CLIENT MEMORANDUM

CFTC ADOPTS CPO AND CTA REPORTING RULES The Commodity Futures Trading Commission has adopted a new data collection and risk reporting rule that requires each commodity pool operator and commodity trading advisor that is registered or required to register with the CFTC to file Forms CPO-PQR and CTA-PR, respectively.1 The Rule becomes effective July 2, 2012. The Release also rescinded CFTC Rule 4.13(a)(4), which provides an exemption from CPO registration to certain CPOs, including the managers of many hedge funds. As a result, such hedge fund managers may also become subject to the Form CPO-PQR and/or CTA-PR filing requirements.2 Commodity Pool Operators and Form CPO-PQR Schedule A All CPOs Form CPO-PQR is divided into three schedules. Schedule A consists of basic identifying information about the CPO, each of its pools and any service providers used. All CPOs, including those also registered with the Securities and Exchange Commission, are required to file Schedule A. Schedule A was adopted substantially as proposed although the final form clarified the obligations of co-CPOs and CPOs of funds-of-funds with respect to the submission of Form CPO-PQR.3 With regard to a co-operated pool, the CPO with the greater assets under management (AUM) is required to report for the pool. If a pool is operated by co-CPOs and one of the CPOs is also a registered investment adviser (an IA-CPO), the non-IA-CPO will still be obligated to file the applicable sections of Form CPO-PQR regardless of whether the IA-CPO filed Form PF with the SEC.4 Additionally, CPOs of funds-of-funds (including feeder funds) will be required to report basic information about investments in investee funds. Schedule A calls for the name and size of investment for each such investee fund.

Commodity Pool Operators and Commodity Trading Advisors: Amendments to Compliance Obligations, available at http://www.cftc.gov/PressRoom/Events/federalregister020912b (the Release). Among other things, the Release adopted CFTC Rule 4.27 (the Rule) regarding Forms CPO-PQR for commodity pool operators (CPOs) and CTA-PR for commodity trading advisors (CTAs). For more information regarding the rescission of CFTC Rule 4.13(a)(4), please see our memorandum dated February 13, 2012, entitled CFTC Eliminates Registration Exemption Used by Many Hedge Fund Managers. For more information on the proposal, please see our memorandum dated February 28, 2011, entitled SEC and CFTC Propose Private Fund Reporting Rules; Agencies Introduce New Forms PF, CPO-PQR and CTA-PR; CFTC Proposes To Limit Registration Exemptions. For more information on Form PF, please see our memoranda entitled SEC Adopts Private Fund Reporting Rules and Form PF and SEC and CFTC Adopt Private Fund Reporting Rules: Agencies Adopt New Form PF, dated October 27, 2011 and November 16, 2011, respectively.

NEW YORK WASHINGTON PARIS LONDON MILAN ROME FRANKFURT BRUSSELS in alliance with Dickson Minto W.S., London and Edinburgh

Each CPO and IA-CPO with AUM equal to or exceeding $1.5 billion (a Large CPO and Large IA-CPO, respectively)5 must file Schedule A within 60 days of the close of each calendar quarter. All other CPOs and IA-CPOs are required to file Schedule A within 90 days of the end of the calendar year. Schedule B Large CPOs and Mid-sized CPOs Only CPOs with AUM equal to or exceeding $150 million but less than $1.5 billion (Mid-sized CPOs) and Large CPOs will be required to complete Schedule B, which solicits data about each pool operated. Consistent with the proposed form, Schedule B calls for information regarding each pools trading strategy (including the percentage of the pools capital invested in each strategy), borrowings by geographic area, the identities of significant creditors, credit counterparty exposure and trading and clearing mechanisms. Schedule B has been amended to require a CPO to report the percentage of each pools net asset value that is traded pursuant to a high-frequency trading strategy and the percentage of the pools borrowings from creditors that are not financial institutions. Mid-sized CPOs will be required to file Schedule B within 90 days of the end of each calendar year while Large CPOs must file Schedule B within 60 days of the end of each calendar quarter. IA-CPOs filing Form PF generally will not be required to file Schedule B of Form CPO-PQR. Schedule C Large CPOs Only Schedule C, which is divided into two parts, is required to be filed by Large CPOs only. Part 1 seeks aggregate information about the pools operated by the CPO. The information sought in Part 1 includes a geographical breakdown of investments held by such pools and certain portfolio turnover information. Part 2 solicits information on an individual pool basis for each operated large pool (a pool that has a net asset value of at least $500 million). Part 2 requires, among other information, the duration of fixed income investments, asset liquidity, counterparty credit exposure, pool risk metrics, pool borrowing information, derivative positions and posted collateral. Large CPOs must file Schedule C within 60 days of the close of each calendar quarter. Large IA-CPOs filing Form PF generally will not be required to file Schedule C of Form CPOPQR. Initial Filing Requirements for CPOs Each CPO or IA-CPO registered or required to register as a CPO with the CFTC that has at least $5 billion in AUM as of its fiscal quarter ending June 30, July 31 or August 31, 2012, as applicable, must complete the applicable schedules of Form CPO-PQR as of September 30, 2012 and file by November 29, 2012.
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The Large CPO and Large IA-CPO threshold increased from $1 billion in the proposed rule to $1.5 billion in the final rule. -2-

Each other CPO and IA-CPO registered or required to register as a CPO with the CFTC must complete the applicable schedules of Form CPO-PQR as of December 31, 2012. The chart below summarizes the initial filing deadlines and schedule requirements for such CPOs and IA-CPOs.
Calculated as of December 31, 2012: IA-CPO with AUM $1.5 billion IA-CPO with AUM $150 million but < $1.5 billion CPO with AUM $1.5 billion CPO with AUM $150 million but < $1.5 billion CPO with AUM < $150 million Form CPO-PQR Schedule A March 1, 2013 March 31, 2013 March 1, 2013 March 31, 2013 March 31, 2013 Form CPO-PQR Schedule B N/A6,7 N/A6,7 March 1, 2013 March 31, 2013 N/A Form CPO-PQR Schedule C N/A6,7 N/A March 1, 2013 N/A N/A

Ongoing Filing Requirements for CPOs

Calculated as of the end of each calendar quarter: IA-CPO with AUM $1.5 billion Form CPO-PQR, Schedule A Quarterly, within 60 days of the end of each calendar quarter Annually, within 90 days of the end of the calendar year Quarterly, within 60 days of the end of each calendar quarter Annually, within 90 days of the end of the calendar year Annually, within 90 days of the end of the calendar year Form CPO-PQR, Schedule B N/A7 Form CPO-PQR, Schedule C N/A7

IA-CPO with AUM $150 million but < $1.5 billion CPO with AUM $1.5 billion

N/A7

N/A

Quarterly, within 60 days of the end of each calendar quarter Annually, within 90 days of the end of the calendar year N/A

Quarterly, within 60 days of the end of each calendar quarter N/A

CPO with AUM $150 million but < $1.5 billion

CPO with AUM < $150 million

N/A

CTAs and Form CTA-PR Schedule A All CTAs Each CTA registered or required to register as such with the CFTC is required to complete Form CTA-PR within 45 days of the end of its fiscal year, beginning with its first fiscal year ending after
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Although the Form PQR initial filing date precedes that of Form PF, presumably an IA-CPO should not be required to file Schedules B or C with its initial filing. To the extent that an IA-CPO with at least $150 million in AUM is ineligible or not required to file Form PF or elects not to complete Form PF with respect to each pool that it, or any of its related persons, operates, the IA-CPO may be required to complete Schedules B and/or C of Form CPO-PQR. -3-

December 15, 2012. Although the proposed form did not require the names of pools advised by the CTA, the final form requires such information so that the CFTC can analyze the relationships among various registrants. Proposed Schedule B to Form CTA-PR was not adopted. Entities registered as both CPOs and CTAs will be required to complete Schedule A of Form CTAPR in addition to completing the applicable schedules of Form CPO-PQR (and Form PF, if applicable). Harmonization with the SECs Compliance Regime While the CFTC has attempted to harmonize Forms CPO-PQR and CTA-PR with Form PF to the extent possible, several differences remain. For instance, the SEC and CFTC use different methods for determining the threshold for reporting AUM. Form CPO-PQR requires the use of the aggregated gross pool AUM, whereas Form PF requires the gross value of the securities portfolio as reported on the SECs Form ADV (described therein as regulatory assets under management). Further, the filing date requirements differ, in that Form CPO-PQR requires filings to be made within a certain amount of time following each calendar quarter- or year-end, whereas Forms CTAPR and PF require filings to be made within a certain amount of time following each filers fiscal quarter- or year-end. Effect of CFTC Reporting Requirements on NFA Rule 2-46 Reporting Requirements NFA Compliance Rule 2-46 requires each CPO subject to CFTC financial reporting requirements to file certain information regarding each pool it operates on a quarterly basis. While much of the CPO-PQR filing regime will be duplicative of the information filed pursuant to Rule 2-46, not all of it is. Presumably, NFA will review and may determine to modify Rule 2-46 to eliminate the duplication resulting from the adoption of Form CPO-PQR. *************** If you have any questions concerning the matters described in this memorandum, please contact Rita M. Molesworth (212-728-8727, rmolesworth@willkie.com), Deborah Tuchman (212-7288491, dtuchman@willkie.com), Gabriel Acri (212-728-8833, gacri@willkie.com), Jonathan Burwick (212-728-8108, jburwick@willkie.com), Elizabeth Miller (212-728-8611, emiller@willkie.com), James Lippert (212-728-8945, jlippert@willkie.com) or the Willkie attorney with whom you regularly work. Willkie Farr & Gallagher LLP is headquartered at 787 Seventh Avenue, New York, NY 100196099 and has an office located at 1875 K Street, NW, Washington, DC 20006-1238. Our New York telephone number is (212) 728-8000 and our facsimile number is (212) 728-8111. Our Washington, D.C. telephone number is (202) 303-1000 and our facsimile number is (202) 303-2000. Our website is located at www.willkie.com. February 17, 2012
Copyright 2012 by Willkie Farr & Gallagher LLP. All Rights Reserved. This memorandum may not be reproduced or disseminated in any form without the express permission of Willkie Farr & Gallagher LLP. This memorandum is provided for news and information purposes only and does not constitute legal advice or an invitation to an attorney-client relationship. While every effort has been made to ensure the accuracy of the information contained herein, Willkie Farr & Gallagher LLP does not guarantee such accuracy and cannot be held liable for any errors in or any reliance upon this information. Under New Yorks Code of Professional Responsibility, this material may constitute attorney advertising. Prior results do not guarantee a similar outcome.

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