CPO Form PQR

No. NFA Form PQR consists of (1) a subset of the information required by Schedule A of CFTC Form CPO-PQR and (2) a schedule of investments (which is a part of Schedule B of CFTC Form CPO-PQR). NFA requires all CPOs to file their required information on a quarterly basis.

The CFTC content and filing requirements vary based on the size of the CPO. Small CPOs (AUM < $150 million) file Schedule A on an annual basis, mid-sized CPOs (AUM > $150 million but < $1.5 billion) file Schedule A and B on an annual basis, and large CPOs (AUM > $1.5 billion) file Schedules A, B and C on a quarterly basis.

Although the forms and filing requirements are not identical, NFA has attempted to simplify the process through the EasyFile system by providing each CPO with one form each quarter that covers the information required to satisfy both NFA’s quarterly requirement and any CFTC filing requirements. For example, the form provided to mid-sized CPOs for the quarters ending March 31, June 30 and September 30 consists of a subset of the information required by CFTC Schedule A and a schedule of investments (step 6 of Schedule B). For the year ending December 31, the form provided to mid-sized CPOs consists of the entire Schedule A and Schedule B (which includes a schedule of investments).

Yes. While large CPOs filing the SEC Form PF do not have a reporting requirement with the CFTC for quarters ending March 31, June 30 and September 30, as NFA Members, CPOs are required to file NFA Form PQR on those quarters. For December 31, the CPO must file a full Schedule A and Step 6 of Schedule B (Schedule of Investments). This will satisfy both NFA’s and the CFTC’s filing requirements. As noted in the first question in this document, when you access EasyFile, the Form PQR will include the information you are required to complete to satisfy your NFA and CFTC filing requirements.

Small and mid-sized CPOs have a quarterly filing requirement with NFA and a year-end annual filing requirement with the CFTC. As a result, the information submitted through EasyFile for the quarters ending March 31, June 30, and September 30 is a subset of Schedules A and B of the CFTC Form CPO-PQR. The questions are not consecutively numbered because parts of Schedules A and B are not applicable to the NFA filing.

Yes. XML upload is available to all CPO filers. In order to utilize the XML upload functionality, you must complete a request form, which is available in the Filing Index in EasyFile from the menu on the left side. After you have submitted a completed request form, NFA will contact you via email with additional instructions on accessing the XML schema.

Yes, the XML schema will be updated on a quarterly basis for any changes to the form. You will be sent an email notice for any changes to the form prior to the quarter end. You will then be required to download the new version of the XML schema, which will be available inside the PQR filing. For firms approved to use the XML schema, the link will be in the left-side menu.

As noted on the XML Information page, which is available only to firms approved to utilize the XML upload, starting with the 9/30/2018  PQR filing, firms can import the following information to the form via XML upload or enter it manually in the online PQR pool filing.

Note: Adding, removing and editing relationships must still be performed in the EasyFile (Quarterly Reports) system.

Statement: Schedule A Part 2 – Relationships

  • 4.a. Third party administrator list
  • 4.b. Name of third parties
  • 5.a. Pool brokers
  • 6.a. Pool trading managers
  • 7.a. Pool custodians
  • 8.a. Pool auditor
  • 9.a. Pool marketers

Statement: Schedule A Part 2 – Pool Information

  • 3.g. Name of foreign financial regulatory authority and pool’s country of registration
  • 3.h. NFA ID and name of each feeder fund investing in the pool
  • 3.i. NFA ID and name of the master fund in which pool invests

EasyFile prohibits more than one person from working on the firm-level filing or the same pool-level filing at the same time. A filing indicates “Read-Only” and will not permit any additions or changes to information when another person is working on that filing. EasyFile does permit more than one person to work on different pool-level filings or the firm-level filing and a pool-level filing at the same time. EasyFile will also unlock a particular filing after 20 minutes of inactivity or if the user returns to the Filing Index.

If you are having technical issues, send an email to PQRSupportInfo@nfa. futures.org with the following information: firm name, NFA ID, and a detailed description of the problem you are experiencing. You will typically receive a response via email within one to two business days.

There is no quarterly filing requirement for a pool that has completely liquidated as of the quarter-end date. However, the CPO must update the CPO’s Annual Questionnaire to reflect the date that the pool completely liquidated, and the CPO must file a liquidation statement with NFA through EasyFile for the pool within 90 days from the date of liquidation. The liquidation statement must be certified unless the CPO obtains a waiver from each pool participant for this requirement. The Annual Questionnaire can be accessed here: www.nfa.futures.org/NFA-electronic-filings/annual-questionnaire.HTML.

Click the “Review filing for errors” link located in the left navigation to review all outstanding errors/warnings. The errors/warnings will explain the action necessary to resolve the error/warning and submit the report. In order to complete the PQR filing you must correct the errors and separately submit each pool-level filing. (See questions 12 and 14 on pages 5 and 6.) Once you have submitted each pool-level filing, you must then submit the firm-level filing in order to complete the filing.

The Form PQR must be submitted by a representative duly authorized to bind the CPO. This representative will be asked to electronically “sign” a required oath or affirmation.

After you complete a pool-level filing, click “Review filing for errors” on the left-side navigation bar. You will be directed to the Summary of Errors and/or Warnings page (see question 13 below). Once those are resolved or if that pool filing is free of errors, click on the “Complete filing” button, which will appear at the bottom of the page. Repeat this process for each pool. After you have completed the firm-level filing and each pool-level filing, click on the “Submit filing” button located on the top banner. The Summary of Error and/or Warnings page will reappear and may include errors or warnings for the firm-level filing. Once all errors are resolved and the filing is error-free, click on the “Submit filing” button at the bottom of the page. You will then be prompted to complete the oath by entering the capacity in which you are signing on behalf of the CPO. After completing this, you again click on the “Submit filing” button on the bottom of the page. You will then receive a confirmation that the filing has been submitted. To ensure that the filing has been received, click on the “Filing Index” button at the bottom of the page and ensure that there is a date in the “Received Date” column and a status of “Received”.

All errors must be corrected before you can submit the Form PQR. You may, however, submit a Form PQR with outstanding warnings. If you submit with outstanding warnings, you will be prompted to include a note providing information that may resolve the warning(s). Although you are not required to include a note, NFA encourages you to do so because that information may address any concerns raised and assist NFA with the review of your filing.

Yes. First, you must select the End Date for the particular Form PQR that needs amending from the Filing Index. This will take you to the first page of the Form PQR. Click the “Amend Filing” button located on the top banner. In order to open the filing, you must provide the reason(s) for amending the filing. After providing the reason(s), you will be directed back to the Filing Index where you will reselect that filing by clicking on the end date to open the filing. The firm-level filing is now open for amendment. To amend a pool-level filing, you must then click “Pool Filings”, which appears in the left-side menu. A listing of each pool that is part of the particular PQR filing will appear. Select the pool to be amended and again click the “Amend Filing” button where you will be required to indicate the reason you are amending the particular pool filing (which may be the same reason you provided previously). You will then be redirected to the Pool Filings page where you can reselect the pool and the pool-level filing will open. After completing the amendment, you will need to resubmit each of the pool-level and firm-level filings. Repeat these steps for each pool-level filing that needs to be amended.

Although small and mid-sized CPOs have 90 days after quarter end to submit the Form PQR, the system defaults to the 60-day filing deadline until you select the appropriate AUM in the dropdown menu on the Cover Page (Box 155) and click “Save.” The Filing Index is then updated with the applicable due date based on AUM.

Failure to timely file the NFA Form PQR is a violation of NFA Compliance Rule 2-46, and NFA assesses a $200 late fee for each business day the report is filed late. The late fee will apply to the CPO entity and will not be assessed on each pool operated by the CPO that has a late filing. In addition to the late fee, a firm could be subject to disciplinary action if it continues to fail to timely file NFA Form PQR. Under Bylaw 1303, failure to pay late fees within 30 days of the due date will be deemed by NFA as a request by the CPO to withdraw from NFA membership.

To add the pool, access the Annual Questionnaire on NFA’s website. Select CPO Questionnaire which will bring you to the Pool List. Select “Click here to add a pool” under the pool list grid. You will then be asked to add the name of the pool, and the system will search NFA’s database and provide a list of all similarly named pools. The name of the pool’s CPO and location will be displayed to assist in selecting the correct pool. Select the applicable pool and click on “create a Co-CPO relationship” at bottom of screen. The pool will now appear in the current CPO’s pool listing. At this point, the former CPO will be able to delete the pool from its listing of pools through the Annual Questionnaire by indicating it no longer operates the pool. (See Question 2 on page 8.) Depending on the timing of the pool addition, the pool may or may not populate in the proper PQR filing.

If the assumed pool does not appear in the correct PQR filing, the firm may be able to add it to the PQR. On the Pool Filings screen, there is a link below the grid, where the firm can select the applicable pool. If the applicable pool does not appear as a choice, and it is not otherwise exempt from filing, please contact NFA using the contact information on page 12.

pool filings screen

Access the Annual Questionnaire on NFA’s website and select CPO Questionnaire, which will bring you to the Pool List. From the Pool List, click on “Edit” in the Edit Pool column. You will be provided several reasons for editing the pool. In this case, the CPO should select “Delete this pool” and click “Next”. You will be asked to select one of several reasons for deleting the pool. In this case, you should select “The CPO no longer operates the pool” and click “Next”. You will be asked to enter the NFA ID for the firm that will be taking over the pool and click “Next”. You will also be asked to confirm the firm selection by clicking “Yes”. The pool will then be removed from the CPO’s pool listing. Depending on the timing of the pool removal, the pool may or may not populate in the proper PQR filing. If the removed pool still appears in the pool filing, please contact NFA using the contact information on page 12.

Pools that are no longer operating can be removed from a CPO’s pool listing through the Annual Questionnaire. Select the CPO Questionnaire and click "Next" to bring you to the pool list. From the pool list, click on “Edit” in the Edit Pool column for the applicable pool. You will then be asked to select one of several reasons for editing the pool. The CPO should select “Delete this pool” and click “Next”. You will then be asked to select one of several reasons for deleting the pool. The CPO should select “the pool ceased” and click “Next”. The CPO will be asked to provide a ceased date. Upon entering the ceased date, the pool will be removed from the CPO’s pool listing. Depending on the timing of the pool removal, the pool may or may not populate in the proper PQR filing. If the removed pool still appears in the pool filing, please contact NFA using the contact information on page 12.

When designating an affiliate to complete your filing, make sure that the designated affiliate has not yet submitted its own Form PQR. If your affiliate submits its Form PQR first, it will not be able to answer questions on your behalf, and you will have to complete your own PQR filing.

Yes. In order to file at the series level, you must have previously identified the series and umbrella relationship in the Annual Questionnaire. Once the relationship has been established, you must select whether you will file at the series or umbrella level on the Cover Page of the firm-level filing. This system will disable the filing method you did not select. Once you select the series or umbrella filing, DO NOT click on or open the other filing type. Clicking on or opening the other filing type will result in that filing type not being disabled. If you identify the series and umbrella relationship after the PQR filing has already been created or you have clicked on a filing in error, you will need to contact NFA by emailing PQRSupportInfo@nfa.futures.org to reset your form.

The total net assets under management of all commodity pools operated by the CPO reported in Box 0030 includes pool assets attributable to pools for which the CPO is exempt from registration under Regulation 4.13 (exempt pools) and pools for which the CPO is excluded from registration under Regulation 4.5 (excluded pools). The assets attributable to these exempt or excluded pools are not included in the amount reported for total net assets under management in Box 0255.

As the instructions indicate, the firm should provide a reasonable good-faith estimate when reporting the percentage breakdown of investments on Box 0025, Box 0026, Box 0027 and Box 0028. The breakdown of percentages should be based upon the figure reported in Box 0030.

This bullet point refers to certain investment products where collateral may not be posted as of the reporting date. For purposes of reporting in Box 0030, you should include the collateral due but not yet posted in the appropriate investment category. For example, if the collateral is due but not yet posted for a swap transaction, the collateral amount should be reported on Box 0026 as if posted as of the reporting date.

After clicking the link to add a relationship, you must ensure that the start date you enter is subsequent to the end date you reported when you previously deleted the relationship. Otherwise, the system will recognize that the dates overlap, create an error message, and not allow you to add the relationship.

After clicking the link to delete a relationship, you must enter an end date that is the same date as the start date. Once this date is entered, you will receive a message asking if you want to permanently delete this relationship. If you answer yes, the relationship will be permanently deleted.

You must click on the link to delete a relationship. When you are instructed to enter the end date, it should be a date that is prior to the reporting date. If you enter a date after the reporting period, the relationship will still appear in the current filing; however, the relationship will not appear in the next filing.

Large firms with several locations may appear more than once in the search results. In some instances, a firm may appear more than once with the same city and state. In these instances, do your best to select the firm that appears to be the best match.

A large CPO should report the prior quarter’s ending AUM since the December 31 PQR filing is a quarterly filing for large CPOs. For mid-sized and small CPOs, the December 31 PQR filing is an annual filing, so mid-sized and small CPOs should report the prior year’s ending AUM.

You can delete a layer only if it does not have any performance data entered. A “Delete” button appears next to each layer. Click “Delete” to remove the layer. If a layer already has rates of return associated with it, you will need to contact NFA by emailing PQRSupportInfo@nfa.futures.org.

No. When completing the Schedule of Investments for a feeder pool that invests entirely in a master pool, you do not need to look through to the master’s investments; you only need to enter the feeder pool’s direct investment in the master pool.

No. Derivative positions with positive open trade equity must be totaled separately from derivative positions with negative open trade equity when determining if the five percent of NAV threshold has been met.

No. All balances on the Schedule of Investments should be entered as positive values. Any values entered in this column are read as negative.

All balances on the Schedule of Investments should be reported as dollar values.