1. CPO and CTA Filing Requirements November 6, 2014 Mary McHenry Associate Director, Compliance Matt Pendell, Manager, Compliance Scott Ganis, Partner/COO, Thayer Brook Partners LLP

2. 2 Pool Quarterly Reports and Form PR  Form and Process  CFTC Form  Process for making changes  How Help Text is developed

3. 3 Pool Quarterly Reports and Form PR  NFA’s review and use of PQRs and PRs  Compliance Department Structure  Risk Analysis  Relationship Data  ROR vs. Net Income  Conversations between CPO and NFA Staff

4. 4  Managing a firm’s regulatory filings  Role of Compliance and other groups/areas  Process  Documenting Assumptions  Reconciliations  Responding to NFA Staff inquiries CPO’s Approach to Filings

5. 5  Effective for June 30 th PQR Filings  Additional help text in Step 2a and 2b Recent Changes to Forms  Only include pools for which the CPO is required to be registered

6. 6  Effective for June 30 th PQR Filings  New question: Box 30 Recent Changes to Forms  Include all commodity pools, even those exempt under 4.13 or excluded under 4.5

7. Recent Changes to Forms New Questions Boxes 25-28 breakdown the total in Box 30

8. 8  Effective for June 30 th PQR Filings  Expanded help text in Step 5 Recent Changes to Forms

9. 9  Effective for June 30 th Form PR Filings  Additional help text in Step 1d Recent Changes to Forms  Include only trading programs for which the CTA is required to be registered

10. 10  Effective for June 30 th Form PR Filings  Additional help text in Step 2a and 2b Recent Changes to Forms  Exclude any assets that are attributable to pools for which the CPO is not required to be registered  Exclude any assets that are attributable to pools that you operate as a CPO

11. 11  Effective for June 30 th PR Filings  Additional help text in Step 3 Recent Changes to Forms

12. 12  Effective for June 30 th PR Filings  New question Step 8 (Box 30) Recent Changes to Forms  Include all managed accounts, even those for commodity pools that are exempt or excluded pursuant to 4.13 or 4.5  Boxes 25-28 breakdown the total in Box 30

13. 13  Effective for September 30 th PQR Filings  Added boxes 8501 and 8502 to Fixed Income section of the Schedule of Investments Recent Changes to Forms

14. 14  Effective for September 30 th PQR Filings  Additional help text was added to Step 10, Statement of AUM regarding the use of base currencies and conversion factors Recent Changes to Forms

15. 15  Effective for September 30 th PQR Filings  Additional relationship information for certain steps will persist from quarter to quarter Recent Changes to Forms

16. 16  Relationship start and end dates  Relationships across firms and/or forms  Pools appear on a PQR that should not be filing  Discrepancies between current and prior filings. For example, NAV or investments  Responding to NFA Staff inquiries Common Filing Inquiries

17. 17  Update the Annual Questionnaire to delete or cease a pool, and provide specifics Liquidation Statements

18. 18  “ Ceased Trading” date Liquidation Statements

19. 19  Impact on PQRs  Disclosure to Pool Participants  Audited by CPA unless waivers are obtained  Required components of a liquidation statement  Circumstances that do not represent a “liquidated pool”  Switching from 4.7 to 4.13 exempt pool  Ceased trading commodity interests  Temporary cessation of trading  Other regulatory requirements other than CFTC Liquidation Statements

20. 20  CPO Delegation  Third-party Recordkeeping Rules  Fund-of-Fund Guidance  Consolidation of Statements  Exemption/exclusion annual affirmation process  Possible CPO and CTA Customer Protection Measures CPO and CTA Hot Topics

21. 21  NFA’s website, www.nfa.futures.orgwww.nfa.futures.org  Form PQR and Form PR templates updated quarterly  2014 Tutorial, ‘Common PQR Filing Deficiencies’  2013 Webinar, ‘Quarterly Reporting Requirements for CTAs’  Technical Support  PQRsupport@nfa.futures.org  PRsupport@nfa.futures.org  NFA’s Information Center  (800) 621-3570, or  (312) 781-1410 Resources

22. Thank you