EasyFile CFTC Form PQR Template

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POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS Name: MY POOL LISA Ending Date: 9/30/2013 NFA ID: P087320 Percentage of variation margin that: 0 7538 iii. For the counterparty listed in Box6115: Provide the face amount of letters of credit or other similar third party credit support posted by the Large Pool to the counterparty: 0 7539 i. For the counterparty listed in Box6118: Provide the following values of the collateral posted by the Large Pool to the counterparty: Initial Margin/ Independent Amounts Variation Margin Value of collateral posed in the form of cash and cash equivalents: 0 7551 0 7552 Value of collateral posed in the form of securities (other than cash /cash equivalents): 0 7553 0 7554 Value of all other collateral posted: 0 7555 0 7556 ii. For the counterparty listed in Box6118: Provide the following percentages of margin amounts posted by the Large Pool that have been rehypothecated or may be rehypothecated by the counterparty: May be Rehypothecated Percentage of initial margin/independent amounts that: 0 7557 Percentage of variation margin that: 0 7558 iii. For the counterparty listed in Box6118: Provide the face amount of letters of credit or other similar third party credit support posted by the Large Pool to the counterparty: 0 7559 i. For the counterparty listed in Box6121: Provide the following values of the collateral posted by the Large Pool to the counterparty: Initial Margin/ Independent Amounts Variation Margin Value of collateral posed in the form of cash and cash equivalents: 0 7571 0 7572 Value of collateral posed in the form of securities (other than cash /cash equivalents): 0 7573 0 7574 Value of all other collateral posted: 0 7575 0 7576 ii. For the counterparty listed in Box6121: Provide the following percentages of margin amounts posted by the Large Pool that have been rehypothecated or may be rehypothecated by the counterparty: May be Rehypothecated Percentage of initial margin/independent amounts that: 0 7577 Percentage of variation margin that: 0 7578 iii. For the counterparty listed in Box6121:Provide the face amount of letters of credit or other similar third party credit support posted by the Large Pool to the counterparty: 0 7579 i. For the counterparty listed in Box6124: Provide the following values of the collateral posted by the Large Pool to the counterparty: Initial Margin/ Independent Amounts Variation Margin Value of collateral posed in the form of cash and cash equivalents: 0 7591 0 7592 Value of collateral posed in the form of securities (other than cash /cash equivalents): 0 7593 0 7594 Value of all other collateral posted: 0 7595 0 7596 ii. For the counterparty listed in Box6124: Provide the following percentages of margin amounts posted by the Large Pool that have been rehypothecated or may be rehypothecated by the counterparty: May be Rehypothecated Percentage of initial margin/independent amounts that: 0 7597 Percentage of variation margin that: 0 7598 iii. For the counterparty listed in Box6124: Provide the face amount of letters of credit or other similar third party credit support posted by the Large Pool to the counterparty: 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
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS Name: MY POOL LISA Ending Date: 9/30/2013 NFA ID: P087320 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: First Month Second Month Third Month 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 Market Factor: Risk Free Interest Rates Effect on long component of portfolio (as % of NAV) Effect on short component of portfolio (as % of NAV) 6639 6640 Page 22 of 31 Created On: 10/8/2013 1:29:06 PM
Page 1 and 2: POOL QUARTERLY REPORT FOR COMMODITY
Page 3 and 4: Form CPO-PQR - Schedule C 1. GEOGRA
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