Memo #
29672

ICI, Other Associations Request that CFTC Staff Revise Selected FAQs Regarding Form CPO-PQR and Delay Implementation Date
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[29672]

January 28, 2016

TO: REGISTERED FUND CPO ADVISORY COMMITTEE RE: ICI, OTHER ASSOCIATIONS REQUEST THAT CFTC STAFF REVISE SELECTED FAQS REGARDING FORM CPO-PQR AND DELAY IMPLEMENTATION DATE

 

ICI, together with the Investment Adviser Association, the Alternative Investment Management Association, and the Managed Funds Association (collectively, “Associations”), jointly submitted a letter to the staff of the Commodity Futures Trading Commission seeking revisions to a small number of responses set forth in the staff’s November 2015 publication, CFTC Division of Swap Dealer and Intermediary Oversight Responds to Frequently Asked Questions Regarding Commission Form CPO-PQR (“FAQs”). [*]The letter, which is attached, states that the Associations are “concerned that the Division’s responses in certain areas may be inconsistent with Commission statements and the regulatory objectives underlying Form CPO-PQR.”  Those areas are as follows:

  • Treatment of Parallel Managed Accounts for Reporting Purposes (FAQs 7, 15 and 16).The letter urges the Division to make clear that commodity pool operators (“CPOs”) should not aggregate Parallel Managed Accounts for reporting purposes.  It explains that industry practice has been to aggregate Parallel Managed Accounts only when calculating reporting thresholds and responses to particular “cover page” questions.  The letter outlines several reasons to support the industry’s current approach, including the avoidance of double reporting, consistency with reporting on Form PF, consistency with the National Futures Association’s use of Form CPO-PQR data in its regulatory program, and the avoidance of undue burden on CPOs.
     
  • Reporting Monthly Rates of Return (FAQs 29-31).  The letter urges the Division to permit CPOs to report monthly rates of return only if such results are calculated that frequently, and otherwise to report quarterly rates of return.
     
  • Spot Currency Positions (FAQ 42).  The letter urges the Division to revise its response to be consistent with previous Commission interpretations.  Specifically, it asks the Division to affirm that a foreign exchange transaction with a settlement period longer than two business days may be considered a bona fide spot transaction depending on the customary settlement deadline of the relevant market.

The Associations requested that the Division delay implementation of the FAQs until the first quarter 2016 filing.  The letter explains that the Division’s current responses to the FAQs discussed above create a significant impact on CPOs with respect to identifying and collecting data for the filing, and that a temporary reprieve in the FAQs’ effectiveness would be useful as the Associations work with the Division to address the issues raised in this letter.

 

Rachel H. Graham
Associate General Counsel

Attachment

endnotes

 [*] The FAQs are available at http://www.cftc.gov/idc/groups/public/@newsroom/documents/file/faq_cpocta110515.pdf.