Pool Financial Statement Data Entry Guide: Schedule of Key Financial Balances

Line 1 – Equity in Commodity Futures Trading Accounts

Commodity interests include futures, options, forex, and swaps under CFTC jurisdiction. This balance should include the net liquidating value (“NLV”) of any futures and forex trading accounts directly owned by the pool and carried at a futures commission merchant or forex dealer. The balance should also include all cash, government securities (at market), unrealized gain/loss on open contracts and net option value held in such accounts, along with the market value of all swaps under CFTC jurisdiction. Do not report here investments in funds that trade commodity interests as those should be reported on line 2.

Line 2 – Investment in Funds that Trade Commodity Interests

Report, at fair value, the pool’s investment in other pools generally considered to be commodity pools (i.e., pools that you know trade commodity interests). Commodity interests include futures, options, forex, and swaps under CFTC jurisdiction.

Line 3 – Redemptions Receivable from Other Funds

Report any amounts owed to the pool by any other funds, including other funds operated by the CPO.

Line 4 – All Other Investments

Report, at fair value, any other assets held for investment or owned by the pool that are not already included in lines 1-3 above.

Line 5a – Receivables from CPO or Any Other Affiliated Person or Entity for Reimbursement of Pool Expenses

Report any amounts owed to the pool by the CPO or any other affiliated person or entity for the reimbursement of pool expenses.

Line 5b – Other Receivables from CPO or Any Other Affiliated Person or Entity

Report any other amounts owed to the pool by the CPO or any other affiliated person or entity (e.g., loans, capital contributions not paid, etc.) NFA Compliance Rule 2-45. Please note, receivables from other funds the CPO or an affiliate operates should be reflected on line 3.

Line 6 – All Other Assets

Report the summation of all other assets included on the pool’s balance sheet that are not itemized above.

Line 7 – Total Assets

This balance will be the summation of lines 1-6.

Line 8 – Amounts Borrowed

Report the amount of any outstanding loan or note including banks loans, margin loans, etc.

Line 9 – All Other Liabilities

Report the summation of all other liabilities included on the pool’s balance sheet.

Line 10 – Total Liabilities

This balance will be the summation of lines 8 and 9.

Line 11 – Total Net Asset Value

This balance will be the difference between lines 7 and 10.

Line 12 – Total Revenue

Report the total revenue reflected on the pool's income statement.

Line 13 – Management Fee Expense

A management fee is usually charged based simply upon a percentage of the assets under management and is payable irrespective of profitability. Report any fees paid directly from the pool to the CPO, CTA or administrator as a management fee. If the pool is a fund of funds, management fees charged at the investee fund levels need not be added here.

Line 14 –Incentive Fee Expense

Incentive fees are usually charged by the pool’s CPO or CTA based upon the overall profits of the pool. Report any fees paid directly from the pool to the CPO or CTA as an incentive fee. If the pool is a fund of funds, incentive fees charged at the investee fund levels need not be added here. See line 21 for incentive fees paid as a special allocation of income to the general partner.

Line 15 – All Other Expenses

Report the summation of all other expenses included on the pool’s statement of operations that are not itemized on lines 13 and 14.

Line 16 – Total Expenses

This balance will be the summation of lines 13-15.

Line 17 – Net Income (Loss)

This should be equal to total revenue (line 12), less total expenses (line 16) and before any special allocation to the general partner (line 21).

Line 18 – Beginning Net Asset Value

Report the net asset value at the close of the pool’s last fiscal year. Pools which have not previously operated should enter zero.

Line 19 – Additions to Net Asset Value

Report contributions made by all pool participants throughout the reporting period.

Line 20 – Withdrawals from Net Asset Value

Report distributions to all pool participants throughout the reporting period.

Line 21 – Special Allocation to General Partner

Incentive fees paid to general partners may be structured as incentive allocation or a special allocation of income to the general partner. Under this approach, rather than the general partner receiving a fee paid out in cash from the pool, the general partner is allocated a disproportionate profit share to its capital account. Pursuant to CFTC Interpretative Letter Number 94-3, these special allocations must be:

  • Recognized in the financial statements in the same period as the net income or other basis of computation.
  • Classified in the financial statements as either an expense in the partnership’s income statement or a special allocation of net income, which is presented as a deduction on the income statement.
  • Separately reported in the statement of changes in net asset value.

Line 22 – Total Level I Assets

Report the total value of assets considered to be Level I assets in the Fair Value Hierarchy. Level I assets are assets that are valued utilizing unadjusted quoted market prices in active markets for the identical asset.

Line 23 – Total Level II Assets

Report the total value of assets considered to be Level II assets in the Fair Value Hierarchy. Level II assets are assets that are valued using quoted prices for identical or similar assets in markets that are less active, that is, markets in which there are few transactions that are observable for substantially the full term.

Line 24 – Total Level III Assets

Report the total value of assets considered to be Level III assets in the Fair Value Hierarchy. Level III assets are assets whose value is estimated based on internally developed models utilizing significant inputs that are not readily observable from objective sources.

Line 25 – Assets Valued Using Practical Expedient

Report the value of assets that were measured at fair value using the net asset value per share practical expedient.

Line 26 – Total Level I Liabilities

Report the total value of liabilities considered to be Level I liabilities in the Fair Value Hierarchy. Level I liabilities are liabilities that are valued utilizing unadjusted quoted market prices in active markets for the identical liability.

Line 27 – Total Level II Liabilities

Report the total value of liabilities considered to be Level II liabilities in the Fair Value Hierarchy. Level II liabilities are liabilities that are valued using quoted prices for identical or similar liabilities in markets that are less active, that is, markets in which there are few transactions that are observable for substantially the full term.

Line 28 – Total Level III Liabilities

Report the total value of liabilities considered to be Level III liabilities in the Fair Value Hierarchy. Level III liabilities are liabilities whose value is estimated based on internally developed models utilizing significant inputs that are not readily observable from objective sources.

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