Session 3:
Pool Financial Reporting
Panelists:
James W. Laures, Deloitte & Touche LLP
David Young, Spectrum Global Fund
Administration LLC
Tracey Hunt, NFA
Pool Financial Reporting
• Recent CFTC financial reporting
rule changes
• NFA’s Expanded Pool Reporting
System, Compliance Rule 2-46
CFTC Rule Changes
• Series funds
o Can report at series level if there is a limitation
on liability among the series
o Identify these series funds through NFA’s
questionnaire system
o If cross-liability exists, must report at pool
level, as well as for each series
CFTC Rule Changes
• Liquidation statements
o Filed within 90 days of permanent cessation of
trading
o Limited reporting required
o Discuss distribution of assets
o No longer need to be audited, provided
waivers are obtained from participants
CFTC Rule Changes
• Fund-of-fund Extensions
o Extended to 180 days after FYE
o Allowed for unaudited statements
o Subsequent filings eliminated
• International Financial Reporting Standards
o Notice filing, electronically, through NFA’s
Exemptions system
• Previous interpretations codified
NFA Rule 2-46
CPO Quarterly Reporting Requirements
• Obtain key pool information to meet NFA’s
regulatory risk management objectives while
maintaining as little data entry burden on the
CPO as possible.
• The CPO must report for each pool that has a
reporting requirement under CFTC Regulation
4.22.
• Filed quarterly, within 45 days of quarter-end,
through NFA’s EasyFile system
What must be Filed?
The Table of Contents will list the required parts of the filing along
with their current statuses. You can access a particular section from
this list, or from the left side menu.
1. Key Relationships
The pool quarterly report (P Q R) filing will collect four key
relationships for the pool:
•
Pool Administrators
•
Carrying Brokers
•
Trading Managers
•
Custodians
Relationship data will persist from filing to filing.
User starts typing firm name and system will prompt with
existing entries, to prevent duplicates.
Relationship Screen
To add a relationship,
user will enter the
firm name and the
system will search
both registered and
unregistered firms.
If user selects an
existing firm, a screen
will populate with
location and contact
information.
Otherwise, user will
be required to enter
certain required
information for each
entity.
2. Statement of Changes in NAV
Beginning NAV
will carryover
from the
previous
period’s Ending
NAV (but it can
also be edited).
The total fields
will be
calculated
automatically
but can be
edited.
3. Monthly Rates of Return
• Enter only the three months from the current
quarter.
• Previously entered returns will appear in
subsequent filings and can be edited if necessary.
• Performance reported through Disclosure Document
submissions will be carried-over (and vice versa).
• Supports multi-class entry, however, firm is not
required to provide returns at this level
Monthly Rates of Return Entry
Clicking the +/- sign will
expand the rates of
return table for the
pool/layer.
Clicking on the Edit
button will launch the
rates of return detail
screen where values can
be edited
To add performance for
a class, click “Add Layer”.
You will then be able to
name the class, and
enter returns.
4. Schedule of Investments
• The focus of the system is to capture all individual pool
investments greater than 10% of the Pool’s NAV, and obtain
dollar value breakdown of all investments in 7 major
categories:
a. Equities
b. Fixed Income
c. Alternative Investments
d. Derivatives
e. Options
f. Funds
g. Cash
Schedule of Investments-Derivatives
Because Derivatives can
have a negative value,
breakdown is according to
positive or negative OTE for
the investment.
The breakdown on the
Equities, Alternative
Investments, and Fixed
Income screens will be
Long and Short, and on the
Options screen it will be
LOV and SOV.
We will be breaking down
Futures by sector.
Schedule of Investments-Funds
If itemizing, users will enter
Fund name, Fair Value and
YTD Gain/Loss. For Futures
funds, our system will
identify funds with same or
similar names.
Our system will determine if
the CPO or an affiliate
operates a futures investee
pool. If NFA has not already
asked for PQR, the system
will generate a separate
filing request (a “PQRS”).
This new filing request will
only consist of Key
Relationships and a
Schedule of Investments.
Completing the Filing
• As with the annual report requirement, EasyFile
will generate Errors and Warnings. Errors must
be addressed before filing will be accepted.
Warnings are simply notifications of potential
problems or discrepancies They can either be
addressed or passed upon.
• CPO will affirm accuracy and completeness
through an oath or affirmation
Session 3:
Pool Financial Reporting
Panelists:
James W. Laures, Deloitte & Touche LLP
David Young, Spectrum Global Fund
Administration LLC
Tracey Hunt, NFA