124 We are defining an ‘‘open-end private fund’’ as a private fund that offers redemption rights to its investors in the ordinary
course, which may be paid in cash or in kind, irrespective of redemption frequency or notice periods and without regard to any suspensions, gates, lock-ups, or side pockets that may be employed by the fund.125 These terms are commonly used in the market,

126See Questions 10(a) and 10(b).
127See 2022 Joint Form PF Proposing Release supra footnote 4, at 32. 128See, e.g., AIMA/ACC Comment Letter; SIFMA Comment Letter. 129To implement this change, we have moved current Questions 49(a) through (e) from section 2b, which required only large hedge fund advisers to report withdrawal and redemption information about qualifying hedge funds, to section 1b, which requires all advisers to report withdrawal and redemption information about all the reporting funds they advise, and we have redesignated Questions 49(a) through (e) as part of new Question 10. 130See Question 10(c). The categories are: (1) on any business day, (2) at intervals of at least two business days and up to a month, (3) at intervals longer than monthly up to quarterly, (4) at intervals longer than quarterly up to annually, and (5) at intervals of more than one year. 131We are redesignating current Questions 49(a) through (e) as new Question 10. Currently, all advisers to qualifying hedge funds that provided investors with withdrawal/redemption rights in the ordinary course are required to respond to Questions 52(a) through (e) in section 2(b). We are moving proposed Questions 52(a) through (e) to
section 1(b) and redesignating it as part of new
Question 10, so that all advisers to open-end private funds, rather than only advisers to qualifying hedge funds that provide investors with withdrawal/ redemption rights in the ordinary course, will need to respond to this question. 132For example, if the reporting fund allows quarterly redemptions that are subject to a gate, then the adviser would select ‘‘at intervals longer than monthly up to quarterly.’’ 133See Fact Coalition Comment Letter. 134See Schulte Comment Letter. 135See, e.g., MFA Comment Letter II; SIFMA Comment Letter; USCC Comment Letter. 136See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 137See, e.g., Question 14. based on staff experience, and will be used in place of the existing question that asks whether the reporting fund provides investors with withdrawal/ redemption rights in the ordinary course. Although the proposed question and the adopted question lead to substantively identical results in most cases, the adopted question will improve data quality by more precisely specifying what is meant by ‘‘offer[ing] withdrawal and/or redemption rights in the ordinary course’’ and, accordingly, how an adviser should classify a reporting fund that offers limited withdrawal or redemption rights. In a modification from the proposal, an adviser that selects in Question 10 that the reporting fund is neither an openend private fund nor a closed-end private fund will be required to provide a detailed explanation of these responses in Question 4.126 We requested comment on whether we should include an additional category of ‘‘other’’ withdrawal and/or redemption frequency.127 Some commenters stated that the proposed question 10 was unclear on how to report withdrawal and redemption rights properly, particularly for funds with rights that do not fit within a single frequency category.128 Instead of including an ‘‘other’’ category, as stated above, advisers that respond ‘‘no’’ to both Questions 10(a) and 10(b) will be required to provide a detailed explanation of these responses in Question 4, which will enable us to understand the circumstances of the fund’s withdrawal and/or redemption rights and will improve data quality. It will also help an adviser that might otherwise feel constrained by these two categories if the fund it advises does not fit into either. We are requiring advisers to identify whether a reporting fund is an open-end private fund or a closedend private fund to inform the Commissions and FSOC better of all reporting funds’ susceptibility to stress related to investor redemptions, in order to help identify more effectively how widespread the potential stress may be.129 In a modification from the proposal, if the reporting fund is an open-end private fund under Question 10(a), the adviser will be required to indicate (i) how often withdrawals or redemptions are permitted by selecting from a list of categories pursuant to Question 10(c) 130 and (ii) what percentage of the reporting fund’s net asset value may
be, or is, subject to a suspension of, or material restrictions on, investor withdrawals/ redemptions by an adviser or fund governing body pursuant to Question 10(d).131 The adviser will be required to report this information regardless of whether there are notice requirements, gates, lock-ups, or other restrictions on withdrawals or redemptions.132 These amendments will allow the Commissions and FSOC to identify more effectively the reporting funds that may be affected by investor withdrawals during certain market events and/or are vulnerable to failure as a result of investor redemptions. This information will also provide insight into other data that all reporting funds report. For example, we understand that closed-end private equity funds may have certain patterns of subscriptions and withdrawals, despite not offering redemption rights in the ordinary course, and also may report performance to investors and prospective investors as an internal rate of return as opposed to as a measure of the changes in the fund’s portfolio market value. One commenter stated that expanding the classes of private funds that are required to disclose withdrawal and redemption rights would allow FSOC to better identify systemic risks, particularly resulting from market events.133 Another commenter opposed the proposed requirement for all advisers to report on withdrawal and redemption rights, asserting that the data would be of limited benefit for systemic risk monitoring due to the inclusion of data from smaller funds, as well as that the types of withdrawal and redemption restrictions referenced in proposed Question 10(b) (which has been redesignated as Question 10(c)) do not reflect the practices of many hedge funds.134 A private fund of any size that provides for withdrawal or redemption rights may be affected by increased investor withdrawals during certain market events and/or vulnerable to failure as a result of investor redemptions. This reporting will allow the Commissions and FSOC to assess withdrawal and redemption patterns to identify potential signals of stress at a particular fund or across many funds, or related to a particular investment strategy or strategies, which is relevant for assessing broader systemic risk. Information on withdrawal and redemption rights from all private funds, including smaller private funds or funds that are not included in the definition of a ‘‘hedge fund,’’ will improve FSOC’s ability to monitor potential systemic risk and support the Commissions’ investor protection efforts. Some commenters stated that the proposed Question 10(b) (which has been redesignated as Question 10(c)) does not address how to report a fund with multiple types of redemption rights.135 Some commenters recommended permitting an adviser to select multiple options for withdrawal and redemption rights in Question
10.136 However, it would not support or
enhance our data analysis efforts to modify Question 10(c) to allow for multiple selections, given that other questions on Form PF require reporting of a fund’s withdrawal and redemption activity.137 Instead, we are modifying Question 10(c) to ask for the interval on which withdrawals or redemptions are ‘‘most commonly’’ permitted (i.e., with respect to most investors). We also encourage an adviser to report any additional details on a fund’s withdrawal or redemption schedule in response to Question 4, as appropriate. Trading vehicles. We are adopting, with modifications from the proposal as specified below, amendments to require advisers to provide identifying information for any trading vehicle in

138See Question 9.
139See Questions 9(d) through (f).
140See supra section II.A.2 of this Release for further discussion. 141AIMA/ACC Comment Letter. 142See Questions 11 and 12. We also are adopting amendments to the instructions in Question 11 to correspond with the instructions that no longer allow advisers to aggregate master-feeder arrangements, as discussed above. In a modification from the proposal, we are adding an instruction to specify that for feeder funds responding to Questions 11 and 12, the gross asset value or gross reporting fund aggregate calculated value and net asset value or reporting fund aggregate calculated value calculations should be inclusive of its equity holdings in the master fund, along with its other holdings, to more accurately represent the value of the feeder fund’s holdings. 143See, e.g., Question 23 (requiring all private fund advisers to report monthly performance data, to the extent such results are calculated for the reporting fund). 144See, e.g., MFA Comment Letter II. 145See AIMA/ACC Comment Letter. 146See MFA Comment Letter II. 147The amendments to Form PF adopted in the May 2023 SEC Form PF Amending Release, supra footnote 4, adopted a definition for ‘‘reporting fund aggregate calculated value.’’ RFACV is defined as every position in the reporting fund’s portfolio, including cash and cash equivalents, short positions, and any fund-level borrowing, with the most recent price or value applied to the position for purposes of managing the investment portfolio. See Form PF Glossary of Terms (definition of ‘‘reporting fund aggregate calculated value’’). Because we are now, after considering comments, adding the new GRFACV term, we are also modifying the definition of RFACV to clarify that it is a signed (i.e., positive or negative) value where all positions are summed. GRFACV, which is used solely in Question 11 is calculated in the same manner as RFACV, except that instead of summing each position’s signed value, GRFACV converts each position’s value to an absolute value prior to summing these absolute values. 148This change is also consistent with the recent amendments adopted by the SEC which require a large hedge fund adviser to monitor and in certain instances report, the fund’s RFACV in compliance with its current reporting obligation. See May 2023 SEC Form PF Amending Release, supra footnote 4. 149See Form PF Glossary of Terms. Advisers will continue to be required to report gross asset value and net asset value as of the end of the reporting period. See current Questions 8 and 9, which have been redesignated as Questions 11(a) and 12(a). which the reporting fund holds assets, incurs leverage, or conducts trading or other activities.138 Advisers will be required to disclose the trading vehicle’s legal name; LEI, if it has one; and any other identifying information about the trading vehicle, such as the RSSD ID, if it has any. In a change from the proposal, an adviser will also be required to specify if the reporting fund holds assets through a trading
vehicle, incurs leverage through a trading vehicle, or conducts trading or other activities through a trading vehicle.139 As discussed above, the final amendments will include specific questions to target specified information related to a reporting fund’s use of trading vehicles, leveraging information used to answer Questions 9(a) through (c), as opposed to requiring a full separate reporting on Form PF for trading vehicles.140 These questions are intended to identify what conduct requires the vehicle to be reported as a trading vehicle for purposes of Form PF and will help improve our understanding of a reporting fund’s trading vehicle use. This amendment will help the Commissions and FSOC understand the reporting fund’s activities, including how it interacts with the market if the fund trades through a trading vehicle, as well as its related counterparty exposures. The identifying information will also allow comparisons of Form PF data with data from other sources that use such information to identify entities. Enhancing the ability to compare Form PF data in this way, including with respect to the use of trading vehicles, will provide a more comprehensive view of the market that enhances systemic risk assessment and our investor protection efforts. As discussed more fully above in
section II.A.2 of this Release, we
received comments regarding proposed Instruction 7 regarding the proposed disaggregated reporting of trading vehicles. One commenter recommended that a threshold question of whether the reporting fund uses a trading vehicle should be added to proposed Question
9.141 Such an instruction is not
necessary because it is generally understood that an adviser may leave blank any inapplicable question. Gross asset value and net asset value. We are adopting, with changes from the proposal, several amendments to the way advisers report gross asset value and net asset value. We are adopting amendments to require large hedge fund advisers and large liquidity fund advisers to report net asset value and gross asset value (or, if such values are not calculated monthly, the reporting fund aggregate calculated value and the gross reporting fund aggregate calculated value, respectively) as of the end of each month of the reporting period in their quarterly filings, rather than only reporting the information as of the end of the reporting period, as Form PF currently requires.142 This amendment is designed to facilitate analysis of other monthly Form PF data, including certain fund performance and risk metrics.143 Some commenters expressed concerns that calculating net asset value (or gross asset value) on a monthly basis would be overly burdensome.144 Another commenter asserted that the net asset value or gross asset value of a fund or a fund’s investments may not be available on a monthly basis in the case of investments made into other funds or entities that are not advised by the filer or its related persons, in which case the timing of the reporting may not match a monthly reporting obligation.145 One commenter recommended requiring reporting on net asset value and gross asset value on a quarterly, rather than monthly, basis to lessen the burden on advisers.146 Monthly asset value data is important to allow analysis of other monthly basis data collected on Form PF for systemic risk monitoring and to support our investor protection efforts. However, after considering comments, and in a change from the proposal, an adviser may report in response to Questions 11 and 12 a fund’s ‘‘gross reporting fund aggregate calculated value’’ (‘‘GRFACV’’) or ‘‘reporting fund aggregate calculated value’’ (‘‘RFACV’’), rather than gross asset value or net asset value, respectively and as applicable, if its net asset value and gross asset value are not calculated on a monthly basis.147 Permitting an adviser to report GRFACV or RFACV will reduce the need for advisers to report the net asset value or gross asset value on a monthly basis, as proposed. As discussed more fully below, in connection with proposed amendments to fund performance reporting, we proposed adding a requirement for certain advisers to report additional performance information, including RFACV. We are adding the option for advisers to report RFACV for Question 12 and GRFACV for Question 11 because use of RFACV and GRFACV will reduce burdens on advisers while allowing us to continue to receive useful monthly valuation data to allow for effective systemic risk monitoring and investor protection efforts.148 RFACV and GRFACV may be calculated using the adviser’s own methodologies or those of its service
providers, provided that the methodologies used to calculate RFACV and GRFACV are consistent with information reported internally.149 Advisers will be required to indicate whether the reported data represents RFACV or GRFACV, rather than a net asset value or gross asset value, as applicable, to maintain data comparability. Requiring monthly data will help facilitate analysis of the other monthly data reported on Form PF, such as fund performance, and help identify trends for systemic risk analysis and investor protection efforts. We also are adopting, as proposed, amendments to add new Question 13, which requires advisers to separately

150We are adopting amendments to the definition of ‘‘unfunded commitments’’ as committed capital that has not yet been contributed to the reporting fund by investors. Currently, the definition refers only to private equity funds, and we are adopting amendments to amend the definition to refer to all reporting funds. Form PF defines ‘‘committed capital’’ as any commitment pursuant to which a person is obligated to acquire an interest in, or make capital contributions to, the private fund. See Form PF Glossary of Terms. 151Form PF requires advisers to calculate gross asset value and net asset value using regulatory assets under management, a regulatory metric from Form ADV. See ‘‘gross asset value’’ and ‘‘net asset value’’ as defined in Form PF Glossary of Terms; Form ADV: Instructions for Part 1A, Instruction 5.b. An adviser must calculate its regulatory assets under management on a gross basis, that is, without deduction of any outstanding indebtedness or other accrued but unpaid liabilities. In addition, an adviser must include the amount of any uncalled capital commitments made to a private fund managed by the adviser. 152Rules Implementing Amendments to the Investment Advisers Act of 1940, Advisers Act Release No. 3221 (June 22, 2011) [76 FR 42950, 42956 (July 19, 2011)], at text accompanying n.90. 153See Question 14. 154Form PF, as amended, cites to Form ADV, Part 1A Instruction 6.e.(3). 155Fact Coalition Comment Letter. 156Schulte Comment Letter. 157To implement this, current Question 31 has been redesignated as Question 17 and has been moved from existing section 2b, which required only large hedge fund advisers to report information about qualifying hedge funds, to section 1b, which requires all advisers to report information about all the reporting funds they advise. See Question 17. 158See Instruction 15. We are revising, as proposed, Instruction 15 to provide additional instructions concerning currency conversions. See
section II.D (Amendments to Enhance Data Quality)
of this Release. report the value of unfunded commitments included in the net and gross asset values reported in Questions 12 and 11.150 Advisers that provide an RFACV or GRFACV in response to Questions 12 and 11 will report the value of unfunded commitments that are included in the RFACV or GFRACV figures. Current Questions 8 and 9 (which have been replaced by Questions 11 and 12) require valuations based on the instruction in Form ADV for calculating regulatory assets under management, which requires advisers to include the amount of any unfunded commitments.151 This approach reflects that, in the early years of a private fund’s life, its adviser typically earns fees based on the total amount of capital commitments, which we presume reflects compensation for efforts expended on behalf of the fund in preparation for the investments.152 The asset value calculations in Questions 11 and 12 should include unfunded commitments, so that Form PF data is comparable to Form ADV data. However, there are circumstances where understanding the amount represented by unfunded commitments will enhance our understanding of changes to a reporting fund’s net and gross asset value over time, inform us of trends, and improve data comparability over the life of the fund. For example, knowing the value of uncalled commitments will help the Commissions and FSOC more accurately identify the leverage of a fund with uncalled commitments. We did not receive specific comment on the proposed addition of Question 13. We continue to believe that receiving this information on uncalled commitments will improve data accuracy and comparability, which is important for effective systemic risk assessment and investor protection efforts. Inflows and outflows. We are adopting, as proposed, an amendment to add a question requiring advisers to report information concerning the reporting fund’s activity, including contributions to the reporting fund, as well as withdrawals and redemptions, which includes all withdrawals, redemptions, or other distributions of any kind to investors.153 Amended Form PF specifies that, for purposes of the question, advisers must include all new contributions from investors and exclude contributions of committed capital that they have already included in gross asset value calculated in accordance with Form ADV instructions.154 Large hedge fund advisers and large liquidity fund advisers are required to provide this information for each month of the reporting period. This requirement will facilitate analysis of other monthly Form PF data, including certain fund performance and risk metrics, improve data accuracy, and allow the Commissions and FSOC to analyze data more efficiently. Inflows and outflows inform the Commissions and FSOC of the relationship between flows and performance, changes to net and gross asset value, as well as trends in the private fund industry. Accordingly, this question will provide a more accurate baseline understanding of inflows and
outflows, so the Commissions and FSOC can, for example, more accurately assess how much the private fund industry has grown from flows versus performance. Inflows and outflows also can indicate funding fragility, which can have systemic risk implications. Therefore, this amendment will provide more accurate data of inflows and outflows for systemic risk assessment and investor protection efforts, including identifying activity that may not match investor disclosures. One commenter stated that recent global events have demonstrated the importance of FSOC’s assessment of the potential systemic risks created by inflows into private investment markets.155 Another commenter stated that reporting inflows and outflows on a monthly basis would create additional burdens with limited benefits for systemic risk monitoring purposes and recommended an annual reporting requirement.156 However, based on our experience, receiving fund activity data on a monthly basis for large hedge fund advisers is important for systemic risk analysis and investor protection efforts. Currently, large hedge fund advisers file quarterly but only report changes in inflows or outflows on an annual basis, which causes this data to be stale and less effective than more frequently reported data for monitoring systemic risk. We also currently cannot differentiate between changes in value resulting from performance and changes in value resulting from inflows and outflows. Inflow and outflow information on a monthly basis will allow us to better understand the meaning of interim changes in investment inflows and outflows that may be relevant to systemic risk assessment. We also understand that advisers generally maintain this information on a monthly basis for internal recordkeeping purposes. Base currency. We are adopting, as proposed, amendments to require all advisers to identify the base currency of all reporting funds, rather than only requiring large hedge fund advisers to identify this information for qualifying hedge funds.157 As discussed more fully in section II.D below, Instruction 15 will continue to require all advisers to convert monetary values reported on the form to U.S. dollars for any reporting fund that uses a base currency other than U.S. dollars.158 The Commissions and FSOC are able to currently identify whether monetary value information has been converted from another base currency and whether there may have been inconsistencies in the converted information only with respect to qualifying hedge funds reported by large hedge fund advisers in response to current Question 31. Therefore, this change will allow the Commissions and FSOC to interpret more accurately responses to questions regarding foreign exchange exposures and the effect of changes in currency rates on all reporting fund portfolios, which will aid systemic risk assessment and investor protection efforts across all reporting fund portfolios. Although we received comments regarding the proposed amendment
to require advisers to report using U.S.

159See infra section II.D of this Release.
160As discussed more fully below in section II.C.2.a, we are also adopting amendments to require currency exposure reporting for qualifying hedge fund advisers. 161 ‘‘Borrowings’’ include, but are not limited to (1) cash and cash equivalents received with an obligation to repay; (2) securities lending transactions (count cash and cash equivalents and securities received by the reporting fund in the transaction, including securities borrowed by the reporting fund for short sales); (3) repo or reverse repo (count cash and cash equivalents and securities received by the reporting fund); (4) negative mark-to-market of derivative transactions from the reporting fund’s point of view; and (5) the gross notional value of ‘‘synthetic long positions.’’ The term ‘‘synthetic long position’’ is defined in the Form PF Glossary of Terms. We are adopting, with modifications from the proposal, the definition of ‘‘synthetic long position’’ based on our understanding of the instruments and to help ensure data quality to aid comparability. 162See SEC staff Form PF Frequently Asked Questions, available at https://www.sec.gov/ divisions/investment/pfrd/pfrdfaq.shtml (‘‘Form PF Frequently Asked Questions’’). See Form PF Frequently Asked Question 12.1 (which provides a non-exhaustive list of types of borrowings). 163See AIMA/ACC Comment Letter; USCC Comment Letter. 164For hedge funds, other than qualifying hedge funds, advisers complete Question 26. For qualifying hedge funds, advisers complete Question 41. 165MFA Comment Letter II. 166See Form PF Glossary of Terms (definitions of ‘‘synthetic long position’’ and ‘‘synthetic short position’’). 167See Question 18. Form PF defines ‘‘U.S. depository institution’’ as any U.S. domiciled depository institution, including any of the following: (1) a depository institution chartered in the United States, including any Federallychartered or State-chartered bank, savings bank, cooperative bank, savings and loan association, or an international banking facility established by a depositary institution chartered in the United States; (2) banking offices established in the United States by a financial institution that is not organized or chartered in the United States, including a branch or agency located in the United States and engaged in banking not incorporated separately from its financial institution parent, United States subsidiaries established to engage in international business, and international banking facilities; (3) any bank chartered in any of the following United States affiliated areas: U.S. territories of American Samoa, Guam, and the U.S. Virgin Islands; the Commonwealth of the Northern Mariana Islands; the Commonwealth of Puerto Rico; the Republic of the Marshall Islands; the Federated States of Micronesia; and the Trust Territory of the Pacific Islands (Palau); or (4) a credit union (including a natural person or corporate credit union). Form PF defines ‘‘U.S. financial institution’’ as any of the following: (1)
a financial institution chartered in the United States (whether Federally-chartered or Statechartered); (2) a financial institution that is separately incorporated or otherwise organized in the United States but has a parent that is a financial institution chartered outside the United States; or (3) a branch or agency that resides outside the United States but has a parent that is a financial institution chartered in the United States. See Form PF Glossary of Terms. 168We have redesignated current Question 14 to Question 20. 169Advisers are not required to update information that they believe in good faith properly responded to Form PF on the date of filing even if that information is subsequently revised for purposes of their recordkeeping, risk management, dollars for any private fund that has a base currency other than U.S. dollars,159 we did not receive comments to the proposed amendment to require all advisers to report the reporting fund’s base currency. We continue to believe our adopted approach will allow for more accurate responses to other questions on Form PF regarding currency exposures and improve data comparability to aid systemic risk assessment and our investor protection efforts.160 Borrowings and types of creditors. We are adopting, largely as proposed, amendments to revise how advisers report the reporting fund’s ‘‘borrowings.’’ First, we are revising the term ‘‘borrowings’’ to (1) specify that it includes ‘‘synthetic long positions,’’ which is defined in the Glossary of Terms, and (2) provide a non-exhaustive list of types of borrowings.161 This reporting approach is consistent with SEC staff Form PF Frequently Asked Questions.162 This amendment is designed to improve data quality, based on our experience with the form. Some commenters stated that it is not clear how an adviser should report cross-collateralized agreements.163 A modification to the instructions to address this comment is not warranted. The instructions to Questions 26 and 41,164 as applicable, specify how margin for these arrangements should be reported. For example, the instructions to these questions indicate that the adviser is to classify borrowing and collateral received and lending and posted collateral according to type and the governing legal agreement, such as a prime brokerage or other brokerage agreement, for cash margin and securities lending and borrowing. Additionally, the instructions for each of these questions allow respondents to indicate whether cross margining is in effect and indicate how to treat the collateral in such cases. One commenter stated that the Commissions should establish a threshold for when a position is considered ‘‘deep-in-themoney’’ and recommended including a definition for ‘‘deep-in-the-money’’ positions in the definitions of ‘‘synthetic long position’’ and ‘‘synthetic short position.’’ 165 In consideration of this comment and in order to improve data quality, we are revising the definitions of the ‘‘synthetic long
position’’ and the ‘‘synthetic short position’’ to more clearly specify, as an example, that a position with a delta of 98% or higher is considered to be ‘‘deep-in-themoney.’’ 166 Based on our experience, we believe that a delta of 98% or higher is typically the most appropriate threshold for both long and short expiry option exposures for reporting purposes and will furthermore be generally consistent with advisers’ expectations and accommodate their internal practices, where many advisers already use a lower threshold. Although other thresholds could potentially be used, a delta of 98% or higher will generally provide us with more reliable and accurate information for systemic risk assessment purposes. If set lower than this level, the threshold could trigger inappropriately due to the impact of the delta’s rate of change (i.e., its gamma) and capture options that should not constitute synthetic short or long positions, such as options with little time left to expiry that may be close to their strike level. If set higher (e.g., to 99%), the threshold could miss longerdated options that should constitute synthetic short positions, but where the lengthy time to expiry allows the possibility that the options will go unexercised, such that the threshold will not be met, and the options will inappropriately be not included. Second, we are adopting amendments to Question 18, which requires advisers to report the value of the reporting fund’s borrowings and the types of creditors, to require advisers to indicate whether a creditor is based in the United States and whether it is a ‘‘U.S. depository institution,’’ rather than a ‘‘U.S. financial institution’’ as is currently required.167 This amendment will make the categories more consistent with the categories that the FRB uses in its reports and analysis, which will enhance systemic risk assessment. Advisers are not required to distinguish between non-U.S. creditors that are depository institutions and those that are not. We understand that it is difficult for advisers to distinguish nonU.S. creditors by type, which can result in inconsistent data that is less valuable for analysis. We did not receive specific comment on this amendment. Fair value hierarchy. We are adopting, largely as proposed, a number of amendments to revise how advisers report fair value hierarchy in Question 20, to improve data quality and better understand the reporting fund’s complexity and valuation challenges.168 First, we are adopting amendments that require advisers to indicate the date on which the categorization was performed. This amendment is designed to show how old the data is. Some advisers report current fair value hierarchy, while others report a prior year’s fair value hierarchy if the current data is not yet available.169 This can

or investor reporting (such as estimates that are refined after completion of a subsequent audit). See Instruction 16. 170We recognize that there may be cases when advisers correctly report negative values, such as when subtracting fund of fund investments. 171See Form PF Frequently Asked Question 14.3, Form PF Frequently Asked Questions, supra footnote 162. 172Form PF defines ‘‘government securities’’ as (1) U.S. Treasury securities, (2) agency securities, and (3) any certificate of deposit for any of the foregoing. See Form PF Glossary of Terms. 173We are adopting corresponding amendments to the definition of ‘‘unencumbered cash’’ to reflect that ‘‘government securities’’ are a distinct term from ‘‘cash and cash equivalents.’’ This amendment does not change the meaning of the term ‘‘unencumbered cash.’’ See Form PF Glossary of Terms. 174See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 175MFA Comment Letter II. 176As discussed further in section II.B.3 of this Release, in a modification from the proposal, we are not adopting the proposed definition of ‘‘digital asset.’’ 177MFA Comment Letter II. 178 Instruction 16 continues to provide that an adviser is not required to update information that it believes in good faith properly responds to Form PF on the date of filing, even if that information is subsequently revised. 179See Form PF Frequently Asked Question A.11, Form PF Frequently Asked Questions, supra footnote 162. cause confusion when analyzing the data, because the fair value hierarchy data concerns a different time period than the other data advisers report on Form PF. Therefore, we believe that adding a categorization date will help prevent the data from being incorrectly categorized as applying to the wrong time period, and in turn, will allow the Commissions and FSOC to correlate data to other Form PF data and market events more accurately. We did not receive specific comment on this amendment. Second, we are adopting amendments to direct advisers to report the absolute value of all liabilities. Currently, advisers report liabilities inconsistently, with some reporting absolute values and others reporting negative values. This inconsistency causes errors when the Commissions and FSOC aggregate this data, and the amended instruction will help reduce aggregation errors. We did not receive specific comment on this amendment. Third, we are adopting amendments to direct advisers to provide an explanation in Question 4 if they report assets as a negative value. We have found that some advisers have reported negative values for assets in error.170 Therefore, this instruction is designed to reduce inadvertent errors. We did not receive specific comment on this amendment. Fourth, we are adopting amendments to require advisers to separately report cash and cash equivalents. Currently, Form PF does not explain where advisers must report cash and cash equivalents in current Question 14. SEC staff have recommended that advisers generally
should report cash in the cost based column and cash equivalents in the applicable column in the fair value hierarchy or the cost based column, depending on the nature of the cash equivalents, but now we are adding a separate column for cash and cash equivalents.171 The amended categorization is designed to differentiate reported holdings of cash and cash equivalents from harder-tovalue assets that may be valued at cost, and in turn, improve data quality and comparability. We did not receive specific comment on this amendment. Fifth, we are adopting amendments to the definition of ‘‘cash and cash equivalents.’’ The current definition of ‘‘cash and cash equivalents’’ includes ‘‘government securities.’’ 172 When reporting cash and cash equivalents, some advisers may include government securities with longer maturities, while others do not, which results in inconsistent reporting and may obscure our and FSOC’s understanding of fund exposures. Therefore, to improve data quality, we are removing government securities from the definition of ‘‘cash and cash equivalents’’ and presenting government securities as its own line item in the Form PF Glossary of Terms.173 Some commenters opposed the proposed removal of government securities from the definition of ‘‘cash and cash equivalents,’’ stating that the revised definition is inconsistent with market practice and internal fund practices, which generally treat government securities as cash equivalents.174 One commenter recommended that the definition of ‘‘cash and cash equivalents’’ should include U.S. treasury securities with maturity of 90 days or less to the extent that the adviser treats these as cash equivalents.175 We continue to believe that the removal of all government securities from the definition of ‘‘cash and cash equivalents’’ and requiring reporting of government securities holdings separately will improve data quality and our and FSOC’s understanding of fund holdings. The amended definition is intended to provide more granular detail on a fund’s exposure and is not intended to change any commercial understanding or accounting treatment of cash equivalents or result in any fund investment changes. It is appropriate to require advisers to list all government securities, including U.S. treasury securities with maturity of 90 days or less, under a separate category because they represent a different asset type and market that are relevant for purposes of assessing systemic risk. Further, we are adopting, as proposed, an amendment to the term ‘‘cash and cash equivalents’’ that directs advisers to exclude digital assets when reporting cash and cash equivalents.176 One commenter recommended that the Commissions clarify how to report an asset that may be reasonably included in multiple categories and stated that, digital assets, as proposed to be defined, may overlap with multiple reporting categories.177 This amendment to the ‘‘cash and cash equivalent’’ definition will facilitate appropriate
classifications. We are adopting amendments to add instructions directing advisers about how to report data if their financial statement’s audit is not yet completed when Form PF is due. The instructions state that advisers should use the estimated values for the fiscal year and explain that the information is an estimate in Question 4. The instructions also provide that the adviser may, but is not required to, amend Form PF when the audited financial statements are complete.178 The instructions are consistent with responses to Form PF Frequently Asked Questions and are designed to provide the Commissions and FSOC with more recent information regarding the reporting fund than may be possible if the reporting fund relied solely on audited financial statement information (i.e., the reporting fund’s previous fiscal year’s audited financial statements).179 Given that advisers file Form PF sometimes months after their quarter and year ends, depending on their size and the type of funds they advise, the amended instruction balances reporting burdens with the need for more timely information for assessing potential systemic risk and investor protection concerns. We did not receive specific comment on this amendment. Beneficial Ownership of the Reporting Fund. Form PF currently requires advisers to specify the approximate percentage of the reporting fund’s equity that is beneficially owned by different groups of investors. We are redesignating current Question 16 as Question 22 and amending the question, as proposed, to require advisers to provide more granular information regarding the following groups of beneficial owners.

180We understand that, in some cases, an adviser may not be able to determine what type of non-U.S. entity the investor is. Current Question 16 provides a category that addressed that scenario in certain circumstances, and we are maintaining this approach. If investors that are not United States persons and about which certain beneficial ownership information is not known and cannot reasonably be obtained because the beneficial interest is held through a chain involving one or more third-party intermediaries, advisers currently report this in current Question 16(m), which we redesignated as Question 22(s). 181As proposed, we are also including instructions to Question 22, as well as Question 21, which is current Question 15 (concerning a certain percentage of beneficial ownership), providing that if the reporting fund is the master fund in a masterfeeder arrangement, advisers must look through any disregarded feeder fund (i.e., a feeder fund that is not required to be separately reported). This amendment is designed to implement the adopted master-feeder reporting requirements. See section II.A.1 (Reporting Master-Feeder Arrangements and Parallel Fund Structures) of this Release. 182Fact Coalition Comment Letter. 183MFA Comment Letter II. 184See Financial Accounts of the United States, available at http://www.federalreserve.gov/releases/ z1/. 185 In a separate release, the SEC adopted a new rule under the Advisers Act to require advisers to provide certain fund performance information to its private funds’ investors in quarterly statements. See Private Fund Advisers; Documentation of Registered Investment Adviser Compliance Reviews, Advisers Act Release No. IA–6383 (Aug. 23, 2023) [88 FR 63206 (Sept. 14, 2023)] (‘‘SEC Private Fund Advisers Adopting Release’’). 186As proposed, we also are reorganizing the
table so monthly, quarterly, and yearly data is
presented in separate categories, but this change will not affect reporting frequency; advisers will continue to report information according to the same intervals. We are also amending the table to refer to the end date of each applicable month, quarter, and year, rather than last day of the fiscal period, to reflect the amendments to the reporting period, as discussed above. See supra section II.A.3 (Reporting Timelines) of this Release, and Question 23(a).

Advisers will be required to
indicate whether beneficial owners that are broker-dealers, insurance companies, non-profits, pension plans, banking or thrift institutions are U.S. persons or non-U.S. persons.180 This amendment will allow the Commissions and FSOC to conduct more targeted analysis about risks presented in the United States separate from risks presented abroad. With regard to pension plans, in particular, it is currently unclear whether advisers must report assets in non-U.S. pension plans as governmental pension plans or foreign official institutions. Therefore, this amendment also is designed to improve data quality, based on our experience with the form.
Advisers will be required to
indicate whether beneficial owners that are private funds are either internal private funds (i.e., managed by the adviser or its related persons) or external private funds. This amendment is designed to help the Commissions and FSOC understand the interconnectedness of private funds to each other, which will aid systemic risk assessment and investor protection efforts. Furthermore, this information will help the Commissions and FSOC understand a reporting fund’s risk from investor demands for liquidity, because beneficial owners that are external private funds may have less predictable withdrawals than internal private funds.
We are specifying that ‘‘state’’
investors are U.S. state investors to improve data quality and reduce potential confusion.181 The amendments provide that if advisers report information in the ‘‘other’’ category, they must describe in Question 4 the type of investor, why it would not qualify for any of the other categories, and any other information to explain the selection of ‘‘other.’’ This amendment is designed to improve data quality by providing context to the adviser’s selection of the ‘‘other’’ category and help ensure that advisers do not inadvertently report information in the wrong category. One commenter stated that more granular reporting on beneficial ownership would support FSOC’s analysis of potential sources of systemic risk.182 This commenter supported requiring additional disclosure of beneficial ownership and recommended requiring additional disclosures of any politically exposed persons and, for each private fund, the percentage of fund investors and fund equity that originated from certain countries. Another commenter recommended allowing advisers to report beneficial ownership on good faith estimates based on the data that they have from investors and stated that the Commissions had not provided a reasonable justification for requiring the proposed, more granular information.183 We understand from this commenter that advisers may not have information for all beneficial owners of a reporting fund by country and that it may be burdensome to obtain this information. Country-level information on a fund’s beneficial owners is not required to be reported on Form ADV. As proposed, we are thus not requiring reporting of this information on Form PF. We continue to believe that requiring reporting on percentage of the reporting fund’s beneficial ownership that is held by U.S. and non-U.S. persons will improve data quality, based on our experience with the form, and will allow for more effective systemic risk analysis. For example, this information will increase the usefulness of the FRB’s Financial Accounts, a tool that is used for evaluating trends in and risks to the U.S. financial system.184 If an adviser is unable to determine the required beneficial ownership data, the amendments specify that an adviser may provide additional explanatory information in its response to Question 4. Fund Performance. We are adopting several amendments, with modifications, regarding fund performance reporting in current Question 17, which we have redesignated as Question 23.185 We are adopting, as proposed, amendments to require all advisers to provide gross and net fund performance as reported to current and prospective investors, counterparties, or otherwise for specified fiscal periods using the table in redesignated Question 23 with added instructions specifying which lines to complete depending on whether the adviser is submitting an initial filing, annual update, or quarterly update.186 These amendments will improve data quality by specifying which fields an adviser should use
to report fund performance for the specified filing period. As discussed further below, the amendments will require an adviser to report its performance as a moneyweighted internal rate of return (instead of a time-weighted return), if the reporting fund’s performance is reported to investors, counterparties or otherwise as an internal rate of return since inception. This results from a modification from the proposal in which we added an instruction to proposed Question 23 to specify that the reporting fund may report performance as either a time-weighted return or an internal rate of return, but the methodology used for reporting performance should be consistent over time. In an additional modification from the proposal that is similarly intended to promote data quality through reporting comparability, we are amending the instructions to the table to specify that gross and net performance should be reported using the reporting fund’s base currency. This instruction is implicit in the current form, which requires that performance data be provided as reported to investors or as calculated for other purposes, and we are amending the instruction to make it explicit. Accordingly, pursuant to this modification to the proposed instructions, for example, if a reporting fund uses Japanese yen as its base currency, the fund should report its performance using its base currency,

187See Question 23(a).
188Comment Letter of CFA Institute (Oct. 11,
2022) (‘‘CFA Institute Comment Letter’’).
189See instructions to Question 23 and Question 23(b). Question 23(b) also requires that if the fund reports different performance results to different groups, advisers must provide the most representative results and explain their selection in Question 4. The instructions to Question 23(b) specify that internal rates of return for periods longer than one year must be annualized, while internal rates of return for periods one year or less must not be annualized. This instruction is designed to help ensure consistent reporting for accurate comparisons. 190See supra in this section II.A.2 of the Release for further discussion of this amendment. 191AIMA/ACC Comment Letter. 192See Question 23. The instructions provide that the methodology used for reporting performance (i.e., as a time-weighted return or money-weighted return, such as an internal rate of return) should be consistent over time. 193The proposed definition of ‘‘rate of return’’ was generally the percentage change in the reporting fund aggregate market value in the reporting fund’s base currency from one date to another and adjusted for subscriptions and redemptions. The modified definition we are adopting includes reference to a change in the fund’s net asset value and modifies the reference to reporting fund aggregate market value to use the defined term in Form PF, reporting fund aggregate calculated value. 194The proposed definition generally was that the rate of return for a portfolio position is the percentage change in the position market value, adjusted for income earned. One commenter recommended that we modify this definition stating that a position return cannot be calculated by considering only changes in a portfolio’s position value adjusted for income and should also consider changes in quantity resulting from transactions. See CFA Institute Comment Letter. After considering comments, we have changed the reference to ‘‘position market value’’ in the adopted definition to refer instead to the defined term in Form PF, ‘‘position calculated value,’’ and we have added reference to adjustments for changes in quantity resulting from activity such as purchases, sales, or splits. 195See CFA Institute Comment Letter. 196See Form PF Glossary of Terms (definitions of ‘‘internal rate of return’’ and ‘‘rate of return’’). which is Japanese yen. We also are adopting, as proposed, amendments to require advisers to identify the currency in Question 4.187 This amendment is designed to inform the Commissions and FSOC of the currency the adviser used to report the reporting fund’s gross and net performance, for more accurate and informed analysis. One commenter stated the proposed requirement does not specify whether net performance should be net of all fund fees and expenses or net of only management fees, incentive fees and allocations, which are referenced in the column header for net performance in Question 23(a); and that it is relatedly unclear whether gross performance should reflect
the deduction of all other fund fees and expenses.188 This commenter suggested that such a result would be inconsistent with the treatment of gross performance in the SEC investment adviser marketing and the private fund adviser rules, which do not require that gross performance reflect the deduction of any fees or expenses. This commenter also stated that the Global Investment Performance Standards require that gross returns reflect the deduction of only transaction costs and that the deduction of any additional fees and expenses is optional. For purposes of Form PF, advisers must provide the net performance and gross performance information that they provide to investors, counterparties, or otherwise (or the most representative set of performance information if the adviser reports different fund performance results to different groups, with an explanation of its selection to be provided in Question 4). Consistent with the reference to management fees, incentive fees, and allocations in the column header for net performance in Question 23(a), net performance should always reflect the deduction of adviser compensation. In addition, Form PF provides confidential reporting to the Commissions, rather than reporting of performance information to current investors. Given these different purposes and audiences for the information, it is not necessary for us to further specify how to calculate gross performance or net performance for purposes of Form PF. These amendments are designed to allow the Commissions and FSOC to compare performance volatility to identify market trends for systemic risk analysis and investor protection efforts. We are also adopting, as proposed, amendments to create an alternative to the gross and net performance tabular reporting. If the reporting fund’s performance is reported to current and prospective investors, counterparties, or otherwise as an internal rate of return since inception, the adviser will be required to report its performance as an internal rate of return.189 If such information is reported to current and prospective investors, counterparties, or otherwise, in a currency other than U.S. dollars, advisers will be required to report the data using that currency, and identify the currency in Question 4.190 This approach is designed to acknowledge that advisers calculate performance data differently for different types of private funds. For example, advisers of private equity funds may use a money-weighted rate of return, such as an internal rate of return, to calculate performance data, while advisers to liquidity funds and hedge funds may use a time-weighted rate of return. These calculations may differ in the way they reflect the impact of the timing of external cash flows, among other things. Therefore, the adopted change will allow the Commissions and FSOC to improve the usefulness and quality of performance data to conduct more accurate analysis, including comparisons, and aggregations. One commenter noted
that proposed Questions 23(a) (gross and net performance) and 23(b) (internal rate of return) may be mutually exclusive for some reporting funds.191 This commenter recommended allowing either Question 23(a) or Question 23(b) to be left blank, as appropriate. We do not believe such a specification is necessary because the instructions provide that an adviser should respond to either Question 23(a) or 23(b), as applicable, and it is generally understood that an adviser may leave blank any inapplicable question. The instructions to Question 23 provide that an adviser may report the reporting fund’s performance either as a time-weighted return or a moneyweighted return, such as an internal rate of return.192 We are adopting defined terms for ‘‘rate of return’’ and ‘‘internal rate of return’’ in the Form PF Glossary of Terms. In a modification from the proposal, ‘‘rate of return’’ is generally defined as the percentage change in the reporting fund’s net asset value (or, when a net asset value is not available, in the reporting fund aggregate calculated value) in the reporting fund’s base currency from one date to another and adjusted for subscriptions and redemptions.193 Further, in a modification from the proposal, the rate of return for a portfolio position is defined as the percentage change in the position calculated value, adjusted for income earned and for changes in the quantity held resulting from activity, such as purchases, sales, or splits.194 As proposed, ‘‘internal rate of return’’ is defined as the discount rate that causes the net present value of all cash flows throughout the life of the fund to be equal to zero. One commenter supported the proposed ‘‘internal rate of return’’ definition and recommended clarifying how the terms reporting fund aggregate calculated value and currency, which are referenced in the ‘‘rate of return’’ definition, apply to the ‘‘internal rate of return’’ definition.195 ‘‘Internal rate of return’’ and ‘‘rate of return’’ are distinct defined terms in the Form PF Glossary of Terms, and reporting fund aggregate calculated value and currency are not referenced in and do not apply to the definition of ‘‘internal rate of return.’’ 196 Further, reporting fund aggregate calculated value is only used when a net asset

197See CFA Institute Comment Letter.
198Subscription facilities (or subscription lines) generally refer to credit lines that are guaranteed by committed but uncalled capital. 199See CFA Institute Comment Letter. 200The amendments to Form PF adopted in the May 2023 SEC Form PF Amending Release, supra footnote 4, added a definition for ‘‘reporting fund aggregate calculated value.’’ See Form PF Glossary of Terms. See also Question 23(c). We have modified the reference in the proposed Question to ‘‘reporting fund aggregate market value’’ to the defined term in Form PF, the reporting fund aggregate calculated value. 201See Question 23(c)(i). 202See discussion of definitions of ‘‘rate of return’’ and ‘‘position market value,’’ supra footnotes 193 and 194. The prescribed methodology is the standard deviation of the natural log of one plus each of the daily rates of return in the month, annualized by the square root of 252 trading days. When calculating the natural log of a daily rate of return, the rate of return, which is expressed as a percent, must first be converted to a decimal value and then one must be added to the decimal value. See Form PF Glossary of Terms and Question 23(c)(ii). Although the reference to ‘‘of one plus each’’ was in the proposing release, it was inadvertently left out of the proposed form. We are revising the form to include this language. To reduce potential confusion, we are also specifying in the instruction to this question that, 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. 203See Question 23(c)(iii). 204CFA Institute Comment Letter. 205We have also modified the table in Question 23(c)(ii) to refer to ‘‘annualized’’ volatility of returns, rather than monthly, as proposed, to correspond with the instructions which require the adviser to report the volatility data for each month of the reporting period, on an annualized basis. 206See Question 23(c)(iv). 207CFA Institute Comment Letter. value is not available for calculation of a rate of return. In a modification from the proposal, we are adding an instruction to Questions 23(a) and 23(b) to specify that the reporting fund’s performance should not be calculated using a reporting fund aggregate calculated value because this question is intended to report performance, as reported to investors. One commenter recommended requiring funds to consistently report the same type of returns over time and not switch between a rate of return calculation, which is time weighted, and an internal rate of return, which is money weighted.197 We agree with this commenter and believe that consistent reporting of returns is important for data comparability. Therefore, in a change from the proposal, Question 23 includes an instruction that the methodology used to report performance should remain consistent over time. One commenter stated the proposed definition does not
specify whether to include the impact of subscription facilities 198 in the internal rate of return calculation and requested that we specify whether returns should be reported with or without the impact of any subscription facilities.199 In a change from the proposal, we are requiring advisers in responding to Question 23 to indicate whether the reported internal rate of return includes or does not include the impact of subscription facilities to allow for improved data comparability. It is necessary for an adviser to specify whether the reported rate of return includes or excludes the impact of subscription facilities to be able to accurately compare data between reporting periods. For example, an adviser that reports an internal rate of return with the impact of fund-level subscription facilities in one reporting period but reported without the impact of subscription facilities in a prior period could report artificially increased performance metrics. We are also adopting amendments, as proposed except as indicated below, that require advisers to report additional performance-related information if the adviser calculates a market value on a daily basis for any position in the reporting fund’s portfolio. In such a case, the adviser will be required to report several items. First, it would report the ‘‘reporting fund aggregate calculated value’’ at the end of the reporting period.200 Advisers that file a quarterly update also will report the reporting fund aggregate calculated value as of the end of the first and second month of the reporting period.201 Second, the adviser will report the reporting fund’s volatility of the natural log of the daily ‘‘rate of return’’ for each month of the reporting period, following a prescribed methodology.202 Advisers will be required to report whether the reporting fund uses a different methodology than is prescribed in Form PF to report to current and prospective investors, counterparties, or otherwise, and if so, describe it in Question 4.203 One commenter recommended requiring volatility measurements over longer periods, such as quarterly or annually, stating that requiring daily measurements would result in a smaller population size and less meaningful information.204 We believe receiving reporting on the volatility of daily returns on a monthly basis is important because significant volatility swings that occur over a short timeframe may not be discernible from quarterly or annual data but can pose systemic risk. Further, receiving higher frequency volatility data will give more context to a fund’s reported monthly returns and will allow us to assess risk-adjusted returns. We understand that it is common practice for advisers to annualize volatility calculations and compare across different time intervals.205 Third, the adviser must report whether the reporting fund had one or more days with a negative daily rate of return during the reporting period. If so, advisers will be required to report (1) the
most recent peak to trough drawdown, and indicate whether the drawdown was continuing on the data reporting date, (2) the largest peak to trough drawdown, (3) the largest single day drawdown, and (4) the number of days with a negative daily rate of return in the reporting period.206 These measures are designed to help us and FSOC understand risk, particularly in reporting funds with unique return patterns that are poorly measured using volatility alone. We understand that advisers use drawdown metrics, therefore, this question also is designed to be more reflective of industry practice, and in turn improve data quality. Advisers are required to report these figures as an amount in the fund’s base currency and, in a modification from the proposal, as a percentage in the fund’s base currency. One commenter recommended changing amount in base currency to percent in base currency.207 We agree with requiring reporting of percent in base currency to improve data comparability, and we do not believe requiring percent in addition to amount is incrementally more burdensome to report because the adviser can leverage existing reporting of the amount in base currency and NAV to provide this metric. Requiring an adviser to also report the percent in base currency will improve data comparability because it will provide consistency across data reported by the adviser, rather than potentially using a different exchange rate than the adviser used. This commenter also recommended providing definitions and examples of how to calculate the most recent and largest peak-to-trough drawdown and provided a recommended definition. We do not believe it is necessary to specify a particular methodology to calculate these metrics, which we understand advisers commonly calculate for their funds. Together, the adopted changes are designed to allow the Commissions and FSOC to compare volatility more accurately across different fund types to identify market trends (e.g., volatility of a specific fund type), for systemic risk assessment and investor protection efforts. For example, if several reporting

208We are amending current Question 20 and redesignating it as Question 25. 209See current Question 20. 210For purposes of this question, investment strategies generally include equity (and associated sub-strategies such as long/short market neutral, long only, long/short short bias, and long/short long bias), macro (and associated sub-strategies such as active trading, commodity, currency, and global macro), convertible arbitrage, relative value (and associated strategies such as fixed income asset backed, fixed income convertible arbitrage, fixed income corporate, fixed income sovereign, fixed income arbitrage, and volatility arbitrage), event driven (and associated sub-sub-strategies such as distressed, distressed/restructuring, risk arbitrage/ merger arbitrage, equity special situations, and special situations), credit (and associated substrategies such as asset based lending, litigation finance, emerging markets, and asset backed/ structured products), managed futures/CTA (and associated sub-strategies such as fundamental, quantitative), investment in other funds, private credit (and associated sub-strategies such as direct lending/mid-market lending, distressed debt, junior/subordinate debt, mezzanine financing, senior debt, senior subordinated debt, special situations, venture debt, and other), private equity (and associated sub-strategies such as early stage, expansion/late stage, buyout, distressed, growth, private investment in private equity, secondaries, and turnaround), real estate, real estate investment trusts, real assets excluding real estate, annuity and life insurance policies, litigation finance, digital assets, general partner stakes investing, cash and cash equivalents, and other. 211For example, aggregate qualifying hedge fund gross notional exposure to physical real estate has grown by 47% from the second quarter 2021 through the first quarter 2023, to $191 billion. See Private Funds Statistics, supra footnote 5. 212The amount of hedge fund exposure that advisers attribute to the ‘‘other’’ category has grown by 30% to $114 billion, from the second quarter 2021 through the first quarter 2023. See Private Funds Statistics, supra footnote 5. 213The additional strategy categories are private credit (and associated sub-strategies such as direct lending/mid-market lending, distressed debt, junior/subordinate debt, mezzanine financing, senior debt, senior subordinated debt, special situations, venture debt, and other), private equity (and associated sub-strategies such as early stage, expansion/late stage, buyout, distressed, growth, private investment in private equity, secondaries, and turnaround), annuity and life insurance policies, litigation finance, and general partner stakes investing. See also May 2023 SEC Form PF Amending Release, supra footnote 4, at n. 216. Question 66 was added as a new question in the amendments adopted in the May 2023 SEC Form PF Amending Release. funds that engage in similar trading activity
experience a surge in volatility, the volatility itself or the reporting funds’ response to the volatility may impact others who also are engaging in similar trading activity, which could pose systemic risk, and negatively affect investors.
3. Amendments to Section 1c of Form
PF—Concerning All Hedge Funds
Section 1c requires advisers to report
information about the hedge funds they advise. We are adopting, as proposed except as specified below, amendments to require advisers to report additional information about hedge funds to provide greater insight into hedge funds’ operations and strategies, assist in identifying trends, and improve data quality and data comparability for purposes of systemic risk assessments and to further investor protection efforts. We are also removing certain questions where other questions provide the same or more useful data to streamline reporting and reduce reporting burdens without compromising investor protection efforts and systemic risk analysis. Investment Strategies. We are adopting, as proposed except as specified below, amendments to how advisers report hedge fund investment strategies.208 We are adopting, as proposed, amendments to require advisers to indicate which investment strategies best describe the reporting fund’s strategies on the last day of the reporting period, rather than allowing advisers flexibility to report information as of the data reporting date or throughout the reporting period, as Form PF currently provides.209 This amendment is designed to improve data quality by specifying how to report information if the reporting fund changes strategies over time. Relatedly, in a modification from the proposal, we are also including an instruction that specifies the methodology an adviser uses for selecting reporting strategies should be consistent over time. This instruction is designed to improve data quality and comparability by specifying that an investment strategy should be categorized consistently from one reporting period to the next. This instruction will also simplify the categorization process for an adviser because it will require an adviser to only determine once how to categorize an ongoing investment strategy. We also are adopting, as proposed except as specified below, amendments to update the strategy categories that advisers can select to reflect our understanding of hedge fund strategies better and to improve data quality and comparability, based on experience with the form. For example, we are including more granular categories for equity strategies, such as factor driven, statistical arbitrage, and emerging markets. Similarly, we are including more granular categories for credit strategies, such as litigation finance, emerging markets, and asset-backed/ structured products. These more granular categories are designed to allow the Commissions and FSOC to conduct more targeted analysis and improve comparability among advisers and hedge funds, which the Commissions and FSOC can use to identify and address systemic risk and investor protection issues in times of stress more accurately. In a modification from the proposal, to facilitate completion of this question and alleviate challenges filers face in choosing among a limited list of investment strategy types, filers will be able to choose from a ‘‘drop-down’’ menu that
includes all investment strategy categories for Form PF.210 We also are adding, as proposed, categories that have become more commonly pursued by hedge funds since Form PF was adopted, such as categories concerning real estate and digital assets.211 Currently, advisers may report information regarding these strategies in the ‘‘other’’ category, resulting in less robust Form PF data for analysis, especially when such analysis filters results based on strategy.212 The additional categories are designed to improve reporting quality and data comparability across advisers, based on our experience with the form. If an adviser selects the ‘‘other’’ category, the adviser will be required to describe in Question 4 the investment strategy, why the reporting fund would not qualify for any of the other categories, and any other information to explain the selection of ‘‘other.’’ The requirement to provide an explanation in Question 4 is designed to improve data quality by providing additional context to the adviser’s selection of the ‘‘other’’ category and will improve our understanding of the adviser’s strategies, which may present systemic risk. It also is designed to help us ensure that advisers are not misreporting information in the ‘‘other’’ category when they should be reporting information in a different category. In addition to the investment strategy category additions described above that we are adopting as proposed, in a modification from the proposal, we are adopting certain additional strategy categories. We are adopting certain additional strategy categories that are currently included in the available categories in Question 66, which is structured similarly to Question 25 and is used to collect information about private equity fund investment strategies.213 To facilitate completion of Question 25 and alleviate challenges filers may face in choosing among a limited list of investment strategy types, in a modification from the proposal, filers will be able to choose from a dropdown menu that includes all investment strategy categories for Form PF. The inclusion of these additional categories recognizes that funds classified as hedge funds on Form PF may pursue

214We are retaining the existing investment strategies listed in current Question 20 for the following categories: Macro, Active Trading; Macro, Commodity; Macro, Currency; Relative Value, Fixed Income Asset Backed; Relative Value, Fixed Income Convertible Arbitrage; Relative Value, Fixed Income Sovereign; Event Driven, Distressed/Restructuring; Event Driven, Equity Special Situations; and Credit, Long/Short. See Question 25. 215MFA Comment Letter II. 216SIFMA Comment Letter. 217As discussed further below in section II.C.2 of this Release, we are also adopting amendments to Question 32 to add digital assets as a reportable sub-asset class. 218See, e.g., Better Markets Comment Letter; NASAA Comment Letter. 219See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; USCC Comment Letter. 220Comment Letter of Rohan G. et al. (Dec. 8,
2022) (‘‘Rohan G. Comment Letter’’).
221NASAA Comment Letter.
222AFREF Comment Letter I.
223For example, a crypto asset security is not a separate type or category of security for purposes of Federal securities laws based solely on the use of distributed ledger technology. See Supplemental Information and Reopening of Comment Period for Amendments Regarding the Definition of ‘‘Exchange,’’ 88 FR 29448, 29450 (May 5, 2023) (stating ‘‘a crypto asset that is a security is not a separate type or category of security (e.g., NMS stock, corporate bond) for purposes of federal securities laws based solely on the use of DLT.’’). 224Form PF defines ‘‘CCP’’ as central clearing counterparties (or central clearing houses) (for example, CME Clearing, The Depository Trust & Clearing Corporation, Fedwire and LCH Clearnet Limited). See Financial Stability Oversight Council, 2012 Annual Report, Appendix A, available at https://home.treasury.gov/system/files/261/2012- Annual-Report.pdf (concerning the designations); Financial Stability Oversight Council, 2021 Annual Report, p. 14, available at https://home. treasury.gov/system/files/261/FSOC2021Annual Report.pdf (concerning the recommendation). investment strategies more commonly associated with private equity funds and vice versa. This change will allow advisers to categorize their investment strategies more accurately and will improve data quality by reducing the number of strategies that would otherwise be categorized as ‘‘other.’’ For similar reasons, in a modification from the proposal, we are also retaining certain investment strategy categories that are included in the current Form PF, which we had proposed to remove, to provide more granular information and maintain existing data comparability.214 In addition, we are adopting strategy categories for ‘‘Equity Long/Short Market Neutral,’’ ‘‘Equity Long/Short Long Bias,’’ and ‘‘Equity Long/Short Short Bias,’’ and adding separate categories for ‘‘Equity Long Only’’ and ‘‘Credit Long/Short,’’ as discussed further below. One commenter opposed including more granular strategy categories stating that some proposed categories are not clear and may require advisers to make subjective decisions on how to report a fund’s strategy that could result in inconsistent reporting.215 This commenter recommended that the strategy categories be revised to better track industry conventions. The amended strategy categories conform more closely to industry conventions than the current categories and will allow advisers to categorize their strategies more accurately. One commenter opposed the increased granularity in strategy categories, stating they could disclose a fund’s proprietary investment information and present data security concerns.216 The data reported on Form PF, which is filed on a non-public basis, is neither sufficiently detailed nor reported on such a frequent basis as to present risk of misuse or enable reverse engineering of a particular fund’s investment strategy. One commenter recommended reverting the category for the ‘‘Equity Long/Short’’ strategy
from the proposed categories of ‘‘Equity Long Bias’’ and ‘‘Equity Short Bias’’ because of the burden and potential for misreporting of long/short equity funds or portfolios. In a change from the proposal, as recommended by this commenter, we are amending the proposed categories for ‘‘Equity Long Bias’’ and ‘‘Equity Short Bias’’ and replacing with ‘‘Equity Long/Short Market Neutral,’’ ‘‘Equity Long/Short Long Bias,’’ and ‘‘Equity Long/Short Short Bias,’’ and adding separate categories for ‘‘Equity Long Only’’ and ‘‘Credit Long/Short.’’ We believe these additional categories better align the strategy categories with industry conventions and addresses the concern with appropriately reporting the strategy category for long/short equity funds or portfolios. As proposed, digital assets will be included as a reportable investment strategy.217 In a change from the proposal, however, we are not adopting a defined term for ‘‘digital assets’’ in the Glossary of Terms. Some commenters supported adding a defined term for digital assets and emphasized the growing impact of digital assets on the financial sector more broadly and the systemic risk that they may pose.218 Other commenters stated that the proposed definition of digital asset is too broad and may overlap with other existing reporting categories.219 One commenter recommended excluding from the digital asset definition references to any specific types of digital assets because of the evolving terminology used in the sector.220 Another commenter recommended that the references to digital assets be consistent across usages by the SEC.221 This commenter also recommended adopting distinct defined terms for different types of digital assets to differentiate between different asset categories that may present different risks, such as differentiating between established digital assets and newer digital assets. Another commenter recommended distinguishing between so-called ‘‘stablecoins’’ and other digital assets on the basis that stablecoins may be less volatile than other digital assets.222 The Commissions and staff are continuing to consider the issues raised by these comments, and we are not adopting a definition as part of this rule at this time. However, we agree with commenters stating that certain strategies could be categorized as either a digital asset strategy or another listed strategy, and so in those instances the digital asset strategy is duplicative.223 Accordingly, we are including an instruction to Question 25 to specify that, if a particular strategy could be classified as both a digital asset strategy and another strategy, an adviser should report the strategy as the non-digital asset strategy. This is designed to reduce potential confusion and improve data quality. Counterparty exposures. Counterparty exposure informs the Commissions and FSOC of the interconnectedness of hedge funds with the broader financial services industry, which is a critical
part of systemic risk assessment and
investor protection efforts.
Understanding counterparty exposures allows the Commissions and FSOC to assess who may be impacted by a reporting fund’s failure, and which reporting funds may be impacted by a counterparty’s failure. Counterparty exposure concerning central clearing counterparties (‘‘CCPs’’) is of importance to FSOC’s systemic risk assessment efforts as evidenced by the fact that FSOC has designated many CCP institutions as ‘‘systemically important,’’ and recommended that regulators continue to coordinate to evaluate threats from both default and non-default losses associated with CCPs.224 We are adopting, as proposed except as indicated below, amendments to add Question 26 and revise current Questions 22 and 23, which have been redesignated as Questions 27 and 28, to provide better insight into hedge funds’ borrowing and financing arrangements with counterparties, including CCPs. Question 26 requires advisers to hedge funds (other than qualifying hedge funds) to complete a new table (‘‘consolidated counterparty exposure
table’’) concerning exposures that (1) the
reporting fund has to creditors and

225Qualifying hedge funds are not required to complete this table because section 2, as revised, includes similar questions that require additional detail. See discussion at section II.C of this Release. Together the questions in section 1c and similar questions at section 2 will allow the Commissions and FSOC to consolidate information relating to hedge funds’ and qualifying hedge funds’ arrangements with creditors and other counterparties, to support systemic risk assessment and investor protection efforts. We are defining the term ‘‘consolidated counterparty exposure table’’ in the Form PF Glossary of Terms. For hedge funds other than qualifying hedge funds, it means the
section 1c table (at Question 26) that collects the
reporting fund’s borrowing and collateral received and lending and posted collateral aggregated across all creditors and counterparties as of the end of the reporting period. For qualifying hedge funds, it means the section 2 table (at Question 41) that collects the reporting fund’s borrowing and collateral received and lending and posted collateral aggregated across all creditors and counterparties as of the end of the reporting period. 226We are defining ‘‘borrowing and collateral received (B/CR)’’ and ‘‘lending and posted collateral (L/PC)’’ in the Form PF Glossary of Terms. We are adopting these definitions based on our understanding of borrowing and lending and to help ensure data quality and comparability. We also are amending the term ‘‘gross notional value’’ to provide more detail on how to report it to aid advisers completing the consolidated counterparty exposure table. See Form PF Glossary of Terms. 227Advisers will 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 setoff 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. Instructions provide that netting must be used to reflect net cash borrowed from or lent to a counterparty but must not be used to offset securities borrowed and lent against one another, when reporting prime brokerage and repo/reverse repo transactions. These instructions are designed to help ensure data quality and comparability. See Question 26. 228We are adopting, as proposed, a definition of ‘‘ISDA’’ as the International Swaps and Derivatives Association. We are also adopting a definition of ‘‘synthetic short positions’’ in the Form PF Glossary of Terms (see the Form PF Glossary of Terms). We are adopting this definition based on our understanding of the instruments and to help ensure data quality to aid comparability. See supra footnote 161 (discussing the definition of ‘‘synthetic long position’’). 229See, e.g., AIMA/ACC Comment Letter. 230MFA Comment Letter II. 231See infra section IV.C of this Release for discussion of costs and benefits. 232See Question 26 for the consolidated counterparty exposure table. We are also adopting, substantively as proposed, definitions for the following terms related to the consolidated counterparty exposure table: ‘‘cash borrowing entries,’’ ‘‘cash lending entries,’’ ‘‘collateral posted entries,’’ and ‘‘collateral received entries.’’ See Form PF Glossary of Terms. 233See Question 27. 234As discussed more fully above in section II.A.2, we are adopting amendments to include specific questions relating to a reporting fund’s trading vehicle use and a trading vehicle’s position size and risk exposure, as opposed to requiring full separate reporting on Form PF for trading vehicles. This modification will allow us to understand which entity holds
the exposure. 235See Question 27. 236This modification is related to our modification from the proposal to require aggregated reporting and focusing certain questions on trading vehicles, rather than disaggregated reporting as proposed, discussed above in section II.A.2. This modification to the instructions will allow us to understand whether the reporting fund or a trading vehicle holds the exposure. counterparties, and (2) creditors and other counterparties have to the reporting fund.225 Advisers will be required to report the U.S. dollar value of the reporting fund’s ‘‘borrowing and collateral received (B/CR),’’ as well as its ‘‘lending and posted collateral (L/ PC),’’ aggregated across all counterparties, including CCPs, as of the end of the reporting period.226 The form explains what exposures to net.227 Advisers will be required to classify information according to type (e.g., unsecured borrowing, secured borrowing, derivatives cleared by a CCP, and uncleared derivatives) and the governing legal agreement (e.g., a prime brokerage or other brokerage agreement for cash margin and securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, and International Swaps and Derivatives Association (‘‘ISDA’’) master agreement for synthetic long positions, ‘‘synthetic short positions,’’ and derivatives).228 Advisers will be required to report transactions under a master securities loan agreement as secured borrowings. Advisers will be required to check a box if one or more prime brokerage agreements provide for cross-margining of derivatives and secured financing transactions. If advisers check the box, the instructions specify how to report secured financing and derivatives in the consolidated counterparty exposure table. Some commenters opposed more granular disclosure of counterparty exposures, stating that the information is burdensome to obtain and of limited value.229 One commenter stated that reporting on exposures to central clearing counterparties should be on an aggregate basis, rather than on an individual basis, because of the cost to report and limited value of the disaggregated data.230 We continue to believe that this additional information is important to understanding counterparty risk exposure, which is needed for systemic risk assessment because of the potential contagion risks of any particular counterparty failure, and that the value of this information justifies the associated burdens in reporting.231 We believe that the associated burdens are justified because detailed reporting of counterparty risk exposure will provide the Commissions and FSOC with increased transparency into risk profiles and the interconnectedness of hedge funds with the broader financial services industry, which will improve our ability to assess systemic risk and protect investors. We are adopting, largely as proposed, several amendments to Questions 26, 27 and 28, which require advisers to hedge funds to provide
information about the reporting fund’s counterparty exposure, as follows:

We are adopting, as proposed
except as specifically indicated below, amendments to Questions 27 and 28 to provide more detailed instructions for advisers to use to identify the individual counterparties. For both Questions 27 and 28, advisers are instructed to use the calculations from the consolidated counterparty exposure table to identify the counterparties.232 This amendment is designed to help ensure that the Commissions’ and FSOC’s analysis can identify true data differences, without the distraction of methodology differences, which can suggest differences where there are none, and reduce circumstances where advisers misidentify lending relationships. In a modification from the proposal, we are adding an instruction to specify the entity that has the reported exposure.233 This modification will allow us to determine the relevant entity that bears such exposure (e.g., a trading vehicle), which will improve our data quality and our ability to monitor systemic risk.234 The amended instructions provide that if the entity that has the exposure is not the reporting fund, the filer must provide the legal name of the relevant entity and LEI, if available.235 This instruction will allow us to better understand the scope of the reporting fund’s exposure.236 We did not receive specific comment on these amendments to the instructions. These amendments will improve data quality and comparability and reduce adviser burden.
We are adopting, as proposed,
amendments to add Question 27, which requires advisers to identify each creditor or other counterparty (including CCPs) to which the reporting fund owes a certain amount (before posted collateral) equal to or greater than either (1) five percent of net asset value as of the data reporting date or (2) $1 billion. If there are more than five such counterparties, the adviser only will report the five counterparties to which the reporting fund owes the largest dollar amount, before taking into account collateral that the reporting fund posted. If there are fewer than five such counterparties, the adviser only will report the counterparties that meet the threshold. For example, if only three

237MFA Comment Letter II.
238See also supra section II.A.2 of this Release for further discussion of trading vehicle reporting. 239See Question 26. 240See Question 28. 241MFA Comment Letter II. 242See current Questions 22 and 23. 243See Questions 27 and 28. 244See current Questions 22 and 23. counterparties meet the threshold, the adviser would report only three counterparties. This is a change from current Question 22, which required advisers to identify five counterparties to which the reporting fund has the greatest mark-to-market net counterparty credit exposure, regardless of the actual size of the exposure. The adopted threshold is designed to highlight two different, significant, potentially systemic risks: five percent of net asset value represents an amount of borrowing by a reporting fund that, if repayment was required, could be a significant loss of financing that could result in a forced unwind and forced sales from the reporting fund’s portfolio. Additionally, the $1 billion represents an amount that, in the case of a very large fund, may not represent five percent of its net assets, but may be large enough to create stress for certain of its counterparties. One commenter recommended that the additional reporting on counterparties should be limited to a fund’s three largest counterparties to reduce the burden on advisers but provide the Commissions with sufficiently detailed information on counterparty exposure.237 We continue to believe that requiring reporting of the five largest counterparties is appropriate and do not believe that limiting the required reporting to a fund’s three largest counterparties would provide sufficient counterparty risk data for the purposes discussed above. Furthermore, we do not believe that reporting on a fund’s five largest counterparties would be significantly more burdensome than reporting on the three largest counterparties because an adviser could leverage its systems for reporting on the three largest counterparties to provide reporting on the five largest counterparties.

In a modification from the proposal,
advisers will also be required to provide the legal name and the LEI, if any, of the entity that has the exposure. This information will allow us to determine the relevant entity that bears such exposure (e.g., a trading vehicle), which will improve our data quality and our ability to monitor systemic risk.238
In a modification from the proposal,
the instructions to Question 26 provide that an adviser is required to report the reporting fund’s counterparty exposure without netting any trading vehicle exposures if the reporting fund does not guarantee and is not contractually obligated to fulfill those counterparty obligations.239 The instructions will further provide that if the reporting fund guarantees or is obligated to fulfill the trading vehicle’s counterparty obligations, then those obligations must be reported net with the obligations of the reporting fund. These modified instructions are intended to address the aggregated reporting of trading vehicles and improve data quality by isolating only the reporting fund’s counterparty exposures. In a modification from the proposal, the instructions also provide that any affiliated private fund should exclude any exposures that have been reported in the reporting fund’s filing. This modified instruction is intended to reduce filing burdens by eliminating duplicate reporting and to improve data quality.
We are adopting, largely as
proposed except as specified below, amendments to add Question 28, which requires advisers to provide information for counterparties to which the reporting fund has net mark-to-market counterparty credit exposure which is equal to or greater than either (1) five percent of the reporting fund’s net asset value as of the data reporting date or (2) $1 billion, after taking into account collateral received or posted by the reporting fund. If there are more than five such counterparties, the adviser would only report the five to which the reporting fund has the greatest mark-tomarket exposure after taking into account collateral received. If there are fewer than five such counterparties, the adviser only would report the counterparties that meet the threshold. This is a change from current Question 23, which required advisers to identify five counterparties to which the reporting fund has the greatest mark-tomarket net counterparty credit exposure, regardless of the actual size of the exposure. The threshold is designed to represent an amount of lending from a reporting fund that, if a default occurred, could cause a significant loss that could result in a forced unwind and forced sales from the reporting fund’s portfolio. Furthermore, we believe that the five percent threshold level is large enough to constitute a shock to a reporting fund’s net asset value and is an often-used industry metric. The $1 billion threshold represents an amount that, in the case of a very large counterparty, may not represent five percent of its net assets, but may be large enough to create stress for the reporting fund. In a modification from the proposal, we are adding an instruction to specify the entity that has the reported exposure.240 The amended instructions provide that if the entity that has the exposure is not the reporting fund, the filer must provide the legal name of the relevant entity and LEI, if available. This instruction will allow us to better understand the scope of the reporting fund’s exposure. One commenter recommended a threshold of 10 percent of a fund’s net asset value, rather than five percent, for all reporting related to exposures, including counterparty exposure, on the basis that 10 percent of net asset value better represents a magnitude that could have broader systemic effects and a five percent threshold would produce data that is not meaningful for risk assessments.241 We disagree and continue to believe that the impact on a fund’s returns resulting from a counterparty exposure of greater than five percent could be significant enough to present systemic risk and contagion risk. Currently, advisers report exposures that the reporting fund has to counterparties as a percentage of the reporting fund’s net asset value, and advisers report exposures that counterparties have to the reporting fund in U.S. dollars.242 We are adopting, as proposed, an amendment that requires advisers to report both data sets in U.S. dollars for consistency and
comparability.243 We did not receive specific comment on this amendment.
We are adopting, as proposed, an
amendment to require advisers to report the amount of collateral posted, to help inform the Commissions and FSOC of the potential impact of a reporting fund or counterparty default. We did not receive specific comment on this amendment.
We are adopting, as proposed, an
amendment to require advisers to report the counterparty’s LEI, if it has one, to help identify counterparties and more efficiently link data from other data sources that use this identifier. We did not receive specific comment on this amendment.
Advisers will continue to indicate if
a counterparty is affiliated with a major financial institution, as Form PF currently provides.244 If the financial institution is not listed on Form PF, advisers would continue to have the option of selecting ‘‘other’’ and naming the entity in the chart, as Form PF currently provides. However, we are adopting, as proposed, an amendment to require advisers to describe the financial

245See Questions 27 and 28.
246See Questions 42 and 43 in Form PF section 2 and supra footnote 225. 247See current Questions 24 and 25, which we redesignated as Questions 29 and 30. 248See supra footnote 224 and accompanying text (discussing the role of CCPs); 2011 Form PF Adopting Release, supra footnote 4, at n.228, and accompanying text. 249Question 29 specifies that ‘‘value traded’’ is the total value in U.S. dollars of the reporting fund’s transactions in the instrument category and trading mode during the reporting period. Question 29 also specifies that, for derivatives, value traded is the weighted average of the notional amount of aggregate derivatives transactions entered into by the reporting fund during the reporting period, except for the following: (1) for options, advisers would use the delta adjusted notional value, and (2) for interest rate derivatives, advisers would use the ‘‘10-year bond equivalent.’’ This measurement is designed to track standard industry convention. We also are adding the term ‘‘10-year bond equivalent’’ to the Form PF Glossary of Terms, as discussed in
section II.C.2 of this Release. See infra footnote 293.
250See, e.g., MFA Comment Letter II; SIFMA Comment Letter. 251See Private Funds Statistics, supra footnote 5. 252The amendments also explain that ‘‘repo’’ means ‘‘securities in’’ transactions and ‘‘reverse repo’’ means ‘‘securities out’’ transactions. Sponsored repos and sponsored reverse repos apply to transactions in which the reporting fund has been sponsored by a sponsoring member of the Fixed Income Clearing Corporation. We have revised how Form PF explains tri-party repos to help ensure they do not exclude sponsored tri-party repos. Currently, Form PF explains that a tri-party repo applies where repo collateral is held at a custodian (not including a CCP) that acts as a third party agent to both the repo buyer and the repo seller. We are amending Form PF to explain that triparty repo applies where the repo or reverse repo collateral is executed using collateral management and settlement services of a third party that does not act as a CCP. See Form PF Glossary of Terms (amended definitions of ‘‘repo’’ and ‘‘reverse repo’’) and Question 29 instructions (discussing sponsored repos, sponsored reverse repos, and tri-party repos). 253See FICC Sponsored Repo in 2021, by DTCC Connection Staff (Feb. 9, 2021), available at https:// www.dtcc.com/dtcc-connection/articles/2021/ february/09/ficc-sponsored-repo-in-2021. See also DTC: DTCC’s FICC Sponsored Service Reaches New Milestone Clearing Over USD$750 Billion in Daily Sponsored Activity (June 14, 2023), available at https://www.dtcc.com/news/2023/june/14/dtccsficc-sponsored-service-reaches-new-milestone. 254Current Question 24. institution in Question 4. This amendment is designed to help the Commissions and FSOC efficiently and accurately identify the entity, without having to contact advisers individually. We did not receive specific comment on this amendment. Together, the amendments are designed to allow the Commissions and FSOC to identify and align sources of borrowing and lending to identify significant counterparty exposures, so that different styles of borrowing will not be obscured by methodology differences or misidentified lending relationships, based on our experience with the form. Form PF continues to require advisers to report information about individual counterparties that present the greatest exposure to and from hedge funds.245 Under the amended Form PF, however, advisers to qualifying hedge funds will not be required to complete Questions 27 and 28, if they complete certain similar questions in Form PF section 2, to avoid duplication.246 Trading and clearing mechanisms. We are adopting, as proposed, amendments to revise how advisers report information about trading and clearing mechanisms.247 These types of data inform the Commissions and FSOC of the extent of private fund activities that are conducted on and away from regulated exchanges and clearing systems, which is important to understanding systemic risk that could be transmitted through counterparty exposures.248 We are
adopting amendments to require advisers to report (1) the value traded and (2) the value of positions at the end of the reporting period, rather than requiring advisers to report information as a percentage in terms of value and trade volumes, as Form PF currently requires.249 This change is designed to simplify reporting because advisers compute the value before they convert it into a percentage; therefore, this change eliminates an extra calculation for advisers. It also is designed to provide the Commissions and FSOC with data that can be more efficiently compared and aggregated among advisers and other data sources. With data in dollar values, the Commissions and FSOC could more effectively estimate the size, extent, and pace of each hedge fund’s participation in activity on or away from regulated exchanges and clearing systems in relation to total values. Understanding the size of hedge fund participation in activity on and away from regulated exchanges and clearing systems is important to assessing systemic risk, because activity that takes place on regulated exchanges and clearing systems presents different risks than activity that takes places away from regulated exchange and clearing systems. For example, activity that takes place away from a regulated exchange or clearing system may be less transparent, and may present more credit risk, than activity that takes place on a regulated exchange and a clearing system that acts as a central counterparty that guarantees trades. Commenters generally supported amendments that simplify reporting requirements.250 This amendment will reduce burdens on advisers by eliminating an additional calculation and will improve data comparability. We also are adopting amendments to require advisers to report information about trading and clearing mechanisms for transactions in interest rate derivatives separately from other types of derivatives. Form PF data show that interest rate derivatives represent the largest gross investment exposure of qualifying hedge funds.251 Therefore, this amendment is designed to help ensure that the Commissions and FSOC can identify risks of such a significant volume of activity on and away from regulated exchanges and clearing systems, without the data being obscured by other types of derivatives. Advisers will be required to report interest rate derivatives and other types of derivatives, by indicating the estimated amounts that were (1) traded on a regulated exchange or swap execution facility, (2) traded over-thecounter and cleared by a CCP, and (3) traded over the counter or bilaterally transacted (and not cleared by a CCP). These categories reflect our understanding of how derivatives may be traded. Advisers continue to be required to report clearing information concerning repos, but we are adopting amendments to specify how to report sponsored repos and to specify that advisers must report reverse repos with repos.252 According to the Fixed Income Clearing Corporation
(‘‘FICC’’), FICC’s sponsored repo service has expanded in 2017 and 2019, ultimately resulting in daily volume up to $300 million per day as of 2021, with a peak in June 2023 of $750 billion.253 Sponsored repos incorporate a different structure than other repos, in that FICC serves as a counterparty to any sponsored trade and the sponsored member bears responsibility for meeting the obligations of the sponsored member on all transactions that it submits for clearing. Adding a particular reference to sponsored repos ensures that advisers understand how sponsored repos cleared by a CCP should be reported, i.e., as trades cleared at a CCP.254 Therefore, we are providing a separate line item for sponsored repos. The amendment is designed to improve data quality concerning repos and sponsored repos to allow the Commissions and FSOC to conduct more accurate and targeted systemic risk assessments and analysis concerning investor protection efforts. We are also adopting amendments to specify that advisers must report reverse repos with repos. Current Question 24 required advisers to report ‘‘repos,’’ which some advisers could interpret to include reverse repos, while others could interpret as

255See Question 29.
256See revisions to current Question 27 (redesignated as Question 34), as discussed in
section II.C of this Release.
257See, e.g., MFA Comment Letter II; SIFMA Comment Letter. 258Better Markets Comment Letter. 259MFA Comment Letter II. 260We are removing existing section 2a and redesignating existing section 2b as section 2. In connection with the removal of section 2a, we are revising the general instructions to make corresponding changes (including amending Instruction 3 to reflect the removal of section 2a), and are revising current Question 27 (reporting on the value of turnover in certain asset classes in advisers’ hedge funds’ portfolios) and current Question 28 (reporting on the geographical breakdown of investments held by advisers’ hedge funds), moving each of these questions to new
section 2, and redesignating them as Question 34
and Question 35, respectively. Furthermore, in connection with these changes, we are revising the term ‘‘sub-asset class’’ to refer to Question 32, rather than current Question 26, which we have removed. 261See, e.g., MFA Comment Letter II; SIFMA Comment Letter. 262See Better Markets Comment Letter. 263See AIC Comment Letter I. excluding reverse repos. Therefore, this amendment is designed to improve data quality.255 We are also adopting amendments to revise current Question 25, which requires advisers to report the percentage of the reporting fund’s net asset value related to transactions not described in current Question 24, which we have redesignated as Question 29. Advisers will be required to report both the value traded and the position value as of the end of the reporting period for transactions not described in Question
29. These amendments are designed to
make Question 30 data comparable with data from Question 29, so that together Questions 29 and 30 will provide the Commissions and FSOC with a complete data set of the adviser’s trading and clearing mechanisms during the reporting period. We did not receive comments on these proposed amendments. Removing Certain Questions Concerning Hedge Funds. We are removing, as proposed, current Questions 19 and 21 from the form. Current Question 19 required advisers to hedge funds to report whether the hedge fund has a single primary investment strategy or multiple strategies. Question 25, which requires hedge fund advisers to disclose certain information about each investment strategy, will provide this information, as discussed above in this section II.B.3 of the Release. We are also removing current Question 21, which required hedge fund advisers to approximate what percentage of the hedge fund’s net asset value was managed using high frequency trading strategies. We believe the form’s question on portfolio turnover, with the adopted revisions, will better inform our and FSOC’s understanding of the extent of trading by large hedge fund advisers and will better show how larger hedge funds interact with the markets and provide trading liquidity.256 Commenters generally supported amendments that eliminate questions and streamline reporting requirements.257 One commenter stated that, by eliminating the collection of duplicative data, FSOC will be better able to assess systemic risk and the Commissions will be better able to protect investors.258 One commenter supported removing current Question 21 regarding the percentage of a hedge fund’s net asset value managed using high frequency trading strategies.259 We believe that removing certain questions concerning hedge funds will reduce the burdens on these advisers and the adoption of new and revised questions elsewhere on Form PF will improve our understanding of hedge fund operations to allow for systemic risk analysis and investor protection efforts.
C. Amendments Concerning Information
About Hedge Funds Advised by Large
Private Fund Advisers
We are adopting, as proposed except as specifically indicated below, several amendments to section 2, including amendments that remove aggregate reporting currently required in existing
section 2a, which we have found to be
less meaningful for analysis and more burdensome for advisers to report, while preserving and enhancing reporting on a per fund basis in existing section 2b, which we are redesignating as section 2. We are also retaining certain questions currently reported by advisers on an aggregate basis that are important for data analysis and systemic risk assessment but are requiring reporting on a per fund basis. Collectively, the changes to section 2 are designed to provide better insight into the operations and strategies employed by qualifying hedge funds and their advisers and improve data quality and comparability to enable FSOC to monitor systemic risk better and enhance the Commissions’ regulatory programs and investor protection efforts. Furthermore, we are also removing certain other reporting requirements that we have found to be less useful based on our experience with Form PF since adoption, which will help reduce reporting burdens for advisers while preserving the Commissions’ and FSOC’s regulatory oversight.

Removal of Existing Section 2a
Removal of aggregate reporting. We are adopting, as proposed, amendments to eliminate the current requirement for large hedge fund advisers to report certain aggregated information about the hedge funds they manage.260 Based on our experience using data obtained from Form PF since its adoption, we have found that aggregated adviser level information combines funds with different strategies and activities, thus making analyses less meaningful. Aggregation can mask the directional exposures of individual funds (e.g., positions held by one reporting fund may appear to be offset by positions held in a different fund). Additionally, there can be inconsistencies between data currently reported in the aggregate in existing section 2a and on a per fund basis in existing section 2b (e.g., we have observed in some instances that the sum of fund exposures advisers report in current Question 30 on a per fund basis exceeds the aggregate figure reported in current Question 26). Aggregating information across funds may be burdensome for some advisers because certain advisers may keep fund records on different systems and ‘‘rolling-up’’ the data from different sources to report on the form may be complex and time consuming. While advisers may be required to aggregate certain types of investment holdings across their funds for other regulatory purposes (e.g., certain U.S. registered equities for Form 13F reporting), advisers generally do not aggregate all portfolio investment exposure information across their funds other than for Form PF reporting purposes, given that counterparties, markets, and investors tend to interact with funds on an individual basis and not in the aggregate at the adviser level. Commenters generally supported proposed amendments to eliminate questions and streamline reporting requirements.261 One commenter stated that the aggregate reporting of certain positions may make it difficult to understand the operations of hedge funds, especially during periods of market instability.262 Another commenter stated that reporting on an aggregate basis does not result in obscuring material data.263 We continue to believe that eliminating aggregate reporting questions for large hedge fund advisers will lessen the burden on these advisers and focus Form PF reporting on more valuable information for systemic risk assessment purposes. Removing existing

264As noted above, based on experience with Form PF since adoption, we have found information currently gathered in section 2a for the remaining 9% of funds to not be very useful given that it is aggregated data across different funds. 265For example, current Question 26 of section 2a requires large hedge fund advisers to report aggregated information on exposure to different types of assets, which is effectively the same exposure information that will be reported on a per fund basis for each qualifying hedge fund in Question 32 of section 2. 266Additionally, we are moving current Question 31 (base currency) and current Question 49 (withdrawals and redemptions) required only for qualifying hedge funds to section 1b, which is required to be completed by all advisers, and redesignating them as Question 17 and Question 10(d), respectively. We are also adopting amendments to enhance section 1c to require more detailed information about hedge funds’ borrowing and financing arrangements (including posted collateral) and also revising current Question 26 (redesignated Question 32) and current Question 27 (redesignated Question 34) to require end of period reporting of the value of certain instrument categories (including listed equities, interest rate derivatives and other derivatives, and repo/reverse repos). 267 In connection with the amendments, we are also removing current Question 44 because it is duplicative of the new reporting requirements in redesignated Question 32. 268See Form PF Frequently Asked Questions, supra footnote 162, Question 26.2. 269See Form PF Frequently Asked Questions, supra footnote 162, Question 26.5. 270The amendments to the sub-asset class list, as well as other changes to instructions in specific parts of Question 32, are discussed below.
section 2a will not result in a
meaningful deterioration in the information collected because the vast majority of gross hedge fund assets on which advisers currently report in the aggregate in section 2a constitute the gross assets of qualifying hedge funds that will continue to be reported elsewhere in amended section 2. For example, large hedge fund advisers currently report total gross notional exposure for qualifying hedge funds in
section 2b that constituted
approximately 91 percent of the total gross notional exposure reported on an aggregate basis by large hedge fund advisers currently in section 2a as of the same date.264 Furthermore, as discussed in section II.B.3 above, we are also adopting amendments to enhance reporting for all hedge funds in section 1 (particularly section 1c), which will mitigate against potential data gaps that could result from the removal of section 2a, given that advisers currently report information on all their hedge funds in
section 2a but only report on qualifying
hedge funds in section 2b. Additionally, certain information currently collected in section 2a is duplicative of information that will continue to be collected on a per fund basis in the consolidated section 2.265 By continuing to require reporting on a per fund basis, information reported elsewhere in the revised section 2 will allow the Commissions and FSOC to compile aggregate figures, as appropriate.266
2. Amendments to Section 2
We are redesignating existing section 2b as section 2 and adopting, as proposed except as specified below, amendments to section 2 to do the following:
(1) Enhance, expand, and simplify investment exposure reporting; (2) Revise open and large position reporting; (3) Revise borrowing and counterparty exposure reporting; (4) Revise market factor effects reporting; and (5) Make certain other changes designed to streamline and enhance the value of data collected on qualifying hedge funds by: (a) adding reporting on currency exposure, turnover, country, and industry exposure; (b) adding new reporting on CCPs; (c) streamlining risk metric reporting and collecting new information on investment performance by strategy; and (d) enhancing portfolio and financing liquidity reporting. a. Investment Exposure Reporting We are adopting, largely as proposed except as specified below, amendments to: (1) replace the table format of current Question 30, which we are redesignating as Question 32, with narrative instructions and a ‘‘dropdown’’ menu while also revising the instructions to specify how to report certain positions, (2) require reporting based on ‘‘instrument type’’ within subasset classes to identify whether the fund’s investment exposure is achieved through cash or physical investment exposure, through derivatives or other synthetic positions, or indirectly (e.g., through a pooled investment such as an ETF, an investment company, or a private fund), (3) require the calculation of ‘‘adjusted exposure’’ for each subasset class (i.e., require (in addition to value as currently reported) the calculation of ‘‘adjusted exposure’’ for each sub-asset class that allows netting across instrument types representing the same reference asset within each subasset class, and, for fixed income, within a prescribed set of maturity buckets), (4) require uniform interest rate risk measure reporting for sub-asset classes that have interest rate risk (while eliminating the current option to report one of duration, weighted average tenor (WAT), or 10-year equivalents), and (5) amend the list of reportable sub-asset classes consistent with these other changes and collect enhanced information for some asset types.267 Narrative reporting instructions and additional information on how to report. We are adopting, as proposed, amendments to the redesignated Question 32 which will require advisers to use a series of ‘‘drop-down’’ menu selections for each sub-asset class and the applicable information required for each sub-asset class. These changes and new format will simplify and specify how to report the required information in redesignated Question 32. These changes will reduce filer burdens compared to the current format because advisers will only be required to provide information for sub-asset classes in which their qualifying hedge funds hold relevant positions. Furthermore, advisers will be required to report the absolute value of short positions, include positions held in side-pockets as positions of the reporting fund, and include any closed out and OTC forward positions that have not yet expired or matured. We did
not receive comment on these amendments. We are adopting, as proposed, amendments to the instructions to redesignated Question 32 to specify how advisers should classify certain positions. This change is designed to instruct advisers how to classify positions that could be accurately classified in multiple sub-asset classes and is consistent with SEC staff Form PF Frequently Asked Questions.268 Specifically, the instructions require advisers to choose the sub-asset class that describes the position with the highest degree of precision, which will result in more accurate classification of positions and therefore better data, rather than simply noting that any particular position should only be included in a single sub-asset class. We did not receive comment on this instruction. We are also adopting, as proposed, a new instruction that directs advisers to report cash borrowed via reverse repo as the short value of repos and refers advisers to the revised definitions of ‘‘repo’’ and ‘‘reverse repo’’ in the Glossary of Terms, consistent with SEC staff Form PF Frequently Asked Questions.269 This change will help reduce confusion on how to report repo information and help reduce filer errors. We did not receive comment on this instruction or the revised definitions. Finally, the amended instructions also include a revised list of sub-asset classes.270 We are also adopting, as proposed, amendments to require advisers to

271These sub-asset classes include loans (excluding leveraged loans and repo), other structured products, other derivatives, other commodities, digital assets, and investments in other sub-asset classes. 272Some filers report significant exposure to these ‘‘other’’ categories. For example, the public Private Fund Statistics Q1 2023 (Table 46) shows about $153 billion in aggregate QHF GNE reported as ‘‘other loans,’’ more than other asset categories of interest, such as ABS/structured products (ex. MBS but excluding CLO/CDOs) (about $56 billion) and convertible bonds ($122 billion) as of Q1 2023. See Private Fund Statistics Q1 2023, supra footnote 5. 273See MFA Comment Letter II. 274See Form PF Glossary of Terms (definition of ‘‘instrument type’’). See also Question 32(a). Subasset classes that require reporting by instrument type (see Question 32(a)(1)) generally include: listed equity issued by financial institutions; American Depositary Receipts; other single name listed equity; indices on listed equity; other listed equity; unlisted equity issued by financial institutions; other unlisted equity; investment grade corporate bonds issued by financial institutions (other than convertible bonds); investment grade corporate bonds not issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds issued by financial institutions (other than convertible bonds); non-investment grade corporate bonds not issued by financial institutions (other than convertible bonds); investment grade convertible bonds issued by financial institutions; investment grade convertible bonds not issued by financial institutions; noninvestment grade convertible bonds issued by financial institutions; non-investment grade convertible bonds not issued by financial institutions; U.S. Treasury bills; U.S. Treasury notes and bonds; agency securities; GSE bonds; sovereign bonds issued by G10 countries other than the U.S; other sovereign bonds (including supranational bonds); U.S. state and local bonds; MBS; ABCP; CDO (senior or higher); CDO (mezzanine); CDO (junior equity); CLO (senior or higher); CLO (mezzanine); CLO (junior equity); other ABS; other structured products; U.S. dollar interest rate derivatives; non-U.S. currency interest rate derivatives; foreign exchange derivatives; correlation derivatives; inflation derivatives; volatility derivatives; variance derivatives; other derivatives; agricultural commodities; crude oil commodities; natural gas commodities; power and other energy commodities; gold commodities; other (non-gold) precious metal commodities; base metal commodities; other commodities; real estate; digital assets; investments in other sub-asset classes. These sub-asset classes are reported at the sub-asset class level and not by instrument type (see Question 32(a)(2)): leveraged loans; loans (excluding leveraged loans and repo); overnight repo; term repo (other than overnight); open repo; sovereign single name CDS;
financial institution single name CDS; other single name CDS; index CDS; exotic CDS; U.S. currency holdings; non-U.S. currency holdings; certificates of deposit; other deposits; money market funds; other cash and cash equivalents (excluding bank deposits, certificates of deposit, and money market funds). We are also amending the Glossary of Terms to (i) amend the definitions of agency securities, convertible bonds, corporate bonds, GSE bonds, leveraged loans, sovereign bonds, and U.S. Treasury securities, in each case to include positions held indirectly through another entity, (ii) remove the definitions of crude oil, derivative exposures to unlisted equities, gold, natural gas, and power, and (iii) amend the definitions of commodities and other commodities. See Form PF Glossary of Terms. Additionally, for foreign exchange derivatives, advisers will be required to report foreign exchange swaps and currency swaps separately, and in determining dollar value, will not net long and short positions within sub-asset classes or instrument types (with the exception of spot foreign exchange longs and shorts). 275Advisers are required to report the dollar value of long and short positions for the sub-asset class (and not instrument type) for the following sub-asset classes: leveraged loans, loans (excluding leveraged loans and repo); overnight repo, term repo (other than overnight), open repo, sovereign single name CDS, financial institution single name CDS, other single name CDS, index CDS, exotic CDS, U.S. currency holdings, non-U.S. currency holdings, certificates of deposit, other deposits, money market funds, and other cash and cash equivalents (excluding bank deposits, certificates of deposit, and money market funds). See Question 32(a). 276The proposed instructions would limit the ‘‘best represents’’ standard to reporting of positions that represent both less than (1) 5% of the reporting fund’s net asset value and (2) $1 billion. The adopted instruction removes the proposed position size condition and applies the ‘‘best represents’’ standard to all indirectly held exposures. provide additional explanatory information in situations where a qualifying hedge fund reports long or short dollar value exposure to ‘‘catchall’’ sub-asset class categories 271 equal to or exceeding either (1) five percent of the reporting fund’s net asset value or (2) $1 billion.272 We have observed that some funds report significant amounts of assets in these ‘‘catch-all’’ categories. This new explanatory requirement will inform our understanding of significant exposure reported in these ‘‘other’’ subasset classes better, which is important for assessing systemic risk. One commenter recommended a threshold of 10 percent of a fund’s net asset value, rather than five percent, for all reporting related to exposures, including to ‘‘catch-all’’ sub-asset classes.273 We chose the five percent threshold level because it represents a level of exposure that is material to a fund’s
investment performance. We also continue to believe that the impact on a fund’s returns resulting from an exposure of greater than five percent of its net asset value could be significant enough to present broader systemic risk and contagion risk. The $1 billion threshold represents a level for large funds (e.g., those with net asset values in excess of $20 billion) that is large enough so as to have potential systemic risk implications even if the position is less than five percent of the fund’s net asset value. Separate reporting for positions held physically, synthetically or through derivatives and indirect exposure. We are adopting, as proposed except as specifically indicated below, amendments to require advisers to report the dollar value of a qualifying hedge fund’s long positions and the dollar value of the fund’s short positions in certain sub-asset classes by ‘‘instrument type’’ (i.e., cash/physical instruments, futures, forwards, swaps, listed options, unlisted options, and other derivative products, ETFs, exchange traded products, U.S. registered investment companies (excluding ETFs and money market funds), non-U.S. registered investment companies, internal private fund or external private fund, commodity pool, or other company, fund, or entity).274 For each month of the reporting period, advisers will be required to report long and short positions in these sub-asset classes held physically, synthetically or through derivatives, and indirectly through certain entities, separately in order to provide the Commissions and FSOC sufficient information to understand, monitor, and assess qualifying hedge funds’ exposures to certain types of assets and investment products. The current instructions (and the associated definitions) require advisers to combine exposures held physically, synthetically, or through derivatives when reporting certain fixed income and other sub-asset classes.275 Even when certain sub-asset classes currently separate physical and derivative exposures (e.g., listed equities), all derivative instrument types are currently combined regardless of each derivative instrument type’s risk characteristics. Furthermore, the form’s current instructions for reporting investment exposure obtained through funds or other entities are different. For example, the current instructions require advisers to categorize ETFs based on the assets the ETF holds, while other registered investment companies are reported as a separate sub-asset class and may obscure the extent of a reporting fund’s exposure to particular sub-asset classes. As proposed, in determining the reporting fund’s exposure to sub-asset classes for positions held indirectly through entities, advisers are permitted to allocate the position among sub-asset classes and instrument types using reasonable estimates consistent with their internal methodologies and conventions of service providers. In a modification from the proposal, advisers are also permitted to 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 the adviser would allocate the exposure of the indirectly held entity more granularly under its own internal methodologies and conventions of its service providers.276 Some commenters stated that obtaining information about a fund’s indirect exposures through investments in other funds could be difficult or

277See, e.g., MFA Comment Letter II; SIFMA Comment Letter. 278MFA Comment Letter II. 279See AFREF Comment Letter I; Better Markets Comment Letter. 280AFREF Comment Letter I. 281See Better Markets Comment Letter. 282AFREF Comment Letter I. 283SIFMA Comment Letter. 284MFA Comment Letter II. 285Question 32(b). See also Form PF Glossary of Terms (definition of ‘‘adjusted exposure’’). 286 In connection with this amendment, as proposed, we are also defining ‘‘exchange traded product’’ as ‘‘an investment traded on a stock exchange that invests in underlying securities or assets, such as an ETF or exchange traded note.’’ See Form PF Glossary of Terms. Given that the exchange traded product market has grown significantly since Form PF was first adopted, we believe that activity in exchange traded products may present different systemic risks than traditional listed equities and other instruments that might be used to obtain exposure to underlying assets owned within an ETF. Furthermore, we believe added insight into whether the underlying sub-asset class exposure is held through an ETF will enhance FSOC’s analysis of systemic risk associated with this asset class. 287See Form PF Glossary of Terms (definition of ‘‘investments in non-U.S. registered investment companies’’). Furthermore, we are also removing the term ‘‘U.S. registered investment companies’’ from the Form PF Glossary of Terms. 288See Form PF Glossary of Terms. We are adopting, as proposed, a definition of ‘‘reference asset’’ as a security or other investment asset to which a fund is exposed through direct ownership (i.e., a physical or cash position), synthetically (i.e. the subject of a derivative or similar instrument held by the fund), or indirect ownership (e.g., through ETFs, other exchange traded products, U.S. registered investment companies, non-U.S. registered investment companies, internal private funds, external private funds, commodity pools, or other companies, funds, or entities). An adviser may identify a reporting fund’s reference assets according to its internal methodologies and the conventions of service providers, provided that these methodologies and conventions are consistently applied, do not conflict with any instructions or guidance relating to Form PF and reported information is consistent with information it reports internally and to investors and Continued burdensome.277 One commenter recommended allowing an adviser to select the sub-asset class that ‘‘best represents’’ the position.278 We believe that adopting a ‘‘best represents’’ standard, regardless of the position size, balances the importance of obtaining more accurate and granular data with a reporting standard that is less burdensome for advisers than the proposed standard. The increased granularity in reporting will allow for a better understanding of the activities of qualifying hedge funds and increase the utility of data collected for purposes of understanding the role qualifying hedge funds play in
certain market events. For example, when monitoring funds’ activities during recent market events like the March 2020 COVID–19 turmoil, the existing aggregation of U.S. treasury securities with related derivatives did not reflect the role hedge funds played in the U.S treasury market. Some commenters supported the proposed amendments to require hedge fund advisers to report their long and short holdings on a disaggregated basis.279 One commenter stated that requiring private fund advisers to report both long and short positions will allow FSOC to have a complete picture of the risk exposure across private funds.280 Another commenter supported disaggregated reporting of physical and synthetically held positions, stating that allowing advisers to aggregate their positions between physically held and synthetically held positions can make it difficult to understand the impact of hedge fund activity especially during periods of market instability.281 We agree that the existing reporting, which allows advisers to aggregate their physical and synthetically held positions, as well as long and short exposures, obscures our understanding of the fund’s overall exposure because of the risk differences between such holdings, which reduces our ability to effectively assess systemic risk. One commenter stated that more granular disclosure of long and short holdings can help ensure that FSOC has a complete understanding of systemic risk across private funds.282 Another commenter opposed all proposed requirements to report additional monthly data, including the proposed requirement to provide additional monthly exposure reporting, on the basis that such monthly data would be costly to produce and would not be more beneficial than the existing quarterly basis reporting requirements.283 Obtaining more granular data on a hedge fund’s long and short positions is needed in order to provide the Commissions and FSOC sufficient information to understand, monitor, and assess qualifying hedge funds’ exposures and assess systemic risk. Further, receiving this data on a monthly basis, rather than only as of quarter end, will give us better insight into trends that may indicate systemic risk. One commenter recommended that the Commissions define ‘‘synthetic long position’’ and ‘‘synthetic short position’’ and include a threshold for when a position is considered deep-in-themoney.284 As discussed more fully in
section II.B.2 above, we are adopting
definitions for ‘‘synthetic long position’’ and ‘‘synthetic short position’’ in the Glossary of Terms and specifying as an example when a position is considered deep-in-the-money. Adjusted exposure reporting. While we will continue to require advisers to report ‘‘gross’’ long and short exposure, i.e., the dollar value of a qualifying hedge fund’s long positions and dollar value of the fund’s short positions for various sub-asset classes (and by instrument type for certain sub-asset classes as explained above), we are adopting, as proposed, amendments to require advisers to also report the ‘‘adjusted’’ exposure of long and short positions for each sub-asset class in which a fund has a reportable position.285 Based on our experience, we have found that gross exposure reporting, while useful because the information indicates fund size on a comparable basis among funds, may inflate some qualifying hedge funds’ reported long and short exposures in a way that does not properly represent the economic exposure and market risk of a reporting fund’s portfolio. For example, when only looking at gross exposure, certain relative value strategies that are designed to match long and short exposures in the same or similar (highly correlated) assets may reflect very high leverage, but not have the same level of risk as portfolios with less leverage but that are more exposed directionally. Furthermore, some advisers, for purposes of managing risk, do not view their portfolio on a ‘‘gross’’ basis because they do not believe it provides a meaningful measure of risk. ‘‘Gross’’ exposure reporting by itself presents an incomplete picture that represents a significant data gap for purposes of systemic risk analysis. Advisers will be required to determine adjusted exposure for each ‘‘sub-asset’’ using a specified methodology that is designed to facilitate comparisons of the reported data, as proposed. Specifically, advisers will be required to calculate and report ‘‘adjusted exposure’’ of long and short positions for each sub-asset class by netting (1) positions that have the same underlying ‘‘reference asset’’ across ‘‘instrument type’’ (i.e., cash/physical instruments, futures, forwards, swaps, listed options, unlisted options, other derivative products, and positions held indirectly through another entity such as ETFs, other exchange traded products,286 U.S. registered investment companies (excluding ETFs and money market funds), investments in non-U.S. registered investment companies,287 other private funds, commodity pools, or other companies, funds or entities)and (2) fixed income positions that fall within certain predefined maturity buckets (i.e., 0 to 1 year, 1 to 2 year, 2 to 5 year, 5 to 10 year, 10 to 15 year, 15 to 20 year, and 20+ year).288

counterparties. In a change from the proposal, we are modifying the defined maturity buckets to remove the 10 -year and 15-year buckets to reduce potential confusion. 289MFA Comment Letter II. 290SIFMA Comment Letter. 291See infra section IV.C of this Release for discussion of costs and benefits. 292 Id. See also infra section V of this Release for discussion of our increased cost estimates. 293As discussed further below in section II.D of this Release, we are adopting, with a modification from the proposal, a new glossary definition of 10- year bond equivalent to explain that the term 10- year bond equivalent means ‘‘the equivalent position in a 10-year zero coupon bond, expressed in U.S. dollars.’’ See Form PF Glossary of Terms (definition of ‘‘10-year bond equivalent’’). We are also making a conforming change to the definition of interest rate derivative to use this new definition. 294We are adopting amendments to require advisers to report the 10-year zero coupon bond equivalent for the following sub-asset classes:
investment grade corporate bonds issued by financial institutions (other than convertible bonds); investment grade corporate bonds not issued by financial institutions (other than convertible bonds); 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; nonU.S. currency interest rate derivatives; and certificates of deposit. See Question 32(c). 295See Question 32(c). 296Based on analysis of Form PF data 2022Q4, 2021Q4, and 2020Q4. 297See AIMA/ACC Comment Letter. For purposes of determining ‘‘adjusted exposure,’’ a fund may use cross counterparty netting consistent with information reported by the fund internally and to current and prospective investors, because we believe it better reflects the fund’s economic exposure. For example, a fund with market-neutral trades may lose substantial amounts of capital in a period of market stress if prices diverge, regardless of the identities of the counterparties. Additionally, counterparty identification may be ambiguous for some positions, such as when a fund simply has a long position in an equity security traded over an exchange or purchased from a broker without the use of any financing. Finally, if a fund does not net across all instrument types in monitoring the economic exposure of the fund’s investment positions for purposes of internal reporting and reporting to investors, we will (in addition to adjusted exposure determined as specified above) also require the adviser to report adjusted exposure based on an adviser’s internal methodology and describe in Question 4 how the adviser’s internal methodology differs from the standard approach in Question 32. This additional information will provide better insight into how these advisers assess the economic exposure of their reporting fund’s portfolio, while still ensuring an adviser provides information that supports our and FSOC’s ability to aggregate and compare the data across funds. One commenter stated that the prescribed methodology for calculating netted exposure
would be burdensome and that the Commissions underestimated the costs associated with this calculation.289 One commenter stated that requiring monthly sub-asset class information, including adjusted exposure data, would not facilitate systemic risk monitoring because existing quarterly reporting provides the Commissions with similar information.290 Receiving exposure data on a monthly basis will allow us to better understand interim changes in exposures that may be relevant to systemic risk assessment that are not visible from the existing quarterly data.291 As discussed more fully in
section IV.C below, identifying sub-asset
classes will not be significantly burdensome because advisers will generally only need to make this determination once, with ongoing monitoring (and any reclassifications) relatively limited.292 Further, because a fund may use cross counterparty netting consistent with information reported by the fund internally for purposes of determining adjusted exposure, the adjusted exposure reporting should not be significantly burdensome, particularly for funds using common aggregator protocols, because a fund can leverage its existing internal reporting methodology. Require advisers to report a uniform interest rate risk measure. We are adopting, as proposed, amendments to require advisers to report the 10-year zero coupon bond equivalent 293 for all sub-asset classes with interest rate risk (by instrument type if applicable) 294 rather than providing advisers with a choice to report duration, weighted average tenor (‘‘WAT’’), or an unspecified 10-year bond equivalent.295 Advisers will be required to report the 10-year zero coupon bond equivalent of the dollar value of long and short positions in each sub-asset class (and by instrument type, if applicable) as well as for the adjusted exposure of long and short exposures for each sub-asset class for each monthly period. The amendment will improve reporting and allow us to obtain better data, because the current approach, while providing optionality, makes it difficult to compare and aggregate data reported by different funds effectively. Furthermore, the 10-year zero coupon bond equivalent is appropriate because it is commonly used by hedge fund advisers and will be a better and more consistent measure of interest rate risk than duration, WAT, or the current unspecified 10-year equivalent. WAT may be an incomplete measure because it does not always reflect the presence of options embedded in bonds or differing sensitivity to interest rate changes in circumstances where base currencies are subject to a higher or lower risk-free rate, and it also may not be meaningful for interest rate derivative products. Duration can tend toward infinity for certain derivatives and so can provide little meaning or utility. In addition, methodologies for calculations of duration and a 10-year equivalent (if not standardized to a zero coupon bond) may vary, which can result in variability among calculations, and requiring use of the 10-year zero coupon bond equivalent will provide comparability across the reported data. Therefore, eliminating additional reporting options and requiring the 10- year zero coupon bond equivalent will provide a common denominator across funds that advisers will be able to easily calculate and that will provide a consistent and comparable metric. In this regard, the requirement should not create an additional burden for advisers that currently report based on a 10-year equivalent for these types of assets, which we estimate represents roughly 42 percent of the total number of advisers responding
to Question 32.296 One commenter stated that because the definition of ‘‘10-year bond equivalent’’ specifies the expression in the fund’s base currency, for transactions not in the fund’s base currency, there would need to be a foreign exchange conversion into the base currency and an additional conversion into U.S. dollars for certain questions, which would be burdensome.297 As discussed further below in section II.D below, we are modifying the ‘‘10-year bond equivalent’’ definition to reference U.S. dollars, rather than the reporting fund’s base currency. Therefore, an adviser in this scenario would not be required to

298 In connection with these amendments, we are amending the definitions of ‘‘listed equity’’ and ‘‘unlisted equity’’ to reflect that filers should include synthetic or derivative exposure as well as positions held indirectly through another entity (e.g., through an ETF, exchange traded product, U.S.-registered investment companies, non-U.S. registered investment companies, internal private fund or external private fund, commodity pool, or other company, fund, or entity). Additionally, we are amending the definition of ‘‘listed equity derivatives’’ to include derivatives relating to ADRs, and other derivatives relating to indices on listed equities. See Form PF Glossary of Terms (definition of ‘‘listed equity,’’ ‘‘unlisted equity,’’ and ‘‘listed equity derivatives’’). 299See SIFMA Comment Letter. 300For example, Forms 13F and 13H do not collect fund-specific information, and only a small sub-set of Form PF filers (commodity pool operators and commodity trading advisors) are required to file Form CPO–PQR. As discussed above, we have identified information gaps in the data reported on the existing Form PF based on our experience. 301See SIFMA Comment Letter. See also infra at
section IV.C of this Release for discussion of costs
and benefits.
302See SIFMA Comment Letter.
303See current Question 26 and Question 30, which required reporting on listed equities but did not separate out single names from indices. Investments in single name equities involve materially more idiosyncratic risks, such as the potential for more extreme price movements that are not correlated to other market movements, than investments in indices, and therefore we have adopted amendments to require separate reporting. 304A short squeeze is a type of manipulation in which prices are manipulated upward to force short sellers out of their positions, as short sellers are required by brokers to maintain margin above a certain level, and as prices rise short sellers must add cash to their margin accounts or close out their short positions. Single stock shorts often account for a higher portion of the available float and/or often have a larger period of days to cover (i.e., the number of trading days to cover a short) than do shorts on ETFs. As a result, a potential need to cover a short could generally have a more pronounced effect on single stocks. 305AIMA/ACC Comment Letter. 306MFA Comment Letter II. perform any additional exchange conversions. Amended list of sub-asset classes. We are adopting, as proposed, amendments to the list of reportable sub-asset classes in Question 32 in two respects. First, some sub-asset classes are consolidated and tailored to reflect the adopted reporting of the dollar value of long and short positions by instrument type. For example, sub-asset classes for listed and unlisted equity derivatives are combined with sub-asset classes for listed and unlisted equities, and similarly, sub-asset classes for physical commodities and commodity derivatives are combined.298 Likewise, some current sub-asset classes will now be reflected as instrument types, such as internal private funds, external private funds, and registered investment companies (now separated into ETFs, U.S. registered investment companies, and non-U.S. registered investment companies). Second, we are adding new sub-asset classes to provide additional information to help the Commissions and FSOC better understand qualifying hedge funds’ investment exposures to certain asset types and reduce reporting in certain ‘‘catch-all’’ sub-asset classes, such as ‘‘other listed equity.’’ We are also adopting amendments to:
(1) expand equity exposure reporting to add sub-asset classes for (a) listed equity securities (including new sub-asset classes for other single name listed equities and indices on listed equities), and (b) American depository receipts (‘‘ADRs’’); (2) add additional sub-asset classes for reporting ‘‘repo’’ and ‘‘reverse repo’’ positions, based on term; (3) add additional sub-asset classes for asset backed securities (‘‘ABS’’) and other structured products; (4) add new sub-asset classes and revise existing sub-asset classes that capture certain derivatives, including certain credit derivatives and volatility and variance derivatives; (5) specify sub-asset classes pertaining to investments in cash and cash equivalents and commodities; and (6) add a new sub-asset class for digital assets. One commenter opposed requiring more detailed disclosure of a fund’s holdings and recommended that the Commissions leverage existing data sources, such as existing Form PF, Form 13F and 13H, and CFTC Form CPO– PQR reporting, to obtain more granular information about a fund’s holdings.299 We disagree that existing data sources can provide the amended fund-specific sub-asset class information. As discussed above, we have identified information gaps in the data reported on the existing Form PF based on our experience. From these data sets, we are unable to determine the full extent of a fund’s exposure because the different types of exposures are combined, despite different exposures having differing risk characteristics.300 This commenter also stated that the requirement to report more granular sub-asset class data would be overly burdensome and costly to report and that we should use other data sources for this information.301 These amendments to the sub-asset class list more accurately reflect a fund’s holding than other data sources and current Form PF reporting, which does not provide this level of specificity. Identifying sub-asset classes will not be significantly burdensome to report because advisers will generally only have to make this determination once and their ongoing monitoring (and any reclassifications) should be relatively limited. This commenter also raised confidentiality concerns and stated that the detailed sub-asset class data could enable a person with access to the data to recreate a private fund’s investment strategy.302 The asset class level data reported on Form PF, which is filed on a non-public basis, is not sufficiently detailed or reported on a basis frequent enough to present significant risk of misuse or enable reverse engineering of a particular fund’s investment strategy. Listed equity securities. We are adding, as proposed, new subasset classes for certain categories of listed equity securities, specifically, for other single name listed equities and indices on listed equities. This change will provide more granularity to reporting on listed equities 303 given the potential impact of these new sub-asset classes from an overall
systemic risk perspective, as the form currently only requires advisers to single out and report listed equities issued by financial institutions with all other listed equities reported in a catch-all category ‘‘other listed equity.’’ Identifying single equities separately from equity index exposure can help distinguish broadly diversified portfolios from those that could be more concentrated and also help to identify what strategies are being pursued by multi-strategy funds. Additionally, single equity positions may be more vulnerable to short squeezes than index positions, so this level of granularity will help to better identify entities that may be affected during a short squeeze event.304 One commenter stated that the proposed instructions do not specify whether the reporting fund’s listed equity security holdings should include both the reporting fund’s holding in shares of an ETF as well as the listed equity holdings of the same ETF.305 Another commenter stated that the proposed question is unclear how advisers should report indirect holdings, such as positions held through entities such as ETFs, and recommended permitting advisers to allocate its exposures using any reasonable methodology.306 In consideration of this comment, we are adopting instructions to Question 32 to provide that in determining a reporting fund’s exposure to sub-asset classes for positions held indirectly through entities, such as through an ETF, the adviser may allocate the position among sub-asset classes and instrument types using reasonable estimates consistent with the adviser’s internal methodologies and conventions of service providers, and the adviser may

307See Question 32.
308As noted above, where applicable, we are adopting amendments to align Form PF with Form CPO–PQR to (1) enable filers that currently are required to file both Form PF and Form CPO–PQR independently to compile and use similar data in completing both forms, and (2) enable users of the reported data (e.g., FSOC and other regulatory agencies) to (i) link data for funds that file both forms, and (ii) aggregate and compare data across data sets more easily. 309See, e.g., 2021 Financial Stability Oversight Council Annual Report at 12 and 159, available at https://home.treasury.gov/system/files/261/ FSOC2021AnnualReport.pdf. 310See Form PF Glossary of Terms (definitions of ‘‘CDO’’ and ‘‘CLO’’). We are separating the current definition of ‘‘CDO/CLO’’ into a separate definition for each financial product. The definition of CDO only includes collateralized debt obligations (including cash flow and synthetic) and the definition of CLO includes collateralized loan obligations (including cash flow and synthetic) other than MBS and does not include any positions held via CDS. See also supra footnote 308 (regarding the alignment of Form PF with Form CPO–PQR). 311NASAA Comment Letter. 312See United States Government Accountability Office, Report to Agency Officials, ‘‘FINANCIAL STABILITY Agencies Have Not Found Leveraged Lending to Significantly Threaten Stability but Remain Cautious Amid Pandemic,’’ Dec. 2020, available at https://www.gao.gov/assets/gao-21- 167.pdf. 313See also Form PF Glossary of Terms (revised definition of ‘‘single name CDS’’). We are also removing ‘‘credit derivatives’’ and ‘‘risk limiting conditions’’ as defined terms because they are no longer used in the form. 314The CFTC’s Form CPO–PQR also requests information on single name financial CDS, and the revised IOSCO Global Fund Investment Survey also collects this information. 315 In connection with these changes, we are also adopting changes to the definition of ‘‘foreign exchange derivative’’ to improve data quality with respect to how advisers report foreign exchange derivative exposure. We are revising the definition to (1) now include any derivative whose underlying asset is a currency other than the base currency of the reporting fund, (2) provide additional information on the treatment of cross-foreign exchange versus regular foreign exchange, and (3) require reporting of both legs of cross currency foreign exchange derivatives to reflect exposures from such transactions. See Form PF Glossary of Terms (revised definition of ‘‘foreign exchange derivative’’). 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 the adviser would allocate the exposure of the indirectly held entity more granularly under the adviser’s own internal methodologies and conventions of its service providers.307 ADRs. We are adding, as proposed, a new sub-asset class for ADRs in line
with how ADRs are reported on the CFTC’s Form CPO–PQR.308 While ADRs are purchased in U.S. dollars, these instruments have currency risk because the underlying security is priced in its home country currency, and the ADR’s U.S. dollar price fluctuates one-for-one with each movement in the home currency. Accordingly, advisers will be required to report ADRs separately from other listed equity instruments. This requirement also will help increase the utility of the information reported under the ‘‘other listed equity’’ sub-asset class on Form PF, which requires reporting of multiple other sub-asset classes. We did not receive comment on the proposed addition of an ADR sub-asset class. Repurchase Agreements (‘‘Repos’’). We are adding, as proposed, additional sub-asset classes to the ‘‘repos’’ section of Question 32 to capture a breakdown of repos by term (e.g., overnight, other than overnight, and open term). Hedge funds often borrow cash overnight and pledge securities such as government bonds as collateral. Collecting more information on the different types of repos held by qualifying hedge funds will allow the Commissions and FSOC to understand better the role of these funds in potentially amplifying funding stresses and the risks associated with short-term funding for certain trading strategies, particularly in light of the issues the repo market experienced during the fall of 2019 and in March 2020.309 We did not receive comment on adding subasset classes for repos. Asset Backed Securities (‘‘ABS’’)/ structured products. As proposed, we are separating the collateralized debt obligation (‘‘CDO’’) and collateralized loan obligation (‘‘CLO’’) sub-asset class in Question 32 into two separate sub-asset classes (one for CDOs and one for CLOs), and further breaking out each of these new sub-asset classes based on the seniority of the instrument (e.g., senior, mezzanine, and junior tranches) similar to the reporting approach on the CFTC’s Form CPO– PQR.310 The changes are designed to provide separate reporting for CDOs and CLOs, which is important because CDOs and CLOs are fundamentally different financial products and the current combined reporting obscures the specific attributes of each product. One commenter supported the disclosure of CDOs and CLOs as separate sub-asset classes because of the different investment and risk characteristics of these assets and the systemic risks associated with both asset classes.311 We agree. Furthermore, given the recent focus on CLOs by FSOC312 in monitoring systemic risk, having detailed product specific data for CDOs and CLOs is justified due to the potential value this information can provide for systemic risk monitoring. Credit, Foreign Exchange, Interest Rate, and Other Derivatives. We are revising, as proposed, the credit, foreign exchange, and interest rate and other derivative sub-asset classes to provide more detailed reporting. For example, with respect to credit derivatives, the amended subasset
classes will collect more detail on single name CDS exposure to capture better information on risk signals from these instruments by adding separate sub-asset classes for sovereign single name CDS, financial institution single name CDS, and other single name CDS (to capture any credit derivatives that do not fall into the other enumerated CDS categories).313 An increase in single name CDS exposure may signify a bet against an entity or the market more generally, which may have significant systemic risk implications, particularly with respect to concentrated singleissuer positions that can drive more extreme price movements and face difficulties in the unwinding process, and for counterparties on the other side of highly leveraged trades when the market moves against these positions.314 Furthermore, single name CDS exposure can represent important, concentrated risk positions for a fund, similar to large single equity positions, which can be connected to market contagion events, and have systemic risk and market liquidity implications. Similarly, we are adding more detailed reporting for foreign exchange derivatives by adding separate sub-asset classes for foreign exchange swaps and currency swaps consistent with reporting to the Bank for International Settlements (‘‘BIS’’), while removing the less useful requirement of separate reporting for foreign exchange derivatives used for investment and hedging, as we have found the data of limited value because we do not believe that information is reported consistently across filers.315 Adding separate reporting for different types of foreign exchange instruments (e.g., foreign exchange swaps and currency swaps) is appropriate because they have materially different risk characteristics, including different maturity profiles, and may be executed under different documentation which could affect their ability to be netted against one another. We refer to the BIS framework because we understand that it reflects a commonly accepted industry approach for classifying these instruments. Furthermore, given the significance of hedge funds’ exposure to these instruments, more granular information will better inform our understanding of systemic risk issues that may arise from

316 In connection with these amendments, we are also adding new definitions to the Glossary of Terms for ‘‘correlation derivative,’’ ‘‘inflation derivative,’’ ‘‘volatility derivative,’’ and ‘‘variance derivative.’’ See Form PF Glossary of Terms. 317See SIFMA Comment Letter. 318Some advisers include treasuries in their reporting of ‘‘cash’’ because it was part of the current definition of ‘‘cash and cash equivalents.’’ We are revising the definition of ‘‘cash and cash equivalents’’ to reflect that treasuries should not be included in the ‘‘cash and cash equivalents’’ subasset class. In connection with this change we also are adding a new separate definition for ‘‘government securities.’’ See Form PF Glossary of Terms (revised definition of ‘‘cash and cash equivalents’’ and definition of ‘‘government securities’’). See also discussion at section II.B.2 of this Release regarding the revised definitions of cash and cash equivalents and government securities. 319Additionally, in many cases we will be able to obtain more information about all internal fund investments (including whether a fund looks like a cash management vehicle) through the new information the amendments require to be reported in section 1b. See discussion at section II.B.2 of this Release. 320See AFREF Comment Letter I. 321MFA Comment Letter II. 322See, e.g., Group of Thirty Working Group on Treasury Market Liquidity, U.S. Treasury Markets:
Steps Toward Increased Resilience, (2021), available at https://group30.org/publications/ detail/4950 (discussing recent market stress events in the U.S. Treasury securities market). 323For example, we believe the addition of a base metal commodities sub-asset class will allow for identification of large players in the base metals market (such as those impacted by the Mar. 2022 ‘‘nickel squeeze’’). During the Mar. 2022 ‘‘nickel squeeze,’’ the price of nickel rose unusually steeply and rapidly in response to commodity price increases caused by Russia’s invasion of Ukraine, and this event, coupled with one or more market participants holding large short positions, caused prices to increase in an extreme manner (e.g., a oneday increase of 63% for the generic first futures contract on Mar. 7, 2022). See, e.g., Shabalala, Zandi, Nickel booms on short squeeze while other metals retreat, Reuters (Mar. 2022), available at https://www.reuters.com/markets/europe/lmenickel-jumps-another-10-after-record-rally-supplyfears-2022-03-08/; Nagarajan, Shalini, Nickel Trading Halted at LME Until Friday After Wild Price Spike (businessinsider.com) (Mar. 2022), available at https://markets.businessinsider.com/ news/commodities/nickel-price-london-metalexchange-suspends-trading-shanghai-shortsqueeze-2022-3#:∼:text=The%20London%20Metal %20Exchange%20has,17%25%20to%20their%20 daily%20limit. 324These adopted changes with respect to commodities sub-asset classes will also better align Form PF with Form CPO–PQR. holdings in these different types of instruments. We are also dividing the current ‘‘interest rate derivatives’’ sub-asset class into ‘‘U.S. dollar interest rate derivatives’’ and ‘‘non-U.S. currency interest rate derivatives.’’ This added sub-asset class granularity is important because we have found that Form PF data consistently shows interest rate derivatives as the sub-asset class to which qualifying hedge funds have the greatest exposure over time. A better understanding of whether these exposures are related to the U.S. dollar yield curve or other countries’ yield curves is important from a systemic risk analysis perspective. Finally, we are adding new sub-asset classes for various types of derivatives that are regularly used by hedge funds including correlation derivatives, inflation derivatives, volatility derivatives, and variance derivatives, which will both provide additional insight into how qualifying hedge funds use these types of financial instruments and further limit the number and type of derivatives that advisers report in the ‘‘catch-all’’ ‘‘other derivatives’’ category.316 More detailed reporting of currency exposure arising from foreign exchange derivatives is important for systemic risk. The requirement to select the subasset class that best represents the investment will address concerns about any burdens associated with obtaining this information. Although one commenter generally opposed the inclusion of additional subasset
classes,317 we did not receive comment on these particular sub-asset class revisions. As discussed more fully above in the context of particular amendments to the sub-asset class list, the amendments to the sub-asset class list that we are adopting more accurately reflect a fund’s holding than other data sources and current Form PF reporting and are important for systemic risk analysis. Understanding sub-asset class exposure on a more granular level will enhance our understanding of qualifying hedge funds’ investment exposures to different asset classes and instruments that may present different systemic risks. These amendments will also enhance data quality by reducing the asset reporting that is currently made in ‘‘catch-all’’ categories or less precise categories, such as a sovereign single name CDS that would currently be categorized more generically as a single name CDS. Cash and Commodities. We are adopting, as proposed, revisions to the sub-asset class categories for cash and commodities. We are adopting amendments to require advisers to break out cash and cash equivalents 318 between U.S. currency holdings and non-U.S. currency holdings, while also removing the current requirement to report on investments in funds for cash management purposes (other than money market funds) because in our experience advisers use inconsistent methods for determining whether a private fund investment is being used for cash management purposes and other information reported in section 2 is more useful for assessing liquidity management (e.g., Question 38 with respect to unencumbered cash).319 One commenter supported separate reporting of U.S. Treasury security holdings and cash and cash equivalents on the basis that including these asset classes together can obscure information about a fund’s holdings.320 Another commenter opposed the proposed revision to the definition of ‘‘cash and cash equivalents’’ to remove treasury securities on the basis that such an exclusion would be inconsistent with market practice of treating short-term treasury securities as a cash equivalent for risk management and cash management purposes.321 It is important to understand a reporting fund’s exposure to treasury securities distinct from its cash and cash equivalent holdings because of the different risk profiles of these asset categories, as demonstrated by recent market events.322 We continue to believe that removing the treasury securities from the definition of ‘‘cash and cash equivalents’’ is appropriate and will provide more useful data and promote consistency across filers. Additionally, we are broadening the current power commodity sub-asset classes to also capture other energy commodities and add additional commodity sub-asset classes (e.g., other (non-gold) precious metals, agricultural commodities, and base metal commodities) to provide added granularity with respect to these financial products given their potential systemic risk implications and to better inform our
and FSOC’s understanding of the activities of hedge funds in these important commodities markets. We have found that a limitation of the current form is that very different commodities (e.g., wheat and nickel) are reported together in the same sub-asset class (i.e., ‘‘other commodities’’) making the reported data less meaningful for analysis. With added granularity, we will be in a better position to identify concentrated exposures to particular commodities, data that could be valuable in the event of a dislocation in a particular commodity market.323 The additional commodity sub-asset classes that we are adding, i.e., other (non-gold) precious metals, agricultural commodities, and base metal commodities, were chosen because they are most relevant from a systemic risk perspective given the size of these markets and what we currently know of hedge fund exposures to these markets.324 We did not receive

325See discussion at section II.B.3 of this Release.
326The global market for crypto assets is valued by some estimates at approximately $900 billion as of Dec. 2022. See, e.g., Global Cryptocurrency Market Cap Charts, CoinGecko, available at https:// www.coingecko.com/en/global-charts (last visited on Oct. 12, 2023). Volatility in the price of crypto assets has caused this number to fluctuate considerably over the past few years. For example, in July of 2020 the market was estimated to be worth approximately $276 billion, but went on to reach a peak value of approximately $3 trillion by Nov. 2021. Id. 327See C. Williamson, Managers Taking Bigger Steps Into Crypto, Pensions & Investments (Mar. 2022), available at at https://www.pionline.com/ cryptocurrency/hedge-fund-managers-taking-biggersteps-cryptocurrehttps://www.pionline.com/ cryptocurrency/hedge-fund-managers-taking-biggersteps-cryptocurrency. 328AFREF Comment Letter I. 329Netted exposure to a reference asset may either be long or short, and advisers will be required to determine the value of each netted exposure to each reference asset in U.S. dollars, expressed as the delta adjusted notional value, or as the 10-year bond equivalent for reference assets that are fixed income assets. Advisers will not report exposure to cash and cash equivalents. See Question 39. See also Form PF Glossary of Terms (definition of ‘‘netted exposure’’). 330Current Question 34. 331Current Question 35. 332 In a modification from the proposal, the adopted instructions add reference to the size of the overall debt security issuance (emphasis added) to specify the appropriate calculation. Further, the reference to a ‘‘listed equity security’’ has been modified to ‘‘listed equity’’ to align with the defined term used in the Glossary of Terms. 333Advisers will also be required to provide at least one of the following other identifiers: (1) ISIN; (2) ticker if ISIN is not available); or (3) other unique identifier (if ticker and ISIN are not available). For reference assets with no CUSIP, or other identifier, advisers will be required to describe the reference asset. See Question 40(a). 334See Question 40(a)(xi). 335See Question 40 and Form PF Glossary of Terms (revised definition of ‘‘gross exposure’’). comments on these proposed changes to the commodity sub-asset classes. Digital Assets. We are adopting, as proposed, a new sub-asset class for digital assets. However, as discussed more fully above in section II.B.3 of this Release, we are not adopting the proposed definition of ‘‘digital assets.’’ 325 We have observed the growth as well as the volatility of this asset class in recent years.326 We understand that many hedge funds have been formed recently to invest in digital assets, while many existing hedge funds are also allocating a portion of their portfolios to digital assets.327 Accordingly, it is important to collect information on funds’ exposures to digital assets in order to understand better their overall market exposures. Although we are not adopting the
proposed definition of ‘‘digital assets’’ at this time, we are adding an instruction to Question 32 that states if a particular asset could be classified as both a digital asset and another asset, the adviser should report the asset as the nondigital asset. For example, a money market fund that is traded on a blockchain should be reported as a money market fund, rather than as a digital asset. This is designed to reduce potential confusion, narrow the assets that are reported as digital assets under the form and improve data quality. One commenter recommended requiring disclosure of digital asset exposure on a quarterly or biannual basis for all filers due to the general volatility of digital assets and the potential for systemic risk.328 All large hedge fund advisers are required to file Form PF on a quarterly basis, so we will receive data on digital asset exposure from these filers on a quarterly basis. In addition, as discussed more fully above in section II.B.3 of this Release, we are adopting amendments which require all hedge fund advisers, including large hedge fund advisers, to disclose the reporting fund’s use of digital asset investment strategies. Open and Large Position Reporting. We are adopting, as proposed, amendments to require advisers to qualifying hedge funds to report the top five long and short netted positions and the top ten netted long and short positions. This amendment will provide a holistic view of a reporting fund’s portfolio concentration. We also understand that these are commonly used industry metrics for assessing portfolio concentration levels. We are defining ‘‘netted exposure’’ as the sum of all positions with legal and contractual rights that provide exposure to the same reference asset, taking into account all positions, including offsetting and partially offsetting positions, relating to the same reference asset (without regard to counterparties or issuers of a derivative or other instrument that reflects the price of the reference asset), as proposed.329 Currently, advisers to qualifying hedge funds are required to report (1) a fund’s total number of ‘‘open positions’’ determined on the basis of each position and not with reference to a particular issuer or counterparty,330 and (2) the percentage of a fund’s net asset value and sub-asset class for each open position that represents five percent or more of a fund’s net asset value.331 Advisers to qualifying hedge funds will now be required to report (1) the total number of reference assets to which a fund holds long and short netted exposure, (2) the percentage of net asset value represented by the aggregate netted exposures of reference assets with the top five long and short netted exposures, and (3) the percentage of net asset value represented by the aggregate netted exposures of reference assets representing the top ten long and short netted exposures. These amendments are designed to provide insight into the extent of a fund’s portfolio concentration
and large exposures to any reference assets. We have found that advisers use different methods for identifying and counting their ‘‘open positions,’’ which has made making meaningful comparisons among funds difficult. This has also potentially obscured certain large exposures, which may make concentration assessments less exact. For example, an ‘‘open position’’ might indicate a position held physically, or synthetically through derivatives, or both. Advisers will also be required to provide certain information on a fund’s reference asset to which the fund has gross exposure (as of the end of each month of the reporting period), largely as proposed, equal to or exceeding (1) one percent of net asset value, if the reference asset is a debt security and the reporting fund’s gross exposure to the reference asset exceeds 20 percent of the size of the overall debt security issuance, (2) one percent 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 percent of average daily trading volume measured over 90 days preceding the reporting date, or (3) (a) five percent of the reporting fund’s net asset value or (b) $1 billion.332 Advisers will be required to report: (1) the dollar value (in U.S. dollars) of all long and the dollar value (in U.S. dollars) of all short positions with legal and contractual rights that provide exposure to the reference asset; (2) netted exposure to the reference asset; (3) sub-asset class and instrument type; (4) the title or description of the reference asset; (5) the reference asset issuer (if any) name and LEI; (6) CUSIP (if any); 333 and (7) if the reference asset is a debt security, the size of issue, and if the reference asset is a listed equity, the average daily trading volume, measured over 90 days preceding the reporting date, as proposed. Additionally, advisers may at their option choose to provide the FIGI for the reference asset, but they are not required to do so.334 We are defining ‘‘gross exposure’’ to a ‘‘reference asset’’ as the sum of the absolute value of all long and short positions with legal and contractual rights that provide exposure to the reference asset, as proposed.335 We considered varying levels of thresholds and believe that the thresholds described above are appropriate based on the following

336E.g., Schedule 13G/13D uses a 5% threshold.
337AFREF Comment Letter I. 338See, e.g., MFA Comment Letter II; SIFMA Comment Letter; AIMA/ACC Comment Letter. See infra section IV.C of this Release for discussion of costs and benefits of the amendments. 339MFA Comment Letter II. 340Bloomberg Comment Letter. Form PF Question 65 also requires large liquidity fund advisers to report the CUSIP number for each security held by the reporting fund and for each security subject to a repo. 341See, e.g., American Bankers Association Comment Letter (Oct. 11, 2022); Comment Letter of CUSIP Global Services (Oct. 11, 2022). 342Question 40. 343 Id. 344 Id. We encourage advisers to obtain financial identifiers for all of their assets for the benefit of their investors when reporting their investments to regulatory authorities and others. 345See discussion at section II.B.3 of this Release. 346 Id. reasoning. First, the five percent threshold has been carried over from the current version of Form PF and is also a commonly used metric for identifying significant positions in a portfolio.336 In addition, while a portfolio is generally viewed as diversified when it holds at least 20 different positions, when a position goes above five percent it reduces portfolio diversification. Second, the $1 billion threshold represents a level for large funds (e.g., those with net asset values in excess of $20 billion) that is large enough so as to have potential systemic risk implications even if the position is less than five percent of the fund. Finally, the one percent of net asset value and 20 percent of issuance or average trading volume thresholds are aimed at limiting filer burdens while still providing insight into the risks associated with a position that may be small relative to a fund’s overall portfolio, but which constitutes a large fraction of the market for a particular holding, given that a liquidation by one fund can trigger a disorderly liquidation. A disorderly liquidation of this kind may raise systemic risk concerns as it may lead to liquidation losses at other funds for which the position is more impactful and possibly lead to a cascade of additional unwinds. The purpose of these amendments is to improve our ability to assess the magnitude of hedge fund portfolio concentration, as well as to identify directional exposure. From a systemic risk and an investor protection perspective, high portfolio concentration carries the risk of amplified losses that can occur when a fund’s investment represents a large portion of a particular investment, asset class, or market segment. Leveraged portfolios further amplify this risk. The amendments are designed to better capture a fund’s concentration risk (e.g., where gross exposure to a reference asset is large compared to the fund’s NAV and/or compared to the market for a reference security). Reporting positions that are large compared to market size also may provide some insight about whether multiple firms are ‘‘crowding’’ into trades in certain types of
securities or other financial assets. Such ‘‘crowding’’ may increase the risk that one fund’s forced selling may trigger systemic effects across a particular market. Collecting information about the composition of exposure to a reference asset will allow us and FSOC to link the information reported in Question 40 to exposure reporting in Question 32, which will give the reported data added context and facilitate understanding of a fund’s investment portfolio and assessment of any implications for systemic risk and investor protection purposes. For example, in a convertible arbitrage trade involving a position in a convertible bond and an offsetting position in the equity securities of the same issuer, reference asset exposure might be obtained by positions in two different sub-asset classes (i.e., investment grade convertible bonds and equities) and using a combination of instrument types (e.g., physical ownership and futures or a swap). The combination of information reported in Question 32 and Question 40 will facilitate our ability to identify this type of situation, better understand a qualifying hedge fund’s investment approach and whether it is taking on concentrated positions (potentially with leverage), and assess whether or not a qualifying hedge fund’s activities may have systemic risk or investor protection implications. One commenter stated that more granular disclosure of holdings, including both long and short positions, will provide a more complete picture of the risk exposure across private funds and can help the SEC enforce fraud and manipulation of security-based swaps.337 Some commenters opposed the requirements for more detailed disclosure of holdings on the basis that more granular disclosure would be costly to report and is not needed for systemic risk assessment.338 For reasons discussed above, more granular information about a fund’s exposure to a reference asset will allow us and FSOC additional context to facilitate understanding of a fund’s investment portfolio and assessment of any implications for systemic risk and investor protection purposes, which justifies any incremental cost to advisers. One commenter recommended not requiring reporting on exposures on a gross basis because of the potential for gross figures to overstate a fund’s exposure.339 Advisers are required to report exposures on a gross and net basis because reporting on either a gross or net basis only would limit our understanding of the total risk exposure, for example any basis risk of the exposure. In response to a request for comment in the proposing release regarding the use of FIGI as a substitute for CUSIP, one commenter recommended the inclusion of FIGI as an alternative financial identifier in lieu of CUSIP in Question 40, which requires advisers to report CUSIP information for each reference asset, if available.340 Two commenters opposed permitting the use of FIGI in lieu of CUSIP stating that CUSIP is a single fungible identifier, whereas
FIGI is not a single fungible identifier and produces multiple identifiers depending on the venue of execution.341 We agree that, for reporting on Form PF, a fungible identifier is preferable because it will allow for more consistent reporting of assets than a nonfungible identifier regardless of the venue of execution, resulting in more effective monitoring and assessment of systemic risk. We are not adopting a change to permit the substitution of FIGI for CUSIP. Question 40 continues to require advisers to report for each reference asset the CUSIP, if any, and at least one of the following identifiers: ISIN, ticker, if ISIN is not available, or other unique identifier, if ISIN and ticker are not available.342 Advisers may, on an optional basis, report for each reference asset the FIGI.343 For reference assets with no CUSIP or other identifier, advisers are required to describe the reference asset.344 b. Borrowing and Counterparty Exposure Counterparty exposure. As noted above, we are revising and enhancing how advisers report information about their relationships with creditors and other counterparties (including CCPs) and the associated collateral arrangements for their hedge funds, largely as proposed.345 For qualifying hedge funds, we are adopting, as proposed, a new consolidated counterparty exposure table, similar to the new consolidated counterparty exposure table adopted for hedge funds in section 1c of the form,346 which will capture all cash, securities, and synthetic long and short positions by a reporting fund, a fund’s credit exposure

347 In connection with the removal of current Question 44, we have made a corresponding amendment to current Question 13 (redesignated as Question 19), to remove an instruction that is no longer relevant. 348The instructions direct advisers to classify borrowings and other transactions and associated collateral based on the governing legal agreement (e.g., a prime brokerage or other brokerage agreement for cash margin and securities lending and borrowing, a global master repurchase agreement for repo/reverse repo, and ISDA master agreement for synthetic long positions, synthetic short positions and other derivatives), and instruct advisers how to report when there is crossmargining under a fund’s prime brokerage agreement. We are also adding new definitions of ‘‘synthetic long position’’ and ‘‘synthetic short position’’ to the Glossary of Terms. See Form PF Glossary of Terms (definitions of ‘‘synthetic long position’’ and ‘‘synthetic short position’’). Additionally, the instructions permit advisers to net a reporting fund’s exposure with each counterparty and across affiliated entities of a counterparty to the extent such exposures may be contractually or legally set-off or netted across those entities and/or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another under the agreements governing the transactions. The instructions also direct advisers to classify borrowing by creditor type (e.g., percentage borrowed from U.S depository institutions, U.S. creditors that are not U.S depository institutions, non-U.S. creditors) based on the legal entity that is the contractual counterparty for such borrowing and not based on parent company or other affiliated group. 349See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. 350See Question 42. Advisers will use calculations performed to complete the new table in Question 41 for purposes of identifying the counterparties to be reported in Question 42 and Question 43, and the calculation method is designed to be similar to the calculations used to identify counterparties in Question 27 and Question 28 in order to facilitate aggregation and analysis of data across hedge funds and qualifying hedge funds. Furthermore, if more than five counterparties meet the threshold, advisers will be required to complete an individual counterparty exposure table for the top five creditors or other counterparties to which a reporting fund owed the greatest amount in respect of cash borrowing entries (before posted collateral), and also identify all other creditors and counterparties (including CCPs) to which the reporting fund owed an amount in respect of cash borrowing entries (before posted collateral) equal to or greater than either (1) 5% of the reporting fund’s net asset value as of the data reporting date or (2) $1 billion. See also Form PF Glossary of Terms (definitions of ‘‘cash borrowing entries’’ and ‘‘collateral posted entries’’). to
counterparties, and amounts of collateral posted and received. This
table replaces the information currently
required by current Questions 43, 44, 45, and 47, each of which has been deleted.347 Questions 42 and 43 will continue to collect information about a reporting fund’s key individual counterparties, but in more detail. These revisions are designed to improve data quality and comparability, close data gaps, and provide better insight into qualifying hedge funds’ borrowing and financing relationships, their credit exposure to counterparties and collateral practices. They also will enhance the Commissions’ and FSOC’s ability to assess the activities of qualifying hedge funds and their counterparties for investor protection purposes and in monitoring systemic risk. The new consolidated counterparty exposure table is designed to capture information on all non-portfolio credit exposure that a qualifying hedge fund has to its counterparties (including CCPs) and the exposure that creditors and other counterparties have to the fund, taking into account netting. The new table requires advisers to report in U.S. dollars, as of the end of each month of the reporting period, a qualifying hedge fund’s borrowings and other transactions with creditors and other counterparties by type of borrowing or transaction (e.g., unsecured, secured borrowing and lending under a prime brokerage agreement, secured borrowing and lending via repo or reverse repo, other secured borrowing and lending, derivatives cleared by a CCP, and uncleared derivatives) and the collateral posted or received by a reporting fund in connection with each type of borrowing or other transaction.348 The
table also requires advisers to qualifying
hedge funds to (1) classify each type of borrowing by creditor type (i.e., U.S. depository institution, U.S. creditors that are not depository institutions, and non-U.S. creditors); (2) classify posted collateral by type (e.g., cash and cash equivalents, government securities, securities other than cash and cash equivalents and government securities and other types of collateral or credit support (including the face amount of letters of credit and similar third party credit support) received and posted by a reporting fund, and secured borrowing and lending (prime brokerage or other brokerage agreement)), and (3) report, at the end of each month of the reporting period, the expected increase in collateral required to be posted by the reporting fund if the margin increases by one percent of position size for each type of borrowing or other transaction, as proposed. Measuring the impact of a one percent margin change will allow for a meaningful assessment of qualifying hedge funds’ vulnerability to changes in financing costs and identification of funds that are most sensitive to potential margin changes. We also believe that measuring this impact will provide a standardized way to obtain data on funds’ vulnerability to margin increases that is easy to scale up for analysis purposes and allows for uniform comparisons across hedge funds to see which funds have lockup agreements and which funds do not. Furthermore, the table consolidates current Questions and provides more specific instructions in an effort to eliminate information gaps and improve the reliability of data collected. This new approach will collect better information about a qualifying hedge fund’s borrowing and financing, cleared and uncleared derivatives positions, and collateral practices as well as a fund’s credit exposure to counterparties resulting from excess margin, haircuts, and positive mark-to-market derivatives transactions, which will enhance FSOC’s systemic risk assessments. Some commenters opposed the requirement to provide additional detail regarding counterparty exposure and stated that the information would be burdensome and costly to obtain.349 We continue to believe that disaggregated counterparty exposure is important to systemic risk monitoring efforts for the reasons discussed above. This information will not be significantly burdensome to produce as we understand knowledge of counterparties to be a component of a fund’s basic risk management practices. Significant counterparty reporting. We are adopting, as proposed except as specifically indicated below, amendments to require advisers, for each of their qualifying hedge funds, to identify all creditors and counterparties (including CCPs) where the amount a fund has borrowed (including any synthetic long positions) before posted collateral equals or is greater than either (1) five percent of the fund’s net asset value or (2) $1 billion.350 This threshold is appropriate because it highlights two different but
potentially significant risks. First, five percent of a fund’s net asset value represents an amount of borrowing that, if repayment was required, could be a significant loss of financing that could result in a forced unwind and forced sales from the reporting fund’s portfolio. Second, $1 billion represents an amount that, in the case of a very large fund, may not represent five percent of the fund’s net asset value, but may be large enough to create stress for certain of its counterparties. This change is designed to specify how securities held should be treated, avoiding a common source of error in how advisers have completed the current form, and allowing both counterparty risks related to collateralized transactions to be viewed in one place, i.e., the risk that collateral will not be returned, and the risk that the borrower of cash will fail to repay the amount borrowed, risks that we have found cannot be fully observed

351See Question 42.
352 In connection with the amendment, we are adding a new definition for ‘‘individual counterparty exposure table’’ to the Form PF Glossary of Terms. 353 In a change from the proposal, we have modified the reference from name to legal name to specify that the adviser should report the relevant counterparty’s legal name. This modification will improve data comparability by enhancing our ability to track any individual counterparty reporting across filings. Further, in a change from the proposal, we have modified the question to specify that the adviser should report the legal name of the counterparty, the counterparty LEI, if any, the borrowing by the reporting fund, the collateral posted by the reporting fund, and the legal name of the entity that has the exposure and its LEI, if any. This modified question aligns the question’s wording with the information that is required to be reported in the individual counterparty exposure tables that follow in the form. 354See Schulte Comment Letter. 355See Question 42. See also Questions 43 and 44 (requiring providing the legal name and LEI, if any, of the relevant entity with the exposure). 356See Question 42. If the reporting fund guarantees or is contractually obligated to fulfill obligations of a trading vehicle or affiliated private fund, such exposures are required to be reported net with the exposures 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. See Question 41. 357As discussed in section II.A.2 above, in a modification from the proposal, advisers report trading vehicles on a consolidated basis but in response to certain questions will be required to identify the positions and counterparty exposures that are held through a trading vehicle, which will help differentiate the reporting fund’s exposures and risks from those of its trading vehicles. 358See Question 43. 359Under the amendments, however, if an adviser completes the table in Question 42 for a particular counterparty, the adviser is not required to complete the table twice. 360See, e.g., Gapper, John and Kaminska, Izabella, Downfall of MF Global—US broker-dealer bankruptcy highlights global reach of eurozone crisis, Financial Times (Nov. 2011), available at https://www.ft.com/content/2882d766-06fb-11e1- 90de-00144feabdc0. based on information collected on the current form. For the top five creditors and other counterparties from which a fund has borrowed the most (including any synthetic long positions) before posted collateral, advisers will be required to identify the counterparty (by name, LEI, and financial institutional affiliation) and to provide information detailing a fund’s transactions and the associated collateral. We are adopting a ‘‘top five’’ reporting threshold as this level is consistent with the current threshold for reporting on collateral practices on Form PF, and it represents
a level that indicates significant counterparty exposure.351 Advisers will be required to present this information using an individual counterparty exposure 352 table that follows the same format as the new consolidated counterparty exposure
table described above for Question 41,
including borrowings and other transactions by type and collateral posted and received by type. For all other creditors and counterparties from which the amount a fund has borrowed (including any synthetic long positions) before posted collateral that equals or is greater than either (1) five percent of the fund’s net asset value or (2) $1 billion, advisers will be required to identify each counterparty (by legal name, LEI, and financial institution affiliation) and report the amount of such borrowings and the collateral posted by the fund in U.S. dollars.353 As discussed more fully above in
section II.A.2, we are adopting
amendments that require advisers to report all trading vehicles on a consolidated basis. After considering one commenter’s recommendation, we are tailoring certain questions about trading vehicles to help differentiate potential risks of the reporting fund from those of its trading vehicles.354 In a modification from the proposal, we are adding an instruction to require advisers to list counterparty exposures of trading vehicles owned by the reporting fund based on the reporting fund’s percentage ownership of such 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.355 The amended instructions provide that the adviser must also report the legal name and LEI, if any, of the entity that has the counterparty exposure.356 This amended instruction will allow us to better understand the scope of the reporting fund’s exposure and differentiate its exposures from those held by a separate entity, such as a trading vehicle.357 As proposed, advisers will be required, for each of their qualifying hedge funds, to identify all counterparties (including CCPs) to which a fund has net mark-to-market counterparty credit exposure after collateral that equals or is greater than either (1) five percent of the fund’s net asset value or (2) $1 billion.358 This threshold is appropriate because both portions of the threshold highlight potential systemic risk: five percent of net asset value is a level that represents significant exposure (based on the impact on performance) in the event of counterparty default, and $1 billion, while it may not equal five percent of a large hedge fund’s assets, may indicate a larger systemic stress involving a fund’s counterparties. For the top five of these counterparties, advisers will be required to identify the counterparty (by name, LEI and financial institution affiliation) and provide information detailing a fund’s relationship with these counterparties including associated collateral using the same
table required for individual
counterparty reporting.359 In a modification from the proposal, advisers will also be required to report the borrowing by the reporting fund and the collateral posted by the reporting fund. These modifications are intended to align the question text with the information that is required to be reported in the counterparty exposure
table. Further, in a modification from
the proposal, an adviser will also be required to report the legal name of the entity that has the counterparty exposure and its LEI, if any. This modification will allow us to better understand the scope of the reporting fund’s exposure and differentiate its exposures from those held by a separate entity, such as a trading vehicle. As proposed, advisers to qualifying hedge funds will also be required to identify all other counterparties (by name, LEI, and financial institution affiliation) to which a fund has net mark-to-market exposure after collateral that equals or is greater than either (1) five percent of a fund’s net asset value or (2) $1 billion and will require these advisers to report the amount of the exposure before and after collateral posted by either the counterparty or the reporting fund as applicable, as proposed. Further, in a modification from the proposal, advisers will also be required to report the name and LEI, if any, of the entity that has the counterparty exposure. The purpose of this new requirement is to enhance our ability to understand the impact of a particular counterparty failure, such as the counterparty failures that occurred during the 2008 financial crisis and in the period since (e.g., the failure of MF Global in 2011),360 which is important for systemic risk assessments and from an investor protection perspective. In assessing the risk to a fund of a counterparty default, the new data will demonstrate whether a fund has net borrowing exposure or net lending exposure to a counterparty. If the fund is a net borrower with respect to a counterparty, we will measure cash borrowed by the fund against collateral posted by fund. Alternatively, when the fund is a net lender with respect to a counterparty, we will measure cash loaned to the counterparty against collateral posted by the counterparty to assess whether the counterparty has

361See Form PF Glossary of Terms (definitions of ‘‘cash borrowing entries,’’ ‘‘collateral posted entries,’’ ‘‘cash lending entries,’’ and ‘‘collateral received entries’’) for a detailed description of these calculations. 362Advisers will be required to report the creditor legal name and LEI, which will aid in the identification of counterparties and facilitate analysis of the interconnectedness of market participants (e.g., Form N–PORT and Form N–CEN already collect LEI for registered investment company counterparties and including LEIs here will facilitate analysis across data sets). 363We are redesignating current Question 38 as Question 45. 364See MFA Letter to Chairman Clayton, Sept. 17, 2018, available at https://www.managedfunds.org/ wp-content/uploads/2020/04/MFA.Form-PFRecommendations.attachment.final.9.17.18.pdf (noting the rehypothecated securities are taken out of an omnibus account, which makes reporting for advisers with any certainty difficult). 365See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. 366MFA Comment Letter II. 367See also infra section IV.C for further discussion of costs and benefits of the amendments. 368See Question 47. For market factors that have no direct effect on a reporting fund’s portfolio, we instruct filers to enter zero. 369For example, advisers currently are required to report the effect of an increase or decrease in equity prices by 5% and by 20%, while under the amendments advisers will only report the effect of a 10% increase or decrease, which is a more plausible but still infrequent scenario. 370See current Question 42. 371We are amending the instructions to provide that ‘‘risk-free interest rates’’ include interest rate swap rates in which a fixed rate is exchanged for a risk-free floating rate such as the secured overnight financing rate (‘‘SOFR’’) or the sterling overnight index average (‘‘SONIA’’). Additionally, we are amending the instructions to specify that (1) for market factors involving interest rates and credit spreads, advisers should separate the effect on its portfolio into long and short components where (i) the long component represents the aggregate result of all positions whose valuation changes in the opposite direction from the market factor under a given stress scenario, and (ii) the short component represents the aggregate result of all positions whose valuation changes in the same direction as the market factor under a given stress scenario, and posted insufficient collateral (relative to the amount borrowed).361 These amendments are designed to streamline the form by consolidating information currently collected in Question 47 into Question 42, and to improve the quality and comparability of reported information and our ability to integrate the data obtained for analysis with other regulatory data sets by specifying how advisers determine borrowing and counterparty credit exposure.362 The changes, in conjunction with the new consolidated
counterparty exposure table, will also provide a better overall view of hedge funds’ borrowing and other financing arrangements and counterparty credit exposure and associated collateral, which will provide critical insight into (1) creditor and counterparty exposure to qualifying hedge funds through synthetic long positions through derivatives, (2) potential gaps in margin received by and posted by qualifying hedge funds and the size of any such gaps, (3) qualifying hedge funds’ exposure to a large counterparty failure, and (4) the expected impact on a fund’s financing arrangements of a change in margin requirements. Finally, advisers will no longer be required to report the percentage of the total amount of collateral and other credit support that a fund has posted to counterparties that may be rehypothecated as currently required in Question 38.363 We are adopting this change because this reporting is burdensome for advisers, and we have found that the data obtained is generally not reliable because advisers cannot easily collect and report the required information as re-hypothecation commonly occurs from omnibus accounts into which advisers generally do not have visibility.364 Some commenters opposed the requirement to provide additional detail regarding counterparty exposure and state that the information would be burdensome and costly to obtain.365 One commenter recommended limiting the additional counterparty reporting to only a fund’s top three counterparties, rather than top five as proposed.366 For reasons discussed above, disaggregated counterparty exposure is important to systemic risk monitoring efforts. This information will not be significantly burdensome to produce as we understand knowledge of counterparties to be a component of a fund’s basic risk management practices. The additional systemic risk benefits described above of receiving data on a fund’s five largest counterparties justify the modest additional incremental burden over reporting on the largest three counterparties, as recommended by one commenter.367
c. Market Factor Effects
We are adopting, as proposed except as specifically indicated below, amendments to require advisers to qualifying hedge funds to respond on Form PF to all market factors to which their portfolio is directly exposed, rather than allowing advisers to omit a response to any market factor that they do not regularly consider in formal testing in connection with the reporting fund’s risk management, as Form PF currently provides.368 These changes are designed to enhance investor protection efforts and systemic risk assessment by allowing the Commissions and FSOC to track better common market factor sensitivities, as well as correlations and trends in those market factor sensitivities. We are also changing the stress thresholds to (1) require advisers to report one threshold for each market factor, rather than two as is currently required and (2) include different thresholds for certain market factors to capture stress scenarios that are plausible but still infrequent market moves.369 Information resulting from stress testing at thresholds in the current form (one low and one high) was not useful because the thresholds are either too frequent (for the lower threshold) or too extreme and may not result in accurate estimates (for the higher threshold). Based on our experience with this information, we do not believe that collecting data at multiple thresholds for each market factor is significantly more meaningful than collecting market factor sensitivity at a single plausible but still infrequent threshold.370 The amendments also add a market factor test concerning non-parallel riskfree interest rate movements. It will test hedge fund exposure to changes in the slope of the yield curve, which is currently untested and can be a source of systemic risk when there are sudden interest rate changes. For example, this market factor will provide meaningful information on hedge funds that take complex positions, such as market neutral strategies (e.g., basis trading in particular) and other strategies that employ trades that take advantage of spreads in yield curves coupled with high use of leverage. In a modification from the proposal, we are removing the risk-free interest rates market factor reporting and instead adding an instruction to specify that, with respect to the market factor concerning nonparallel risk-free interest rate movements, the sum of all reported nonparallel risk-free interest rate sensitivities for a given rate movement should total the portfolio’s sensitivity to a parallel risk-free interest rate movement of that magnitude to reduce burdens. This modification will reduce the burden on advisers by eliminating a required reporting item and will not diminish data quality because with the added instruction, we can derive the total parallel risk-free rate sensitivity from the non-parallel risk-free interest rate movement market factor. We are also revising the instructions so advisers will be required to report the long component and short
component consistently with market convention, rather than opposite from market convention, as Form PF currently requires, in order to reduce inadvertent mistakes in completing the form.371

(2) for market factors other than interest rates and credit spreads, advisers should separate the effect on its portfolio into long and short components where (i) the long component represents the aggregate result of all positions whose valuation changes in the same direction as the market factor under a given stress scenario and (ii) the short component represents the aggregate result of all positions whose valuation changes in the opposite direction from the market factor under a given stress scenario. See Question 47. 372MFA Comment Letter III. 373See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; Schulte Comment Letter; USCC Comment Letter. 374See Question 33. 375This instruction is designed to simplify and reduce the burdens of reporting sub-asset class exposures. Furthermore, advisers are permitted to provide good faith estimates and take currency hedges into account, if consistent with their internal methodologies and information reported internally and to investors. 376Fact Coalition Comment Letter. 377See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; USCC Comment Letter. 378AIMA/ACC Comment Letter; MFA Comment Letter II. 379Question 34. In connection with amendments, reporting on the value of turnover in certain asset classes and the geographical breakdown of investments is moved from section 2a to section 2. We are making two modifications to the proposal. First, we are adding an instruction that when reporting exposures to changes in market factors for indirect positions, an adviser may use reasonable estimates that best represent the exposure to the market factor, consistent with the adviser’s internal methodologies and conventions of service providers. This is responsive to commenters that suggested the proposal was unclear in certain questions as to whether an adviser is required to ‘‘look through’’ the fund’s investments.372 Second, as discussed further above, we are removing the riskfree interest rates market factor and instead adding an instruction to specify that, with respect to the market factor concerning non-parallel risk-free interest rate movements, the sum of all reported non-parallel risk-free interest rate sensitivities for a given rate movement should total the portfolio’s sensitivity to a parallel risk-free interest rate movement of that magnitude. Some commenters opposed the amendments requiring advisers to report on all listed market factors, including any market factors that the adviser does not regularly consider in its stress testing.373 Currently, the wording of the instructions allows an adviser to omit a response in the event the adviser tested a similar, but not identical, market factor. Accurate and complete reporting of all market factors will provide important systemic risk information. We do not believe this amended requirement will significantly burden advisers because an adviser will only be required to stress test risk factors to which their portfolios are directly exposed and are
instructed to report zero for any inapplicable market factors. Further, the modified instruction we are adopting, which permits an adviser to use reasonable estimates that best represent the market factor exposure for indirectly held positions, will alleviate some of the burden of reporting this additional information. d. Additional Amendments to Section 2 Currency exposure reporting. We are adopting, as proposed except as specifically indicated below, amendments to require qualifying hedge funds to report for each month of the reporting period, in U.S. dollars, (1) the net long value and short value of a fund’s currency exposure arising from foreign exchange derivatives and all other assets and liabilities denominated in currencies other than a fund’s base currency, and (2) each currency to which the fund has long dollar value or short dollar value exposure equal to or exceeding either (a) five percent of a fund’s net asset value or (b) $1 billion.374 In responding, advisers will be required to include currency exposure obtained indirectly through positions held in other entities (e.g., investment companies, other private funds, commodity pools or other companies, funds, or entities) and may report reasonable estimates if consistent with internal methodologies and conventions of service providers.375 In a change from the proposal, we are adding an instruction to specify that an adviser may report the data that ‘‘best represents’’ the currency exposure from any indirect investments to lessen the reporting burden, as long as such estimates are consistent with the adviser’s internal methodologies and conventions of service providers. This currency exposure requirement is designed to provide insight into whether notional currency exposures reported by qualifying hedge funds in Question 33 represent directional exposure or are hedges of equity and/or fixed income positions. This new question will allow us to understand whether a qualifying hedge fund’s portfolio is exposed to a given currency, and it will also provide a view into the fund’s currency exposure resulting from holdings in foreign securities (e.g., Eurobonds). While current Question 30 already requires advisers to separate currency exposure relating to hedging from other currency, we have found that this data has not been very useful for determining whether a currency position is speculative or a hedge. Additionally, it is important to consider a qualifying hedge fund’s currency exposure to identify vulnerabilities to currency fluctuations and market events that affect different countries and regions. Finally, the threshold of either (1) five percent of a fund’s net asset value or (2) $1 billion for reporting individual currency exposure is appropriate because it represents, in each prong of the threshold, a material level of portfolio exposure to currency risk at which a deterioration in the value of a particular currency could have a significant negative impact on a fund’s investors. We
also believe that if multiple large funds have significant exposure to a currency that is rapidly devaluing, this circumstance could raise financial stability concerns, and this reporting will better enable review of this type of situation. More broadly, we also will be able to use the information obtained to identify concentrations in particular currencies and assess the potential impact of market events that affect particular currencies. One commenter discussed the systemic risk concerns present in currency exposures, particularly as demonstrated by recent geopolitical events and resulting currency fluctuations.376 Other commenters opposed the proposed requirement to report currency exposure stating the information would be of limited value and burdensome to report.377 Some commenters stated that reporting indirect currency exposure accurately may be difficult because of potential variations in timing or foreign exchange rate sources, which could lead to inaccurate data and false indicators of risk.378 The modified instruction that we are adopting, which provides that an adviser may report the data that ‘‘best represents’’ the currency exposure from any indirect investments, clarifies the reporting requirement and will alleviate some of the reporting burden. More detailed reporting of currency exposure is important for systemic risk purposes. This belief is reinforced by recent experiences of currency fluctuation in the aftermath of geopolitical events that we have observed. Turnover. We are adopting, as proposed, amendments, to require reporting on a per fund basis on the value of turnover in certain asset classes rather than on an aggregate basis as currently required.379 Requiring this reporting on a per fund basis will provide more detailed information to us and FSOC while at the same time

380We are also breaking out some categories by futures, swaps, and options as different types of derivatives have different risk profiles and implications for systemic risk, and to add a category for ‘‘other derivative instrument types’’ so that all derivatives are reported. 381We are revising the asset class categories to require advisers to report turnover in derivatives separately from turnover in physical holdings in Question 34 and are making other conforming changes to reflect changes to defined terms in the Form PF Glossary of Terms. 382See U.S. Credit Markets Interconnectedness and the Effects of the COVID–19 Economic Shock, U.S. Securities Exchange Commission, Oct. 2020, available at https://www.sec.gov/files/US-CreditMarkets_COVID-19_Report.pdf. See also Financial Stability Oversight Council 2021 Annual Report, available at https://home.treasury.gov/system/files/ 261/FSOC2021AnnualReport.pdf. 383As of the end of first quarter of 2023, interest rate derivatives currently make up approximately 30% of gross notional exposure (GNE) reported on Form PF, while foreign exchange derivatives make up approximately 13% of GNE. Additionally, commodity, credit, and other derivatives when combined make up 5% of GNE or over $1.3 trillion. See Private Fund Statistics Q1 2023, supra footnote 5. 384We are removing current Question 21 as it is redundant in light of the adopted expanded turnover reporting. 385See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; USCC Comment Letter. 386This is similar to reporting on Form N–PORT and will improve the comparability of data between Form PF and Form N–PORT. 387Question 35. In connection with the amendments, reporting on geographical breakdown of investments has moved from current section 2a to section 2. 388Currently, consistent with staff Form PF Frequently Asked Questions 28.1 and 28.2, advisers are permitted to report geographical exposure based on internal methods and indicate in Question 4 if methods did not reflect risk and economic exposure. See Form PF Frequently Asked Questions, supra footnote 162. 389See Question 36. 390North American Industry Classification System. 391See United States Census Bureau, North American Industry Classification System, available at https://www.census.gov/naics/. simplifying reporting for advisers. We understand that advisers do not currently aggregate turnover related information among funds. Aggregating solely for Form PF reporting is particularly burdensome as the required data is typically on separate reporting systems and advisers must ‘‘roll-up’’ data from these sources to report on the form. We are also adding, as proposed, new categories for turnover reporting that disaggregate combined categories and better capture turnover of potentially relevant securities, such as various types of derivatives (e.g., listed equity, interest rate, foreign exchange), which will help support analysis of hedge fund market activity.380 Furthermore, we are adding a new
consolidated foreign exchange and currency swaps category and making other changes, as proposed.381 During the March 2020 COVID–19-related market turmoil, FSOC sought to evaluate the role hedge funds played in disruptions in the U.S. treasury market by unwinding cashfutures basis trade positions and taking advantage of the near-arbitrage between cash and futures prices of U.S. Treasury securities.382 Because the current requirement regarding turnover reporting on U.S. Treasury securities is highly aggregated, the SEC staff, during retrospective analyses on the March 2020 market events, was unable to obtain a complete picture of activity relating to long treasuries and treasury futures. Given the significant size of hedge funds’ exposures to certain derivative products, it is important to gain more insight into trading activities with respect to these financial instruments to better enable the Commissions and FSOC to assess and monitor the activity of qualifying hedge funds for systemic risk implications.383 Expanded reporting on turnover also will provide better information for assessing trading frequency in lieu of requiring advisers to report what percentage of their hedge funds’ net asset value is managed using highfrequency trading strategies.384 Some commenters opposed the proposed requirement for disaggregated and more detailed reporting of turnover stating that such information is of limited value and burdensome to report.385 As discussed above, we continue to believe that turnover information is related to systemic risk and observing turnover data in particular categories can help identify affected funds and identify possible contagion risk. Moreover, the adopted requirement of disaggregated reporting is less burdensome than the existing reporting of turnover, which requires advisers to aggregate data that we understand they collect on a fund-level basis. Country and industry exposure. We are adopting, as proposed except as specifically indicated below, amendments to require advisers to report all countries (by ISO country code 386) to which a reporting fund has exposure equal to or exceeding either (1) five percent of its net asset value or (2) $1 billion, and to report the dollar value of long exposure and the dollar value of short exposure in U.S. dollars, for each monthly period to improve data comparability across funds.387 In a change from the proposal, we are adding an instruction to specify that advisers may report the data that best represents the country and industry exposure from any indirect investments and is consistent with the advisers’ internal methodologies and conventions of services providers to lessen the reporting burden. Under the current approach, only certain regions were identified, and these regions were not uniformly defined, which resulted in data that was not consistent.388 In addition, at times we have needed to identify countries of interest not on this list. As such, we are adopting amendments to replace
the country of interest and regional reporting with this new country level information. Finally, the threshold of either (1) five percent of net asset value or (2) $1 billion is appropriate because it represents a material level of portfolio exposure to risk relating to individual countries and geographic regions and is a level that could significantly impact a fund and its investors if, for example, there are currency fluctuations or geopolitical instability. Furthermore, the data obtained will allow for identification of industry concentrations in particular countries and/or regions and help assess the potential impact of market events on these geographic segments. The five percent threshold level constitutes a reasonable shock to a fund’s net asset value. For example, to the extent there is a market-wide event, a worst-case scenario would be for long positions to lose their full value, in this shock case at least five percent. Furthermore, and particularly for funds without a benchmark, five percent is often evaluated for industry, individual position, and country risk, and is a common and easy to measure threshold. With respect to the $1 billion threshold, it constitutes sufficiently large nominal value exposure from a risk perspective. We are also adding a new question that requires advisers to provide information about each industry to which a reporting fund has exposure equal to or exceeding either (1) five percent of its net asset value or (2) $1 billion, as proposed.389 Advisers are required to report, for each monthly period, the long dollar value and short dollar value of a reporting fund’s exposure by industry based on the NAICS 390 code of the underlying exposure.391 The purpose of this new question is to collect information that will provide insight into hedge funds’ industry exposures in a standardized way to allow for comparability among funds and meaningful aggregation of data to assess overall industry-specific concentrations. Further, the threshold of either (1) five percent of net asset value or (2) $1 billion is appropriate because it represents a material level of portfolio exposure to risk relating to individual

392See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; USCC Comment Letter. 393Fact Coalition Comment Letter. 394MFA Comment Letter II. 395See, e.g., SBA Small Business Size Regulations, 13 CFR 121.101 (2023). 396See Question 44. 397See discussion at section II.C.2.b of this Release. 398See ‘‘A Path Forward For CCP Resilience, Recovery, And Resolution,’’ Mar. 10, 2020, available at https://www.blackrock.com/corporate/ literature/whitepaper/path-forward-for-ccpresilience-recovery-and-resolution.pdf. See also J.P. Morgan Press Release, Mar. 10, 2020, available at https://www.jpmorgan.com/solutions/cib/markets/ a-path-forward-for-ccp-resilience-recovery-andresolution. 399See discussion at section II.C.2.b of this Release. 400MFA Comment Letter II. industries, and is a level that could significantly impact a fund and its investors if, for example, there are market or geopolitical events that affect performance by a particular industry, such as the burst of the ‘‘tech bubble’’ in the early 2000s or COVID–19’s impact on airline, accommodation and food service industries. Furthermore, the data obtained will allow for identification of industry concentrations and help assess the potential impact of market events on industries. While we considered a lower threshold, we continue to believe that the adopted threshold strikes an appropriate balance between identifying significant industry exposure and the burdens of reporting this information on Form PF. This information will be useful to the Commissions and FSOC in monitoring systemic risk, particularly if multiple funds have significant concentrations in industries that are experiencing periods of stress or disruption. When responding to these questions about country and industry exposure, advisers are required to include exposure obtained indirectly though positions held in other entities (e.g., investment companies, other private funds, commodity pools or other company, funds, or entities). Without this requirement, a fund’s exposure to geographic regions and industries could be obscured and hinder the Commissions’ and FSOC’s ability to assess risks and the potential impact of events and trends that affect a particular industry or geographic region, both of which could have implications for investors. While advisers typically maintain this information, the instructions to these questions seek to minimize filer burdens by permitting advisers to report reasonable estimates if such reporting is consistent with internal methodologies and information reported internally and to investors. Some commenters opposed the proposed requirements for more granular reporting, including amendments to require more detailed reporting on country and industry exposure, stating that such information would be of limited value for systemic risk analysis and burdensome to report.392 Another commenter, however, discussed how geopolitical instability and industry disruptions can contribute to systemic risk.393 For reasons
discussed above, country and industry exposure reporting is important for systemic risk, and exposures in excess of five percent of a fund’s net asset value could be significant enough to pose contagion risks. In a modification from the proposal, we are adding an instruction to provide that an adviser is permitted to report reasonable estimates of a fund’s country and industry exposure, provided such reporting is consistent with internal methodologies and information reported internally and to investors, which is intended to lessen the burden on advisers, while allowing us to continue to receive this reporting on country and industry exposure. One commenter stated that requiring advisers to report industry exposure by NAICS is burdensome because funds may not currently collect this data and it may be costly to obtain.394 We disagree that NAICS information is significantly burdensome to obtain and report. NAICS codes are publicly available and is the standard used by certain Federal agencies for classifying entities by industry.395 Central clearing counterparty (CCP) reporting. We are adopting, as proposed except as specifically indicated below, amendments to require advisers to identify each CCP or other third party holding collateral posted by a qualifying hedge fund in respect of cleared exposures (including tri-party repo) equal to or exceeding either (1) five percent of a reporting fund’s net asset value or (2) $1 billion.396 The new question excludes counterparties already reported in Question 42 and Question 43,397 and requires advisers to provide information on: (1) the legal name of the CCP or third party; (2) LEI (if available); (3) whether the CCP or third party is affiliated with a major financial institution; (4) the reporting fund’s posted margin (in U.S. dollars); and (5) the reporting fund’s net exposure (in U.S. dollars), as proposed. In a modification from the proposal, we are also requiring advisers to provide information on the legal name of the collateral owner and the collateral owner LEI. This additional identifying information will allow us to understand the reporting fund’s exposure by differentiating exposures of the reporting fund from exposures of other reporting entities. For example, as discussed more fully above in section II.A.2, advisers report on trading vehicles on a consolidated basis with the reporting fund, and without identifying information, we would be unable to differentiate a reporting fund’s counterparty risk exposure from that of its trading vehicle. We are adopting this new question based on our experience with Form PF since adoption as we have found data gaps with respect to identifying qualifying hedge fund exposures to CCPs and other third parties that hold collateral in connection with cleared exposures. Furthermore, we understand that (1) many large hedge fund advisers already track margin posted for cleared exposures because margin requirements at any given time may well exceed the
clearinghouse’s exposure to a fund and therefore are an important credit risk exposure metric for a fund, and (2) that CCP recovery, resiliency and resolution also are current concerns for some advisers.398 Given these factors, the burden of this new question is justified by valuable insight the data obtained will provide into an area that could have significant implications from a systemic risk perspective. Additionally, we have chosen a reporting threshold of equal to or exceeding either (1) five percent of net asset value or (2) $1 billion to be consistent with the thresholds for other counterparty exposure questions,399 as a qualifying hedge fund is similarly exposed where a third party holds collateral irrespective of whether the third party is a CCP or other counterparty. We are also removing current Question 39, which required information about transactions cleared directly through a CCP, as the information collected is duplicative of information already collected in current Question 24 (redesignated Question 29). One commenter recommended that exposures to CCPs should be reported on an aggregate basis, rather than on an individual CCP basis, because some advisers track these exposures on an aggregate basis and the Commissions have not explained why reporting on an aggregate basis is not sufficient and recommended clarifying whether the instruction in Question 43 to report information for counterparties that are CCPs or other third parties holding collateral in respect of ‘‘cleared exposures’’ is meant to refer to ‘‘centrally cleared exposures.’’ 400 The references to cleared exposures in the instructions to Question 43 are meant to

401 Id.
402Specifically, Question 42(a)(iii) instructs as follows: ‘‘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: . . . enter any additional collateral gathered by the prime broker under a cross margining agreement on lines (iii)(B), (C), (D), and (E). 403MFA Comment Letter II. 404See current Question 41. 405See Private Funds Statistics Q1 2023 (Table 58/59). Current Question 40 (redesignated Question
46) requires advisers to report certain risk data if
the adviser regularly calculates VaR of the reporting fund. Current Question 42 (redesignated Question
47) requires advisers, for specific market factors, to
determine the effect of specified changes on a reporting fund’s portfolio but permits advisers to omit a response to any market factor that they do not regularly consider in formal testing in connection with a reporting fund’s risk management. 406See Question 49 (investment performance breakdown by strategy), and Question 23(c) (volatility of returns and drawdown reporting). See discussion at section II.B.2 of this Release. We are also revising the title of Item C. of section 2 to ‘‘Reporting fund risk metrics and performance’’ to reflect the addition of new questions on performance to this section of the form. 407Question 49. The strategies in Question 49 are based on the strategies included in the drop-down menu in Question 25 (we are also including a dropdown menu for the strategy categories in Question 25, to better reflect our understanding of hedge fund strategies and to improve data quality and comparability). See discussion at section II.B.3 of this Release. 408MFA Comment Letter II. include centrally cleared exposures, as well as other cleared exposures. Receiving data on which individual CCPs are used for centrally cleared positions is important for understanding systemic risk resulting from a concentrated use of the same CCPs among different funds. Further, a CCP default may result in delayed receipt of funds that can create spillover effects at funds, particularly highly leveraged funds, that raise systemic risk and investor protection concerns. While the clearing system is highly risk reducing and transparent, default of a fund, or of a clearing member, could nonetheless cause temporary dislocations that can become significant at critical times. Transparency at this level is important in Form PF and is aligned with funds’ own need to be aware of exposures to individual clearing members. For these reasons, it is appropriate to require this reporting as proposed. This commenter also argued that the requirement to report collateral posted by a fund to meet exchange requirements and separately report additional collateral collected by the prime broker would be difficult for advisers that do not actively monitor exchange margin requirements distinctively from prime broker margin requirements.401 We disagree that this information would be difficult for advisers to report because the instructions to Question 42 specify a simplified method of how to report such blended margin arrangements, including where collateral is not disaggregated.402 The commenter recommended that the Commissions instead require prime brokers to provide this information in standard form and permit advisers to rely on information provided by their prime broker.403 It is important for advisers to report this information aggregated for the reporting fund because individualized reporting from each prime broker may obscure the fund’s counterparty risk. For example, a fund that has arrangements with multiple prime brokers may have a particular counterparty exposure across
multiple prime brokerage arrangements, which may be obscured by separate reporting for each prime broker. Further, it is important for a reporting fund to understand its own counterparty risk, and we understand advisers monitor levels of counterparty concentration for risk management purposes. Therefore, we believe it is appropriate for advisers to report this information on Form PF with other exposure reporting. Individual reporting on CCPs is important because aggregated reporting would not provide sufficiently detailed information to allow us to identify potential risks. For example, in the event of a particular counterparty failure, we would be unable to accurately localize a fund’s risk exposure to that counterparty. Risk metrics. We are adopting, as proposed, amendments to eliminate the requirement that an adviser indicate whether there are risk metrics other than, or in addition to, Value at Risk (‘‘VaR’’) that the adviser considers important to managing a reporting fund’s risks.404 Advisers generally have not reported detailed information in response to this requirement. Currently, about 55 percent of advisers to qualifying hedge funds (representing about 75 percent of the aggregate gross asset value of qualifying hedge funds) report using VaR or market factor changes in managing their hedge funds.405 Instead, advisers will be required to provide additional information about a reporting fund’s portfolio risk profile, investment performance by strategy, and volatility of returns and drawdowns.406 This amendment will expand the amount of data collected by collecting risk data in circumstances where advisers do not use VaR or market factor changes, and thus will provide insight across all (rather than only some) qualifying hedge funds. This new information will provide uniform and consistently reported risk information that will enhance our ability to monitor and assess investment risks of qualifying hedge funds to gauge systemic risk. In particular, volatility of returns and drawdown data is a simple measure of risk that enables us to monitor riskadjusted returns, changes in volatility and thereby risk profiles. We did not receive specific comment on this amendment. Investment performance by strategy. We are adopting, in a modification from the proposal, amendments to require to qualifying hedge funds that indicate more than one investment strategy for a fund in Question 25 to report monthly gross investment performance by strategy if the adviser reports this data for such fund, whether to current and prospective investors, counterparties, or otherwise, rather than if the adviser ‘‘calculates and reports’’ such information to third parties, as proposed.407 Advisers will not be required to respond to this question if the adviser reports performance for the fund as an internal rate of return, as proposed. This question is designed to integrate Form PF hedge fund data with the FRB’s reporting on Financial Accounts of the United States, which
the FRB uses to track the sources and uses of funds by sector, and which are a component of a system of macroeconomic accounts including the National Income and Product accounts and balance of payments accounts, all of which serve as a comprehensive set of information on the economy’s performance. We also believe that this information will be helpful to the Commissions’ and FSOC’s monitoring and analysis of strategy-specific systemic risk in the hedge fund industry. One commenter recommended that the requirement be limited to reporting on investment strategies that the fund reports to third parties.408 This commenter also stated that the proposed instructions were not clear how an adviser should respond if it does not report such information to third parties. After considering comments, in a change from the proposal, advisers will be required to respond to this question only if they actually report investment performance to third parties; thus, advisers will not be required to respond to this question if they only calculate (but do not report) such information. This change will allow us to continue to receive strategy performance information that is reported to third parties while reducing the burden on

409See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 410AIMA/ACC Comment Letter. 411See Question 37. 412MFA Comment Letter II. 413Question 37. 414 Id. 415MFA Comment Letter II. See also Question 37. 416See Form PF Frequently Asked Questions, supra footnote 162, Question 32.3. 417See 2011 Form PF Adopting Release, supra footnote 4, at text accompanying n.281. 418We redesignated current Question 46 as Question 50. advisers. We understand that advisers may frequently calculate strategy performance for purposes other than reporting performance to third parties and that requiring reporting of each such calculation may be of more limited value and may be burdensome to report. Portfolio Correlation. In a change from the proposal, we are not adopting a proposed question on portfolio correlation to collect data on the effects of a breakdown in correlation. We received several comments stating that the proposed portfolio correlation question would impose significant burdens on advisers because portfolio correlation is not a commonly calculated risk measurement and can be complex to calculate.409 One commenter recommended only requiring an adviser to report portfolio correlation if correlation is a risk analysis metric that the adviser reports to its investors.410 In light of comments we received, we are persuaded that the complexity and corresponding increased burden associated with the proposed portfolio correlation question would be significant. The new and modified questions we are adopting in this Release will also enhance our leverage monitoring efforts and enhance our data insights on counterparty exposures without including the proposed portfolio correlation question. Portfolio Liquidity. We are adopting, as proposed, amendments to require advisers to include cash and cash equivalents when reporting portfolio liquidity, rather than excluding them, as the question currently provides.411 We understand that reporting funds typically include cash and cash equivalents when analyzing their portfolio liquidity. This change will improve data quality by reducing inadvertent errors that result from requiring advisers to report in a way that is different from how they may report internally. This change is more reflective of industry practice, and it is preferable to receive reported data in a format that reflects how advisers typically analyze portfolio liquidity. We are also amending the form’s instructions to allow advisers to assign each investment to more than one period, rather than directing advisers to assign each investment to only one period, as Question 32 currently provides. We understand that directing advisers to assign an investment to only one period may make a reporting fund’s portfolio appear less liquid than it is because it would not reflect that reporting funds may divide up sales in different periods (e.g., a reporting fund could sell off a portion in the first time period and sell of the remainder in subsequent time periods).
Therefore, this change is designed to reflect the liquidity of a reporting fund’s portfolio more accurately. While advisers will continue to be able to rely on their own methodologies to report portfolio liquidity, we are adding an instruction explaining that estimates must be based on a methodology that takes into account changes in portfolio composition, position size, and market conditions over time. Based on experience with the form, we have found that some advisers have used static methodologies that do not consider portfolio composition and position size relative to the market, and therefore do not reflect a reasoned view about when positions could be liquidated at or near carrying value. Therefore, this change will continue to allow advisers to use their own methodologies but improve data quality to ensure that the methodologies generate reporting that reflects a reasonable view of portfolio liquidity in light of changes in portfolio composition and size, and market conditions, over time. One commenter stated that portfolio liquidity is a metric that may create misleading impressions when assessed on a disaggregated fund by fund basis.412 As discussed more fully above in section II.A of the Release, disaggregated reporting, rather than being misleading, allows for a clearer understanding of the reporting fund’s structure, including its portfolio liquidity, because we can observe liquidity on a fund by fund basis while continuing to allow aggregation of data across the fund structure for the broader context. This commenter also stated the proposed instruction regarding how to report the percentage of fund’s net asset value that may be liquidated within each period if an investment is assigned to more than one period was unclear. In consideration of this comment, we are adding an instruction to specify that if an investment is assigned to more than one period, the adviser should reflect the percentage of NAV that might be liquidated within each period, rather than the percentage of NAV that the entire investment represents.413 The same commenter stated that we should clarify the meaning of the proposed instruction that estimates must be based on a methodology that takes into account changes in portfolio composition, position size, and market conditions over time. To address this comment, we are also revising the instructions to specify that, for example, estimates would change if the portfolio invests in more or less liquid assets, if/ when the portfolio investments grow to a size relative 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.414 This commenter also recommended that the total portfolio liquidity should not be expressed as a percentage of a fund’s net asset value, in light of the instruction that suggests that the total may not add up to 100 percent.415 The instruction that the
total percentages should add up to approximately 100 percent is appropriate because we recognize that rounding differences may result in a calculated total percentage that does not equal 100 percent. We continue to believe that portfolio liquidity should be expressed as a percentage of net asset value because net asset value is also the unit in which redemptions take place and would allow calculations in value, if needed. Finally, to facilitate more accurate reporting, collect better data, and reduce filer errors, we are amending the table to be included in new Question 37 to reflect that information should be reported as a percentage of NAV consistent with SEC staff Form PF Frequently Asked Questions.416 We did not receive specific comment on this amendment. Financing and Investor Liquidity. Current Question 46 is designed to show the extent to which financing may become rapidly unavailable for qualifying hedge funds.417 We are adopting, as proposed, amendments to current Question 46 to improve data quality thereby supporting more effective systemic risk analysis.418 Advisers will be required to provide the dollar amount of financing that is available to the reporting fund, including financing that is available but not used, by the following types: (1) ‘‘unsecured borrowing,’’ (2) ‘‘secured borrowing’’ via prime brokerage, (3) secured borrowing via reverse repo, and

419Form PF defines ‘‘unsecured borrowing’’ as obligations for borrowed money in respect of which the borrower has not posted collateral or other credit support. Form PF defines ‘‘secured borrowing’’ as obligations for borrowed money in respect of which the borrower has posted collateral or other credit support. For purposes of this definition, reverse repos are secured borrowings. See Form PF Glossary of Terms. These categories are designed to be consistent with borrowing categories that qualifying hedge funds will report on the new counterparty exposure table. 420Current Question 43 collects data on the reporting fund’s borrowing by type (e.g., unsecured, and secured by type, i.e., prime broker, reverse repo or other), while current Question 46 only collects a total amount of financing available, both used and unused, with no breakdown by type of financing. 421As discussed more fully above in section II.B.2 of this Release, some commenters stated that, in the context of proposed Question 10, the proposed amendments should permit reporting of multiple types of redemption and withdrawal rights. See, e.g., MFA Comment Letter II; SIFMA Comment Letter; USCC Comment Letter. 422See, e.g., AIC Comment Letter I; CFA Institute Comment Letter; Ropes & Gray Comment Letter; Schulte Comment Letter; SIFMA Comment Letter. 423See AIC Comment Letter I; Ropes & Gray Comment Letter. 424See SIFMA Comment Letter. 425See Ropes & Gray Comment Letter. 17 CFR 275.203(l)–1. See Exemptions for Advisers to Venture Capital Funds, Private Fund Advisers with Less than $150 Million in Assets Under Management, and Foreign Private Advisers, Advisers Act Release No. 3222 (June 22, 2011) [76 FR 39646 (July 6, 2011)]. 426See CFA Institute Comment Letter. 427See MFA Comment Letter II. 428 Instruction 15 (provides guidelines for advisers in responding to questions on Form PF relying on their own methodology). (4) other secured borrowings.419 Currently, the Commissions and FSOC infer this data from this question and current Question 43 (concerning the reporting fund’s borrowings).420 However, these inferences may not be accurate given the number of assumptions that currently go into making such inferences. This information will help us understand the extent to which a fund’s financing could be rapidly withdrawn and not replaced. We did not receive specific comment on this amendment. Current Question 50, which we have redesignated as Question 53, requires an adviser to report the percentage of the fund’s net asset value that is subject to suspensions and restrictions on withdrawals/ redemptions for various time periods. In a modification from the proposal, we are amending Question 53 to instruct the adviser to make a good faith determination of the withdrawal and redemption restrictions that would likely be triggered during significant market stress conditions. This additional instruction addresses commenters’ concerns by reducing the reporting burden for advisers that advise funds with
varying redemption and withdrawal rights and improve data quality.421 Definition of ‘‘Hedge Fund.’’ We requested comment on whether we should amend the definition of ‘‘hedge fund’’ as it is defined in the Form PF Glossary of Terms. After considering comments, we are not adopting any amendments to the existing definition of ‘‘hedge fund’’ at this time. Certain commenters generally supported revising the definition of ‘‘hedge fund’’ to remove deemed hedge funds (i.e., a private fund reported as a ‘‘hedge fund’’ as Form PF directs because the fund’s governing documents permit the fund to engage in certain borrowing and short selling (even though it did not do so at any time in the past)).422 These commenters supported revising the definition of ‘‘hedge fund’’ to exclude private funds that have an ability to use leverage or engage in shorting but do not do so in the ordinary course of business and that the market does not generally consider to be hedge funds. Some commenters recommended adopting a de minimis test, which would exclude any private fund from the definition that has not recently engaged in shorting or borrowing activity within a specified period, such as within the last 12 months, or has not engaged in these activities in excess of a specified amount, such as greater than 0.5% or 1% of the fund’s net asset value.423 One commenter recommended an exclusion for any private fund whose borrowing activities are only related to real estate.424 Another commenter recommended including a rebuttable presumption in the definition that a private fund that holds itself out as a hedge fund is a hedge fund, while a private equity fund that holds itself out as pursuing a private equity strategy is not a hedge fund, similar to the venture capital exemption under the Advisers Act.425 Another commenter recommended specifying in the definition that only private funds that provide redemption rights in the ordinary course can be classified as hedge funds.426 One commenter recommended revising the definition to remove the default treatment of commodity pools as hedge funds.427 The existing definition is designed to include any private fund having any one of three common characteristics of a hedge fund: (1) a performance fee that takes into account market value (instead of only realized gains); (2) leverage; or (3) short selling. We believe that any private fund that has one or more of these characteristics is an appropriate subject for the more detailed level of reporting that hedge funds are subject to on Form PF because the questions that hedge fund advisers are required to complete focus on these activities which bring funds within the ‘‘hedge fund’’ definition. Without classifying these funds as hedge funds for the purpose of Form PF, we would not receive important reporting on these activities which may contribute to systemic risk, particularly in the event of a fund that has the ability to engage in borrowing or short selling activities. Incorporating any
carveouts in the definition, such as the recommended de minimis exception for borrowing or short selling, could cause further data mismatches and increase the burden on advisers because certain funds could be required to fluctuate between different reporting categories in different reporting periods depending on the fund’s practices in any given period. In our experience, such an exclusion would eliminate only a limited number of private funds from the reporting category. We also believe that short selling and borrowing are important distinguishing characteristics of hedge funds and providing any exception for these activities, including a de minimis one, could have a significant, negative effect on reporting. Therefore, we do not believe that including responses from these private funds in the reporting information from hedge fund advisers impairs our data quality. We also believe adopting a rebuttable presumption is not appropriate because it would increase burdens on advisers by effectively requiring an adviser to produce evidence of its filing category. Further, this approach would effectively allow an adviser to determine whether it reports the additional information that hedge fund advisers are required to report on Form PF, which would diminish the quality and value of data collected on Form PF. Additionally, as it relates to the treatment of commodity pools as hedge funds for reporting purposes, such treatment further aligns the consistency of questions asked across these entities, both on this Form PF, as well as on the CFTC’s Form CPO– PQR. D. Amendments To Enhance Data Quality We are also adopting, as proposed except as specifically provided below, several amendments to the instructions to Form PF to enhance data quality.428 Specifically, we are adopting the following changes:
Reporting of percentages. For questions that require information to be expressed as a percentage, we are adopting, as proposed, an amendment to

429MFA Comment Letter II.
430Specifically, Instruction 15 requires that if a question in Form PF requests information regarding a ‘‘position’’ or ‘‘positions,’’ advisers must treat legs of a transaction even if offsetting or partially offsetting, or even if entered into with the same counterparty under the same master agreement as two separate positions, even if reported internally as part of a larger transaction. See also instructions to N–PORT, General Instruction G. 431See Use of Derivatives by Registered Investment Companies and Business Development Companies, Release No. 34084 (Nov. 2, 2020) [85 FR 83162, 83210 (Dec. 21, 2020)]. See also Form PF Frequently Asked Questions, supra footnote 162, Question 44.1. 432See AFREF Comment Letter I; Better Markets Comment Letter. See supra section II.C.2.a. 433See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. See supra section II.C.2.a. 434See Form PF Glossary of Terms (definition of ‘‘10-year bond equivalent’’ specifies the 10-year zero coupon bond equivalent). 435AIMA/ACC Comment Letter. 436This is consistent with staff Form PF Frequently Asked Questions, see, e.g., supra footnote 162, Questions 24.3 and 26.1. require that percentages be rounded to the nearest one hundredth of one percent rather than rounded to the nearest whole percent. This additional level of precision is important, especially for questions where it is common for filers to report low percentage values (e.g., risk metric questions such as Question 40 and Question 42) to avoid situations where advisers round to zero and no data is reported, potentially obscuring small changes that may be meaningful from a risk analysis or stress testing perspective. One commenter stated that the requirement to report information expressed as a percentage to the nearest one hundredth of one percent will significantly increase the costs and additional burdens for reporting advisers.429 This commenter also stated that, if the Commissions provide a basis for requiring additional granularity, the Commissions should amend the instruction to require reporting rounded to the nearest one tenth of one percent, rather than one hundredth of one percent. Percentages rounded to the nearest one hundredth of one percent will allow the Commissions to obtain and analyze more precise information that may otherwise be obscured. For example, one one-hundredth of one percent can represent a meaningful dollar amount depending on the size of the private fund. And, while we recognize that this may not be the case for smaller funds, when such amounts are taken together for a large group of smaller funds, the aggregate amount across the fund group can represent a meaningful dollar amount for data analysis purposes. Furthermore, as noted above, this level of detail is particularly important for questions where it is common for filers to report low percentage values to avoid situations where advisers round to zero and no data is reported. Finally, we understand that many
advisers already use electronic spreadsheet programs and other tools to generate percentages and assist with rounding, which should limit the incremental burdens and costs on advisers. While we considered less granular reporting, such as rounding to the nearest one tenth of one percent, the adopted threshold strikes an appropriate balance between enhancing Form PF data quality and the burdens and costs of reporting this information on Form PF. Value of investment positions and counterparty exposures. We are amending, as proposed, the instructions to specify how private fund advisers determine the value of investment positions (including derivatives) and counterparty exposures. We are adopting amendments to require derivatives trades to be reported independently on a gross basis, consistent with derivatives reporting on Form N–PORT.430 We are also amending the instruction that for all positions reported on Form PF, to not include as ‘‘closed-out’’ a position if the position is closed out with the same counterparty and results in no credit or market exposure to the fund, making the approach on Form PF with respect to closed out positions consistent with rule 18f–4 of the Investment Company Act and our understanding of filers’ current practices.431 We did not receive specific comment on these amendments. These changes will provide a more consistent presentation of reported information on investment and counterparty exposures to support more accurate aggregation and comparisons among private funds by us and FSOC in assessing systemic risk. Reporting of long and short positions. We are amending, as proposed, the instructions regarding the reporting of long and short positions on Form PF to improve the accuracy and consistency of reported data used for systemic risk analysis. The amended instructions specify that if a question requires the adviser to distinguish long positions from short positions, the adviser should classify positions based on the following: (1) a long position experiences a gain when the value of the market factor to which it relates increases (and/or the yield of that factor decreases), and (2) a short position experiences a loss when the value of the market factor to which it relates increases (and/or the yield of that factor decreases). Although some commenters supported the proposed amendments to require advisers to report their long and short holdings on a disaggregated basis 432 and other commenters opposed the requirements for more detailed disclosure of holdings,433 we did not receive specific comment on the proposed change to the instructions defining long and short positions. The amended instructions will improve the data quality and comparability used for systemic risk analysis. Calculating certain derivative values. We are amending, with a modification from the proposal, the instruction to provide that, (1) for calculating the value of interest rate derivatives, ‘‘value’’ means the 10-year bond equivalent, and (2) for
calculating the value of options, ‘‘value’’ means the delta adjusted notional value (expressed as a 10-year bond equivalent for options that are interest rate derivatives).434 In a change from the proposal, the amended instructions provide that the value should be expressed in U.S. dollars, rather than the base currency of the reporting fund, to maintain consistent currency reporting throughout Form PF. One commenter stated that the definition of ‘‘10-year bond equivalent’’ specifies the expression of the value in the fund’s base currency, which could result in requiring multiple currency conversions for any transactions not in the fund’s base currency.435 We are revising the ‘‘10-year bond equivalent’’ definition to reference U.S. dollars, rather than the fund’s base currency. We are making this change because it is important for metrics to be reported in a common currency for data quality and comparability purposes. The amended instruction also provides that in determining the value of these derivatives, advisers should not net long and short positions or offset trades but should exclude closed-out positions that are closed out with the same counterparty provided that there is no credit or market exposure to the fund. The amendments are designed to provide more consistent reporting by advisers, which will help support more accurate aggregation of data, better comparisons among funds, and a more accurate picture for purposes of assessing systemic risk.436 Currency Conversions for Reporting in U.S. Dollars. We are amending, as proposed, Instruction 15 to specify that if a question requests a monetary value, advisers should provide the information

437See Instruction 15.
438AFREF Comment Letter I.
439See Question 33.
440AIMA/ACC Comment Letter.
441We are also adopting amendments to update the mailing address to which advisers requesting a temporary hardship exemption should mail their exemption filing, include the email address for submitting electronically the adviser’s signed exemption filing in PDF format, and add an instruction noting that filers should not complete or file any other sections of Form PF if they are filing a temporary hardship exemption. See Instruction
14. The reference regarding the instruction
pertaining to temporary hardship exemptions has also been amended to refer to Instruction 14 instead of Instruction 13 and, as a result of the amendments set forth in the May 2023 SEC Form PF Amending Release, to refer to section 7 instead of section 5. See Form PF General Instruction 3, Section 7— Advisers requesting a temporary hardship exemption. 442We are also adopting amendments to 17 CFR 275.204(b)–1(f) under the Advisers Act to remove certain filing instructions in the rule for temporary hardship exemptions and instead direct filers to the instructions in the form. See 17 CFR 275.204(b)– 1(f)(2)(i) (indicating that advisers should complete and file Form PF in accordance with the instructions to Form PF, no later than one business day after the electronic Form PF filing was due). 443See Form CPO–PQR Release, supra footnote 100. 444See, e.g., MFA Comment Letter II; SIFMA Comment Letter. 445See section II.C.2.d in this Release for further discussion of the amendments to current Question 28. 446 In May 2023, the SEC amended Form PF
section 4, added new sections 5 and 6, and
redesignated prior section 5 as section 7 in connection with certain amendments to require event reporting for large hedge fund advisers and all private equity fund advisers and to revise certain reporting requirements for large private equity fund advisers. See May 2023 SEC Form PF Amending Release. 447As revised, Section 5 Item B states: If on any business day the 10-business-day holding period return of the reporting fund is less than or equal to ¥20%, provide the information required by Questions 5–4 to 5–7, below. (Current reports should not be filed for overlapping 10-business-day periods.). in U.S. dollars as of the data reporting date or other requested date (as applicable) and use a foreign exchange rate for the applicable date. We are also amending Instruction 15 to provide that if a question requests a monetary value for transactional data that covers a reporting period, advisers should provide the information in U.S. dollars, rounded to the nearest thousand, using foreign exchange rates as of the dates of any transactions to convert local currency values to U.S. dollars.437 One commenter stated that private funds should be required to report their holdings in the fund’s base currency, rather than convert to U.S. dollars, to allow for assessment of the extent of a fund’s currency risk exposure.438 We agree that currency exposure reporting is important for understanding a fund’s overall risk exposure and for systemic risk analysis and, as discussed more fully in section II.C above, we are adopting other amendments to Form PF that require large hedge fund advisers to report additional data on the fund’s currency risk exposure.439 Regarding currency reporting, however, it is important for data comparability for advisers to report in a common currency, rather than in a fund’s base currency, and for an adviser to determine foreign exchange rates consistent with its valuation policies because reporting in a common currency allows the Commissions to evaluate aggregate data, such as exposures, more readily. One commenter recommended specifying a required time of day and methodology for determining the applicable foreign exchange rate to avoid inconsistent data.440 Although specifying a time of day and methodology could improve data comparability, this would distort values reported on Form PF from what advisers calculate and report to their investors because these values are similar to prices on any other portfolio investment. For a foreign exchange rate, the adviser is valuing a currency, but generally should be doing so using the same source, time of day, or other methodology for capturing foreign exchange rates as is defined in the adviser’s or fund’s valuation policy. It is preferable for advisers to report values using the foreign exchange rate practices they use internally and to report to their investors. E. Additional Amendments We are adopting, as proposed except as indicated below, several additional amendments to the general
instructions to Form PF. We are adopting an amendment to Instruction 14 to allow advisers to request a temporary hardship exemption electronically to make it easier to submit a temporary hardship exemption.441 We are also adopting an amendment to 17 CFR 275.204(b)–1(f) under the Advisers Act, that for purposes of determining the date on which a temporary hardship exemption is filed, ‘‘filed’’ means the earlier of the date the request is postmarked or the date it is received by the Commission.442 We are adopting the latter change to assist advisers with determining what constitutes a ‘‘filed’’ temporary hardship exemption in the context of the requirement that the request be filed no later than one business day after a filer’s electronic Form PF filing was due as required under Instruction 14. We did not receive comments on these proposed amendments. Additionally, we are adopting, as proposed, amendments to Instruction 18 based on recent rule changes made by the CFTC with respect to Form CPO– PQR.443 While the CFTC no longer considers Form PF reporting on commodity pools as constituting substituted compliance with CFTC reporting requirements, some CPOs may continue to report such information on Form PF. Although some commenters recommended that the Commissions harmonize filing requirements between Form PF and Form CPO–PQR,444 we did not receive comments on the proposed change to the instructions on substituted compliance. We are adopting, as proposed, amendments to the defined term ‘‘G10,’’ which Form PF defines as the Group of Ten, to (1) remove outdated country compositions and (2) include an instruction that if the composition of the G10 changes after the effective date of these amendments to Form PF, advisers should use the current composition as of the data reporting date. In a modification from the proposal, we are not adopting the proposed amendments to the defined term ‘‘EEA,’’ as this term is no longer used in the Form following the amendments we are adopting to current Question 28.445 We are also removing ‘‘EEA’’ as a defined term in the Glossary for the same reason. We did not receive comments on these proposed definitional changes. Additionally, the SEC is making a technical amendment to Section 5 Item B ‘‘Extraordinary Investment Losses’’ to correct a mathematical error in the version of the form adopted as part of the May 2023 SEC Form PF Amending Release. 446 Specifically, the SEC is revising the equation in the first sentence so that it accurately reflects that the 10-business-day holding period return computation should be a percentage, rather than a value. To accomplish this, the SEC is deleting the phrase ‘‘of reporting fund aggregate calculated value’’ in Section 5 Item B ‘‘Extraordinary Investment Losses’’ current report for large hedge fund advisers to qualifying hedge funds.447 F. Effective and Compliance Dates In order to provide time for advisers to prepare to comply with the amendments, including reviewing the
requirements, building the appropriate internal reporting and tracking systems, and collecting the required information, as well as to simplify the compliance process and reduce potential confusion, the effective date for the amendments is

448With respect to the compliance period, several commenters requested the SEC consider interactions between the proposed rule and other recent SEC rules. In determining compliance periods, the SEC considers the benefits of the rules as well as the costs of delayed compliance periods and potential overlapping compliance periods. For the reasons discussed throughout this release, to the extent that there are costs from overlapping compliance periods, the benefits of the rule justify such costs. See sections IV.B.1 and IV.C.2 of this Release for a discussion of the interactions of the final rule with certain other Commission rules. 449For the amendments adopted in the May 2023 SEC Form PF Amending Release, the effective/ compliance date for sections 5 and 6 is Dec. 11, 2023, and the effective compliance/date for the amended, existing sections, is June 11, 2024. See May 2023 SEC Form PF Amending Release, supra footnote 4. For the amendments adopted in the July 2023 SEC Form PF Amending Release, the effective/ compliance date for the amendments to Form PF is also June 11, 2024. See July 2023 SEC Form PF Amending Release, supra footnote 4. 450See, e.g., MFA Comment Letter III; SIFMA Comment Letter. Subsequent to these comment letters, the SEC adopted amendments to section 3 of Form PF concerning liquidity funds. See July 2023 SEC Form PF Amending Release, supra footnote 4. 451SIFMA Comment Letter. 452AIMA/ACC Comment Letter. 453 Id. 454 Id. 455 Id. 456 15 U.S.C. 80b–2(c). the same as the compliance date.448 The effective/compliance date is March 12, 2025, which is one year from the date of publication of the rules in the Federal Register. We recognize that the different effective/compliance date for these amendments from those adopted in the May 2023 SEC Form PF Amending Release and the July 2023 SEC Form PF Amending Release may lead to inconsistent reporting as well as additional compliance burdens because we are amending certain existing questions in Form PF.449 If a period exists during which some advisers may be completing the old version of these questions and other advisers are completing the amended versions, they may be providing different types of information. This information could be difficult to compare and thus would limit its value for the FSOC and our assessment of systemic risk. However, the amendments we are adopting relate to different sections of Form PF than those adopted in the May 2023 SEC Form PF Amending Release and the July 2023 SEC Form PF Amending Release. Therefore, we will continue to be able to review the data that is reported in sections 1 and 2 of Form PF during the period between the effective/ compliance date of the amendments adopted in the May 2023 SEC Form PF Amending Release and the July 2023 SEC Form PF Amending Release. For example, during the transition period between the effective/compliance date of the amendments adopted in May and July, the data reported on sections 1 and 2 of Form PF will retain its
comparability as all filers will report on the same sets of questions in these sections. Some commenters recommended adopting the same effective and compliance date for the amendments proposed in the 2022 SEC Form PF Proposing Release and the 2022 Joint Form PF Proposing Release because it would be more efficient for advisers to implement a single set of changes to its systems.450 One commenter recommended that the Commissions provide sufficient time for advisers to comply with any new rules arising out of the 2022 SEC Form PF Proposing Release and the 2022 Joint Form PF Proposing Release.451 One commenter recommended that the Commissions adopt concurrent and overlapping compliance and transition periods for each set of proposed amendments to lessen the burden and expense of compliance.452 We recognize that a single set of effective/compliance dates for each set of amendments could potentially provide certain efficiencies for advisers in modifying their existing systems. We considered earlier effective/compliance dates for the amendments adopted in this Release that would align with the effective/compliance dates adopted for the May/July amendments; however, we do not believe that either of the compliance/effective dates for the other amendments to Form PF would provide advisers with sufficient time to comply with the distinct set of amendments that are being adopted in this Release. The compliance/effective dates for the distinct set of Form PF amendments that we are adopting, which apply to different sections of the Form than the May/July amendments to Form PF, are later than the effective/compliance dates of the May/July amendments to allow advisers sufficient time to comply with the amendments that are being adopted in this Release, as well as the May/July amendments. One commenter recommended a transition period for the change from fiscal quarter to calendar quarter reporting for large hedge fund advisers and large liquidity fund advisers, as discussed more fully in section II.A.3 above.453 The commenter stated that for quarterly filers who have a fiscal year ending in a non-calendar quarter month, the proposed instructions do not specify the procedure for a filer who, during the transition from fiscal to calendar quarter reporting, would otherwise be required to report twice in one calendar quarter.454 The commenter recommended that such filers be required to file their first calendar quarter-end filing for the first full quarterly reporting period after the compliance date, to avoid requiring two filings in a single calendar quarter period.455 After considering comments, we confirm that such an adviser is not required to file its quarterly report more than once in a single calendar quarter as a result of this amendment because advisers are not required to transition to the new timing requirement until the first calendar quarter-end filing for the first full quarterly reporting period after the compliance date.
III. Other Matters
Pursuant to the Congressional Review Act, the Office of Information and Regulatory Affairs has designated these rules as not a ‘‘major rule’’ as defined by 5 U.S.C. 804(2). If any of the provisions of these rules, or the application thereof to any person or circumstance, is held to be invalid, such invalidity shall not affect other provisions or application of such provisions to other persons or circumstances that can be given effect without the invalid provision or application.
IV. Economic Analysis
A. Introduction
The SEC is mindful of the economic effects, including the costs and benefits, of the final amendments. Section 202(c) of the Advisers Act provides that when the SEC is engaging in rulemaking under the Advisers Act and is required to consider or determine whether an action is necessary or appropriate in the public interest, the SEC shall also consider whether the action will promote efficiency, competition, and capital formation, in addition to the protection of investors.456 The analysis below addresses the likely economic effects of the final amendments, including the anticipated and estimated benefits and costs of the amendments and their likely effects on efficiency, competition, and capital formation. The SEC also discusses the potential economic effects of certain alternatives to the approaches taken in this Release. As discussed in the proposing release, many of the benefits and costs discussed below are difficult to quantify. For example, in some cases, data needed to quantify these economic effects are not currently available and the SEC does not have information or data that would allow such quantification. While the SEC has attempted to quantify economic

457See, e.g., Nasdaq v. SEC, 34 F.4th 1105, 1111– 15 (D.C. Cir. 2022). This approach also follows SEC staff guidance on economic analysis for rulemaking. See SEC Staff, Current Guidance on Economic Analysis in SEC Rulemaking (Mar. 16, 2012), available at https://www.sec.gov/divisions/riskfin/ rsfi_guidance_econ_analy_secrulemaking.pdf (‘‘The economic consequences of proposed rules (potential costs and benefits including effects on efficiency, competition, and capital formation) should be measured against a baseline, which is the best assessment of how the world would look in the absence of the proposed action.’’); Id. at 7 (‘‘The baseline includes both the economic attributes of the relevant market and the existing regulatory structure.’’). The best assessment of how the world would look in the absence of the proposed or final action typically does not include recently proposed actions, because doing so would improperly assume the adoption of those proposed actions. 458See, e.g., MFA Comment Letter III; SIFMA Comment Letter; AIC Comment Letter I; AIC Comment Letter II; MFA/NAPFM Comment Letter; Comment Letter of U.S. House of Representatives Committee on Financial Services. 459Amendments to Form PF to Require Current Reporting and Amend Reporting Requirements for Large Private Equity Advisers and Large Liquidity Fund Advisers, Release No. IA–5950 (Jan. 26, 2022) [87 FR 9106 (Feb. 17, 2022)] (see MFA/NAPFM Comment Letter at 20, n.21 and accompanying text; AIC Comment Letter II at 8, n.25); Private Fund Advisers; Documentation of Registered Investment Adviser Compliance Reviews, Release No. IA–5955 (Feb. 9, 2022) [87 FR 16886 (Mar. 24, 2022)] (see MFA/NAPFM Comment Letter at 10–12; AIC Comment Letter II at 1, n.3, 8); Modernization of Beneficial Ownership Reporting, Release Nos. 33– 11030, 34–94211 (Feb. 10, 2022) [87 FR 13846 (Mar. 10, 2022)] (see MFA/NAPFM Comment Letter at 14–15); Short Position and Short Activity Reporting by Institutional Investment Managers, Release No. 34–94313 (Feb. 25, 2022) [87 FR 14950 (Mar. 16, 2022)] (see MFA/NAPFM Comment Letter at 15– 16); Prohibition Against Conflicts of Interest in Certain Securitizations, Release No. 33–11151 (Jan. 25, 2023) [88 FR 9678 (Feb. 14, 2023)] (see MFA/ NAPFM Comment Letter at 21–22); Standards for Covered Clearing Agencies for U.S. Treasury Securities and Application of the Broker-Dealer Customer Protection Rule With Respect to U.S. Treasury Securities, Release No. 34–95763 (Sept. 14, 2022) [87 FR 64610 (Oct. 25, 2022)] (see July 2023 MFA and NAPFM Comment Letter at 16–17); Further Definition of ‘‘As a Part of a Regular Business’’ in the Definition of Dealer and Government Securities Dealer, Release No. 34– 94524 (Mar. 28, 2022) [87 FR 23054 (Apr. 18, 2022)] (see MFA/NAPFM Comment Letter at 12–13; AIC Comment Letter II at n.3, n.16, n.30). 460May 2023 SEC Form PF Amending Release, supra footnote 4. The Form PF amendments adopted in May 2023 require large hedge fund advisers and all
private equity fund advisers to file reports upon the occurrence of certain reporting events. The May 2023 SEC Form PF Amending Release revised Form PF to (i) add new current reporting requirements for large hedge fund advisers to qualifying hedge funds upon the occurrence of key events (new section 5); (ii) add new quarterly reporting requirements for all private equity fund advisers upon the occurrence of key events (new section 6); and (iii) add and revise new regular reporting questions for large private equity fund advisers. The compliance dates are Dec. 11, 2023, for the event reports in Form PF sections 5 and 6, and June 11, 2024, for the remainder of the Form PF amendments in the May 2023 SEC Form PF Amending Release. 461SEC Private Fund Advisers Adopting Release, supra footnote 185. The Commission adopted five new rules and two rule amendments as part of the reforms. The compliance date for the quarterly statement rule and the audit rule is Mar. 14, 2025, for all advisers. For the adviser-led secondaries rule, the preferential treatment rule, and the restricted activities rule, the Commission adopted staggered compliance dates that provide for the following transition periods: for advisers with $1.5 billion or more in private funds assets under management, a 12-month transition period (ending on Sept. 14, 2024) and for advisers with less than $1.5 billion in private funds assets, an 18-month transition period (ending on Mar. 14, 2025). The compliance date for the amended Advisers Act compliance rule was Nov. 13, 2023. 462Modernization of Beneficial Ownership Reporting, Release No. 33–11253 (Oct. 10, 2023) (‘‘Beneficial Ownership Amending Release’’). Among other things, the amendments generally shorten the filing deadlines for initial and amended beneficial ownership reports filed on Schedules 13D and 13G, and require that Schedule 13D and 13G filings be made using a structured, machinereadable data language. The amendments are effective on Feb. 5, 2024. Compliance with the new filing deadline for Schedule 13G will not be required before Sept. 30, 2024, and the rule’s structured data requirements have a one-year implementation period ending Dec. 18, 2024. See Beneficial Ownership Amending Release, section II.G. 463Short Position and Short Activity Reporting by Institutional Investment Managers, Release No. 34– 98738 (Oct. 13, 2023) [88 FR 75100 (Nov. 1, 2023)] (‘‘Short Position Reporting Adopting Release’’). The new rule and related form are designed to provide greater transparency through the publication of short sale-related data to investors and other market participants. Under the new rule, institutional investment managers that meet or exceed certain specified reporting thresholds are required to report, on a monthly basis using the related form, specified short position data and short activity data for equity securities. The compliance date for the rule is Jan. 2, 2025. In addition, the Short Position Reporting Adopting Release
amends the national market system plan governing consolidated audit trail (‘‘CAT’’) to require the reporting of reliance on the bona fide market making exception in the Commission’s short sale rules. The compliance date for the CAT amendments is July 2, 2025. 464Prohibition Against Conflicts of Interest in Certain Securitizations, Release No. 33–11254 (Nov. 27, 2023) [88 FR 85396 (Dec. 7, 2023)] (‘‘Securitizations Conflicts Adopting Release’’). The new rule prohibits an underwriter, placement agent, initial purchaser, or sponsor of an asset-backed security (including a synthetic asset-backed security), or certain affiliates or subsidiaries of any such entity, from engaging in any transaction that would involve or result in certain material conflicts of interest. The compliance date is June 9, 2025. 465Standards for Covered Clearing Agencies for U.S. Treasury Securities and Application of the Broker-Dealer Customer Protection Rule with Respect to U.S. Treasury Securities, Release No. 34– 99149 (Dec. 13, 2023) [89 FR 2714 (Jan. 16, 2024)] (‘‘Treasury Clearing Adopting Release’’). Among other things, the rules require covered clearing agencies for U.S. Treasury securities to have written policies and procedures reasonably designed to require that every direct participant of the covered clearing agency submit for clearance and settlement all eligible secondary market transactions in U.S. Treasury securities to which it is a counterparty. The compliance dates are 60 days after publication in the Federal Register for each covered clearing agency to file any proposed rule changes pursuant to final Rule 17Ad–22(e)(6)(i), 17Ad– 22(e)(18)(iv)(c), and 15c3–3, and the rule changes must be effective by Mar. 31, 2025. With respect to the changes to Rule 17Ad–22(e)(18)(iv)(A) and (B), (i) each covered clearing agency will be required to file any proposed rule changes regarding those amendments no later than 150 days after publication in the Federal Register, and the proposed rule changes must be effective by Dec. 31, 2025, for cash market transactions encompassed by
section (ii) of the definition of an eligible secondary
market transaction, and by June 30, 2026, for repo transactions encompassed by section (i) of the definition of an eligible secondary market transactions. Compliance by the direct participants of a U.S. Treasury securities covered clearing agency with the requirement to clear eligible secondary market transactions would not be required until Dec. 31, 2025 and June 30, 2026, respectively, for cash and repo transactions. 466Further Definition of ‘‘As a Part of a Regular Business’’ in the Definition of Dealer and Government Securities Dealer in Connection with Certain Liquidity Providers, Release No. 34–99477 (Jan. 24, 2024) (‘‘Dealer Definition Amending Release’’). The dealer definition amendments define the phrase ‘‘as a part of a regular business’’ as used in the statutory definitions of ‘‘dealer’’ and ‘‘government securities dealer.’’ The compliance date is one year from the effective date, or approximately Mar. 2025, for persons engaging in activities that meet the dealer registration requirements to register prior to the effective date of the final rules. effects where possible, much of the discussion of economic effects is qualitative in nature. B. Economic Baseline and Affected Parties

Economic Baseline
The baseline against which the costs, benefits, and the effects on efficiency, competition, and capital formation of the final amendments are measured consists of the current state of the market, Form PF filers’ current practices, and the current regulatory framework. The economic analysis appropriately considers existing regulatory requirements, including recently adopted rules, as part of its economic baseline against which the costs and benefits of the final rule are measured.457 Several commenters requested the Commission consider interactions between the economic effects of the proposed rule and other recent Commission proposals.458 Commenters indicated there could be interactions between this rulemaking and six proposals 459 that have since been adopted: the May 2023 SEC Form PF Amending Release,460 SEC Private Funds Advisers Adopting Release,461 Beneficial Ownership Amending Release,462 Short Position Reporting Adopting Release,463 Securitizations Conflicts Adopting Release,464 Treasury Clearing Amending Release,465 and Dealer Definition Amending Release.466 These recently adopted rules were not included as part of the baseline in the 2022 Joint Form PF Proposing Release because they were not adopted at that time. In response to commenters, this economic analysis considers potential economic effects arising from the extent to which there is any overlap between

467 In addition, commenters indicated there could also be overlapping compliance costs between the final amendments and proposals that have not been adopted. See, e.g., AIC Comment Letter II; MFA/ NAPFM Comment Letter. To the extent those proposals are adopted, the baseline in those subsequent rulemakings will reflect the existing regulatory requirements at that time. 468 Investment advisers to private funds report on Form ADV, on a public basis, general information about private funds that they advise, including basic organizational, operational information, and information about the fund’s key service providers. Information on Form ADV is available to the public through the Investment Adviser Public Disclosure System, which allows the public to access the most recent Form ADV filing made by an investment adviser. See, e.g., Form ADV, available at https:// www.investor.gov/introduction-investing/investingbasics/glossary/form-adv; see also Investment Adviser Public Disclosure, available at https:// adviserinfo.sec.gov/. 469See supra footnote 3. When the SEC adopted the amendments to section 3 in 2014 in connection with certain money market reforms, it noted that under the proposal it was concerned that some of the proposed money market reforms might result in assets shifting from registered money market funds to unregistered products such as liquidity funds, and that the proposed amendments were designed to help the SEC and FSOC track any potential shift in assets and better understand the risks associated with the proposed money market reforms. See, e.g., D. Hiltgen, Private Liquidity Funds: Characteristics and Risk Indicators (Jan. 27, 2017), available at https://www.sec.gov/files/2017-03/Liquidity%20 Fund%20Study.pdf (‘‘Hiltgen Paper’’); 2011 Form PF Adopting Release, supra footnote 4; 2014 Form PF Amending Release, supra footnote 4, at 466; Commissioner Luis Aguilar Statement, Strengthening Money Market Funds to Reduce Systemic Risk, SEC (July 23, 2014), available at https://www.sec.gov/news/public-statement/2014- 07-23-open-meeting-statment-laa. 470May 2023 SEC Form PF Amending Release, supra footnote 4; July 2023 SEC Form PF Amending Release supra footnote 4. 471As discussed above, SEC staff publish quarterly reports of aggregated and anonymized data regarding private funds on the SEC’s website. See supra footnote 5; see also Private Fund Statistics Q1 2023. 472See supra section I. 473See, e.g., SEC 2020 Annual Staff Report Relating to the Use of Form PF Data (Nov. 2020), available at https://www.sec.gov/files/2020-pfreport-to-congress.pdf. 474 Id. 475 Id. 476 Id.; see also supra section II.A.3. 477See, e.g., OFR, 2021 Annual Report to Congress (Nov. 2021), available at https://www. financialresearch.gov/annual-reports/files/OFRAnnual-Report-2021.pdf; Financial Stability Oversight Council, 2020 Annual Report, available at https://home.treasury.gov/system/files/261/ FSOC2020AnnualReport.pdf. 478See, e.g., SEC 2020 Staff Report, supra
footnote 473. 479See supra footnotes 477, 478. 480See supra footnote 471. 481See, e.g., David C. Johnson & Francis A. Martinez, Form PF Insights on Private Equity Funds and Their Portfolio Companies, OFR Brief Series No. 18–01 (June 14, 2018), available at https://www. financialresearch.gov/briefs/2018/06/14/form-pfinsights-on-private-equity-funds/; Hiltgen Paper, supra footnote 470; George Aragon, A. Tolga Ergun, Mila Getmansky & Giulio Girardi, Hedge Funds:
Portfolio, Investor, and Financing Liquidity (May 17, 2017), available at https://www.sec.gov/files/ dera_hf-liquidity.pdf; George Aragon, Tolga Ergun & Giulio Girardi, Hedge Fund Liquidity Management:
Insights for Fund Performance and Systemic Risk Oversight (May 2017), available at https:// www.sec.gov/files/dera_hf-liquiditymanagement.pdf; Mathis S. Kruttli, Phillip J. Monin & Sumudu W. Watugala, The Life of the Counterparty: Shock Propagation in Hedge FundPrime Broker Credit Networks (OFR Working Paper No. 19–03, Oct. 2019), available at https://www. financialresearch.gov/working-papers/files/OFRwp19-03_the-life-of-the-counterparty.pdf; Mathias S. Kruttli, Phillip J. Monin, Lubomir Petrasek & Sumudu W. Watugala, Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID–19 Crisis, Fed. Rsrv. Bd., Fin. and Econ. Discussion Series No. 2021–038 (Apr. 2021), available at https://www.federalreserve.gov/ econres/feds/hedge-fund-treasury-trading-andfunding-fragility-evidence-from-the-covid-19- crisis.htm; Mathias S. Kruttli, Phillip J. Monin & Sumudu W. Watugala, Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds, Fed. Rsrv. Bd., Fin. and Econ. Discussion Series No. 2017–121 (Dec. 15, 2017), available at https://www.federalreserve.gov/econres/feds/ investor-concentration-flows-and-cash-holdingsevidence-from-hedge-funds.htm. 482See supra section I. 483See supra section I. the compliance period for the final amendments and the compliance periods for each of these recently adopted rules.467 Form PF complements the basic information about private fund advisers and funds reported on Form ADV.468 As discussed above, the Commissions adopted Form PF in 2011, with additional amendments made to section 3 along with certain money market reforms in 2014,469 further amendments made to sections 3 and 4 in 2023, and new sections 5 and 6 added in 2023 as well.470 Unlike Form ADV, Form PF is not an investor-facing disclosure form. Information that private fund advisers report on Form PF is provided to regulators on a confidential basis and is nonpublic.471 The purpose of Form PF is to provide the Commissions and FSOC with data that regulators can deploy in their regulatory and oversight programs directed at assessing and managing systemic risk and protecting investors.472 Before Form PF was adopted, the SEC and other regulators, including the CFTC, had limited visibility into the economic activity of private fund advisers and relied largely on private vendor databases about private funds that covered only voluntarily provided private fund data and did not represent the total population.473 Form PF represented an improvement in available data about private funds, both in terms of its reliability and completeness.474 Generally, investment advisers registered (or required to be registered) with the SEC with at least $150 million in private fund assets under management must file Form PF. Smaller private fund advisers and all private equity fund advisers file annually to report general information such as the types of private funds advised (e.g., hedge funds, private equity funds, or liquidity funds), fund size, use of
borrowings and derivatives, strategy, and types of investors.475 In addition, large private equity fund advisers provide data about each private equity fund they manage. Large hedge fund advisers and large liquidity fund advisers also provide data about each reporting fund they manage, and are required to file quarterly, currently after each fiscal quarter.476 The SEC and other regulators now have almost a decade of experience with analyzing the data collected on Form PF. The collected data has helped FSOC establish a baseline picture of the private fund industry for the use in assessing systemic risk 477 and improved the SEC’s oversight of private fund advisers.478 Form PF data also has enhanced the SEC’s and FSOC’s ability to frame regulatory policies regarding the private fund industry, its advisers, and the markets in which they participate, as well as more effectively evaluate the outcomes of regulatory policies and programs directed at this sector, including the management of systemic risk and the protection of investors.479 Additionally, based on the data collected through Form PF filings, regulators have been able to regularly inform the public about ongoing private fund industry statistics and trends by generating quarterly Private Fund Statistics reports 480 and by making publicly available certain results of staff research regarding the characteristics, activities, and risks of private funds.481 As discussed above, these data may also be used by the CFTC for the purposes of its regulatory programs, including examinations, investigations and investor protection efforts.482 However, this decade of experience with analyzing Form PF data has also highlighted certain limitations of information collected on Form PF, including information gaps and situations where more granular and timely information would improve the SEC’s and FSOC’s understanding of the private fund industry and the potential systemic risk relating to its activities, and improve regulators’ ability to protect investors.483 For example, as discussed above, when monitoring funds’ activities during recent market events like the March 2020 COVID–19 turmoil, the existing aggregation of U.S. Treasury securities with related derivatives did not reflect the role hedge funds played in the U.S. Treasury

484See supra section II.C.2.a.
485See supra section II.C.2.d. This also includes the SEC’s and FSOC’s experience analyzing data from multiple regulatory filings. For example, one SEC staff paper has used Form PF data and Form N–MPF data to study rule 2a–7 risk limits and implications of money market reforms. See, e.g., Hiltgen Paper, supra footnote 470. 486The private fund industry has experienced significant growth in size and changes in terms of business practices, complexity of fund structures, and investment strategies and exposures in the past decade. See supra footnote 5; see also Financial Stability Oversight Council Update on Review of Asset Management Product and Activities (2014), available at https://home.treasury.gov/system/files/ 261/Financial%20Stability%20Oversight%20 Council%20Update%20on%20Review%20of%20 Asset%20Management%20Products%20and%20 Activities.pdf. 487Based on the analysis in section V.C., the current costs associated with filing Form PF report are estimated to be $4,815 annually for smaller private fund advisers, $48,150 per quarterly filing or $192,600 annually for large hedge fund advisers, $22,470 per quarterly filing or $89,880 annually for large liquidity fund advisers, and $41,730 annually for large private equity fund advisers. A 2018 industry survey of large hedge fund advisers observed filing costs that ranged from 35% to 72% higher than SEC cost estimates. See MFA Letter to Chairman Clayton, supra footnote 164. However, a 2015 academic survey of SEC-registered investment advisers to private funds affirmed the SEC’s cost estimates for smaller private fund advisers’ Form PF compliance costs, and observed that the SEC overestimated Form PF compliance costs for larger private fund advisers. See Wulf Kaal, Private Fund Disclosures Under the Dodd-Frank Act, 9 Brooklyn J. Corp., Fin., and Com. L. 428 (2015). 488See supra section I. 489Form PF currently defines ‘‘hedge fund’’ broadly to include any private fund (other than a securitized asset fund) that has any of the following three characteristics: (1) a performance fee or allocation that takes into account unrealized gains, or (2) a high leverage (i.e., the ability to borrow more than half of its net asset value (including committed capital) or have gross notional exposure in excess of twice its net asset value (including committed capital)), or (3) the ability to short sell securities or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). Any non-exempt commodity pools about which an investment adviser is reporting or required to report are automatically categorized as hedge funds. Excluded from the ‘‘hedge fund’’ definition in Form PF are vehicles established for the purpose of issuing asset backed securities (‘‘securitized asset funds’’). See Form PF Glossary of Terms. ‘‘Large’’ hedge fund advisers are those, collectively with their related persons, with at least $1.5 billion in hedge fund assets under management as of the last day
of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. Qualifying hedge funds are hedge funds that have a net asset value (individually or in combination with any feeder funds, parallel funds and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. See supra section II.C. 490See infra footnote 493. 491See, e.g., Lloyd Dixon, Noreen Clancy & Krishna B. Kumar, Hedge Fund and Systemic Risk, RAND Corp. (2012); John Kambhu, Til Schuermann & Kevin Stiroh, Hedge Funds, Financial Intermediation, and Systemic Risk, Fed. Rsrv. Bank of NY’s Econ. Policy Rev. (2007). 492See supra footnotes 477, 486. 493 In the first quarter of 2023, hedge fund assets accounted for approximately 46.3% of the gross asset value (‘‘GAV’’) ($9.5/$20.5 trillion) and approximately 34.8% of the net asset value (‘‘NAV’’) ($4.9/14.0 trillion) of all private funds reported on Form PF. Private Fund Statistics Q1 2023, at 5. 494See supra footnote 489. 495Currently, Instruction 9 requires large hedge fund advisers to update Form PF within 60 days after the end of each fiscal quarter. See supra
section II.A.3.
496 Id.
497 In the first quarter of 2023, qualifying hedge fund assets accounted for 84% of the GAV ($8.0/ $9.5 trillion) and 79% of the NAV ($3.9/$4.9 trillion) of all hedge funds reported on Form PF. Private Fund Statistics Q1 2023, at 4–5. 498 In the first quarter of 2023, private equity assets accounted for 32.4% of the GAV ($6.6/$20.5 trillion) and 42.7% of the NAV ($6.0/$14.0 trillion) of all private funds reported on Form PF. Private Fund Statistics Q1 2023, at 5. market.484 Also during the COVID–19 market turmoil, FSOC sought to evaluate the role hedge funds played in disruptions in the U.S. Treasury market by unwinding cash-futures basis trade positions and taking advantage of the near-arbitrage between cash and futures prices of U.S. Treasury securities. Because the existing requirement regarding turnover reporting on U.S. Treasury securities is highly aggregated, the SEC staff, during retrospective analyses on the March 2020 market events, was unable to obtain a complete picture of activity relating to long treasuries and treasury futures.485 The need for more granular information collected on Form PF is further heightened by the increasing significance of the private fund industry to financial markets, and resulting regulatory concerns regarding potential risks to U.S. financial stability from this sector.486 The SEC’s and FSOC’s experiences analyzing Form PF data has also identified certain areas of Form PF where questions result in data received that is redundant to other questions, or instructions that result in unnecessary reporting burden for some advisers.487
2. Affected Parties
The final rule amends the general instructions and basic information reporting requirements facing all categories of private fund advisers. As discussed above, these include, but are not limited to, advisers to hedge funds, private equity funds, real estate funds, securitized asset funds, liquidity funds, and venture capital funds.488 The final rule further amends reporting requirements for large hedge fund advisers, including specific revisions for large hedge fund advisers to qualifying hedge funds.489 Hedge funds, the focus of part of the release, are one of the largest categories of private funds,490 and as such play an important role in the U.S. financial system due to their ability to mobilize large pools of capital, take economically important positions in a market, and their extensive use of leverage, derivatives, complex structured products, and short selling.491 While these features may enable hedge funds to generate higher returns as compared to other investment alternatives, the same features may also create spillover effects in the event of losses (whether caused by their investment and derivatives positions or use of leverage or both) that might lead to significant stress or failure not just at the affected fund but also across financial markets.492 In the first quarter of 2023, there were 9,846 hedge funds reported on Form PF, managed by 1,856 advisers, with almost $9.5 trillion in gross assets under management, which represented almost half of gross assets reported by private fund advisers.493 Currently, hedge fund advisers with between $150 million and $2 billion in regulatory assets (that do not qualify as large hedge fund advisers) file Form PF annually, in which they provide general information about funds they advise such as the types of private funds advised, fund size, their use of borrowings and derivatives, strategy, and types of investors. Large hedge fund advisers (those with at least $1.5 billion in regulatory assets under management attributable to hedge funds) 494 file Form PF quarterly, in which they provide data about each hedge fund they managed during the reporting period (irrespective of the size of the fund).495 Large hedge fund advisers must report more information on Form PF about qualifying hedge funds (those with at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter) 496 than other hedge funds they manage during the reporting period. In the first quarter of 2023, there were 2,034 qualifying hedge funds reported on Form PF, managed by 570 advisers, with almost $8 trillion in gross assets under management, which represented almost 84 percent of the reported hedge fund assets.497 Private equity funds are another large category of funds in the private fund industry. In the first quarter of 2023, there were 20,917 private equity funds reported on Form PF, managed by 1,755 advisers, with $6.6 trillion in gross assets
under management, which represented almost one third of the reported gross assets in the private fund industry.498 Many private equity funds focus on long-term returns by investing in a private, non-publicly traded

499After purchasing controlling interests in portfolio companies, private equity fund advisers frequently get involved in managing those companies by serving on the company’s board; selecting and monitoring the management team; acting as sounding boards for CEOs; and sometimes stepping into management roles themselves. See, e.g., SEC, Private Equity Funds, Investor.gov, available at https://www.investor.gov/introductioninvesting/investing-basics/investment-products/ private-investment-funds/private-equity. 500 Id. 501Private Fund Statistics Q1 2023, at 5. 502Private Fund Statistics Q1 2023, at 4. 503See, e.g., Private Equity Funds, supra footnote 499; SEC, Hedge Funds, Investor.gov, available at https://www.investor.gov/introduction-investing/ investing-basics/investment-products/privateinvestment-funds/hedge-funds. 504See supra footnote 503. 505Private Fund Statistics Q1 2023, at 15. 506See, e.g., Dep’t of Labor, Information Letter (June 3, 2020), available at https://www.dol.gov/ agencies/ebsa/about-ebsa/our-activities/resourcecenter/information-letters/06-03-2020. 507See supra section I. While the final amendments are also designed to improve the usefulness of this data for the CFTC, this economic analysis does not include the benefits associated with enhancements to the CFTC’s use of reporting on Form PF. 508We discuss the impacts on costs below. See infra section IV.C.2. company or business—the portfolio company—and engage actively in the management and direction of that company or business in order to increase its value.499 Other private equity funds may specialize in making minority investments in fast-growing companies or startups.500 For the remaining categories of funds (real estate funds, securitized asset funds, liquidity funds, venture capital funds, and other private funds), advisers required to file Form PF had, in the first quarter of 2023, investment discretion over almost $4.4 trillion in gross assets under management.501 These assets were managed by 1,709 fund advisers managing 16,668 funds.502 Private funds are typically limited to accredited investors and qualified clients such as pension funds, insurance companies, foundations and endowments, and high income and net worth individuals.503 Private funds that rely on the exclusion from the definition of ‘‘investment company’’ provided in
section 3(c)(7) of the Investment
Company Act are limited to investors that are also qualified purchasers (as defined in section 2(a)(51) of the Investment Company Act). Retail U.S. investors with exposure to private funds are typically invested in private funds indirectly through public and private pension plans and other institutional investors.504 In the first quarter of 2023, public pension plans had $1,905 billion invested in reporting private funds while private pension plans had $1,302 billion invested in reporting private funds, making up 13.6 percent and 9.3 percent of the overall beneficial ownership in the private fund industry, respectively.505 Private fund advisers have also sought to be included in individual investors’ retirement plans, including their 401(k)s.506
C. Benefits, Costs, and Effects on
Efficiency, Competition, and Capital Formation

Benefits
The final amendments are designed to facilitate two primary goals the SEC sought to achieve with reporting on Form PF as articulated in the original adopting release, namely: (1) facilitating FSOC’s understanding and monitoring of potential systemic risk relating to activities in the private fund industry and assisting FSOC in determining whether and how to deploy its regulatory tools with respect to nonbank financial companies; and (2) enhancing the SEC’s abilities to evaluate and develop regulatory policies and improving the efficiency and effectiveness of the SEC’s efforts to protect investors and maintain fair, orderly, and efficient markets.507 The SEC believes the final amendments will accomplish these goals in three key ways, each discussed in detail in the following sections. First, the final amendments will provide solutions to potential reporting errors and issues of data quality when analyzing Form PF filings across advisers and when analyzing multiple different regulatory filings. Higher quality data across different funds and across different regulatory filings can allow the SEC and FSOC to develop an understanding of one set of advisers and apply it to other advisers more rapidly, or apply lessons from one financial market to other financial markets. This can help the SEC and FSOC develop more effective regulatory responses and oversight, and help the SEC protect investors by identifying areas in need of outreach, examinations, and investigations in response to potential systemic risks, conflicting arrangements between advisers and investors, and other sources of investor harm. Second, the final amendments will help Form PF more completely and accurately capture information relevant to ongoing trends in the private fund industry in terms of ownership, size, investment strategies, and exposures. This can improve the SEC’s and FSOC’s understanding of new developing systemic risks and potential conflicting arrangements, thereby further aiding in the development of regulatory responses, and also aiding the SEC in efforts to protect investors by identifying areas in need of outreach, examinations, and investigations. Third, the final amendments will take certain steps to streamline certain reporting and reduce certain reporting burdens without compromising investor protection efforts and systemic risk analysis. This will improve the efficiency and effectiveness of the SEC’s efforts to protect investors and maintain fair, orderly and efficient markets. The SEC anticipates that the increased ability for the SEC’s and FSOC’s oversight, resulting from the final amendments, might promote better functioning and more stable financial markets, which may lead to efficiency improvements. The SEC does not anticipate significant benefits on competition in the private fund industry from the final amendments because the reported information generally will be nonpublic and similar types of advisers will have comparable burdens under the amended Form.
For similar reasons, the SEC does not anticipate significant effects of the amendments on capital formation. Several of these amendments have been revised relative to the proposal. The revisions include changes to instructions for purposes of clarification, revising framing or explanation of questions where commenters made suggestions to improve data quality, revising instructions to avoid duplicative reporting or to otherwise ease burden, or forgoing adopting certain amendments entirely. We include in the discussion in this section how the benefits are impacted by changes made in response to commenters. In general, revisions either (1) enhance the benefits or (2) may reduce the benefits but substantially reduce the costs.508 The final amendments revise the general instructions (as well as implement additional amendments),
section 1 (requiring basic information
about advisers and the private funds they advise), and section 2 (requiring information about hedge funds advised by large private fund advisers) of Form PF. The benefits associated with each of these specific elements are discussed in greater detail below. a. Amendments to General Instructions, Amendments To Enhance Data Quality, and Additional Amendments The amendments update the Form PF general instructions to revise how all private fund advisers satisfy certain requirements on Form PF, issue a series of amendments to enhance data quality,

509See supra sections II.A, II.D, II.E. 510See supra section II.A.1. However, an adviser will continue to aggregate these structures for purposes of determining whether the adviser meets a reporting threshold. 511Similar benefits will be obtained from revisions to Instruction 7, which requires advisers to include the value of investments in other private funds when determining whether the adviser meets the thresholds for reporting as a large hedge fund adviser, large liquidity fund adviser, or large private equity fund adviser, and whether a private fund is a qualifying hedge fund; and generally requires an adviser to include the value of a reporting fund’s investments in other private funds when responding to questions on Form PF. Other revisions could also provide benefits associated with consistency of reporting by revising instructions to avoid error across filers, including amending instructions to provide that advisers must not ‘‘look through’’ its investments in other private funds when responding to questions and adding an instruction when ‘‘looking through’’ cannot be avoided; providing general instructions to explain how advisers will report information if the reporting fund uses a trading vehicle; and amending instructions to indicate that advisers must not ‘‘look through’’ a reporting fund’s investments in funds or other entities that are not private funds, or trading vehicles. See supra section II.A.2. Similar benefits will also be obtained from the amendments updating instructions to provide conformity with CFTC’s amendments to Form CPO–PQR, including those that specify when advisers that are also CPOs should complete particular sections of Form PF. See supra section II.E; see also Revised Instruction 18. 512See supra section II.A.1. 513See, e.g., Robert Harris, Tim Jenkinson, Steven Kaplan & Ruediger Stucke, Financial Intermediation in Private Equity: How Well Do Funds of Funds Perform?, 129 J. Fin. Econ. 2, 287– 305 (Aug. 2018). 514See, e.g., Todd Ehret, Platinum Fraud Charges Shine Light On Cayman Director Responsibilities, Reuters Fin. Reg. Forum (Mar. 30, 2017), available at https://www.reuters.com/article/bc-finregcayman-private-structure/platinum-fraud-chargesshine-light-on-cayman-director-responsibilitiesidUSKBN17030J. 515See, e.g., Melvyn Teo, Lessons Learned from Hedge Fund Fraud, Eureka Hedge (Oct. 2009), available at https://www.eurekahedge.com/ Research/News/506/Lessons-Learned-From-HedgeFund-Fraud. 516See supra section II.A.1; see also AFREF Comment Letter I; Better Markets Comment Letter. 517See supra section II.A.1; see also AIC Comment Letter I; AIMA/ACC Comment Letter; MFA Comment Letter II. 518See supra section II.A.1. 519 Id. 520 Id. 521See, e.g., MFA Comment Letter II; USCC Comment Letter. 522See supra section II.A.1. 523 Id. 524 Id. 525These final amendments will include requiring advisers to include the value of investments in other private funds in determining whether the adviser is required to file Form
PF and when determining whether the adviser meets the thresholds for reporting as a large hedge fund adviser, large liquidity fund adviser, or large private equity fund adviser, and whether a private fund is a qualifying hedge fund; generally requiring an adviser to include the value of a reporting fund’s investments in other private funds when responding to questions on Form PF; provide that generally advisers must not ‘‘look through’’ its investments in other private funds (other than a trading vehicle) when responding to questions and adding an instruction to provide that advisers must provide an explanation if ‘‘looking through’’ cannot be avoided; amending the general instructions to explain how advisers will report information if the reporting fund uses a trading vehicle; requiring advisers to report all trading vehicles, whether wholly owned or partially owned, on a consolidated bases; and amending instructions to indicate that advisers must not ‘‘look through’’ a reporting fund’s investments in funds or other entities that are not private funds or trading vehicles. See supra section II.A.2. 526See supra section II.A.2. and issue a series of additional amendments.509 There are five categories of these amendments. First, the amendments revise the general instructions for reporting of master-feeder arrangements and parallel fund structures.510 These revisions to the general instructions will improve consistency of reporting associated with measuring private fund interconnectedness and investment in other private funds by revising instructions for reporting of ownership structures and revising instructions that are currently ambiguous and result in reporting errors and issues of data quality across advisers. For example, as discussed above, Form PF currently provides advisers with flexibility to respond to questions regarding masterfeeder arrangements, parallel fund structures either in the aggregate or separately, as long as they do so consistently throughout Form PF. The revised instructions will specify how to respond to these questions to prevent some advisers from responding in the aggregate and some advisers from responding separately.511 The revised instructions will also require reporting on the total value of parallel managed accounts.512 The SEC anticipates these improved data will assist the SEC and FSOC in assessing potential risks to financial stability resulting from increasingly complex ownership and investment structures of private funds. While master-feeder arrangements, parallel fund structures, and use of funds of funds all allow private funds to benefit from larger pools of capital, diversify risk, and enjoy shared returns,513 these same features have inherent risks of spillovers in losses, as losses in a master fund or underlying investment of a fund of funds cause losses in connected funds as well. Complex ownership structures may also create conflicts of interest when the same individuals serve as directors on boards
of both master and feeder funds under a single owner,514 and may also mask instances of fraud and a private fund’s methods for committing fraud.515 Investor protection efforts will therefore benefit from more consistent data providing connections from master funds to feeder funds and other ownership information. While some commenters supported the proposed amendments on this topic,516 other commenters opposed the proposed amendments as of limited benefit to the Commissions and/or FSOC.517 For example, as discussed above, disaggregated data of these structures will provide the Commissions and FSOC with increased transparency into risk profiles and complex fund structures, which will improve our ability to monitor systemic risk and protect investors.518 We also disagree that disaggregated reporting of masterfeeder funds and parallel fund structures will be of limited value based on our experience with Form PF, which currently obscures our understanding of their fund structures and the risk exposure of their component funds.519 We also believe that the disaggregated reporting will allow for a clearer understanding of a fund’s structure.520 Commenters also stated that disaggregated data would provide misleading information by reporting data in isolation as opposed to as part of an overall fund or investment program.521 We disagree, and think that disaggregated data will not be misleading to the Commissions or FSOC in comparison to aggregated data because the Commissions and FSOC could, if necessary, aggregate the data to understand the overall fund.522 Similarly, as another example, data regarding the total value of parallel managed accounts, however, will allow FSOC to take into account the greater amount of assets an adviser may be managing using a given strategy for purposes of analyzing the data reported on Form PF for systemic risk purposes.523 Certain changes made in response to commenters’ concerns will also enhance these benefits relative to the proposal. For example, by modifying the instructions for how a feeder fund determines its reporting category to specify that the feeder fund should exclude any of its holdings in the master fund’s equity when calculating its total asset value for the purpose of determining its reporting category, the amendments will avoid double counting of reported assets, given that data for the master fund will be separately reported on Form PF.524 Second, the amendments revise the general instructions for reporting for private funds that invest in other funds or trading vehicles.525 Specifically, the amendments revise Instruction 7 and 8 to require advisers to include information pertaining to their trading vehicles when completing Form PF.526

527See supra section II.A.2.
528 Id.
529 Id.
530 Id.; see also, e.g., MFA Comment Letter II; Schulte Comment Letter. 531See supra section II.A.3. 532 Id. 533While the amendments to general instructions associated with reporting timelines will primarily offer economic benefits associated with improvement in data quality and resolutions to data gaps, the amendments to reporting timelines will also provide a potential improvement to regulators’ ability to evaluate markets for investor protection efforts and systemic risk assessment, in that they accelerate the provision of data from quarterly reporting. See supra section II.A.3. Moreover, as the amendments will make reporting timelines more consistent, there could be reduced costs associated with regulatory filings, as private fund advisers reduce their need to track differentiated calendar quarter and fiscal quarter data. 534See supra section IV.B.1. 535See supra section II.A.3. Specifically, and as discussed above, based on staff analysis of Form ADV data as of Dec. 2021, 99.2% of private fund advisers already effectively file on a calendar basis because their fiscal quarter or year ends on the calendar quarter or year end, respectively. The 0.8% of private fund advisers that have a noncalendar fiscal approach represents approximately 274 private funds, totaling $200 billion in gross asset value. See supra section II.A.3. 536See supra section II.D. 537 Id. 538 Id. 539See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. See supra section II.C.2.a. 540 Id.; see also AIMA/ACC Comment Letter. 541See supra section II.D. 542See supra section II.E, Revised Instruction 18. Because private funds may use trading vehicles for a wide variety of purposes, more complete and accurate visibility into asset class exposures, position sizes, and counterparty exposures relied on by trading vehicles can enhance the SEC’s and FSOC’s systemic risk and financial stability assessment efforts and the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. Certain changes made in response to commenters’ concerns will also enhance these benefits relative to the proposal. For example, one commenter stated that allowing an adviser to determine whether to include or exclude a reporting fund’s investment in other private funds could result in distortions in the data collected on Form PF.527 By modifying the instructions to provide specific instructions, such distortion can be avoided, which will improve data quality.528 As another example, commenters opposed proposed amendments that would have permitted an adviser to select whether to report a wholly owned trading vehicle on either a consolidated or disaggregated basis and would have required advisers to report a partially owned trading vehicle on a disaggregated basis.529 These commenters questioned the benefits of these proposed amendments, for example stating that separate reporting for trading vehicles is not necessary because trading
vehicles are often used for administrative purposes, such as for tax or efficiency purposes, but are managed on a consolidated basis and regarded as a single entity for investment purposes.530 By instead requiring advisers to report all trading vehicles, whether wholly owned or partially owned, on a consolidated basis, and by specific questions relating to a reporting fund’s trading vehicle use and a trading vehicle’s position size and risk exposure, we will improve data comparability and allow us to better understand the holdings and exposures of the fund structure for our assessments of potential systemic risk. Third, the amendments will revise the general instructions for reporting timelines by revising Instruction 9 to require large hedge fund advisers and large liquidity fund advisers to update Form PF within a certain number of days after the end of each calendar quarter, rather than each fiscal quarter, as Form PF currently requires.531 The SEC anticipates that these amendments will improve the consistency of reporting across different private fund advisers, across quarterly and annual filings, and across different regulatory forms,532 which may improve the ability of regulators to analyze filing data across fund advisers and across different regulatory forms by resolving reporting errors and issues of data quality. These data analyses are important contributors to the SEC’s and FSOC’s efforts to assess systemic risk and develop a complete picture of private fund markets. The SEC anticipates that these improved reporting alignments may enhance the SEC’s and FSOC’s abilities to assess potential risks presented by private funds.533 For example, as discussed above, academic research has used Form PF data and Form N–MPF data to study rule 2a–7 risk limits and implications of money market reforms.534 Standardizing data across regulatory filings can lead to further industry insights from combined regulatory filing data, and these industry insights may improve systemic risk assessment and regulator investor protection efforts. However, as discussed above, because almost all large hedge fund advisers and large liquidity fund advisers already effectively file on a calendar quarter basis because their fiscal quarter ends on the calendar quarter, the SEC anticipates that these benefits will be marginal.535 Fourth, the amendments issue a series of revisions that impact several sections of Form PF, which will broadly enhance data quality, for example by potentially resolving reporting errors. These amendments will specify that reported percentages be rounded to the nearest one hundredth of one percent, provide consistent instruction for reporting of investment and counterparty exposures, provide consistent instruction on the reporting of long and short positions, and provide consistent instruction for reporting of derivative values.536 The resulting improved data quality will improve the ability of the SEC and FSOC to evaluate market risk and measure
industry trends, thereby increasing the efficiency with which regulatory responses are developed, improving systemic risk assessment and regulator programs to protect investors. We did not receive specific comments on certain of these proposed amendments, such as the amended instructions to specify how private fund advisers determine the value of investment positions (including derivatives) and counterparty exposures.537 Some commenters expressed support for the amendments to require advisers to report their long and short holdings on a disaggregated basis,538 and other commenters opposed the requirements for more detailed disclosures of holdings.539 Certain changes made in response to commenters will enhance the benefits of these amendments. For example, one commenter stated that the definition of ‘‘10-year bond equivalent’’ specifies the expression of the value in the fund’s base currency.540 By revising the ‘‘10- year bond equivalent’’ definition to reference U.S. dollars, rather than the fund’s base currency, resulting metrics will be reported in a common currency, which will enhance data quality and comparability purposes.541 Lastly, the amendments issue a series of additional revisions that will amend instructions related to temporary hardship exemptions, provide conformity with the CFTC’s amendments to Form CPO–PQR (including those that specify when advisers that are also CPOs should complete particular sections of Form PF), and revise definitions of the terms EEA and G10 within Form PF.542 The additional amendments updating instructions to the temporary hardship exemption to Form PF, by way of an amendment to 17 CFR 275.204(b)–1(f) under the Advisers Act, will make it easier to submit a temporary hardship exemption and will assist advisers in

543See supra section II.E.
544See supra section II.E, Revised Instruction 18.
545See supra section II.E.
546See supra section II.B.1.
547See supra section II.B.2.
548See supra section II.B.3.
549See supra section II.B.1. For example, the reporting of a fund’s and its adviser’s LEI is consistent with the way fund relationships are reported in the Global LEI system. See, e.g., LEI ROC, Policy on Fund Relationships and Guidelines for the Registration of Investment Funds in the Global LEI System (May 20, 2019), available at https://www.leiroc.org/publications/gls/roc_ 20190520-1.pdf. 550See supra section II.B.2. For example, the Division of Investment Management relies on Form PF and Form ADV filings in providing quarterly summaries of private fund industry statistics and trends. See, e.g., SEC, Division of Investment Management, Private Fund Statistics (Aug. 21, 2021), available at https://www.sec.gov/divisions/ investment/private-funds-statistics.shtml. 551See supra section II.B.3. 552Other revisions that will provide this benefit include revising reporting of regulatory versus net assets under management; reporting of assumptions the adviser makes in responding to questions on Form PF; reporting of types of fund; reporting of master-feeder arrangements, internal/external private funds, and parallel fund structures; reporting of monthly gross and net asset values; reporting of the value of unfunded commitments; reporting on the value of borrowing activity; reporting of fair value hierarchy; reporting of beneficial ownership; reporting of fund performance; more granular reporting of hedge fund strategies; more granular reporting of hedge fund counterparty exposures including identification of counterparties representing a fund’s greatest exposure; and more granular reporting of hedge fund trading and clearing mechanisms. See supra
section II.B.
553See infra section IV.C.2.
554See supra section II.B.3; see also MFA Comment Letter II. 555See supra section II.B.1; see also GLEIF Comment Letter. 556See supra section II.B.2; see also, e.g., MFA Comment Letter II; SIFMA Comment Letter. determining what constitutes a ‘‘filed’’ temporary hardship exemption.543 These amendments may facilitate more successful submissions of temporary hardship exemptions by private fund advisers who require one, and may thereby benefit those advisers, and by extension their investors, by reducing costs. Similarly, by providing conformity with the CFTC’s amendments to Form CPO–PQR, including those that specify when advisers that are also CPOs should complete particular sections of Form PF, and revising definitions associated with the terms EEA and G10, the amendments may reduce confusion for advisers filing Form PF, thereby reducing the burden of filing.544 We did not receive comments on this aspect of the proposed changes.545 b. Amendments to Basic Information About the Adviser and the Private Funds It Advises The amendments to section 1, which requires all private fund advisers to report information about the adviser and the private funds they manage, include revisions to section 1a (concerning basic identifying information),546 revisions to
section 1b (concerning all of a private
fund adviser’s private funds),547 and revisions to section 1c (more specifically concerning all of a private fund adviser’s hedge funds).548 The changes will provide greater insight into all private funds’ operations and strategies, and will further assist in assessing industry trends. This section discusses how the SEC believes the changes will thereby enhance the SEC’s and FSOC’s systemic risk assessment efforts and the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. This will be accomplished in four key ways. First, the changes will provide more prescriptive requirements to improve comparability across advisers and reduce reporting errors and issues of data quality by aligning data across filers and across regulatory filings, based on our experience with the form. This greater alignment is designed to improve the efficiency with which the SEC and FSOC evaluate market risk and measure industry trends, thereby increasing the efficiency with which regulatory responses are developed, improving systemic risk assessment and regulator programs to protect investors. For example, revisions to section 1a (relating to adviser reporting of identifying information for all private funds they advise) will revise instructions on the use of LEIs and RSSD IDs for advisers and related persons, and might help link data more efficiently between Form PF and other regulatory filings that use these universal identifiers.549 Several revisions to section 1b (relating to adviser reporting of basic information for all private funds they advise) will modify instructions and might prevent advisers from inadvertently reporting different fund types on different regulatory filings (or, when different reporting on two different forms is appropriate, the revised instructions are designed to solicit the reason for differentiated reporting), facilitating more robust data analyses that use combined data from multiple regulatory forms.550 Revisions to section 1c will require advisers to indicate which investment strategies best describe the reporting fund’s strategies on the last day of the reporting period, addressing any ambiguity about how to report information if the reporting fund changes strategies over time.551 The SEC believes these revisions to section 1, and others,552 will improve the accuracy and reliability of Form PF data, thereby potentially improving the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial instability, as well as potentially improving the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. While commenters who criticized these changes generally emphasized the costs of the changes, along with the overall costs of the amendments,553 certain commenters also questioned the benefits. For example, one commenter opposed including more granular strategy categories stating that some
proposed categories are not clear and may require advisers to make subjective decisions on how to report a fund’s strategy that could result in inconsistent reporting.554 While certain advisers may have to make certain subjective decisions, the amended strategy categories conform more closely to industry conventions than the current categories and will allow advisers to more accurately categorize their strategies. Any remaining ambiguity in these strategy categories will only mitigate the benefits of the resulting reporting, not eliminate the benefits. Certain other commenters agreed with the benefits of certain proposed provisions. For example, one commenter supported an expanded use of LEI as a legal identifier in Form PF and stated that more comprehensive inclusion of LEI would create a more complete identification scheme for the Commissions.555 Still other commenters suggested further revisions, and certain changes made in response to those commenters will enhance these benefits. For example, some commenters stated that proposed questions on withdrawal and redemption rights did not address how to report a fund with multiple types of redemption rights.556 In response, we are modifying the question to ask for the interval on which withdrawals or redemptions are ‘‘most commonly’’ permitted (i.e., with respect to most investors). We also encourage an adviser to report any additional details on a fund’s withdrawal or redemption
schedule in response to Question 4, as
appropriate. This will likely improve comparability across advisers and reduce reporting errors and issues of data quality. Still other amendments did not receive specific comments, such as the amendment requiring an adviser to identify the fund type for a reporting fund as ‘‘other’’ and explaining why the

557See supra section II.B.2.
558See supra section IV.C.1.a.
559 Id.
560See supra section II.B.1.
561See supra section II.B.2.
562See supra section IV.C.1.a.
563See supra section II.B.3.
564See, e.g., AIMA, PWC & Elwood Asset Management, Annual Global Crypto Hedge Fund Report (2023), available at https://www.pwc.com/ gx/en/news-room/press-releases/2023/pwc-2023- global-crypto-hedge-fund-report.htmlhttps:// www.pwc.com/gx/en/news-room/press-releases/ 2023/pwc-2023-global-crypto-hedge-fundreport.html (concluding that almost a third of traditional hedge funds were investing in such assets in 2023, with average allocations of 7%, representing increases relative to 2021); AIMA, PWC & Elwood Asset Management, 3rd Annual Global Crypto Hedge Fund Report (2021), available at https://www.aima.org/educate/aima-research/ third-annual-global-crypto-hedge-fund-report2021.html (concluding that approximately a fifth of hedge funds were investing in such assets in 2021, with on average 3% of their total hedge fund assets under management invested, and 86% of those hedge funds intended to deploy more capital into this asset class by the end of 2021); see also supra
section II.B.3.
565See supra section II.B.3.
566Siro Aramonte & Wenqian Huang, Costs and Benefits of Switching to Central Clearing, BIS Q. Rev. (Dec. 2019), available at https://www.bis.org/ publ/qtrpdf/r_qt1912z.htm; Albert J. Menkveld & Guillaume Vuillemey, The Economics of Central Clearing, 13 Ann. Rev. Fin. Econ. 153 (2021). 567 Id. 568For example, the Hong Kong Futures Guarantee Corporation failed during the stock market crash of 1987. See Menkveld & Vuillemey, supra footnote 566. 569Fin. Stability Oversight Council, 2012 Annual Rep., Appendix A, available at https:// home.treasury.gov/system/files/261/2012-AnnualReport.pdf. 570 Id. at 14. 571See supra section II.B.2. 572 Id. fund does not qualify for any of the other options.557 Second, the amendments will expand the data collected by the forms, thereby facilitating the Commissions and FSOC to assess newly emerging areas of potential systemic risk. These expanded areas of reporting broadly capture key trends in (i) private fund advisers’ ownership structures, and (ii) private fund advisers’ investment and trading strategies, including increasing exposures to new asset classes, changing exposures across different categories of counterparties, and increasing use of financial tools for increasing fund performance. With respect to updated reporting on ownership structures, as discussed above, interconnected ownership structures have inherent risks of spillovers in losses, as losses in a master fund or underlying investment of a fund of funds cause losses in connected funds as well, and so the enhanced data on detailed ownership structures from the final amendments are designed to improve systemic risk assessment efforts.558 Improved data will also contribute to efforts to protect investors from conflicts of interest and other sources of potential harm.559 The types of enhancements to Form PF’s data on interconnected ownership structures include, for example, requiring advisers to provide LEIs for themselves and any of their related persons, such as reporting funds and parallel funds,560 and expanding the required reporting detail on the value of the reporting fund’s investments in funds of funds.561 Similar to the amendments to general instructions, the SEC believes that these revisions will improve measurement of these complex ownership structures. The SEC believes this will potentially improve the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial instability, as well as potentially improve the SEC’s efforts to protect investors from conflicting arrangements and identify other areas in need of outreach, examination, or investigation.562 Many revisions will also keep Form PF filings up to date with key developing trends among private fund advisers’ investing and trading practices. These revisions will improve consistency of reporting of modern private fund issues across fund advisers, provide more complete and accurate information on developing trends, and improve the SEC’s and
FSOC’s abilities to effectively and efficiently assess new systemic risks and other potential sources of investor harm, as well as inform the SEC’s and FSOC’s broader views on the private fund landscape. For example, in Form PF section 1c, the amendments will require hedge funds to report whether their investment strategy includes digital assets,563 which are a growing and increasingly important area of hedge fund strategy.564 The amendments will therefore help the SEC and FSOC to assess new sources of potential systemic risk and develop regulatory responses, and will further allow the SEC to analyze new areas of potential investor harm to determine any necessary outreach, examination, or investigation. As another example, the amendments will introduce several questions on counterparty exposures, corresponding to both CCP exposures and bilateral counterparty (i.e., non-CCP) exposures. These additions to Form PF include requiring advisers to report hedge fund borrowing, lending, and collateral with respect to transactions involving both their bilateral counterparties and CCPs, requiring reporting of hedge fund derivative and repo activity that was cleared by a CCP (as well as activity not cleared by a CCP), and instructing advisers on what exposures to net.565 There are two economic considerations associated with counterparty exposure reporting on Form PF. First, bilateral exposures and CCP exposures have different risk profiles, with CCPs offering risk reduction mechanisms and other economic benefits by netting trading across counterparties and across different assets within an asset class or by centralizing clearance and settlement activities.566 The final amendments are designed to help Form PF provide insight into relative trends in bilateral trading versus central counterparty trading and resulting systemic risks from counterparty exposures. Second, while CCPs reduce the systemic risk associated with the failure of any single hedge fund or other private fund, the failure of a large CCP itself could potentially represent a substantial systemic risk event in the future.567 While a systemic risk event such as the failure of a CCP has never occurred in the United States, CCPs in other countries have failed,568 and the final amendments are designed to help Form PF provide new insights into the potential for such systemic risk events in the future. FSOC has also designated many CCP institutions as ‘‘systemically important,’’ 569 and recommends that regulators continue to coordinate to evaluate threats from both default and non-default losses associated with CCPs.570 As a final example, we are adopting amendments that require advisers to report additional performance-related information if the adviser calculates a market value on a daily basis for any position in the reporting fund’s portfolio.571 These include, among other items, the reporting fund’s volatility of the natural log of the daily ‘‘rate of return’’ for each month of the reporting
period.572 Investors will benefit from systemic risk assessment efforts and investor protection efforts facilitated by these reporting items. For example, allowing the Commission and FSOC to compare volatility across different fund types to identify market trends (e.g., volatility of a specific fund type) will help the Commission and FSOC verify which strategies are the most volatile and therefore pose the greatest default risk to bank and broker/dealer counterparties. Comparing volatility data on Form PF and risk metric data on Form PF, such as VaR (Value-at-Risk) data, will also help the Commission to

573Other revisions that will provide this benefit include the reporting of withdrawal and redemption rights; reporting of other inflows and outflows; more granular reporting of hedge fund strategies; more granular reporting of hedge fund counterparty exposures including identification of counterparties representing a fund’s greatest exposure; and more granular reporting of hedge fund trading and clearing mechanisms. See supra
section II.B.
574See supra section II.B.3; see also, e.g., AIMA/ ACC Comment Letter. 575See supra footnotes 565 through 570 and accompanying text. 576See supra section II.B.2; see also CFA Institute Comment Letter. 577See supra section II.B.2. 578 Id. 579 Id.; see also CFA Institute Comment Letter. 580See supra section II.B.2. 581The revisions to reporting of base currency will provide similar benefits. See supra section II.B. 582See supra section II.B.2; see also Schulte Comment Letter. 583See supra section II.B.2. 584See supra section II.B.2; see also Fact Coalition Comment Letter. 585See supra section II.B.3. 586These benefits from streamlined reporting and reduced reporting burden will be offset by increased costs associated with the additional and more granular detail that will be required on Form PF under the amendments. See infra sections IV.C.2, V.C. 587See supra section II.B.3; see also, e.g., MFA Comment Letter II; SIFMA Comment Letter; Better Markets Comment Letter. detect misleading uses of risk metrics by funds in disclosures to investors. The SEC therefore believes these revisions, and others like them,573 will help the SEC and FSOC better understand the modern landscape of the private fund industry, thereby potentially improving the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial instability, as well as potentially improving the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. Some commenters questioned the benefits of these types of amendments. For example, some commenters stated that disclosure of counterparty exposures is of limited value.574 However, we continue to believe that this additional information is important to understanding counterparty risk exposure, and counterparty risk exposures represent substantial sources of systemic risk.575 Certain others of these proposed amendments did not receive significant comment on their proposed benefits. For example, the amendments requiring additional performance-related information if the adviser calculates market value did not receive significant comment. One commenter recommended requiring volatility measurements over longer periods, such as quarterly or annually, stating that requiring daily measurements would result in a smaller population size and less meaningful information.576 As discussed above, higher frequency volatility information is important because significant volatility swings that occur over a short timeframe may not be discernible from quarterly or annual data but can pose systemic risk.577 Further, receiving higher frequency volatility data will give more context to a fund’s reported monthly returns and will allow us to assess risk-adjusted returns.578 In still other cases, the benefits from the final amendments will be enhanced by changes made in response to commenters. For example, one commenter recommended, for reporting of certain drawdown metrics
associated with days with a negative daily rate of return, changing reporting of amount in base currency to percent in base currency, and the final amendments implement this change to be more reflective of industry practice, and in turn improve data quality.579 Third, there are revisions that will expand the scope of certain questions from only covering qualifying hedge funds advised by large hedge fund advisers to covering all hedge funds advised by any private fund adviser. By expanding the universe of private funds that are covered by several questions, the amendments will enhance the SEC’s and FSOC’s ability to conduct broad, representative measurements regarding the private fund industry. For example, the amendments will require all advisers to indicate whether the reporting fund is an open-end private fund in Question 10(a) or a closed-end private fund in Question 10(b).580 Because the activities of private fund advisers may differ significantly depending on their size, this enhanced coverage will potentially enhance regulators’ abilities to obtain a representative picture of the private fund industry and lead to more robust conclusions regarding emerging industry trends and characteristics. The SEC believes these amendments, and others,581 will enhance regulators’ picture of the private fund industry, thereby potentially improving the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial instability, as well as potentially improving the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. Some commenters questioned these benefits. For example, one commenter asserted that the data would be of limited benefit for systemic risk monitoring because of the inclusion of data from smaller funds.582 However, we continue to believe that a private fund of any size that provides for withdrawal or redemption rights may be affected by increased investor withdrawals during certain market events and/or vulnerable to failure as a result of investor redemptions, and so the additional data will be relevant for assessing broader systemic risk, for example by allowing the Commissions and FSOC to assess the prevalence of the exercise of withdrawal and redemption rights to identify potential patterns among affected funds that may signal stress at a particular fund or across many funds.583 Information on withdrawal and redemption rights from all private funds, including smaller private funds or funds that are not included in the definition of a ‘‘hedge fund,’’ will improve FSOC’s ability to monitor potential systemic risk and support the Commissions’ investor protection efforts. One commenter supported the proposed amendments and agreed with the potential benefits, stating that expanding the classes of private funds that are required to disclose withdrawal and redemption rights would allow FSOC to better identify systemic risks, particularly resulting from
market events.584 Lastly, certain changes will streamline reporting and reduce the reporting burden by removing certain questions where other questions provide the same or superseding information. For example, the amendments will remove current Question 19, which requires advisers to hedge funds to report whether the hedge fund has a single primary investment strategy or multiple strategies, and will also remove current Question 21, which requires advisers to hedge funds to approximate what percentage of the hedge fund’s net asset value was managed using high frequency trading strategies.585 The SEC believes that these revisions will benefit advisers and investors by directly lowering the costs and reducing part of the burden on advisers of completing Form PF filings.586 Commenters generally supported amendments that eliminate questions and streamline reporting requirements.587
c. Amendments to Information About
Hedge Funds Advised by Large Private Fund Advisers The changes to section 2 will provide greater insight into operations and strategies into hedge funds advised by large private fund advisers specifically, and will also assist in assessing broader hedge fund industry trends. This section

588See supra section II.C.2.
589 Id.
590See supra sections II.C.2.a; II.C.2.c.
591 Id. For example, higher quality data on short positions can facilitate more accurate and timely identification of significant market participants during periods of volatility related to shorting activity, such as the Jan. 2021 ‘‘meme stock’’ episodes. See, e.g., SEC, Staff Rep. on Equity and Options Market Structure Conditions in Early 2021 (Oct. 14, 2021), available at https://www.sec.gov/ files/staff-report-equity-options-market-structionconditions-early-2021.pdf. 592See supra section II.C.2.a. 593As discussed above, when monitoring funds’ activities during recent market events like the Mar. 2020 COVID–19 turmoil, the existing aggregation of U.S. Treasury securities with related derivatives did not reflect the role hedge funds played in the U.S. Treasury market. See supra sections II.C.2.a, IV.B.1. Also during the COVID–19 market turmoil, FSOC sought to evaluate the role hedge funds played in disruptions in the U.S. Treasury market by unwinding cash-futures basis trade positions and taking advantage of the near-arbitrage between cash and futures prices of U.S. Treasury securities. Because the existing requirement regarding turnover reporting on U.S. Treasury securities is highly aggregated, the SEC staff, during retrospective analyses on the Mar. 2020 market events, was unable to obtain a complete picture of activity relating to long treasuries and treasury futures. See supra sections II.C.2.d, IV.B.1. 594Other revisions that will provide this benefit include the amendments revising reporting of reportable sub-asset classes, including those for certain categories of listed equity securities, repos, asset-backed securities and other structured products, derivatives, and cash and commodities; revising reporting of open and large position reporting; revising reporting of counterparty exposures including reporting of significant counterparties; revising currency reporting; requiring significant country and industry exposure; requiring additional reporting on fund portfolio risk profiles; requiring more granular reporting of investment performance by strategy; amending reporting of portfolio liquidity; and amending reporting of financing liquidity. See supra section II.C. 595See supra section II.C.2.a. 596 Id. 597See supra section II.C.2.c; see also MFA Comment Letter III. 598See supra section II.C.2.a. 599 Id.; see also AFREF Comment Letter I; Better Markets Comment Letter. 600See supra section II.C.2.a. 601See supra section IV.C.1.b. discusses how the SEC believes the changes will thereby enhance the SEC’s and FSOC’s investor protection and systemic risk assessment efforts. This will be accomplished in three key ways. As with section 1, first, the changes will provide more prescriptive requirements to improve comparability across advisers and reduce reporting errors and issues of data quality, based on experience with the form. This will be accomplished by standardizing reporting of information across different advisers and across different
regulatory filings. For example, the amendments to current Question 30 (on qualifying hedge fund exposures to different types of assets) will replace the existing complex table in current Question 30 with a redesignated Question 32 with reporting instructions that will use a series of drop-down menu selections and provide additional narrative reporting instructions and additional information on how to report exposures.588 Similarly, advisers to qualifying hedge funds will now be required to report the 10-year zero coupon bond equivalent for all sub-asset classes with interest rate risk, rather than providing advisers with a choice to report duration, WAT, or an unspecified 10-year equivalent.589 Several revisions (relating to adviser reporting of basic information for all hedge funds that it advises) will revise instructions relating to reporting of adjusted long and short exposures and market factor effects on a hedge fund’s portfolio.590 These revisions can potentially prevent, for example, data errors associated with reporting of long and short components of a portfolio or discrepancies across advisers in their choices of which market factors to report (as Form PF currently allows advisers to omit a response to any market factor that they do not regularly consider in formal risk management testing).591 As another example, the changes will provide for a new sub-asset class in investment exposure reporting for ADRs, in line with how ADRs are reported on the CFTC’s Form CPO–PQR, potentially improving assessment of currency risk across regulatory filings.592 As a final example, the changes will revise reporting for positions held physically, synthetically, or through derivatives and indirect exposure, and will require reporting turnover on a per fund basis instead of in the aggregate as well as providing for more granular reporting of turnover.593 The SEC believes these revisions, and others,594 will align Form PF data across filers, thereby potentially improving the efficiency with which the SEC and FSOC evaluate market risk and measure industry trends, thereby increasing the efficiency with which regulatory responses are developed, improving systemic risk assessment and regulatory programs to protect investors. Several changes in response to commenters will either enhance these benefits or will provide substantially the same benefits relative to the proposal but at reduced burden to advisers. For example, in response to commenters, under the final amendments advisers are permitted to 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 the adviser would allocate the exposure of the indirectly held entity more granularly under its own internal methodologies and conventions of its service providers.595 This modification balances the importance of obtaining more accurate and granular data with a reporting standard that is
less burdensome for advisers than the proposed standard. Similarly, in the final amendments, in response to commenters we are modifying the ‘‘10- year bond equivalent’’ definition to reference U.S. dollars, rather than the fund’s base currency, so that advisers will not be required to perform any additional exchange conversions.596 As a final example, with respect to market factor reporting, commenters suggested that the proposal was unclear in certain questions as to whether an adviser is required to ‘‘look through’’ the fund’s investments.597 In response, we are adding an instruction that when reporting exposures to changes in market factors for indirect positions, an adviser may use reasonable estimates that best represent the exposure to the market factor, consistent with the adviser’s internal methodologies and conventions of service providers.598 Many commenters also agreed with the benefits of certain proposed amendments. For example, commenters supported the amendments to require hedge fund advisers to report their long and short holdings on a disaggregated basis, or stated that requiring private fund advisers to report both long and short positions will allow FSOC to have a complete picture of the risk exposure across private funds, or stated that allowing advisers to aggregate their positions between physically held and synthetically held positions can make it difficult to understand the impact of hedge fund activity especially during periods of market instability.599 Several of these amendments did not receive comments. For example, we did not receive comments on many aspects of the amendments to redesignated Question 32.600 Second, the changes will help Form PF provide greater insight into newly emerging areas of risk, including increasing exposures to new asset classes, changing exposures across different categories of counterparties, and changing risk management practices (such as changing practices around posting of collateral). The SEC believes these changes will help Form PF more completely and accurately capture information relevant to ongoing trends in the private fund industry. For example, in addition to the more general investment strategy questions in section 1c described above,601 section 2b will

602See supra section II.C.2.a.
603 Id.
604See supra section II.C.2.a, footnote 360 and accompanying text. 605See supra section II.C.2.b. 606See supra section II.C.2.d. 607See supra section II.C.2.a. 608See supra section IV.C.1.b. For example, the SEC believes the addition of a base metal commodities sub-asset class will allow for identification of large players in the base metals market (such as those impacted by the Mar. 2022 ‘‘nickel squeeze,’’ during which the price of nickel rose unusually steeply and rapidly in response to commodity price increases caused by Russia’s invasion of Ukraine). See supra footnote 323. 609Other revisions that will provide this benefit include revising reporting for positions held physically, synthetically, or through derivatives and indirect exposure; revising reportable sub-asset classes, including those for certain categories of listed equity securities, repos, asset-backed securities and other structured products, derivatives, and other cash and commodities; further revising reporting of counterparty exposures including reporting of significant counterparties (in addition to the revisions to CCP exposures); revising currency reporting; requiring more granular reporting of turnover; requiring significant country and industry exposure; requiring additional reporting on fund portfolio risk profiles; requiring more granular reporting of investment performance by strategy; requiring new reporting on portfolio correlation; amending reporting of portfolio liquidity; and amending reporting of financing liquidity. See supra section II.C. 610See supra section II.C.2.a; see also SIFMA Comment Letter. 611See supra section II.C.2.a. We discuss the costs of these amendments, including comments on the proposed amendments, below. See infra section IV.C.2. 612Other commenters were opposed to these amendments, but primarily on the basis of costs of the updated reporting. See supra section II.C.2.b; see also AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. We discuss the costs of these amendments, including comments on the proposed amendments, below. See infra section IV.C.2. 613See supra section II.C.1. 614 Id. 615Other revisions that will provide this benefit include consolidating Question 47 into Question 36; removing the requirement from Question 38 for advisers to report the percentage of the total amount of collateral and other credit support that a fund has posted to counterparties that may be rehypothecated; and requiring reporting turnover on a per fund basis instead of in the aggregate. See supra section II.C. 616See supra sections II.C.1, II.C.2.b; see also, e.g., MFA Comment Letter II; SIFMA Comment Letter; Better Markets Comment Letter. 617See section V.C. (for an analysis of the direct costs associated with the new Form PF requirements for quarterly and annual filings). require large advisers to qualifying hedge funds to report their total exposures to digital assets.602 As another example, large advisers to qualifying hedge funds
will be required to report exposures to additional commodity sub-asset classes (e.g., other (non-gold) precious metals, agricultural commodities, and base metal commodities).603 They will also be required to report all other counterparties (by name, LEI, and financial institution affiliation) to which a fund has net mark-to-market exposure after collateral that equals or is greater than either (1) five percent of a fund’s net asset value or (2) $1 billion, facilitating regulators’ abilities to understand the impact of a particular counterparty failure like those that occurred during the 2008 financial crisis and in the period since (e.g., the failure of MF Global in 2011).604 Advisers will also be required to report certain of their exposures to CCPs,605 and will be required to report each CCP (or other third party) holding collateral in respect of cleared exposures in excess of five percent of the fund’s net asset value, or $1 billion.606 As a final example, advisers will be required to determine adjusted exposure for each ‘‘sub-asset’’ using a specified methodology, as proposed. This methodology will include, among other specifications, netting positions that have the same underlying reference asset across instrument type, including positions held indirectly through another entity such as ETFs and other exchange traded products.607 These amendments will also include defining ‘‘exchange traded product’’ to better facilitate exchange traded product and ETF exposure reporting. These types of funds are important avenues of investing for many types of investors but can represent different systemic risks than other types of investments, potentially increasing certain types of risk and decreasing other types of risk. As discussed above, these (and other) new granular reporting requirements will represent new possible sources of systemic risk for the SEC and FSOC to evaluate, and also new areas of focus for the SEC’s regulatory outreach, examination, and investigation.608 The SEC believes these revisions, and others,609 will improve the SEC’s and FSOC’s efforts to assess developing systemic risks and FSOC’s efforts to assess broader financial stability, as well as potentially improve the SEC’s efforts to protect investors by identifying areas in need of outreach, examination, or investigation. Some commenters questioned or were skeptical of these benefits. For example, one commenter indicated that existing data sources, such as existing Form PF, Form 13F and 13H, and CFTC Form CPO–PQR, already allow the Commissions to obtain granular information about a fund’s holdings with respect to the new sub-asset classes.610 As discussed above, we have identified information gaps in the data reported on the existing Form PF based on our experience, and we are unable to determine the full extent of a fund’s exposure because the different types of exposures are combined.611 The final amendments will generate the intended benefits described above.612 Lastly, the
amendments will remove certain questions where other questions provide the same or superseding information, which the SEC believes will streamline reporting and reduce reporting burden. For example, the changes will remove section 2a entirely, based on a determination that the aggregated information in section 2a is redundant to information required to be reported in other sections,613 and will remove the requirement from Question 38 for advisers to report the percentage of the total amount of collateral and other credit support that a fund has posted to counterparties that may be rehypothecated.614 The SEC believes that these revisions, and others,615 will directly lower the costs and reduce the burden to advisers of completing Form PF filings. Commenters who discussed these proposed amendments agreed that there would be benefits from reducing the burden by eliminating questions and streamlining reporting requirements.616
2. Costs
The amendments to Form PF will lead to certain additional costs for private fund advisers. Any portion of these costs that is not borne by advisers will ultimately be passed on to private funds’ investors. These costs will vary depending on the scope of the required information, which is determined based on the size and types of funds managed by the adviser as well as each fund’s investment strategies, including choices of asset classes and counterparties. These costs are quantified, to the extent possible, by examination of the analysis in section V.C. The SEC anticipates that the costs to advisers associated with Form PF will be comprised of both direct compliance costs and indirect costs. Direct costs for advisers will consist of internal costs (for compliance attorneys and other non-legal staff of an adviser, such as computer programmers, to prepare and review the required disclosure) and external costs (including filing fees as well as any costs associated with outsourcing all or a portion of the Form PF reporting responsibilities to a filing agent, software consultant, or other third-party service provider).617 The SEC believes that the direct costs associated with the final amendments will be most significant for the first updated Form PF report that a private fund adviser will be required to file because the adviser will need to

618See Kaal, supra footnote 487.
619Based on the analysis in section V.C, initial costs associated with filing the first updated Form PF report are estimated to increase by $5,820 for smaller private fund advisers, $20,190 for large hedge fund advisers, $10,592 for large liquidity fund advisers, and $10,647 for large private equity fund advisers. These figures are calculated as the cost of filing under the amended form minus the cost of filing prior to the amendments for each category of adviser. See Table 6. Direct internal compliance costs associated with the amendments are estimated at $2,247 annually for smaller private fund advisers. Direct internal compliance costs associated with the amendments are estimated at $8,346 per quarterly filing or $33,384 annually for large hedge fund advisers. Direct internal compliance costs associated with the amendments are estimated at $5,136 per quarterly filing or $20,544 annually for large liquidity fund advisers. Direct internal compliance costs associated with the amendments are estimated at $4,815 annually for large private equity fund advisers. These figures are calculated as the cost of filing under the amendments minus the cost of filing prior to the amendments for each category of adviser. See Table
7. It is estimated that there will be no additional
direct external costs and no changes to filing fees associated with the amendments. See Table 9. The SEC anticipates that there may be additional firsttime filing costs for filers who do not currently file on a calendar quarter basis, but that these costs are likely to be small and not likely to impact subsequent filings beyond the first. As discussed above, a 2018 industry survey of large hedge fund advisers found filing costs that ranged from 35% to 72% higher than SEC cost estimates. These industry cost estimates would therefore suggest costs associated with the changes to Form PF that are potentially 35% to 72% higher than those estimated here. See MFA Letter to Chairman Clayton, supra footnote 364, at 3. However, a 2015 survey of SECregistered investment advisers to private funds affirmed the SEC’s cost estimates for smaller private fund advisers’ Form PF compliance costs, and found that the SEC overestimated Form PF compliance costs for larger private fund advisers. These academic literature cost estimates would therefore suggest that the costs associated with the changes to Form PF estimated here are potentially conservatively large. See Kaal, supra footnote 487. We were persuaded by commenters who asserted that the proposed burdens underestimated the time and expense associated with the proposed amendments. To address commenters’ concerns and recognizing the changes from the proposal, we have revised the estimates as reflected here and below. See infra section V.C. 620See supra section II.E. 621The final amendments also seek to limit unnecessary costs by avoiding redundancies between new questions and current Questions. For example, the SEC will remove current Question 22, as it would be redundant in light of the expanded turnover reporting. See supra footnote 385. 622See supra section II.B.1; see also Bloomberg Comment Letter. 623See supra section II.B.1. 624 Id. 625See, e.g., MFA Comment Letter III; AIMA/ACC Comment Letter; MFA/NAPFM Comment Letter. 626 Id. The Proposing Release economic analysis’ quantified costs were based on compliance cost estimates from the Proposing Release PRA analysis. As discussed above, industry and academic literature from 2015–2018 has varied in its findings on whether SEC’s past PRA analysis estimates of Form PF compliance costs have historically been overstated or understated. To address commenters’ concerns and recognizing the changes from the proposal, we are revising the estimates as reflected here and below. See infra section V.C; see also supra footnote 619. 627See supra sections II.A.2, II.C.2. 628See supra section II.C.2. familiarize itself with the new reporting form and may need to configure its systems to gather the required information efficiently. In subsequent reporting periods, the SEC anticipates that filers will significantly lower costs because much of the work involved in the initial report is non-recurring and because of efficiencies realized from system configuration and reporting
automation efforts accounted for in the initial reporting period. This is consistent with the results of a survey of private fund advisers, finding that the majority of respondents identified the cost of subsequent annual Form PF filings at about half of the initial filing cost.618 The SEC anticipates that the amendments aimed at improving data quality and comparability will impose limited direct costs on advisers given that advisers already accommodate similar requirements in their current Form PF reporting and can utilize their existing capabilities for preparing and submitting an updated Form PF. The SEC expects that most of the costs will arise from the requirements to report additional and more granular information on Form PF. These direct costs will mainly include an initial cost to set up a system for collecting, verifying additional more granular information, and limited ongoing costs associated with periodic reporting of this additional information.619 We believe that the amendment to 17 CFR 275.204(b)–1(f) under the Advisers Act will have minimal costs associated with it, as the amendment only makes it easier to submit a temporary hardship exemption and assists advisers in determining what constitutes a ‘‘filed’’ temporary hardship exemption.620 As discussed in the benefits section, the SEC believes that part of the costs to advisers arising from the amendments will be mitigated by the cost savings resulting from reduced ambiguities and inefficiencies that currently exist in the reporting requirements, as this may reduce the amount of time and effort required for some advisers to prepare and submit Form PF information.621 Indirect costs for advisers will include the costs associated with additional actions that advisers may decide to undertake in light of the additional reporting requirements on Form PF. Specifically, to the extent that the amendments provide an incentive for advisers to improve internal controls and devote additional time and resources to managing their risk exposures and enhancing investor protection, this may result in additional expenses for advisers, some of which may be passed on to the funds and their investors. Commenters also identified other indirect costs in the form of unintended effects, which we agree may occur. For example, one commenter stated that requirements in Form PF to use a particular financial identifier may increase costs and reduce innovation and competition among financial identifier providers.622 However, we do not think this effect is likely to occur, because Form PF continues to not require an adviser to obtain or use LEI or any other particular financial identifier (other than private fund identification numbers for reporting funds), as our amendments provide only that any identifier that does not meet the definition of ‘‘LEI’’ may not be substituted for an LEI where a question requests an LEI.623 Form PF continues to permit advisers to use other financial identifiers elsewhere on Form PF
where the reporting of LEI is either not specified or not required.624 Therefore, financial identifier providers will not likely experience any reduction in their incentives to innovate or compete. Some commenters stated that there will be substantial burden including initial set-up costs, external costs, and ongoing costs associated with amending Form PF.625 These commenters also stated that the Proposing Release economic analysis understated the costs of the amendments.626 Several of the changes to the final amendments relative to the proposal are in response to commenter concerns on costs. Specifically, the final amendments have removed certain questions that were proposed and revised other questions in order to reduce their burden without compromising the goals of the Commissions and FSOC in improving the information received on the form for purposes of their systemic risk reviews. For example, we are revising certain questions related to exposures to instruct advisers to select the exposure that ‘‘best represents’’ the indirect investment of the reporting fund, based on commenter statements that obtaining information about a fund’s indirect exposures through investments in other funds could be difficult or burdensome.627 As a second example, we are also not adopting a proposed question on portfolio correlations in response to comments that the proposed portfolio calculation questions would have been complex and burdensome to calculate.628 As a third example, one commenter stated that for quarterly filers who have a fiscal year ending in

629See supra section II.A.3.
630 Id.
631See supra section II.B.2. The incremental burdens associated with the use of these terms may be further limited because the recent amendments adopted by the SEC require a large hedge fund adviser to monitor and in certain instances report, the fund’s RFACV in compliance with its current reporting obligation. See May 2023 SEC Form PF Amending Release, supra footnote 4. 632 Id. 633See supra section II.C.2.a; see also, e.g., SIFMA Comment Letter. 634See supra section II.C.2.a. 635See supra section II.C.2.b; see also, e.g., MFA Comment Letter II; SIFMA Comment Letter; AIMA/ ACC Comment Letter. 636 Id. 637See supra section II.D; see also MFA Comment Letter II. 638 Id. 639See supra footnotes 619 through 621 and accompanying text; see also infra section V.C. 640See supra section II.B.2. 641 Id. 642See, e.g., MFA Comment Letter; AIMA/ACC Comment Letter. 643See supra footnote 456 and accompanying text. 644MFA/NAPFM Comment Letter; see also MFA Comment Letter III; SIFMA Comment Letter; AIC Comment Letter I; AIC Comment Letter II; Comment Letter of U.S. House of Representatives Committee on Financial Services. 645See supra section IV.C.1. 646See supra section IV.C.1; see also, e.g., AIC Comment Letter II; MFA Comment Letter I; MFA Comment Letter III; SIFMA Comment Letter. a non-calendar quarter month, the proposed instructions do not specify the procedure for a filer who, during the transition from fiscal to calendar quarter reporting, would otherwise be required to report twice in one calendar quarter.629 In response, we are requiring that such filers transition to the new timing requirement by their first calendar quarter-end filing for the first full quarterly reporting period after the compliance date.630 As a final example, we are permitting the use of RFACV and GRFACV in reporting certain questions related to asset values in Section 1b, concerning all private funds.631 Permitting an adviser to report GRFACV or RFACV will reduce burden associated with reporting of valuation data on a monthly basis.632 However, there were certain proposed amendments that commenters criticized as burdensome but are being adopted largely as proposed. Each of these amendments is being adopted either because costs will be limited, because benefits will be substantial, or both. For example, commenters criticized the prescribed methodology for calculating netted exposure as burdensome as well as the need to identify relevant sub-asset classes and the need to measure these exposures on a monthly basis.633 However, burden in the case of subasset classes will likely be limited, because advisers will generally only need to make the relevant determination of sub-asset classes once, with ongoing monitoring (and any reclassifications) relatively limited. Further, because a fund may use cross counterparty netting consistent with information reported by the fund internally for purposes of determining adjusted exposure, the adjusted exposure reporting will likely not be
significantly burdensome, particularly for funds using common aggregator protocols.634 As another example, some commenters opposed the requirement to provide additional detail regarding counterparty exposure and state that the information would be burdensome and costly to obtain.635 For reasons discussed above,636 we continue to believe that disaggregated counterparty exposure is important to systemic risk monitoring efforts, and will not be significantly burdensome to produce as we understand knowledge of counterparties to be a component of a fund’s risk management practices. As a final example, one commenter stated that the requirement to report information expressed as a percentage to the nearest one hundredth of one percent will significantly increase the costs and additional burdens for reporting advisers.637 However, as discussed above, percentages rounded to the nearest one hundredth of one percent will allow the Commissions to obtain and analyze more precise information that may otherwise be obscured, for example given that one one-hundredth of one percent can represent a meaningful dollar amount depending on the size of the private fund. And, while we recognize that this may not be the case for smaller funds, when such amounts are taken together for a large group of smaller funds, the aggregate amount across the fund group can represent a meaningful dollar amount for data analysis purposes.638 However, given commenters’ perspectives, we have increased our assessment of the incremental direct costs of the final amendments relative to the proposal, even after revising certain final amendments and questions relative to the proposal in order to reduce incremental burden.639 However, these costs must be analyzed alongside the important benefits that will accrue, as receiving exposure data on a monthly basis will allow us to better understand interim changes in exposures that may be relevant to systemic risk assessment that are not visible from the existing quarterly data, which may enhance the measurement of trends that may indicate systemic risk. Receiving these data on a monthly basis will also improve the Commissions’ ability to compare netted exposures with other monthly reported data, such as redesignated Question 23, relating to fund performance reported by all private funds.640 Being able to compare data on a monthly basis with other data at the same frequency is important for systemic risk assessment and to support investor protection efforts.641 Some commenters argued that the heightened compliance costs of Form PF may be particularly burdensome for small firms.642 As a result, the final amendments may represent a barrier to entry for smaller advisers who cannot meet the compliance costs or who cannot compete after passing those costs on to investors. To the extent any smaller advisers either exit or forgo entry in response to these compliance costs, competition would be negatively affected. However, comments were made in the context
of the proposal, and the final amendments reduce many of the costs of compliance relative to the proposal.643 Therefore, these effects may be mitigated, but may nonetheless occur. One commenter stated that the SEC should consider that ‘‘the sheer number and complexity of the Proposals, when considered in their totality, if adopted, would impose staggering aggregate costs, as well as unprecedented operational and other practical challenges.’’ 644 But, consistent with its long-standing practice, the Commission’s economic analysis in each adopting release considers the incremental benefits and costs for the specific rule—that is, the benefits and costs stemming from that rule compared to the baseline.645 In doing so, the Commission acknowledges that in some cases resource limitations can lead to higher compliance costs when the compliance period of the rule being considered overlaps with the compliance period of other rules. In determining compliance periods, the SEC considers the benefits of the rules as well as the costs of delayed compliance periods and potential overlapping compliance periods. Specifically, some commenters, as noted above, mentioned the proposals which culminated in the recent adoptions of the May 2023 SEC Form PF Amending Release, SEC Private Funds Advisers Adopting Release, Beneficial Ownership Amending Release, Short Position Reporting Adopting Release, Securitizations Conflicts Adopting Release, Treasury Clearing Adopting Release, and Dealer Definition Amending Release.646 The SEC

647The effective/compliance date of the amendments in this rulemaking is one year from the date of publication of the rules, which is anticipated to be in early 2025. See infra section II.F. See supra footnotes 461 through 467 (summarizing compliance dates for the previously adopted rules). 648The Short Position Reporting Adopting Release will require only institutional investment managers that meet or exceed certain reporting thresholds to report short position and short activity data for equity securities. The Securitizations Conflicts Adopting Release will affect only certain entities—and their affiliates and subsidiaries—that participate in securitization transactions. The Treasury Clearing Adopting Release will affect only those Form PF filers that participate in the secondary market for U.S. Treasury securities. Lastly, the Dealer Definition Amending Release will primarily affect certain principal trading firms and private funds; private funds will bear the compliance costs associated with registering as a broker-dealer—and those funds’ advisers will have to complete the compliance activities for their funds—only if the funds’ investment activities bring them within the scope of the amended definitions. See supra footnotes 464 through 467. 649See supra footnote 625 and accompanying text. 650SIFMA Comment Letter. acknowledges that there are compliance dates for certain requirements of these rules that overlap in time with the final rule, which may impose costs on resource constrained entities affected by multiple rules.647 This may be particularly true for smaller entities with more limited compliance resources. This effect can negatively impact competition because these entities may be less able to absorb or pass on these additional costs, making it more difficult for them to remain in business or compete. We do not think these increased costs from overlapping compliance periods will be significant for two reasons. First, the market participants that will be subject to the amendments in this rulemaking and who will be subject to one or more of the other recently adopted rules could be limited based on whether those participants’ activities fall within the scope of the other rules.648 Second, overlapping compliance burdens related specifically to implementation of recent Form PF amendments will be limited because of the scope and implementation periods of the May 2023 SEC Form PF Amending Release. Only the compliance period for amendments to
section 4 of Form PF overlap with the
compliance periods for the Form PF amendments in this rulemaking. As a result, smaller private fund advisers, who are the entities more likely to be resource constrained, will not face any heightened costs from overlapping implementation periods because only large private equity fund advisers— meaning those, together with their related persons that are not separately operated, with at least $2 billion in combined regulatory assets under management attributable to private equity funds—report on section 4. Moreover, commenters’ concerns about the costs of overlapping compliance periods were raised in the context of the proposal and, as discussed above, we have taken steps to reduce costs of the final rule in several ways from the proposal.649 As a result, for both larger and smaller entities, any higher costs or potential negative effects on competition due to overlapping compliance periods raised in the context of the proposal may be mitigated under the final amendments. Form PF collects confidential information about private funds and their trading strategies, and the inadvertent public disclosure of such competitively sensitive and proprietary information could adversely affect the funds and their investors. Some commenters expressed concerns at this possibility. For example, one commenter opposed the increased granularity in strategy categories, stating they could disclose a fund’s proprietary investment information and present data security concerns.650 However, the SEC anticipates that any risk of these adverse effects will be mitigated by certain aspects of the Form PF reporting requirements and controls and systems designed by the SEC for handling the data. For example, the SEC has controls and systems for the use and handling of the modified and new Form PF data in a manner that reflects the sensitivity of the data and is consistent with the maintenance of its confidentiality. The SEC has substantial experience with the storage and use of nonpublic information reported on Form PF as well as other nonpublic information that the SEC handles in the course of business. D. Reasonable Alternatives

Alternatives to Amendments to
General Instructions, Amendments To
Enhance Data Quality, and Additional Amendments The SEC considered alternatives to the amendments to general instructions, amendments to enhance data quality, and the additional amendments in the final rule (including the amendments to the process for requesting temporary hardship exemptions, by way of an amendment to 17 CFR 275.204(b)–1(f) under the Advisers Act). The alternatives considered were in the form of different choices of framing, level of additional detail requested by Form PF, level of detail removed from Form PF, and precise information targeted. For example, in the general instructions, the SEC considered an alternative that would have required advisers to report only at the master fund level or only at the feeder fund level. As another example, the SEC considered requiring annual filers to file within 30 calendar days after the end of their fiscal year, rather than 120 calendar days. While many alternatives may have been able to capture more detailed information, or may have been able to capture relevant information with a smaller reporting burden for advisers, the SEC believes that each of the amendments to general instructions, amendments to enhance data quality, and additional amendments as adopted will improve data quality and enhance the usefulness of reported data without imposing undue reporting burden.
Alternatives to Amendments to Basic
Information About the Adviser and the Private Funds It Advises The SEC also considered alternatives to the amendments to basic information about advisers and the private funds they advise. As above, these alternatives were in the form of different choices of framing, level of additional detail requested by Form PF, level of detail removed from Form PF, and precise information targeted. For example, with respect to identifying information for private funds in section 1a, the SEC considered an alternative that would provide more granularity for advisers to list categories of funds, such as differentiating between different types of funds of funds (for example, differentiating between multimanager funds of funds and multi-asset funds of funds). As another example, with respect to basic information reported for all private funds in section 1b, the SEC considered alternatives that would limit reporting information about withdrawal rights, redemption rights, and contributions to only funds and advisers of a certain size. As a final example, with respect to basic information reported for all hedge funds, the amendments will require advisers to identify each creditor or other counterparty (including CCPs) to which the reporting fund owes cash and synthetic financing borrowing (before posted collateral) equal to or greater than either (1) five percent of net asset value of the reporting fund as of the data reporting date or (2) $1 billion, but the SEC considered alternatives that would have changed the thresholds, either increasing or decreasing Form PF’s definition of what constitutes a significant counterparty. With respect to several such questions, commenters

651See supra sections II.B.3, II.C.2.
652 Id.
653See supra section II.C.
654See Form PF Glossary of Terms. The amendments will also instruct advisers to net fixed income positions that fall within certain predefined maturity buckets. See supra section II.C. 655See supra section II.C. 656See supra sections II.B.3, II.C.2. 657MFA Comment Letter II. 658See supra section II.B.3. 659See supra section II.C.2.d. 660 Id. 661See supra section II.C.2.d. 662See supra section II.C.2.d. 663 Id. suggested the SEC consider alternative thresholds for reporting.651 As discussed above, this threshold is appropriate because both portions of the threshold highlight potential systemic risk: five percent of net asset value is a level that represents significant exposure (based on the impact on performance) in the event of counterparty default, and $1 billion, while it may not equal five percent of a large hedge fund’s assets, may indicate a larger systemic stress involving a fund’s counterparties.652 The SEC believes that each of the amendments as adopted improve data quality and enhance the usefulness of reported data without imposing an undue reporting burden.
3. Alternatives to Amendments to
Information About Hedge Funds
Advised by Large Private Fund Advisers The SEC considered alternatives to the amendments to information about hedge funds advised by large private fund advisers. As above, these alternatives were in the form of different choices of framing, level of additional detail requested by Form PF, level of detail removed from Form PF, and precise information targeted. For example, with respect to investment exposure reporting, the final amendments will continue to require reporting on qualifying hedge fund exposures to different types of assets, but will revise the instructions and format of this reporting. As an alternative, the SEC considered an amendment that would require or permit large hedge fund advisers to file portfolio position-level information for qualifying hedge funds similar to what is required for large liquidity fund advisers, and large hedge fund advisers who do so would be allowed to forgo responding to certain specific investment exposure questions in
section 2, including Question 30. The
questions as adopted will improve data quality and enhance the usefulness of reported data without imposing an undue reporting burden.653 As another example, the SEC considered alternative approaches for instructing reporting advisers on how to net long and short positions for each sub-asset class. One prong of the amended instructions for netting long and short positions relies on a newly defined term ‘‘reference asset,’’ which we define as a security or other investment asset to which the reporting fund is exposed through direct ownership, synthetically, or indirect ownership,654 and instructs advisers to net positions that have the same underlying reference asset across instrument types. The SEC considered instead tailoring these instructions to different asset classes. For example, the SEC considered instructing advisers to net repo exposures in accordance with generally accepted accounting principles (‘‘GAAP’’) rules for balance sheet netting, or instructing advisers with exposures whose underlying reference assets are Treasury securities to net within predefined maturity buckets. However, the SEC believes that providing netting instructions through the single definition of ‘‘reference asset’’ improves data quality and enhances the usefulness of report data without imposing undue burden.655 Commenters also suggested alternatives to questions requiring reporting of categories of large exposures, in particular suggesting alternative parameters or thresholds defining when exposures should be reported.656 For example, for the proposed new questions requiring advisers to provide information for counterparties to which the reporting fund has net mark-to-market counterparty credit exposure which is equal to or greater than either (1) five percent of the reporting fund’s net asset value as of the data reporting date or (2) $1 billion, after taking into account collateral received or posted by the reporting fund, one commenter suggested a threshold of 10 percent for this question.657 For each of these questions, the thresholds were chosen to highlight potentially significant systemic risks in keeping with industry practice. For example, for the above counterparty credit exposure question, five percent was identified as a level large enough to constitute a shock to a reporting fund’s net asset value, and $1 billion was identified as an amount that in the case of a very large counterparty, may not represent five percent of its net assets, but may be large enough to create stress for the reporting fund.658 As another example, for the question on country and industry exposures, the threshold of either (1) five percent of net asset value or (2) $1 billion is appropriate for multiple reasons, such as the fact that it represents a material level of portfolio exposure to risk relating to individual countries and geographic regions, and the fact that, for funds without a benchmark, five percent is often evaluated for industry, individual position, and country
risk, and is a common and easy-to-measure threshold.659 With respect to the $1 billion threshold, it constitutes sufficiently large nominal value exposure from a risk perspective.660 As a final example, the SEC also considered requiring advisers to report Dollar Value of one basis point (DV01) instead of the 10-year zero coupon bond equivalent. We understand that the 10- year zero coupon bond equivalent is the most widely used duration measure currently applied in the industry, and would require the fewest number of private funds to update their calculations of duration to comply with the reporting requirement.661 Broadly, the SEC believes that each of the amendments as adopted improve data quality and enhance the usefulness of reported data without imposing undue reporting burden.662
4. Alternatives to the Definition of the
Term ‘‘Hedge Fund’’
The SEC also considered amending the definition of ‘‘hedge fund’’ which is defined in the Glossary of Terms as any private fund (other than a securitized asset fund) (a) with respect to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of its net asset value (including any committed capital) or may have gross notional exposure in excess of twice its net asset value (including any committed capital); or (c) that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration).663 Under the existing definition, an adviser to a fund that holds itself out as a private equity fund and is permitted in its fund governing documents to engage in certain short-selling, but has not done so in the past 12 months, would be reported in Form PF data as

664See supra sections II.C.2; IV.C.2; see also infra
section V.C.
665See supra section II.C.2.d.
666 Id.
667See supra footnote 3; see also 2011 Form PF Adopting Release, at text accompanying footnote 4. 668See supra section II.C.2.d. 669We estimate that the average cost of a transition filing is $20.50. See Table 9. 670CFTC rule 4.27, 17 CFR 4.27, was adopted pursuant to the CFTC’s authority set forth in section 4n of the Commodity Exchange Act, 7 U.S.C. 6n. CFTC regulations are found at Title 17 Chapter I of the Code of Federal Regulations. 671 44 U.S.C. 3501 through 3521. 672 Id. 673 44 U.S.C. 3507(d); 5 CFR 1320.11. 674The SEC also submitted the collection of information to OMB on Sept. 29, 2023, in connection with the May 2023 SEC Form PF Amending Release (ICR Reference No. 202305– 3235–023), which OMB approved on Dec. 18, 2023, Continued a hedge fund with zero short exposure. The SEC therefore considered a potential alternative definition of ‘‘hedge fund,’’ under which, to qualify as a hedge fund under the leverage prong of the potential alternative definition, a fund would have to satisfy subsection (b) of the definition (the leverage prong), as it does today, but also must have actually borrowed or used any leverage during the past 12 months, excluding any borrowings secured by unfunded commitments (i.e., subscription lines of credit). Additionally, to qualify as a hedge fund under the short selling prong of the potential alternative definition (the short selling prong), the fund would have engaged in certain short selling during the past 12 months. The SEC also considered alternative definitions requiring, for example, longer or shorter time periods, different time periods for borrowing versus short selling, or requirements for the reporting fund to provide redemption rights in the ordinary course. An alternative definition could reduce the unnecessary reporting burden faced by advisers to deemed hedge funds that hold themselves out as private equity funds but currently comply with instructions to report information on Form PF section 2; however, this benefit would be partially mitigated by the impacted private fund advisers who would then need to report on necessary Form PF sections for private equity fund advisers.664 Some reporting funds may consider themselves ‘‘private equity funds,’’ but advisers report them as hedge funds, because the reporting fund’s governing documents permit the fund to engage in certain borrowing and short selling (even though it did not do so at any time in the past 12 months), and an alternative definition could result in these funds reporting in a manner more consistent with their own view of their fund strategy. As discussed above, certain commenters supported revising the definition, including offering alternative specific definitions.665 However, the current definition of ‘‘hedge fund’’ is designed to include any private fund having any one of three common characteristics of a hedge fund:
(1) a performance fee, (2) leverage, or (3) short selling. Any private fund that has one or more of these characteristics is an appropriate subject for the more detailed level of reporting that hedge funds are subject to on Form PF because the questions that hedge fund advisers are required to complete focus on these activities, and these activities may contribute to systemic risk, particularly in the case of a fund that has the ability to engage in borrowing or short selling. A revised definition that focuses on actual or contemplated use could therefore have resulted in incomplete data for funds engaged in these activities, meaning incomplete data on activities that are important potential contributors to systemic risk. Because short selling and borrowing are important distinguishing characteristics of hedge funds and providing any exception for these activities, including a de minimis one, could have a significant, negative effect on reporting.666 Moreover, because a reporting fund may vary from year to year in its use of leverage or short selling, a revised definition that focuses on actual or contemplated use would also have caused fluctuations in the data from year to year, depending on which funds use leverage or short selling in a particular year, potentially impacting the quality or usefulness of resulting data. In particular, when first adopting the current definition, the Commissions reasoned that even a reporting fund for which leverage or short selling is an important part of its strategy may not engage in that practice during every reporting period.667 This effect could also have increased the burden on advisers to the extent that their funds were required to fluctuate between different reporting categories in different reporting periods, depending on the fund’s practices in any given period.668 The potential costs of this alternative definition would also have included transition filing costs for advisers impacted by the definition, who would have been required to update their reporting methods to capture information from their funds relevant for reporting on Form PF as a private equity fund instead of as a hedge fund, and completing corresponding sections of the form targeted at each category.669
V. Paperwork Reduction Act
CFTC:
The information collection titled
‘‘Form PF and Rule 204(b)–1’’ (OMB
Control No. 3235–0679) was issued to the SEC and implements sections 404 and 406 of the Dodd-Frank Act by requiring private fund advisers that have at least $150 million in private fund assets under management to report certain information regarding the private funds they advise on Form PF. The SEC makes information on Form PF available to the CFTC, subject to the confidentiality provisions of the DoddFrank Act, and the CFTC may use information collected on Form PF in its regulatory programs, including examinations, investigations and investor protection efforts relating to private fund advisers. CFTC rule 4.27 670 does not impose any additional burden upon registered CPOs and CTAs that are dually registered as investment advisers with the SEC (‘‘dual registrants’’). There is no requirement to file Form PF with the CFTC, and any filings made by dual registrants with the SEC are made pursuant to the Advisers Act. While CFTC rule 4.27(d) states that dually registered CPOs and CTAs that file Form PF with the SEC will be deemed to have filed Form PF with the CFTC for purposes of any enforcement action regarding any false or misleading statement of material fact in Form PF, the CFTC is not imposing any additional burdens herein. Therefore, any burden imposed by Form PF on entities registered with both the CFTC and the SEC has been fully accounted for within the SEC’s calculations regarding the impact of this collection of information under the Paperwork Reduction Act of 1995 (‘‘PRA’’), as set forth below.671 SEC:
Certain provisions of the final Form PF and rule 204(b)–1 revise an existing ‘‘collection of information’’ within the meaning of the PRA.672 The SEC published a notice requesting comment on changes to this collection of information in the 2022 Joint Form PF Proposing Release and submitted the collection of information to the Office of Management and Budget (‘‘OMB’’) for review in accordance with the PRA.673 The title for the collection of information we are amending is ‘‘Form PF and Rule 204(b)–1’’ (OMB Control Number 3235–0679), and includes both Form PF and rule 204(b)–1 (‘‘the rules’’).674 The SEC’s solicitation of

available at https://www.reginfo.gov/public/do/ PRAViewICR?ref_nbr=202305-3235-023. See May 2023 SEC Form PF Amending Release, supra footnote 4. Following this, the SEC submitted the collection of information to OMB on Jan. 11, 2024, in connection with the July 2023 Form PF Amending Release (ICR Reference No. 202401– 3235–005), which is currently pending, available at https://www.reginfo.gov/public/do/ PRAViewICR?ref_nbr=202401-3235-005. See July 2023 SEC Form PF Amending Release, supra footnote 4. The previously approved estimates used in this PRA do not reflect this submission to OMB in connection with the July 2023 Form PF Amending Release. 675See 17 CFR 275.204(b)–1. 676Large hedge fund advisers to qualifying hedge funds also file current reports as soon as practicable, but no later than 72 hours from the occurrence of certain reporting events, as provided for in Form PF section 5. Private equity fund advisers also file private equity event reports within 60 days from fiscal quarter end upon the occurrence of certain reporting reports, as provided for in Form PF section 6. See May 2023 SEC Form PF Amending Release, supra footnote 4. 677See May 2023 SEC Form PF Amending Release and July 2023 SEC Form PF Amending Release, supra footnote 4. 678Better Markets Comment Letter. 679See, e.g., AIC Comment Letter I; MFA Comment Letter II; MFA/NAPFM Comment Letter; SIFMA Comment Letter. 680See, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II; SIFMA Comment Letter. 681AIC Comment Letter I. 682See, e.g., AIMA/ACC Comment Letter; USCC Comment Letter. 683See, e.g., Questions 32, 33, 35, and 36. 684See Questions 11 and 12. 685Proposed Question 48; see, e.g., AIMA/ACC Comment Letter; MFA Comment Letter II. 686See, e.g., AIC Comment Letter I; AIC Comment Letter II; MFA Comment Letter III; SIFMA Comment Letter; see also 2022 SEC Form PF Proposing Release, supra footnote 4. 687See May 2023 SEC Form PF Amending Release and July 2023 SEC Form PF Amending Release, supra footnote 4. public comments included estimating and requesting public comments on the burden estimates for all information collections under this OMB control number (i.e., both changes associated with the rulemaking and other burden updates). These changes in burden also reflect the SEC’s revision and update of burden estimates since the proposal for all information collections under this OMB control number (whether or not associated with rulemaking changes) and responses to the SEC’s request for public comment on all information collection burden estimates for this OMB control number. An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid OMB control number. Compliance with the information collection titled ‘‘Form PF and Rule 204(b)–1’’ is mandatory. The respondents are investment advisers that (1) are registered or required to be registered under Advisers Act section 203, (2) advise one or more private
funds, and (3) managed private fund assets of at least $150 million at the end of their most recently completed fiscal year (collectively, with their related persons).675 Form PF divides respondents into groups based on their size and types of private funds they manage, requiring some groups to file more information more frequently than others. The types of respondents are (1) smaller private fund advisers, that report annually (i.e., private fund advisers that do not qualify as large private fund advisers), (2) large hedge fund advisers, that report more information quarterly (i.e., advisers with at least $1.5 billion in hedge fund assets under management), (3) large liquidity fund advisers, that report more information quarterly (i.e., advisers that manage liquidity funds and have at least $1 billion in combined money market and liquidity fund assets under management), and (4) large private equity fund advisers, that report more information annually (i.e., advisers with at least $2 billion in private equity fund assets under management).676 As discussed more fully in section II above and as summarized in sections V.A and V.C below, the amendments revise how all types of respondents report certain information on Form PF. We have revised our burden estimates in response to comments we received, to reflect modifications from the proposal, to incorporate the Form PF amendments that were separately adopted since the proposal,677 and to take into consideration updated data. One commenter indicated that the proposed amendments would confer more benefits than costs.678 We received other comments to our time and cost burdens indicating that we underestimated the burdens to implement the proposed amendments to Form PF.679 We also received comments on aspects of the economic analysis that implicated estimates we used to calculate the collection of information burdens.680 We discuss these comments below. We were persuaded by commenters who asserted that the proposed burdens underestimated the time and expense associated with the proposed amendments. Upon further consideration, we believe that it will take more time than initially contemplated in the proposal to collect the applicable data and report on Form PF. To address commenters’ concerns and recognizing the changes from the proposal discussed above in section II, we are revising the estimates as reflected in the charts below. As discussed more fully in section II above, we have also modified certain proposed requirements in a manner that changes our burden estimates in certain respects. For example, as discussed more fully in section II.A.2 above, we are adopting amendments to require consolidated reporting of trading vehicles, rather than separate reporting, as proposed, which reduces our burden estimates. One commenter stated that the proposed amendments to require disaggregated reporting of trading vehicles would require building of new reporting systems and that the Commissions’ estimated costs
were understated, particularly for private equity fund advisers.681 Some commenters stated that certain proposed amendments requiring more granular reporting would impose significant costs and burdens on advisers, such as the proposed requirements for lookthrough reporting, exposures, performance, and market factor reporting.682 As discussed more fully in
section II.C above, we have modified the
proposed requirements for large hedge fund advisers to report certain fund exposures to allow advisers to report the exposure category that best represents the reporting fund’s exposure, which will reduce the burden on advisers in collecting and reporting this information.683 We have also adopted a modification from the proposal which permits an adviser to report a fund’s monthly asset value as a GRFACV or an RFACV, rather than gross asset value or net asset value, in the event that these values are not calculated on a monthly basis, which is a less burdensome metric to calculate.684 Further, we are not adopting a proposed question on portfolio correlation, as discussed more fully in section II.C.2 above, after consideration of comments that stated the question would impose significant burdens on advisers because the calculation would be complex to perform and is not risk measurement that advisers currently calculate.685 Some commenters stated that the proposed cost estimates were understated because they do not take into consideration the costs of the amendments proposed in the 2022 SEC Form PF Proposing Release.686 Our final estimates have been revised to include the effect of the Form PF amendments that were adopted subsequent to the 2022 Joint Form PF Proposal.687 Our time and cost estimates also incorporate other adjustments, which are not based on changes from the proposed amendments, for updated data for the estimated number of respondents and

688See 15 U.S.C. 80b–4(b) and 15 U.S.C. 80b– 11(e). 689See Form PF. 690 Id. 691See 5 CFR 1320.5(d)(2)(vii) and (viii). 692See 15 U.S.C. 80b–10(c) and 15 U.S.C. 80b– 4(b). 693See, e.g., Private Funds Statistics, issued by staff of the SEC Division of Investment Management’s Analytics Office, which we have used in this PRA as a data source, available at https://www.sec.gov/divisions/investment/privatefunds-statistics.shtml. 694See 15 U.S.C. 80b–4(b)(8). 695See 15 U.S.C. 80b–4(b)(9). 696See 15 U.S.C. 80b–4(b)(7). 697See 2011 Form PF Adopting Release, supra footnote 4, at n.17. 698See 5 CFR 1320.5(d)(2)(viii). 699For the previously approved estimates, see ICR Reference No. 202305–3235–023 (conclusion date Dec. 18, 2023), available at https:// www.reginfo.gov/public/do/PRAViewICR?ref_ nbr=202305-3235-023. The 2022 Joint Form PF Proposing Release used the then-current previously approved estimates, see ICR Reference No. 202011– 3235–019 (conclusion date Apr. 1, 2021), available at https://www.reginfo.gov/public/do/ PRAViewICR?ref_nbr=202011-3235-019. salary/wage information across all filer types. A. Purpose and Use of the Information Collection The rules implement provisions of Title IV of the Dodd-Frank Act, which amended the Advisers Act to require the SEC to, among other things, establish reporting requirements for advisers to private funds.688 The information collected on Form PF is designed to facilitate FSOC’s obligations under the Dodd-Frank Act to monitor of systemic risk in the private fund industry.689 The SEC also may use information collected on Form PF in its regulatory programs, including examinations, investigations, and investor protection efforts relating to private fund advisers.690 The final amendments are designed to enhance FSOC’s ability to monitor systemic risk as well as bolster the SEC’s regulatory oversight of private fund advisers and investor protection efforts. The final amendments amend the form’s general instructions, as well as section 1 of Form PF, which apply to all Form PF filers. The final amendments also amend section 2 of Form PF, which applies to large hedge fund advisers that advise qualifying hedge funds (i.e., hedge funds with a net asset value of at least $500 million). B. Confidentiality Responses to the information collection will be kept confidential to the extent permitted by law.691 Form PF elicits non-public information about private funds and their trading strategies, the public disclosure of which could adversely affect the funds and their investors. The SEC does not intend to make public Form PF information that is identifiable to any particular adviser or private fund, although the SEC may use Form PF information in an enforcement action and FSOC may use it to assess potential systemic risk.692 SEC staff issues certain publications designed to inform the public of the private funds industry, all of which use only aggregated or masked information to avoid potentially disclosing any proprietary
information.693 The Advisers Act precludes the SEC from being compelled to reveal Form PF information except (1) to Congress, upon an agreement of confidentiality, (2) to comply with a request for information from any other Federal department or agency or self-regulatory organization for purposes within the scope of its jurisdiction, or (3) to comply with an order of a court of the United States in an action brought by the United States or the SEC.694 Any department, agency, or self-regulatory organization that receives Form PF information must maintain its confidentiality consistent with the level of confidentiality established for the SEC.695 The Advisers Act requires the SEC to make Form PF information available to FSOC.696 For advisers that are also commodity pool operators or commodity trading advisers, filing Form PF through the Form PF filing system is filing with both the SEC and CFTC.697 Therefore, the SEC makes Form PF information available to FSOC and the CFTC, pursuant to Advisers Act section 204(b), making the information subject to the confidentiality protections applicable to information required to be filed under that section. Before sharing any Form PF information, the SEC requires that any such department, agency, or self-regulatory organization represent to the SEC that it has in place controls designed to ensure the use and handling of Form PF information in a manner consistent with the protections required by the Advisers Act. The SEC has instituted procedures to protect the confidentiality of Form PF information in a manner consistent with the protections required in the Advisers Act.698
C. Burden Estimates
We are revising our total burden final estimates to reflect the final amendments, updated data, new methodology for certain estimates, subsequent Form PF amendments adopted after the 2022 Joint Form PF Proposing Release, and comments we received to our estimates.699 The tables below map out the proposed and final Form PF requirements as they apply to each group of respondents and detail our burden estimates. a. Proposed Form PF Requirements by Respondent
TABLE 1a—PROPOSED FORM PF REQUIREMENTS BY RESPONDENT
Form PF Smaller private fund advisers Large hedge fund advisers Large liquidity fund advisers Large private equity fund advisers
Section 1a and section 1b
(basic information about the adviser and the private funds it advises). Proposed revisions. Annually ............................ Quarterly ........................... Quarterly ........................... Annually.
Section 1c (additional information concerning
hedge funds). Proposed revisions.
Annually, if they advise hedge funds.
Quarterly ........................... Quarterly, if they advise hedge funds. Annually, if they advise hedge funds.
Section 2 (additional information concerning qualifying hedge funds). Proposed revisions.
No ...................................... Quarterly ........................... No ...................................... No.

TABLE 1a—PROPOSED FORM PF REQUIREMENTS BY RESPONDENT—Continued
Form PF Smaller private fund advisers Large hedge fund advisers Large liquidity fund advisers Large private equity fund advisers
Section 3 (additional information concerning liquidity funds). No proposed
revisions.
No ...................................... No ...................................... Quarterly ........................... No.
Section 4 (additional information concerning private equity funds).No
proposed revisions.
No ...................................... No ...................................... No ...................................... Annually.
Section 5 (temporary hardship request). The proposal would revise filing
instructions.
Optional, if they qualify ..... Optional, if they qualify ..... Optional, if they qualify ..... Optional, if they qualify. Transition Filings (indicating the adviser is no longer obligated to file on a quarterly basis). No proposed revisions. Not applicable ................... If they cease to qualify as a large hedge fund adviser. If they cease to qualify as a large liquidity fund adviser. Not applicable. Final Filings (indicating the adviser is no longer subject to the rules). No proposed revisions. If they qualify ..................... If they qualify ..................... If they qualify ..................... If they qualify. b. Adopted Form PF Requirements by Respondent ADOPTED FORM PF REQUIREMENTS BY RESPONDENT Form PF Smaller private fund advisers Large hedge fund advisers Large liquidity fund advisers Large private equity fund advisers
Section 1a and section 1b
(basic information about the adviser and the private funds it advises). The final rules modify
section 1a and section
1b.
Annually ............................ Quarterly ........................... Quarterly ........................... Annually.
Section 1c (additional information concerning
hedge funds). The final rules modify section 1c.
Annually, if they advise hedge funds.
Quarterly ........................... Quarterly, if they advise hedge funds. Annually, if they advise hedge funds.
Section 2 (additional information concerning qualifying hedge funds). The
final rules modify section
2.
No ...................................... Quarterly ........................... No ...................................... No.
Section 3 (additional information concerning liquidity funds). No final revisions.
No ...................................... No ...................................... Quarterly ........................... No.
Section 4 (additional information concerning private equity funds). No
final revisions.
No ...................................... No ...................................... No ...................................... Annually.
Section 5 (current reporting
concerning qualifying hedge funds). 1 No final revisions. No ...................................... As soon as practicable upon a current reporting event, but no later than 72 hours. No ...................................... No.
Section 6 (event reporting
for private equity fund advisers).1 No final revisions. Within 60 days of fiscal quarter end upon a reporting event, if they advise private equity funds. No ...................................... No ...................................... Within 60 days of fiscal quarter end upon a reporting event.
Section 7 (temporary hardship request)1 The final
rules revise the filing instructions.
Optional, if they qualify ..... Optional, if they qualify ..... Optional, if they qualify ..... Optional, if they qualify.

ADOPTED FORM PF REQUIREMENTS BY RESPONDENT—Continued Form PF Smaller private fund advisers Large hedge fund advisers Large liquidity fund advisers Large private equity fund advisers Transition Filings (indicating the adviser is no longer obligated to file on a quarterly basis). No final revisions. Not applicable ................... If they cease to qualify as a large hedge fund adviser. If they cease to qualify as a large liquidity fund adviser. Not applicable. Final Filings (indicating the adviser is no longer subject to the rules). No final revisions. If they qualify ..................... If they qualify ..................... If they qualify ..................... If they qualify. Note:
1The SEC adopted amendments to Form PF, which added sections 5 and 6 and redesignated the previous section 5 as section 7. See May 2023 SEC Form PF Amending Release, supra footnote 4.
c. Annual Hour Burden Estimates
Below are tables with annual hour burden estimates for (1) initial filings, (2) ongoing annual and quarterly filings, (3) current reporting and private equity event reporting, and (4) transition filings, final filings, and temporary hardship requests.
TABLE 2—ANNUAL HOUR BURDEN ESTIMATES FOR INITIAL FILINGS
Respondent 1
Number of respondents
= aggregate number of responses 2
Hours per response 3
Hours per response amortized over 3 years 4 Aggregate hours amortized over 3 years 5 Smaller Private Fund Advisers:
Proposed Estimate ..................................................................... 6 309 50 ÷ 3 = 17 5,253 Final Estimate ............................................................................. 7 374 55 ÷ 3 = 18 6,732 Previously Approved ................................................................... 358 40 ÷ 3 = 13 4,654 Change ....................................................................................... 16 15 5 2,078 Large Hedge Fund Advisers:
Proposed Estimate ..................................................................... 8 15 345 ÷ 3 = 115 1,725 Final Estimate ............................................................................. 9 14 380 ÷ 3 = 127 1,778 Previously Approved ................................................................... 16 325 ÷3 = 108 1,728 Change ....................................................................................... (2) 55 19 50 Large Liquidity Fund Advisers:
Proposed Estimate ..................................................................... 10 1 210 ÷ 3 = 70 70 Final Estimate ............................................................................. 11 1 229 ÷ 3 = 76 76 Previously Approved ................................................................... 1 200 ÷ 3 = 67 67 Change ....................................................................................... 0 29 Large Private Equity Fund Advisers:
Proposed Estimate ..................................................................... 12 13 210 ÷ 3 = 70 910 Final Estimate ............................................................................. 13 18 281 ÷ 3 = 94 1,692 Previously Approved ................................................................... 17 252 ÷ 3 = 84 1,428 Change ....................................................................................... 1 29 10 264 Notes:
1We expect that the hourly burden will be most significant for the initial report because the adviser will need to familiarize itself with the new reporting form and may need to configure its systems in order to efficiently gather the required information. In addition, we expect that some large private fund advisers will find it efficient to automate some portion of the reporting process, which will increase the burden of the initial filing but reduce the burden of subsequent filings. 2This concerns the initial filing; therefore, we estimate one response per respondent. The proposed and final changes are due to using updated data to estimate the number of advisers. 3 Hours per response changes are due to the amendments, as well as amendments to Form PF adopted subsequent to the 2022 Joint Form PF Proposal for the final estimates and comments we received to our estimates. 4We amortize the initial time burden over three years because we believe that most of the burden will be incurred in the initial filing. 5 (Number of responses) × (hours per response amortized over three years) = aggregate hours amortized over three years. Changes are due to (1) using updated data to estimate the number of advisers, (2) the amendments adopted in this Release, (3) amendments to Form PF adopted subsequent to the 2022 Joint Form PF Proposal, and (4) comments we received to our estimates. 6 In the case of the proposed estimates, Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third quarter of
2021. Based on filing data from the last five years, an average of 12.9% of them did not file for the previous due date. (2,394 × 0.129 = 309 advisers.) 7 In the case of the final estimates, Private Funds Statistics show 2,750 smaller private fund advisers filed Form PF in the first quarter of 2023.
Based on filing data from the last five years, an average of 13.6% of them did not file for the previous due date. (2,750 × 0.136 = 374 advisers.) 8 In the case of the proposed estimates, Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of
2021. Based on filing data from the last five years, an average of 2.6% of them did not file for the previous due date. (592 × 0.026 = 15 advisers.)

9 In the case of the final estimates, Private Funds Statistics show 570 large hedge fund advisers filed Form PF in the first quarter of 2023. Based on filing data from the last five years, an average of 2.5% of them did not file for the previous due date. (570 × 0.025 = 14 advisers.) 10 In the case of the proposed estimates, Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter of
2021. Based on filing data from the last five years, an average of 1.5% of them did not file for the previous due date. (24 × 0.015 = 0.36 advisers, rounded up to 1 adviser.) 11 In the case of the final estimates, Private Funds Statistics show 21 large liquidity fund advisers filed Form PF in the first quarter of 2023.
Based on filing data from 2017 through 2021, an average of 1.5% of them did not file for the previous due date. (21 × 0.015 = 0.32 advisers, rounded up to 1 adviser.) 12 In the case of the proposed estimates, Private Funds Statistics show 369 large private equity fund advisers filed Form PF in the third quarter of 2021. Based on filing data from the last five years, an average of 3.5% of them did not file for the previous due date. (369 × 0.035 = 13 advisers.) 13 In the case of the final estimates, Private Funds Statistics show 450 large private equity fund advisers filed Form PF in the first quarter of
2023. Based on filing data from the last five years, an average of 3.9% of them did not file for the previous due date. (450 × 0.039 = 18
advisers.)
TABLE 3—ANNUAL HOUR BURDEN ESTIMATES FOR ONGOING ANNUAL AND QUARTERLY FILINGS
Respondent 1
Number of respondents 2
(advisors)
Number of responses 3
Hours per response 4
Aggregate hours 5
Smaller Private Fund:
Proposed Estimate ............................................................. 6 2,085 × 1 × 20 = 41,700 Final Estimate ..................................................................... 7 2,376 × 1 × 22 = 52,272 Previously Approved ........................................................... 2,258 × 1 × 15 = 33,870 Change ............................................................................... 118 0 7 18,402 Large Hedge Fund:
Proposed Estimate ............................................................. 8 577 × 4 × 160 = 369,280 Final Estimate ..................................................................... 9 556 × 4 × 176 = 391,424 Previously Approved ........................................................... 582 × 4 × 150 = 349,200 Change ............................................................................... (26) 0 26 42,224 Large Liquidity Fund:
Proposed Estimate ............................................................. 10 23 × 4 × 75 = 6,900 Final Estimate ..................................................................... 11 20 × 4 × 86 = 6,880 Previously Approved ........................................................... 21 × 4 × 70 = 5,880 Change ............................................................................... (1) 0 16 1,000 Large Private Equity Fund:
Proposed Estimate ............................................................. 12 356 × 1 × 105 = 37,380 Final Estimate ..................................................................... 13 432 × 1 × 145 = 62,640 Previously Approved ........................................................... 418 × 1 × 128 = 53,504 Change ............................................................................... 14 0 17 9,136 Notes:
1We estimate that after an adviser files its initial report, it will incur significantly lower costs to file ongoing annual and quarterly reports, because much of the work for the initial report is non-recurring and likely created system configuration and reporting efficiencies. 2 Changes to the number of respondents are due to using updated data to estimate the number of advisers. 3Smaller private fund advisers and large private equity fund advisers file annually. Large hedge fund advisers and large liquidity fund advisers file quarterly. 4 Hours per response changes are due to the amendments. 5 Changes to the aggregated hours are due to (1) using updated data to estimate the number of advisers, (2) the amendments, (3) amendments to Form PF adopted subsequent to the 2022 Joint Form PF Proposing Release, and (4) comments we received to our estimates. 6 In the case of the proposed estimates, Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third quarter of
2021. We estimated that 309 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (2,394 total
smaller advisers¥309 advisers that made an initial filing = 2,085 advisers that make ongoing filings.) 7 In the case of the final estimates, Private Funds Statistics show 2,750 smaller private fund advisers filed Form PF in the first quarter of 2023. We estimated that 374 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (2,750 total smaller advisers¥374 advisers that made an initial filing = 2,376 advisers that make ongoing filings.) 8 In the case of the proposed estimates, Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of
2021. We estimated that 15 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (592 total
large hedge fund advisers¥15 advisers that made an initial filing = 577 advisers that make ongoing filings.) 9 In the case of the final estimates, Private Funds Statistics show 570 large hedge fund advisers filed Form PF in the first quarter of 2023. We estimated that 14 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (570 total large hedge fund advisers¥14 advisers that made an initial filing = 556 advisers that make ongoing filings.) 10 In the case of the proposed estimates, Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter of
2021. We estimated that one of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (24 total
large liquidity fund advisers¥1 adviser that made an initial filing = 23 advisers that make ongoing filings.) 11 In the case of the final estimates, Private Funds Statistics show 21 large liquidity fund advisers filed Form PF in the first quarter of 2023. We estimated that one of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (21 total large liquidity fund advisers¥1 adviser that made an initial filing = 20 advisers that make ongoing filings.) 12 In the case of the proposed estimates, Private Funds Statistics show 369 large private equity fund advisers filed Form PF in the third quarter of 2021. We estimated that 13 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (369 total large private equity fund advisers¥13 advisers that made an initial filing = 356 advisers that make ongoing filings.) 13 In the case of the final estimates, Private Funds Statistics show 450 large private equity fund advisers filed Form PF in the first quarter of
2023. We estimated that 18 of them filed an initial filing, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. (450 total
large private equity fund advisers¥18 advisers that made an initial filing = 432 advisers that make ongoing filings.)

TABLE 4—ANNUAL HOUR BURDEN ESTIMATES FOR CURRENT REPORTING AND PRIVATE EQUITY EVENT REPORTING 1
Respondent
Aggregate number of responses
Hours per response
Aggregate hours
Smaller Private Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... 20 × 5 = 100 Previously Approved ............................................................................................. 20 × 5 = 100 Change ................................................................................................................. 0 × 0 = 0 Large Hedge Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... 60 × 10 = 600 Previously Approved ............................................................................................. 60 × 10 = 600 Change ................................................................................................................. 0 × 0 = 0 Large Private Equity Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... 20 × 5 = 100 Previously Approved ............................................................................................. 20 × 5 = 100 Change ................................................................................................................. 0 × 0 = 0 Note:
1Subsequent to the 2022 Joint Form PF Proposing Release, the SEC adopted amendments to Form PF, which added Form PF section 5 (Current report for large hedge fund advisers to qualifying hedge funds) and section 6 (Quarterly report for advisers to private equity funds) to Form PF. See May 2023 SEC Form PF Amending Release, supra footnote 4, at section V for proposed and final estimates for current reporting and private equity event reporting. We did not propose any changes to these sections in the 2022 Joint Form PF Proposing Release and are not adopting any changes to these sections in this Release.
TABLE 5—ANNUAL HOUR BURDEN ESTIMATES FOR TRANSITION FILINGS, FINAL FILINGS, AND TEMPORARY HARDSHIP
REQUESTS
Filing type 1
Aggregate number of responses 2
Hours per response
Aggregate hours 3
Transition Filing from Quarterly to Annual:
Proposed Estimate ............................................................................................... 4 68 × 0.25 = 17 Final Estimate ....................................................................................................... 5 69 × 0.25 = 17.25 Previously Approved ............................................................................................. 71 × 0.25 = 17.75 Change ................................................................................................................. (2) 0 (0.50) Final Filings:
Proposed Estimate ............................................................................................... 6 233 × 0.25 = 58.25 Final Estimate ....................................................................................................... 7 243 × 0.25 = 60.75 Previously Approved ............................................................................................. 235 × 0.25 = 58.75 Change ................................................................................................................. 8 0 2 Temporary Hardship Requests:
Proposed Estimate ............................................................................................... 8 3 × 1 = 3 Final Estimate ....................................................................................................... 9 4 × 1 = 4 Previously Approved ............................................................................................. 4 × 1 = 4
Change ................................................................................................................. 0
Notes:
1Advisers make limited Form PF filings in three situations. First, any adviser that transitions from filing quarterly to annually because it has ceased to qualify as a large hedge fund adviser or large liquidity fund adviser, must file a Form PF indicating that it is no longer obligated to report on a quarterly basis. Second, any adviser that is no longer subject to Form PF’s reporting requirements, must file a final filing indicating this. Third, an adviser may request a temporary hardship exemption if it encounters unanticipated technical difficulties that prevent it from making a timely electronic filing. A temporary hardship exemption extends the deadline for an electronic filing for seven business days. To request a temporary hardship exemption, the adviser must file a request on Form PF. The final rule amends how advisers file temporary hardship exemption requests, as discussed in section II.E of this Release; however, the amendment will not result in any changes to the hours per response. 2 Changes to the aggregate number of responses are due to using updated data. 3 Changes to the aggregate hours are due to the changes in the aggregate number of responses. 4 In the case of the proposed estimates, Private Funds Statistics show 616 advisers filed quarterly reports in the third quarter of 2021. Based on filing data from the last five years, an average of 11.1% of them filed a transition filing. (616 × 0.111 = 68 responses.) 5 In the case of the final estimates, Private Funds Statistics show 591 advisers filed quarterly reports in the first quarter of 2023. Based on filing data from the last five years, an average of 11.7% of them filed a transition filing. (591 × 0.117 = 69 responses.) 6 In the case of the proposed estimates, Private Funds Statistics show 3,379 advisers filed Form PF in the third quarter of 2021. Based on filing data from the last five years, an average of 6.9% of them filed a final filing. (3,379 × 0.069 = approximately 233 responses.) 7 In the case of the final estimates, Private Funds Statistics show 3,791 advisers filed Form PF in the first quarter of 2023. Based on filing data from the last five years, an average of 6.4% of them filed a final filing. (3,791 × 0.064 = approximately 243 responses.) 8 In the case of the proposed estimates, based on experience receiving temporary hardship requests, we estimate that 1 out of 1,000 advisers will file a temporary hardship exemption annually. Private Funds Statistics show 3,379 advisers filed Form PF in the third quarter of 2021. (3,379/ 1,000 = approximately 3 responses.)

700The hourly wage rates used in our proposed and final estimates are based on (1) SIFMA’s Management & Professional Earnings in the Securities Industry 2013, modified by SEC staff to account for an 1,800-hour work-year and inflation, and multiplied by 5.35 to account for bonuses, firm size, employee benefits and overhead; and (2) SIFMA’s Office Salaries in the Securities Industry 2013, modified by SEC staff to account for an 1,800- hour work-year and inflation, and multiplied by
2.93 to account for bonuses, firm size, employee
benefits and overhead. The final estimates are based on the preceding SIFMA data sets, which SEC staff have updated since the proposing release to account for current inflation rates. 9 In the case of the final estimates, based on experience receiving temporary hardship requests, we estimate that 1 out of 1,000 advisers will file a temporary hardship exemption annually. Private Funds Statistics show 3,791 advisers filed Form PF in the first quarter of 2023. (3,791/ 1,000 = approximately 4 responses.) d. Annual Monetized Time Burden Estimates Below are tables with annual monetized time burden proposed and final estimates for (1) initial filings, (2) ongoing annual and quarterly filings, (3) current reporting and private equity event reporting, and (4) transition filings, final filings, and temporary hardship requests.700
TABLE 6—ANNUAL MONETIZED TIME BURDEN OF INITIAL FILINGS
Respondent 1 Per response 2
Per response amortized over 3 years 3 Aggregate number of responses 4 Aggregate monetized time burden amortized over 3 years Smaller Private Fund Advisers:
Proposed Estimate ................................................... 5 $18,250 ÷ 3 = $6,083 × 309 = $1,879,647 Final Estimate ........................................................... 6 21,340 ÷ 3 = 7,113 × 374 = 2,660,262 Previously Approved ................................................. 15,520 ÷ 3 = 5,174 × 358 = 1,852,292 Change ..................................................................... 5,820 1,939 16 807,970 Large Hedge Fund Advisers:
Proposed Estimate ................................................... 7 118,680 ÷ 3 = 39,560 × 15 = 593,400 Final Estimate ........................................................... 8 139,080 ÷ 3 = 46,360 × 14 = 649,040 Previously Approved ................................................. 118,890 ÷ 3 = 39,630 × 16 = 634,080 Change ..................................................................... 20,190 6,730 (2) 14,960 Large Liquidity Fund Advisers:
Proposed Estimate ................................................... 9 72,240 ÷ 3 = 24,080 × 1 = 24,080 Final Estimate ........................................................... 10 83,792 ÷ 3 = 27,931 × 1 = 27,931 Previously Approved ................................................. 73,200 ÷ 3 = 24,400 × 1 = 24,400 Change ..................................................................... 10,592 3,531 0 3,531 Large Private Equity Fund Advisers:
Proposed Estimate ................................................... 11 72,240 ÷ 3 = 24,080 × 13 = 313,040 Final Estimate ........................................................... 12 102,868 ÷ 3 = 34,289 × 18 = 617,202 Previously Approved ................................................. 92,221 ÷ 3 = 30,740 × 17 = 522,580 Change ..................................................................... 10,647 3,549 1 94,622 Notes:
1We expect that the monetized time burden will be most significant for the initial report, for the same reasons discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. Accordingly, we anticipate that the initial report will require more attention from senior personnel, including compliance managers and senior risk management specialists, than will ongoing annual and quarterly filings. Changes are due to using (1) updated hours per estimates, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings, (2) updated aggregate number of, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings, and (3) updated wage estimates. 2For the hours per in each calculation, see Table 2: Annual Hour Burden Estimates for Initial Filings. 3We amortize the monetized time burden for initial filings over three years, as we do with other initial burdens in this PRA, because we believe that most of the burden will be incurred in the initial filing. 4See Table 2: Annual Hour Burden Estimates for Initial Filings. 5 In the case of the proposed estimates, for smaller private fund advisers, we estimate that the initial report will most likely be completed equally by a compliance manager at a cost of $339 per hour and a senior risk management specialist at a cost of $391 per hour. (($339 per hour × 0.5) + ($391 per hour × 0.5)) × 50 hours per = $18,250. 6 In the case of the final estimates, for smaller private fund advisers, we estimate that the initial report will most likely be completed equally by a compliance manager at a cost of $360 per hour and a senior risk management specialist at a cost of $416 per hour. (($360 per hour × 0.5) + ($416 per hour × 0.5)) × 55 hours per = $21,340. 7 In the case of the proposed estimates, for large hedge fund advisers, we estimate that for the initial report, of a total estimated burden of 345 hours, approximately 60% will most likely be performed by compliance professionals and 40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 207 hours for compliance professionals and approximately 138 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $339 per hour and a senior risk management specialist at a cost of $391 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $362 per hour and a programmer analyst at a cost of $263 per hour. (($339 per hour × 0.5) + ($391 per hour × 0.5)) × 207 hours = $75,555. (($362 per hour × 0.5) + ($263 per hour × 0.5)) × 138 hours = $43,125. $75,555 + $43,125 = $118,680. 8 In the case of the final estimates, for large hedge fund advisers, we estimate that for the initial report, of a total estimated burden of 380 hours, approximately 60% will most likely be performed by compliance professionals and
40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 228 hours for compliance professionals and approximately 152 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $360 per hour and a senior risk management specialist at a cost of $416 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $386 per hour and a programmer analyst at a cost of $280 per hour. (($360 per hour × 0.5) + ($416 per hour × 0.5)) × 228 hours = $88,464. (($386 per hour × 0.5) + ($280 per hour × 0.5)) × 152 hours = $50,616. $88,464 + $50,616 = $139,080.

9 In the case of the proposed estimates, for large liquidity fund advisers, we estimate that for the initial report, of a total estimated burden of 210 hours, approximately 60% will most likely be performed by compliance professionals and approximately 40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 126 hours for compliance professionals and 84 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $339 per hour and a senior risk management specialist at a cost of $391 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $362 per hour and a programmer analyst at a cost of $263 per hour. (($339 per hour × 0.5) + ($391 per hour × 0.5)) × 126 hours = $45,990. (($362 per hour × 0.5) + ($263 per hour × 0.5)) × 84 hours = $26,250. $45,990 + $26,250 = $72,240. 10 In the case of the final estimates, for large liquidity fund advisers, we estimate that for the initial report, of a total estimated burden of 229 hours, approximately 60% will most likely be performed by compliance professionals and approximately 40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 137 hours for compliance professionals and 92 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $360 per hour and a senior risk management specialist at a cost of $416 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $386 per hour and a programmer analyst at a cost of $280 per hour. (($360 per hour × 0.5) + ($416 per hour × 0.5)) × 137 hours = $53,156. (($386 per hour × 0.5) + ($280 per hour × 0.5)) × 92 hours = $30,636. $53,156 + $30,636 = $83,792. 11 In the case of the proposed estimates, for large private equity fund advisers, we expect that for the initial report, of a total estimated burden of 210 hours, approximately 60% will most likely be performed by compliance professionals and approximately 40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 126 hours for compliance professionals and 84 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $339 per hour and a senior risk management specialist at a cost of $391 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $362 per hour and a programmer analyst at a cost of $263 per hour. (($339 per hour × 0.5) + ($391 per hour × 0.5)) × 126 hours = $45,990. (($362
per hour × 0.5) + ($263 per hour × 0.5)) × 84 hours = $26,250. $45,990 + $26,250 = $72,240. 12 In the case of the final estimates, for large private equity fund advisers, we expect that for the initial report, of a total estimated burden of 281 hours, approximately 60% will most likely be performed by compliance professionals and approximately 40% will most likely be performed by programmers working on system configuration and reporting automation (that is approximately 169 hours for compliance professionals and 112 hours for programmers). Of the work performed by compliance professionals, we anticipate that it will be performed equally by a compliance manager at a cost of $360 per hour and a senior risk management specialist at a cost of $416 per hour. Of the work performed by programmers, we anticipate that it will be performed equally by a senior programmer at a cost of $386 per hour and a programmer analyst at a cost of $280 per hour. (($360 per hour × 0.5) + ($416 per hour × 0.5)) × 169 hours = $65,572. (($386 per hour × 0.5) + ($280 per hour × 0.5)) × 112 hours = $37,296. $65,572 + $37,296 = $102,868.
TABLE 7—ANNUAL MONETIZED TIME BURDEN OF ONGOING ANNUAL AND QUARTERLY FILINGS
Respondent 1 Per response 2
Aggregate number of responses
Aggregate monetized time burden
Smaller Private Fund Advisers:
Proposed Estimate ............................................................................................... 3 $6,040 × 4 $2,085 = $12,593,400 Final Estimate ....................................................................................................... 5 7,062 × 6 2,376 = 16,779,312 Previously Approved ............................................................................................. 4,815 × 2,258 = 10,872,270 Change ................................................................................................................. 2,247 118 5,907,042 Large Hedge Fund Advisers:
Proposed Estimate ............................................................................................... 7 48,320 × 8 2,308 = 111,522,560 Final Estimate ....................................................................................................... 9 56,496 × 10 2,224 = 125,647,104 Previously Approved ............................................................................................. 48,150 × 2,328 = 112,093,200 Change ................................................................................................................. 8,346 (104) 13,553,904 Large Liquidity Fund Advisers:
Proposed Estimate ............................................................................................... 11 22,650 × 12 92 = 2,083,800 Final Estimate ....................................................................................................... 13 27,606 × 14 80 = 2,208,480 Previously Approved ............................................................................................. 22,470 × 84 = 1,887,480 Change ................................................................................................................. 5,136 (4) 321,000 Large Private Equity Fund Advisers:
Proposed Estimate ............................................................................................... 15 31,710 × 16 356 = 11,288,760 Final Estimate ....................................................................................................... 17 46,545 × 18432 = 20,107,440 Previously Approved ............................................................................................. 41,730 × 418 = 17,443,140 Change ................................................................................................................. 4,815 14 2,664,300 Notes:
1We expect that the monetized time burden will be less costly for ongoing annual and quarterly reports than for initial reports, for the same reasons discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. Accordingly, we anticipate that senior personnel will bear less of the reporting burden than they would for the initial report. Changes are due to using (1) updated wage estimates, (2) updated hours per response estimates, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings, and (3) updated number of respondents, as discussed in Table 2: Annual Hour Burden Estimates for Initial Filings. Changes to estimates concerning large liquidity fund advisers primarily appear to be due to correcting a calculation error, as discussed below. 2For all types of respondents, in the case of the proposed estimates, we estimate that both annual and quarterly reports would be completed equally by (1) a compliance manager at a cost of $339 per hour, (2) a senior compliance examiner at a cost of $260, (3) a senior risk management specialist at a cost of $391 per hour, and (4) a risk management specialist at a cost of $218 an hour. ($339 × 0.25 = $84.75) + ($260 ×
0.25 = $65) + ($391 × 0.25 = $97.75) + ($218 × 0.25 = $54.50) = $302. In the case of the final estimates, we estimate that both annual and
quarterly reports would be completed equally by (1) a compliance manager at a cost of $360 per hour, (2) a senior compliance examiner at a cost of $276, (3) a senior risk management specialist at a cost of $416 per hour, and (4) a risk management specialist at a cost of $232 an hour. ($360 × 0.25 = $90) + ($276 × 0.25 = $69) + ($416 × 0.25 = $104) + ($232 × 0.25 = $58) = $321. To calculate the cost per response for each respondent, we used the hours per response from Table 2: Annual Hour Burden Estimates for Initial Filings. 3 In the case of the proposed estimates, cost per response for smaller private fund advisers: ($302 per hour × 20 hours per response = $6,040 per response.) 4 In the case of the proposed estimates, (2,085 smaller private fund advisers × 1 response annually = 2,085 aggregate responses.)

5 In the case of the final estimates, cost per response for smaller private fund advisers: ($321 per hour × 22 hours per response = $7,062 per response.) 6 In the case of the final estimates, (2,376 smaller private fund advisers × 1 response annually = 2,376 aggregate responses.) 7 In the case of the proposed estimates, cost per response for large hedge fund advisers: ($302 per hour × 160 hours per response = $48,320 per response.) 8 In the case of the proposed estimates, (577 large hedge fund advisers × 4 responses annually = 2,308 aggregate responses.) 9 In the case of the final estimates, cost per response for large hedge fund advisers: ($321 per hour × 176 hours per response = $56,496 per response.) 10 In the case of the final estimates, (556 large hedge fund advisers × 4 responses annually = 2,224 aggregate responses.) 11 In the case of the proposed estimates, cost per response for large liquidity fund advisers: ($302 per hour × 75 hours per response = $22,650 per response.) 12 In the case of the proposed estimates, (23 large liquidity fund advisers × 4 responses annually = 92 aggregate responses.) 13 In the case of the final estimates, cost per response for large liquidity fund advisers: ($321 per hour × 86 hours per response = $27,606 per response.) 14 In the case of the final estimates, (20 large liquidity fund advisers × 4 responses annually = 80 aggregate responses.) 15 In the case of the proposed estimates, cost per response for large private equity fund advisers: ($302 per hour × 105 hours per response = $31,710 per response.) 16 In the case of the proposed estimates, (356 private equity fund advisers × 1 response annually = 356 aggregate responses.) 17 In the case of the final estimates, cost per response for large private equity fund advisers: ($321 per hour × 145 hours per response = $46,545 per response.) 18 In the case of the final estimates, (432 private equity fund advisers × 1 response annually = 432 aggregate responses.)
TABLE 8—ANNUAL MONETIZED TIME BURDEN OF CURRENT REPORTING AND PRIVATE EQUITY EVENT REPORTING 1
Respondent Per response
Aggregate number of responses
Aggregate monetized time burden
Smaller Private Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... $2,024 × 20 = $40,480 Previously Approved ............................................................................................. 2,024 × 20 = 40,480 Change ................................................................................................................. 0 × 0 = 0 Large Hedge Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... 5,160 × 60 = 309,600 Previously Approved ............................................................................................. 5,160 × 60 = 309,600 Change ................................................................................................................. 0 × 0 = 0 Large Private Equity Fund Advisers:
Proposed Estimate ............................................................................................... Not Applicable Final Estimate ....................................................................................................... 2,024 × 20 = 40,480 Previously Approved ............................................................................................. 2,024 × 20 = 40,480 Change ................................................................................................................. 0 × 0 = 0 Note:
1Subsequent to the 2022 Joint Form PF Proposing Release, the SEC adopted amendments to Form PF, which added Form PF section 5 (Current report for large hedge fund advisers to qualifying hedge funds) and section 6 (Quarterly report for advisers to private equity funds) to Form PF. See May 2023 SEC Form PF Amending Release, supra footnote 4, at section V for proposed and final estimates for current reporting and private equity event reporting. We did not propose any changes to these sections in the 2022 Joint Form PF Proposing Release and are not adopting any changes to these sections in this Release.
TABLE 9—ANNUAL MONETIZED TIME BURDEN FOR TRANSITION FILINGS, FINAL FILINGS, AND TEMPORARY HARDSHIP
REQUESTS
Filing type 1 Per response
Aggregate number of responses 2
Aggregate monetized time burden
Transition Filing from Quarterly to Annual:
Proposed Estimate ............................................................................................... 3 $19.25 × 68 = $1,309 Final Estimate ....................................................................................................... 4 20.50 × 69 = 1,414.50 Previously Approved ............................................................................................. 20.50 × 71 = 1,455.50 Change ................................................................................................................. 0 (2) (41) Final Filings:
Proposed Estimate ............................................................................................... 5 19.25 × 233 = 4,485.25 Final Estimate ....................................................................................................... 3 20.50 × 243 = 4,981.50 Previously Approved ............................................................................................. 20.50 × 235 = 4,817.50 Change ................................................................................................................. 0 8 164 Temporary Hardship Requests:
Proposed Estimate ............................................................................................... 7 237.50 × 3 = 712.50 Final Estimate ....................................................................................................... 8 252.38 × 4 = 1,009.52 Previously Approved ............................................................................................. 252.38 × 4 = 1,099.52

TABLE 9—ANNUAL MONETIZED TIME BURDEN FOR TRANSITION FILINGS, FINAL FILINGS, AND TEMPORARY HARDSHIP
REQUESTS—Continued
Filing type 1 Per response
Aggregate number of responses 2
Aggregate monetized time burden
Change ................................................................................................................. 0 0 (90) Notes:
1All changes are due to using updated data concerning wage rates and the number of responses. 2See Table 5: Annual Hour Burden Estimates for Transition Filings, Final Filings, and Temporary Hardship Requests. 3 In the case of the proposed estimates, we estimate that each transition filing will take 0.25 hours and that a compliance clerk would perform this work at a cost of $77 an hour. (0.25 hours × $77 = $19.25.) 4 In the case of the final estimates, we estimate that each transition filing will take 0.25 hours and that a compliance clerk would perform this work at a cost of $82 an hour. (0.25 hours × $82 = $20.50.) 5 In the case of the proposed estimates, we estimate that each final filing will take 0.25 hours and that a compliance clerk would perform this work at a cost of $77 an hour. (0.25 hours × $77 = $19.25.) 6 In the case of the final estimates, we estimate that each final filing will take 0.25 hours and that a compliance clerk would perform this work at a cost of $82 an hour. (0.25 hours × $82 = $20.50.) 7 In the case of the proposed estimates, we estimate that each temporary hardship request will take 1 hour. We estimate that a compliance manager would perform five-eighths of the work at a cost of $339 and a general clerk would perform three-eighths of the work at a cost of $68. (1 hour × ((5⁄8 of an hour × $339 = $212) + (3⁄8 of an hour × $68 = $25.50)) = $237.50 per response. 8 In the case of the final estimates, we estimate that each temporary hardship request will take 1 hour. We estimate that a compliance manager would perform five-eighths of the work at a cost of $360 and a general clerk would perform three-eighths of the work at a cost of $73. (1 hour × ((5⁄8 of an hour × $360 = $225) + (3⁄8 of an hour × $73 = $27.38)) = $252.38 per response. e. Annual External Cost Burden Estimates Below are tables with annual external cost burden estimates for (1) initial filings, (2) ongoing annual and quarterly filings, and (3) current reporting and private equity event reporting. There are no filing fees for transition filings, final filings, or temporary hardship requests and we continue to estimate there would be no external costs for those filings, as previously approved.
TABLE 10—ANNUAL EXTERNAL COST BURDEN FOR ONGOING ANNUAL AND QUARTERLY FILINGS AS WELL AS INITIAL
FILINGS
Respondent 1
Number of responses per respondent 2 Filing fee per filing 3 Total filing fees External cost of initial filing 4 External cost of initial filing amortized over 3 years 5 Number of initial filings 6 Aggregate external cost of initial filing amortized over 3 years 7 Total aggregate external cost 8 Smaller Private Fund Advisers:
Proposed Estimate ........ 1 × $150 = $150 $10,000 ÷ 3 = $3,333 × 309 = $1,029,897 9 $1,388,997 Final Estimate ................ 1 × 150 = 150 10,000 ÷ 3 = 3,333 × 374 = 1,246,542 10 1,659,042 Previously Approved ...... 1 × 150 = 150 Not Applicable 392,400 Change .......................... 0 Not Applicable 1,266,642 Large Hedge Fund Advisers:
Proposed Estimate ........ 4 × 150 = 600 50,000 ÷ 3 = 16,667 × 15 = 250,005 11 605,205 Final Estimate ................ 4 × 150 = 600 70,000 ÷ 3 = 23,333 × 14 = 326,662 12 668,662 Previously Approved ...... 4 × 150 = 600 50,000 ÷ 3 = 16,667 × 16 = 266,672 625,472 Change .......................... 0 20,000 6,666 (2) 59,990 43,190 Large Liquidity Fund Advisers:
Proposed Estimate ........ 4 × 150 = 600 50,000 ÷ 3 = 16,667 × 1 = 16,667 13 31,067 Final Estimate ................ 4 × 150 = 600 50,000 ÷ 3 = 16,667 × 1 = 16,667 14 29,267 Previously Approved ...... 4 × 150 = 600 50,000 ÷ 3 = 16,667 × 1 = 16,667 29,867 Change .......................... 0 (600) Large Private Equity Fund Advisers:
Proposed Estimate ........ 1 × 150 = 150 50,000 ÷ 3 = 16,667 × 13 = 216,671 15 272,021 Final Estimate ................ 1 × 150 = 150 50,000 ÷ 3 = 16,667 × 18 = 300,006 16 367,656 Previously Approved ...... 1 × 150 = 150 50,000 ÷ 3 = 16,667 × 17 = 283,339 348,589 Change .......................... 0 9 16,667 19,067 Notes:
1We estimate that advisers would incur the cost of filing fees for each filing. For initial filings, advisers may incur costs to modify existing systems or deploy new systems to support Form PF reporting, acquire or use hardware to perform computations, or otherwise process data that Form PF requires. 2Smaller private fund advisers and large private equity fund advisers file annually. Large hedge fund advisers and large liquidity fund advisers file quarterly. 3The SEC established Form PF filing fees in a separate order. Since 2011, filing fees have been and continue to be $150 per annual filing and $150 per quarterly filing. See Order Approving Filing Fees for Exempt Reporting Advisers and Private Fund Advisers, Advisers Act Release No. 3305 (Oct. 24, 2011) [76 FR 67004 (Oct. 28, 2011)]. 11 I

4 In the previous PRA submission for the rules, staff estimated that the external cost burden for initial filings would range from $0 to $50,000 per adviser. This range reflected the fact that the cost to any adviser may depend on how many funds or the types of funds it manages, the state of its existing systems, the complexity of its business, the frequency of Form PF filings, the deadlines for completion, and the amount of information the adviser must disclose on Form PF. Staff also estimated that smaller private fund advisers would be unlikely to bear such costs because the information they must provide is limited and will, in many cases, already be maintained in the ordinary course of business. Given the proposed amendments, we estimate that the external cost burden for smaller private fund advisers would range from $0 to $10,000, per smaller private fund adviser. This range reflects the amendments and is designed to reflect that the cost to any smaller private fund adviser may depend on how many funds or the type of funds it manages, the state of its existing systems, and the complexity of its business. We use the upper range to calculate the estimate for smaller private fund advisers: $10,000. Also, given the amendments, in our proposed estimates, we estimated that the external cost burden for initial filings for large hedge fund advisers, large liquidity fund advisers, and large private equity fund advisers would continue to range from $0 to $50,000 for the same reasons as the current estimates for those types of advisers. We used the upper range to calculate the estimates: $50,000. After considering comments we received, we estimate a range from $0 to $70,000 for large hedge fund advisers. We use the upper range to calculate cost burden for initial filings for large hedge fund advisers estimates: $70,000. We continue to estimate that the external cost burden for initial filings for large liquidity fund advisers, and large private equity fund advisers would continue to range from $0 to $50,000 for the same reasons as the current estimates for those types of advisers. We used the upper range to calculate the estimates: $50,000. 5We amortize the external cost burden of initial filings over three years, as we do with other initial burdens in this PRA, because we believe that most of the burden will be incurred in the initial filing. 6See Table 2: Annual Hour Burden Estimates for Initial Filings. 7 Changes to the aggregate external cost of initial filings, amortized over three years are due to (1) the proposed amendments and (2) using updated data. 8 Changes to the total aggregate external cost are due to (1) the amendments, (2) using updated data, (3) the amendments to Form PF adopted subsequent to the 2022 Joint Form PF Proposing Release, and (4) comments we received to our estimates. 9 In the case of the proposed estimates, Private Funds Statistics show 2,394 smaller private fund advisers filed Form PF in the third quarter of 2021.
(2,394 smaller private fund advisers × $150 total filing fees) + $1,029,897 aggregate external cost of initial filing amortized over three years = $1,388,997 total aggregate external cost. 10 In the case of the final estimates, Private Funds Statistics show 2,750 smaller private fund advisers filed Form PF in the first quarter of 2023. (2,750 smaller private fund advisers × $150 total filing fees) + $1,246,542 aggregate external cost of initial filing amortized over three years = $1,659,042 total aggregate external cost. 11 In the case of the proposed estimates, Private Funds Statistics show 592 large hedge fund advisers filed Form PF in the third quarter of 2021. (592 large hedge fund advisers × $600 total filing fees) + $250,005 aggregate external cost of initial filing amortized over three years = $605,205 total aggregate external cost. 12 In the case of the final estimates, Private Funds Statistics show 570 large hedge fund advisers filed Form PF in the first quarter of 2023. (570 large hedge fund advisers × $600 total filing fees) + $326,662 aggregate external cost of initial filing amortized over three years = $668,662 total aggregate external cost. 13 In the case of the proposed estimates, Private Funds Statistics show 24 large liquidity fund advisers filed Form PF in the third quarter of 2021. (24 large liquidity fund advisers × $600 total filing fees) + $16,667 aggregate external cost of initial filing amortized over three years = $31,067 total aggregate external cost. 14 In the case of the final estimates, Private Funds Statistics show 21 large liquidity fund advisers filed Form PF in the first quarter of 2023. (21 large liquidity fund advisers × $600 total filing fees) + $16,667 aggregate external cost of initial filing amortized over three years = $29,267 total aggregate external cost. 15 In the case of the proposed estimates, Private Funds Statistics show 369 large private equity fund advisers filed Form PF in the third quarter of 2021. (369 large private equity fund advisers × $150 total filing fees) + $216,671 aggregate external cost of initial filing amortized over three years = $272,021 total aggregate external cost. 16 In the case of the final estimates, Private Funds Statistics show 450 large private equity fund advisers filed Form PF in the first quarter of 2023. (450 large private equity fund advisers × $150 total filing fees) + $300,006 aggregate external cost of initial filing amortized over three years = $367,506 total aggregate external cost.
TABLE 11—ANNUAL EXTERNAL COST BURDEN FOR CURRENT REPORTING AND PRIVATE EQUITY EVENT REPORTING 1
Respondent
Aggregate number of responses
Cost of outside counsel per current report or private equity event report Aggregate cost of outside counsel One-time cost of system changes Total aggregate external cost Smaller Private Fund Advisers:
Proposed Estimate ................................................. Not Applicable Final Estimate ......................................................... 20 × $1,695 = $33,900 $15,000 $48,900 Previously Approved ............................................... 20 × 1,695 = 33,900 15,000 48,900
Change ................................................................... 0
Large Hedge Fund Advisers:
Proposed Estimate ................................................. Not Applicable Final Estimate ......................................................... 60 × 1,695 = 101,700 15,000 116,700 Previously Approved ............................................... 60 × 1,695 = 101,700 15,000 116,700
Change ................................................................... 0
Large Private Equity Fund Advisers:
Proposed Estimate ................................................. Not Applicable Final Estimate ......................................................... 20 × 1,695 = 33,900 15,000 48,900 Previously Approved ............................................... 20 × 1,695 = 33,900 15,000 48,900
Change ................................................................... 0
Advisers pay filing fees, the amount of which will be determined in a separate action. Note:
1Subsequent to the 2022 Joint Form PF Proposing Release, the SEC adopted amendments to Form PF, which added Form PF section 5 (Current report for large hedge fund advisers to qualifying hedge funds) and section 6 (Quarterly report for advisers to private equity funds) to Form PF. See May 2023 SEC Form PF Amending Release, supra footnote 4, at section V for proposed and final estimates for current reporting and private equity event reporting. We did not propose any changes to these sections in the 2022 Joint Form PF Proposing Release and are not adopting any changes to these sections in this Release. f. Summary of Estimates and Change in Burden

Form PF; Reporting Requirements for All Filers and Large Hedge Fund Advisers

Lineage: In force

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