The OFR released a working paper today entitled, "Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios," and an accompanying blog by Stacey Schreft, OFR Deputy Director for Research and Analysis. The paper examines the precision of Form PF in measuring the risk hedge funds pose to the financial system. Hedge funds and other private funds now file Form PF with the Securities and Exchange Commission. The paper extends the methodology of a 2015 OFR working paper and finds that options significantly weaken the risk-measurement tolerances in Form PF.
The working paper is posted on the OFR website at: https://financialresearch.gov/working-papers/
The blog is posted at: https://financialresearch.gov/from-the-management-team/
Also today, the OFR posted information about the Securities Lending Data Collection Pilot Project that the OFR is conducting with the Federal Reserve and Securities and Exchange Commission to fill gaps in data about securities lending.
The pilot project information is at: https://financialresearch.gov/data/securities-lending-data-collection-project/