Memo #
28751

Follow-Up to January Meeting and Other Developments of Interest to Registered Fund CPOs
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[28751]

February 19, 2015

TO: REGISTERED FUND CPO ADVISORY COMMITTEE RE: FOLLOW-UP TO JANUARY MEETING AND OTHER DEVELOPMENTS OF INTEREST TO REGISTERED FUND CPOS

 

This memorandum provides follow-up information on an issue that was raised by a member during our January meeting by phone.  It also summarizes developments that are likely to be of interest to you.

Change to NFA Help Text Accompanying Form CPO-PQR

As you may recall, during our January meeting, a member reported that he and his colleagues identified a change that had been made to the NFA help text accompanying Form CPO-PQR but not publicized by NFA.  The new text appears at the top of the form, under the heading “Cover Page,” and reads as follows:

“For the parts of PQR that request information about individual pools, you must report aggregate information for Parallel Managed Accounts; assets held in Parallel Managed Accounts should be treated as assets of the pool with which they are aggregated.  You do not need to report relationships for your parallel managed accounts however.”

Subsequent to our January meeting, the member discussed this issue with a senior official at NFA.  The official advised that this help text is supposed to be relevant only for CPO level information as required by the cover page question on “highest total aggregated Pool Assets under Management.”  The help text does not impact the entire filing.

The member also asked whether exempt accounts need to be included.  (As you may recall, the FAQs on Form CPO-PQR submitted to the CFTC staff by ICI, IAA and AIMA ask for clarification that the term “Parallel Managed Account” does not require inclusion of exempt pools or exempt accounts.)  The official responded that she did not know whether exempt accounts need to be included, but suggested that filers should make reasonable assumptions on this point.  One thing to consider, as noted by our outside counsel, is that the instructions further down on the cover page state that filers should exclude exempt pools for purposes of determining pool AUM - this may suggest it is also appropriate to exclude exempt accounts here.

Changes Affecting the Filing of Annual Financial Statements with NFA

On February 10, NFA issued Notice to Members I-15-09, which outlines recent changes to the EasyFile system with respect to filings of annual financial statements.  The notice, which is available at http://www.nfa.futures.org/news/newsNotice.asp?ArticleID=4539, reads as follows:

In order to review pool financial statements more efficiently, NFA is making a few minor modifications to its EasyFile system. These changes are effective for all outstanding pool financial statements dated after Nov. 29, 2014.

A CPO must now complete a Cover Page regarding the pool financial statement and provide one additional balance in the Pool Financial Balances section. Although this additional information should be readily available, click here to access a PDF detailing the changes.

If you have any questions related to these changes, please contact Christine Roche, Senior Manager, Compliance (croche@nfa.futures.org or 312-781-1562) or Tracey Hunt, Associate Director, Compliance (thunt@nfa.futures.org or 312-781-1284).

The PDF referenced in the notice is available at http://www.nfa.futures.org/news/documents/easyfile-changes_I-15-09.pdf.

Timing of Certain Guidance/Relief from the CFTC Staff

Representatives from another trade association recently met with the CFTC staff and shared with ICI the following information:

  • According to the CFTC staff, the staff’s FAQs on Form CPO-PQR are done but will not be issued until approximately the first week in April.  The staff apparently does not want to disrupt the current reporting period.  Once the FAQs are issued, they will not impact the next reporting period but will go into effect for the one after that.  In addition, NFA may issue its own FAQ on technical issues before the CFTC staff’s FAQs are published.
  • The CFTC staff further advised that it is hoping to issue its no-action letter on the netting of uncleared swaps by approximately the end of February.  As you may recall, ICI and several other trade associations submitted two letters in 2014 requesting relief in this area.  We expect the staff’s response will permit a fund to net uncleared swaps for purposes of the net notional test under CFTC Rule 4.5 or Rule 4.13(a)(3) provided that:  (i) the termination dates of the offsetting swaps are the same; (ii) the reference asset or rate for the offsetting swaps is the same; and (iii) the swaps to be netted are with the same counterparty.

 

Rachel H. Graham
Associate General Counsel