EasyFile CFTC Form PQR Template
EasyFile CFTC Form PQR Template
EasyFile CFTC Form PQR Template
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
POOL QUARTERLY REPORT FOR COMMODITY POOL OPERATORS<br />
Name: MY POOL LISA Ending Date: 9/30/2013 NFA ID: P087320<br />
Implied volatilities decrease 4<br />
percentage points<br />
Implied volatilities increase 10<br />
percentage points<br />
Implied volatilities decrease 10<br />
percentage points<br />
0 6683 0 6684<br />
0 6685 0 6686<br />
0 6687 0 6688<br />
Not Relevant<br />
Relevant<br />
Market Factor: Default Rates<br />
for ABS<br />
Effect on long component<br />
of portfolio (as % of NAV)<br />
Effect on short<br />
component of portfolio<br />
(as % of NAV)<br />
6689 6690<br />
Default rates increase 1<br />
percentage point<br />
Default rates decrease 1<br />
percentage point<br />
Default rates increase 5<br />
percentage points<br />
Default rates decrease 5<br />
percentage points<br />
0 6691 0 6692<br />
0 6693 0 6694<br />
0 6695 0 6696<br />
0 6697 0 6698<br />
Not Relevant<br />
Relevant<br />
Market Factor: Default Rates<br />
for Corporate Bonds<br />
Effect on long component<br />
of portfolio (as % of NAV)<br />
Effect on short<br />
component of portfolio<br />
(as % of NAV)<br />
6699 6700<br />
Default rates increase 1<br />
percentage point<br />
Default rates decrease 1<br />
percentage point<br />
Default rates increase 5<br />
percentage points<br />
Default rates decrease 5<br />
percentage points<br />
0 6701 0 6702<br />
0 6703 0 6704<br />
0 6705 0 6706<br />
0 6707 0 6708<br />
5. LARGE POOL BORROWING INFORMATION<br />
a. Unsecured Borrowing:<br />
First Month Second Month Third Month<br />
Total Dollar amount: 0 6709 0 6710 0 6711<br />
Percentage borrowed from U.S.<br />
Financial Institutions<br />
Percentage borrowed from<br />
Non-U.S. Financial Institutions<br />
Percentage borrowed from non-<br />
U.S, creditors that are not<br />
Financial Institutions<br />
Percentage borrowed from U.S<br />
creditors that are not Financial<br />
Institutions<br />
0 6712 0 6713 0 6714<br />
0 6715 0 6716 0 6717<br />
0 6718 0 6719 0 6720<br />
0 6721 0 6722 0 6723<br />
b. Secured Borrowing:<br />
i. Via prime brokerage:<br />
Page 24 of 31<br />
First Month Second Month Third Month<br />
Created On: 10/8/2013 1:29:06 PM
Change language