Form CPO-PQR

TEMPLATE: DO NOT SEND TO NFA

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.

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.

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.

REPORTING INSTRUCTIONS

1. All CPOs Are Required to Complete and File the Form CPO-PQR

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. If a pool is operated by Co-CPOs, the CPO with the higher total AUM, aggregated across all pools operated by the CPO should report for that Pool. Further, if a pool is operated by Co-CPOs and one of them is an Investment Adviser, the non-Investment Adviser CPO must file relevant section(s) even though a Form PF was filed for that pool by the Investment Adviser CPO.

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. Large CPOs must complete and file a Schedule A within 60 days of the close of the most recent Reporting Period during which they satisfied the definition of Large CPO. All other CPOs must complete and file a Schedule A within 90 days of the close of the calendar year. The information provided herein should be as of the last business day of the reporting period.

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 Pools, including questions about the Pool’s key relationship and about the Pool’s investment positions.

Substituted Compliance for Schedules B and C

To the extent that a CPO is a dual registrant and is required to file Form PF with the SEC, then it may elect to file Form PF for all pools it, or any related person as defined for purposes of Form PF, may operate.

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 60 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.

Schedule B Substitution

Any Mid-Sized CPO or Large CPO that is: (i) 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.

2. Only Certain Schedules of this Form CPO-PQR Are Required of Certain CPOs (cont’d)

Further, to the extent that any Mid-Sized CPO or Large CPO is: (i) 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, and does NOT elect to file Form PF under the substituted compliance provisions of Form PF, they 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 within 60 days of the close of the most recent 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.

Schedule C Substitution

Any Large CPO that is: (i) 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.

Further, to the extent that any Large CPO is: (i) 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 and does NOT elect to file Form PF under the substituted compliance provisions of Form PF, they 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. 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: (i) aggregate all Parallel Pool Structures, Parallel Managed Accounts and Master Feeder Arrangements; and (ii) 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: (i) aggregate all Pools that are part of the same Parallel Fund Structure or Master-Feeder Arrangement; (ii) aggregate any Parallel Managed Accounts with the largest Pool to which that Parallel Managed Account relates; and (iii) 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. I advise a Pool that invests in other Pools or funds (e.g., a “fund of funds”). How should I treat these investments for purposes of Form CPO-PQR?

Investments in other Pools generally. For purposes of this Form CPO-PQR, you may disregard any Pool’s equity investments in other Pools. However, if you disregard these investments, you must do so consistently (e.g., do not include disregarded investments in the net asset value used for determining whether the fund is a “Qualifying Pool”). For Schedule A, Question 11, even if you disregard these assets, you may report the performance of the entire Pool and are not required to recalculate performance in order to exclude these investments. Do not disregard any liabilities, even if incurred in connection with these investments.

Pools that invest substantially all of their assets in other Pools or funds. If you are the CPO for a Pool that: (i) invests substantially all of its assets in the equity of Pools or Private Funds for which you are not the CPO; and (ii) aside from such Pool or Private Fund investments, holds only cash and cash equivalents and instruments acquired for the purpose of hedging currency exposure, then you are only required to complete Schedule A for that Pool. For all other purposes, you should disregard such Pools. For example, where questions request aggregate information regarding the Pools you advise, do not include the assets or liabilities of any such Pool.

Notwithstanding the foregoing, you must include disregarded assets in responding to Schedule A, Question 0).

5. I am required to aggregate funds or accounts to determine whether I meet a reporting threshold, or I am electing to aggregate funds for reporting purposes. How do I “aggregate” funds or accounts for these purposes?

Where two or more Parallel Pool Structures or Master-Feeder Arrangements are aggregated in accordance with Instruction 3, you must treat the aggregated funds as if they were all one Pool. Investments that a Feeder Fund makes in a Master Fund should be disregarded, but other investments of the feeder fund should be treated as though they were investments of the aggregated fund.

Where you are aggregating dependent parallel managed accounts to determine whether you meet a reporting threshold, assets held in the accounts should be treated as assets of the Pools with which they are aggregated.

Example 1.

You advise a master-feeder arrangement with one feeder fund. The feeder fund has invested $500 in the master fund and holds a foreign exchange derivative with a notional value of $100. The master fund has used the $500 received from the feeder fund to invest in corporate bonds. Neither fund has any other assets or liabilities. For purposes of determining whether the funds comprise a qualifying Pool, this master-feeder arrangement should be treated as a single Pool whose only investments are $500 in corporate bonds and a foreign exchange derivative with a notional value of $100. If you elect to aggregate the master-feeder arrangement for reporting purposes, the treatment would be the same.

Example 2.

You advise a parallel pool structure consisting of two pools, named parallel pool A and parallel pool B. You also advise a related dependent parallel managed account. The account and each fund have invested in corporate bonds of Company X and have no other assets or liabilities. The value of parallel pool A’s investment is $400, the value of parallel pool B’s investment is $300 and the value of the account’s investment is $200. For purposes of determining whether either of the parallel pools is a qualifying Pool, the entire parallel fund structure and the related dependent parallel managed account should be treated as a single Pool whose only asset is $900 of corporate bonds issued by Company X. If you elect to aggregate the parallel fund structure for reporting purposes, you would disregard the dependent parallel managed account, so the result would be a single Pool whose only asset is $700 of corporate bonds issued by Company X.

6. I advise a Pool that invests in entities that are not Pools, or are exempt. How should I treat these investments for purposes of Form CPO-PQR?

Except as provided in Instruction 4, investments in funds should be included for all purposes under this Form CPO-PQR. You are not, however, required to “look through” a Pool’s investments in any other entity unless the Form CPO-PQR specifically requests information regarding that entity or the other entity’s primary purpose is to hold assets or incur leverage as part of the Pool’s investment activities.

7. 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.

8. 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.

9. Use of U.S. GAAP

All financial information in this Report must be presented and computed in accordance with GAAP consistently applied.

10. 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 Form CPO-PQR is not accurate and complete.

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, but not limited to: 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; (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 Form PF.

GAAP: The term “GAAP” means U.S. 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 $1.5 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.

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) for Large CPOs and the calendar year end for all other CPOs.

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.

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:

h. Telephone number and email for person identified in c. above

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:

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. If the Pool is operated by Co-CPOs the name of the other CPOs

d. Under the laws of what state or country is the Pool organized:

e. On what date does the Pool’s fiscal year end:

f. Is this Pool a Private Fund? Yes  No 

g. List the English name of each Foreign Financial Regulatory Authority and the country with which the Pool is

registered:

Foreign Financial Regulatory Authority Country

h. Is this a Master Fund in a Master-Feeder Arrangement? Yes  No 

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

Feeder Fund NFA ID#

i. Is this a Feeder Fund in a Master-Feeder Arrangement? Yes  No 

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

Master Fund NFA ID#

j. If this Pool invests in other Pools, a) what is the maximum number of investee pool tiers?

i. What is the value of this Pool’s investments in equity of other Pools or private funds?

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  No 

If “Yes,” provide the following information for each third party administrator:

1. Name of the administrator:

2. NFA ID# of administrator:

   

3. Address of the administrator:

   

4. Telephone number of the administrator:

5. Starting date of the relationship with the administrator:

6. Services performed by the administrator:

Preparation of Pool financial statements: 

Calculation of Pool’s performance: 

Maintenance of the Pool’s books and records: 

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  No 

If “Yes,” provide the following information for each Broker:

1. Name of the Broker:

2. NFA ID# of Broker:

   

3. Address of Broker

   

4. Telephone number of the Broker:

   

5. Starting date of the relationship with the Broker:

6. Services performed by the Broker:

Clearing services for the Pool: 

Prime brokerage services for the Pool: 

Custodian services for some or all Pool assets: 

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

Management? Yes  No 

If “Yes,” provide the following information for each Trading Manager:

1. Name of the Trading Manager:

2. NFA ID# of the Trading Manager:

   

3. Address of the Trading Manager:

   

4. Telephone number of the Trading Manager:

   

5. Starting date of the relationship with the Trading Manager:

   

6. 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  No 

If “Yes,” provide the following information for each custodian:

1. Name of the custodian:

2. NFA ID# of the custodian:

   

3. Address of the custodian:

   

4. Telephone number of the custodian:

   

5. Starting date of the relationship with the custodian:

   

6. 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  No 

If “Yes,” provide the following information:

1. Is the audit conducted in accordance with GAAP? Yes  No 

2. Name of the auditing firm:

   

3. Address of the auditing firm:

   

4. Telephone number of the auditing firm:

   

5. Starting date of the relationship with the auditing firm:

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

Yes  No 

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  No 

If “Yes,” provide the following information for each marketing firm:

1. Name of the marketing firm:

   

2. Address of the marketing firm:

3. Telephone number of the marketing firm:

   

4. Starting date of the relationship with the marketing firm:

5. 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:

1. 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 Commission Rule 4.25(a)(7)(A).

2. The additions to the Pool include all additions whether voluntary or involuntary in accordance with Commission Rule 4.25(a)(7)(B).

3. The withdrawals and redemptions from the Pool include all withdrawals or redemptions whether voluntary or not, in accordance with Commission Rule 4.25(a)(7)(C).

4. 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 Commission Rule 4.25(a)(7)(E).

1. Pool’s Assets Under Management at the beginning of the Reporting Period:

   

2. Pool’s Net Asset Value at the beginning of the Reporting Period:

   

3. Pool’s net income during the Reporting Period:

   

4. Additions to the Pool during the Reporting Period:

   

5. Withdrawals and Redemptions from the Pool during the Reporting Period:

   

6. Pool’s Assets Under Management on the Reporting Date:

7. Pool’s Net Asset Value on the Reporting Date:

   

8. Pool’s base currency:

11. POOL’S MONTHLY RATES OF 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 Commission Rule 4.25(a)(7)(F). Provide the Pool’s annual rate of return for the appropriate year in the row marked “Annual.”

	2011	2010	2009	2008	2007	2006	2005
Jan.
Feb.
March
April
May
June
July
August
Sept.
Oct.
Nov.
Dec.
ANNUAL

12. POOL SUBSCRIPTIONS AND REDEMPTIONS

Provide the following information concerning subscriptions to and redemptions from the Pool during the Reporting Period.

1. Total Pool subscriptions by participants during the Reporting Period:

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  No 

If “Yes,” provide the following information:

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

%

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

d. Provide the following information regarding the Pool’s restrictions on participant withdrawals and redemptions.

(For Questions iv. and v., please note that the standards for imposing suspensions and restrictions on withdrawals/redemptions may vary among funds. Make a good faith determination of the provisions that would likely be triggered during conditions that you view as significant market stress.)

i. Does the reporting fund provide participants with withdrawal/redemption rights in the ordinary course?

Yes No

(If you responded “yes” to Question 12(d)(i), then you must respond to Questions 12(d)(ii)-(v).)

As of the data reporting date, what percentage of the Pool’s net asset value, if any:

2. May be subjected to a suspension of participant withdrawals/redemptions CPO (this question relates to a CPO’s right to suspend and not just whether a suspension is currently effective)

   

3. May be subjected to material restrictions on participant withdrawals/ redemptions (e.g., “gates”) CPO (this question relates to a CPO’s right to impose a restriction and not just whether a restriction has been imposed)

   

4. Is subject to a suspension of participant withdrawals/redemptions (this question relates to whether a suspension is currently effective and not just a CPO’s

right to suspend)

2. Is subject to a material restriction on participant withdrawals/redemptions (e.g., a “gate”) (this question relates to whether a restriction has been imposed and not just a CPO’s right to impose a restriction)

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

Yes No

If “Yes,” provide the following information:

1. On what date was the halt or material limitation imposed?

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

3. 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?

4. On what date(s) was this disclosure provided?

5. 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 –

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 Reporting Period 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 quarterly by Large CPOs. Large CPOs must complete and file a Schedule B within 60 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, if not filing Form PF with the SEC in lieu thereof.

DETAILED INFORMATION ABOUT THE POOLS OPERATED BY MID-SIZED CPOs AND LARGE CPOs

1. POOL INFORMATION

Provide the following general information concerning the Pool:

a. Pool’s name:

b. Pool’s NFA ID#:

c. Does the Pool have a single primary investment strategy or multiple strategies?

 Single Primary Strategy

 Multiple Strategies

d. Indicate which of the investment strategies below best describe the reporting fund’s strategies. For each strategy that you have selected, provide a good faith estimate of the percentage of the reporting fund’s net asset value represented by that strategy. If, in your view, the reporting fund’s allocation among strategies is appropriately represented by the percentage of deployed capital, you may also provide that information. (Select the investment strategies that best describe the reporting fund’s strategies, even if the descriptions below do not precisely match your characterization of those strategies; select “other” only if a strategy that the reporting fund uses is significantly different from any of the strategies identified below. You may refer to the reporting fund’s use of these strategies as of the data reporting date or throughout the reporting period, but you must report using the same basis in future filings.) (The strategies listed below are mutually exclusive (i.e., do not report the same assets under multiple strategies). If providing percentages of capital, the total should add up to approximately 100%.)
	Strategy	% of NAV (required)	% of capital (optional)
	Equity, Market Neutral
	Equity, Long/Short
	Equity, Short Bias
	Equity, Fundamental
	Macro, Active Trading (high frequency trading)
	Macro, Commodity
	Macro, Currency
	Macro, Global Macro
	Relative Value, Fixed Income Asset Backed
	Relative Value, Fixed Income Convertible Arbitrage
	Relative Value, Fixed Income Corporate
	Relative Value, Fixed Income Sovereign
	Relative Value, Volatility
	Event Driven, Activist
	Event Driven, Distressed/Restructuring
	Event Driven, Risk Arbitrage/Merger Arbitrage
	Event Driven, Equity Special Situations
	Event Driven, Private Issue/Reg D
	Credit, Fundamental
	Managed Futures/CTA
	Quantitative
	Investment in other funds
	Other:

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%

 1-10%

 11-25%

 26-50%

 51-75%

 76-99%

 100%

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:

1. Total number of participants in the Pool:

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

g. During the reporting period, approximately what percentage of the Pool’s net asset value was managed using high-frequency trading strategies?

(In your response, please do not include strategies using algorithms solely for trade execution. This question concerns strategies that are substantially computer-driven, where decisions to place bids or offers, and to buy or sell, are primarily based on algorithmic responses to intraday price action in equities, futures and options, and where the total number of shares or contracts traded throughout the day is generally significantly larger than the net change in position from one day to the next.)

 0%  less than 10%

 10-25%  26-50%

 51-75%  76-99%

 100% or more

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.b., 2.c., 2.d. and 2.e. should total 100%:

1. Total Borrowings (dollar amount):

2. Percentage borrowed from U.S. Financial Institutions:

3. Percentage borrowed from non-U.S. Financial Institutions:

4. Percentage borrowed from U.S. creditors that are not Financial Institutions:

5. Percentage borrowed from non-U.S. creditors that are not Financial Institutions:

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.

1. Provide the Pool’s aggregate net counterparty credit exposure, measured in dollars:

Identify the five counterparties to which the reporting fund has the greatest mark-to-market net counterparty credit exposure, measured as a percentage of the reporting fund’s net asset value. (For purposes of this question, you should treat affiliated entities as a single group to the extent exposures may be contractually or legally set-off or netted across those entities and/or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another. CCPs should not be regarded as counterparties for purposes of this question.) (In your response, you should take into account: (i) mark-to-market gains and losses on derivatives; and (ii) any loans or loan commitments.) (However, you should not take into account: (i) margin posted by the counterparty; or (ii) holdings of debt or equity securities issued by the counterparty.)
		Legal name of the counterparty (or, if multiple affiliated entities, counterparties)	Indicate below if the counterparty is affiliated with a major financial institution		Exposure (% of reporting fund’s net asset value)
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]

Identify the five counterparties that have the greatest mark-to-market net counterparty credit exposure to the reporting fund, measured in U.S. dollars. (For purposes of this question, you should treat affiliated entities as a single group to the extent exposures may be contractually or legally set-off or netted across those entities and/or one affiliate guarantees or may otherwise be obligated to satisfy the obligations of another. CCPs should not be regarded as counterparties for purposes of this question.) (In your response, you should take into account: (i) mark-to-market gains and losses on derivatives; and (ii) any loans or loan commitments.) (However, you should not take into account: (i) margin posted to the counterparty; or (ii) holdings of debt or equity securities issued by the counterparty.)

		Legal name of the counterparty (or, if multiple affiliated entities, counterparties)	Indicate below if the counterparty is affiliated with a major financial institution		Exposure (in U.S. dollars)
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]
			[repeat drop-down list of creditor/counterparty names] Other: [Not applicable]

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:

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 of 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-the-Counter
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		Transacted Bilaterally
Credit derivatives:
Interest rate derivatives:
Commodity derivatives:
Equity derivatives:
Foreign exchange derivatives:
Asset backed securities derivatives:
Other derivatives:

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-the-Counter
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 DERIVATIVE 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:

6. 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 Long Short

Total Listed Equities

Stocks

1. Energy and Utilities

   

2. Technology

   

3. Media

   

4. Telecommunication

   

5. Healthcare

   

6. Consumer Services

   

7. Business Services

   

8. Issued by Financial Institutions

   

9. Consumer Goods

   

10. Industrial Materials

Exchange Traded Funds

American Deposit Receipts

Other

Total Unlisted Equities

Unlisted Equities Issued by Financial Institutions

ALTERNATIVE INVESTMENTS Long Short

Total Alternative Investments

Real Estate

1. Commercial

   

2. Residential

Private Equity

Venture Capital

Forex

Spot

1. Total Metals

   

   1. Gold

   

2. Total Energy

   

   1. Crude oil

      

   2. Natural gas

      

   3. Power

   

3. Other

Loans to Affiliates

Promissory Notes

Physicals

1. Total Metals

   

   1. Gold

2. Agriculture

   

3. Total Energy

1. Crude oil

   

2. Natural gas

   

3. Power

Other

FIXED INCOME Long Short

Total Fixed Income

Notes, Bonds and Bills

1. Corporate

   

   1. Investment grade

      

   2. Non-investment grade

2. Municipal

   

3. Government

   

   1. U.S. Treasury securities

      

   2. Agency securities

      

   3. Foreign (G10 countries)

      

   4. Foreign (all other)

   

4. Gov’t Sponsored

   

5. Convertible

   

   1. Investment grade

   2. Non-investment grade

Certificates of Deposit

1. U.S.

   

2. Foreign

Asset Backed Securities

1. Mortgage Backed Securities

   

   1. Commercial Securitizations

1. Senior or higher

   

2. Mezzanine

3. Junior/Equity

2. Commercial Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

3. Residential Securitizations

1. Senior or higher

   

2. Mezzanine

3. Junior/Equity

4. Residential Resecuritizations

1. Senior or higher

   

2. Mezzanine

3. Junior/Equity

5. Agency Securitizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

6. Agency Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

2. CDO Securitizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

3. CDO Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

4. CLOs Securitizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

5. CLO Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

6. Credit Card Securitizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

7. Credit Card Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

8. Auto-Loan Securitizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

9. Auto-Loan Resecuritizations

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

10. Other

1. Senior or higher

   

2. Mezzanine

   

3. Junior/Equity

Repos

Reverse Repos

DERIVATIVES Positive OTE Negative OTE

Total Derivatives

Futures

1. Indices

   

   1. Equity

      

   2. Commodity

   

2. Metals

   

   1. Gold

   

3. Agriculture

   

4. Energy

   

   1. Crude oil

   2. Natural gas

      

   3. Power

   

5. Interest Rate

6. Currency

   

7. Related to Financial Institutions

   

8. Other

Forwards

Swaps

1. Interest Rate Swap

   

2. Equity/Index Swap

   

3. Dividend Swap

   

4. Currency Swap

   

5. Variance Swap

   

6. Credit Default Swap

   

   1. Single name CDS

      

      1. Related to Financial Institutions

      

   2. Index CDS

      

   3. Exotic CDS

   

7. OTC Swap

   

   1. Related to Financial Institutions

   

8. Total Return Swap

9. Other

OPTIONS Long Option Value Short Option Value

Total Options

Futures

1. Indices

   

   1. Equity

      

   2. Commodity

   

2. Metals

   

   1. Gold

   

3. Agriculture

   

4. Energy

   

   1. Crude oil

      

   2. Natural Gas

      

   3. Power

   

5. Interest Rate

   

6. Currency

   

7. Related to Financial Institutions

   

8. Other

Stocks

1. Related to Financial Institutions

Customized/OTC

Physicals

1. Metals

   

   1. Gold

   

2. Agriculture

   

3. Currency

   

4. Energy

   

   1. Crude oil

      

   2. Natural gas

      

   3. Power

   

5. Other

FUNDS Long

Total Funds

Mutual Fund

1. U.S.

   

2. Foreign

NFA Listed Fund

Hedge Fund

Equity Fund

Money Market Fund

Private Equity Fund

REIT

Other Private funds

Funds and accounts other than private funds (i.e., the remainder

of your assets under management)

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)

7. 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 –

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 is: (i) 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 is: (i) 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 may choose to file the relevant sections of Form PF with respect to those funds. For Large CPOs that do not choose to file Form PF for Pools that are not Private Funds, 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 each 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 Form PF filing 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 Form PF for the Private Funds it operated during this Reporting Period, and who is choosing to file Part 1 of Schedule C for Pools that are not Private Funds, must 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, and who is choosing to file Part 2 of Schedule C for Pools that are not Private Funds, 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.

1. GEOGRAPHICAL BREAKDOWN OF POOLS’ INVESTMENTS

1. 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%.

(i) Africa
(ii) Asia and Pacific (other than the Middle East)
(iii) Europe (EEA)
(iv) Europe (other than EEA)
(v) Middle East
(vi) North America
(vii) South America
(viii) Supranational
b. Provide the value of investments in the following countries held by the hedge funds that you advise (by percentage of the total net asset value of these hedge funds). (Exclude interest rate derivatives and foreign exchange derivatives from both the numerator and denominator.)
Country	% of NAV
(i) Brazil
(ii) China (including Hong Kong)
(iii) India
(iv) Japan
(v) Russia
(vi) United States

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 the 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.

1. 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).

2. 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

3. “Purchases” include any cash paid upon the conversion of one asset into another and the costs of rights or warrants.

4. “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.

5. 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.

6. 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:

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. If the Pool has a Co-CPO, or Co-CPOs provide the name of CPO reporting the Pool’s information:

d. 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:

e. 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 – 365 days:
longer than 365 days:

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.

1. Provide the following values of the collateral posted to the Large Pool:

			Initial Margin/ Independent Amounts		Variation Margin
Value of collateral posted in the form of cash and cash equivalents:
Value of collateral posted in the form of securities (other than cash /cash equivalents):
Value of all other collateral posted:

2. 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:

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

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.

1. Provide the following values of the collateral posted by the Large Pool to the counterparty:

			Initial Margin/ Independent Amounts		Variation Margin
Value of collateral posted in the form of cash and cash equivalents:
Value of collateral posted in the form of securities (other than cash /cash equivalents):
Value of all other collateral posted:

2. 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:

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

c. Did the pool clear any transactions through a CCP during the reporting period?

 Yes  No

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.

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

2. What time horizon was used (in number of days):

3. What weighting method was used:

 None

 Exponential

 Other:

If “exponential” provide the weighting factor used:

4. What method was used to calculate VaR:

 Historical simulation

 Parametric

 Monte Carlo simulation

 Other

5. Historical look-back period used, if applicable:

6. 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. Are there any risk metrics other than (or in addition to) VaR that you consider to be important to the reporting fund’s risk management?

(If none, “None.”)

d. 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:

1. 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.

2. “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.

3. A change in “credit spreads” means that all credit spreads against risk free interest rates change by the specified amount.

4. A change in “currency rates” means that the value of all currencies move up or down by the specified amount.

5. A change in “commodity prices” means that the prices of all physical commodities move up or down by the specified amount.

6. 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

7. 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	Relevant/not formally tested	Market Factor: Equity Prices		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Equity prices increase 5%
		Equity prices decrease 5%
		Equity prices increase 20%
		Equity prices decrease 20%

Not Relevant	Relevant/not formally tested	Market Factor: Risk Free Interest Rates		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Risk free interest rates increase 25 bp
		Risk free interest rates decrease 25 bp
		Risk free interest rates increase 75 bp
		Risk free interest rates decrease 75 bp

Not Relevant	Relevant/not formally tested	Market Factor: Credit Spreads		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Credit spreads increase 50bp
		Credit spreads decrease 50 bp
		Credit spreads increase 250 bp
		Credit spreads decrease 250 bp

Not Relevant	Relevant/not formally tested	Market Factor: Currency Rates		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Currency rates increase 5%
		Currency rates decrease 5%
		Currency rates increase 20%
		Currency rates decrease 20%

Not Relevant	Relevant/not formally tested	Market Factor: Commodity Prices		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Commodity prices increase 10%
		Commodity prices decrease 10%
		Commodity prices increase 40%
		Commodity prices decrease 40%

Not Relevant	Relevant/not formally tested	Market Factor: Options Implied Volatility		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		Implied volatilities increase 4 percentage points
		Implied volatilities decrease 4 percentage points
		Implied volatilities increase 10 percentage points
		Implied volatilities decrease 10 percentage points

Not Relevant	Relevant/not formally tested	Market Factor: Default Rates for ABS		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		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	Relevant/not formally tested	Market Factor: Default Rates for Corporate Bonds		Effect on long component of portfolio (as % of NAV)		Effect on short component of portfolio (as % of NAV)
	
		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%.

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 non- U.S, creditors that are not Financial Institutions
	Percentage borrowed from U.S 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.

1. Via prime brokerage:

				First Month		Second Month		Third 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

2. 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		Second Month		Third 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

3. Other Secured Borrowings:

				First Month		Second Month		Third 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

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:

1. 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:

2. 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 unilaterally vary the economic terms of the financing or to revalue 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:

1. 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:

2. 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%.

		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 – 365 days:
365 days or longer:

9. DURATION OF LARGE POOL’S FIXED INCOME ASSETS

Reporting fund exposures. (Give a dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Enter “NA” in each space for which there are no relevant positions.) (Include any closed out and OTC forward positions that have not yet expired/matured. Do not net positions within sub-asset classes. Positions held in side-pockets should be included as positions of the hedge funds. Provide the absolute value of short positions. Each position should only be included in a single sub-asset class.) (Where “duration/WAT/10-year eq.” is required, provide at least one of the following with respect to the position and indicate which measure is being used: bond duration, weighted average tenor or 10-year bond equivalent. Duration and weighted average tenor should be entered in terms of years to two decimal places.)
	1st Month		2nd Month			3rd Month
	LV	SV	LV		SV	LV	SV
Listed equity
Issued by financial institutions
Other listed equity
Unlisted equity
Issued by financial institutions
Other unlisted equity
Listed equity derivatives
Related to financial institutions
Other listed equity derivatives
Derivative exposures to unlisted equities
Related to financial institutions
Other derivative exposures to unlisted equities
Corporate bonds issued by financial institutions (other than convertible bonds)
Investment grade
Duration WAT 10-year eq.
Non-investment grade
Duration WAT 10-year eq.
Corporate bonds not issued by financial institutions (other than convertible bonds)
Investment grade
Duration WAT 10-year eq.
Non-investment grade
Duration WAT 10-year eq.
Convertible bonds issued by financial institutions
Investment grade
Duration WAT 10-year eq.
Non-investment grade
Duration WAT 10-year eq.
Convertible bonds not issued by financial institutions
Investment grade
Duration WAT 10-year eq.
Non-investment grade
Duration WAT 10-year eq.
Sovereign bonds and municipal bonds
U.S. treasury securities
Duration WAT 10-year eq.
Agency securities
Duration WAT 10-year eq.
GSE bonds
Duration WAT 10-year eq.
Sovereign bonds issued by G10 countries other than the U.S.
Duration WAT 10-year eq.
Other sovereign bonds (including supranational bonds)
Duration WAT 10-year eq.
U.S. state and local bonds
Duration WAT 10-year eq.
Loans
Leveraged loans
Duration WAT 10-year eq.
Other loans (not including repos)
Duration WAT 10-year eq.
Repos
Duration WAT 10-year eq.
ABS/structured products
MBS
Duration WAT 10-year eq.
ABCP
Duration WAT 10-year eq.
CDO/CLO
Duration WAT 10-year eq.
Other ABS
Duration WAT 10-year eq.
Other structured products
Credit derivatives
Single name CDS
Index CDS
Exotic CDS
Foreign exchange derivatives (investment)
Foreign exchange derivatives (hedging)
Non-U.S. currency holdings
Interest rate derivatives
Commodities (derivatives)
Crude oil
Natural gas
Gold
Power
Other commodities
Commodities (physical)
Crude oil
Natural gas
Gold
Power
Other commodities
Other derivatives
Physical real estate
Investments in internal private funds
Investments in external private funds
Investments in registered investment companies
Cash and cash equivalents
Certificates of deposit
Duration WAT 10-year eq.
Other deposits
Money market funds
Other cash and cash equivalents (excluding government securities)
Investments in funds for cash management purposes (other than money market funds)
Investments in other sub-asset classes

10. 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 C of Form CPO-PQR –

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:

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