In the wake of the MF Global collapse, NFA is requiring CTAs and CPOs that managed assets at the failed FCM to make certain updates, disclosures and filings. CTAs must calculate their performance capsules in accordance with NFA Notice to Members I-12-04. That notice essentially provides that CTAs with programs involving MF Global managed accounts that were not notionally funded and that were frozen by the bankruptcy should not include the MF Global account performance in the program's track record if the program also had accounts at one or more other FCMs or if the CTA was forced to close positions and cease trading during November, 2011 after positions and margin cash were transferred. In the latter case, the track record should show "NT" for the month, and in the former case only the accounts at other FCMs should be used to calculate performance. If the program had only non-notionally funded MF Global accounts that continued trading after the transfers, then the performance should be calculated by excluding from assets under management all assets that were left behind in MF Global. In all three of these cases, the CTA is required to provide a footnote disclosing information detailed in the Notice. For CTAs that traded MF Global accounts under notional funding agreements and that continued to trade at notional funding levels after transfer to new FCMs, the performance should be calculated using the notional funding level, and no footnoted disclosure is apparently required.
CPOs received guidance from NFA on November 1, 2011 from NFA indicating that the CPOs were required to disclose certain material information to pool participants for pools with assets at MF Global and indicated that CPOs should update pool disclosure documents to reflect such information. On February 3, 2012 NFA provided further guidance indicating that CPOs must update their annual questionnaire that is filed online electronically with NFA to respond to questions about the pool's exposure to MF Global and disclosures made to investors. This update is required to be performed by February 14, 2012.
Neal R. Stevens
Of Counsel
nstevens@SRCattorneys.com
312 565.1045 tel (chi) | 212 334.7948 tel (nyc)
Schuyler, Roche & Crisham, P.C
www.SRCattorneys.com
