[Code of Federal Regulations]
[Title 17, Volume 1]
[Revised as of April 1, 2002]
From the U.S. Government Printing Office via GPO Access
[CITE: 17CFR4.22]

[Page 179-182]
 
              TITLE 17--COMMODITY AND SECURITIES EXCHANGES
 
             CHAPTER I--COMMODITY FUTURES TRADING COMMISSION
 
PART 4--COMMODITY POOL OPERATORS AND COMMODITY TRADING ADVISORS--Table of Contents
 
                   Subpart B--Commodity Pool Operators
 
Sec. 4.22  Reporting to pool participants.

    (a) Each commodity pool operator registered or required to be 
registered under the Act must periodically distribute to each 
participant in each pool that it operates, within 30 calendar days after 
the last date of the reporting period prescribed in paragraph (b) of 
this section, an Account Statement, which shall be presented in the form 
of a Statement of Income (Loss) and a Statement of Changes in Net Asset 
Value, for the prescribed period. These financial statements must be 
presented and computed in accordance with generally accepted accounting 
principles consistently applied. The Account Statement must be signed in 
accordance with paragraph (h) of this section.
    (1) The portion of the Account Statement which must be presented in 
the form of a Statement of Income (Loss) must separately itemize the 
following information:
    (i) The total amount of realized net gain or loss on commodity 
interest positions liquidated during the reporting period;
    (ii) The change in unrealized net gain or loss on commodity interest 
positions during the reporting period;
    (iii) The total amount of net gain or loss from all other 
transactions in which the pool engaged during the reporting period, 
including interest and dividends earned on funds not paid as premiums or 
used to margin the pool's commodity interest positions;
    (iv) The total amount of all management fees during the reporting 
period;
    (v) The total amount of all advisory fees during the reporting 
period;
    (vi) The total amount of all brokerage commissions during the 
reporting period;
    (vii) The total amount of other fees for commodity interest and 
other investment transactions during the reporting period; and
    (viii) The total amount of all other expenses incurred or accrued by 
the pool during the reporting period.
    (2) The portion of the Account Statement that must be presented in 
the form of a Statement of Changes in Net Asset Value must separately 
itemize the following information:
    (i) The net asset value of the pool as of the beginning of the 
reporting period;
    (ii) The total amount of additions to the pool, whether voluntary or 
involuntary, made during the reporting period;
    (iii) The total amount of withdrawals from and redemption of 
participation units in the pool, whether voluntary or involuntary, for 
the reporting period;
    (iv) The total net income or loss of the pool during the reporting 
period;
    (v) The net asset value of the pool as of the end of the reporting 
period; and
    (vi)(A) The net asset value per outstanding participation unit in 
the pool as of the end of the reporting period, or
    (B) The total value of the participant's interest or share in the 
pool as of the end of the reporting period.
    (3) The Account Statement must also disclose any material business 
dealings between the pool, the pool's operator, commodity trading 
advisor, futures commission merchant, or the principals thereof that 
previously have not been disclosed in the pool's Disclosure Document or 
any amendment thereto, other Account Statements or Annual Reports.
    (b) The Account Statement must be distributed at least monthly in 
the case of pools with net assets of more than $500,000 at the beginning 
of the pool's fiscal year, and otherwise at least quarterly; Provided, 
however, That an Account Statement for the last reporting period of the 
pool's fiscal year need not be distributed if the Annual Report required 
by paragraph (c) of this section is sent to pool participants within 45 
calendar days after the end of the fiscal year. The requirement to 
distribute an Account Statement shall commence as of the date the pool 
is formed as specified in paragraph (g)(1) of this section.

[[Page 180]]

    (c) Each commodity pool operator registered or required to be 
registered under the Act must distribute an Annual Report to each 
participant in each pool that it operates, and must file two copies of 
the Report with the Commission, within 90 calendar days after the end of 
the pool's fiscal year or the permanent cessation of trading, whichever 
is earlier, but in no event longer than 90 days after funds are returned 
to pool participants; Provided, however, That if during any calendar 
year the commodity pool operator did not operate a commodity pool, the 
pool operator must so notify the Commission within 30 calendar days 
after the end of such calendar year. The first fiscal year for which an 
Annual Report is due shall be the first fiscal year that begins on or 
after January 1, 1979. The Annual Report must be signed pursuant to 
paragraph (h) of this section and must contain the following:
    (1) The net asset value of the pool as of the end of each of the 
pool's two preceding fiscal years.
    (2)(i) The net asset value per outstanding participation unit in the 
pool as of the end of each of the pool's two preceding fiscal years, or
    (ii) The total value of the participant's interest or share in the 
pool as of the end of each of the pool's two preceding fiscal years.
    (3) A Statement of Financial Condition as of the close of the pool's 
fiscal year and preceding fiscal year.
    (4) Statements of Income (Loss), Changes in Financial Position, and 
Changes in Ownership Equity, for the period between (i) the later of: 
(A) the date of the most recent Statement of Financial Condition 
delivered to the Commission pursuant to this paragraph (c), (B) January 
1, 1979, or (C) the date of the formation of the pool, and (ii) the 
close of the pool's fiscal year, together with Statements of Income 
(Loss), Changes in Financial Position, and Changes in Ownership Equity 
for the corresponding period of the previous fiscal year.
    (5) Appropriate footnote disclosure and such further material 
information as may be necessary to make the required statements not 
misleading.
    (d) The financial statements in the Annual Report must be presented 
and computed in accordance with generally accepted accounting principles 
consistently applied and must be certified by an independent public 
accountant. The certification must be in accordance with Sec. 1.16, 
except that the following requirements of that section shall not apply:
    (1) The audit objectives of Sec. 1.16(d)(1) concerning the periodic 
computation of minimum capital and property in segregation;
    (2) All other references in Sec. 1.16 to the segregation 
requirements; and
    (3) Sections 1.16(c)(5), (d)(2), (e)(2), and (f).
    (e) The Statement of Income (Loss) required by this section must 
itemize brokerage commissions, management fees, advisory fees, incentive 
fees, interest income and expense, total realized net gain or loss from 
commodity interest trading, and change in unrealized net gain or loss on 
commodity interest positions during the pool's fiscal year. Gains and 
losses on commodity interests need not be itemized by commodity or by 
specific delivery or expiration date.
    (f)(1)(i) In the event the commodity pool operator finds that it 
cannot distribute the Annual Report for a pool that it operates within 
the time specified in paragraph (c) of this section without substantial 
undue hardship, it may file with the Commission an application for 
extension of time to a specified date not more than 90 calendar days 
after the date as of which the Annual Report was to have been 
distributed. The application must be made by the pool operator and must:
    (A) State the name of the pool for which the application is being 
made;
    (B) State the reasons for the requested extension;
    (C) Indicate that the inability to make a timely filing is due to 
circumstances beyond the control of the pool operator, if such is the 
case, and describe briefly the nature of such circumstances;
    (D) Contain an undertaking to file the Annual Report on or before 
the date specified in the application; and
    (E) Be filed with the Commission prior to the date on which the 
Annual Report is due.

[[Page 181]]

    (ii) The application must be accompanied by a letter from the 
independent public accountant answering the following questions:
    (A) What specifically are the reasons for the extension request?
    (B) Do you have any indication from the part of your audit completed 
to date that would lead you to believe that the commodity pool operator 
was or is not meeting the segregation or recordkeeping requirements of 
this part 4?
    (iii) Within ten calendar days after receipt of an application for 
an extension of time, the Commission shall:
    (A) Notify the commodity pool operator of the grant or denial of the 
requested extension, or
    (B) Indicate to the pool operator that additional time is required 
to analyze the request, in which case the amount of time needed will be 
specified.
    (2) In the event a commodity pool operator finds that it cannot 
obtain information necessary to prepare certified financial statements 
for a pool that it operates within the time specified in either 
paragraph (c) of this section or Sec. 4.7(b)(3)(i), as a result of the 
pool investing in another collective investment vehicle, it may claim an 
extension of time under the following conditions:
    (i) The commodity pool operator must, within 90 calendar days of the 
end of the pool's fiscal year, file a notice with National Futures 
Association and the Commission, except as provided in paragraph 
(f)(2)(v) of this section.
    (ii) The notice must contain the name, main business address, main 
telephone number and the National Futures Association registration 
identification number of the commodity pool operator, and name and the 
identification number of the commodity pool.
    (iii) The notice must state the date by which the Annual Report will 
be distributed and filed (the ``Extended Date''), which must be no more 
than 150 calendar days after the end of the pool's fiscal year. The 
Annual Report must be distributed and filed by the Extended Date.
    (iv) The notice must include representations by the commodity pool 
operator that:
    (A) The pool for which the Annual Report is being prepared has 
investments in one or more collective investment vehicles (the 
``Investments'');
    (B) The commodity pool operator has been informed by the certified 
public accountant selected to audit the commodity pool's financial 
statements that specified information establishing the value of the 
Investments is necessary in order for the accountant to render an 
opinion on the commodity pool's financial statements. The notice must 
include the name of the accountant; and
    (C) The information specified by the accountant cannot be obtained 
in sufficient time for the Annual Report to be prepared, audited, and 
distributed before the Extended Date.
    (v) For each fiscal year following the filing of the notice 
described in paragraph (f)(2)(i) of this section, the commodity pool 
operator may claim the extension of time by filing a statement 
containing the representations specified in paragraph (f)(2)(iv) of this 
section, at the same time as the pool's Annual Report.
    (vi) Any notice or statement filed pursuant to paragraph (f)(2) of 
this section must be signed by the commodity pool operator in accordance 
with paragraph (h) of this section.
    (g)(1) A commodity pool operator may initially elect any fiscal year 
for a pool, but the first fiscal year may not end more than one year 
after the pool's formation. For purposes of this section, a pool shall 
be deemed to be formed as of the date the pool operator first receives 
funds, securities or other property for the purchase of an interest in 
the pool.
    (2) If a commodity pool operator elects a fiscal year other than the 
calendar year, it must give written notice of the election to all 
participants and must file the notice with the Commission within 90 
calendar days after the date of the pool's formation. If this notice is 
not given, the pool operator will be deemed to have elected the calendar 
year as the pool's fiscal year.
    (3) The commodity pool operator must continue to use the elected 
fiscal year for the pool unless it provides written notice of any 
proposed change to all participants and files such notice

[[Page 182]]

with the Commission at least 90 days before the change and the 
Commission does not disapprove the change within 30 days after the 
filing of the notice.
    (h)(1) Each Account Statement and Annual Report must contain a 
signed oath or affirmation that, to the best of the knowledge and belief 
of the individual making the oath or affirmation, the information 
contained in the document is accurate and complete; Provided, however, 
That it shall be unlawful for the individual to make such oath or 
affirmation if the individual knows or should know that any of the 
information in the document is not accurate and complete.
    (2) There must be typed beneath the signed oath or affirmation:
    (i) The name of the individual signing the document;
    (ii) The capacity in which he is signing;
    (iii) The name of the commodity pool operator for whom he is 
signing; and
    (iv) The name of the commodity pool for which the document is being 
distributed.
    (3) If the commodity pool operator is a sole proprietorship, the 
oath or affirmation must be made by the sole proprietor; if a 
partnership, by a general partner; and if a corporation, by the chief 
executive officer or chief financial officer.

(Approved by the Office of Management and Budget under control number 
3038-0005)

(Secs. 2(a)(1), 4c(a)-(d), 4d, 4f, 4g, 4k, 4m, 4n, 8a, 15 and 17, 
Commodity Exchange Act (7 U.S.C. 2, 4, 6c(a)-(d), 6f, 6g, 6k, 6m, 6n, 
12a, 19 and 21; 5 U.S.C. 552 and 552b))

[46 FR 26013, May 8, 1981, as amended at 46 FR 63035, Dec. 30, 1981; 47 
FR 57011, Dec. 22, 1982; 52 FR 41986, Nov. 2, 1987; 65 FR 81334, Dec. 
26, 2000]