United States: SEC Issues Investment Company ‘Reporting Modernization' Rules

In May 2015, we reported on proposals by the US Securities and Exchange Commission designed to enhance reporting for mutual funds, ETFs and other registered investment companies.1 On October 13, 2016, the SEC voted to adopt new rules, largely as proposed, that will significantly expand the reporting of information about funds and their portfolio of investments.

The SEC's original proposal included four sets of reforms (i) a new Form N-PORT facilitating monthly portfolio and risk reporting and rescission of Form N-Q, (ii) a new Form N-CEN, an annual "census-style" reporting form that would replace an obsolete existing SEC form (Form N-SAR), (iii) amendments to Regulation S-X, requiring more derivatives disclosures in fund financial statements and (iv) a new Rule 30e-3 to permit posting shareholder reports to a website instead of mailing them under certain circumstances. The first three sets of reforms have been adopted; however,in the face of very mixed comments from different constituencies, the SEC decided not to adopt proposed Rule 30e-3 at this time.

The various new reporting forms, and especially Form N-PORT as the centerpiece of this SEC initiative, are complex and technical. This alert provides a summary of the new requirements and highlights some modifications made from the original proposal. But for the practitioners who will implement the new reports, mainly financial and operations personnel, there will be no substitute for reviewing the forms and their instructions directly.

Compliance dates for each of the components are noted in the respective section.



Currently, SEC-registered management investment companies, other than small business investment companies (SBICs), are required to file their complete portfolio holdings with the SEC on a quarterly basis. These funds file reports on Form N-Q as of the end of each first and third fiscal quarter and on Form N-CSR as of the end of each second and fourth fiscal quarter.

The rules adopt a new portfolio holdings reporting form, Form N-PORT, which will be electronically filed on a monthly basis by all registered management investment companies (including unit investment trusts (UITs) that operate as ETFs), other than money market funds and SBICs.2 Funds will report information on Form N-PORT monthly in structured data format no later than 30 days after the close of each month.

Once filed, the report for every third month will become available to the public 60 days after the end of the fund's fiscal quarter. This cycle has the effect that Form N-PORT will be filed on a non-public basis for two months out of every three. The third month will be public, but only after a lag that approximates the lag for existing public financial reports by registered investment companies.

Form N-PORT includes some information that funds have provided in one place or another previously and, in many cases, new information not currently required to be calculated or compiled elsewhere. Generally, Form N-PORT requires information about the fund and the fund's portfolio investments as of the close of the preceding month, including: (a) general information about the fund; (b) fund assets and liabilities; (c) certain portfolio-level metrics, including certain risk metrics; (d) information regarding securities lending counterparties; (e) monthly returns; (f) flow information; (g) information regarding each investment in the portfolio; (h) miscellaneous securities (if any); (i) explanatory notes (if any); and (j) exhibits.

Information on a fund's liquidity profile, including how the fund classifies its individual holdings on a liquidity spectrum, also will be reported. Those provisions are described in a separate alert we prepared covering a new SEC liquidity rule. Unlike the most of Form N-PORT, certain liquidity classifications and related information reported on the form will not be made public. Select information to be reported on Form N-PORT and the structure of the form can be found in the following chart:

Section Applicable Firm Will Report:
General Information and Instructions 1. General identifying information about the fund, including the name and address of the registrant, name of the series and relevant file numbers.

2. Date of fiscal year-end, date as of which information is reported on the form and whether the filing is intended as the registrant's final filing on Form N-PORT.

3. Legal Entity Identifier (LEI) number of the registrant and series.3
Information Regarding Assets and Liabilities4 1. Total assets, total liabilities, and net assets.

2 Aggregate value of any "miscellaneous securities" held in their portfolios.5

3. Any assets invested in a controlled foreign corporation (CFC) (the form requires disclosure of each underlying investment held by a CFC, rather than just the investment in the CFC itself).

4. The amount of certain liabilities, in particular:

a. Borrowings attributable to amounts payable for notes, bonds, and similar debt.

b. Payables for investments purchased either: (i) on a delayed delivery, when-issued, or other firm commitment basis or (ii) on a standby commitment basis.

c. Liquidation preference of outstanding preferred stock issued by the fund.
Portfolio Level Risk Metrics7 If the average value of the fund's debt securities positions or derivatives that provide exposure to debt instruments or interest rates for the previous three months, in the aggregate, exceeds 25%6 of the fund's net asset value, the fund will provide:

a. Interest Rate Risk (DV017). For each currency for which the fund had a value of 1% or more of the fund's net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years and 30 years.

b. Interest Rate Risk (DV1008). For each currency for which the fund had a value of 1% or more of the fund's net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years and 30 years.

c. Credit Spread Risk (SDV019, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years and 30 years.
Securities Lending 1. For each borrower in any securities lending transaction, provide the following information:

i. Name of borrower;

ii. LEI (if any) of borrower; and

iii. Aggregate value of all securities on loan to the borrower.

2. Confirm whether any securities lending counterparty provide any non-cash collateral. If yes, unless the non-cash collateral is included in the Schedule of Portfolio Investments, a fund must provide the following information for each category of non-cash collateral received for loaned securities:

i. Aggregate principal amount;

ii. Aggregate value of collateral; and

iii. Category of investments that most closely represents the collateral, selected from among the following: asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; US Treasuries (including strips); other instrument. If "other instrument," include a brief description, including, if applicable, whether it is an irrevocable letter of credit.
Return Information 1. Monthly total returns for each of the preceding three months.10

a. Funds will calculate returns using the same standardized formulas required for calculation of returns as reported in the performance table contained in the risk-return summary of the fund's prospectus and in fund sales materials.

2. Monthly net realized gain (or loss) and net change in unrealized appreciation (or depreciation), for each of the preceding three months, attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts and other derivatives contracts. Similarly, within each category, report the same information for each type of derivative instrument (forward, future, option, swaption, swap, warrant and other).

3. Monthly net realized gain (or loss) and net change in unrealized appreciation (or depreciation), for each of the preceding three months, for investments other than derivatives.
Share Sales and Redemption (Flow) Information11 1. Separately report, for each of the preceding three months, the total net asset value of:

a. Shares sold (including exchanges but excluding reinvestment of dividends and distributions);

b. Shares sold in connection with reinvestments of dividends and distributions; and

c. Shares redeemed or repurchased (including exchanges).
Schedule of Portfolio Investments 1. Certain information on an investment-by-investment basis about each investment held by the fund and its consolidated subsidiaries as of the close of the preceding month.

a. Funds would respond to certain questions that would apply to all investments (i.e., the investment's identification, amount, payoff profile, asset and issuer type, country of investment or issuer, fair value level and whether the investment was a restricted security or illiquid asset).

b. Funds also would respond, if relevant, to additional questions related to specific types of investments (i.e., debt securities,12 repurchase and reverse repurchase agreements,13 derivatives14 and securities lending15).
Explanatory Notes 1. (Optional) explanatory notes relating to the filing, if any.
Exhibits 1. For reports filed for the end of the first and third quarters of the fund's fiscal year, a fund also would attach the fund's complete portfolio holdings as of the close of the period covered by the report.

Compliance Dates for Form N-Port

The SEC is providing tiered compliance dates based on asset size. For larger registered fund families that have net assets of $1 billion or more as of the end of the most recent fiscal year, the compliance date is June 1, 2018. For smaller fund families, the compliance date is a year later, June 1, 2019.

In addition, to provide time for adjustments to systems to comply with the new reporting requirements, the SEC anticipates making a draft of the EDGAR Technical Specifications documents available in advance. The SEC also is requiring that all reports filed on Form N-PORT for the first six months following June 1, 2018 be kept nonpublic. However, portfolio information attached as an exhibit to Form N-PORT for the first and third quarters will still be made public (i.e., even during the six-month transition period).

Form N-Q will be rescinded on August 1, 2019 to allow funds sufficient time to satisfy Form N-Qs 60-day filing requirements with regard to their final filing on N-Q for the reporting period preceding their first filing on Form N-PORT.


The final rules include amendments to Regulation S-X, which prescribes the form and content of financial statements required in fund registration statements and shareholder reports. Currently, Regulation S-X does not prescribe specific information for some types of derivatives, including swaps, futures and forwards, with the result that disclosure practices can vary firm to firm.

Many of the amendments to Regulation S-X, particularly those that apply to the disclosures concerning derivative contracts, are similar to new requirements under Form N-PORT. Specifically, amendments to Articles 6 and 12 of Regulation S-X will:

  1. Require new, standardized disclosures regarding fund holdings in open futures contracts, open forward foreign currency contracts, open swap contracts and additional disclosures regarding fund holdings of written and purchased option contracts.
  2. Update the disclosures for other investments, and investments in and advances to affiliates, as well as reorganize the order in which some investments are presented.
  3. Amend the rules regarding the general form and content of fund financial statements.

The amendments also require more prominent placement of disclosures regarding investments in derivatives in a fund's schedule of investments (instead of in the notes to the financial statements). Finally, the amendments require new disclosures in the notes to the financial statements relating to a fund's securities lending activities.
The amendments will renumber the current schedules in Article 12 of Regulation S-X and break out the disclosure of derivatives currently reported on Schedule 12-13 into separate schedules. Select changes are summarized in Figure 1 below:

12-12 (Investments in securities of unaffiliated issuers) 12-12 (Investments in securities of unaffiliated issuers)
12-12A (Investments—securities sold short) 12-12A (Investments—securities sold short)
12-12B (Open option contracts written) 12-13 (Open option contracts written)*
12-12C (Summary schedule of investments in securities of unaffiliated issuers) 12-12B (Summary schedule of investments in securities of unaffiliated issuers)*

12-13A (Open futures contracts)*

12-13B (Open forward foreign currency contracts)
12-13 (Investments other than securities) 12-13C (Open swap contracts)*

12-13D (Investments other than those presented in §§210.12-12, 12-12A, 12-12B, 12-13, 12-13A, 12-13B, and 12-13C)*
12-14 (Investments in and advances to affiliates) 12-14 (Investments in and advances to affiliates)
*Denotes new or renumbered schedules
Figure 1

Amendments to Rules 12-12 Through 12-12C

Although there were no changes to the schedules for Rules 12-12, 12-12A and 12-12C, there are certain additional instructions adopted that include new reporting requirements, as well as certain clarifying changes, including renumbering several of the schedules. With few exceptions, the new instructions were adopted as proposed.

Certain modifications to the instructions to Rule 12-12 include requiring funds to:

  1. Indicate the interest rate or preferential dividend date and maturity rate for certain enumerated debt instruments. When disclosing the interest rate for variable rate securities, funds will have to describe the referenced rate, spread and the end of period interest rate for each investment (or include disclosure of each referenced rate at the end of the period).
  2. Indicate where any portion of securities are on loan, for each issuance of securities held in connection with open put or call option contracts and loans for short sales of securities.
  3. For securities with payments-in-kind, provide the rate paid-in-kind. This is to provide more transparency to investors where a fund is generating income that is not paid in cash.

Several revisions have also been adopted regarding the presentation and categorization of information in Rule 12-12 to, among other things, make instructions consistent with Rule 12-12B (current Rule 12-12C which has been renamed Rule 12-12B). Likewise, there are several revisions to Rule 12-12A regarding securities sold short in order to conform to the instructions in Rule 12-12.

Funds are permitted to include in their reports to shareholders a summary portfolio schedule, in lieu of a complete portfolio schedule, so long as it conforms with current Rule 12-12C and the full schedule is filed under Form N-CSR. The current Rule 12-12C will be renamed as Rule 12-12B.

Open Options Contracts Written – New Rule 12-13

New Rule 12-13 (current Rule 12-12B) will amend disclosure of written contracts substantially as proposed. Rule 12-13 requires funds to disclose for each open written options contract: (1) description; (2) counterparty; (3) number of contracts; (4) notional amount; (5) exercise price; (6) expiration date; and (7) value. Instructions will be added to current Rule 12-12, which is the schedule on which purchased options are required to be disclosed, that will require funds to provide all information required by proposed Rule 12-13 for written option contracts.

For options where the underlying investment will otherwise be presented in accordance with another provision of Rule 12-12 or Rules 12-13 through 12-13D, the presentation of that investment will have to include a description, as required by those provisions. Thus, if an investment contains some sort of optionality (e.g., put or call features), the investment's disclosure must include both a description of the optionality, as required by Rule 12-13, and a description of the underlying investments, as required by the applicable provisions of Rules 12-12, 12-12A and 12-13 through 12-13D. For example, reporting for a swaption will include the disclosures required under both the swaps rule (Rule 12-13C) and the options rule (Rule 12-13).

Instructions to Rule 12-13 and the other rules concerning derivatives holdings (e.g., open futures contracts, open swap contracts) will require funds to:

  1. Indicate if an investment cannot be sold because of restrictions or conditions applicable to the investment.
  2. Indicate if a security's fair value was determined using significant unobservable inputs.

In the case of an option contract with an underlying investment that is an index or basket of investments whose components are publicly available on a website as of the fund's balance sheet date, or if the notional amount of the holding does not exceed 1% of the fund's NAV as of the close of the period, the fund will provide information sufficient to identify the underlying investment, such as a description. However, if the underlying investment is an index whose components are not publicly available on a website as of the fund's balance sheet date, or is based upon a custom basket of investments, and the notional amount of the option contract exceeds one percent of the fund's NAV as of the close of the period, the fund will list separately the top 50 components of the index or custom benchmark and any components that represent more than 1% of the notional value of the index or custom benchmark.16 For consistency purposes, a similar instruction is proposed to be included for swap contracts. See Rule 12-13C below.

Although the SEC received many suggestions to increase the threshold and comments on the choice of basing the threshold on the notional rather than the current market value, the SEC is adopting this criteria as proposed.

Open Futures Contracts – New Rule 12-13A

New Rule 12-13A will require standardized reporting of open futures contracts. Funds with open futures contracts will report: (1) description; (2) number of contracts; (3) expiration date; (4) notional amount; (5) value; and (6) unrealized appreciation and depreciation.

Open Forward Foreign Currency Contracts – New Rule 12-13B

New Rule 12-13B will require standardized disclosures for open forward foreign currency contracts. Funds holding open forward foreign currency contracts will therefore report the: (1) amount and description of currency to be purchased; (2) amount and description of currency to be sold; (3) counterparty; (4) settlement date; and (5) unrealized appreciation and depreciation.

Open Swap Contracts – New Rule 12-13C

New Rule 12-13C will require standardized reporting of fund positions in open swap contracts. Funds will report for each swap: (1) description and terms of payments to be received from another party; (2) description and terms of payments to be paid to another party; (3) counterparty; (4) maturity date; (5) notional amount; (6) value; (7) upfront payments/receipts; and (8) unrealized appreciation and depreciation.

In the case of a swaps contract with a referenced asset that is an index whose components are publicly available on a website as of the fund's balance sheet date, or if the notional amount of the holding does not exceed one percent of the fund's NAV as of the close of the period, the SEC is requiring that the fund provide information sufficient to identify the referenced asset, such as a description. If the referenced asset is an index or custom basket whose components are not publicly available on a website as of the balance sheet date, and the notional amount of the derivative represents more than 1% of the net asset value of the fund as of the close of the period, the fund will provide a description of the index or custom basket and list separately (i) the 50 largest components in the index or custom basket and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.17 For each investment separately listed, the fund will include the description of the underlying investment as would be required by Article 12 of Regulation S-X, as part of the description, the quantity held, the value at the close of the period, and the percentage value when compared to the custom basket's net assets.

Investments in and Advances to Affiliates–Rule 12-14

Current Rule 12-14 requires funds to make certain disclosures about its investments in and advances to any "affiliates" or companies in which the investment company owns 5% or more of the outstanding voting securities. Currently, a fund must disclose the "amount of equity in net profit and loss for the period" for each controlled company, but does not require disclosure of realized or unrealized gains or losses. The amendments to Rule 12-14 will modify the schedule and instructions to Rule 12-14 to require "net realized gain or loss for the period" and "net increase or decrease in unrealized appreciation or depreciation for the period" for each affiliated investment. There are other amendments to the instructions in order to conform Rule 12-14 disclosure requirements to instructions/requirements in Rules 12-12, 12-12A, 12-12B and 12-13.

Form and Content of Financial Statements

The SEC has adopted substantially as proposed revisions to Article 6 of Regulation S-X, which prescribes the form and content of financial statements for funds.

Compliance Dates for Amendments to Regulation S-X

The compliance date for the amendments to Regulation S-X is August 1, 2017.


The original proposal contained a new Rule 30e-3 under the Investment Company Act, which would, if adopted, have provided funds with an optional method to satisfy shareholder report transmission requirements by posting reports online.
The SEC determined that this aspect of the proposal will not be adopted at this time – an outcome that will sorely disappoint many in the fund industry.


Currently, the SEC collects census-type information on management investment companies and UITs on reports on Form N-SAR, which was adopted in 1985. Form N-SAR is widely viewed as obsolete, and the amendments will rescind it and replace it with Form N-CEN. Form N-CEN includes much of the same content as Form N-SAR, but removes or replaces outdated items. All registered investment companies (except so-called face amount certificate companies, of which there are very few) will file reports on Form N-CEN. Form N-CEN is required to be filed in XML format.
Like Form N-SAR, the sections of Form N-CEN that a fund is required to complete will depend on the type of fund. All funds will be required to complete Parts A and B, and file any attachments required under Part G. In addition, funds will complete the following Parts as applicable:

  • All management investment companies, other than SBICs, will complete Part C;
  • Closed-end funds and SBICs will complete Part D;
  • ETFs (including those that are UITs) will complete Part E; and
  • UITs will complete Part F.

Additionally, Form N-CEN will be filed annually, rather than semi-annually as is required for reports on Form N-SAR. Management companies will be required to file Form N-CEN on a fiscal year basis (75 days after the fiscal year-end) and UITs will file on a calendar year basis (75 days after the calendar year-end).
A general description of the section requirements in Form N-CEN are listed below:

Part A – General Information (Required for all funds)
Part A requires general information about the reporting period covered by the report. Also requires funds to report the fiscal-year end date and indicate if the report covers a period of less than 12 months.

Part B – Information About the Registrant (Required for all funds)
Part B requires certain background and other identifying information about the fund (i.e., fund name, fund address, telephone number, and public website (if any), location of the fund's books and records, Investment Company Act filing number, CIK and LEI, fund directors, fund chief compliance officer, matters submitted to shareholders, legal proceedings, fidelity bond insurance, D&O/E&O insurance, provision of financial support by affiliates, reliance on exemptive orders, principal underwriters, independent public accountant, reports on internal control, audit opinion, change in valuation methods, change in accounting principles and practices, NAV errors and Rule 19a-1 notices).

Part C – Items Relating to Management Investment Companies
I. Background and Classification of Funds

Part C is required to be completed by management investment companies other than SBICs. Unlike Form N-SAR, it will request specific information on the classes of open-end management investment companies, including information relating to the number of classes authorized, added and terminated during the relevant period. Part C also will require identifying information for each share class outstanding, including the name of the class, the class identification number and ticker symbol.

A management investment company will be required to identify if it is any of the following types of funds: ETF or ETMF; index fund; fund seeking to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark or a multiple of the inverse of a benchmark; interval fund; fund of funds; master-feeder fund; money market fund; target date fund; and underlying fund to a variable annuity or variable life insurance contract.

ETFs and ETMFs, index funds and master-feeder funds also will be required to provide the additional information in Part E.

II. Investments in Certain Foreign Corporations

Part C requires a management investment company to identify if it invests in a controlled foreign corporation for the purpose of investing in certain types of instruments, such as commodities, including the name and LEI of such corporation, if any.

III. Securities Lending

Part C requires that funds disclose information regarding their securities lending practices, including information about the fees associated with securities lending, relationships with certain securities lending service providers, the amount of securities on loan, and the net income from lending activities.

IV. Reliance on Certain Rules

Like Form N-SAR, Part C requires that management investment companies report whether they relied on certain rules under the Investment Company Act during the reporting period. However, proposed Form N-CEN will require this information with respect to additional rules not currently covered by Form N-SAR.

V. Expense Limitations

Like Form N-SAR, Part C will require information regarding expense limitations. The requirements in Form N-CEN, will require information on whether the management investment company had an expense limitation arrangement in place, whether any expenses of the fund were waived or reduced pursuant to the arrangement, whether the waived fees are subject to recoupment, and whether any expenses previously waived were recouped during the period.

VI. Service Providers

Similar to Form N-SAR, Form N-CEN will collect information on the management investment company's service providers, including its advisers and sub-advisers, transfer agents, pricing services, custodians (including sub-custodians), shareholder servicing agents, third-party administrators and affiliated and unaffiliated broker-dealers. New requirements will request information on whether a fund service provider was hired or terminated during the reporting period and whether it is affiliated with the fund or its adviser(s).

VII. Brokerage and Principal Transactions

Funds will be required to provide information regarding both brokerage and principal transactions for each of the top ten entities with which the fund engaged in brokerage activities (based on largest dollar amount of commissions, excluding dealer concessions and underwritings) and top ten entities with which the fund engaged in principal transactions (based on largest dollar amount of principal transactions). This information will include the name and other identifying information for each entity along with the dollar amount of commissions or principal transactions, as applicable.

VIII. Average Net Assets

A modification from the proposal is a requirement that (1) funds other than money market funds report their monthly average net assets during the reporting period and (2) money market funds report the daily average net assets during the reporting period. Funds currently report this information on Form N-SAR reports.

Part D – Closed-End Management Investment Companies and Small Business Investment Companies
Part D will require additional information to be reported by closed-end funds and also will require SBICs to complete Part D of the form in lieu of Part C. Information requested will include: (1) information on the securities issued by the closed-end fund or SBIC, including the type of security issued (common stock, preferred stock, warrants, convertible securities, bonds, or any security considered "other"), title of each class, exchange where listed and ticker symbol; (2) information relating to rights offerings and secondary offerings by the closed-end fund or SBIC, including whether there was such an offering during the reporting period and if so, the type of security involved; (3) information regarding security repurchases; (4) defaults on debt; (5) whether any dividends are in arrears; (5) modification of securities; (6) management fees (closed-end companies only); (7) net operating expenses (8) market price; (9) net asset value; and (10) service providers.

Part E – Exchange-Traded Funds and Exchange-Traded Managed Funds
Part E will be related specifically to ETFs and ETMFs. Such fund will be required to complete this section in addition to Parts A, B, G, and either Part C (for open-end funds) or Part F (for UITs). The information will include information regarding authorized participants, creation units and, in the case of unit investment trusts, benchmark return difference.

Part F – Unit Investment Trusts
Part F requires information specific to UITs, including identifying information for the depositor, administrator, trustees in addition to other fund information.

Part G – Attachments
Part G requires various attachments to the filing, including attachments relating to litigation proceedings (if any), provision of financial support (if any), changes in accounting principles and the independent public accountant's report on internal control (for management companies other than SBICs), exemptive orders and other attachments.

Compliance Date for Form N-CEN

The compliance date for N-CEN is June 1, 2018.


The SEC is adopting form amendments to require management investment companies to disclose in the statement of additional information of its registration statement (or in the case of closed-end investment companies, its Form N-CSR) certain disclosures relating to its securities lending activities—generally income and expense relating to securities lending activities.

The SEC is also making technical and conforming amendments to various rules and forms, including rescinding Form N-Q (replaced by Form N-PORT) and Form N-SAR (replaced by Form N-CEN), certain technical amendments to Form N-CSR relating to the new rules, as well as other technical and conforming amendments to other rules and forms.

Compliance Dates for Amendments to Registration Statement and Annual Report Forms and Conforming Amendments

The amendments to the registration statement (or in the case of closed-end investment companies, the Form N-CSR) will correspond to the compliance date for the Regulation S-X amendments, August 1, 2017.

The compliance date for the amendments to the certification requirements to the Form N-CSR is June 1, 2018 for larger entities and June 1, 2019 for smaller entities.

Form N-Q will be rescinded on August 1, 2019.

Form N-SAR will be rescinded on June 1, 2018, corresponding to the compliance date for the new Form N-CEN.


The amendments are significant. Information retrieval processes will need to be reviewed and tested against the new rules. As the years until full implementation will pass quickly, funds should not delay in preparing to be compliant with these comprehensive new reporting requirements.


[1] http://www.shearman.com/~/media/Files/NewsInsights/Publications/2015/05/SEC-Issues-Proposed-Investment-Company-Reporting-Rules-IF-052915.pdf

[2] Money market funds already file reports on Form N-MFP on a monthly basis and thus will not be required to file reports on Form N-PORT.

[3] The LEI is a unique identifier associated with a single corporate entity and is intended to provide a uniform international standard for identifying counterparties to a transaction. Funds or registrants that have not yet obtained an LEI will be required to obtain one, which entails a modest fee.

[4] Among the modifications from the original proposal are:

  • An instruction has been added to Form N-PORT specifying the basis of reporting to clarify that portfolio information must be reported on the same basis used to calculate net asset value (NAV), which is generally T+1. (See General Instruction A).
  • An instruction has been added to Form N-PORT to clarify that funds may use their own internal methodologies and the conventions of their service provider to respond to certain items on Form N-PORT, as long as it is consistent with the way the fund reports internally. A fund may explain any of its methodologies, including assumptions in Part E. See General Instruction G.
  • Amendments to definitions and instructions relating to the way funds provide information on Form N-PORT, largely relating to the formatting of the information requested. A revised instruction permits funds to not respond to items that are wholly inapplicable. See General Instruction G.

[5] Form N-PORT will allow funds to report an aggregate amount not exceeding five percent of the total value of the portfolio investments in one amount as "Miscellaneous securities," provided that securities so listed are not restricted, have been held for not more than one year prior to the date of the related balance sheet and have not previously been reported by name to the shareholders, or set forth in any registration statement, application or annual report or otherwise made available to the public.

[6] Increased from 20% as originally proposed.

[7] Definition of DV01: the change in value in the fund's portfolio from a 1 basis point change in interest rates.

[8] Definition of DV01: the change in value in the fund's portfolio from a 100 basis point change in interest rates.

[9] Definition of SDV01/ CR01/ CS01: the change in value in the fund's portfolio from a 1 basis point change in credit spreads.

[10] If the fund is a multiple class fund, it will report returns for each class and also report their class identification numbers.

[11] Form N-Port requires funds to provide the aggregate dollar amounts for sales and redemptions/repurchases of fund shares during each of the preceding three months. If shares of the fund are held in omnibus accounts, for purposes of calculating the fund's sales, redemptions and repurchases, funds are instructed to use net sales or redemptions/repurchases from the omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold include shares sold by the fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the fund liquidated all or part of its assets. Exchanges for this purpose are defined as the redemption or repurchase of shares of one fund or series and the investment of all or part of the proceeds in shares of another fund or series in the same family of investment companies.

[12] For debt securities, other information includes maturity date, coupon information, payment status (i.e., in default, payments in arrears) and conversion features.

[13] For repurchase and reverse repurchase agreements, information includes counterparty and tri-party information, repurchase date, maturity date, principal amount and collateral information.

[14] For derivatives, other information includes derivative type, counterparty information and fairly detailed descriptive information that varies by instrument type.

[15] For securities lending, other information includes identifying a particular fund investment as on loan by the fund (if any) and whether a fund investment represents cash or non-cash collateral for loaned securities.

[16] The proposed rule required the fund to report each of the investments comprising the index or basket of investments. In response to comments the SEC revised the reporting requirement.

[17] The proposed rule required the fund to report each of the investments comprising the index or basket of investments.

The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.

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