EasyFile CFTC Form PQR Template

POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS 

Name: TEST FIRM Ending Date: 9/30/2013 NFA ID: 0328321 

COVER PAGE 

Person to contact concerning this filing: Name of the filer 0100 

Email address of the contact person for this filing email@email.com 0105 

Phone number of the contact person for this filing 123-456-7890 0110 

Capacity in which the individual signing on behalf of the CPO Title 0111 

What was your highest total aggregated Pools Assets Under Management during 

the reporting period 

< $5 Billion and >= $1.5 Billion 0155 

Have you filed a Form PF for all your pools you operated during the reporting period No 0147 

Do all of your pools fall into at least one these two categories: 

1. A Form PF was filed in lieu of the CFTC Filing 

2. Only Invests in Other Pools 

How many exempt pools did you operate that had non-zero Assets Under Management during the 

reporting period 

No 0143 

2 0150 

Page 1 of 1 

Created On: 10/8/2013 1:18:47 PM


Name: TEST FIRM Ending Date: 9/30/2013 NFA ID: 0328321 

Form CPO-PQR - Schedule A 

PART 1 - INFORMATION ABOUT THE CPO 

1. CPO INFORMATION 

a. CPO's Name: TEST FIRM 0205 

b. CPO's NFA ID# 0328321 0210 

c. Person to contact concerning this Form CPO-PQR Name of the filer 0215 

d. CPO's chief compliance officer Name of the CCO 0220 

e. Total number of employees of the CPO 12 0225 

f. Total number of equity holders of the CPO 3 0230 

g. Total number of Pools operated by the CPO 2 0235 

h. Telephone number and email for person identified in c. above 

2. CPO ASSETS UNDER MANAGEMENT 

123-456-7890 

email@email.com 

a. CPO's Total Assets Under Management 1,700,000,000 0250 

b. CPO's Total Net Assets Under Management 1,600,000,000 0255 

0240 

SUPPLEMENTAL FIRM INFORMATION 

Are you registered as an Investment Adviser with the SEC No 0115 

Of the total Assets Under Management entered in Box 0255 above, please provide the amount 

allocated to futures and swaps as of the reporting date. 

700,000,000 0146

Form CPO-PQR - Schedule C 

1. GEOGRAPHICAL BREAKDOWN OF POOLS' INVESTMENTS 

a. Provide a geographical breakdown of the investments (by percentage of aggregated Assets Under Management) of all Pools that are 

not Private Funds that were operated by the Large CPO during the most recent Reporting Period. 

(i) Africa 0 0300 

(ii) Asia and Pacific (other than the Middle East) 0 0301 

(iii) Europe (EEA) 0 0302 

(iv) Europe (other than EEA) 0 0303 

(v) Middle East 0 0304 

(vi) North America 0 0305 

(vii) South America 0 0306 

(viii) Supranational 0 0307 

b. Provide the value of investments in the following countries held by the hedge funds that you advise (by percentage of the total net 

asset value of these hedge funds). 

(i) Brazil 0 0308 

(ii) China (including Hong Kong) 0 0309 

(iii) India 0 0310 

(iv) Japan 0 0311 

(v) Russia 0 0312 

(vi) United States 0 0313 

2. TURNOVER RATE OF AGGREGATE PORTFOLIO OF POOLS 

Provide the turnover rate by volume for the aggregate portfolio of all Pools that are not Private Funds and that were operated by the 

Large CPO during the most recent Reporting Period. 

First Month Second Month Third Month 

Open Positions: 0 0314 0 0315 0 0316 

Page 2 of 2 

Created On: 10/8/2013 1:18:45 PM


Name: MY POOL LISA Ending Date: 9/30/2013 NFA ID: P087320 

COVER PAGE 

Enter the highest NAV during the Reporting Period: 501,000,000 0160 

Enter the total funds allocated to futures and swaps as of the reporting date: 401,000,000 0161 

Have you filed an SEC Form PF for this pool in lieu of the CFTC Filing No 0162 

Does this pool only invest in other pools No 0163 

Page 1 of 31 

Created On: 10/8/2013 1:29:06 PM



Form CPO-PQR - Schedule A 

PART 2 - INFORMATION ABOUT THE POOLS OPERATED BY THE CPO 

3. POOL INFORMATION 

a. Pool's name MY POOL LISA 5005 

b. Pool's NFA ID#: P000000 5010 

c. If the Pool is operated by Co-CPOs the name of the other CPOs: 5015 

d. Under the laws of what state or country is the Pool organized 5020 

e. On what date does the Pool's fiscal year end: 5025 

f. Is this Pool a Private Fund 5030 

g. List the English name of each Foreign Financial Regulatory Authority and the country with which the Pool is registered: 

Foreign Financial Regulatory Authority 

Country 

Test Regulatory Authority 5080 UK 5081 

h. Is this a Master Fund in a Master - Feeder Arrangement Yes 5045 

If "Yes", provide the name and NFA ID# of each Feeder Fund investing in this Pool: 

Feeder Fund NFA ID # 

TEST 5082 P000000 5083 

i. Is this a Feeder Fund in a Master-Feeder Arrangement Yes 5060 

If "Yes", provide the name and NFA ID# of the Master Fund in which this Pool invests: 

Master Fund 

NFA ID 

TESTPOOL 5084 P000000 5085 

j. If this Pool invests in other Pools, a) what is the maximum number of investee pool tiers 0 5075 

i. What is the value of this Pool's investments in equity of other Pools or private funds 0 5087 

4. POOL THIRD PARTY ADMINISTRATORS 

a. Does the CPO use third party administrators for the Pool No 0810 

If “Yes,” provide the following information for each third party administrator: 

i. Name of the administrator: TESTER INVESTOR 7405 

ii. NFA ID# of administrator: 0000000 7406 

iii. Address of the administrator: 1285 TEST AVE LOS ANGELES CA 90015 US 7407 

iv. Telephone number of the administrator: (213)255-8564 7408 

v. Starting date of the relationship with the administrator: 01-MAR-2013 7409 

vi. Services performed by the administrator: 

Page 2 of 31 

Created On: 10/8/2013 1:29:06 PM




Preparation of Pool Financial Statements No 7410 

Calculation of Pool's Performance No 7411 

Maintenance of the Pool's books and records No 7412 

Other 7413 

i. Name of the administrator: TEST FIRM 7405 


iii. Address of the administrator: 7407 

iv. Telephone number of the administrator: 7408 

v. Starting date of the relationship with the administrator: 01-FEB-2013 7409 





Other 7413 

i. Name of the administrator: TEST ADVISORS LLC 7405 


iii. Address of the administrator: 123 TEST NEW YORK NV 10025 US 7407 

iv. Telephone number of the administrator: 212 999-9999 7408 

v. Starting date of the relationship with the administrator: 01-APR-2013 7409 





Other 7413 

b. What percentage of the Pool’s Assets Under Management is valued by a third party administrator, 

or similar entity, that is independent of the CPO 

0 0825 

If the number entered is greater than “0,” provide the following information: 

Name of the third party(-ies) 

5. POOL BROKERS 

No Answer. 

a. Does the CPO use Brokers for the Pool No 0855 

If “Yes,” provide the following information for each Broker: 

i. Name of the Broker TEST BANK 7414 

ii. NFA ID# of Broker: 0000000 7415 

iii. Address of Broker: 123 FIRST STREET CHICAGO IL 60606 US 7416 

Page 3 of 31 

Created On: 10/8/2013 1:29:06 PM



iii. Address of Broker: 123 FIRST STREET CHICAGO IL 60606 US 7416 

iv. Telephone number of the Broker: 123-123-1234 7417 

v. Starting date of the relationship with the Broker: 01-JAN-2013 7418 

vi. Services performed by the Broker: 

Clearing services for the Pool No 7419 

Prime brokerage services for the Pool No 7420 

Custodian services for some or all Pool assets No 7421 

Other 7422 

i. Name of the Broker TEST ADVISORS LLC 7414 

ii. NFA ID# of Broker: 0000000 7415 

iii. Address of Broker: 123 TEST NEW YORK NV 10025 US 7416 

iv. Telephone number of the Broker: 212 999-9999 7417 

v. Starting date of the relationship with the Broker: 01-JAN-2013 7418 

vi. Services performed by the Broker: 

Clearing services for the Pool No 7419 

Prime brokerage services for the Pool No 7420 

Custodian services for some or all Pool assets No 7421 

Other 7422 

6. POOL TRADING MANAGERS 

a. Has the CPO authorized Trading Managers to invest or allocate some or all of the Pool’s Assets 

Under Management 

No 0875 

If “Yes,” provide the following information for each Trading Manager: 

No Answer. 

7. POOL CUSTODIANS 

a. Does the CPO use custodians to hold some or all of the Pool’s Assets Under Management No 0900 

If “Yes,” provide the following information for each custodian: 

i. Name of the custodian: TEST BANK 7429 

ii. NFA ID# of custodian: 0000000 7430 

iii. Address of the custodian: 123 FIRST STREET CHICAGO IL 60606 US 7431 

iv. Telephone number of the custodian: 123-123-1234 7432 

v. Starting date of the relationship with the custodian: 01-JAN-2013 7433 

What percentage of the Pool's Assets Under Management is held by the 

custodian 

i. Name of the custodian: TEST COMPANY 7429 

ii. NFA ID# of custodian: 0000000 7430 

iii. Address of the custodian: 123 MAIN ST. BOSTON MA 02109 US 7431 

7434 

Page 4 of 31 

Created On: 10/8/2013 1:29:06 PM



iii. Address of the custodian: 123 MAIN ST. BOSTON MA 02109 US 7431 

iv. Telephone number of the custodian: (123)459-6789 7432 

v. Starting date of the relationship with the custodian: 01-JAN-2013 7433 

What percentage of the Pool's Assets Under Management is held by the 

custodian 

7434 

8. POOL AUDITOR 

a. Does the CPO have the Pool’s financial statements audited If "Yes", provide the following 

information: 

0925 

No Answer. 

b. Are the Pool’s audited financial statements distributed to the Pool’s participants 0935 

9. POOL MARKETERS 

a. Does the CPO use the services of third parties to market participations in the Pool 0945 

If “Yes,” provide the following information for each marketing firm: 

No Answer. 

10. POOL’S STATEMENT OF CHANGES CONCERNING ASSETS UNDER MANAGEMENT 

Provide the following information concerning the Pool’s activity during the Reporting Period. For the purposes of this question: 

a. The Assets Under Management and Net Asset Value at the beginning of the Reporting Period are considered to be the same as the 

assets under management and Net Asset Value at the end of the previous Reporting Period, in accordance with Commission Rule 4. 

25(a)(7)(A). 

b. The additions to the Pool include all additions whether voluntary or involuntary in accordance with Commission Rule 4.25(a)(7)(B). 

c. The withdrawals and redemptions from the Pool include all withdrawals or redemptions whether voluntary or not, in accordance with 

Commission Rule 4.25(a)(7)(C). 

d. The Pool’s Assets Under Management and Net Asset Value on the Reporting Date must be calculated by adding or subtracting from the 

Assets Under Management and Net Asset Value at the beginning of the Reporting Period, respectively, any additions, withdrawals, 

redemptions and net performance, as provided in Commission Rule 4.25(a)(7)(E). 

i. Pool’s Assets Under Management at the beginning of the Reporting Period 0 0360 

ii. Pool’s Net Asset Value at the beginning of the Reporting Period: 0 0370 

iii. Pool’s net income during the Reporting Period: 0 0380 

iv. Additions to the Pool during the Reporting Period: 0 0390 

v. Withdrawals and Redemptions from the Pool during the Reporting Period: 0 0400 

vi. Pool’s Assets Under Management on the Reporting Date: 0 0410 

vii. Pool’s Net Asset Value on the Reporting Date: 0 0420 

viii. Pool’s base currency: USD 0430 

11. POOL'S MONTHLY RATES OF RETURN 

P000000 - MY POOL LISA 

Month 2013 2012 2011 2010 2009 2008 2007 

Jan 

Feb 

1.00 

2.00 

9.00 

8.00 

Page 5 of 31 

Created On: 10/8/2013 1:29:06 PM



Feb 

Mar 

Apr 

May 

Jun 

Jul 

Aug 

Sep 

Oct 

Nov 

Dec 

ANNUAL 

2.00 

3.00 

4.00 

5.00 

6.00 

7.00 

8.00 

9.00 

8.00 

7.00 

6.00 

5.00 

4.00 

3.00 

2.00 

1.00 

2.00 

3.00 

4.00 

-.10 2.45 

87321 - TEST LAYER 1 

Month 2013 2012 2011 2010 2009 2008 2007 

Jan 

Feb 

Mar 

Apr 

May 

Jun 

Jul 

Aug 

Sep 

Oct 

Nov 

Dec 

ANNUAL -.10 2.45 

12. POOL SUBSCRIPTIONS AND REDEMPTIONS 

Provide the following information concerning subscriptions to and redemptions from the Pool during the Reporting Period 

a. Total Pool subscriptions by participants during the Reporting Period: 0 3720 

b. Total Pool redemptions by participants during the Reporting Period: 0 3725 

c. Are any Pool participants or share classes currently below the Pool’s high water mark 3735 

If “Yes,” provide the following information: 

Page 6 of 31 

Created On: 10/8/2013 1:29:06 PM




i. What is the percentage of participants below the Pool’s high water mark as of the Reporting Date 0 3745 

ii. What is the weighted average percentage of participants below the Pool’s high water mark as of the 

Reporting Date 

0 3750 

d. Provide the following information regarding the Pool’s restrictions on participant withdrawals and redemptions.(For Questions iv. and v., 

please note that the standards for imposing suspensions and restrictions on withdrawals/redemptions may vary among funds. Make a good 

faith determination of the provisions that would likely be triggered during conditions that you view as significant market stress.) 

i. Does the reporting fund provide participants with withdrawal/redemption rights in the ordinary course 

(If you responded “yes” to Question 12(d)(i), then you must respond to Questions 12(d)(ii)-(v).)As of the data reporting date, what percentage 

of the Pool’s net asset value, if any: 

ii. May be subjected to a suspension of participant withdrawals/redemptions CPO (this question 

relates to a CPO’s right to suspend and not just whether a suspension is currently effective) 

iii. May be subjected to material restrictions on participant withdrawals/ redemptions (e.g., “gates”) 

CPO (this question relates to a CPO’s right to impose a restriction and not just whether a restriction 

has been imposed) 

iv. Is subject to a suspension of participant withdrawals/redemptions (this question relates to whether 

a suspension is currently effective and not just a CPO’sright to suspend) 

v. Is subject to a material restriction on participant withdrawals/redemptions (e.g., a “gate”) (this 

question relates to whether a restriction has been imposed and not just a CPO’s right to impose a 

restriction) 

e. Has the Pool imposed a halt or any other material limitation on redemptions during the Reporting Period 


3765 

0 3775 

0 3780 

0 3790 

0 3795 

No 3805 

i. On what date was the halt or material limitation imposed 3815 

ii. If the halt or material limitation has been lifted, on what date was it lifted 3820 

iii. What disclosure was provided to participants to notify them that the halt or material limitation was being imposed What disclosure was 

provided to participants to notify them that the halt or material limitation was being lifted 

iv. On what date(s) was this disclosure provided 3835 

v. Briefly explain the halt or material limitation(s) on redemptions and the reason for such halt or material limitation(s): 

3830 

3845 

Page 7 of 31 

Created On: 10/8/2013 1:29:06 PM



Form CPO-PQR - Schedule B 

DETAILED INFORMATION ABOUT THE POOLS OPERATED BY CPOs 

1. POOL INFORMATION 

Provide the following general information concerning the Pool: 

a. Pool's name: MY POOL LISA 6001 

b. Pool's NFA ID#: P000000 6002 

c. Does the Pool have a single primary investment strategy or multiple strategies 

Single Primary Strategy 6003 Multiple Strategy 6004 

d. Indicate which of the investment strategies below best describe the reporting fund's strategies. For each strategy that you have selected, 

provide a good faith estimate of the percentage of the reporting fund's net asset value represented by that strategy. If, in your view, the 

reporting fund's allocation among strategies is appropriately represented by the percentage of deployed capital, you may also provide that 

information. 

Strategy % of NAV (required) % of capital (optional) 

Equity, Market Neutral 6005 0 6006 0 6007 

Equity, Long/Short 6008 0 6009 0 6010 

Equity, Short Bias 6011 0 6012 0 6013 

Equity, Fundamental 6014 0 6015 0 6016 

Macro, Active Trading (high frequency trading) 6017 0 6018 0 6019 

Macro, Commodity 6020 0 6021 0 6022 

Macro, Currency 6023 0 6024 0 6025 

Macro, Global Macro 6026 0 6027 0 6028 

Relative Value, Fixed Income Asset Backed 6029 0 6030 0 6031 

Relative Value, Fixed Income Convertible Arbitrage 6032 0 6033 0 6034 

Relative Value, Fixed Income Corporate 6035 0 6036 0 6037 

Relative Value, Fixed Income Sovereign 6038 0 6039 0 6040 

Relative Value, Volatility 6041 0 6042 0 6043 

Event Driven, Activist 6044 0 6045 0 6046 

Event Driven, Distressed/Restructuring 6047 0 6048 0 6049 

Event Driven, Risk Arbitrage/Merger Arbitrage 6050 0 6051 0 6052 

Event Driven, Equity Special Situations 6053 0 6054 0 6055 

Event Driven, Private Issue/Reg D 6056 0 6057 0 6058 

Credit, Fundamental 6059 0 6060 0 6061 

Managed Futures/CTA 6062 0 6063 0 6064 

Quantitative 6065 0 6066 0 6067 

Investment in other funds 6068 0 6069 0 6070 

Other 6071 6072 0 6073 0 6074 

e. Provide the approximate percentage of the Pool's portfolio that is managed using quantitative trading algorithms or quantitative techniques 

to select Page investments. 8 of 31 Do not include the use of algorithms used solely for trade execution: Created On: 10/8/2013 1:29:06 PM



e. Provide the approximate percentage of the Pool's portfolio that is managed using quantitative trading algorithms or quantitative techniques 

to select investments. Do not include the use of algorithms used solely for trade execution: 

0% 6075 51-75% 6079 

1-10% 6076 76-99% 6080 

11-25% 6077 100% 6081 

26-50% 6078 

f. Provide the following information concerning the Pool's participant concentration. Beneficial owners of Pool participations that are Affiliated 

Entities should be treated as a single participant: 

i. Total number of participants in the Pool: 0 6082 

ii. Percentage of the Pool that is beneficially owned by the five largest participants: 0 6083 

g. During the reporting period, approximately what percentage of the Pool's net asset value was managed using high-frequency trading 

strategies 

0% 6084 less than 10% 6088 

10-25% 6085 26-50% 6089 

51-75% 6086 76-99% 6090 

100% 6087 

2. POOL BORROWING AND TYPES OF CREDITORS 

a. Total Borrowings (dollar amount): 0 6091 

b. Percentage borrowed from U.S. Financial Institutions: 0 6092 

c. Percentage borrowed from non-U.S. Financial Institutions: 0 6093 

d. Percentage borrowed from U.S. creditors that are not Financial Institutions: 0 6094 

e. Percentage borrowed from non-U.S. creditors that are not Financial Institutions: 0 6095 

3. POOL COUNTERPARTY CREDIT EXPOSURE 

a. Provide the Pool's aggregate net counterparty credit exposure, measured in dollars: 0 6096 

b. Identify the five counterparties to which the reporting fund has the greatest mark-to-market net counterparty credit exposure, measured as 

a percentage of the reporting fund's net asset value. 

Legal name of the counterparty (or, if multiple 

affiliated entities, counterparties) 

Indicate below if the counterparty is affiliated 

with a major financial institution 

Exposure (% of reporting fund's 

net asset value) 

6097 6098 0 6099 

6100 6101 0 6102 

6103 6104 0 6105 

6106 6107 0 6108 

6109 6110 0 6111 

c. Identify the five counterparties that have the greatest mark-to-market net counterparty credit exposure to the reporting fund, measured in 

U.S. dollars. 

Legal name of the counterparty (or, if multiple 

affiliated entities, counterparties) 

Indicate below if the counterparty is affiliated 

with a major financial institution 

Exposure (in U.S. dollars) 

6112 6113 0 6114 

6115 6116 0 6117 

Page 9 of 31 

6118 6119 0 6120 

Created On: 10/8/2013 1:29:06 PM



6118 6119 0 6120 

6121 6122 0 6123 

6124 6125 0 6126 

d. Identify the three types of unregulated entities to which the Pool has the greatest net counterparty exposure, measured as a percentage of 

the Pool's Net Asset Value: 

Hedge Fund 6127 0 6128 Securitized Asset Fund 6129 0 6130 

Private Equity Fund 6131 0 6132 Other Private Fund 6133 0 6134 

Liquidity Fund 6135 0 6136 Sovereign Wealth Fund 6137 0 6138 

Venture Capital Fund 6139 0 6140 Other: 6141 6142 0 6143 

Real Estate Fund 6144 0 6145 

4. POOL TRADING AND CLEARING MECHANISMS 

Trading and Clearing of Derivatives 

a. For each of the following types derivatives that are traded by the Pool, estimate the percentage (in terms of notional value) of the Pool's 

activity that is traded on a regulated exchange as opposed to over-the-counter. 

Traded on a Regulated Exchange 

Traded Over-the-Counter 

Credit derivatives: 0 6146 0 6147 

Interest rate derivatives: 0 6148 0 6149 

Commodity derivatives: 0 6150 0 6151 

Equity derivatives: 0 6152 0 6153 

Foreign exchange derivatives: 0 6154 0 6155 

Asset backed securities derivatives: 0 6156 0 6157 

Other derivatives: 0 6158 0 6159 

b. For each of the following types derivatives that are traded by the Pool, estimate the percentage (in terms of notional value) of the Pool's 

activity that is cleared by a CCP as opposed to being transacted bilaterally (not cleared by a CCP). 

Cleared by a CCP 

Transacted Bilaterally 

Credit derivatives: 0 6160 0 6161 

Interest rate derivatives: 0 6162 0 6163 

Commodity derivatives: 0 6164 0 6165 

Equity derivatives: 0 6166 0 6167 

Foreign exchange derivatives: 0 6168 0 6169 

Asset backed securities derivatives: 0 6170 0 6171 

Other derivatives: 0 6172 0 6173 

c. For each of the following types securities that are traded by the Pool, estimate the percentage (in terms of market value) of the Pool's 

activity that is traded on a regulated exchange as opposed to over-the-counter. 

Traded on a Regulated Exchange 

Traded Over-the-Counter 

Equity securities: 0 6174 0 6175 

Debt securities: 0 6176 0 6177 

d. For each of the following types securities that are traded by the Pool, estimate the percentage (in terms of market value) of the Pool's 

activity that is cleared by a CCP as opposed to being transacted bilaterally (not cleared by a CCP). 

Page 10 of 31 

Created On: 10/8/2013 1:29:06 PM



Cleared by a CCP 

Transacted Bilaterally 

Equity securities: 0 6178 0 6179 

Debt securities: 0 6180 0 6181 

Clearing of Repos 

e. For the repo trades into which the Pool has entered, estimate the percentages (in terms of market value) of the Pool's repo trades that are 

cleared by a CCP, that are transacted bilaterally (not cleared by a CCP) and that constitute a tri-party repo. 

Cleared by a CCP Transacted Bilaterally Tri-Party Repo 

Repo 0 6182 0 6183 0 6184 

5. VALUE OF THE POOL'S AGGREGATED DERIVATIVE POSITIONS 

Provide the aggregate value of all derivative positions of the Pool. The value of any derivative should be its total gross notional value, except 

that the value of an option should be its delta adjusted notional value. Do not net long and short positions. 

Aggregate value of derivative positions: 0 6185 

6. POOL SCHEDULE OF INVESTMENTS 

Provide the Pool's investments in each of the subcategories listed under the following seven headings: (1) Cash; (2) Equities; (3) Alternative 

Investments; (4) Fixed Income; (5) Derivatives; (6) Options; and (7) Funds. 

CASH 

Total Cash 500 6186 

At Carrying Broker 500 6187 

At Bank 0 6188 

EQUITIES Long Short 

Total Listed Equities 0 6189 0 6190 

Stocks 0 6191 0 6192 

a. Energy and Utilities 0 6193 0 6194 

b. Technology 0 6195 0 6196 

c. Media 0 6197 0 6198 

d. Telecommunication 0 6199 0 6200 

e. Healthcare 0 6201 0 6202 

f. Consumer Services 0 6203 0 6204 

g. Business Services 0 6205 0 6206 

h. Issued by Financial Institutions 0 6207 0 6208 

i. Consumer Goods 0 6209 0 6210 

j. Industrial Materials 0 6211 0 6212 

Exchange Traded Funds 0 6213 0 6214 

American Deposit Receipts 0 6215 0 6216 

Other 0 6217 0 6218 

Total Unlisted Equities 0 6219 0 6220 

Page 11 of 31 

Created On: 10/8/2013 1:29:06 PM



Total Unlisted Equities 0 6219 0 6220 

Unlisted Equities Issued by Financial Institutions 0 6221 0 6222 

ALTERNATIVE INVESTMENTS Long Short 

Total Alternative Investments 0 6223 0 6224 

Real Estate 0 6225 0 6226 

a. Commercial 0 6227 0 6228 

b. Residential 0 6229 0 6230 

Private Equity 0 6231 0 6232 

Venture Capital 0 6233 0 6234 

Forex 0 6235 0 6236 

Spot 0 6237 0 6238 

a. Total Metals 0 6239 0 6240 

i. Gold 0 6241 0 6242 

b. Total Energy 0 6243 0 6244 

i. Crude oil 0 6245 0 6246 

ii. Natural gas 0 6247 0 6248 

iii. Power 0 6249 0 6250 

c. Other 0 6251 0 6252 

Loans to Affiliates 0 6253 0 6254 

Promissory Notes 0 6255 0 6256 

Physicals 0 6257 0 6258 

a. Total Metals 0 6259 0 6260 

i. Gold 0 6261 0 6262 

b. Agriculture 0 6263 0 6264 

c. Total Energy 0 6265 0 6266 

i. Crude oil 0 6267 0 6268 


iii. Power 0 6271 0 6272 

Other 0 6273 0 6274 

FIXED INCOME Long Short 

Total Fixed Income 0 6275 0 6276 

Notes, Bonds and Bills 0 6277 0 6278 

a. Corporate 0 6279 0 6280 

i. Investment grade 0 6281 0 6282 

ii. Non-investment grade 0 6283 0 6284 

Page 12 of 31 

Created On: 10/8/2013 1:29:06 PM




b. Municipal 0 6285 0 6286 

c. Government 0 6287 0 6288 

i. U.S. Treasury securities 0 6289 0 6290 

ii. Agency securities 0 6291 0 6292 

iii. Foreign (G10 countries) 0 6293 0 6294 

IV. Foreign (all other) 0 6295 0 6296 

d. Govn't Sponsored 0 6297 0 6298 

e. Convertible 0 6299 0 6300 

i. Investment grade 0 6301 0 6302 


Certificates of Deposit 0 6305 0 6306 

a. U.S. 0 6307 0 6308 

b. Foreign 0 6309 0 6310 

Asset Backed Securities 

a. Mortgage Backed Securities 0 6311 0 6312 

i. Commercial Securitizations 0 6313 0 6314 

A. Senior or higher 0 6315 0 6316 

B. Mezzanine 0 6317 0 6318 

C. Junior/Equity 0 6319 0 6320 

ii. Commercial Resecuritizations 0 6321 0 6322 


B. Mezzanine 0 6325 0 6326 


iii. Residential Securitizations 0 6329 0 6330 


B. Mezzanine 0 6333 0 6334 


iv. Residential Resecuritizations 0 6337 0 6338 


B. Mezzanine 0 6341 0 6342 


v. Agency Securitizations 0 6345 0 6346 


B. Mezzanine 0 6349 0 6350 


vi. Agency Resecuritizations 0 6353 0 6354 

Page 13 of 31 

Created On: 10/8/2013 1:29:06 PM



vi. Agency Resecuritizations 0 6353 0 6354 


B. Mezzanine 0 6357 0 6358 


b. CDO Securitizations 0 6361 0 6362 

i. Senior or higher 0 6363 0 6364 

ii. Mezzanine 0 6365 0 6366 

iii. Junior/Equity 0 6367 0 6368 

c. CDO Resecuritizations 0 6369 0 6370 


ii. Mezzanine 0 6373 0 6374 


d. CLOs Securitizations 0 6377 0 6378 


ii. Mezzanine 0 6381 0 6382 


e. CLO Resecuritizations 0 6385 0 6386 


ii. Mezzanine 0 6389 0 6390 


f. Credit Card Securitizations 0 6393 0 6394 


ii. Mezzanine 0 6397 0 6398 


g. Credit Card Resecuritizations 0 6401 0 6402 


ii. Mezzanine 0 6405 0 6406 


h. Auto-Loan Securitizations 0 6409 0 6410 


ii. Mezzanine 0 6413 0 6414 


i. Auto-Loan Resecuritizations 0 6417 0 6418 


ii. Mezzanine 0 6421 0 6422 


j. Other 0 6425 0 6426 

Page 14 of 31 

Created On: 10/8/2013 1:29:06 PM



j. Other 0 6425 0 6426 


ii. Mezzanine 0 6429 0 6430 


Repos 0 6433 0 6434 

Reverse Repos 0 6435 0 6436 

DERIVATIVES Positive OTE Negative OTE 

Total Derivatives 0 6437 0 6438 

Futures 0 6439 0 6440 

a. Indices 0 6441 0 6442 

i. Equity 0 6443 0 6444 

ii. Commodity 0 6445 0 6446 

b. Metals 0 6447 0 6448 

i. Gold 0 6449 0 6450 

c. Agriculture 0 6451 0 6452 

d. Energy 0 6453 0 6454 

i. Crude oil 0 6455 0 6456 


iii. Power 0 6459 0 6460 

e. Interest Rate 0 6461 0 6462 

f. Currency 0 6463 0 6464 

g. Related to Financial Institutions 0 6465 0 6466 

h. Other 0 6467 0 6468 

Forwards 0 6469 0 6470 

Swaps 0 6471 0 6472 

a. Interest Rate Swap 0 6473 0 6474 

b. Equity/Index Swap 0 6475 0 6476 

c. Dividend Swap 0 6477 0 6478 

d. Currency Swap 0 6479 0 6480 

e. Variance Swap 0 6481 0 6482 

f. Credit Default Swap 0 6483 0 6484 

i. Single name CDS 0 6485 0 6486 

A. Related to Financial Institutions 0 6487 0 6488 

ii. Index CDS 0 6489 0 6490 

iii. Exotic CDS 0 6491 0 6492 

g. OTC Swap 0 6493 0 6494 

Page 15 of 31 

Created On: 10/8/2013 1:29:06 PM



g. OTC Swap 0 6493 0 6494 

i. Related to Financial Institutions 0 6495 0 6496 

h. Total Return Swap 0 6497 0 6498 

i. Other 0 6499 0 6500 

OPTIONS Long Option Value Short Option Value 

Total Options 0 6501 0 6502 

Futures 0 6503 0 6504 

a. Indices 0 6505 0 6506 

i. Equity 0 6507 0 6508 

ii. Commodity 0 6509 0 6510 

b. Metals 0 6511 0 6512 

i. Gold 0 6513 0 6514 

c. Agriculture 0 6515 0 6516 

d. Energy 0 6517 0 6518 

i. Crude oil 0 6519 0 6520 

ii. Natural Gas 0 6521 0 6522 

iii. Power 0 6523 0 6524 

e. Interest Rate 0 6525 0 6526 

f. Currency 0 6527 0 6528 

g. Related to Financial Institutions 0 6529 0 6530 

h. Other 0 6531 0 6532 

Stocks 0 6533 0 6534 

a. Related to Financial Institutions 0 6535 0 6536 

Customized/OTC 0 6537 0 6538 

Physicals 0 6539 0 6540 

a. Metals 0 6541 0 6542 

i. Gold 0 6543 0 6544 

b. Agriculture 0 6545 0 6546 

c. Currency 0 6547 0 6548 

d. Energy 0 6549 0 6550 

i. Crude oil 0 6551 0 6552 


iii. Power 0 6555 0 6556 

e. Other 0 6557 0 6558 

FUNDS 

Page 16 of 31 

Long 

Created On: 10/8/2013 1:29:06 PM



FUNDS 

Long 

Total Funds 0 6559 

Mutual Fund 0 6560 

a. U.S. 0 6561 

b. Foreign 0 6562 

NFA Listed Fund 0 6563 

Hedge Fund 0 6564 

Equity Fund 0 6565 

Money Market Fund 0 6566 

Private Equity Fund 0 6567 

REIT 0 6568 

Other Private Funds 0 6569 

Funds and accounts other than private funds (i.e., the remainder of your assets under management) 0 6570 

Itemized data has not been entered. 

7. MISCELLANEOUS 

No Answer. 

Page 17 of 31 

Created On: 10/8/2013 1:29:06 PM



Form CPO-PQR - Schedule C 

PART 2 - INFORMATION ABOUT THE LARGE POOLS OF LARGE CPOs 

1. LARGE POOL INFORMATION 

Provide the following general information concerning the Large Pool: 

a. Large Pool’s name: MY POOL LISA 6574 

b. Large Pool’s NFA ID#: P000000 6575 

c. If the Pool has a co-CPO, or co-CPOs provide the name of CPO reporting the Pool’s information: 6576 

d. Total unencumbered cash held by the Large Pool at the close of each month during the Reporting Period: 


Unencumbered Cash: 0 6577 0 6578 0 6579 

e. Total number of open positions (approximate) held by the Large Pool at the close of each month during the Reporting Period: 


Open Positions: 0 6580 0 6581 0 6582 

2. LIQUIDITY OF LARGE POOL’S PORTFOLIO 

Percentage of Portfolio 

Capable of Liquidation in: 

1 day or less: 0 6583 

2 days - 7 days: 0 6584 

8 days - 30 days: 0 6585 

31 days - 90 days: 0 6586 

91 days - 180 days: 0 6587 

181 days - 365 days: 0 6588 

longer than 365 days: 0 6589 

3. LARGE POOL COUNTERPARTY CREDIT EXPOSURE 

a. For each of the five counterparties identified in question 3.b. of Schedule B, provide the following information regarding the collateral and 

other credit support that the counterparty has posted to the Large Pool. 

i. For the counterparty listed in Box6097: Provide the following values of the collateral posted to the Large Pool: 

Initial Margin/ Independent 

Amounts 

Variation Margin 

Value of collateral posed in the form of cash and cash equivalents: 0 7500 0 7501 

Value of collateral posed in the form of securities (other than 

cash /cash equivalents): 

0 7502 0 7503 

Value of all other collateral posted: 0 7504 0 7505 

ii. For the counterparty listed in Box6097: Provide the following percentages of margin amounts that have been rehypothecated or may 

be rehypothecated by the Large Pool: 

May be Rehypothecated 

The Large Pool has 

Rehypothecated 

Page 18 of 31 

Created On: 10/8/2013 1:29:06 PM



Percentage of initial margin/independent amounts that: 0 7506 0 7507 

Percentage of variation margin that: 0 7508 0 7509 

iii. For the counterparty listed in Box6097: Provide the face amount of letters of credit or other 

similar third party credit support posted to the Large Pool: 

0 7510 



Amounts 





0 7522 0 7523 









iii. For the counterparty listed in Box6100:Provide the face amount of letters of credit or other 


0 7530 



Amounts 





0 7542 0 7543 











0 7550 



Amounts 





0 7562 0 7563 









Page 19 of 31 

Created On: 10/8/2013 1:29:06 PM






0 7570 

i.For the counterparty listed in Box6109: Provide the following values of the collateral posted to the Large Pool: 


Amounts 





0 7582 0 7583 









iii.For the counterparty listed in Box6109: Provide the face amount of letters of credit or other 


0 7590 

b. For each of the five counterparties identified in question 3.c. of Schedule B, provide the following information regarding the collateral and 

other credit support that the Large Pool has posted to the counterparty. 

i. For the counterparty listed in Box6112: Provide the following values of the collateral posted by the Large Pool to the counterparty: 


Amounts 





0 7513 0 7514 


ii. For the counterparty listed in Box6112: Provide the following percentages of margin amounts posted by the Large Pool that have been 

rehypothecated or may be rehypothecated by the counterparty: 


Percentage of initial margin/independent amounts that: 0 7517 

Percentage of variation margin that: 0 7518 


similar third party credit support posted by the Large Pool to the counterparty: 

0 7519 



Amounts 





0 7533 0 7534 







Page 20 of 31 

Created On: 10/8/2013 1:29:06 PM






0 7539 



Amounts 





0 7553 0 7554 









0 7559 



Amounts 





0 7573 0 7574 









0 7579 



Amounts 





0 7593 0 7594 









0 7599 

c. During the reporting period did the pool clear any transactions through a CCP 6610 

Page 21 of 31 

Created On: 10/8/2013 1:29:06 PM



c. During the reporting period did the pool clear any transactions through a CCP 6610 

4. LARGE POOL RISK METRICS 

Provide the following information concerning the Large Pool’s risk metrics during the Reporting Period: 

a. Did the Large CPO regularly calculate the VaR of the Large Pool during the Reporting Period: 6611 

b. If "Yes," provide the following information concerning the VaR calculation(s). If you regularly calculate the VaR of the Large Pool using 

multiple combinations of confidence interval, horizon and historical observation period, complete a separate question 4.b. of Part 2 of 

Schedule C for each such combination. 

i. What confidence interval was used (e.g. 1 - alpha) (as a percentage): 0 6612 

ii. What time horizon was used (in number of days): 0 6613 

iii. What weighting method was used: 

None 6614 Other: 6615 0 6616 

Exponential 6617 

If "exponential" provide the weighting factor used: 0 6618 

iv. What method was used to calculate VaR: 

Historical simulation 6619 

Parametric 6620 

Monte Carlo simulation 6621 

Other: 6622 0 6623 

v. Historical look-back period used, if applicable: 0 6624 

vi. Under the above parameters, what was VaR for the Large Pool for each of the three months of the Reporting Period, 

percent of Net Asset Value: 


stated as a 

VaR 0 6625 0 6626 0 6627 

c. Are there any risk metrics other than (or in addition to) VaR that you consider to be important to the reporting fund’s risk management 

(If none, “None.”) 0 6628 

d. For each of the market factors specified below, determine the effect that each specified change would have on the Large Pool’s portfolio 

and provide the results, stated as a percent of Net Asset Value. 

Not Relevant 

Relevant 

Market Factor: 

Equity Prices 

Effect on long component 

of portfolio (as % of NAV) 

Effect on short 

component of portfolio 

(as % of NAV) 

6629 6630 

Equity prices increase 5% 0 6631 0 6632 

Equity prices decrease 5% 0 6633 0 6634 

Equity prices increase 20% 0 6635 0 6636 

Equity prices decrease 20% 0 6637 0 6638 

Not Relevant 

Relevant 


Risk Free Interest 

Rates 





(as % of NAV) 

6639 6640 

Page 22 of 31 

Created On: 10/8/2013 1:29:06 PM



6639 6640 

Risk free interest rates increase 

25 bp 

Risk free interest rates 

decrease 25 bp 

Risk free interest rates increase 

75 bp 

Risk free interest rates 

decrease 75 bp 

0 6641 0 6642 

0 6643 0 6644 

0 6645 0 6646 

0 6647 0 6648 

Not Relevant 

Relevant 


Credit Spreads 





(as % of NAV) 

6649 6650 

Credit spreads increase 50bp 0 6651 0 6652 

Credit spreads decrease 50 bp 0 6653 0 6654 

Credit spreads increase 250 bp 0 6655 0 6656 

Credit spreads decrease 250 

bp 

0 6657 0 6658 

Not Relevant 

Relevant 


Currency Rates 





(as % of NAV) 

6659 6660 

Currency rates increase 5% 0 6661 0 6662 

Currency rates decrease 5% 0 6663 0 6664 

Currency rates increase 20% 0 6665 0 6666 

Currency rates decrease 20% 0 6667 0 6668 

Not Relevant 

Relevant 


Commodity 

Prices 





(as % of NAV) 

6669 6670 

Commodity prices increase 

10% 

Commodity prices decrease 

10% 

Commodity prices increase 

40% 

Commodity prices decrease 

40% 

0 6671 0 6672 

0 6673 0 6674 

0 6675 0 6676 

0 6677 0 6678 

Not Relevant 

Relevant 

Market Factor: Options 

Implied Volatility 





(as % of NAV) 

6679 6680 

Page 23 of 31 

Implied volatilities increase 4 

percentage points 

0 6681 0 6682 

Created On: 10/8/2013 1:29:06 PM



Implied volatilities decrease 4 


Implied volatilities increase 10 


Implied volatilities decrease 10 


0 6683 0 6684 

0 6685 0 6686 

0 6687 0 6688 

Not Relevant 

Relevant 

Market Factor: Default Rates 

for ABS 





(as % of NAV) 

6689 6690 

Default rates increase 1 

percentage point 

Default rates decrease 1 






0 6691 0 6692 

0 6693 0 6694 

0 6695 0 6696 

0 6697 0 6698 

Not Relevant 

Relevant 

Market Factor: Default Rates 

for Corporate Bonds 





(as % of NAV) 

6699 6700 









0 6701 0 6702 

0 6703 0 6704 

0 6705 0 6706 

0 6707 0 6708 

5. LARGE POOL BORROWING INFORMATION 

a. Unsecured Borrowing: 


Total Dollar amount: 0 6709 0 6710 0 6711 

Percentage borrowed from U.S. 

Financial Institutions 

Percentage borrowed from 

Non-U.S. Financial Institutions 

Percentage borrowed from non- 

U.S, creditors that are not 


Percentage borrowed from U.S 

creditors that are not Financial 

Institutions 

0 6712 0 6713 0 6714 

0 6715 0 6716 0 6717 

0 6718 0 6719 0 6720 

0 6721 0 6722 0 6723 

b. Secured Borrowing: 

i. Via prime brokerage: 

Page 24 of 31 


Created On: 10/8/2013 1:29:06 PM





Value of collateral posted in the 

form of cash and cash 

equivalents 


form of securities (not cash/cash 

equivalents) 

0 6727 0 6728 0 6729 

0 6730 0 6731 0 6732 

Value of other collateral posted 0 6733 0 6734 0 6735 

Face amount of letters of credit 

(or similar third party credit 

support) posted 

Percentage of posted collateral 

that may be rehypothecated 







Institutions 

0 6736 0 6737 0 6738 

0 6739 0 6740 0 6741 

0 6750 0 6742 0 6743 

0 6744 0 6745 0 6746 

0 6747 0 6748 0 6749 

ii. Via repo. For the questions concerning collateral via repo, include as collateral any assets sold in connection 

as any variation margin. 

with the repo as well 





equivalents 



equivalents) 

0 6754 0 6755 0 6756 

0 6757 0 6758 0 6759 













Institutions 

iii. Other Secured Borrowings: 

0 6763 0 6764 0 6765 

0 6766 0 6767 0 6768 

0 6769 0 6770 0 6771 

0 6772 0 6773 0 6774 

0 6775 0 6776 0 6777 





equivalents 



equivalents) 

Page 25 of 31 

0 6781 0 6782 0 6783 

0 6784 0 6785 0 6786 

Created On: 10/8/2013 1:29:06 PM



equivalents) 













Institutions 

0 6790 0 6791 0 6792 

0 6793 0 6794 0 6795 

0 6796 0 6797 0 6798 

0 6799 0 6800 0 6801 

0 6802 0 6803 0 6804 

6 LARGE POOL DERIVATIVE POSITIONS AND POSTED COLLATERAL 

Aggregate value of all derivative 

positions: 


0 6805 0 6806 0 6807 

Value of collateral posted in the form of cash and cash equivalents 

As initial margin/independent 

amounts: 

0 6808 0 6809 0 6810 

As variation margin: 0 6811 0 6812 0 6813 

Value of collateral posted in the form of securities (not cash/cash equivalents) 


amounts: 

0 6814 0 6815 0 6816 


Value of other collateral posted 


amounts: 

0 6820 0 6821 0 6822 





Percentage of initial 

margin/independent amounts that 

may be rehypothecated: 

Percentage of variation margin 

that may be rehypothecated: 

0 6826 0 6827 0 6828 

0 6829 0 6830 0 6831 

0 6832 0 6833 0 6834 

7. LARGE POOL FINANCING LIQUIDITY 

Provide the following information concerning the Large Pool’s financing liquidity: 

a. Provide the aggregate dollar amount of cash financing drawn by or available to the Large Pool, 

including all drawn and undrawn, committed and uncommitted lines of credit as well as any term 

financing: 

0 6835 

b. Below, enter the percentage of cash financing (as stated in response to question 7.a.) that is contractually committed to the Large Pool by 

its creditor(s) for the specified periods of time. 

Percentage of Total Financing: 


Page 26 of 31 

Created On: 10/8/2013 1:29:06 PM




2 days - 7 days: 0 6837 

8 days - 30 days: 0 6838 

31 days - 90 days: 0 6839 

91 days - 180 days: 0 6840 

181 days - 364 days: 0 6841 

365 days or longer: 0 6842 

8. LARGE POOL PARTICIPANT INFORMATION 

Provide the following information concerning the Large Pool’s participants: 

a. As of the Reporting Date, what percentage of the Large Pool’s Net Asset Value: 

Percentage of 

Large Pool’s NAV 

Is subject to a "side pocket" arrangement: 0 6843 

May be subject to a suspension of participant withdrawal or redemption by the Large CPO or other 

governing body: 

May be subject to material restrictions of participant withdrawal or redemption by the Large CPO or 

other governing body: 

0 6844 

0 6845 

Is subject to a daily margin requirement: 0 6846 

b. For within the specified periods of time below, enter the percentage of the Large Pool's Net Asset Value that could have been withdrawn or 

redeemed by the Large Pool's participants as of the Reporting Date. 

Percentage of 

Total Financing: 


2 days - 7 days: 0 6848 

8 days - 30 days: 0 6849 

31 days - 90 days: 0 6850 

91 days - 180 days: 0 6851 

181 days - 364 days: 0 6852 

365 days or longer: 0 6853 

9. DURATION OF LARGE POOL'S FIXED INCOME ASSETS 

1st Month 2nd Month 3rd Month 

LV SV LV SV LV 

a. Listed equity 

i. Issued by financial institutions 0 6854 0 6855 0 6856 0 6857 0 6858 0 6859 

ii. Other listed equity 0 6860 0 6861 0 6862 0 6863 0 6864 0 6865 

b. Unlisted equity 


Page 27 of 31 

Created On: 10/8/2013 1:29:06 PM




ii. Other listed equity 0 6872 0 6873 0 6874 0 6875 0 6876 0 6877 

c. Listed equity derivatives 

i. Related to financial institutions 0 6878 0 6879 0 6880 0 6881 0 6882 0 6883 

ii. Other listed equity derivatives 0 6884 0 6885 0 6886 0 6887 0 6888 0 6889 

d. Derivative exposures to unlisted equities 

i. Related to financial institutions 0 6890 0 6891 0 6892 0 6893 0 6894 0 6895 

ii. Other derivative exposures to 

unlisted equities 

e. Corporate bonds issued by financial institutions (other than convertible bonds) 

0 6896 0 6897 0 6898 0 6899 0 6900 0 6901 

i. Investment grade 0 6902 0 6903 0 6904 0 6905 0 6906 0 6907 

Duration 6908 WAT 6909 

10-year eq 6910 0 6911 0 6912 0 6913 0 6914 0 6915 0 6916 

ii. Non-investment grade 0 6917 0 6918 0 6919 0 6920 0 6921 0 6922 


10-year eq 6925 0 6926 0 6927 0 6928 0 6929 0 6930 0 6931 

f. Corporate bonds not issued by financial institutions (other than convertible bonds) 



10-year eq 6940 0 6941 0 6942 0 6943 0 6944 0 6945 0 6946 



10-year eq 6955 0 6956 0 6957 0 6958 0 6959 0 6960 0 6961 

g. Convertible bonds issued by financial institutions 



10-year eq 6970 0 6971 0 6972 0 6973 0 6974 0 6975 0 6976 



10-year eq 6985 0 6986 0 6987 0 6988 0 6989 0 6990 0 6991 

h. Convertible bonds not issued by financial institutions 



10-year eq 7000 0 7001 0 7002 0 7003 0 7004 0 7005 0 7006 



10-year eq 7015 0 7016 0 7017 0 7018 0 7019 0 7020 0 7021 

i. Sovereign bonds and municipal bonds 

Page 28 of 31 

Created On: 10/8/2013 1:29:06 PM



i. Sovereign bonds and municipal bonds 

i. U.S. treasury securities 0 7022 0 7023 0 7024 0 7025 0 7026 0 7027 


10-year eq 7030 0 7031 0 7032 0 7033 0 7034 0 7035 0 7036 

ii. Agency securities 0 7037 0 7038 0 7039 0 7040 0 7041 0 7042 


10-year eq 7045 0 7046 0 7047 0 7048 0 7049 0 7050 0 7051 

iii. GSE bonds 0 7052 0 7053 0 7054 0 7055 0 7056 0 7057 


10-year eq 7060 0 7061 0 7062 0 7063 0 7064 0 7065 0 7066 

iv. Sovereign bonds issued by G10 

countries other than the U.S. 

0 7067 0 7068 0 7069 0 7070 0 7071 0 7072 


10-year eq 7075 0 7076 0 7077 0 7078 0 7079 0 7080 0 7081 

v. Other sovereign bonds (including 

supranational bonds) 

0 7082 0 7083 0 7084 0 7085 0 7086 0 7087 


10-year eq 7090 0 7091 0 7092 0 7093 0 7094 0 7095 0 7096 

vi. U.S. state and local bonds 0 7097 0 7098 0 7099 0 7100 0 7101 0 7102 


10-year eq 7105 0 7106 0 7107 0 7108 0 7109 0 7110 0 7111 

j. Loans 

i. Leveraged loans 0 7112 0 7113 0 7114 0 7115 0 7116 0 7117 


10-year eq 7120 0 7121 0 7122 0 7123 0 7124 0 7125 0 7126 

ii. Other loans (not including repos) 0 7127 0 7128 0 7129 0 7130 0 7131 0 7132 


10-year eq 7135 0 7136 0 7137 0 7138 0 7139 0 7140 0 7141 

k. Repos 0 7142 0 7143 0 7144 0 7145 0 7146 0 7147 


10-year eq 7150 0 7151 0 7152 0 7153 0 7154 0 7155 0 7156 

l. ABS/structured products 

i. MBS 0 7157 0 7158 0 7159 0 7160 0 7161 0 7162 


10-year eq 7165 0 7166 0 7167 0 7168 0 7169 0 7170 0 7171 

ii. ABCP 0 7172 0 7173 0 7174 0 7175 0 7176 0 7177 


10-year eq 7180 0 7181 0 7182 0 7183 0 7184 0 7185 0 7186 

iii. CDO/CLO 0 7187 0 7188 0 7189 0 7190 0 7191 0 7192 

Page 29 of 31 

Created On: 10/8/2013 1:29:06 PM



iii. CDO/CLO 0 7187 0 7188 0 7189 0 7190 0 7191 0 7192 


10-year eq 7195 0 7196 0 7197 0 7198 0 7199 0 7200 0 7201 

iv. Other ABS 0 7202 0 7203 0 7204 0 7205 0 7206 0 7207 


10-year eq 7210 0 7211 0 7212 0 7213 0 7214 0 7215 0 7216 

v. Other structured products 0 7217 0 7218 0 7219 0 7220 0 7221 0 7222 

m. Credit derivatives 

i. Single name CDS 0 7223 0 7224 0 7225 0 7226 0 7227 0 7228 

ii. Index CDS 0 7229 0 7230 0 7231 0 7232 0 7233 0 7234 

iii. Exotic CDS 0 7235 0 7236 0 7237 0 7238 0 7239 0 7240 

n. Foreign exchange derivatives 

(investment) 

o. Foreign exchange derivatives 

(hedging) 

0 7241 0 7242 0 7243 0 7244 0 7245 0 7246 

0 7247 0 7248 0 7249 0 7250 0 7251 0 7252 

p. Non-U.S. currency holdings 0 7253 0 7254 0 7255 0 7256 0 7257 0 7258 

q. Interest rate derivatives 0 7259 0 7260 0 7261 0 7262 0 7263 0 7264 

r. Commodities (derivatives) 

i. Crude oil 0 7265 0 7266 0 7267 0 7268 0 7269 0 7270 

ii. Natural gas 0 7271 0 7272 0 7273 0 7274 0 7275 0 7276 

iii. Gold 0 7277 0 7278 0 7279 0 7280 0 7281 0 7282 

iv. Power 0 7283 0 7284 0 7285 0 7286 0 7287 0 7288 

v. Other commodities 0 7289 0 7290 0 7291 0 7292 0 7293 0 7294 

s. Commodities (physical) 

i. Crude oil 0 7295 0 7296 0 7297 0 7298 0 7299 0 7300 

ii. Natural gas 0 7301 0 7302 0 7303 0 7304 0 7305 0 7306 

iii. Gold 0 7307 0 7308 0 7309 0 7310 0 7311 0 7312 

iv. Power 0 7313 0 7314 0 7315 0 7316 0 7317 0 7318 

v. Other commodities 0 7319 0 7320 0 7321 0 7322 0 7323 0 7324 

t. Other derivatives 0 7325 0 7326 0 7327 0 7328 0 7329 0 7330 

u. Physical real estate 0 7331 0 7332 0 7333 0 7334 0 7335 0 7336 

v. Investments in internal private funds 0 7337 0 7338 0 7339 0 7340 0 7341 0 7342 

w. Investments in external private funds 0 7343 0 7344 0 7345 0 7346 0 7347 0 7348 

x. Investments in registered 

investmentcompanies 

0 7349 0 7350 0 7351 0 7352 0 7353 0 7354 

y. Cash and cash equivalents 

i. Certificates of deposit 0 7355 0 7356 0 7357 0 7358 0 7359 0 7360 


10-year eq 7363 0 7364 0 7365 0 7366 0 7367 0 7368 0 7369 

Page 30 of 31 

Created On: 10/8/2013 1:29:06 PM



10-year eq 7363 0 7364 0 7365 0 7366 0 7367 0 7368 0 7369 

ii. Other deposits 0 7370 0 7371 0 7372 0 7373 0 7374 0 7375 

iii. Money market funds 0 7376 0 7377 0 7378 0 7379 0 7380 0 7381 

iv. Other cash and cash equivalents 

(excluding government securities) 

z. Investments in funds for cash 

management purposes (other than 

money market funds) 

aa. Investments in other sub-asset 

classes 

0 7382 0 7383 0 7384 0 7385 0 7386 0 7387 

0 7388 0 7389 0 7390 0 7391 0 7392 0 7393 

0 7394 0 7395 0 7396 0 7397 0 7398 0 7399 

10. MISCELLANEOUS 

No Answer. 

Page 31 of 31 

Created On: 10/8/2013 1:29:06 PM

EasyFile CFTC Form PQR Template

Create successful ePaper yourself

Delete template?

Save as template?