Form Pf - Reporting Form For Investment Advisers To Private Funds And Certain Commodity Pool Operators And Commodity Trading Advisors Page 20
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64Page 9 of 43
Form PF
Information about the hedge funds you advise
(to be completed by all Form PF filers that advise hedge funds)
Section 1c
Relative Value, Fixed Income Convertible Arbitrage
Relative Value, Fixed Income Corporate
Relative Value, Fixed Income Sovereign
Relative Value, Volatility Arbitrage
Event Driven, Distressed/Restructuring
Event Driven, Risk Arbitrage/Merger Arbitrage
Event Driven, Equity Special Situations
Credit, Long/Short
Credit, Asset Based Lending
Managed Futures/CTA, Fundamental
Managed Futures/CTA, Quantitative
Investment in other funds
Other:
During the reporting period, approximately what percentage of the reporting fund's net
21.
asset value was managed using high-frequency trading strategies?
(In your response, please do not include strategies using algorithms solely for trade
execution. This question concerns strategies that are substantially computer-driven,
where decisions to place bids or offers, and to buy or sell, are primarily based on
algorithmic responses to intraday price action in equities, futures and options, and where
the total number of shares or contracts traded throughout the day is generally
significantly larger than the net change in position from one day to the next.)
0%
less than 10%
10-25%
26-50%
51-75%
76-99%
100% or more
22.
Identify the five counterparties to which the reporting fund has the greatest mark-to-
market net counterparty credit exposure, measured as a percentage of the reporting fund's
net asset value.
(For purposes of this question, you should treat affiliated entities as a single group to the
extent 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. CCPs should not be regarded as counterparties for purposes of this question.)
(In your response, you should take into account: (i) mark-to-market gains and losses on
derivatives; and (ii) any loans or loan commitments.)
(However, you should not take into account: (i) margin posted by the counterparty; or
(ii) holdings of debt or equity securities issued by the counterparty.)
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