At the annual CNBC-sponsored Delivering Alpha conference (which is a large conference geared toward hedge funds), U.S. Attorney for the Southern District of New York Preet Bharara sat down with CNBC's Jim Cramer to discuss prosecuting fraud. In the interview, Bharara warned against "getting as close to the line [of illegality] as possible," which can cause "smoke," and "[i]f we see smoke, we have an obligation to investigate."