Session 3:Pool Financial Reporting

Panelists:James W. Laures, Deloitte & Touche LLP

David Young, Spectrum Global Fund Administration LLCTracey 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 fundso Can report at series level if there is a limitation

on liability among the serieso Identify these series funds through NFA’s

questionnaire systemo If cross-liability exists, must report at pool

level, as well as for each series

CFTC Rule Changes

• Liquidation statementso Filed within 90 days of permanent cessation of

tradingo Limited reporting requiredo Discuss distribution of assetso No longer need to be audited, provided

waivers are obtained from participants

CFTC Rule Changes

• Fund-of-fund Extensionso Extended to 180 days after FYEo Allowed for unaudited statementso Subsequent filings eliminated

• International Financial Reporting Standardso Notice filing, electronically, through NFA’s

Exemptions system

• Previous interpretations codified

• 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

NFA Rule 2-46CPO Quarterly Reporting Requirements

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 RelationshipsThe 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. Equitiesb. Fixed Incomec. Alternative Investmentsd. Derivativese. Optionsf. Fundsg. 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 LLCTracey Hunt, NFA