# SECURITIES AND EXCHANGE COMMISSION

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URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A5aae00efcd6b7f22

## Record

- **Collection:** Agency decision
- **Document type:** Agency decision

## Text

SECURITIES AND EXCHANGE COMMISSION
17 CFR Parts 200, 210, 232, 239, 240, 249, 270, 274
[Release Nos. 33-10231; 34-79095; IC-32314; File No. S7-08-15]
RIN 3235-AL42
INVESTMENT COMPANY REPORTING MODERNIZATION
AGENCY: Securities and Exchange Commission.
ACTION: Final rule.
SUMMARY: The Securities and Exchange Commission is adopting new rules and forms as
well as amendments to its rules and forms to modernize the reporting and disclosure of
information by registered investment companies. The Commission is adopting new Form
N-PORT, which will require certain registered investment companies to report information about
their monthly portfolio holdings to the Commission in a structured data format. In addition, the
Commission is adopting amendments to Regulation S-X, which will require standardized,
enhanced disclosure about derivatives in investment company financial statements, as well as
other amendments. The Commission is adopting new Form N-CEN, which will require
registered investment companies, other than face-amount certificate companies, to annually
report certain census-type information to the Commission in a structured data format. The
Commission is adopting amendments to Forms N-1A, N-3, and N-CSR to require certain
disclosures regarding securities lending activities. Finally, the Commission is rescinding current
Forms N-Q and N-SAR and amending certain other rules and forms. Collectively, these
amendments will, among other things, improve the information that the Commission receives
from investment companies and assist the Commission, in its role as primary regulator of
investment companies, to better fulfill its mission of protecting investors, maintaining fair,
orderly and efficient markets, and facilitating capital formation. Investors and other potential

users can also utilize this information to help investors make more informed investment
decisions.
DATES:
Effective Dates: This rule is effective January 17, 2017, except for the following:



The amendments to sections 17 CFR 200.800, 17 CFR 232.105, 17 CFR 232.301, 17
CFR 240.10A-1, 17 CFR 240.12b-25, 17 CFR 240.13a-10, 17 CFR 240.13a-11, 17
CFR 240.13a-13, 17 CFR 240.13a-16, 17 CFR 240.15d-10, 17 CFR 240.15d-11, 17
CFR 240.15d-13, 17 CFR 240.15d-16, 17 CFR 249.322, 17 CFR 249.330, 17 CFR
270.8b-16, 17 CFR 270.10f-3, 17 CFR 270.30a-1, 17 CFR 270.30a-4, 17 CFR
270.30b1-1, 17 CFR 270.30b1-2, 17 CFR 270.30b1-3, 17 CFR 274.101, and 17 CFR
274.218, and in Instruction 55 are effective June 1, 2018; and



The amendments to sections 17 CFR 232.401, 17 CFR 249.332, 17 CFR 270.8b-33,
17 CFR 270.30a-2, 17 CFR 270.30a-3, and 17 CFR 270.30b1-5, and 17 CFR 274.130,
and in Instructions 54, 57, 59, and 61 are effective August 1, 2019.

Compliance Dates: The applicable compliance dates are discussed in section II.H. of this
final rule.
FOR FURTHER INFORMATION CONTACT: Daniel K. Chang, Senior Counsel,
J. Matthew DeLesDernier, Senior Counsel, Jacob D. Krawitz, Senior Counsel, Andrea
Ottomanelli Magovern, Senior Counsel, Naseem Nixon, Senior Counsel, Michael C. Pawluk,
Senior Special Counsel, or Sara Cortes, Assistant Director, at (202) 551-6792, Investment
Company Rulemaking Office, Matt Giordano, Chief Accountant, or Kristy Von Ohlen, Assistant
Chief Accountant, Chief Accountant’s Office, at (202) 551-6918, Division of Investment

2

Management, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549-8549.
SUPPLEMENTARY INFORMATION: The Securities and Exchange Commission (the
“Commission”) is adopting new Form N-PORT [referenced in 17 CFR 274.150] and new Form
N-CEN [referenced in 17 CFR 274.101] under the Investment Company Act of 1940 [15 U.S.C.
80a-1 et seq.] (“Investment Company Act”); new rules 30a-4 [17 CFR 270.30a-4] and 30b1-9
[17 CFR 270.30b1-9] under the Investment Company Act; rescinding rules 30b1-1
[17 CFR 270.30b1-1], 30b1-2 [17 CFR 270.30b1-2], 30b1-3 [17 CFR 270.30b1-3], and 30b1-5
[17 CFR 270.30b1-5] under the Investment Company Act; adopting amendments to rules 8b-16
[17 CFR 270.8b-16], 8b-33 [17 CFR 270.8b-33], 10f-3 [17 CFR 270.10f-3], 30a-1 [17 CFR
270.30a-1], 30a-2 [17 CFR 270.30a-2], 30a-3 [17 CFR 270.30a-3], and 30d-1 [17 CFR
270.30d-1], and Form N-8F [referenced in 17 CFR 274.218] under the Investment Company Act;
adopting amendments to Forms N-1A [referenced in 17 CFR 274.11A], N-2 [referenced in
274.11a-1], N-3 [referenced in 274.11b], N-4 [referenced in 17 CFR 274.11c], and N-6
[referenced in 17 CFR 274.11d] under the Investment Company Act and the Securities Act of
1933 [15 U.S.C. 77a et seq.] (“Securities Act”); adopting amendments to Form N-14 [referenced
in 17 CFR 239.23] under the Securities Act; rescinding Form N-SAR [referenced in 17 CFR
274.101 and Form N-Q [referenced in 17 CFR 274.130] and adopting amendments to Form
N-CSR [referenced in 17 CFR 274.128] under the Investment Company Act and Securities
Exchange Act of 1934 [15 U.S.C. 78a et seq.] (“Exchange Act”); adopting amendments to rules
10A-1 [17 CFR 240.10A-1], 12b-25 [17 CFR 240.12b-25], 13a-10 [17 CFR 240.13a-10], 13a-11
[17 CFR 240.13a-11], 13a-13 [17 CFR 240.13a-13], 13a-16 [17 CFR 240.13a-16], 15d-10
[17 CFR 240.15d-10], 15d-11 [17 CFR 240.15d-11], 15d-13 [17 CFR 240.15d-13], and 15d-16

3

[17 CFR 240.15d-16] under the Exchange Act; rescinding section 332 [17 CFR 249.332] and
adopting amendments to sections 322 [17 CFR 249.322] and 330 [17 CFR 249.330] of 17 CFR
Part 249; adopting amendments to Article 6 [17 CFR 210.6-01 et seq.] and Article 12 [17 CFR
210.12-01 et seq.] of Regulation S-X [17 CFR 210]; adopting amendments to section 800 of 17
CFR Part 200 [17 CFR 200.800]; and adopting amendments to rules 105 [17 CFR 232.105], 301
[17 CFR 232.301], and 401 [17 CFR 232.401] of Regulation S-T [17 CFR 232].

4

TABLE OF CONTENTS
I.

Background ................................................................................................................... 8
A. Changes in the Industry and Technology................................................................ 8
B. Summary of Changes to Current Reporting Regime ............................................ 11
1. Form N-PORT and Amendments to Regulation S-X ..................................... 13
2. Form N-CEN ................................................................................................... 15
II. Discussion ................................................................................................................... 17
A. Form N-PORT ...................................................................................................... 17
1. Who Must File Reports on Form N-PORT ..................................................... 25
2. Information Required on Form N-PORT ........................................................ 28
3. Reporting of Information on Form N-PORT ................................................ 137
4. Disclosure of Information Reported on Form N-PORT ............................... 145
B. Rescission of Form N-Q and Amendments to Certification Requirements of
Form N-CSR ...................................................................................................... 158
1. Rescission of Form N-Q ............................................................................... 158
2. Amendments to Certification Requirements of Form N-CSR ...................... 159
C. Amendments to Regulation S-X ......................................................................... 161
1. Overview ....................................................................................................... 161
2. Enhanced Derivatives Disclosures ................................................................ 164
3. Amendments to Current Rules 12-12 through 12-12C ................................. 187
4. Instructions Common to Rules 12-12 through 12-12B and 12-13 through
12-13D .......................................................................................................... 192
5. Investments In and Advances to Affiliates – Rule 12-14 ............................. 198
6. Form and Content of Financial Statements ................................................... 200
D. Form N-CEN and Rescission of Form N-SAR ................................................... 209
1. Overview ....................................................................................................... 209
2. Who Must File Reports on Form N-CEN ..................................................... 213
3. Frequency of Reporting and Filing Deadline................................................ 215
4. Information Required on Form N-CEN ........................................................ 220
5. Items Required by Form N-SAR That Will be Eliminated by Form
N-CEN .......................................................................................................... 296
E. Option for Website Transmission of Shareholder Reports ................................. 309
F. Amendments to Forms Regarding Securities Lending Activities....................... 311
1. Determination to Adopt Requirements as Amendments to Registration
Statement and Annual Report Forms ............................................................ 314
2. Requirement to Disclose Securities Lending Income, Expenses, and
Services ......................................................................................................... 315
3. Required Disclosures of Monthly Average Value on Loan .......................... 323
G. Technical and Conforming Amendments ........................................................... 323
H. Compliance Dates ............................................................................................... 326

5

1. Form N-PORT, Rescission of Form N-Q, and Amendments to the
Certification Requirements of Form N-CSR ................................................ 326
2. Form N-CEN, Rescission of Form N-SAR, and Amendments to the
Exhibit Requirements of Form N-CSR ......................................................... 333
3. Regulation S-X, Statement of Additional Information, and Related
Amendments ................................................................................................. 336
III. Economic Analysis ................................................................................................... 338
A. Introduction ......................................................................................................... 338
B. Form N-PORT, Rescission of Form N-Q, and Amendments to Form N-CSR .. 343
1. Introduction and Economic Baseline ............................................................ 343
2. Benefits ......................................................................................................... 349
3. Costs.............................................................................................................. 360
4. Alternatives ................................................................................................... 376
C. Amendments to Regulation S-X ......................................................................... 385
1. Introduction and Economic Baseline ............................................................ 385
2. Benefits ......................................................................................................... 387
3. Costs.............................................................................................................. 391
4. Alternatives ................................................................................................... 399
D. Form N-CEN and Rescission of Form N-SAR ................................................... 403
1. Introduction and Economic Baseline ............................................................ 403
2. Benefits ......................................................................................................... 404
3. Costs.............................................................................................................. 410
4. Alternatives ................................................................................................... 413
E. Amendments to Forms Regarding Securities Lending Activities....................... 418
1. Introduction and Economic Baseline ............................................................ 418
2. Benefits ......................................................................................................... 421
3. Costs.............................................................................................................. 422
4. Alternatives ................................................................................................... 426
F. Other Alternatives to the Reporting Requirements ............................................. 427
IV. Paperwork Reduction Act ......................................................................................... 430
A. Portfolio Reporting ............................................................................................. 433
1. Form N-PORT .............................................................................................. 433
2. Rescission of Form N-Q ............................................................................... 441
B. Census Reporting ................................................................................................ 442
1. Form N-CEN ................................................................................................. 442
2. Rescission of Form N-SAR .......................................................................... 450
C. Amendments to Regulation S-X ......................................................................... 451
1. Rule 30e-1 ..................................................................................................... 452
2. Rule 30e-2 ..................................................................................................... 457
D. Amendments to Registration Statement Forms .................................................. 461
E. Amendments to Form N-CSR............................................................................. 464

6

V. Final Regulatory Flexibility Analysis....................................................................... 469
A. Need for and Objectives of the Forms and Form Amendments and Rules
and Rule Amendments ........................................................................................ 470
B. Significant Issues Raised by Public Comments .................................................. 470
C. Small Entities Subject to the Rule ...................................................................... 473
D. Projected Reporting, Recordkeeping, and Other Compliance Requirements ..... 474
1. Form N-PORT .............................................................................................. 474
2. Rescission of Form N-Q ............................................................................... 475
3. Form N-CEN ................................................................................................. 476
4. Rescission of Form N-SAR .......................................................................... 477
5. Regulation S-X Amendments ....................................................................... 478
6. Amendments to Registration Statement Forms ............................................ 479
7. Amendments to Form N-CSR....................................................................... 480
E. Agency Action to Minimize Effect on Small Entities ........................................ 481
VI. Statutory Authority ................................................................................................... 482

7

I.

BACKGROUND
A.

Changes in the Industry and Technology

As the primary regulator of the asset management industry, the Commission relies on
information included in reports filed by registered investment companies (“funds”)1 and
investment advisers for a number of purposes, including monitoring industry trends, informing
policy and rulemaking, identifying risks, and assisting Commission staff in examination and
enforcement efforts. Over the years, however, as assets under management and complexity in
the industry have grown, so too has the volume and complexity of information that the
Commission must analyze to carry out its regulatory duties.
Commission staff estimates that there were approximately 17,052 funds registered with
the Commission, as of December 2015.2 Commission staff further estimates that there were
nearly 12,000 investment advisers registered with the Commission, along with another 3,138
advisers that file reports with the Commission as exempt reporting advisers, as of January 2016.3

1

For purposes of the preamble of this release, we use “funds” to mean registered investment
companies other than face-amount certificate companies and any separate series thereof—i.e.,
management companies and unit investment trusts. In addition, we use the term “management
companies” or “management investment companies” to refer to registered management investment
companies and any separate series thereof. We note that “fund” may be separately and differently
defined in each of the new or amended forms or rules.

2

Based on data obtained from the Investment Company Institute (“ICI”) and reports filed by
registrants on Form N-SAR. The 17,052 funds include mutual funds (including funds of funds and
money market funds), closed-end funds, exchange-traded funds (“ETFs”), and unit investment trusts
(“UITs”). See ICI, 2016 I NVESTMENT C OMPANY F ACT B OOK (56th ed., 2016) (“2016 ICI Fact
Book”) at 22, available at https://www.ici.org/pdf/2016_factbook.pdf; see also infra footnote 1259
and accompanying and following text.

3

Based on Investment Adviser Registration Depository (“IARD”) system data. In 2010 Congress
charged the Commission with implementing new reporting and registration requirements for certain
investment advisers to private funds (known as “exempt reporting advisers”). See Dodd-Frank Wall
Street Reform and Consumer Protection Act, Pub. L. 111-203, 124 Stat. 1376, 1570–80 (2010).
Form ADV is used by registered investment advisers to register with the Commission and with the
states and by exempt reporting advisers to report information to the Commission. Information on
Form ADV is available to the public through the Investment Adviser Public Disclosure System,

8

At year-end 2015, assets of registered investment companies exceeded $18 trillion, having grown
from about $5.8 trillion at the end of 1998.4 At the same time, the industry has developed new
product structures, such as ETFs5, new fund types, such as target date funds with asset allocation
strategies,6 and increased its use of derivatives and other alternative strategies.7 These products
and strategies can offer greater opportunities for investors to achieve their investment goals, but
they can also add complexity to funds’ investment strategies, amplify investment risk, or have
other risks, such as counterparty credit risk.
While these changes have been taking place in the fund industry, there have also been
significant advances in the technology that can be used to report and analyze information. We
have started to use structured data formats to collect, aggregate, and analyze data reported by

which allows the public to access the most recent Form ADV filing made by an investment adviser
and is available at http://www.adviserinfo.sec.gov. The Commission recently adopted
amendments to Form ADV. See Form ADV and Investment Adviser Act Rules, Investment Advisers
Act Release No. 4509 (August 25, 2016) [81 FR 60417 (September 1, 2016)] (“Form ADV Release”).
4

See 2016 ICI Fact Book, supra footnote 2, at 9.

5

See generally Exchange-Traded Funds, Securities Act Release No. 8901 (Mar. 11, 2008) [73 FR
14618 (Mar. 18, 2008)] (“ETF Proposing Release”) at 14619; Request for Comment on ExchangeTraded Products, Securities Exchange Act Rel. No. 34-75165 (June 12, 2015); see also ICI,
Exchange-Traded Funds April 2016 (May 27, 2016), available at
https://www.ici.org/research/stats/etf/etfs_04_16 (discussing April 2016 statistics on ETFs). As of
April 2016, there were 1,630 ETFs with over $2 trillion in assets. Over the twelve-month period
ending April 2016, assets of ETFs increased $89.63 billion. See id.

6

See generally Investment Company Advertising: Target Date Retirement Fund Names and Marketing,
Securities Act Release No. 9126 (June 16, 2010) [75 FR 35920 (June 23, 2010)] (“Investment
Company Advertising Release”).

7

See Use of Derivatives by Registered Investment Companies and Business Development Companies,
Investment Company Act Release No. 31933 (Dec. 11, 2015) [80 FR 80884 (Dec. 28, 2015)]
(“Derivatives Proposing Release”) (noting “dramatic growth in the volume and complexity of the
derivatives markets over the past two decades, and the increased use of derivatives by certain
funds”); see also Investment Company Reporting Modernization, Investment Company Act Release
No. 31610 (May 20, 2015) [80 FR 33590 (June 12, 2015)] (“Proposing Release”) at n. 7.

9

registrants and other filers.8 These data formats for information collection have enabled us and
other data users, including investors and other industry participants, to better collect and analyze
reported information and have improved our ability to carry out our regulatory functions.
As we noted in the Proposing Release, we have historically acted to modernize our forms
and the manner in which information is filed with the Commission and disclosed to the public in
order to keep up with changes in the industry and technology.9 In May 2015, we again acted to
modernize our forms and the manner in which information is filed and disclosed by proposing a
number of reforms for investment company reporting.10 Our proposal included four sets of
reforms: (1) the creation of a new portfolio holdings reporting form, Form N-PORT, and the
rescission of Form N-Q; (2) the creation of a new census reporting form, Form N-CEN, and the
rescission of Form N-SAR; (3) amendments to Regulation S-X, largely designed to improve

8

See Proposing Release, supra footnote 7, at nn. 12–16 and accompanying text (discussing the use of
eXtensible Business Reporting Language (“XBRL”) with open-end fund risk/return summaries and
the use of Extensible Markup Language (“XML”) with Forms N-MFP, PF and 13F, as well as in
other contexts).

9

See supra footnote 8 and accompanying text; see also Proposing Release, supra footnote 7, at nn. 8–9
and accompanying text (discussing the adoption of Form N-SAR and the adoption of rules requiring
the use of the IARD for investment adviser filings); see also Derivatives Proposing Release, supra
footnote 7 (proposing, among other things, reporting requirements in Forms N-PORT and N-CEN
related to derivatives); Investment Company Liquidity Risk Management Programs; Investment
Company Act Release No [x] (October 13, 2016) (“Liquidity Adopting Release”); Investment
Company Swing Pricing; Investment Company Release No. [x] (October 13, 2016) (“Swing Pricing
Adopting Release”).
We also note that in December 2014, the Financial Stability Oversight Council (“FSOC”) issued a
notice requesting comment on aspects of the asset management industry, including on additional data
or information that would be helpful to regulators and market participants. See FSOC, Notice
Seeking Comment on Asset Management Products and Activities, Docket No. FSOC-2014-0001
(Dec. 24, 2014) (“FSOC Notice”), available at http://www.treasury.gov/initiatives/fsoc/rulemaking/
Documents/Notice%20Seeking%20Comment%20on%20Asset%20Management%20Products%20and
%20Activities.pdf. Although our proposal was independent of FSOC, several commenters
responding to the notice discussed issues concerning data that were relevant to our proposal and those
comments were discussed in the Proposing Release, as relevant. See Proposing Release, supra
footnote 7, at nn. 17–18 and accompanying text.

10

See Proposing Release, supra footnote 7.

10

derivatives disclosure; and (4) a proposed new rule, rule 30e-3, which would provide funds with
an optional method to satisfy shareholder report transmission requirements by posting their
reports online if they met certain conditions.
The proposed reforms were designed to help the Commission, investors, and other market
participants better assess different fund products and to assist us in carrying out our mission to
protect investors, maintain fair, orderly, and efficient markets, and facilitate capital formation.
These reforms also sought to (1) increase the transparency of fund portfolios and investment
practices both to the Commission and to investors, (2) take advantage of technological advances
both in terms of the manner in which information is reported to the Commission and how it is
provided to investors and other potential users, and (3) where appropriate, reduce duplicative or
otherwise unnecessary reporting burdens on the industry.
B.

Summary of Changes to Current Reporting Regime

We received 1,003 comments11 on our proposed reforms from a variety of interested
parties, including investment companies, industry groups, investors, academics and others. As
discussed in greater detail below in the relevant sections of this release, commenters generally
supported our efforts to modernize the investment company reporting regime, but had varying
comments on a number of specific items in each of the respective sets of reforms. Commenters

11

Of these, about 574 were individualized letters, and the rest were one of a number of types of form
letters. See Comments on Investment Company Reporting Modernization, File No. S7-08-15,
available at http://www.sec.gov/comments/s7-08-15/s70815.shtml. The comment period for the
proposal closed on August 11, 2015, but was re-opened until January 13, 2016 when the Commission
proposed liquidity risk management programs for open-end funds. See Open-End Fund Liquidity
Risk Management Programs; Swing Pricing; Re-Opening of Comment Period for Investment
Company Reporting Modernization Release, Investment Company Act Release No. 31835 (Sept. 22,
2015) [80 FR 62274 (Oct. 15, 2015)] (“Liquidity Proposing Release”).

11

were generally supportive of proposed new Form N-PORT;12 however, we received many
comments relating to the data to be collected by the form, the frequency of filing reports on the
form, and whether reports on the form or certain information in the reports should be made
public. Commenters were also generally supportive of proposed new Form N-CEN,13 agreeing
that Form N-CEN will provide both the Commission and the public with enhanced and updated
census-type information. Similar to Form N-PORT, however, commenters also provided many
comments on the data to be collected by the form and whether certain information in reports on
the form should be made public. In addition, commenters were largely supportive of our efforts
to improve the information that funds report to shareholders and the Commission through the
proposed amendments to Regulation S-X,14 but had specific comments on certain disclosures.
Comments on proposed rule 30e-3, which would allow funds to transmit reports to shareholders
via the internet subject to a number of conditions, were mixed, with some commenters
supporting the rule and others opposing it.15
Today, after consideration of the comments we received, we are adopting new Forms
N-PORT and N-CEN, as well as amendments to Regulation S-X. We continue to believe that
with the industry changes and technological advances that have occurred over the years, we need
to improve the type and format of the information that funds provide to us and to investors, and
the information that the Commission receives from funds in order to improve the Commission’s
monitoring of the fund industry in its role as the primary regulator of funds and investment
12

See infra footnotes 46, 64, 100, 115, 123, 145, 193, 197, 198, 245, 275, 283, 293, 330, 350, 379, 423,
432, 443, 455 and 475.

13

See infra footnotes 745, 759, 769, 779, 819, 832, 857, 870, 883, 907, 940, 989, 1008, 1045, 1061,
1070, 1080, 1101 and 1107.

14

See infra footnotes 527, 537, 556, 558, 566, 648, 665, 701 and 711.

15

See infra footnotes 1178–1179.

12

advisers. We are not adopting proposed rule 30e-3 at this time as we believe, in light of the
comments received, that additional consideration regarding the rule is appropriate. We are
adopting amendments to Forms N-1A, N-3, and N-CSR to require certain disclosures regarding
securities lending activities.16
1.

Form N-PORT and Amendments to Regulation S-X

We are adopting Form N-PORT, largely as proposed, with certain modifications in
response to commenters. We are also rescinding, as proposed, Form N-Q. Form N-PORT is a
new portfolio holdings reporting form that will be filed by all registered management investment
companies, other than money market funds and small business investment companies
(“SBICs”),17 and by UITs that operate as ETFs.18 Currently, management investment companies
(other than SBICs) are required to report their complete portfolio holdings to the Commission on
a quarterly basis on Forms N-Q19 and N-CSR.20
Form N-PORT requires reporting of a fund’s complete portfolio holdings. The form also
requires additional information concerning fund portfolio holdings that is not currently required
by Forms N-Q and N-CSR, and that will facilitate risk analyses and other Commission oversight.

16

If any provision of these rules, or the application thereof to any person or circumstance, is held to be
invalid, such invalidity shall not affect other provisions or application of such provisions to other
persons or circumstances that can be given effect without the invalid provision or application.

17

See infra footnote 49 (discussing why money market funds and SBICs will not be required to file
reports on Form N-PORT).

18

ETFs will be required to file reports on Form N-PORT, regardless of whether they are organized as
management companies or UITs. UITs are a type of investment company which (a) are organized
under a trust indenture contract of custodianship or agency or similar instrument, (b) do not have a
board of directors, and (c) issue only redeemable securities. See section 4(2) of the Investment
Company Act.

19

Rule 30b1-5 under the Investment Company Act [17 CFR 270.30b1-5]. While SBICs file reports on
Form N-CSR, SBICs are not required to file reports on Form N-Q.

20

See rule 30b2-1 under the Investment Company Act [17 CFR 270.30b2-1].

13

For example, Form N-PORT requires reporting of additional information relating to derivative
investments. The form also includes certain risk metric calculations that measure a fund’s
exposure and sensitivity to changing market conditions, such as changes in asset prices, interest
rates, or credit spreads. As was proposed, reports on Form N-PORT will be filed in a structured
data format with the Commission on a monthly basis, with every third month available to the
public 60 days after the end of the fund’s fiscal quarter.
We continue to believe that more timely and frequent reporting of portfolio holdings
information to the Commission, as well as the additional information Form N-PORT requires,
will enable us to further our mission to protect investors by assisting the Commission and its
staff in carrying out its regulatory responsibilities related to the asset management industry.
These responsibilities include its examination, enforcement, and monitoring of funds, its
formulation of policy, and the staff’s review of fund registration statements and disclosures.
While Form N-PORT is primarily designed to assist the Commission and its staff, we
also continue to believe that information in Form N-PORT will be beneficial to investors and
other potential users. In particular, we believe that both sophisticated institutional investors and
third-party users that provide services to investors may find the information required on Form NPORT useful. For example, Form N-PORT’s structured format will allow the Commission,
investors, and other potential users to better collect and analyze portfolio holdings information.21
While we do not anticipate that many individual investors will analyze data using Form NPORT, although some may, we believe that individual investors will benefit indirectly from the

21

As we noted in the Proposing Release, portfolio holdings information currently filed on Form N-Q is
filed in a plain text or hypertext format, which often requires labor-intensive manual reformatting by
Commission staff and other potential users in order to prepare the reported data for analysis. See
Proposing Release, supra footnote 7.

14

information collected on reports on Form N-PORT, through enhanced Commission monitoring
and oversight of the fund industry and through analyses prepared by third-party service providers
and other parties, such as industry observers and academics.
In addition, we are adopting, largely as proposed, amendments to Regulation S-X with
certain modifications in response to comments. These amendments in large part require
standardized enhanced derivatives disclosures in fund financial statements. Currently,
Regulation S-X does not prescribe specific information for most types of derivatives, including
swaps, futures, and forwards. While many fund groups provide disclosures regarding the terms
of their derivatives contracts, the lack of standard disclosure requirements has resulted in
inconsistent disclosures in fund financial statements.
We continue to believe that the amendments to Regulation S-X to enhance and
standardize derivatives disclosures in financial statements will allow comparability among funds
and help all investors better assess funds’ use of derivatives. Reports on Form N-PORT will
contain similar derivatives disclosures to facilitate analysis of derivatives investments across
funds. Because Form N-PORT is not primarily designed for individual investors, the
amendments to Regulation S-X require disclosures concerning the fund’s investments in
derivatives in the financial statements that are provided to investors. We also have endeavored
to mitigate burdens on the industry by conforming the derivatives disclosures that are required by
both Regulation S-X and Form N-PORT.
2.

Form N-CEN

We are adopting, substantially as proposed and with certain modifications in response to
comments, Form N-CEN, a new form on which funds will report census-type information to the

15

Commission. We are also rescinding, as proposed, Form N-SAR, the current form on which the
Commission collects census-type information on management investment companies and UITs.22
As we discussed in the Proposing Release, Form N-SAR was adopted in 1985 and, while
Commission staff has indicated that the census-type information reported on Form N-SAR is
useful in its support of the Commission’s regulatory functions, staff has also indicated that in the
thirty plus years since Form N-SAR’s adoption, changes in the industry have reduced the utility
of some of the currently required data elements.23 Commission staff believes that obtaining
certain additional census-type information not currently collected by Form N-SAR will improve
the staff’s ability to carry out regulatory functions, including risk monitoring and analysis of the
industry.
Form N-CEN includes many of the same data elements as Form N-SAR, but, in order to
improve the quality and utility of information reported, replaces those items that are outdated or
of limited usefulness with items that we believe to be of greater relevance today. Where
possible, we are also eliminating items that are reported on other Commission forms, or are
available elsewhere. In addition, reports on Form N-CEN will be filed in a structured XML
format, which, we believe, will reduce reporting burdens for current Form N-SAR filers and
yield data that can be used more effectively by the Commission and other potential users.24
Finally, reports on new Form N-CEN will be filed annually, rather than semi-annually as is

22

See rules 30a-1 and 30b1-1 under the Investment Company Act [17 CFR 270.30a-1 and 17 CFR
270.30b1-1].

23

See Proposing Release, supra footnote 7 (noting that when adopted, Form N-SAR was intended to
reduce reporting burdens and better align the information that was required to be reported with the
characteristics of the fund industry). Also as noted in the Proposing Release, the filing format that is
required for reports on Form N-SAR limits our ability to use the reported information for analysis.

24

See infra footnotes 750–752 and accompanying text.

16

required for reports on Form N-SAR by management companies, which will further reduce
current burdens on funds.
II.

DISCUSSION
A.

Form N-PORT

As discussed above, we are adopting a new monthly portfolio reporting form, Form NPORT. Form N-PORT requires registered management investment companies and ETFs
organized as UITs, other than money market funds and SBICs, to electronically file with the
Commission monthly portfolio investments information on reports in an XML format no later
than 30 days after the close of each month.25 Except as discussed below in section II.A.4, only
information reported for the third month of each fund’s fiscal quarter on Form N-PORT will be
publicly available, and that information will not be made public until 60 days after the end of the
fiscal quarter.26
As the primary regulator of the asset management industry, the Commission relies on
information that funds file with us, including their registration statements, shareholder reports,
and various reporting forms such as Form N-CSR. The Commission and its staff use this
information to understand trends in the fund industry and carry out regulatory responsibilities,
including formulating policy and guidance, reviewing fund registration statements, and assessing

25

See new rule 30b1-9.

26

As used throughout this section, the term “fund” generally refers to investment companies that will
file reports on Form N-PORT.
As discussed further in section II.A.4, the Commission does not intend to make public the
information reported on Form N-PORT for the first and second months of each fund’s fiscal quarter
that is identifiable to any particular fund or adviser or any information reported with regard to country
of risk and economic exposure, delta, or miscellaneous securities, or explanatory notes related to any
of those topics that is identifiable to any particular fund or adviser. However, the Commission may
use such information in its regulatory programs, including examinations, investigations, and
enforcement actions. See infra footnote 500; see also General Instruction F of Form N-PORT.

17

and examining a fund’s regulatory compliance with the federal securities laws and Commission
rules thereunder.
Information on fund portfolios is currently filed with the Commission quarterly with up
to a 70-day delay.27 Moreover, the reports are currently filed in a format that does not allow for
efficient searches or analyses across portfolios, and even limits the ability to search or analyze a
single portfolio. Based on staff experience with data analysis of funds, including staff
experience using Form N-MFP, we believe, and commenters generally agreed, that more
frequent and timely information concerning fund portfolios than we currently receive, will assist
the Commission in its role as the primary regulator of funds, as discussed further below.28
The information we will collect on Form N-PORT will be important to the Commission
and its staff in analyzing and understanding the various risks in a particular fund, as well as risks
across specific types of funds and the fund industry as a whole. These risks can include the
investment risk that the fund is undertaking as part of its investment strategy, such as interest rate
27

Funds currently file with the Commission portfolio schedules for the fund’s first and third fiscal
quarters on Form N-Q, and shareholder reports, including portfolio schedules for the fund’s second
and fourth fiscal quarters, on Form N-CSR. These reports are available to the public and the
Commission with either a 60- or 70-day delay. See rule 30b1-5 (requiring management companies,
other than SBICs, to file reports on Form N-Q no more than 60 days after the close of the first and
third quarters of each fiscal year); rule 30b2-1 (requiring management companies to file reports on
Form N-CSR no later than 10 days after the transmission to stockholders of any report required to be
transmitted to stockholders under rule 30e-1). See also rules 30e-1 and 30e-2 under the Investment
Company Act [17 CFR 270.30e-1 and 17 CFR 270.30e-2] (requiring management companies and
certain UITs to transmit to stockholders semi-annual reports containing, among other things, the
fund’s portfolio schedules, no more than 60 days after the close of the second and fourth quarters of
each fiscal year). These reports include portfolio holdings information as required by Regulation SX. See rule 12-12 of Regulation S-X [17 CFR 210.12-12], et seq.

28

See, e.g., Comment Letter of Morningstar, Inc. (Aug. 21, 2015) (“Morningstar Comment Letter”)
(expressing belief that timelier information to investors through monthly public disclosures of
portfolios would assist the Commission in monitoring the financial system, while also providing
suggested revisions to enhance the proposal.); Comment Letter of Vanguard (Aug. 11, 2015)
(“Vanguard Comment Letter”) (stating that the proposal strikes the appropriate balance between
disclosures to the Commission and protecting funds and their investors from front-running, and
providing suggested modifications to the proposal).

18

risk, credit risk, volatility risk, other market risks, or risks associated with specific types of
investments, such as emerging market debt or commodities. Additionally, as we discuss in the
Liquidity Adopting Release that we are adopting concurrently Form N-PORT will help the
Commission better understand liquidity risks through additional Form N-PORT disclosure
requirements discussed in that release.29 The information collected on Form N-PORT will also
assist with understanding whether and to what extent a fund’s exposure to price movements is
leveraged, either through borrowings or the use of derivatives.
Many commenters generally agreed with us that the information required on Form
N-PORT will assist the Commission in better understanding each of these risks in the fund
industry.30 These commenters also generally agreed with us that the ability to understand the
risks that funds face will help Commission staff better understand and monitor risks and trends in
the fund industry as a whole, facilitating the Commission’s informed regulation of the fund
industry.31 We also believe, and some commenters agreed, that information obtained from Form
N-PORT filings will facilitate the Commission’s oversight of funds and assist Commission staff

29

See generally Liquidity Adopting Release, supra footnote 9.

30

See, e.g., Comment Letter of BlackRock (Aug. 11, 2015) (“BlackRock Comment Letter”)
(“Importantly, the greater depth and frequency of information requested by the Commission will help
the Commission better identify and monitor emerging risks associated with specific RICs or
categories of RICs as well as asset management activities.”); Comment Letter of Wells Fargo Funds
Management, LLC (Aug. 11, 2015) (“Wells Fargo Comment Letter”) (“we believe that the enhanced
disclosure requirements of the Proposals represent appropriate valuable information for the
Commission to have in order to assess trends in risks, for example, across the mutual fund
industry.”); but see, e.g., Comment Letter of Federated Investors, Inc. (January 13, 2016) (“Federated
Comment Letter) (“A majority of the Commission’s proposed amendments to Form N-1A, N-PORT,
and N-CEN would require a large effort from funds while offering data that is, at best, of little utility,
and, at worst, misleading. Many of these deficiencies relate to flaws inherent in a security-level
disclosure scheme.”). We disagree with the commenter that a security-level disclosure scheme is of
little utility. See infra footnote 1283 and accompanying and following text (discussing the utility of
the security-level information that will be reported on Form N-PORT).

31

Id.

19

in examination, enforcement, and monitoring, as well as in formulating policy and in its review
of fund registration statements and disclosures.32 In this regard, we expect that Commission staff
will use the data reported on Form N-PORT for many of the same purposes as Commission staff
has used data reported on Form N-MFP by money market funds. The data received on Form
N-MFP has been used extensively by Commission staff, including for purposes of assessing
regulatory compliance, identifying funds for examination, and risk monitoring. Form N-MFP
data has also informed Commission policy; for example, staff used Form N-MFP data in
analyses that informed the Commission’s considerations when it proposed and adopted money
market fund reform rules in 2013 and 2014.33
In addition to assisting the Commission in its regulatory functions, we believe, and some
commenters agreed, that investors and other potential users will benefit from the periodic public
disclosure of the information reported on Form N-PORT.34 Form N-PORT is primarily designed
for use by the Commission and its staff, and not for disclosing information directly to individual
investors. The information we are requiring on Form N-PORT is more voluminous than on a
schedule of investments. We believe, and some commenters agreed, however, that some
investors, particularly institutional investors, could directly use the data from the information on
Form N-PORT for their own quantitative analysis of funds, including to better understand the
32

Id.

33

See, e.g., Money Market Fund Reform; Amendments to Form PF, Investment Company Act Release
No. 30551 (June 5, 2013) [78 FR 36834 (June 19, 2013)]; Money Market Fund Reform; Amendments
to Form PF, Investment Company Act Release No. 31166 (July, 23 2014) [79 FR 44076 (July 29,
2014)] (“Money Market Fund Reform 2014 Release”) at n. 502 and accompanying text (citing use of
Form N-MFP data in discussing the Commission’s decision to require basis point rounding) and at n.
651 and accompanying text (citing use of Form N-MFP data in discussing the Commission’s decision
regarding the size of the non-government securities basket for government money market funds).

34

See, e.g., Comment Letter of Joseph A. Franco (Aug. 11, 2015) (“Franco Comment Letter”);
Morningstar Comment Letter; but see, e.g., Comment Letter of the Investment Company Institute
(Aug. 11, 2015) (“ICI Comment Letter”).

20

funds’ investment strategies and risks, and to better compare funds with similar strategies.35
Additionally, we believe, and some commenters agreed, that entities providing services to
investors, such as investment advisers, broker-dealers, and entities that provide information and
analysis for fund investors, will also utilize and analyze the information that will be required by
Form N-PORT to help all investors make more informed investment decisions.36 Accordingly,
whether directly or through third parties, we believe, and some commenters agree, that the
periodic public disclosure of the information on Form N-PORT will benefit all fund investors.37
As discussed further below, in order to mitigate the risk that the information on Form N-PORT
will be used in ways that might ultimately result in investor harm, we are limiting the public
availability of Form N-PORT to reports filed as of quarter-end, as well as delaying public
availability of those reports by 60 days and keep certain discrete information items nonpublic.
We intend to increase transparency of fund investments through Form N-PORT in several
ways. First, Form N-PORT will improve reporting of fund derivative usage. As the
Commission has previously noted, we have observed a dramatic growth in the volume and
complexity of the derivatives markets over the past two decades.38 Additionally, funds that are
considered “alternative” funds, which often use derivatives for implementing their investment
strategy, are becoming increasingly popular among investors.39 Although Regulation S-X

35

Id.

36

See id.

37

See id.

38

See Derivatives Proposing Release, supra footnote 7, at n. 6 and accompanying text; see also Use of
Derivatives by Investment Companies under the Investment Company Act of 1940, Investment
Company Act Release No. 29776 (Aug. 31, 2011) [76 FR 55237 (Sept. 7, 2011)] (“Derivatives
Concept Release”) at n. 7 and accompanying text.

39

While there is no clear definition of “alternative” in the fund industry, an alternative fund is generally
understood to be a fund whose primary investment strategy falls into one or more of the three

21

establishes general disclosure requirements for financial statements in fund registration
statements and shareholder reports, based on staff review of fund filings, the lack of standardized
requirements as to the terms of derivatives that must be reported has sometimes led to
inconsistent approaches to reporting derivatives information and, in some cases, insufficient
information concerning the terms and underlying reference assets of derivatives to allow the
Commission or investors to better understand the investment.40 This hinders both an analysis of
a particular fund’s investments, as well as comparability among funds.41
The information and reporting format required by Form N-PORT will create a more
detailed, uniform, and structured reporting regime. We believe and several commenters agreed
that this will allow the Commission and investors to better analyze and compare funds’
derivatives investments and the exposures they create, which can be important to understanding
funds’ investment strategies, use of leverage, and potential for risk of loss.42

following categories: (1) non-traditional asset classes (for example, currencies); (2) non-traditional
strategies (such as long/short equity positions); and/or (3) less liquid assets (such as private debt).
At the end of December 2015, alternative mutual funds and exchange-traded funds had more than
$200 billion in assets. Although alternative mutual funds only accounted for 1.23% of the mutual
fund market as of December 2015, the almost $17.3 billion of inflows into these funds in 2015
represented 7% of the inflows for the entire mutual fund industry in that year. These statistics were
obtained from staff analysis of Morningstar Direct data, and are based on fund categories as defined
by Morningstar.
40

For example, we understand that some funds provide a description of all of the holdings in an index
or custom basket underlying a swap contract, while others only provide a short description. See also
Proposing Release, supra footnote 7, at n. 31 and accompanying text.

41

See, e.g., current rule 12-13 of Regulation S-X [17 CFR 210.12-13] (requiring funds to disclose
“other” investments, which includes derivatives); rule 6-03 of Regulation S-X [17 CFR 210.6-03]
(applying articles 1-4 of Regulation S-X to investment companies, but not specifying where
derivative disclosures should be made for funds); FASB ASC 815, Disclosures about Derivative
Instruments and Hedging Activities (“ASC 815”) (discussing general derivative disclosure); FASB
ASC 820, Fair Value Measurements (“ASC 820”) (requiring disclosure of valuation information for
major categories of investments). See also infra section II.C.

42

See, e.g., Comment Letter of Fidelity Investments (Aug. 10, 2015) (“Fidelity Comment Letter”)
(generally supporting Commission’s focus on modernizing the way data is collected from funds and

22

Furthermore, as discussed further below, Form N-PORT requires funds to report certain
risk metrics that would provide measurements of a fund’s exposure to changes in interest rates,
credit spreads and asset prices, whether through investments in debt securities or in derivatives.
Financial statement information provides historical information over a particular time period
(e.g., a statement of operations), or information about values of assets at a particular point in time
(e.g., a balance sheet including, for funds, a schedule of investments). Risk metrics, on the other
hand, measure the change in value of an investment in response to small changes in the
underlying reference asset of an investment, whether the underlying reference asset is a security
(or index of securities), commodity, interest rate, or credit spread over an interest rate. Based on
staff experience, as well as staff outreach to asset managers and entities that provide risk
management services to asset managers (prior to the Commission issuing the Proposing
Release), discussed further below, we believe that fund portfolio managers and risk managers
commonly calculate risk metrics to analyze the exposures in their portfolios.43 The Commission
believes that staff can use these risk measures to better understand the exposures in the fund
industry, thereby facilitating better monitoring of risks and trends in the fund industry as a
whole.

reported to shareholders and providing suggestions for modifications to the final rule); Comment
Letter of Capital Research and Management Company (Aug. 11, 2015) (“CRMC Comment Letter”)
(supporting Commission’s efforts to take advantage of technology in order to assist the staff,
investors, and other market participants to better assess different fund products and assist the
Commission in carrying out its mission; and providing suggestions for modifications to the final
rule).
43

See generally John C. Hull, OPTIONS, FUTURES, AND OTHER DERIVATIVES (9th ed., 2015)
(discussing, for example, the function of duration, convexity, delta, and other calculations used for
measuring changes in the value of bonds or derivatives as a result of changes in underlying asset
prices or interest rates); Sheldon Natenberg, OPTION VOLATILITY AND PRICING (1994) (same).

23

Form N-PORT will also require information about certain fund transactions and activities
such as securities lending, repurchase agreements, and reverse repurchase agreements, including
information regarding the counterparties to which the fund is exposed in those transactions, as
well as in over-the-counter derivatives transactions. We believe and several commenters agreed
that such information will increase transparency concerning these transactions and activities and
will provide better information regarding counterparties, which will be useful in assessing both
individual and multiple fund exposures to a single counterparty.44 This will allow the
Commission to better assess and monitor counterparty risk for individual funds, as well as across
the industry.
As discussed further below, Form N-PORT will be filed electronically in a structured,
XML format. This format will enhance the ability of the Commission, as well as investors and
other potential users, to analyze portfolio data both on a fund-by-fund basis and also across
funds.45 As a result, although we will collect certain information on Form N-PORT that may be
similarly disclosed or reported elsewhere (e.g., portfolio investments would continue to be
included as part of the schedules of investments contained in shareholder reports, and filed on a
semi-annual basis with the Commission on Form N-CSR), we believe that it is appropriate to
also collect this information in a structured format for analysis by our staff as well as investors
and other potential users.

44

See, e.g., Morningstar Comment Letter (“By collecting and making available additional information
about counterparty risk and other important factors, the SEC will make it easier for investors and
financial advisors to monitor portfolio risks.”).

45

See, e.g., Fidelity Comment Letter (“Collecting data in a structured format should allow the
Commission to use information from market participants in rigorous empirical examinations of the
industry in furtherance of the SEC’s goals.”); ICI Comment Letter (“Obtaining that information in a
structured data format will help the SEC to better analyze information and improve its ability to carry
out its regulatory mission.”).

24

Many commenters were generally supportive of our proposal.46 However, we received
many comments relating to the structure of the proposed form, data to be collected, frequency of
filings, and whether reports on the form should be made public. We address these comments
below and discuss modifications we made from the proposal in response to comments.
1.

Who Must File Reports on Form N-PORT

We are adopting, as proposed, the requirement that each registered management
investment company and each ETF organized as a UIT file a report on Form N-PORT.47
Registrants offering multiple series will be required to file a report for each series separately,
even if some information is the same for two or more series.48 Money market funds and SBICs
will not be required to file reports on Form N-PORT.49

46

See, e.g., Comment Letter of Charles Schwab Investment Management, Inc. (Aug. 11, 2015)
(“Schwab Comment Letter”) (“Form N-Port [sic] will provide substantial additional information to
the Commission and strengthen its ability to oversee and carry out its regulatory responsibilities for
the asset management industry.”); Vanguard Comment Letter (“Vanguard generally supports the
proposed reporting initiatives because we believe these reporting obligations will provide the
Commission with the tools necessary to monitor portfolio composition and risk exposure among
funds, without exposing fund investors to potentially harmful front-running activities.”); Comment
Letter of Pioneer Investments (Aug. 11, 2015) (“Pioneer Comment Letter”) (“Pioneer supports the
Commission’s effort to modernize the regime whereby funds report information about their portfolio
holdings to the Commission.”); Comment Letter of the Securities Industry and Financial Markets
Association Asset Management Group (Aug. 11, 2015) (“SIFMA Comment Letter I”) (“We support
the Commission’s initiative in proposing monthly reports on Form N-PORT in order to strengthen its
regulatory oversight of the asset management industry and protect investors by obtaining more
frequent and substantially expanded information about funds, in a structured format.”); ICI Comment
Letter (“ICI broadly supports the Commission’s efforts to update fund reporting.”).

47

See new rule 30b1-9.

48

As further discussed below, in part to harmonize definitions between Forms N-PORT and N-CEN,
and in part to parallel identical changes to the definition of “exchange-traded fund” in Form N-CEN,
we have revised Form N-PORT’s proposed definition of “exchange-traded product” to refer instead to
“exchange-traded fund,” which as revised includes each series of a UIT that meets that definition.
See General Instruction E of Form N-PORT; infra footnote 896 (discussing changes to definitions in
Form N-CEN).

49

Money market funds already file their monthly portfolio investments with the Commission. See
Form N-MFP. SBICs are unique investment companies that operate differently and are subject to a
different regulatory regime than other management investment companies. They are “privately

25

We are adopting, as proposed, the requirement that all ETFs file reports on Form NPORT, regardless of their form of organization. Although most ETFs today are structured as
open-end management investment companies, there are several ETFs that are organized as
UITs.50 ETFs organized as UITs have significant numbers of investors who we believe can
benefit from the disclosures required in Form N-PORT.51 We received no comments on this
aspect of the proposal.
One commenter suggested that reports on Form N-PORT should be filed by all registered
investment companies, including UITs, in order to have comparable filing information across
registered investment products, although the commenter did suggest that less frequent filing
requirements might be appropriate based on the structure of the investment company.52 We note
that UITs have fixed portfolios that do not change over time, and thus, unlike most other
investment companies which are required to file quarterly reports with their current portfolio
holdings, UITs are not currently required to file periodic reports other than on an annual basis.53
Based on these differences, as reflected in the current reporting regime, we have determined not
to extend Form N-PORT filing requirements to UITs that are not ETFs at this time.

owned and managed investment funds, licensed and regulated by [the Small Business Administration
(“SBA”)], that use their own capital plus funds borrowed with an SBA guarantee to make equity and
debt investments in qualifying small businesses.” See SBA, SBIC Program Overview, available at
https://www.sba.gov/content/sbic-program-overview. As a result of these differences, SBICs are not
required to file reports on Form N-Q. As of December 31, 2015, only one SBIC had publicly offered
securities outstanding.
50

There are currently eight ETFs organized as UITs that have registered with the Commission.

51

Commission staff estimates that as of December 2015, ETFs organized as UITs represented 12% of
all assets invested in registered ETFs. This analysis is based on data from Morningstar Direct.

52

See Morningstar Comment Letter.

53

UITs currently file annual reports on Form N-SAR. In contrast, management investment companies
currently file reports for their first and third fiscal quarters on Forms N-Q and reports for their second
and fourth fiscal quarters on Form N-CSR, as well as semi-annual reports on Form N-SAR. See
supra footnotes 19–20 and accompanying text.

26

The same commenter also recommended that reports on Form N-PORT be filed by
business development companies (“BDCs”).54 BDCs are a category of closed-end funds that are
operated for the purpose of investing in, and providing managerial assistance to, small and
developing businesses, and financially troubled businesses. BDCs are not required to register as
investment companies under the Investment Company Act although they do elect to be subject to
certain specialized provisions, and they are subject to a different reporting regime than registered
investment companies.55 Based on these differences, and as reflected in the current reporting and
registration regime, we have determined not to extend Form N-PORT filing requirements to
BDCs at this time.56
Another commenter suggested that the Commission and the CFTC should agree on and
implement a substituted compliance regime.57 Although we recognize that there are various
alternative reporting requirements imposed in other contexts and by other regulators, the
reporting requirements imposed by Form N-PORT have been designed specifically to meet the
Commission’s regulatory needs with regards to monitoring and oversight of registered funds.
Finally, one commenter stated that we should not require funds to directly report
information on their own behalf, but instead require other entities such as transfer agents and

54

See Morningstar Comment Letter (recommending that “business development companies…and other
[registered investment companies]” should be required to file reports on Form N-PORT).

55

See Adoption of Permanent Notification Forms for Business Development Companies; Statement of
Staff Position, Investment Company Act Release No. 12274 (Mar. 5, 1982) [47 FR 10518-02 (Mar.
11, 1982)]; and Interim Notification Forms for Business Development Companies, Investment
Company Act Release No. 11703 (Mar. 26, 1981) [46 FR 19459 (Mar. 31, 1981)] for a discussion of
the regulatory system applicable to BDCs.

56

Although BDCs will not be subject to Form N-PORT filing requirements, the amendments being
adopted to Regulation S-X will apply to both registered investment companies and BDCs. See infra
footnote 700.

57

See SIFMA Comment Letter I (“Under our suggested approach, funds required to report on new Form
N-PORT would be excused from reporting on Form CPO-PQR.”).

27

custodians to report information on behalf of funds.58 Given our expertise and experience in
regulating, examining, and overseeing funds, including fund reporting, recordkeeping, and
compliance, we continue to believe that obtaining such information directly from funds is
appropriate.
2.

Information Required on Form N-PORT

We are adopting, substantially as proposed, the requirements in Form N-PORT to report
certain 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) assets and liabilities; (c)
certain portfolio-level metrics, including certain risk metrics; (d) information regarding securities
lending counterparties; (e) information regarding monthly returns; (f) flow information;
(g) certain information regarding each investment in the portfolio; (h) miscellaneous securities (if
any); (i) explanatory notes (if any), and (j) exhibits. We are adopting these information
requirements substantially as proposed, although we are making some modifications from the
proposal in response to comments. Each of these is discussed in more detail below.
a.

General Information and Instructions

Part A of Form N-PORT requires, as proposed, general identifying information about the
fund. This information includes the name of the registrant, name of the series, and relevant file
numbers.59 Funds will also report the date of their fiscal year end, the date as of which
information is reported on the form, and indicate if they anticipate that this will be their final
58

See Federated Comment Letter (“It would also reduce the reporting burden on funds for the
Commission to acquire information directly from custodians and transfer agents, which are proficient
in maintaining and reporting portfolio holdings and other information.”).

59

See Item A.1 and Item A.2 of Form N-PORT. Funds will provide the name of the registrant, the
Investment Company Act and CIK file numbers for the registrant, and the address and telephone
number of the registrant. Funds will also provide the name of and EDGAR identifier (if any) for the
series.

28

filing on Form N-PORT.60 This information will be used to identify the registrant and series
filing the report, track the reporting period, and identify final filings. No comments were
received on this aspect of our proposal. We are adopting these elements as proposed.
As proposed, funds will also provide the Legal Entity Identifier (“LEI”) number of the
registrant and series.61 The LEI is a unique identifier generally associated with a single corporate
entity and is intended to provide a uniform international standard for identifying counterparties
to a transaction.62 Fees are not imposed for the usage of or access to LEIs, and all of the
associated reference data needed to understand, process, and utilize the LEIs is widely and freely
available and not subject to any usage restrictions. Funds or registrants that have not yet
obtained an LEI will be required to obtain one, which currently entails a one-time fee of $219
plus $119 per year in annual maintenance costs and fees.63

60

See Item A.3 and Item A.4 of Form N-PORT.

61

See Item A.1.d and Item A.2.c of Form N-PORT. The Commission has begun to require disclosure of
the LEI in other contexts. See, e.g., Form PF, Reporting Form for Investment Advisers to Private
Funds and Certain Commodity Pool Operators and Commodity Trading Advisors, available at
http://www.sec.gov/rules/final/2011/ia-3308-formpf.pdf; Regulation SBSR-Reporting and
Dissemination of Security-Based Swap Information, Securities Exchange Act Release No. 74244
(Feb. 11, 2015) [80 FR 14564 (Mar. 19, 2015)] (“Regulation SBSR Adopting Release”).

62

The global LEI system operates under an LEI Regulatory Oversight Committee (“ROC”) that
currently includes members that are official bodies from over 40 jurisdictions. The Commission is a
member of the ROC and currently serves on its Executive Committee. The Commission notes that it
would expect to revisit the requirement to report LEIs if the operation of the LEI system were to
change significantly.

63

As of June 30, 2016, the cost of obtaining an LEI from the Global Markets Entity Identifier (“GMEI”)
Utility in the United States was $200, plus a $19 surcharge for the LEI Central Operating Unit. The
annual cost of maintaining an LEI from the GMEI Utility was $100, plus a $19 surcharge for the LEI
Central Operating Unit. See GMEI Utility, Frequently Asked Questions, available at
https://www.gmeiutility.org/frequentlyAskedQuestions.jsp.

29

Commenters were generally supportive of this aspect of our proposal, with most
endorsing the use of LEI for identification of funds, as well as for fund counterparties.64
However, one commenter suggested that certain funds should be permanently exempted from
such requirements as such funds would not need an LEI for any other purpose.65 Lastly, another
commenter suggested that, to better assist academic researchers with identification of entities,
every filing by a mutual fund should require an exhaustive list of the tickers and CUSIPs
associated with that mutual fund.66
We are adopting the requirement that funds report LEI information for the registrant and
for each series, as proposed. We acknowledge that funds will incur some costs to obtain and
maintain an LEI, although we believe the cost to obtain and maintain an LEI identifier is
modest.67 Uniform reporting of LEIs by funds, however, will help provide a consistent means of
identification that will facilitate the linkage of data reported on Form N-PORT with data from
other filings and sources that is or will be reported elsewhere as LEIs become more widely used
by regulators and the financial industry.68 Using alternate means of identification or providing

64

See, e.g., Comment Letter of State Street Corporation (Aug. 11, 2015) (“State Street Comment
Letter”); Comment Letter of Depository Trust & Clearing Corporation (Aug. 11, 2015); Comment
Letter of Interactive Data Pricing and Reference Data LLC (Aug. 10, 2015) (“Interactive Data
Comment Letter”); Comment Letter of Global Legal Entity Identifier Foundation (Aug. 5, 2015).

65

See Comment Letter of Carol Singer (June 24, 2015) (“Carol Singer Comment Letter”) (suggesting
that a small closed-end fund that is not listed on an exchange should not be required to obtain an LEI
identifier).

66

See Comment Letter of Russ Wermers (Aug. 4, 2015) (“Russ Wermers Comment Letter”) (arguing
that this information could help with the identification of entities. The commenter did not discuss the
utility of the LEI specifically).

67

See supra footnote 63.

68

See, e.g., Commodities Futures Trading Commission (“CFTC”), CFTC Announces Mutual
Acceptance of Approved Legal Entity Identifiers, Press Release: PR6758-13 (Oct. 30, 2013),
available at http://www.cftc.gov/PressRoom/PressReleases/pr6758-13; Letter from Kenneth Bentsen,
President & CEO of SIFMA to Jacob Lew, Chairman of FSOC, re: Adoption of the Legal Entity
Identifier (Apr. 11, 2014), available at http://www.sifma.org/comment-letters/2014/sifma-submits-

30

exemptions to this requirement could hinder the ability of Commission staff as well as investors
and other potential users of this information to use the data on Form N-PORT as discussed above.
For these reasons, we anticipate that the benefits of requiring funds to report the LEI number of
the registrant and series on Form N-PORT will justify the costs of obtaining and reporting this
information, and thus we are adopting this requirement as proposed.
Furthermore, in response to the request that an exhaustive list of the tickers and CUSIPs
associated with the fund be reported to help with the identification of entities, we note that Form
N-PORT requires funds to report various identifying information, including name of the
registrant, Investment Company Act file number of the registrant, CIK number of the registrant,
LEI of the registrant, name of each series, EDGAR identifier (if any) for each series, and LEI for
each series.69 We believe this information is sufficient for Commission staff, as the primary user
of the form, to identify funds filing reports on Form N-PORT, and could also be useful for
investors and other potential users. As discussed further below, funds will also be reporting
additional identifying information on Form N-CEN in a structured format that can be used to

comments-to-fsoc-encouraging-us-regulators-to-adopt-and-use-the-legal-entity-identifiers; Regulation
SBSR Adopting Release, supra footnote 61.
Commenters to the FSOC Notice expressed support for regulatory acceptance of LEI identifiers. See,
e.g., Joint Comment Letter of SIFMA/Investment Adviser Association to FSOC Notice (Mar. 25,
2015) (“SIFMA/IAA FSOC Notice Comment Letter”) (expressing support for the LEI initiative, and
noting that the use of LEIs has already enhanced the industry’s ability to identify and monitor global
market participants); Comment Letter of Fidelity to FSOC Notice (Mar. 25, 2015) (expressing the
need to develop analytics to make data intelligible, such as the ability to map exposures across the
financial system, such as through the use of LEIs).
69

See Item A.1 and Item A.2 of Form N-PORT.

31

identify those funds and link information reported by them on Forms N-PORT and N-CEN with
information available in other Commission filings and sources that is similarly structured.70
Form N-PORT also includes general filing and reporting instructions, as well as
definitions of specific terms referenced in the form.71 These instructions and definitions are
intended to provide clarity to funds and to assist them in filing reports on Form N-PORT.72
Proposed Form N-PORT would have required funds to report information about their
portfolios as of the last business day, or calendar day, of the month, but did not provide specific
instructions on the appropriate basis for reporting such information, such as whether the
information should be reported as of the trade date (“T+0”), which is required for financial
reporting purposes, or the trade date plus one day (“T+1”), which is currently permitted under
rule 2a-4 for the calculation of funds’ net asset values (“NAV”). Several commenters requested
clarification on this issue and specifically requested that Form N-PORT allow reporting on a T+1
basis.73
Many commenters noted that most funds use T+1 accounting to record their day-to-day
transactions, and only convert their records to T+0 for quarterly portfolio holdings reporting

70

Form N-CEN requires funds to report additional information for each share class outstanding,
including name of the class, class identification number, and ticker symbol. See Item C.2.d of Form
N-CEN.

71

See General Instruction A (Rule as to Use of Form N-PORT), B (Application of General Rules and
Regulations), C (Filing of Reports), D (Paperwork Reduction Act Information), E (Definitions), F
(Public Availability) and G (Responses to Questions) of Form N-PORT.

72

See id. For example, General Instructions A, B, C and G provide specific filing and reporting
instructions (including how to report entity names, percentages, and dates), General Instructions D
and F provide information about the Paperwork Reduction Act and the public availability of
information reported on Form N-PORT, and General Instruction E provides definitions for specific
terms referenced in Form N-PORT.

73

See, e.g., ICI Comment Letter; Fidelity Comment Letter; Schwab Comment Letter; Comment Letter
of OppenheimerFunds (Aug. 10, 2015) (“Oppenheimer Comment Letter”).

32

purposes on Forms N-CSR and N-Q.74 These commenters further noted that our proposal would
require funds to file monthly reports 30 days after each reporting period, whereas funds currently
have at least 60 days after the end of each fiscal quarter to report similar information on a T+0
basis on Forms N-CSR and N-Q. Accordingly, commenters suggested that allowing funds to file
on a T+1 basis would reduce filing burdens relative to requiring reporting on a T+0 basis, while
not meaningfully changing the substance of the information reported. One commenter explicitly
recommended that funds be allowed to choose whether to file on a T+0 or T+1 basis, so that
funds that prefer to align their Form N-PORT reporting with their reporting on Forms N-Q
and/or N-CSR could do so, while other commenters that suggested this modification did not
specify whether all funds should be required to report on a T+1 basis uniformly.75
As discussed above, the Commission did not specify the appropriate basis for reporting,
and we agree with commenters that an explicit instruction on the basis on which to report is
appropriate. We are persuaded by commenters that explicitly instructing funds file on the same
basis for which they calculate their NAV (generally a T+1 basis) would not be as burdensome as
instructing all funds to file on a T+0 basis, and would still maintain the utility of the information
reported. As noted by commenters, we acknowledge that reporting monthly information on
Form N-PORT on a T+1 basis may result in differences between quarterly portfolio holdings
information currently reported on a T+0 basis on Forms N-CSR and N-Q. However, any such
differences are unlikely to affect the utility of the information for the Commission and other
potential users, because our primary purpose for using the information is to analyze and assess
74

See, e.g., Pioneer Comment Letter; Comment Letter of Invesco Advisers (Aug. 11, 2015) (“Invesco
Comment Letter”); Schwab Comment Letter; ICI Comment Letter; Comment Letter of the Securities
Industry and Financial Markets Association Asset Management Group (Jan. 13, 2016) (“SIFMA
Comment Letter II”).

75

See SIFMA Comment Letter I.

33

the various risks in a particular fund and monitoring risks and trends in the fund industry as a
whole, rather than to align the information reported with the fund’s financial statements.
Nonetheless, we do not agree that funds should be permitted to file either on the basis of
calculating its NAV (generally T+1) or on the basis of how they prepare financial reports (T+0)
at the fund’s option, as having funds report their portfolio holdings on different bases would
reduce the comparability of the data reported on Form N-PORT among funds and across the
industry. Accordingly, we have modified the proposal to add an instruction to Form N-PORT
instructing funds that they must report portfolio information on Form N-PORT on the same basis
they use to calculate their NAV, which we understand is generally T+1.76
Commenters also requested confirmation that different internal methodologies could be
applied in responding to certain items on Form N-PORT, such as those that may require
subjective judgments on the part of funds.77 Furthermore, two commenters urged the
Commission to explicitly state that funds may make and rely on reasonable assumptions in
providing responses to information items on Form N-PORT.78 In response to these comments,
we have modified the proposal by adding an instruction clarifying that in reporting information
on Form N-PORT, the fund may respond using its own methodology and the conventions of its

76

See General Instruction A of Form N-PORT (“Reports on Form N-PORT must disclose portfolio
information as calculated by the fund for the reporting period’s ending net asset value (commonly,
and as permitted by rule 2a-4, the first business day following the trade date).”). We understand that
funds generally calculate their NAV on a T+1 basis pursuant to rule 2a-4, although under certain
circumstances funds might record particular transactions on a T+0 basis, such as when correcting a
pricing error. The instructions in Form N-PORT are intended to be flexible enough to allow funds to
report information on Form N-PORT on the same basis used in calculating NAV.

77

See, e.g., SIFMA Comment Letter I (requesting confirmation that funds may use classifications
generated by existing methodologies or available service providers in reporting country of risk for
portfolio holdings); ICI Comment Letter (asserting that funds should have the flexibility to make
country of risk determinations using their own good faith judgment).

78

See ICI Comment Letter; Oppenheimer Comment Letter.

34

service provider, so long as the methodology and conventions are consistent with the way the
fund reports internally and to current and prospective investors.79 This approach, which we have
modeled after a similar instruction in Form PF, is intended to strike an appropriate balance
between easing the reporting burden on funds by allowing them to rely on their existing practices,
while still providing useful information to the Commission, investors, and other potential users.80
The new instruction also explains that funds may explain any of their methodologies, including
related assumptions, in Part E of Form N-PORT.81
One commenter recommended that we include a definition of “forward contract,” that
references the settlement time of a contract, noting that from their experience, there are several
interpretations of what constitutes a forward contract and without a standard definition, funds
might categorize products inconsistently.82 We disagree that we should define forward contracts
with regard to the settlement time, and believe that adopting a specific definition like the one that
the commenter suggested could be overbroad or under-inclusive based on the settlement time
selected. Also, based on staff experience reviewing fund disclosures, we note that funds have
generally been able to classify forwards in their current disclosures even though there is not a
79

See General Instruction G of Form N-PORT (“Funds may respond to this Form using their own
internal methodologies and the conventions of their service providers, provided the information is
consistent with information that they report internally and to current and prospective investors.
However, the methodologies and conventions must be consistently applied and the Fund’s responses
must be consistent with any instructions or other guidance relating to this Form.”).

80

See General Instruction 15 of Form PF. Periodic reports on Form PF must be filed by registered
investment advisers with at least $150 million in private fund assets under management. Form PF is
designed, among other things, to assist the Financial Stability Oversight Council in its assessment of
systemic risk in the U.S. financial system. See generally Reporting by Investment Advisers to Private
Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF,
Investment Advisers Act Release No. 3308 (Oct. 31, 2011) [76 FR 71228 (Nov. 16, 2011)] (“Form
PF Adopting Release”).

81

See General Instruction G of Form N-PORT (“A Fund may explain any of its methodologies,
including related assumptions, in Part E.”).

82

See Comment Letter of T. Rowe Price (Aug. 21, 2015) (“T. Rowe Price Comment Letter”).

35

specific definition that references the settlement date of the contract. Finally, the approach we
are adopting allows flexibility as forward products evolve.
Similarly, one commenter noted that it is unclear if a credit default swap should be
reported as an option or a swap on Form N-PORT since it has the characteristics of both types of
investments. 83 As discussed further below, we are revising Form N-PORT to include a
clarification that specifically identifies that total return swaps, credit default swaps, and interest
rate swaps should all be categorized under the “swap” instrument type.84
A few commenters also asked for guidance as to what investments would fall within the
category of “other derivatives” in Item C.11.g.85 The commenters noted that funds already rely
upon the definition of “derivatives” provided in U.S. Generally Accepted Accounting Principles
(“GAAP”) for financial statement reporting purposes and recommended that funds be allowed to
rely upon the same definition for determining what to report as “other derivatives” on Form NPORT (i.e., investments reported as derivatives for financial statement reporting purposes, but
that do not fall within the categories of derivatives enumerated in Form N-PORT such as futures,
forwards, etc.).86 We agree that this approach will generally promote consistency in how such

83

See Morningstar Comment Letter.

84

See infra footnote 340 and accompanying text.

85

See ICI Comment Letter; T. Rowe Price Comment Letter.

86

See generally ASC 815 (Derivatives and Hedging).
We note that definitions related to derivatives have been proposed in other contexts, for example
“derivatives transaction” in our recent proposal regarding the use of derivatives by registered
investment companies and BDCs. See Derivatives Proposing Release, supra footnote 7 (defining the
term “derivatives transaction” to mean “any swap, security-based swap, futures contract, forward
contract, option, any combination of the foregoing, or any similar instrument (‘derivatives
instrument’) under which a fund is or may be required to make any payment or delivery of cash or
other assets during the life of the instrument or at maturity or early termination.” However, that
proposed definition is limited to derivatives transactions where the fund may be required to make a
payment or delivery of cash or other assets. In contrast, for purposes of Form N-PORT, we seek to
obtain information about all of a fund’s derivative investments, regardless of whether the fund has a

36

information is reported and will provide more certainty to funds reporting “other derivatives” on
Form N-PORT, and we understand that funds may choose to utilize this approach. However, we
are not requiring that funds do so since we anticipate most derivative investments held by funds
will fall within one of the categories of derivatives previously enumerated in Form N-PORT, and
thus we expect few investments to be reported within the “other derivatives” category.
Moreover, this “other derivatives” category is intentionally designed to be flexible enough to
allow funds to capture and categorize investments in the future that are not currently traded by
funds, and for these reasons we are not requiring funds to adhere to any specific process in
determining what should fall within this category, provided that none of the previously
enumerated categories apply.
Several commenters also asked that the definition of “investment grade” be revised to
follow standards generally used by the industry by replacing references to liquidity with
references to credit quality.87 In response to these comments, we are removing the definition of
“investment grade” that we proposed to be included in Form N-PORT. Consistent with our other
changes discussed herein that permit funds to rely on their existing practices and methodologies,
Form N-PORT provides funds with the flexibility, in determining what constitutes “investment
grade,” to generally use their own methodology and the conventions of their service providers, as

payment or delivery obligation. As a result of these differences, we continue to believe that it is
preferable for Form N-PORT to not incorporate a specific definition, but rather to retain the flexibility
to encompass the changing types of products that may evolve and emerge.
87

See ICI Comment Letter; Oppenheimer Comment Letter; Pioneer Comment Letter; Comment Letter
of MFS Investment Management (Aug. 11, 2015) (“MFS Comment Letter”); Comment Letter of the
Dreyfus Corporation (Aug. 11, 2015) (“Dreyfus Comment Letter”).

37

provided in General Instruction G. Given this clarification in the adopted form, we do not
believe any definition of investment grade is necessary.88
We have also made several changes to certain definitions and instructions related to the
way in which funds will provide information on Form N-PORT, largely relating to the
formatting of the information reported. Among other things, we have revised the instruction in
the proposal that directed funds to respond to every item of the form.89 As proposed, the
instruction would have required funds to respond to each sub-item and item on Form N-PORT
even if the item was inapplicable. The revised instruction indicates that funds are not required to
respond to items that are wholly inapplicable.90 For example, no response is required for Item
C.11, which concerns derivatives, when reporting information about an investment that is not a
derivative. We believe this revision will decrease burdens upon filers and reduce the file size of
Form N-PORT submissions, while still maintaining the clarity of the data reported on Form NPORT.
We have also eliminated certain instructions from proposed Form N-PORT relating to the
formatting of information reported on the form that, upon further consideration, we believe are
unnecessary in Form N-PORT. In particular, we have eliminated instructions requiring the
rounding of percentages, monetary values, and other numeric values.91 Elimination of the

88

See supra footnote 79 and accompanying text.

89

See General Instruction G of proposed Form N-PORT (“A Fund is required to respond to every item
of this form. If an item requests information that is not applicable (for example, an LEI for a
counterparty that does not have an LEI), respond N/A”).

90

See General Instruction G of Form N-PORT (“A Fund is not required to respond to an item that is
wholly inapplicable (for example, no response would be required for Item C.11 when reporting
information about an investment that is not a derivative). If a sub-item requests information that is
not applicable, for example, an LEI for a counterparty that does not have an LEI, respond N/A”).

91

See General Instruction G of proposed Form N-PORT (instructions regarding rounding of
percentages, monetary values, and other numerical values).

38

instructions regarding the rounding of such figures should allow funds to report such information
in the same way such information is currently recorded in their books and records. We also have
eliminated instructions regarding the signature and filing of reports, because we believe that the
general rules and regulations applicable under the Act provide sufficient guidance with regard to
those issues.92
We have also made clarifying revisions to certain definitions. As discussed above, we
have revised the proposed definition of “exchange-traded product” to refer instead to “exchangetraded fund” to harmonize the definitions used in Forms N-PORT and N-CEN93 The revision
also clarifies that a separate report on Form N-PORT must be filed by each series of a UIT
organized as an ETF, and parallels similar revisions to the definition of ETF in Form N-CEN.94
We have also revised the definition of “LEI” to reflect new terminology regarding LEIs.95
Finally, regarding General Instruction F, which provides information regarding the public
availability of the information in Form N-PORT, the final Instruction clarifies, similar to
92

See General Instruction B of Form N-PORT (“The General Rules and Regulations under the Act
contain certain general requirements that are applicable to reporting on any form under the Act.
These general requirements shall be carefully read and observed in the preparation and filing of
reports on this Form, except that any provision in the Form or in these instructions shall be
controlling.”) See also General Instruction H of proposed Form N-PORT (instructions regarding
signature and filing of reports).

93

See supra footnote 48 and accompanying text. Although the definition of “exchange-traded fund”
being adopted on Form N-PORT is narrower than the definition of “exchange-traded product” as
proposed on Form N-PORT, the universe of filers on Form N-PORT is not changing because
exchange-traded managed funds that would have been encompassed in the proposed definition of
“exchange-traded product” will be encompassed in the adoption through references to managed
investment companies. See rule 30b1-9 (requiring certain funds to file reports on Form N-PORT);
Form N-PORT (“Form N-PORT is to be used by a registered management investment company, or an
exchange-traded fund organized as a unit investment trust, or series thereof (‘Fund’)….”).

94

See infra footnote 896.

95

Form N-PORT’s revised definition of “LEI” refers to the legal entity identifier “endorsed” by the
Regulatory Oversight Committee Of The Global Legal Entity Identifier System (“LEI ROC”) or
“accredited” by the Global Legal Entity Identifier Foundation (“GLEIF”), as opposed to “assigned or
recognized” by those two entities.

39

language that is contained in current Form PF, that we do not intend to make public certain
information reported on Form N-PORT “that is identifiable to any particular fund or adviser.”96
This modification makes clear, for example, that the Commission or Commission staff could
issue analyses and reports that are based on aggregated, non-identifying Form N-PORT data,
which would otherwise be nonpublic, such as information reported on Form N-PORT for the
first and second months of each fund’s fiscal quarter.
b.

Information Regarding Assets and Liabilities.

Part B of Form N-PORT seeks certain portfolio level information about the fund. As we
proposed, Part B includes questions requiring funds to report their total assets, total liabilities,
and net assets.97 Funds will also separately report certain assets and liabilities, as follows. First,
as we proposed, funds will report the aggregate value of any “miscellaneous securities” held in
their portfolios.98 As currently permitted by Regulation S-X, and as further discussed below,
Form N-PORT permits funds to report an aggregate amount not exceeding 5 percent of the total
value of their 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 report to shareholders or otherwise made

96

See supra footnote 26.

97

See Item B.1 of Form N-PORT.

98

See Item B.1.a and Item B.2.a of Form N-PORT. As discussed further below, Form N-PORT will
require funds to also report information about miscellaneous securities on an investment-byinvestment basis, although such information will be nonpublic and will be used for Commission use
only. See infra footnote 420 and accompanying text.

40

available to the public.99 We received only one comment on this aspect of our proposal, which
supported the reporting of aggregate information for miscellaneous securities.100
Second, as we proposed, funds will also report any assets invested in a controlled foreign
corporation for the purpose of investing in certain types of investments (“controlled foreign
corporation” or “CFC”).101 We received no comments on this aspect of the proposal. Some
funds use CFCs for making certain types of investments, particularly commodities and
commodity-linked derivatives, often for tax purposes. Form N-PORT requires funds to disclose
each underlying investment in a CFC, rather than just the investment in the CFC itself, which
will increase transparency on fund investments through CFCs.102 These disclosures will allow
investors to look through CFCs and understand the specific underlying holdings that they are
investing in, which will in turn allow investors to better analyze their fund holdings and risk, and
hence enable investors to make more informed investment decisions.
In addition, as discussed further below in section II.D.4, we believe it will be beneficial
for the Commission to have certain information about funds’ use of CFCs. The information we
will be obtaining in Form N-PORT, combined with additional information we are requiring on
Form N-CEN regarding CFCs, discussed below, will help the Commission better monitor funds’
compliance with the Investment Company Act and assess funds’ use of CFCs, including the
extent of their use by reporting of total assets in CFCs.

99

See rule 12-12 of Regulation S-X; see also Parts C and D of Form N-PORT.

100

See SIFMA Comment Letter I.

101

See General Instruction E (providing that “Controlled Foreign Corporation” has the meaning provided
in section 957 of the Internal Revenue Code [26 U.S.C. 957]) and Item B.2.b (requiring funds to
report assets invested in controlled foreign corporations) of Form N-PORT.

102

See Instruction to Part B of Form N-PORT (“Report the following information for the Fund and its
consolidated subsidiaries.”).

41

Third, as we proposed, we are requiring that funds report the amounts of certain
liabilities, in particular: (1) borrowings attributable to amounts payable for notes payable, bonds,
and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.604(13)(a)]; (2) payables for investments purchased either (i) on a delayed delivery, whendelivered, or other firm commitment basis, or (ii) on a standby commitment basis; and (3)
liquidation preference of outstanding preferred stock issued by the fund.103 We received no
comments on this aspect of the proposal. This information will allow Commission staff, as well
as investors and other potential users, to better understand a fund’s borrowing activities and
payment obligations associated with these transactions. This in turn will facilitate analysis of the
fund’s use of financial leverage, as well as the fund’s liquidity profile and ability to meet
redemptions or share repurchases, which are important to understanding the risks such
borrowings might create.
One commenter suggested that certain fee and expense information currently reported on
Form N-SAR, and Item 75 of Form N-SAR in particular—which relates to average net assets
during the current reporting period—be reported on Form N-PORT.104 The commenter
acknowledged that much of this information is already publicly reported in or can be derived
from information reported in other fund documents filed with the Commission, but argued that
this information should also be reported on Form N-PORT because the structured format of
Form N-PORT would make information reported on Form N-PORT easier to aggregate and
analyze.105 We are not making this suggested change because similar and complementary

103

See Item B.2.c–Item B.2.e of Form N-PORT.

104

See Morningstar Comment Letter.

105

Id.

42

information will be reported on Form N-PORT in a structured format going forward (i.e.,
monthly net assets for funds more generally) and is currently available in a structured format for
mutual funds in their risk/return summaries (certain fee and expense data).106 Also, as discussed
further below, we are revising Form N-CEN to require funds to report average net assets on an
annual basis.107
For these reasons, we are adopting this aspect of Form N-PORT as proposed.
c.

Portfolio Level Risk Metrics

One of the purposes of Form N-PORT is to provide the Commission with information
regarding fund portfolios to help us better monitor trends in the fund industry, including
investment strategies funds are pursuing, the investment risks that funds undertake, and how
different funds might be affected by changes in market conditions. As discussed above, the
Commission uses information from fund filings, including a fund’s registration statement and
reports on Form N-CSR (which includes the fund’s shareholder report) and Form N-Q, to inform
its understanding and regulation of the fund industry. Additionally our staff reviews fund
disclosures – including registration statements, shareholder reports, and other documents – both
on an ongoing basis as well as retroactively every three years.108
The disclosures in a fund’s registration statement about its investment objective,
investment strategies, and risks of investing in the fund, as well as the fund’s financial statements,
are fundamental to understanding a fund’s implementation of its investment strategies and the
106

See SEC, Interactive Data and Mutual Fund Risk/Return Summaries, available at
https://www.sec.gov/spotlight/xbrl/mutual-funds.shtml; Item B.6 of Form N-PORT (requiring funds
to report monthly flow information).

107

See infra footnotes 1016-1017 and accompanying text.

108

See, e.g., section 408 of the Sarbanes-Oxley Act of 2002, Pub. L. 107-204, 116 Stat. 745, 790-791
(2002) (requiring the Commission to engage in enhanced review of periodic disclosures by certain
issuers every three years).

43

risks in the fund. However, the financial statements and narrative disclosures in fund disclosure
documents do not always provide a complete picture of a fund’s exposure to changes in asset
prices, particularly as fund strategies and fund investments become more complex.109 The
financial statements, including a fund’s schedule of portfolio investments, provide data regarding
investments’ values as of the end of the reporting period – a “snapshot” of data at a particular
point in time – or, in the case of the statement of operations, for example, historical data over a
specified time period. By contrast, based on staff experience and the staff’s outreach to funds
prior to our proposal, we understand that funds commonly internally use multiple risk metrics
that provide calculations that measure the change in the value of fund investments assuming a
specified change in the value of underlying assets or, in the case of debt instruments and
derivatives that provide exposure to interest rates and debt instruments, changes in interest rates
or in credit spreads above the risk-free rate.110
Accordingly, we believe, and some commenters agreed, that it is appropriate to require
funds to report quantitative measurements of certain risk metrics that will provide information
beyond the narrative, often qualitative disclosures about investment strategies and risks in the
fund’s registration statement.111 Monthly reporting on these risk measures, in particular, will
help provide the Commission with more current information on how funds are implementing
their investment strategies through particular exposures. Receiving this information on a

109

See Morningstar Comment Letter.

110

See Proposing Release, supra footnote 7, at 33598.

111

See Morningstar Comment Letter (noting a range of fund disclosures relating to fund synthetic
disclosures, with some more helpful to investors than others); Franco Comment Letter (supporting the
Commission’s proposal relating to disclosures of risk metrics).

44

monthly basis could help the Commission, for example, more efficiently analyze the potential
effects of a market event on funds.112
Specifically, we proposed to require certain funds to report portfolio-level measures on
Form N-PORT that will help Commission staff better understand and monitor funds’ exposures
to changes in interest rates and credit spreads across the yield curve.113 As discussed in section
II.A.2.g below, we proposed to require risk measures at the investment level for options and
convertible bonds. We continue to believe that the staff can use these measures, for example, to
determine whether additional guidance or policy measures are appropriate to improve disclosures
in order to help investors better understand how changes in interest rate or credit spreads might
affect their investment in a fund. As a result, we are adopting these risk measures substantially
as proposed, subject to the modifications discussed below.114
While we received some comments generally supporting our proposal to require
portfolio-level risk metrics,115 some suggested alternative methods for collecting risk metrics,116

112

See Morningstar Comment Letter.

113

See Item B.3 of proposed Form N-PORT.

114

See Item B.3 of Form N-PORT.

115

See, e.g., SIFMA Comment Letter I (“We support the Commission’s proposal to require funds to
provide the Commission with portfolio level risk metrics, and generally would defer to the
Commission as to the information the Commission would consider useful for its regulatory
purposes.”); State Street Comment Letter; Wells Fargo Comment Letter (“We are in agreement with
the Commission’s request for risk metrics as it relates to duration and spread duration; however, we
suggest that the calculation for providing such risk metrics are defined differently than proposed.”).

116

See, e.g., BlackRock Comment Letter (Commission should use the same interest rate and credit risk
questions as is required in Form PF; Commission should consider implementing a reporting
requirement to obtain a comprehensive measure of fund’s use of leverage); Morningstar Comment
Letter (but also urging the Commission to collect more position level information which will enable
the Commission, investors, and service providers to independently calculate risk); see also Interactive
Data Comment Letter (“[P]osition level reporting aligns with what is standard practice in the industry
and so would not be burdensome. Position level reporting would provide the Commission with
greater insight into sources of risk within a portfolio.”); Comment Letter of Simpson Thacher &

45

or opposed our proposal to make certain of the risk metrics public.117 These comments are
discussed in more detail below.
We believe, and some commenters agreed, that institutional investors, as well as entities
that provide services to both institutional and individual investors, could use these risk metrics to
conduct their own analyses in order to help them better understand fund composition, investment
strategy, and interest rate and credit spread risk the fund is undertaking. As discussed further
below, however, other commenters, were mixed as to whether this information would be useful
for investors and if this information should be made public.118 These measures can complement
the risk disclosures that are contained in the registration statement, thereby potentially helping
investors to make more informed investment choices. Accordingly, we disagree with
commenters that argued this information has no utility for investors. We also continue to believe
that requiring funds to publicly disclose these measures quarterly, like other information in the
schedule of investments will also help provide investors with more specific, quantitative

Bartlett LLP (Aug. 11, 2015) (“Simpson Thacher Comment Letter”) (derivatives reporting should
focus on portfolio-level risk metrics, such as “value at risk” models)
117

See, e.g., Comment Letter of the Independent Directors Council (Aug. 11, 2015) (“IDC Comment
Letter”); SIFMA Comment Letter I; Simpson Thacher Comment Letter; Invesco Comment Letter;
Schwab Comment Letter; ICI Comment Letter; Comment Letter of Dechert LLP (Aug. 11, 2015)
(“Dechert Comment Letter”) (or, in the alternative, include a disclaimer that risk metrics are an
estimate); T. Rowe Price Comment Letter; BlackRock Comment Letter; Oppenheimer Comment
Letter. Our decision to make [certain] Items in Parts C, D, and E of the Form non-public is discussed
in more detail below. See infra section II.A.4.

118

See Franco Comment Letter (Noting that the information on Form N-PORT is relevant to information
intermediaries and market professionals and would assist them in assessing individual fund
performance or comparing among funds); see also Morningstar Comment Letter (same); but see
Invesco Comment Letter (stating that Form N-PORT’s disclosures would not complement fund
registration statements, nor be useful in helping investors make more informed investing decisions);
SIFMA Comment Letter I (same); Federated Comment Letter.

46

information regarding the nature of a fund’s exposure to debt than they currently have.119 As
discussed further in Section II.A.4 below, we are adopting, largely as proposed, the requirement
that funds provide public disclosure of portfolio-level risk metrics on a quarterly basis.120 For
these reasons, and as discussed further below in section II.A.4, we were not persuaded by
commenters that such information should be nonpublic.
In particular, for funds that invest in debt instruments, or in derivatives that provide
exposure to debt or debt instruments, we believe it is important for the Commission staff,
investors, and other potential users to have measures that can help them analyze how portfolio
values might change in response to changes in interest rates or credit spreads.121 To improve the
ability of the Commission staff, investors, and other potential users to analyze how changes in
interest rates and credit spreads might affect a fund’s portfolio value, we proposed that a fund
that invests in debt instruments, or derivatives that provide notional exposure to debt instruments
or interest rates, representing at least 20% of the fund’s net asset value as of the reporting date,
provide a portfolio level calculation of duration and spread duration across the applicable
maturities in the fund’s portfolio.122

119

See Franco Comment Letter (“The rule proposal’s various disclosure and reporting requirements,
especially those requirements relating to portfolio disclosure, risk metrics and fund use of derivatives,
serve the public interest and/or the protection of investors.”).

120

See Item B.3 of Form N-PORT; see also generally Proposing Release, supra footnote 7, at n. 56 and
accompanying text.

121

As discussed further below, the Commission also believes that there would be a benefit to collecting
risk measures for derivatives that provide exposure to certain assets, such as equities and
commodities. Due to the nature of these instruments, however, we believe that such information
should be provided on an instrument-by-instrument basis, instead of as a portfolio level calculation.

122

Specifically, as proposed, funds would have calculated notional value as the sum of the absolute
values of: (i) the value of each debt security, (ii) the notional amount of each swap, including, but not
limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying
reference asset or assets are debt securities or an interest rate; and (iii) the delta-adjusted notional

47

Commenters were generally supportive of our proposal to include a threshold.123
However, several commenters requested that we increase the threshold for risk reporting from
20% and that the calculation of debt investments be made based on the fund’s three-month
average notional value of debt investments as a percentage of NAV.124 Some commenters
requested an increase in the threshold in order to make the risk metric threshold more consistent
with the Commission’s threshold for requiring funds to disclose industry concentration in their
prospectus.125 Additionally, some commenters argued that the three-month average would better

amount of any option for which the underlying reference asset is an asset described in clause (i) or
(ii). See proposed Instruction to Item B.3 of Form N-PORT.
The delta-adjusted notional value of options is needed to have an accurate measurement of the
exposure that the option creates to the underlying reference asset. See, e.g., Comment Letter of
Morningstar to Derivatives Concept Release (Nov. 7, 2011) (“Morningstar Derivatives Concept
Release Comment Letter”) (submitted in response to the Derivatives Concept Release, supra footnote
38, which sought comment regarding the use of derivatives by management investment companies).
123

See, e.g., Interactive Data Comment Letter (supporting 20% level as reasonable and stating belief that
threshold should be measured by considering notional value for derivatives and market values for
bonds); State Street Comment Letter (supporting 20% threshold and recommending that the
Commission provide clarity on the threshold calculation); Fidelity Comment Letter; Franco Comment
Letter; Simpson Thacher Comment Letter (20% threshold and holds more than 100 debt securities);
Wells Fargo Comment Letter (supporting 20% threshold).

124

See, e.g., Oppenheimer Comment Letter (25% threshold consistent with prospectus disclosure of
industry concentration); ICI Comment Letter (same); MFS Comment Letter (25% threshold); Pioneer
Comment Letter (same); Dreyfus Comment Letter (“we believe the Commission should consider a
25% threshold because, at least, it would define a subset of ‘balanced’ and ‘asset allocation’ funds
that would, by prospectus or name test mandate, for example, have to maintain a minimum fixed
income exposure.”); SIFMA Comment Letter I (recommending a 30% threshold); Invesco Comment
Letter (same); but see Morningstar Comment Letter (supporting 20% threshold).

125

See, e.g., ICI Comment Letter; Oppenheimer Comment Letter; MFS Comment Letter; Pioneer
Comment Letter; Dreyfus Comment Letter; see also Instruction 4 to Item 9(b)(1) of Form N-1A
(“Disclose any policy to concentrate in securities of issuers in a particular industry or group of
industries (i.e. investing more than 25% of a Fund’s net assets in a particular industry or group of
industries).”); Registration Form Used by Open-End Management Investment Companies, Investment
Company Act Release No. 23064 (Mar. 13, 1998) [63 FR 13916 (Mar. 23, 1998)] at nn. 100-101 and
accompanying text (“...the Commission continues to believe that 25% is an appropriate benchmark to
gauge the level of investment concentration that could expose investors to additional risk.”).

48

reflect a fund’s true investment strategy and mitigate short-term market fluctuations that could
cause a fund to temporarily exceed the threshold. 126 We agree with both recommendations.
We believe that a 25% threshold, as several commenters suggested, will still allow the
Commission to receive measurements of duration and spread duration from funds that make
investments in debt instruments as a significant part of their investment strategy because we do
not believe many, if any, funds that make investments in debt instruments as a significant part of
their investment strategy have less than 25% of their NAV invested in such instruments.
Commenters persuaded us that some funds that primarily invest in assets other than debt
instruments, such as equities, could, at times, have more than 20% of the net asset value of the
fund invested in debt instruments for cash management or other purposes.127 Thus raising the
threshold from 20% to 25% will relieve more funds of having to monitor each month whether
they trigger the requirement for making such calculations, while still achieving the goal the
Commission stated in the Proposing Release of requiring funds that make investments in debt
instruments as a significant part of their investment strategy to report such metrics.128
We agree with commenters that using the same thresholds we use for discussing industry
concentration in current prospectuses is appropriate as it will achieve an objective that is similar
to the one in Form N-1A of requiring funds to disclose only where such investments are a central
part of the fund’s investment objectives. We are therefore adopting a 25% threshold for
reporting portfolio-level risk metrics.129

126

See, e.g., ICI Comment Letter; MFS Comment Letter; Dreyfus Comment Letter.

127

See, e.g. Pioneer Comment Letter.

128

See, e.g., State Street Comment Letter.

129

See supra footnote 125.

49

We are also modifying the rule from the proposal to require funds to calculate this
threshold on the three-month average of a fund’s value as percentage of NAV (rather than, as
proposed, value as percentage of NAV at the reporting date (i.e. month-end)) because we agree
with commenters who pointed out that this should mitigate the chance that short-term market
fluctuations could cause a fund that does not typically use such instruments as part of its
investment strategy to temporarily exceed the threshold and be required to report the metrics.130
Finally, another commenter opposed requiring risk metrics data for index funds because
it believed that this requirement would be unnecessarily burdensome for those funds.131
However, index funds incorporate a wide variety of funds – some of which are primarily
invested in debt securities, including derivatives based on debt securities. It is our view that if a
fund is exposed to debt instruments or interest rates in amounts that trigger the reporting of risk
metrics, they have an exposure large enough to warrant reporting. Moreover, some index funds
have indexes that change weekly or daily. Accordingly, because we believe it is important to
monitor the risk metrics for all funds with exposures to debt instruments exceeding the threshold,
we do not believe it would be appropriate to exempt index funds from Form N-PORT’s
requirements for risk metric reporting.
For duration, we proposed to require that a fund calculate, the change in value in the
fund’s portfolio from a 1 basis point change in interest rates (commonly known as DV01) for
130

See Item B.3 of Form N-PORT; see, e.g. Pioneer Comment Letter; Oppenheimer Comment Letter.
One commenter requested that the threshold be based on the fund’s net asset value and not notional
value. See MFS Comment Letter. We continue to believe that basing the threshold on notional
amount, especially for derivatives, is a better measure of a fund’s exposure than the just the
investment’s value because some derivatives may have a negligible net asset value, but represent
significant exposures to the fund. We have, however, made a clarifying change to the terminology
from the proposal, and instruction B.3 now refer to “value” rather than “notional value.” See infra
footnote 165

131

See ICI Comment Letter.

50

each applicable key rate along the risk-free interest rate curve, i.e., 1-month, 3-month, 6-month,
1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year, and 30-year interest rate, for each
applicable currency in the fund.132 We realized that funds might not have exposures for every
applicable key rate. For example, a short-term bond fund is unlikely to have debt exposures with
longer maturities. Accordingly, we proposed that a fund only report the key rates that are
applicable to the fund. We proposed that funds report zero for maturities to which they have no
exposure.133 For exposures outside of the range of listed maturities listed on Form N-PORT, we
proposed that funds include those exposures in the nearest maturity.
One commenter stated that calculating DV01 along key rates of the Treasury curve is
“common and intuitive” to analyzing shifts of the yield curve.134 However, some commenters
suggested that calculating the DV01 and SDV01 for 11 proposed key rates could be burdensome,
and requested that we limit the number of applicable key rates along the risk-free curve.135 For
example, commenters recommended that the Commission limit the calculations to the key rates
to those most representative of bond fund overall exposures by limiting the calculation to the 1-,
2-, 5-, 10-, 20-, and 30-year rates.136 Another commenter recommended collapsing the 1-, 3-,
and 6-month exposures into the 1-year exposure, as a detailed breakout inside 1-year is not
informative for most instruments.137 Commenters argued that reducing the number of key rates

132

See Item B.3.aof proposed Form N-PORT.

133

For funds with exposures that fall between any of the listed

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Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A5aae00efcd6b7f22. Public record. Not legal advice.