MFA offers additional clarifications and refinements aimed at ensuring that Form PF collects information relevant to systemic risk monitoring while reducing the burden for reporting advisers.
MFA recommends:
- A $2 billion gross asset value (“GAV”) threshold for qualifying hedge funds, which would align Section 2 reporting with Form PF’s systemic risk objectives more accurately than the current $500 million net asset value (“NAV”) threshold.
- Greater aggregation across integrated fund structures and reduction of requirements that compel advisers to disaggregate exposures that are managed, financed, and monitored on a consolidated basis.
- Quarterly reporting rather than monthly, supplemented by Section 5 current reporting for significant developments.
- A general principle that Form PF utilize U.S. GAAP concepts and definitions—including for cash and cash equivalents, valuation, long and short classifications, repos and reverse repos, and borrowings—unless a specific and compelling regulatory reason warrants a different approach.
- Measuring the qualifying hedge fund threshold on an individual fund basis and eliminating the requirement to aggregate separately managed parallel funds solely to determine whether the threshold has been met.
- Targeted refinements to the current reporting triggers, including clarifying the withdrawal-request reference point under Item H, excluding internal restructurings and good-faith valuation disputes, and distinguishing margin increases caused by market stress from those resulting solely from asset appreciation.
