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Valuable Insights on CPO-PQR Reporting

By March 5, 2020 No Comments
Valuable Insights on CPO-PQR Reporting

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:
    1. Those otherwise regulated, such as a bank, insurance company or a registered investment company
    2. 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
    3. 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.

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