In NFA Notice to Members I-14-15, NFA issued an update concerning further revisions to Form CPO-PQR and Form CTA-PR based on comments from its members. The revised forms became effective for the period ending June 30, 2014. The primary changes to each form are outlined below:

Changes to Form CPO-PQR

NFA added further guidance concerning how to calculate the CPO's (a) total assets under management and (b) total net assets under management (boxes 0250 and 0255).

  • As for both calculations, the balance should include all commodity pools operated by the CPO as of the reporting date for which the CPO is required to be registered.
  • In addition, the CPO should report only actual pool assets and should not include the notional value of any pools that have been allocated to sub-advisors for trading.

The revised form also added new "Supplemental Firm Information" questions concerning the CPO's investments in futures and swaps, and asks if the CPO is also an investment adviser registered with the SEC.

Under this new section, the form asks for the total net assets under management of all commodity pools operated by the CPO (box 0030).

  • For this balance, the CPO should include all commodity pools operated by the CPO, including those pools that operate pursuant to an exemption or exclusion under CFTC Rule 4.13 or 4.5.
  • The CPO should also only include the actual pool assets and not the notional value of any pools that have been allocated to sub-advisors for trading.

The new form also asks for the approximate percentage of total net assets under management that were allocated to futures, swaps, excess collateral cash allocated to futures and swaps, and other investments and cash (boxes 0025-0028):

  • When reporting the approximate percentage in each of these categories, the CPO is asked to provide a reasonable good-faith estimate.
  • A CPO that is also registered as a CTA is asked to exclude any assets attributed to separately managed or parallel managed accounts for which it already reports on the Form CTA-PR.
  • Where collateral/margin is required but has not been posted as of the reporting date, the CPO should include the required collateral/margin in the appropriate investment category.

Changes to Form CTA-PR

The Form CTA-PR was amended, in part, to define the following terms, and provide guidance regarding their use in the form:

  • "CTA" is defined in Section 1a(12) of the CEA.
  • "Trading Program" is defined in CFTC Rule 4.10(g), wherein a person (1) directs a client's commodity interest account or (2) guides the client's commodity interest trading by means of a systematic program that recommends specific transactions.
  • "Direct" is defined in CFTC Rule 4.10(f) (namely where a person is authorized to cause transactions to be effected for a client's commodity account without the client's specific authorization), and excludes any programs that consist solely of accounts for which registration is not required.

The revised form provides guidance for calculating the total number of "Trading Programs" offered by the CTA (box 0013):

  • For this calculation, the CTA should use the above definition of "Trading Programs."
  • For this calculation, the figure should include only trading programs for which the CTA is registered or is required to be registered.
  • The CTA should exclude any programs that consist solely of accounts for which registration is not required.

The revised form provides guidance for calculating the total number of "Trading Programs" offered by the CTA under which the CTA "Directs" pool assets (box 0014):

  • For this figure, the CTA should use the above definition of "Direct."
  • The CTA should also exclude any programs that consist solely of pools for which the CPO is not required to be registered.

The revised form also provides guidance in calculating the total assets "Directed" by the CTA (box 0015):

  • This figure should reflect the total nominal value of all assets "Directed" by the CTA in programs for which the CTA is registered or required to be registered.
  • The figure should exclude, however, any assets that are attributable to pools for which the CPO is not required to be registered.
  • The figure should exclude any pool assets attributed to commodity pools that the CTA operates as a CPO and already reports on the Form CPO-PQR.

The carrying broker questions (boxes 0101 and 0100) were amended to request the names and NFA identification number of each futures commission merchant, forex dealer member and retail foreign exchange dealer that carries the CTA's client accounts, which could result in a large number of such firms being listed.

The new "Supplemental Information" questions (boxes 0030 and 0025-0028) ask about the CTA's investments in futures and swaps and request a breakdown of the CTA's various investment allocations in each category:

  • When reporting the approximate percentage in each of the categories, the CTA is asked to provide a reasonable good-faith estimate.
  • If the CTA is also registered as a CPO, it should exclude any pool assets that are attributed to the CPO and that are reported on the Form CPO-PQR.
  • Where collateral/margin is required but has not been posted as of the reporting date, the CTA should include the required collateral/margin in the appropriate investment category.
  • Where notional funds have been designated to the CTA, the CTA should include those available funds in the excess collateral category.

A link to NFA Notice to Members I-14-15 is provided here.