Aug 8, 2013. The SEC has come out with new FAQs for Form PF, several of which are questions we previously submitted. A few highlights are below. A list of all SEC FAQ’s can be found on the SEC website here:http://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml
General: If you liquidate a fund during the reporting period, you still must report for that fund. Respond to the questions that are for the entire reporting period and enter “0” or “N/A” for questions that are based on the data reporting date. See FAQ A.9
Q14: The “cost-based” column is for assets and liabilities that use a measurement other than fair value. See FAQ 14.2
Q24(b) and (c): A previous FAQ required filers to use delta adjusted notional values for options and 10-yr bond equivalents for interest rate derivatives when reporting trade volume. Most filers struggled with this. A new FAQ provides that a filer can instead use gross notional value for options and interest rate derivatives, but must include an assumption explaining this. See FAQ 24.3
Q35 & Q57: Do not include cash and cash equivalents as a “position” for Qs 35 and 57. See FAQ 35.2.
Q46 & Q47: A previous FAQ provided guidance on “borrowings” but only referred to Q12 and Q43. That same guidance is applicable to Q46 and Q47. See FAQ 46.1 and 47.
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