Commodity Pool Operators (CPOs) are required to file information regarding their firm and pools operations as mandated by the Commodities and Futures Trading Commission (CFTC) and the National Futures Association (NFA).
The size of the CPO determines whether filing is required by the CFTC or NFA and Form CPO-PQR is a single filing to accommodate both regulators.
This filing requires CPOs to provide manager, portfolio, performance and risk information about their funds which includes investment strategy, asset classes, risk metrics, collateral, counterparty credit exposure and many more aspects of operating the pool
1 – Types of firms affected and why
- Individual advisors and organizations registered as Commodity Pool Operators (CPOs) with the CFTC
- Filing introduced due to increased jurisdiction from the CFTC to supervise swaps (i.e. credit, commodities and interest rate)
- Newly registered CPOs need to understand whether or not they are exempt from filing. Exempt CPOs include:
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- Those otherwise regulated, such as a bank, insurance company or a registered investment company
- Those who operate one or more small pool(s) that have received less than $400,000 in aggregate capital contributions and that have no more than 15 participants in any one pool
- Those who operate pools that do not commit more than 10 percent of the fair market value of their assets to establish commodity interest trading positions
2 – When and which sections should a firm file?
| Is Registered with SEC | CPO size | Pools | Filing Timeline | Schedule A, Cover Page | Schedule B | Schedule C (Part 1) | Schedule C (Part 2) |
| No | Small(<=$150 million) | All | Annually within 90 days | Required | Not Required | Not Required | Not Required |
| Mid($150 million< $1.5billion) | All | Required | Not Required | Not Required | |||
| Large(>= $1.5billion) | Non-Large | Quarterly within 60 days | Required | Required | Required | Not Required | |
| Large | Required | Required | Required | Required | |||
| Yes | Small(<= $150million) | All | Not Required | Not Required | Not Required | ||
| Mid($150 million< $1.5billion) | Pool<>Private Fund | Annually within 90 days | Required | Required | Not Required | Not Required | |
| Pool = Private Fund | Not Required | Not Required | Not Required | ||||
| Large(>=$1.5billion) | Pool<>Private Fund Non-Large | Quarterly within 60 days | Required | Required | Not Required | Not Required | |
| Pool<>Private Fund Large | Required | Required | Required | ||||
| Pool=Private Fund | Not Required | Not Required | Not Required |
3 – How European firms may or may not be affected
European firms that have a subsidiary in the U.S. registered with the CFTC or those who do commodity trading must file
4 – In terms of differences and similarities, what is the relationship of this form as compared to Form PF?
Differences:
| Data Sets | Details | Form CPO Question |
| Related Party Info | Information about third-party administrators, marketers, auditors & brokers | Sch A Part 2: Q4, 5, 6, 7, 8, 9 |
| Investors Information | Subscriptions and redemptions during the period | Sch A Part 2: Q12 |
| Schedule of Investments | Itemization of each sub-asset class category > 5% of NAV | Sch B: Q6 |
Similarities:
| Data Sets | Form CPO Question | Form PF Question |
| Performance | Sch A Part 2: Q11 | Sec 1b: Q17 |
| Exposure | Sch C Part 2: Q9 | Sec 2: Q26, Q30 |
| Transactions | Sch B: Q4 | Sec 1c: Q24 |
| Risk | Sch C Part 2: Q4 | Sec 2b: Q40, Q42 |
| Financing | Sch C Part 2: Q5 | Sec 2b: Q43 |
5 – How can Form PF data be leveraged?
Form PF preparation can be further leveraged for the following questions:
| Data | Details | Form CPO Question | Form PF Question |
| Proprietor Information | Signatory of the form | Sch A Part 1: Q1 | Sec 1a Q2 |
| Investor Details | Withdrawal/Redemption methods, side pocket arrangements | Sch C Part 2: Q8 | Sec 2b: Q48, Q49 |
| Fund-Level NAV and Performance | Fund’s monthly performance | Sch A Part 2: Q11 | Sec 1b: Q17 |
| Risk Data | Value at Risk (VaR), market stress factors | Sch C Part 2: Q4 | Sec 2b: Q40, Q42 |
| Investment Classification | Geographical breakdown | Sch C Part 1: Q1 | Sec 2a: Q28 |
Other additional details:
| Data | Additional Details | Form CPO Question | Form PF Question |
| Financing | Letter of Credit face amount | Sch C Part 2: Q5 | Sec 2b: Q43 |
| Exposure | Additional reference data on sub-asset classes | Sch B: Q6 | Sec 2: Q26, Q30 |
| Trades | Additional reference data on derivative types | Sch B: Q4 | Sec 1c Q24 |
Static data details:
| Data | Details | Form CPO Question |
| Related Party Info | Information about third-party administrators, marketers, auditors & brokers | Sch A Part 2: Q4, 5, 6, 7, 8, 9 |
| Pool Investors Info | Subscriptions, redemptions & pool participants above and below HWM | Sch A Part 2: Q12 |
Please Refer to the CPO-PQR reporting template here –https://www.nfa.futures.org/EasyFilePlus/EFPTemplate.aspx?template=PQR–
IVP’s regulatory reporting solution, IVP RAPTOR, has been filing on behalf of more than 50 CPO/PQR clients for over five years. It leverages reporting information common to Form PF for CPO/PQR, thereby saving time and effort, and making the solution less complex and more cost effective. For details, contact us at sales@ivp.in.
