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Pool Financial Reporting

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.

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Pool Financial Reporting

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  1. Session 3:Pool Financial ReportingPanelists:James W. Laures, Deloitte & Touche LLPDavid Young, Spectrum Global Fund Administration LLCTracey Hunt, NFA

  2. Pool Financial Reporting Recent CFTC financial reporting rule changes NFA’s Expanded Pool Reporting System, Compliance Rule 2-46

  3. CFTC Rule Changes • Series funds • Can report at series level if there is a limitation on liability among the series • Identify these series funds through NFA’s questionnaire system • If cross-liability exists, must report at pool level, as well as for each series

  4. CFTC Rule Changes • Liquidation statements • Filed within 90 days of permanent cessation of trading • Limited reporting required • Discuss distribution of assets • No longer need to be audited, provided waivers are obtained from participants

  5. CFTC Rule Changes • Fund-of-fund Extensions • Extended to 180 days after FYE • Allowed for unaudited statements • Subsequent filings eliminated • International Financial Reporting Standards • Notice filing, electronically, through NFA’s Exemptions system • Previous interpretations codified

  6. NFA Rule 2-46CPO 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

  7. 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.

  8. 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.

  9. 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.

  10. 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.

  11. 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

  12. 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.

  13. 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: • Equities • Fixed Income • Alternative Investments • Derivatives • Options • Funds • Cash

  14. 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.

  15. 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.

  16. 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

  17. Session 3:Pool Financial ReportingPanelists:James W. Laures, Deloitte & Touche LLPDavid Young, Spectrum Global Fund Administration LLCTracey Hunt, NFA

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