As above, Form PF utilizes the same definition of “regulatory assets under management” (RAUM) as is used for SEC Form ADV, introduced in 2012.

RAUM is the gross assets under management. This is without the subtraction of borrowings, short sales or other forms of leverage.

The RAUM of the Manager also needs to include:

As regards Private Equity:

As regards the calculations for RAUM and gross asset value, Q G.2 of the SEC FAQs provides clarification on how to include:

The key points are:

For derivative instruments, this will be market value, not notional value (depending on the instrument).

This is a key difference of approach to the AIFMD Reporting Form.

This is the same definition as for RAUM, but for the specific Private Fund.

As per the definition, Net assets under management are your regulatory assets under management minus any outstanding indebtedness or other accrued but unpaid liabilities.

As per the definition, the NAV, with respect to any reporting fund, the gross assets reported in response to Question 8 minus any outstanding indebtedness or other accrued but unpaid liabilities.

Note, this definition brings further confirmation that gross assets and RAUM use market value for derivatives.

As regards the term “value”, Instruction 15 provides that:

“for derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors..”

For purposes of Form PF (and Form ADV), a hedge fund is defined to include any private fund that may have “gross notional exposure” in excess of twice its net asset value.

“Gross notional exposure,” is undefined, but the SEC in the SEC Form PF FAQs at Q. B.3 confirm that this has the same meaning as the defined term “gross notional value.” https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml

“Gross Notional Value” is defined in the Paper Form as:

“The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date.”

As above, the definition of “value” is also referenced to this.”