Form CPO-PQR

Commodity Pool Operators and Commodity Trading Advisors: Amendment to Compliance Obligation

DRAFT_Form CPO-PQR_2011 01-13 _Smooth_

Commodity Pool Operators and Commodity Trading Advisors: Amendments to Compliance Obligation

OMB: 3038-0005

⚠️ Notice: This form may be outdated. More recent filings and information on OMB 3038-0005 can be found here:

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COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION

CFTC Form CPO-PQR
OMB No.: 3038-XXXX

POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Instructions for Using the Form CPO-PQR Template
READ THESE INSTRUCTIONS CAREFULLY BEFORE COMPLETING OR REVIEWING THE REPORTING
FORM. THE FAILURE TO ANSWER ALL QUESTIONS COMPLETELY AND ACCURATELY OR THE OMISSION
OF REQUIRED INFORMATION MAY SEVERELY IMPACT YOUR ABILITY TO OPERATE AS A COMMODITY
POOL OPERATOR.
This document is not a reporting form. Do not send this document to NFA. It is a template that you may use
to assist in filing the electronic reporting form with the NFA at: http://www.nfa.futures.org.
You may fill out the template online and save and/or print it when you are finished or you can download the template
and/or print it and fill it out later.
DEFINED TERMS
Words that are underlined in this form are defined terms and have the meanings contained in the Definitions of Terms
section.
GENERAL
Read the Instructions and Questions Carefully
Please read the instructions and the questions in this Form CPO-PQR carefully. A question that is answered
incorrectly because it was misread or misinterpreted can severely impact your ability to operate as a CPO.
In this Form CPO-PQR, “you” means the CPO.
Call the CFTC with Questions
If there is any question about whether particular information must be provided or about the manner in which particular
information must be provided, contact the CFTC for clarification.

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Instructions for Using the Form CPO-PQR Template
REPORTING INSTRUCTIONS
1. All CPOs Are Required to Complete and File the Form CPO-PQR Quarterly
All CPOs are required to complete and file a Form CPO-PQR for each Reporting Period during which they satisfy
the definition of CPO and operate at least one Pool. The Form CPO-PQR is required to be filed with the NFA
within 15 calendar days of the last day of the Reporting Period.
2. Only Certain Schedules of this Form CPO-PQR Are Required of Certain CPOs
Only certain Schedules of this Form CPO-PQR are required to be completed and filed by certain CPOs.
Schedule A
Schedule A must be completed and filed by each CPO for every Reporting Period during which they satisfy the
definition of CPO and operate at least one Pool.
Part 1 of Schedule A surveys basic information about the reporting CPO. Part 2 of Schedule A asks for more
specific information about each of the CPO’s Pool’s, including questions about the Pool’s key relationship and
about the Pool’s investment positions.
Schedule B
Schedule B must be completed and filed annually by Mid-Sized CPOs. Mid-Sized CPOs must complete and file a
Schedule B within 90 days of the close of each calendar year during which they satisfied the definition of Mid-Sized
CPO and operated at least one Pool. A CPO that qualifies as a Mid-Sized CPO at any point during the calendar
year must complete and file a separate Schedule B for each Pool that it operated during the calendar year.
Schedule B must be completed and filed quarterly by Large CPOs. Large CPOs must complete and file a
Schedule B within 15 days of the close of the most recent Reporting Period during which they satisfied the
definition of Large CPO and operated at least one Pool. A CPO that qualifies as a Large CPO at any point during
the Reporting Period must complete and file a separate Schedule B for each Pool that it operated during the
Reporting Period.
No Schedule B Filing Requirements
Any Mid-Sized CPO or Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii) operated
only Pools that satisfy the definition of Private Fund during the calendar year or Reporting Period, respectively, will
be deemed to have satisfied its Schedule B filing requirements by completing and filing Sections 1.b. and 1.c. of
Form PF for each Pool that it operated during the calendar year or Reporting Period, respectively, in question.

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Instructions for Using the Form CPO-PQR Template
REPORTING INSTRUCTIONS (cont’d)
2. Only Certain Schedules of this Form CPO-PQR Are Required of Certain CPOs (cont’d)
Limited Schedule B Filing Requirements
However, any Mid-Sized CPO or Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii)
operated any Pools that do not satisfy the definition of Private Fund during the calendar year or Reporting Period,
respectively, will be required to complete and file a Schedule B for each Pool that it operated during the calendar
year or Reporting Period, respectively, that did not satisfy the definition of a Private Fund. Schedule B will need to
be completed in addition to the Mid-Sized CPO’s or Large CPO’s filing Form PF requirements.
Schedule B asks for information about each Pool’s creditors, counterparties, borrowings and clearing mechanisms.
Schedule C
Schedule C must be completed and filed only by Large CPOs. Large CPOs must complete and file a Schedule C
for every Reporting Period during which they satisfy the definition of a Large CPO and operate at least one Pool. A
CPO that qualifies as a Large CPO at any point during the Reporting Period must complete and file a separate Part
2 of Schedule C for each Large Pool that it operated during the Reporting Period.
No Schedule C Filing Requirements
Any Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii) operated only Pools that
satisfy the definition of Private Fund during the Reporting Period will be deemed to have satisfied its Schedule C
filing requirements by completing and filing the applicable Sections 1 and 2 of Form PF for the Reporting Period in
question.
Limited Schedule C Filing Requirements
However, any Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii) operated any Pools
that do not satisfy the definition of Private Fund during the Reporting Period will be required to complete Parts 1
and 2 of Schedule C with respect to the Pool(s) that it operated during the Reporting Period that did not satisfy the
definition of a Private Fund. For these Large CPOs, Part 1 of Schedule C will need to be completed with respect to
all Pools that they operated during the Reporting Period that did not satisfy the definition of Private Fund, and Part
2 of Schedule C will need to be completed with respect to all Large Pools that they operated during the Reporting
Period that did not satisfy the definition of Private Fund. These Schedule C filings will need to be completed in
addition to the Large CPO’s filing Form PF requirements.
Part 1 of Schedule C asks for information about the aggregated portfolios of the Pools that were not Private Funds
that the Large CPO operated during the Reporting Period.
Part 2 of Schedule C asks for certain risk metrics about the Large Pools that were not Private Funds that the Large
CPO operated during the Reporting Period.
3

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Instructions for Using the Form CPO-PQR Template
REPORTING INSTRUCTIONS (cont’d)
3. The CPO May Be Required to Aggregate Information Concerning Certain Types of Pools
For purposes of determining whether a CPO meets the reporting thresholds for Schedules B and/or C of this Form
CPO-PQR, the CPO must (1) aggregate all Parallel Pool Structures, Parallel Managed Accounts and Master
Feeder Arrangements; and, (2) treat any Pool or Parallel Managed Account operated by any of its Affiliated Entities
as though it was operated by the CPO.
For purposes of determining whether a Pool qualifies as a Large Pool for Schedule C of this Form CPO-PQR, the
CPO must (1) aggregate all Pools that are part of the same Parallel Fund Structure or Master-Feeder Arrangement;
(2) aggregate any Parallel Managed Accounts with the largest Pool to which that Parallel Managed Account relates;
and, (3) treat any Pool or Parallel Managed Account operated by any of your Affiliated Entities as though it was
operated by the CPO.
However, for the parts of Form CPO-PQR that request information about individual Pools, you must report
aggregate information for Parallel Managed Accounts and Master Feeder Arrangements as if each were an
individual Pool, but not Parallel Pools. Assets held in Parallel Managed Accounts should be treated as assets of
the Pools with which they are aggregated.
4. The Form CPO-PQR Must Be Filed Electronically with NFA
All CPOs must file their Forms CPO-PQR electronically using NFA’s EasyFile System. NFA’s EasyFile System can
be accessed through NFA’s website at www.nfa.futures.org. You will use the same logon and password for filing
your Form CPO-PQR as you would for any other EasyFile filings. Questions regarding your NFA ID# or your use of
NFA’s EasyFile system should be directed to the NFA. The NFA’s contact information is available on its website.
5. All Figures Reported in U.S. Dollars
All questions asking for amounts or investments must be reported in U.S. dollars. Any amounts converted to U.S.
dollars must use the conversion rate in effect on the Reporting Date.
6. Use of U.S. GAAP
All financial information in this Report must be presented and computed in accordance with GAAP consistently
applied.
7. Oath and Affirmation
This Form CPO-PQR will not be accepted unless it is complete and contains an oath or affirmation that, to the best
of the knowledge and belief of the individual making the oath or affirmation, the information contained in the
document is accurate and complete; provided however, that is shall be unlawful for the individual to make such
oath or affirmation if the individual knows or should know that any of the information in this Report is not accurate
and complete.
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Definitions of Terms for the Form CPO-PQR Template
DEFINITIONS OF TERMS
Affiliated Entity: The term “Affiliated Entity” means any entity is an affiliate of another entity. An entity is an affiliate
of another entity if the entity directly or indirectly controls, is controlled by or is under common control with the other
entity.
Assets Under Management or AUM: The term “Assets Under Management” or “AUM” means the amount of all
assets that are under the control of the CPO.
BP: The term “BP” means basis points.
Broker: The term “Broker” means any entity that provides clearing, prime brokerage or similar services to the Pool.
CDS: The term “CDS” means credit default swap.
CCP: The term “CCP” means a central counterparty or central clearing house, such as CC&G, CME Clearing, The
Depository Trust & Clearing Corporation (including FICC, NSCC and Euro CCP), EMCF, Eurex Clearing, Fedwire,
ICE Clear Europe, ICE Clear U.S., ICE Trust, LCH Clearnet Limited, LCH Clearnet SA, Options Clearing Corporation
and SIX x-clear.
Commodity Futures Trading Commission or CFTC: The term “Commodity Futures Trading Commission” or
“CFTC” means the United States Commodity Futures Trading Commission.
Commodity Pool or Pool: The term “Commodity Pool” or “Pool” has the same meaning as “commodity pool” as
defined in section 1a(10) of the Commodity Exchange Act.
Commodity Pool Operator or CPO: The term “commodity pool operator” or “CPO” has the same meaning as
“commodity pool operator” defined in section 1a(11) of the Commodity Exchange Act.
Commodity Trading Advisor or CTA: The term “commodity trading advisor” or “CTA” has the same meaning as
“commodity trading adviser” as defined in section 1a(12) of the Commodity Exchange Act.
Feeder Fund: See Master Feeder Arrangement.
Financial Institution: The term “financial institution” means any of the following: (i) a bank or savings association, in
each case as defined in the Federal Deposit Insurance Act; (ii) a bank holding company or financial holding company,
in each case as defined in the Bank Holding Company Act of 1956; (iii) a savings and loan holding company, as
defined in the Home Owners’ Loan Act; (iv) a Federal credit union, State credit union or State-chartered credit union,
as those terms are defined in section 101 of the Federal Credit Union Act; or (v) a Farm Credit System institution
chartered and subject to the provisions of the Farm Credit Act of 1971; or (vi) an entity chartered or otherwise
organized outside the United States that engages in banking activities.
Form CPO-PQR: The term “Form CPO-PQR” means this Form CPO-PQR.
Form PF: The term “Form PF” refers to the SEC’s Form PF.
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Definitions of Terms for the Form CPO-PQR Template
DEFINITIONS OF TERMS (cont’d)
GAAP: The term “GAAP” means Generally Accepted Accounting Principles.
Investment Adviser: The term “Investment Adviser” has the same meaning as “investment adviser” as defined in
Section 202(a)(11) of the Investment Advisers Act of 1940.
Large CPO: The term “Large CPO” refers to any CPO that had at least $1 billion in aggregated Pool Assets Under
Management as of the close of business on any day during the Reporting Period.
Large Pool: The term “Large Pool” means any Pool that has a Net Asset Value individually, or in combination with
any Parallel Pool Structure, of at least $500 million as of the close of business on any day during the Reporting
Period.
Master Fund: See Master Feeder Arrangement.
Master-Feeder Arrangement: The phrase “Master Feeder Arrangement” means an arrangement in which one or
more funds (“Feeder Funds”) invest all or substantially all of their assets in a single fund (“Master Fund”). A fund
would also be a Feeder Fund investing in a Master Fund for the purposes of this definition if it issued multiple classes
or series of shares or interests and each class (or series) invests substantially all of its assets in shares (or other
interests in) a single underlying Master Fund.
Mid-Sized CPO: The term “Mid-Sized CPO” refers to any CPO that had at least $150 million in aggregated Pool
Assets Under Management as of the close of business on any day during the Reporting Period.
National Futures Association or NFA: The term “National Futures Association” or “NFA” refers to the National
Futures Association, a registered futures association under Section 17 of the Commodity Exchange Act.
Negative OTE: The term “Negative OTE” means negative open trade equity.
Net Asset Value or NAV: The term “Net Asset Value” or “NAV” has the same meaning as “net asset value” as
defined in Commission Rule 4.10(b).
Non-U.S. Financial Institution: A “non-U.S. Financial Institution” means any of the following Financial Institutions:
(i) a Financial Institution chartered outside the United States; (ii) a subsidiary of a U.S. Financial Institution that is
separately incorporated or otherwise organized outside the United States; or (iii) a branch or agency that resides in
the United States but has a parent that is a Financial Institution chartered outside the United States.
OTC: The term “OTC” means over-the-counter.
Parallel Managed Account: The term “Parallel Managed Account” means any managed account or other pool of
assets that the CPO operates and that pursues substantially the same investment objective and strategy and invests
side-by-side in substantially the same assets as the identified Pool.

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Definitions of Terms for the Form CPO-PQR Template
DEFINITIONS OF TERMS (cont’d)
Parallel Pool Structure: The term “Parallel Pool Structure” means any structure in which one or more Pools pursues
substantially the same investment objective and strategy and invests side by side in substantially the same assets as
another Pool.
Private Fund: The term “Private Fund” has the same meaning as “private fund” as defined in Form PF.
Positive OTE: The term “Positive OTE” means positive open trade equity.
Reporting Date: The term “Reporting Date” means the last calendar day of the Reporting Period for which this Form
CPO-PQR is required to be completed and filed. For example, the Reporting Date for the first calendar quarter of a
year is March 31; the Reporting Date for the second calendar quarter is June 30.
Reporting Period: The term “Reporting Period” means any of the individual calendar quarters (ending March 31,
June 30, September 30, and December 31).
Trading Manager: The term “Trading Manager” means any entity or individual with sole or partial authority to invest
Pool assets or to allocate Pool assets to other managers or investee pools (including cash management firms).
CTAs and other CPOs can be Trading Managers; however, a CPO should not identify itself as a Trading Manager.
Secured Borrowing: The term “Secured Borrowing” means obligations for borrowed money in respect of which the
borrower has posted collateral or other credit support. For purposes of this definition, repos are secured borrowings.
Securities and Exchange Commission or SEC: The term “Securities and Exchange Commission” or “SEC” means
the United States Securities and Exchange Commission.
Side Arrangements and Side Letters: The term “Side Arrangements” or the term “Side Letters” means any
arrangement that is extended to less than 100% of the Pool’s participants.
U.S. Financial Institution: The term “U.S. Financial Institution” means any of the following Financial Institutions: (i)
a Financial Institution chartered in the United States (whether federally-chartered or state-chartered); (ii) a subsidiary
of a Non-U.S. Financial Institution that is separately incorporated or otherwise organized in the United States; or (iii) a
branch or agency that resides outside the United States but has a parent that is a Financial Institution chartered in
the United States.
Unsecured Borrowing: The term “Unsecured Borrowing” means obligations for borrowed money in respect of which
the borrower has not posted collateral or other credit support.
VaR: The term “VaR” means value at risk.

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Form CPO-PQR Template · Schedule A
INSTRUCTIONS FOR COMPLETING SCHEDULE A
Every CPO is required to complete and file Schedule A of this Form CPO-PQR. This Schedule A must be completed
for every Reporting Period during which the CPO operated at least one Pool. Part 1 of Schedule A asks for
information about the CPO. Part 2 of Schedule A asks for information about each individual Pool that the CPO
operated during the Reporting Period. CPOs must complete and file a separate Part 2 for each Pool they operated
any time during the Reporting Period.
Unless otherwise specified in a particular question, all information provided in this Schedule A should be accurate as
of the Reporting Date.
PART 1 · INFORMATION ABOUT THE CPO
1. CPO INFORMATION
Provide the following general information concerning the CPO:
a. CPO’s Name:
b. CPO’s NFA ID#:
c. Person to contact concerning this Form CPO-PQR:
d. CPO’s chief compliance officer:
e. Total number of employees of the CPO:
f. Total number of equity holders of the CPO:
g. Total number of Pools operated by the CPO:
2. CPO ASSETS UNDER MANAGEMENT
Provide the following information concerning the amount of Assets Under Management by the CPO:
a. CPO’s Total Assets Under Management:
b. CPO’s Total Net Assets Under Management:
c. CPO’s Total Pool Assets Under Management:
d. CPO’s Total Pool Net Assets Under Management:

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO
REMINDER: The CPO must complete and file a separate Part 2 for each Pool that the CPO operated during the
Reporting Period.
3. POOL INFORMATION
Provide the following general information concerning the Pool:
a. Pool’s name:
b. Pool’s NFA ID#:
c. Under the laws of what state or country is the Pool organized:
d. On what date does the Pool’s fiscal year end:
e. Is this Pool a Private Fund?

Yes

f. List the English name of each Foreign Financial Regulatory Authority and the country with which the Pool is
registered:
Foreign Financial Regulatory Authority
Country

g. Is this a Master Fund in a Master-Feeder Arrangement?

Yes

If “Yes,” provide the name and NFA ID# of each Feeder Fund investing in this Pool:
NFA ID#

Feeder Fund

h. Is this a Feeder Fund in a Master-Feeder Arrangement?

Yes

If “Yes,” provide the name and NFA ID# of the Master Fund in which this Pool invests:
Master Fund

NFA ID#

i. If this Pool invests in other Pools, what is the maximum number of investee pool tiers?
9

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
4. POOL THIRD PARTY ADMINISTRATORS
Provide the following information concerning the Pool’s third party administrator(s):
a. Does the CPO use third party administrators for the Pool?

Yes

If “Yes,” provide the following information for each third party administrator:
i. Name of the administrator:
ii. NFA ID# of administrator:
iii. Address of the administrator:
iv. Telephone number of the administrator:
v. Starting date of the relationship with the administrator:
vi. Services performed by the administrator:
Preparation of Pool financial statements:

Maintenance of the Pool’s books and records:

Calculation of Pool’s performance:

Other ______________________________:

b. What percentage of the Pool’s Assets Under Management is valued by a third party administrator, or similar
entity, that is independent of the CPO?
If the number entered is greater than “0,” provide the following information:
Name(s) of the third party(-ies):
5. POOL BROKERS
Provide the following information concerning the Pool’s Broker(s):
a. Does the CPO use Brokers for the Pool?

Yes

If “Yes,” provide the following information for each Broker:
i. Name of the Broker:
ii. NFA ID# of Broker:
iii. Address of Broker:

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
5. POOL CARRYING BROKERS (cont’d)
iv. Telephone number of the Broker:
v. Starting date of the relationship with the Broker:
vi. Services performed by the Broker:
Clearing services for the Pool:

Custodian services for some or all Pool assets:

Prime brokerage services for the Pool:

Other ______________________________ :

6. POOL TRADING MANAGERS
Provide the following information concerning the Pool’s Trading Manager(s):
a. Has the CPO authorized Trading Managers to invest or allocate some or all of the Pool’s Assets Under
Yes
No
Management?
If “Yes,” provide the following information for each Trading Manager:
i. Name of the Trading Manager:
ii. NFA ID# of the Trading Manager:
iii. Address of the Trading Manager:
iv. Telephone number of the Trading Manager:
v. Starting date of the relationship with the Trading Manager:
vi. What percentage of the Pool’s Assets Under Management does the Trading Manager have authority to
invest or allocate?
%
7. POOL CUSTODIANS
Provide the following information concerning the Pool’s custodian(s):
a. Does the CPO use custodians to hold some or all of the Pool’s Assets Under Management?
Yes
If “Yes,” provide the following information for each custodian:
i. Name of the custodian:

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
7. POOL CUSTODIANS (cont’d)
ii. NFA ID# of the custodian:
iii. Address of the custodian:
iv. Telephone number of the custodian:
v. Starting date of the relationship with the custodian:
vi. What percentage of the Pool’s Assets Under Management is held by the custodian?

8. POOL AUDITOR
Provide the following information concerning the Pool’s auditor(s):
a. Does the CPO have the Pool’s financial statements audited?

Yes

b. Are the Pool’s audited financial statements distributed to the Pool’s participants?
Yes

If “Yes,” provide the following information:
i. Is the audit conducted in accordance with GAAP?
ii. Name of the auditing firm:
iii. Address of the auditing firm:
iv. Telephone number of the auditing firm:
v. Starting date of the relationship with the auditing firm:

9. POOL MARKETERS
Provide the following information concerning the Pool’s marketer(s):
a. Does the CPO use the services of third parties to market participations in the Pool?
Yes
If “Yes,” provide the following information for each marketing firm:
i. Name of the marketing firm:
ii. Address of the marketing firm:
iii. Telephone number of the marketing firm:

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
9. POOL MARKETERS (cont’d)
iv. Starting date of the relationship with the marketing firm:
v. Address of any website used by the marketing firm to market participations in the Pool:
10. POOL’S STATEMENT OF CHANGES CONCERNING ASSETS UNDER MANAGEMENT
Provide the following information concerning the Pool’s activity during the Reporting Period. For the purposes of
this question:
(i) The Assets Under Management and Net Asset Value at the beginning of the Reporting Period are
considered to be the same as the assets under management and Net Asset Value at the end of the previous
Reporting Period, in accordance with Regulation 4.25(a)(7)(A).
(ii) The additions to the Pool include all additions whether voluntary or involuntary in accordance with
Regulation 4.25(a)(7)(B).
(iii) The withdrawals and redemptions from the Pool include all withdrawals or redemptions whether voluntary
or not, in accordance with Regulation 4.25(a)(7)(C).
(iv) The Pool’s Assets Under Management and Net Asset Value on the Reporting Date must be calculated by
adding or subtracting from the Assets Under Management and Net Asset Value at the beginning of the
Reporting Period, respectively, any additions, withdrawals, redemptions and net performance, as provided in
Regulation 4.25(a)(7)(E).
a. Pool’s Assets Under Management at the beginning of the Reporting Period:
b. Pool’s Net Asset Value at the beginning of the Reporting Period:
c. Pool’s net income during the Reporting Period:
d. Additions to the Pool during the Reporting Period:
e. Withdrawals and Redemptions from the Pool during the Reporting Period:
f. Pool’s Assets Under Management on the Reporting Date:
g. Pool’s Net Asset Value on the Reporting Date:

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
11. POOL’S MONTHLY RATES OR RETURN
Provide the Pool’s monthly rate of return for each month that the Pool has operated. The Pool’s monthly rate of
return should be calculated in accordance with Regulation 4.25(a)(7)(F). Enter “NT” to indicate that the Pool did
not trade during a particular month. Provide the Pool’s annual rate of return for the appropriate year in the row
marked “Annual.”
2011

2010

2009

2008

Jan.
Feb.
March
June
July
August
Sept.
Oct.
Nov.
Dec.
ANNUAL

2007

2006

2005

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
12. POOL SCHEDULE OF INVESTMENTS
Provide the Pool’s investments in each of the subcategories listed under the following seven headings: (1) Cash;
(2) Equities; (3) Alternative Investments; (4) Fixed Income; (5) Derivatives; (6) Options; and (7) Funds. First,
determine how the Pool’s investments should be allocated among each of these seven categories. Once you
have determined how the Pool’s investments should be allocated, enter the dollar value of the Pool’s total
investment in each applicable category on the top, boldfaced line. For example, under the “Cash” heading, the
Pool’s total investment should be listed on the line reading “Total Cash.” After the top, boldfaced line is
completed, proceed to the subcategories. For each subcategory, determine whether the Pool has investments
that equal or exceed 5% of the Pool’s Net Asset Value. If so, provide the dollar value of each such investment in
the appropriate subcategory. If the dollar value of any investment in a subcategory equals or exceeds 5% of the
Pool’s Net Asset Value, you must itemize the investments in that subcategory.
CASH
Total Cash
At Carrying Broker
At Bank
EQUITIES
Total Listed Equities

Long

Stocks
a. Energy and Utilities
b. Technology
c. Media
d. Telecommunication
e. Healthcare
f.

Consumer Services

g. Business Services
h. Issued by Financial Institutions
i.

Consumer Goods

Industrial Materials

Exchange Traded Funds
American Deposit Receipts
15

Short

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COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
EQUITIES
Other

Long

Short

Long

Short

Total Unlisted Equities
Unlisted Equities Issued by Financial Institutions
ALTERNATIVE INVESTMENTS
Total Alternative Investments
Real Estate
a. Commercial
b. Residential
Private Equity
Venture Capital
Forex
Spot
a. Total Metals
I.

Gold

b. Total Energy
I.

Crude oil

II.

Natural gas

III.

Power

c. Other
Loans to Affiliates
Promissory Notes
Physicals
a. Total Metals
I.

Gold

b. Agriculture
16

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
ALTERNATIVE INVESTMENTS
Physicals (cont’d)

Long

Short

Long

Short

c. Total Energy
I.

Crude oil

II.

Natural gas

III.

Power

Other
FIXED INCOME
Total Fixed Income
Notes, Bonds and Bills
a. Corporate
I.

Investment grade

II.

Non-investment grade

b. Municipal
c. Government
I.

U.S. Treasury securities

II.

Agency securities

III.

Foreign (G10 countries)

IV.

Foreign (all other)

d. Govn’t Sponsored
e. Convertible
I.

Investment grade

II.

Non-investment grade

Certificates of Deposit
a. U.S.
b. Foreign
17

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
FIXED INCOME
Asset Backed Securities

Long

a. Mortgage Backed Securities
I.

Commercial Securitizations
Senior or higher
Mezzanine
Junior/Equity

II.

Commercial Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

III.

Residential Securitizations
Senior or higher
Mezzanine
Junior/Equity

IV.

Residential Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Agency Securitizations
Senior or higher
Mezzanine
Junior/Equity

VI.

Agency Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

b. CDO Securitizations
Senior or higher
Mezzanine
Junior/Equity

Short

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
FIXED INCOME
Asset Backed Securities (cont’d)
c. CDO Securitizations
Senior or higher
Mezzanine
Junior/Equity

Long

d. CDO Resecuritizations
Senior or higher
Mezzanine
Junior/Equity
e. CLOs Securitizations
Senior or higher
Mezzanine
Junior/Equity
f.

CLO Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

g. Credit Card Securitizations
Senior or higher
Mezzanine
Junior/Equity
h. Credit Card Resecuritizations
Senior or higher
Mezzanine
Junior/Equity
i.

Auto-Loan Securitizations
Senior or higher
Mezzanine
Junior/Equity

Short

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
FIXED INCOME
Asset Backed Securities (cont’d)
j. Auto-Loan Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Long

Short

k. Other
Senior or higher
Mezzanine
Junior/Equity
Repos
Reverse Repos
DERIVATIVES

Positive OTE

Total Derivatives
Futures
a. Indices
I.

Equity

II.

Commodity

b. Metals
I.

Gold

c. Agriculture
d. Energy
I.

Crude oil

II.

Natural gas

III.

Power

e. Interest Rate
f.

Currency

Negative OTE

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
DERIVATIVES
Futures (cont’d)
g. Related to Financial Institutions

Positive OTE

Negative OTE

h. Other
Forwards
Swaps
a. Interest Rate Swap
b. Equity/Index Swap
c. Dividend Swap
d. Currency Swap
e. Variance Swap
f.

Credit Default Swap
I.

Single name CDS
i. Related to Financial Institutions

II.

Index CDS

III.

Exotic CDS

g. OTC Swap
I.

Related to Financial Institutions

h. Total Return Swap
i.

Other

OPTIONS

Long Option Value

Total Options
Futures
a. Indices
I.

Equity

II.

Commodity
21

Short Option Value

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
OPTIONS
Futures (cont’d)

Long Option Value

Short Option Value

b. Metals
c. Agriculture
d. Energy
e. Interest Rate
f.

Currency

g. Related to Financial Institutions
h. Other
Stocks
a. Related to Financial Institutions
Customized/OTC
Physicals
a. Metals
I.

Gold

b. Agriculture
c. Currency
d. Energy
I.

Crude oil

II.

Natural gas

III.

Power

e. Other
FUNDS

Long

Total Funds
Mutual Fund

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
FUNDS

U.S.

ii.

Foreign

Long

Hedge Fund
Equity Fund
Money Market Fund
Private Equity Fund
REIT
Other
ITEMIZATION
a. If the dollar value of any investment in any subcategory under the heading “Equities,” “Alternative
Investments” or “Fixed Income” equals or exceeds 5% of the Pool’s Net Asset Value, itemize the
investment(s) in the table below.
Subheading

Description of
Investment

Long/
Short

Cost

Fair Value

Year-to-Date
Gain (Loss)

b. If the dollar value of any investment in any subcategory under the heading “Derivatives” or “Options” equals or
exceeds 5% of the Pool’s Net Asset Value, itemize the investment(s) in the table below.
Subheading

Description of
Investment

Long/
Short

OTE

Counterparty

Year-to-Date
Gain (Loss)

c. If the dollar value of any investment in any subcategory under the heading “Funds” equals or exceeds 5% of
the Pool’s Net Asset Value, itemize the investment(s) in the table below.
Subheading

Fund Name

Fund Type

Fair Value

Year-to-Date
Gain (Loss)

13. POOL SUBSCRIPTIONS AND REDEMPTIONS
Provide the following information concerning subscriptions to and redemptions from the Pool during the
Reporting Period.
a. Total Pool subscriptions by participants during the Reporting Period:
23

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Form CPO-PQR Template · Schedule A
PART 2 · INFORMATION ABOUT THE POOLS OPERATED BY THE CPO (cont’d)
13. POOL SUBSCRIPTIONS AND REDEMPTIONS (cont’d)
b. Total Pool redemptions by participants during the Reporting Period:
c. Are any Pool participants or share classes currently below the Pool’s high water mark?
Yes

If “Yes,” provide the following information:
i.
ii.

What is the percentage of participants below the Pool’s high water mark as of the Reporting Date?

%
What is the weighted average percentage of participants below the Pool’s high water mark as of the
Reporting Date?
%

d. Has the Pool imposed a halt or any other material limitation on redemptions during the Reporting Period?
Yes

If “Yes,” provide the following information:
i.

On what date was the halt or material limitation imposed?

ii.

If the halt or material limitation has been lifted, on what date was it lifted?

iii.

What disclosure was provided to participants to notify them that the halt or material limitation was
being imposed? What disclosure was provided to participants to notify them that the halt or material
limitation was being lifted?

iv.

On what date(s) was this disclosure provided?

Briefly explain the halt or material limitation(s) on redemptions and the reason for such halt or
material limitation(s):

– This Completes Schedule A of Form CPO-PQR –

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
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Form CPO-PQR Template · Schedule B
INSTRUCTIONS FOR COMPLETING SCHEDULE B
A CPO is only required to complete and file Schedule B of this Form CPO-PQR if at any point during the calendar
year the CPO qualified as a Mid-Sized CPO or Large CPO.
Schedule B must be completed and filed annually by Mid-Sized CPOs. Mid-Sized CPOs must complete and file a
Schedule B within 90 days of the close of each calendar year during which they satisfied the definition of Mid-Sized
CPO and operated at least one Pool. A CPO that qualifies as a Mid-Sized CPO at any point during the calendar year
must complete and file a separate Schedule B for each Pool that it operated during the calendar year.
Schedule B must be completed and filed annually by Large CPOs. Large CPOs must complete and file a Schedule B
within 15 days of the close of the most recent Reporting Period during which they satisfied the definition of Large
CPO and operated at least one Pool. A CPO that qualifies as a Large CPO at any point during the Reporting Period
must complete and file a separate Schedule B for each Pool that it operated during the Reporting Period.
Notwithstanding the above paragraph, certain Mid-Sized CPOs and Large CPOs that are also registered as
Investment Advisers with the SEC may be deemed to have satisfied their Schedule B filing requirements by
completing and filing Sections 1.b. and 1.c. of Form PF. Whether a Mid-Sized CPO or Large CPO has satisfied its
Schedule B filing requirements will depend upon the type of Pools it operated during the calendar year or Reporting
Period, respectively. Refer to the instructions of this Form CPO-PQR to determine whether you are required to
complete this Schedule B and, if you are, how frequently you are required to file.
Unless otherwise specified in a particular question, all information provided in this Schedule B should be accurate as
of the Reporting Date for all Large CPOs and accurate as of December 31 of each calendar year for all Mid-Sized
CPOs.
REMINDER: A CPO that qualified as a Mid-Sized CPO at any point during the calendar year or Large CPO at any
point during the Reporting Period must complete and file a separate Schedule B for each Pool that it operated during
the calendar year or Reporting Period, respectively, that did not satisfy the definition of Private Fund.
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs
In lieu of filing this Schedule B, the CPO has completed and filed Sections 1.b. and 1.c. of Form PF for the following
Pools:
[Commodity Pool]
[ Commodity Pool]
1. POOL INFORMATION
Provide the following general information concerning the Pool:
a. Pool’s name:
b. Pool’s NFA ID#:
25

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
1. POOL INFORMATION (cont’d)
c. Does the Pool have a single primary investment strategy or multiple strategies?
Single Primary Strategy

Multiple Strategies

d. Indicate which of the strategies below best describe the investment strategy that the Pool uses. For each
strategy selected, estimate the percentage of the Pool’s Net Asset Value represented by that strategy:
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
[Strategy] ________%
e. Provide the approximate percentage of the Pool’s portfolio that is managed using quantitative trading algorithms
or quantitative techniques to select investments. Do not include the use of algorithms used solely for trade
execution:
0%
51-75%
1-10%
76-99%
10-25%
100%
26-50%
f. Provide the following information concerning the Pool’s participant concentration. Beneficial owners of Pool
participations that are Affiliated Entities should be treated as a single participant:
i.

Total number of participants in the Pool:

ii.

Percentage of the Pool that is beneficially owned by the five largest participants:

2. POOL BORROWINGS AND TYPES OF CREDITORS
Provide the following information concerning the Pool’s borrowings and types of creditors. Include all Secured
Borrowings and Unsecured Borrowings, but not synthetic borrowings. The percentages entered below for
questions 2.a., 2.b. and 2.c. should total 100%:
a. Total Borrowings (dollar amount):
b. Percentage borrowed from U.S. Financial Institutions:
c. Percentage borrowed from non-U.S. Financial Institutions:
d. Percentage borrowed from creditors that are not Financial Institutions:

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
2. POOL BORROWINGS AND TYPES OF CREDITORS (cont’d)
e. If the Pool owed any creditor an amount greater than or equal to 5% of the Pool’s Net Asset Value,
identify the creditor and provide the amount owed:
Barclays
$________
Bank of America/Merrill Lynch $________
Bank of New York
$________
BNP Paribas
$________
Calyon
$________
Cargill Financial Markets
$________
Citigroup
$________
Credit Agricole
$________
Credit Suisse
$________
Deutsche Bank
$________
Dresdner/Commerz
$________
Fidelity
$________
Goldman Sachs
$________
HSBC
$________

JP Morgan
Mitsubishi UFJ Financial Grp.
MF Global
Morgan Stanley
New Edge
Nomura
Prudential
Royal Bank of Canada
Royal Bank of Scotland
Société Générale
State Street
UBS
Other:

$________
$________
$________
$________
$________
$________
$________
$________
$________
$________
$________
$________

3. POOL COUNTERPARTY CREDIT EXPOSURE
Provide the following information about the Pool’s counterparty credit exposure. Do not include CCPs as
counterparties and aggregate all Affiliated Entities as a single group for purposes of this question.
Your responses should take into account (i) mark-to-market gains and losses on derivatives, (ii) margin posted to
the counterparty (for subparagraph 3.b.) or margin posted by the counterparty (for subparagraph 3.c.), and (iii) any
loans or loan commitments. Your responses should not take into account: (i) assets that the counterparty is
holding in custody on your behalf; (ii) derivative transactions that have been executed but not settled; (iii) margin
held in a customer omnibus account at a CCP; or (iv) holdings of debt or equity securities issued by the
counterparty.
a. Provide the Pool’s aggregate net counterparty credit exposure, measured in dollars:

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
3. POOL COUNTERPARTY CREDIT EXPOSURE (cont’d)
b. Identify the five trading counterparties to which the Pool has the greatest net counterparty credit exposure,
measured as a percentage of the Pool’s Net Asset Value. Beside each of the counterparties identified, provide
the Pool’s exposure to that counterparty as a percentage of the Pool’s Net Asset Value:
Barclays
________%
Bank of America/Merrill Lynch ________%
Bank of New York
________%
BNP Paribas
________%
Calyon
________%
Cargill Financial Markets
________%
Citigroup
________%
Credit Agricole
________%
Credit Suisse
________%
Deutsche Bank
________%
Dresdner/Commerz
________%
Fidelity
________%
Goldman Sachs
________%
HSBC
________%
i.

JP Morgan
Mitsubishi UFJ Financial Grp.
MF Global
Morgan Stanley
New Edge
Nomura
Prudential
Royal Bank of Canada
Royal Bank of Scotland
Société Générale
State Street
UBS
Other:

________%
________%
________%
________%
________%
________%
________%
________%
________%
________%
________%
________%

Below are the firms that you identified in question 3.a. If the Pool’s trading counterparty is an
Affiliated Entity of the firm you identified, check the box beside the firm’s name:
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
3. POOL COUNTERPARTY CREDIT EXPOSURE (cont’d)
c. Identify the five trading counterparties that have the greatest net counterparty credit exposure to the Pool,
measured in dollars. Beside each of the counterparties identified, provide each counterparty’s exposure to the
Pool.
Barclays
$________
Bank of America/Merrill Lynch $________
Bank of New York
$________
BNP Paribas
$________
Calyon
$________
Cargill Financial Markets
$________
Citigroup
$________
Credit Agricole
$________
Credit Suisse
$________
Deutsche Bank
$________
Dresdner/Commerz
$________
Fidelity
$________
Goldman Sachs
$________
HSBC
$________
i.

JP Morgan
Mitsubishi UFJ Financial Grp.
MF Global
Morgan Stanley
New Edge
Nomura
Prudential
Royal Bank of Canada
Royal Bank of Scotland
Société Générale
State Street
UBS
Other:

$________
$________
$________
$________
$________
$________
$________
$________
$________
$________
$________
$________

Below are the firms that you identified in question 3.c. If the Pool’s trading counterparty is an
Affiliated Entity of the firm you identified, check the box beside the firm’s name:
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]

d. Identify the three types of unregulated entities to which the Pool has the greatest net counterparty exposure,
measured as a percentage of the Pool’s Net Asset Value:
Hedge Fund
Private Equity Fund
Liquidity Fund
Venture Capital Fund
Real Estate Fund

________%
________%
________%
________%
________%

Securitized Asset Fund
Other Private Fund
Sovereign Wealth Fund
Other:

________%
________%
________%

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
3. POOL COUNTERPARTY CREDIT EXPOSURE (cont’d)
i.

Below are the firms that you identified in question 3.d. If the Pool’s counterparty is an Affiliated
Entity of the firm you identified, check the box beside the firm’s name:
[Counterparty firm]
[Counterparty firm]
[Counterparty firm]

4. POOL TRADING AND CLEARING MECHANISMS
Provide the following information concerning the Pool’s use of trading and clearing mechanisms. For purposes of
this question: (i) a trade includes any transaction, irrespective of whether entered into on a bilateral basis, on
exchange, or through a trading facility or other system, and (ii) transactions for which margin is held in a customer
omnibus account at a CCP should be considered cleared by a CCP.
Trading and Clearing of Derivatives
a. For each of the following types derivatives that are traded by the Pool, estimate the percentage (in terms of
notional value) of the Pool’s activity that is traded on a regulated exchange as opposed to over-the-counter.
The percentages entered for each row should total 100%:
Traded on a Regulated
Exchange

Traded Over-theCounter

Credit derivatives:
Interest rate derivatives:
Commodity derivatives:
Equity derivatives:
Foreign exchange derivatives:
Asset backed securities derivatives:
Other derivatives:

b. For each of the following types derivatives that are traded by the Pool, estimate the percentage (in terms of
notional value) of the Pool’s activity that is cleared by a CCP as opposed to being transacted bilaterally (not
cleared by a CCP). The percentages entered for each row should total 100%:
Cleared by a CCP

Credit derivatives:
Interest rate derivatives:
Commodity derivatives:
Equity derivatives:
Foreign exchange derivatives:
Asset backed securities derivatives:
Other derivatives:

Transacted Bilaterally

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
4. POOL TRADING AND CLEARING MECHANISMS (cont’d)
Trading and Clearing of Securities
c. For each of the following types securities that are traded by the Pool, estimate the percentage (in terms of
market value) of the Pool’s activity that is traded on a regulated exchange as opposed to over-the-counter. The
percentages entered for each row should total 100%:
Traded on a Regulated
Exchange

Traded Over-theCounter

Equity securities:
Debt securities:

d. For each of the following types securities that are traded by the Pool, estimate the percentage (in terms of
market value) of the Pool’s activity that is cleared by a CCP as opposed to being transacted bilaterally (not
cleared by a CCP). The percentages entered for each row should total 100%:
Cleared by a CCP

Transacted Bilaterally

Equity securities:
Debt securities:

Clearing of Repos
e. For the repo trades into which the Pool has entered, estimate the percentages (in terms of market value) of the
Pool’s repo trades that are cleared by a CCP, that are transacted bilaterally (not cleared by a CCP) and that
constitute a tri-party repo. Tri-party repo is any repo where the collateral is held at a custodian (not a CCP) that
acts as a third party agent to both repo buyer and the repo seller. The percentages entered should total 100%:
Cleared by a CCP

Transacted Bilaterally

Tri-Party Repo

Repo

5. VALUE OF THE POOL’S AGGREGATED DERVATIVE POSITIONS
Provide the aggregate value of all derivative positions of the Pool. The value of any derivative should be its total
gross notional value, except that the value of an option should be its delta adjusted notional value. Do not net
long and short positions.
Aggregate value of derivative positions:

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Form CPO-PQR Template · Schedule B
DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs (cont’d)
6. MISCELLANEOUS
In the space below, provide explanations to clarify any assumptions that you made in responding to any question
in Schedule B of this Form CPO-PQR. Assumptions must be in addition to, or reasonably follow from, any
instructions or other guidance provided in, or in connection with, Schedule B of this Form CPO-PQR. If you are
aware of any instructions or other guidance that may require a different assumption, provide a citation and explain
why that assumption is not appropriate for this purpose.
Question Number

Explanation

– This Completes Schedule B of Form CPO-PQR –

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Form CPO-PQR Template · Schedule C
INSTRUCTIONS FOR COMPLETING SCHEDULE C
A CPO is only required to complete and file Schedule C of this Form CPO-PQR if at any point during the Reporting
Period the CPO qualified as a Large CPO.
Schedule C must be completed and filed only by Large CPOs. Large CPOs must complete and file a Schedule C for
every Reporting Period during which they satisfy the definition of a Large CPO and operate at least one Pool. A CPO
that qualifies as a Large CPO at any point during the Reporting Period must complete and file a separate Part 2 of
Schedule C for each Large Pool that it operated during the Reporting Period.
No Schedule C Filing Requirements
Any Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii) operated only Pools that satisfy
the definition of Private Fund during the Reporting Period will be deemed to have satisfied its Schedule C filing
requirements by completing and filing Section 2 of Form PF for the Reporting Period in question.
Limited Schedule C Filing Requirements
However, any Large CPO that (i) is registered with the SEC as an Investment Adviser, and (ii) operated any Pools
that do not satisfy the definition of Private Fund during the Reporting Period will be required to complete Parts 1 and
2 of Schedule C with respect to the Pool(s) that it operated during the Reporting Period that did not satisfy the
definition of a Private Fund. For these Large CPOs, Part 1 of Schedule C will need to be completed with respect to
all Pools that they operated during the Reporting Period that did not satisfy the definition of Private Fund, and Part 2
of Schedule C will need to be completed with respect to all Large Pools that they operated during the Reporting
Period that did not satisfy the definition of Private Fund. These Schedule C filings will need to be completed in
addition to the Large CPO’s filing Form PF requirements.
Refer to the instructions of this Form CPO-PQR to determine whether you are required to complete this Schedule C.
Part 1 of Schedule C asks the Large CPO to provide information on the aggregated investments of all Pools that are
not Private Funds that were operated by the Large CPO during the most recent Reporting Period. Any Large CPO
who has completed and filed Section 2 of the SEC’s Form PF for the Private Funds it operated during this Reporting
Period should be sure to answer Part 1 only with respect to the Pools that are not Private Funds.
Part 2 of Schedule C asks the Large CPO to provide certain risk metrics for each Large Pool that is not a Private
Fund that was operated by the Large CPO during the most recent Reporting Period. A Large CPO must complete
and file a separate Part 2 of Schedule C for each Large Pool that is not a Private Fund that the Large CPO operated
during the most recent Reporting Period. Any Large CPO who has completed and filed Section 2 of the SEC’s Form
PF for the Private Funds it operated during this Reporting Period should be sure to complete and file a Part 2 only for
its Large Pools that are not Private Funds.
Unless otherwise specified in a particular question, all information provided in this Schedule C should be accurate as
of the Reporting Date.
33

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Form CPO-PQR Template · Schedule C
PART 1 · INFORMATION ABOUT THE AGGREGATED POOL ASSETS OF LARGE CPOs (cont’d)
In lieu of filing this Schedule C, the CPO has completed and filed Section 2 of Form PF for the following Pools:
[Commodity Pool]
[ Commodity Pool]
1. GEOGRAPHICAL BREAKDOWN OF POOLS’ INVESTMENTS
Provide a geographical breakdown of the investments (by percentage of aggregated Assets Under Management)
of all Pools that are not Private Funds that were operated by the Large CPO during the most recent Reporting
Period. Except for foreign exchange derivatives, investments should be allocated by the jurisdiction of the
organization of the issuer or counterparty. For foreign exchange derivatives, investments should be allocated by
the country to whose currency the Pool has exposure through the derivative. The percentages entered below
should total 100%.
United States
Canada
Mexico
Brazil
Other Americas
EEA
Russia
Other Europe
Australia

________%
________%
________%
________%
________%
________%
________%
________%
________%

China (incl. Hong Kong)
India
Japan
Republic of Korea
Middle East
Other Asia or Pacific
South Africa
Other Africa

________%
________%
________%
________%
________%
________%
________%
________%

2. TURNOVER RATE OF AGGREGATE PORTFOLIO OF POOLS
Provide the turnover rate by volume for the aggregate portfolio of all Pools that are not Private Funds and that were
operated by the Large CPO during the most recent Reporting Period. The turnover rate should be calculated as
follows:
Divide the lesser of amounts of the Pools’ purchases or sales of assets for the month by the average of the value of
the Pools’ assets during the month. Calculate the “monthly average” by totaling the values of Pools’ assets as of
the beginning and the end of the month and dividing that sum by two.
(i) Do not net long and short positions. However, in relation to derivatives, packages such as call-spreads may
be treated as a single position (rather than as a long position and a short position).
(ii) The value of any derivative should be its total gross notional value, except that the value of an option should
be its delta adjusted notional value
(iii) “Purchases” include any cash paid upon the conversion of one asset into another and the costs of rights or
warrants.
(iv) “Sales” include net proceeds of the sale of rights and warrants and net proceeds of assets that have been
called or for which payment has been made through redemption or maturity.
34

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Form CPO-PQR Template · Schedule C
PART 1 · INFORMATION ABOUT THE AGGREGATED POOL ASSETS OF LARGE CPOs (cont’d)
2. TURNOVER RATE OF AGGREGATE PORTFOLIO OF POOLS (cont’d)
(v) Include proceeds from a short sale in the amount of sales of assets in the relevant subcategory during the
month. Include the costs of covering a short sale in the amount of purchases in the relevant subcategory during
the month.
(vi) Include premiums paid to purchase options and premiums received from the sale of options in the amount of
purchases during the month.
First Month

Second Month

Third Month

Open Positions:

3. DURATION OF POOLS’ FIXED INCOME INVESTMENTS
Listed below are the categories and subcategories in which all of the Pools that are not Private Funds operated by
the Large CPO during the most recent Reporting Period had fixed income investments (as reported in question 12
of Schedule A). For each of the subcategories listed, provide the duration for the Pools’ aggregated investments.
For purposes of this question, “duration” means the weighted average maturity of a portfolio comprised of the
specified fixed income assets, where the weights are the relative discounted cash flows in each period.
DURATION OF FIXED INCOME INVESTMENTS

Duration (Long Pos.) Duration (Short Pos.)

FIXED INCOME

Long

Total Fixed Income
Notes, Bonds and Bills
a. Corporate
I.

Investment grade

II.

Non-investment grade

b. Municipal
c. Government
I.

U.S. Treasury securities

II.

Agency securities

III.

Foreign (G10 countries)

IV.

Foreign (all other)

d. Govn’t Sponsored
35

Short

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Form CPO-PQR Template · Schedule C
PART 1 · INFORMATION ABOUT THE AGGREGATED POOL ASSETS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS
Notes, Bonds and Bills

Duration (Long Pos.) Duration (Short Pos.)

e. Convertible
I.

Investment grade

II.

Non-investment grade

Certificates of Deposit
a. U.S.
b. Foreign
Asset Backed Securities
a. Mortgage Backed Securities
I.

Commercial Securitizations
Senior or higher
Mezzanine
Junior/Equity

II.

Commercial Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

III.

Residential Securitizations
Senior or higher
Mezzanine
Junior/Equity

IV.

Residential Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

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Form CPO-PQR Template · Schedule C
PART 1 · INFORMATION ABOUT THE AGGREGATED POOL ASSETS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS
Asset Backed Securities
a. Mortgage Backed Securities (cont’d)
V.

Agency Securitizations
Senior or higher
Mezzanine
Junior/Equity

VI.

Agency Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Duration (Long Pos.) Duration (Short Pos.)

b. CDO Securitizations
Senior or higher
Mezzanine
Junior/Equity
c. CDO Resecuritizations
Senior or higher
Mezzanine
Junior/Equity
d. CLOs Securitizations
Senior or higher
Mezzanine
Junior/Equity
e. CLO Resecuritizations
Senior or higher
Mezzanine
Junior/Equity
f.

Credit Card Securitizations
Senior or higher
Mezzanine
Junior/Equity

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Form CPO-PQR Template · Schedule C
PART 1 · INFORMATION ABOUT THE AGGREGATED POOL ASSETS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS
Asset Backed Securities

Duration (Long Pos.) Duration (Short Pos.)

g. Credit Card Resecuritizations
Senior or higher
Mezzanine
Junior/Equity
h. Auto-Loan Securitizations
Senior or higher
Mezzanine
Junior/Equity
i.

Auto-Loan Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Other
Senior or higher
Mezzanine
Junior/Equity

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs
REMINDER: A CPO that qualified as a Large CPO at any point during the most recent Reporting Period must
complete and file a separate Part 2 of Schedule C for each Pool that is not a Private Fund that the Large CPO
operated during the most recent Reporting Period.
1. LARGE POOL INFORMATION
Provide the following general information concerning the Large Pool:
a. Large Pool’s name:
b. Large Pool’s NFA ID#:
c. Total unencumbered cash held by the Large Pool at the close of each month during the Reporting Period:
First Month

Second Month

Third Month

Unencumbered Cash:

d. Total number of open positions (approximate) held by the Large Pool at the close of each month during the
Reporting Period:
First Month

Second Month

Third Month

Open Positions:

2. LIQUIDITY OF LARGE POOL’S PORTFOLIO
Provide the percentage of the Large Pool’s portfolio (excluding cash and cash equivalents) that may be liquidated
within each of the periods specified below. Each asset should be assigned only to one period and such
assignment should be based on the shortest period during which such asset could reasonably be liquidated. Make
good faith assumptions for liquidity based on market conditions during the most recent Reporting Period. Assume
no “fire-sale” discounting. If certain positions are important contingent parts of the same trade, then all contingent
parts of the trade should be listed in the same period as the least liquid part.
Percentage of Portfolio
Capable of Liquidation in:
1 day or less:
2 days – 7 days:
8 days – 30 days:
31 days – 90 days:
91 days – 180 days:
181 days – 364 days:
365 days or longer:

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
3. LARGE POOL COUNTERPARTY CREDIT EXPOSURE
Provide the following information about the Pool’s counterparty credit exposure. Do not include CCPs as
counterparties and aggregate all Affiliated Entities as a single group for purposes of this question. For purposes of
this question, include as collateral any assets purchased in connection with a reverse repo and any collateral that
the counterparty has posted to the Large Pool under an arrangement pursuant to which the Large Pool has loaned
securities to the counterparty. If you do not separate collateral into initial margin/independent amount and variation
margin amounts, or a trade does not require posting of variation margin, then include all of the collateral in initial
margin/independent amount.
a. For each of the five counterparties identified in question 3.b. of Schedule B, provide the following information
regarding the collateral and other credit support that the counterparty has posted to the Large Pool.
i.

Provide the following values of the collateral posted to the Large Pool:
Initial Margin/
Independent Amounts

Variation
Margin

Value of collateral posed in the form of cash
and cash equivalents:
Value of collateral posed in the form of
securities (other than cash /cash equivalents):
Value of all other collateral posted:

ii.

Provide the following percentages of margin amounts that have been rehypothecated or may be
rehypothecated by the Large Pool:
May be
Rehypothecated

The Large Pool has
Rehypothecated

Percentage of initial margin/independent
amounts that:
Percentage of variation margin that:

iii.

Provide the face amount of letters of credit or other similar third party credit support posted to the Large
Pool:

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
3. LARGE POOL COUNTERPARTY CREDIT EXPOSURE (cont’d)
b. For each of the five counterparties identified in question 3.c. of Schedule B, provide the following information
regarding the collateral and other credit support that the Large Pool has posted to the counterparty.
i.

Provide the following values of the collateral posted by the Large Pool to the counterparty:
Initial Margin/
Independent Amounts

Variation
Margin

Value of collateral posed in the form of cash
and cash equivalents:
Value of collateral posed in the form of
securities (other than cash /cash equivalents):
Value of all other collateral posted:

ii.

Provide the following percentages of margin amounts posted by the Large Pool that have been
rehypothecated or may be rehypothecated by the counterparty:
May be
Rehypothecated
Percentage of initial margin/independent
amounts that:
Percentage of variation margin that:

iii.

Provide the face amount of letters of credit or other similar third party credit support posted by the Large
Pool to the counterparty:

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
3. LARGE POOL COUNTERPARTY CREDIT EXPOSURE (cont’d)
c. Identify the three CCPs to which the Large Pool has the greatest net counterparty credit exposure, measured as
a percentage of the Large Pool’s Net Asset Value. For this question, margin held at a CCP will typically
represent the net counterparty credit exposure to the CCP. Margin is held in a customer omnibus account at a
CCP should be considered exposure to the CCP rather than to a trading counterparty. Any margin that a prime
broker posts to a CCP on the Large Pool’s behalf should be treated as margin posted by the Large Pool to the
CCP.
CC&G
CME Clearing/NYME
DTCC
Fedwire
ICE Clear Europe
ICE Clear U.S.

________%
________%
________%
________%
________%
________%

EMCF
Eurex Clearing
LCH Clearnet Ltd.:
LCH Clearnet SA:
Options Clearing Corp.:
SIX x-clear:

________%
________%
________%
________%
________%
________%

4. LARGE POOL RISK METRICS
Provide the following information concerning the Large Pool’s risk metrics during the Reporting Period:
a. Did the Large CPO regularly calculate the VaR of the Large Pool during the Reporting Period:
Yes
No
b. If “Yes,” provide the following information concerning the VaR calculation(s). If you regularly calculate the VaR of
the Large Pool using multiple combinations of confidence interval, horizon and historical observation period,
complete a separate question 4.b. of Part 2 of Schedule C for each such combination.
i.

What confidence interval was used (e.g. 1 – alpha):

ii.

What time horizon was used:

iii.

What weighting method was used:
None
Equal

Geometric
Other:

If “geometric,” provide the weighting factor used:
iv.

What method was used to calculate VaR:
Historical simulation
Parametric

Monte Carlo simulation
Other:

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
4. LARGE POOL RISK METRICS (cont’d)
v.

Historical look-back period used, if applicable:

vi.

Under the above parameters, what was VaR for the Large Pool for each of the three months of the
Reporting Period, stated as a percent of Net Asset Value:
First Month

Second Month

Third Month

VaR:

c. For each of the market factors specified below, determine the effect that each specified change would have on
the Large Pool’s portfolio and provide the results, stated as a percent of Net Asset Value.
You may omit a response to any of the specified market factors that the Large CPO does not regularly consider
(whether in formal testing or otherwise) in the Large Pool’s risk management. If you omit any market factor,
check the box in the first column indicating that this market factor is “Not Relevant” to the Large Pool’s portfolio.
For each specified change in market factor, separate the effect on the Large Pool’s portfolio into long and short
components where (i) the long component represents the aggregate result of all positions with a positive change
in valuation under a specified change and (ii) the short component represents the aggregate result of all positions
with a negative change in valuation under a specified change.
Observe the following regarding the market factors specified below:
(i) A change in “equity prices” means that the prices of all equities move up or down by the specified change,
without regard to whether the equities are listed on any exchange or included in any index.
(ii) “Risk free interest rates” means rates of interest accruing on sovereign bonds issued by governments
having the highest credit quality, such as U.S. Treasury bonds.
(iii) A change in “credit spreads” means that all credit spreads against risk free interest rates change by the
specified amount.
(iv) A change in “currency rates” means that the value of all currencies move up or down by the specified
amount.
(v) A change in “commodity prices” means that the prices of all physical commodities move up or down by the
specified amount.

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
4. LARGE POOL RISK METRICS (cont’d)
(vi) A change in “implied options volatilities” means the implied volatilities of all the options that the Large Pool
holds increase or decrease by the specified number of percentage points; and
(vii) A change in “default rates” means that the rate at which debtors on all instruments of the specified type
increases or decreases by the specified number of percentage points.
Not
Relevant

Market Factor:
Equity Prices

Effect on long
component of portfolio

Effect on short
component of portfolio

Effect on long
component of portfolio

Effect on short
component of portfolio

Effect on long
component of portfolio

Effect on short
component of portfolio

Equity prices increase 5%
Equity prices decrease 5%
Equity prices increase 25%
Equity prices decrease 25%
Not
Relevant

Market Factor:
Risk Free Interest Rates
Risk free interest rates increase
10 bp
Risk free interest rates decrease
10 bp
Risk free interest rates increase
100 bp
Risk free interest rates decrease
100 bp

Not
Relevant

Market Factor:
Credit Spreads
Credit spreads increase 10bp
Credit spreads decrease 10 bp
Credit spreads increase 300 bp
Credit spreads decrease 300 bp

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
4. LARGE POOL RISK METRICS (cont’d)
Not
Relevant

Market Factor:
Currency Rates

Effect on long
component of portfolio

Effect on short
component of portfolio

Effect on long
component of portfolio

Effect on short
component of portfolio

Effect on long
component of portfolio

Effect on short
component of portfolio

Currency rates increase 5%
Currency rates decrease 5%
Currency rates increase 25%
Currency rates decrease 25%

Not
Relevant

Market Factor:
Commodity Prices
Commodity prices increase 10%
Commodity prices decrease 10%
Commodity prices increase 50%
Commodity prices decrease 50%

Not
Relevant

Market Factor:
Options Implied Volatility
Implied volatilities
percentage points
Implied volatilities
percentage points
Implied volatilities
percentage points
Implied volatilities
percentage points

increase 2
decrease 2
increase 50
decrease 50

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
4. LARGE POOL RISK METRICS (cont’d)
Not
Relevant

Market Factor:
Default Rates for ABS

Effect on long
component of portfolio

Effect on short
component of portfolio

Effect on long
component of portfolio

Effect on short
component of portfolio

Default rates increase 1
percentage point
Default rates decrease 1
percentage point
Default rates increase 5
percentage points
Default rates decrease 5
percentage points

Not
Relevant

Market Factor:
Default Rates for Corporate
Bonds

Default rates increase 1
percentage point
Default rates decrease 1
percentage point
Default rates increase 5
percentage points
Default rates decrease 5
percentage points

5. LARGE POOL BORROWING INFORMATION
Provide the following information concerning the value of the Large Pool’s borrowings for each of the three months
of the Reporting Period, types of creditors and the collateral posted to secure borrowings. For the purposes of this
question, “borrowings” includes both Secured Borrowings and Unsecured Borrowings.
For each type of borrowing specified below, provide the dollar amount of the Large Pool’s borrowings and the
percentage borrowed from each of the specified types of creditors. The percentages entered in each month’s
column should total 100%.

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
5. LARGE POOL BORROWING INFORMATION (cont’d)
a. Unsecured Borrowing:

First Month

Second Month

Third Month

Total Dollar amount:
Percentage borrowed from U.S. Financial
Institutions
Percentage borrowed from Non-U.S.
Financial Institutions
Percentage borrowed from creditors that are
not Financial Institutions

b. Secured Borrowing:
Classify Secured Borrowings according to the legal agreement governing the borrowing (e.g., Global Master
Repurchase Agreement for repos and Prime Brokerage Agreement for prime brokerage). Please note that for
repo borrowings, the amount should be the net amount of cash borrowed (after taking into account any initial
margin/independent amount, “haircuts” and repayments). Positions under a Global Master Repurchase
Agreement should not be netted.
i.

Via prime brokerage:

First Month

Total Dollar amount:
Value of collateral posted in the form of cash
and cash equivalents
Value of collateral posted in the form of
securities (not cash/cash equivalents)
Value of other collateral posted
Face amount of letters of credit (or similar
third party credit support) posted
Percentage of posted collateral that may be
rehypothecated
Percentage borrowed from U.S. Financial
Institutions
Percentage borrowed from Non-U.S.
Financial Institutions
Percentage borrowed from creditors that are
not Financial Institutions

Second Month

Third Month

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
5. LARGE POOL BORROWING INFORMATION (cont’d)
ii.

Via repo. For the questions concerning collateral via repo, include as collateral any assets sold in
connection with the repo as well as any variation margin.
First Month
Total Dollar amount:
Value of collateral posted in the form of cash
and cash equivalents
Value of collateral posted in the form of
securities (not cash/cash equivalents)
Value of other collateral posted
Face amount of letters of credit (or similar
third party credit support) posted
Percentage of posted collateral that may be
rehypothecated
Percentage borrowed from U.S. Financial
Institutions
Percentage borrowed from Non-U.S.
Financial Institutions
Percentage borrowed from creditors that are
not Financial Institutions

Second Month

Third Month

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
5. LARGE POOL BORROWING INFORMATION (cont’d)
iii.

Other Secured Borrowings:
First Month
Total dollar amount:
Value of collateral posted in the form of cash
and cash equivalents
Value of collateral posted in the form of
securities (not cash/cash equivalents)
Value of other collateral posted
Face amount of letters of credit (or similar
third party credit support) posted
Percentage of posted collateral that may be
rehypothecated
Percentage borrowed from U.S. Financial
Institutions
Percentage borrowed from Non-U.S.
Financial Institutions
Percentage borrowed from creditors that are
not Financial Institutions

Second Month

Third Month

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
6. LARGE POOL DERIVATIVE POSITIONS AND POSTED COLLATERAL
Provide the following information concerning the value of the Large Pool’s derivative positions and the collateral
posted to secure those positions for each of the three months of the Reporting Period. For the value of any
derivative, except options, should be its total gross notional value. The value of an option should be its delta
adjusted notional value. Do not net long and short positions.
First Month

Second Month

Third Month

Aggregate value of all derivative positions:
Value of collateral posted in the form of cash
and cash equivalents
As initial margin/independent amounts:
As variation margin:
Value of collateral posted in the form of
securities (not cash/cash equivalents)
As initial margin/independent amounts:
As variation margin:
Value of other collateral posted
As initial margin/independent amounts:
As variation margin:
Face amount of letters of credit (or similar
third party credit support) posted
Percentage of initial margin/independent
amounts that may be rehypothecated::
Percentage of variation margin that may be
rehypothecated:

7. LARGE POOL FINANCING LIQUIDITY
Provide the following information concerning the Large Pool’s financing liquidity:
a. Provide the aggregate dollar amount of cash financing drawn by or available to the Large Pool, including all
drawn and undrawn, committed and uncommitted lines of credit as well as any term financing:
b. Below, enter the percentage of cash financing (as stated in response to question 7.a.) that is contractually
committed to the Large Pool by its creditor(s) for the specified periods of time. Amounts of financing should be
divided among the specified periods of time in accordance with the longest period for which the creditor is
contractually committed to providing such financing. For purposes of this question, if a creditor (or syndicate or
administrative/collateral agent) is permitted to vary unilaterally the economic terms of the financing or to revalue
50

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Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
7. LARGE POOL FINANCING LIQUIDITY (cont’d)
posted collateral in its own discretion and demand additional collateral, then the line of credit should be deemed
uncommitted.
Percentage of Total
Financing:
1 day or less:
2 days – 7 days:
8 days – 30 days:
31 days – 90 days:
91 days – 180 days:
181 days – 364 days:
365 days or longer:

8. LARGE POOL PARTICIPANT INFORMATION
Provide the following information concerning the Large Pool’s participants:
a. As of the Reporting Date, what percentage of the Large Pool’s Net Asset Value:
Percentage of Large
Pool’s NAV
Is subject to a “side pocket” arrangement:
May be subject to a suspension of participant withdrawal or
redemption
by the Large CPO or other governing body:
May be subject to material restrictions of participant withdrawal or
redemption by the Large CPO or other governing body:
Is subject to a daily margin requirement:

b. For within the specified periods of time below, enter the percentage of the Large Pool’s Net Asset Value that
could have been withdrawn or redeemed by the Large Pool’s participants as of the Reporting Date. The Large
Pool’s Net Asset Value should be divided among the specified periods of time in accordance with the shortest
period within which participant assets could be withdrawn or redeemed. Assume that you would impose gates
where applicable but that you would not completely suspend withdrawals or redemptions and that there are no
redemption fees. Base your answers on the valuation date rather than the date on which proceeds are paid to
the participant(s). The percentages entered below should total 100%.

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
8. LARGE POOL PARTICIPANT INFORMATION (cont’d)
Percentage of Total
Financing:
1 day or less:
2 days – 7 days:
8 days – 30 days:
31 days – 90 days:
91 days – 180 days:
181 days – 364 days:
365 days or longer:

9. DURATION OF LARGE POOL’S FIXED INCOME ASSETS
Provide the duration for each fixed income investment reported by the Large Pool in Schedule A. For purposes of
this question, “duration” means the weighted average maturity of a portfolio comprised of the specified fixed income
assets, where the weights are the relative discounted cash flows in each period.
DURATION OF FIXED INCOME INVESTMENTS

Duration (Long Pos.) Duration (Short Pos.)

FIXED INCOME

Long

Total Fixed Income
Notes, Bonds and Bills
a. Corporate
I.

Investment grade

II.

Non-investment grade

b. Municipal
c. Government
I.

U.S. Treasury securities

II.

Agency securities

III.

Foreign (G10 countries)

IV.

Foreign (all other)

d. Govn’t Sponsored

Short

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS

Duration (Long Pos.) Duration (Short Pos.)

e. Convertible
I.

Investment grade

II.

Non-investment grade

Certificates of Deposit
a. U.S.
b. Foreign
Asset Backed Securities
a. Mortgage Backed Securities
I.

Commercial Securitizations
Senior or higher
Mezzanine
Junior/Equity

Commercial Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

II.

Residential Securitizations
Senior or higher
Mezzanine
Junior/Equity

III.

Residential Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

IV.

Agency Securitizations
Senior or higher
Mezzanine
Junior/Equity

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS
Asset Backed Securities
a. Mortgage Backed Securities (cont’d)
V.

Duration (Long Pos.) Duration (Short Pos.)

Agency Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Credit Card Securitizations
Senior or higher
Mezzanine
Junior/Equity

g. Credit Card Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Form CPO-PQR Template · Schedule C
PART 2 · INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs (cont’d)
DURATION OF FIXED INCOME INVESTMENTS
Asset Backed Securities

Duration (Long Pos.) Duration (Short Pos.)

h. Auto-Loan Securitizations
Senior or higher
Mezzanine
Junior/Equity
i.

Auto-Loan Resecuritizations
Senior or higher
Mezzanine
Junior/Equity

Other
Senior or higher
Mezzanine
Junior/Equity

10. MISCELLANEOUS
In the space below, provide explanations to clarify any assumptions that you made in responding to any question
in Schedule C of this Form CPO-PQR. Assumptions must be in addition to, or reasonably follow from, any
instructions or other guidance provided in, or in connection with, Schedule C of this Form CPO-PQR. If you are
aware of any instructions or other guidance that may require a different assumption, provide a citation and explain
why that assumption is not appropriate for this purpose.
Question Number

Explanation

– This Completes Schedule C of Form CPO-PQR –

TEMPLATE: DO NOT SEND TO NFA
COMMODITY FUTURES TRADING COMMISSION
NATIONAL FUTURES ASSOCIATION
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS

Form CPO-PQR Template · Oath
OATH
BY FILING THIS REPORT, THE UNDERSIGNED AGREES THAT THE ANSWERS AND INFORMATION
PROVIDED HEREIN are complete and accurate, and are not misleading in any material respect to the best of the
undersigned’s knowledge and belief. Furthermore, by filing this Form CPO-PQR, the undersigned agrees that he or
she knows that it is unlawful to sign this Form CPO-PQR if he or she knows or should know that any of the answers
and information provided herein is not accurate and complete.
Name of the individual signing this Form CPO-PQR on behalf of the CPO:
Capacity in which the above is signing on behalf of the CPO:

File Type	application/pdf
File Title	Microsoft Word - DRAFT_Form CPO-PQR_2011 01-13 _Smooth_.docx
Author	aolear
File Modified	2011-01-26
File Created	2011-01-26