# Conformed to Federal Register version > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Af65c7f7d10eed265 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Conformed to Federal Register version SECURITIES AND EXCHANGE COMMISSION 17 CFR Parts 270 and 274 [Release No. IC-35962; File No. S7-2026-05] RIN 3235-AN44 Form N-PORT Reporting AGENCY: Securities and Exchange Commission. ACTION: Proposed rule. SUMMARY: The Securities and Exchange Commission (the “Commission”) is proposing amendments to reporting requirements on Form N-PORT that apply to certain registered investment companies, including registered open-end funds, registered closed-end funds, and exchange-traded funds organized as unit investment trusts. The proposed amendments would modify provisions adopted in 2024 to provide these funds with an additional fifteen days to file monthly reports of portfolio-related information on Form N-PORT and would restore the quarterly publication frequency that had been in place for over two decades. The Commission is proposing these amendments in light of feedback from market participants and other developments. The Commission is also proposing to streamline or remove certain items and subitems, reducing reporting burdens in ways that would not significantly affect the Commission’s uses of the data and are not expected to significantly affect the public’s ability to assess relevant information about a fund. Finally, the Commission is proposing to adjust how funds with share classes that operate as exchange-traded funds report certain information to improve information about this fund structure and to require information about funds’ ticker symbols, as well as certain class-level identifiers, as applicable, to facilitate efficient use of the reported information. DATES: Comments should be submitted on or before April 24, 2026. 1 ADDRESSES: Comments may be submitted by any of the following methods: Electronic Comments: • Use the Commission’s internet comment form (https://www.sec.gov/comments/s7-202605/form-n-port-reporting); or • Send an email to rule-comments@sec.gov. Please include File Number S7-2026-05 on the subject line. Paper Comments: • Send paper comments to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090. All submissions should refer to File Number S7-2026-05. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method of submission. The Commission will post all comments on the Commission’s website (https://www.sec.gov/comments/s7-202605/form-n-port-reporting). Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. Studies, memoranda, or other substantive items may be added by the Commission or staff to the comment file during this rulemaking. A notification of the inclusion in the comment file of any such materials will be made available on the Commission’s website. To ensure direct electronic receipt of such notifications, sign up through the “Stay Connected” option at www.sec.gov to receive notifications by email. 2 A summary of the proposal of not more than 100 words is posted on the Commission’s website (https://www.sec.gov/rules-regulations/2026/02/s7-2026-05). FOR FURTHER INFORMATION CONTACT: Susan Ali, Counsel; Angela Mokodean, Senior Special Counsel; or Brian M. Johnson, Assistant Director at (202) 551-6792, Investment Company Regulation Office, Division of Investment Management, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-8549. SUPPLEMENTARY INFORMATION: The Commission is proposing amendments to 17 CFR 270.30b1-9 (“rule 30b1-9”), 17 CFR 274.150, and Form N-PORT [referenced in 17 CFR 274.150] under the Investment Company Act of 1940 (the “Act”). TABLE OF CONTENTS I. Introduction ................................................................................................................... 4 A. Developments after Adoption of the 2024 Amendments ........................................... 6 B. Overview of Proposed Amendments .......................................................................... 8 II. Discussion..................................................................................................................... 11 A. Filing Timeframe ...................................................................................................... 11 B. Publication Frequency .............................................................................................. 25 C. Other Proposed Amendments to Form N-PORT ...................................................... 36 D. Proposed Transition Period ....................................................................................... 60 III. Economic Analysis ...................................................................................................... 63 A. Introduction ............................................................................................................... 63 B. Baseline ..................................................................................................................... 65 C. 1. Regulatory Baseline .......................................................................................... 66 2. Affected Entities ............................................................................................... 68 3. Economic Literature on the Disclosure of Registered Fund Portfolio Holdings 72 Benefits and Costs of the Amendments .................................................................... 74 1. Filing Timeframe .............................................................................................. 74 2. Publication Frequency ...................................................................................... 76 3. Other Proposed Amendments to Form N-PORT .............................................. 79 4. Monetized Benefits and Costs .......................................................................... 84 3 5. D. E. IV. Present Values and Annualized Values of Monetized Benefits and Costs ....... 86 Effects on Efficiency, Competition, and Capital Formation..................................... 89 1. Efficiency .......................................................................................................... 89 2. Competition....................................................................................................... 91 3. Capital Formation ............................................................................................. 91 Reasonable Alternatives............................................................................................ 92 1. Filing Timeframe .............................................................................................. 92 2. Publication of Registered Fund Holdings ......................................................... 93 Paperwork Reduction Act .......................................................................................... 94 A. Introduction ............................................................................................................... 94 B. Form N-PORT .......................................................................................................... 95 C. Request for Comment ............................................................................................... 99 V. Initial Regulatory Flexibility Analysis .................................................................... 100 A. Reasons for and Objectives of Proposed Actions ................................................... 101 B. Legal Basis .............................................................................................................. 101 C. Small Entities Subject to the Amendments ............................................................. 101 D. Projected Reporting, Recordkeeping, and Other Compliance Requirements ......... 102 E. Duplicative, Overlapping, or Conflicting Federal Rules ........................................ 103 F. Significant Alternatives .......................................................................................... 103 G. General Request for Comment................................................................................ 106 VI. Consideration of Impact on the Economy .............................................................. 106 VII. Other Matters ........................................................................................................ 107 Statutory Authority ............................................................................................................ 107 I. Introduction On August 28, 2024, the Commission adopted amendments to Form N-PORT to require more frequent reporting of monthly portfolio holdings and related information to the Commission and the public, and to modify certain reporting requirements relating to entity 4 identifiers (the “2024 amendments”). 1 Many registered investment companies are required to report on Form N-PORT, including registered open-end funds, registered closed-end funds, and exchange-traded funds (“ETFs”) organized as unit investment trusts, but excluding money market funds and small business investment companies (hereinafter, registered investment companies that are required to report on Form N-PORT are referred to as “registered funds”). Reports on Form N-PORT provide monthly information about a registered fund’s complete portfolio holdings, as well as related information to help assess a fund’s risks, including investment risk (e.g., interest rate risk, credit risk, and volatility risk), liquidity risk, counterparty risk, and leverage. These reports are an important source of information for the Commission and its staff in carrying out regulatory responsibilities related to registered funds and the broader asset management industry. Overall, the 2024 amendments were intended to provide the Commission and the public with timelier information about funds’ portfolio investments, enabling more comprehensive oversight of an ever-evolving registered fund industry by the Commission and providing investors with information to make more informed investment decisions. As discussed in more detail below, several developments occurred following the adoption of the 2024 amendments. As a result, the Commission has delayed the effective and compliance dates of the 2024 amendments and reviewed those amendments and their possible effects, as set forth in this release. In connection with that review, we are proposing to provide funds with fifteen additional days to file monthly reports with the Commission. This additional time is 1 Form N-PORT and Form N-CEN Reporting; Guidance on Open-End Fund Liquidity Risk Management Programs, Investment Company Act Release No. 35308 (Aug. 28, 2024) [89 FR 73764 (Sept. 11, 2024)] (“2024 Adopting Release”), https://www.sec.gov/files/rules/final/2024/ic-35308.pdf. The Commission also adopted amendments to Form N-CEN and provided guidance on liquidity risk management program requirements for open-end funds. Those aspects of the 2024 Adopting Release are not affected by this proposal. 5 designed to reduce the risk of errors in the reported information and reduce reporting burdens while continuing to recognize that Form N-PORT information is more valuable to the Commission and staff when it reflects more current portfolio holdings and related information. Additionally, to reduce the risk associated with the 2024 amendments that external parties may use more frequent disclosures of a registered fund’s portfolio holdings to infer the fund’s proprietary investment strategy or trading intentions and use that information in ways that increase costs for the fund and its shareholders, and in light of advancements in technology, we are proposing to revert to providing the public with access to quarterly snapshots of portfolio information on Form N-PORT, consistent with requirements for the past two decades prior to the adoption of the 2024 amendments. 2 The Commission is also proposing to remove or streamline certain items and sub-items of the form to refine the information that is collected without significantly affecting the utility of the reported information. In addition, we are proposing to require registered funds with share classes that operate as exchange-traded funds (“ETF share classes”) to report certain information on the form to improve the Commission’s and the public’s understanding of the size and flows of this type of fund structure. Finally, we are proposing to require registered funds to report certain additional identifying information, such as ticker symbols, to help data users use the reported information more efficiently. A. Developments after Adoption of the 2024 Amendments Following adoption of the 2024 amendments, several developments caused the Commission to delay the effective and compliance dates of the 2024 amendments and review 2 See Shareholder Reports and Quarterly Portfolio Disclosure of Registered Investment Companies, Investment Company Act Release No. 26372 (Feb. 27, 2004) [69 FR 11244 (Mar. 9, 2004)] (“Shareholder Reports and Quarterly Portfolio Disclosure Release”). 6 their potential effects. 3 In October 2024, petitioner Registered Funds Association filed a petition in the Fifth Circuit Court of Appeals seeking review of the 2024 amendments. 4 Although the petitioner challenged the Form N-PORT amendments as a whole, it emphasized concerns related to more frequent publication of registered funds’ portfolio holdings. These proceedings are currently stayed while the Commission reviews the 2024 amendments and considers potential changes. 5 Additionally, on January 20, 2025, President Donald J. Trump signed a Presidential Memorandum directing agencies to consider postponing the effective date for any rules that had been issued but had not yet taken effect for the purpose of reviewing any questions of fact, law, and policy that the rules may raise. 6 The Presidential Memorandum further states that, for those rules that raise substantial questions of fact, law, or policy, agencies should take further appropriate action. Moreover, the President subsequently issued additional Executive Orders expressing a policy goal of reducing regulatory burdens. 7 At the time of the signing of the Presidential Memorandum, the 2024 amendments, while issued, had not yet taken effect. As a 3 Form N-PORT and Form N-CEN Reporting; Guidance on Open-End Fund Liquidity Risk Management Programs; Delay of Effective and Compliance Dates, Investment Company Act Release No. 35538 (Apr. 16, 2025) [90 FR 16812 (Apr. 22, 2025)] (“2025 Delay Release”), https://www.sec.gov/files/rules/final/2025/ic-35538.pdf. Specifically, the Commission delayed the effective date for the Form N-PORT amendments from Nov. 17, 2025, to Nov. 17, 2027, and delayed the compliance date from Nov. 17, 2025, to Nov. 17, 2027, for larger entities and from May 18, 2026, to May 18, 2028, for smaller entities. 4 Registered Funds Association v. SEC, No. 24-60550 (5th Cir. 2024). 5 See ECF No. 50-2, Registered Funds Association v. SEC, No. 24-60550 (5th Cir. Feb. 11, 2025). 6 Regulatory Freeze Pending Review (Jan. 20, 2025) [90 FR 8249 (Jan. 28, 2025)], available at https://www.whitehouse.gov/presidential-actions/2025/01/regulatory-freeze-pending-review/ (“Presidential Memorandum”). The Presidential Memorandum directed agencies to consider postponing the effective date of any such rules for 60 days and, as appropriate and consistent with applicable law, and where necessary to continue to review the questions of fact, law, and policy, consider further delaying, or publishing for notice and comment proposed rules further delaying such rules, beyond the 60-day period. 7 See, e.g., Unleashing Prosperity Through Deregulation (Jan. 31, 2025) [90 FR 9065 (Feb. 6, 2025)], available at https://www.whitehouse.gov/presidential-actions/2025/01/unleashing-prosperity-throughderegulation/. 7 result, the Commission initiated a review of the 2024 amendments to consider questions of fact, law, or policy associated with the amendments. While performing the review, we also considered other aspects of Form N-PORT and the overall effectiveness and usability of information reported on the form. Since the adoption of the 2024 amendments, the Commission also has received additional feedback on the amendments, including through staff outreach, to inform our review of the amendments. Through letters and meetings, registered fund industry members have further highlighted and provided additional information about the potential negative impacts of the amendments as industry members began to focus on implementation. For example, industry members have indicated that the 30-day reporting timeframe requires registered funds to gather data more quickly than current operational processes contemplate and to accelerate internal review and signoff procedures, which we understand is particularly difficult for certain funds with more complex strategies, and increases the overall risk of errors and resubmissions. Additionally, a letter from a registered fund industry group suggested that the amendments would also harm registered fund shareholders and curb fund innovation and suggested that the Commission amend its approach. 8 B. Overview of Proposed Amendments As part of the Commission’s review of the Form N-PORT amendments, we have considered available information, including additional information and evolving dynamics following the adoption of the amendments, and accordingly have reassessed the benefits and costs of the amendments. As a result of this review, we are proposing to extend the filing 8 See Letter from Investment Company Institute (Feb. 26, 2025) (“ICI Letter”), available at https://www.ici.org/system/files/2025-02/25-cl-form%20nport-amendments.pdf. 8 deadline from 30 to 45 days after month end and are proposing to publish reports for only the third month of a registered fund’s fiscal quarter 60 days after month end. Table 1 below displays the key elements of the Form N-PORT requirements that were revised as a part of the 2024 amendments and compares the previous Form N-PORT requirements, the 2024 amendments, and the current proposal. 9 Table 1. Comparison of Form N-PORT Requirements Prior to 2024 Amendments, the 2024 Amendments, and the Proposed Amendments Filing Timeframe Publication Frequency Recordkeeping Entity Identifiers 9 Requirements Prior to 2024 Amendments1 Reports for each month in a registered fund’s fiscal quarter must be filed no later than 60 days after the end of the relevant fiscal quarter Information reported for the third month of a registered fund’s fiscal quarter will be made public upon filing (i.e., no later than 60 days after fiscal quarter end) No later than 30 days after the end of each month, a registered fund must maintain in its records the information that Form N-PORT requires Certain items require reporting of a legal entity identifier 2024 Amendments Proposed Amendments Reports for each month must be filed no later than 30 days after the end of the relevant month Reports for each month must be filed no later than 45 days after the end of the relevant month Information reported for each month will be made public 60 days after month end Information reported for the third month of a registered fund’s fiscal quarter will be made public 60 days after fiscal quarter end N/A N/A Provides separate fields for reporting No change to 2024 amendments. For a table displaying the key proposed changes to the information registered funds are required to report on Form N-PORT, see infra section II.C, Table 2. 9 Notes: (“LEI”), if any, of a LEI or RSSD ID, if counterparty or any. issuer. If an LEI has not been assigned, registered funds instead provide in the LEI field an RSSD ID, if any, assigned by the National Information Center of the Board of Governors of the Federal Reserve System. 1. The requirements described in this column are currently in effect and reflect the approach that registered funds currently are required to follow, as the effective date of the 2024 amendments has been delayed until November 17, 2027. The proposed amendments would continue to provide the Commission with reasonably timely data while also reducing operational burdens and the risk of errors. In addition, compared to the 2024 amendments, the proposed quarterly publication schedule is designed to reduce the risk of external parties inferring a registered fund’s proprietary trading strategy or trading intentions from Form N-PORT reports and acting on that information in a way that is harmful to the fund. We are soliciting public comment on whether the proposed changes strike an appropriate balance between the benefits of portfolio-related information for the Commission and the public and the burdens to registered funds of reporting such information. Separate from the proposed changes to the filing timeframe and publication frequency of Form N-PORT reports, we are proposing to modify certain information collected on portfolio level risk metrics and returns to narrow their scope, and proposing to eliminate certain information collected on non-derivatives instruments’ payoff profiles, convertible bonds, and the reason a single holding has multiple liquidity classifications. In addition, we are proposing to 10 remove the reporting requirements added to Form N-PORT when the Commission adopted amendments to rule 35d-1 under the Act (the “names rule”). 10 The proposed amendments to streamline or remove reporting requirements would not significantly affect the Commission’s uses of the data and are not expected to significantly affect the public’s ability to assess relevant information about a registered fund, but would reduce the reporting burden for these funds. Finally, we are proposing to require certain additional information. We propose to require a registered fund with an ETF share class to report information on the ETF class’s net assets and shareholder flows. These amendments are designed to provide the Commission and investors with information to better understand the size and flows of this type of fund structure. We also propose to require registered funds to provide information about their ticker symbols, as well as certain class-level identifiers, as applicable. These amendments are designed to help data users more efficiently use other information that is reported on the form. II. Discussion A. Filing Timeframe We are proposing to amend rule 30b1-9 and Form N-PORT to require registered funds to file Form N-PORT reports within 45 days after the end of the month to which they relate. 11 Specifically, rather than filing monthly reports with the Commission within 60 days after the end of each fiscal quarter consistent with the prior rule or within 30 days after the end of each calendar month as required under the 2024 amendments, we are proposing to require registered funds file reports on a monthly basis within 45 days after the end of the month to which they 10 See Investment Company Names, Investment Company Act Release No. 35000 (Sept. 20, 2023) [88 FR 70436 (Oct. 11, 2023)], Investment Company Names; Correction, Investment Company Act Release No. 35000A (Oct. 24, 2023) [88 FR 73755 (Oct. 27, 2023)] (“Names Rule Adopting Release”). Funds have not begun to comply with the names rule-related reporting requirements on Form N-PORT. 11 See General Instruction A of proposed Form N-PORT; proposed rule 30b1-9. We are also proposing conforming amendments to 17 CFR 274.150. 11 relate. These proposed changes are intended to better balance the need for the Commission to receive timely data against burdens to registered funds relative to the 2024 amendments. Specifically, the proposed approach would provide registered funds with an additional 15 days to gather, verify, and file information relative to the 30-day filing requirement in the 2024 amendments. As a general matter, the Commission and its staff use information in Form N-PORT reports to carry out regulatory responsibilities related to registered funds, and investors benefit indirectly from the Commission’s use of Form N-PORT information. For instance, the Commission and staff use Form N-PORT information for purposes of examination, enforcement, and monitoring of registered funds, including assessing regulatory compliance, identifying funds for examination, and risk monitoring. Form N-PORT reports also provide the Commission information that is useful to understand trends in the registered fund industry and to inform and formulate regulatory policy. Further, the Commission uses Form N-PORT information in connection with its review of fund registration statements and disclosures (e.g., by considering a fund’s portfolio holdings in relation to its disclosures). Finally, in the case of market events, the Commission uses Form N-PORT information to help assess the breadth and magnitude of the potential impacts of such events (e.g., to analyze registered funds’ potential exposures to issuers or asset classes that are under stress due to market events). When the Commission adopted the 2024 requirement to file monthly reports within 30 days of month end, it acknowledged tradeoffs in how frequently and quickly registered funds must file Form N-PORT information. While more frequent and timely filings enhance the Commission staff’s ability to oversee and monitor registered funds’ activities (as the information is more likely to reflect reasonably current portfolio information), it also increases costs, the 12 potential for errors in filed information and, for funds that do not voluntarily publicly disclose their portfolio holdings on a more frequent basis, increases the sensitivity of the filed information and the associated risk of misappropriation in the event of a system breach. 12 As part of our review, we reconsidered these tradeoffs, accounting for additional information from registered funds’ preliminary implementation efforts, comments submitted in connection with the 2024 amendments, and the Commission’s need for and uses of information contained in Form NPORT reports. Information gathered and reassessed during the review informed the development of the proposed amendments. Since the adoption of the 2024 amendments and as registered fund industry members further considered implementation, we have received additional information from industry members about the burdens of filing Form N-PORT reports within 30 days of month end through staff outreach to registered funds and fund administrators, as well as a letter from a group representing the registered fund industry. 13 During staff outreach, industry members raised concerns about filing complete and accurate Form N-PORT reports within 30 days. Industry members discussed certain dependencies that could impact the ability to have Form N-PORT reports complete and error-free within this timeframe. For example, registered funds may rely on third parties for certain data related to liquidity, derivatives, or risk metrics, and in turn, those third parties may have their own data dependencies. In some cases, particularly for funds with complex strategies, the third parties may not provide data until shortly before the 30-day filing deadline. These delays result in limited time for internal reviews and signoffs on the data, particularly considering that some time is also needed to complete the filing process, and 12 See 2024 Adopting Release, supra note 1, at section II.A.1. 13 See ICI Letter. 13 increase the potential for errors in the report. Specifically, for fund complexes or fund administrators with a large volume of reports to file, it may take multiple days to handle the filing process. Due to the time required to receive, review, and file Form N-PORT information, industry members suggested that a 30-day filing deadline would increase the potential for errors and resubmissions and would cause some industry members to hire additional personnel to manage the condensed timeframe and the larger volume and greater frequency of filings. Industry members suggested that there would be a larger volume of filings as a result of the 2024 amendments because they assumed that: (1) errors and resubmissions would increase; and (2) the Regulation S-X compliant presentation of holdings for the first and third fiscal quarter under Part F of Form N-PORT would be filed separately 60 days after quarter end. Industry members also discussed challenges in filing Form N-PORT reports within 30 days of month end for closed-end funds that calculate their net asset values on a monthly basis and invest in private funds or other hard to value assets. Such closed-end funds have experienced growth in recent years and may continue to grow in number and size. Industry members suggested that, for some of these funds, there may not be an initial net asset value calculation until three weeks or later after month end. Industry members expressed concern that these funds may have to file reports that are not entirely accurate and then make an amended filing for accuracy. In light of concerns about the effects of a 30-day filing requirement, some registered fund industry members suggested that we further amend Form N-PORT to provide additional time, 14 such as 45 days, for funds to file monthly reports. 14 In outreach, industry members suggested that a 45-day filing timeline, although still involving some costs, would reduce the risk of errors and reduce the need to hire additional personnel by providing additional time to gather, review, and file the required information. Some industry members suggested that a longer filing timeline, such as 60 days after month end or 60 days after quarter end, would further reduce burdens. In addition to the information obtained through outreach, we considered the concerns commenters raised in conjunction with the 2024 amendments. 15 Commenters raised concerns that requiring monthly reporting within 30 days of month end would overburden registered funds, including fund internal systems and processes, as well as service providers. Commenters also discussed the overlap in teams that prepare, review, and file Form N-PORT reports with those that are involved with other required filings, suggesting that a 30-day filing timeline for Form N-PORT would cause strains on those teams. A few commenters further suggested that these strains would be pronounced for the months following the end of the reporting period when the annual and semiannual reports are due. Some commenters expressed concern about data security and the risk that confidential and proprietary registered fund information could be misappropriated as a result of unauthorized access. In general, these various concerns were consistent with the information we received through outreach. We also considered the Commission’s and staff’s use of Form N-PORT information and the potential effects of receiving Form N-PORT information later than 30 days after month end. As discussed in the 2024 Adopting Release, the quarterly filing requirement has limited the Commission’s ability to develop a timely and more complete understanding of the market. In 14 See ICI Letter (stating that the Commission should extend the filing deadline to “at least 45 days” to avoid increased errors and resubmissions). 15 See 2024 Adopting Release, supra note 1, at section II.A.1. 15 addition, although the Commission has had the ability to request registered fund records of Form N-PORT information within 30 days of month end, this has not been an effective substitute for receiving more timely information through filings. 16 The Commission and its staff use Form NPORT information to, among other things, monitor industry trends, identify risks, inform policy and rulemaking, and assist Commission staff in examination and enforcement efforts. Timely Form N-PORT data improves the Commission’s ability to (1) conduct more targeted and timely monitoring efforts; (2) analyze risks and trends more accurately; and (3) better assess the breadth and magnitude of potential market events and stress affecting particular issuers, asset classes, counterparties, or market participants. The Commission’s ability to perform these functions effectively and efficiently benefits investors and the markets, including for example during times of market stresses and events. As a general matter, the Commission adopted the 30-day filing requirement because (1) given that registered funds were already required to maintain records of Form N-PORT information within the 30-day period in which filings would be due, the Commission did not expect the burden to be significant; 17 (2) the Commission historically has viewed access to Form N-PORT information within 30 days of month end as important to furthering our mission to protect investors; 18 and (3) delays in receipt of Form N-PORT information reduce the utility of the information for the Commission.19 The additional information we have received from market participants following adoption of the 2024 amendments as funds further considered implementation suggests, however, that the burdens of filing Form N-PORT reports within 30 16 See 2024 Adopting Release, supra note 1, at paragraph accompanying n.57. 17 See 2024 Adopting Release, supra note 1, at paragraph accompanying n.75. 18 See id. at paragraph accompanying n.60. 19 See id. at paragraph accompanying n.61. 16 days of month end would be greater than the Commission anticipated due to the time it takes to compile, review, and file certain data, particularly for registered funds with complex strategies or certain types of closed-end funds, and the risk of errors and resubmissions if processes must be condensed. Providing an additional 15 days to file Form N-PORT reports should mitigate these burdens, but generally would not decrease the utility of the information for the Commission significantly or the indirect benefits to investors associated with the Commission’s use of Form N-PORT information. As a result, we are proposing to extend the filing timeframe to provide registered funds with 45 days after month end to file Form N-PORT reports. Providing 45 days for registered funds to file Form N-PORT reports would reduce burdens for the funds and their service providers, as they would have additional time to gather information, verify its accuracy, and prepare and make the filings. This additional time should also mitigate the effect that a monthly filing requirement would have on the workload of personnel or service providers that prepare and file Form N-PORT reports. 20 Moreover, the additional time should reduce the potential for errors in Form N-PORT filings and reduce potential resubmissions. By reducing costs associated with the 2024 amendments, the proposal should also mitigate the extent to which costs associated with monthly reporting requirements are passed on to registered fund shareholders. We also recognize that the additional time to file would reduce the sensitivity of the information filed with the Commission, which should reduce the concern that some industry members have raised about data security and the risk that 20 In 2016, when the Commission first adopted a requirement to file Form N-PORT reports within 30 days of month end, the Commission suggested that lag times of more than 30 days would make monthly reporting impractical, as reports would overlap with preparation time. See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13, 2016) [81 FR 81870 (Nov. 18, 2016)] (“Reporting Modernization Adopting Release”), at nn.462-464 and accompanying text. Commenters on the 2024 rulemaking did not raise this overlap as a concern, although we understand that registered funds and their service providers would be the ones to bear this type of effect most directly. Given that the directly affected parties have not raised the overlap as a concern, we do not at this time view the overlap as a compelling reason to require reports to be filed within 30 days of month end. 17 confidential and proprietary registered fund information could be misappropriated as a result of unauthorized access. While these burden reductions would largely be relative to the 2024 amendments, which have not gone into effect, the proposed approach would also reduce burdens associated with the 30-day recordkeeping requirement that registered funds historically have satisfied. Under the recordkeeping requirement, registered funds were required to gather and record Form N-PORT information within 30 days of month end. In contrast, the current proposal would not require registered funds to complete particular steps within 30 days of month end, rather a complete submission of monthly data would be due to the Commission within 45 days of month end. As a result, if adopted, the proposed approach would provide funds with more time to gather and review information than has historically been available or that would be available under the 2024 amendments. This additional time would likely reduce burdens, particularly in cases where information is collected through a manual or otherwise time-consuming process, such as the example raised in outreach about delays in valuation information for certain closed-end funds. Moreover, relative to the requirement for registered funds to gather and record Form N-PORT information within 30 days of month end, a requirement to file the information with the Commission within 45 days of month end should reduce costs because funds that continue to gather the required information within 30 days of month end would then have 15 additional days just to prepare that information for filing with the Commission. Given the additional information we have received about the challenges and burdens of filing Form N-PORT reports within 30 days of month end, as well as the increased risk of errors, we considered the effects of additional filing time on the utility of the reported information for the Commission and staff. As the Commission recognized in 2024, less timely data reduces the 18 utility of the information for the Commission. At the same time, data quality issues, such as errors in the reported information, can also affect the utility of the data. Overall, we anticipate that providing registered funds with 15 additional days to file monthly reports would not have a significant negative effect on the utility of the information, and the potential increase in data accuracy and reliability could provide benefits to the Commission. Specifically, providing an additional 15 days for filing monthly Form N-PORT reports would likely not have a significant effect on many of the Commission’s uses of the data, such as for monitoring and for risk and trend analysis, and the anticipated improvement in data quality would be a net benefit for these purposes. While the less timely data would in some cases reduce the utility of Form N-PORT information when market events occur, the monthly filing cadence would result in the Commission still having access to relatively recent data from registered funds’ most recently filed reports. 21 Under the proposal, Form N-PORT information the Commission receives would be stale by about a month and a half, while the 2024 amendments would result in information that is stale by about a month, and the prior quarterly filing requirement resulted in information that is stale by up to five months. As a result, although providing registered funds with additional time to file Form N-PORT reports would reduce the utility of the information for the Commission, the effect of the additional 15 days to file Form NPORT on the utility of the information is generally small and justified by the reduced burden on these funds and the anticipated improvement in data quality. 21 For example, if a market event occurred at the end of Dec., a 30-day filing timeline would result in the Commission receiving information for the month of Nov. around the time of the market event, while a 45day filing timeline would result in the Commission needing to use information for the month of Oct. In contrast, if a market event occurred in mid-Dec., the 30-day filing timeline and 45-day filing timeline would both result in the Commission needing to use information as of the month of Oct. to help assess the effects of the event. 19 We considered providing more time to file than we are proposing, such as 60 days after month end, or requiring monthly reports on a quarterly filing cadence (e.g., with reports for each month in a fiscal quarter due 45 or 60 days after quarter end). A longer filing timeframe would reduce the utility of the information for staff oversight and analysis, and the associated benefits of such activity for investors, because the reported information is increasingly less likely to reflect reasonably current portfolio holding-related information as the filing deadline moves further away from the end of the month to which the information relates. While we recognize that there may be certain efficiencies for registered funds and vendors associated with a quarterly filing cadence, as discussed in the 2024 Adopting Release, this approach results in the Commission receiving data that is multiple months old and, in past experience, has limited the Commission’s ability to develop a timely and more complete understanding of the market, thereby impeding its ability to respond to market stresses and events as they are developing. In addition, it is unclear that extending the filing timeframe beyond 45 days after month end would significantly reduce the risk of errors in reported information, as registered funds already have infrastructure for collecting the required information within 30 days after month end. Furthermore, in light of the other proposed amendments to the form, we anticipate a reduction in reporting burden for most registered funds, which could potentially reduce the need for additional time to file Form N-PORT reports. We request comment on the proposed changes to the timing and frequency with which registered funds would be required to file reports on Form N-PORT, including: 1. As proposed, should we extend the deadline for filing reports on Form N-PORT from 30 days to 45 days after the end of the month? Should we instead retain the 30-day filing deadline? Should we instead use a different deadline, such as 35 or 20 60 days after the end of the reporting month? How would a different deadline affect burdens for registered funds and data quality? 2. To what extent would the additional 15 days to file Form N-PORT, relative to the 2024 amendments, reduce burdens for registered funds? Would the additional 15 days to file reduce costs associated with implementation compared to a 30-day filing deadline, and, if so, to what extent? Would the additional 15 days to file reduce the potential for errors in the reports compared to a 30-day filing deadline, and, if so, to what extent? Would the additional 15 days to file reduce strains on reporting teams that prepare, review, and file Form N-PORT reports and that are also involved with other required filings and reduce the need for registered fund advisers or administrators to hire additional personnel, and, if so, to what extent? 3. Would a 45-day filing deadline affect registered funds that use vendors to prepare or file Form N-PORT reports differently than funds that do not use vendors, and, if so, in what ways? For funds that use vendors, would a 45-day filing deadline provide sufficient time for coordination between funds and vendors? 4. Are there certain periods of a year where 45 days after month end would not provide sufficient time for filing Form N-PORT reports? For example, should we provide additional time beyond the proposed 45-day deadline to file Form NPORT reports for months that correspond to the end of the registered fund’s fiscal year or fiscal half-year, in order to provide more time during periods that funds are preparing annual and semiannual reports? If so, how much time (e.g., 60 days)? How much additional burden would a 45-day deadline impose on registered funds during those times relative to other times of the year? Are there 21 other ways to reduce burden during those times? Should we provide more time to file Form N-PORT reports for months that relate to fiscal quarter ends more generally? Are there ways to limit the impact on the Commission’s use of Form N-PORT information if we were to provide additional time to file for particular months? 5. Would a 45-day filing timeline create new or different burdens for registered funds and service providers, relative to a 30-day filing timeline, that we should consider? For example, would there be additional burdens associated with overlaps in report preparation time (i.e., with a 45-day deadline, the report for Month 1 is not due until approximately 15 days after the fund begins to prepare the report for Month 2)? 6. What are the costs and benefits of a monthly filing frequency for smaller registered funds? For example, do smaller funds have a high administrative or operational cost in preparing these reports disproportionate to their other expenses? Would monthly filing of portfolio holdings significantly affect how and whether smaller funds can do business? 7. Should certain types of registered funds, such as closed-end funds or smaller funds, have a different amount of time to file Form N-PORT reports or be permitted to file on a different frequency? If so, what types of funds should be subject to different requirements and what would those requirements be (e.g., filing within 30 or 60 days of month end, or filing within 30, 45, or 60 days of quarter end)? How would those certain types of funds benefit from different requirements? What types of different challenges do these funds face, and would 22 different requirements reduce those challenges, costs, and burdens? Are there ways to limit the impact on the Commission’s use of Form N-PORT information if we were to provide a different reporting timeline or frequency for certain registered funds? 8. Is there any specific information that registered funds should have additional time to file, such as through an exhibit or attachment to the original filing or a separate filing type? If so, what information, and how much time do funds need to compile and verify that information? Is there specific information that registered funds could file with a high level of accuracy under the current timeline of 30 days after month end? Would it be challenging or burdensome for registered funds to file information at different intervals? 9. Should we, as proposed, require registered funds to file reports on Form N-PORT on a monthly basis? Should we instead revert to requiring funds to file monthly reports on a quarterly basis like the previous requirements, or require funds to file reports on a different frequency altogether? If we require funds to file monthly reports on a quarterly basis, when should reports be due (e.g., 45 or 60 days after quarter end)? 10. Are there other effects of providing an additional 15 days to file Form N-PORT, relative to the 2024 amendments, on registered funds, service providers, investors, the Commission, or others that we should take into account? 11. Should we require registered funds to make records of Form N-PORT information within 30 days of month end, as was required prior to the 2024 amendments? What would be the effects of providing funds with 45 days to file Form N-PORT 23 reports without the historical requirement to make records of Form N-PORT information within 30 days of month end? Would this effectively result in funds having additional time to gather and verify the accuracy of information compared to the 30-day recordkeeping requirement? If so, are there certain types of information for which the additional time to gather and verify would be particularly helpful? Alternatively, would a 45-day filing deadline have limited, or no, effect on the timeline for gathering and verifying the accuracy of information because of the time needed for filing-related tasks or for other reasons? Are there benefits to a 30-day recordkeeping requirement that we should account for in our analysis? Would those benefits support adopting a 30-day recordkeeping requirement, or a requirement to maintain records within a different timeframe, as part of this rulemaking? 12. Are there feasible alternatives to the proposed requirement to file monthly reports within 45 days of month end that would minimize reporting burdens on registered funds while maintaining the utility of the information reported to the Commission? Does the proposal appropriately balance the utility of the information to the Commission in relation to the costs to registered funds and their affiliated persons of providing the information? 22 Does publication frequency or any other aspect of the proposal affect the analysis of these questions? 22 See section 30(c)(2) of the Investment Company Act [15 U.S.C. 80a-29(c)(2)] (providing that, if the Commission requires information to be filed more frequently than annually under section 30 of the Investment Company Act, it shall consider and seek public comment on: (1) feasible alternatives that minimize reporting burdens, and (2) the utility of the information to the Commission in relation to associated costs). 24 B. Publication Frequency Upon further review of the publication frequency of Form N-PORT, we are proposing to require public disclosure of registered funds’ portfolio holdings for the third month of each fiscal quarter with a 60-day delay instead of requiring public disclosure of report information for every month with a 60-day delay after the end of the relevant month. 23 This proposal mirrors the publication frequency of portfolio holdings that had been in place since 2004. 24 As part of this review, we considered issues raised by commenters in connection with the 2024 amendments, statements of the petitioner in a challenge of certain of the 2024 amendments in the Fifth Circuit, and information provided by market participants following the adoption. 25 The review suggests that the potential effects of more frequent publication of a registered fund’s portfolio holdings could be more significant for some funds than the Commission previously appreciated. 26 Those effects include additional costs that an increased publication frequency could impose on some registered funds, especially with the use of advancing technology, with a magnified effect on certain types of funds, such as those with actively managed strategies. While commenters raised these concerns in connection with the 2024 amendments, they have also been raised in post-adoption communications. 23 See 2024 Adopting Release, supra note 1, at section II.A.2. 24 See, e.g., Reporting Modernization Adopting Release, supra note 20 (adopting new Form N-PORT to require certain registered investment companies to report information about their monthly portfolio holdings and rescinding Form N-Q); Shareholder Reports And Quarterly Portfolio Disclosure Release, supra note 2 (adopting Form N-Q and requiring quarterly portfolio holdings disclosure). 25 See, e.g., 2024 Adopting Release, supra note 1, at section II.A.2; Registered Funds Association v. SEC, No. 24-60550 (5th Cir. 2024); ICI Letter (suggesting that the Commission should revert to quarterly publication of Form N-PORT reports and extend the reporting timeframe to at least 45 days after month end). 26 The discussion in this section of the release does not relate to ETFs that are required to disclose their portfolio holdings on a daily basis under 17 CFR 270.6c-11 (rule 6c-11), as changes to Form N-PORT do not affect the frequency at which these funds’ portfolio holdings are made public. See 17 CFR 270.6c11(c)(1)(i) and (c)(2). 25 Specifically, external parties may use information about a registered fund’s portfolio holdings to trade in a way that harms the fund. 27 While this risk exists with any information about a fund’s portfolio holdings, more frequent publication of portfolio holdings may increase the risk. External parties may obtain at no cost the benefits of the investment research and analysis that went into developing the fund’s investment strategies. For example, external parties may exploit a fund’s portfolio holdings information to reverse engineer and copy the strategy, often called “free riding.” External parties may also “front run” a fund by using a fund’s portfolio holdings information to identify positions that the fund may be acquiring or disposing of and trade ahead of the fund. In combination with fund flow information, external parties may use portfolio holdings information to front run the sales of funds that experience large outflows and purchases of funds with large inflows. These activities may lead to more (or less) demand for an investment, which could drive up the price of trading, inhibit the investment adviser’s ability to achieve the fund’s investment strategies, and harm fund performance. These risks may affect registered funds differently depending on various factors, such as the quality and age of the data and characteristics of the fund (e.g., its investment strategy and amount of portfolio turnover). Registered funds and, indirectly, their shareholders pay investment advisers management fees to perform important research and analytical functions, construct funds’ investment strategies, and manage funds’ portfolios. Free riding and front running are ways that external parties may take advantage of that work without compensating investment advisers. As a result, 27 Commenters and other parties have at times referred to these activities as “predatory trading.” 26 investment advisers may be less willing to devote resources to research and analysis, which may reduce their effectiveness and information production, potentially reducing price efficiency. 28 These risks increase for many actively managed registered funds as technology, such as artificial intelligence, evolves, becomes cheaper, and usage increases. For example, an external party may use technology tools to aggregate large amounts of data to predict not-yet-completed or future portfolio management decisions to free ride on the investment adviser’s work or front run the fund. 29 Artificial intelligence continues to evolve rapidly and is just one example of rapidly advancing developments that may increase the risk of external parties using information about a registered fund’s portfolio holdings to trade in a way that harms the fund. The proposed amendments would require four publications of portfolio holdings per year, instead of the monthly publication frequency required by the 2024 amendments that would result in 12 publications per year. Along with advances in technology, the 2024 amendments’ quadrupling of the amount of available data also could increase the risk that a fund’s proprietary investment strategy or trading inventions are inferred by external parties. Registered funds vary in how often they voluntarily publish their portfolio holdings depending on their sensitivity to transparency and their investment objectives and strategies. 30 While some registered funds frequently release complete portfolio holdings information on their websites and to data aggregators, others make more limited portfolio holdings public, such as a list of 10 largest holdings, and still others do not provide any voluntary portfolio holdings 28 See infra sections III.D.1 and III.D.3. 29 See ICI Letter (noting the risks of evolving technologies and artificial intelligence to allow predatory traders to accurately analyze and anticipate a registered fund’s next investment transaction or mimic its investment strategy, which may affect almost every type of actively managed fund). 30 See 2024 Adopting Release, supra note 1, at n.230 (discussing a paper estimating that, at year-end 2019, approximately 56% of U.S. equity mutual funds’ portfolio disclosures were voluntary monthly disclosures). 27 information at all. Registered funds may choose to disclose only the required portfolio holdings information because additional data may reveal confidences about their investment strategies and increase the risk of free riding or front running. For example, certain actively managed, fixed income, less liquid, or concentrated investment strategies may require some time to build or dispose of portfolio holdings or to find buyers or sellers at the desired target price. This increases the risks of other parties trading ahead of the fund before the fund has finished building or disposing of a position. Under the 2024 amendments, information reported for each month will be made public 60 days after month end. This delay will mitigate some of the risks of more frequent disclosure of registered funds’ portfolio holdings, such as the risks of front running, because a fund will be able to build or dispose of a position before a report is made public. However, certain investment strategies (such as those that are concentrated and with significant positions) may, at times, need more than 60 days to build or dispose of a position. In addition, the 60-day delay may not effectively address the risk that publishing a registered fund’s portfolio 12 times a year will contribute to free riding, particularly as technology continues to advance. We recognize there are benefits of publishing a registered fund’s portfolio holdings on Form N-PORT more frequently than the quarterly publication requirement. The Commission considered these benefits in the 2024 amendments. 31 For example, such transparency allows investors to review and monitor information about registered fund portfolio holdings on an ongoing basis and may help better inform their investment decisions. It also allows other market participants, such as data aggregators and investment advisers, to better advise investors and help manage their investment portfolios. More frequent publication of portfolio holdings information 31 See 2024 Adopting Release, supra note 1, at n.103 and accompanying text. 28 also helps reduce the imbalance of information between different types of investors and market participants, some of whom may have access to portfolio holdings information before a quarterly Form N-PORT publication. 32 While these are some ways that additional transparency could benefit investors, the Commission received limited feedback in connection with the 2024 amendments about whether investors or others would use additional Form N-PORT information in these ways. 33 We have considered available information, including the costs and benefits of publication frequency of portfolio holdings, and are proposing to require public disclosure of registered funds’ portfolio holdings only for the third month of each fiscal quarter with a 60-day delay. 34 This would maintain the quarterly publication frequency of portfolio holdings disclosure that had been in place for more than twenty years prior to the 2024 amendments and means that a registered fund would have up to five months to build or shrink its positions before its portfolio holdings are made public. 35 A quarterly frequency would reduce costs, including risks that an external party can infer a fund’s proprietary investment strategy or trading intentions, as 32 Exhibits required under Part F of Form N-PORT present portfolio holding information in a Regulation S-X compliant format that is consistent with how registered funds have historically presented this information in annual and semi-annual reports. Under the proposal, registered funds would continue to file this information for their first and third fiscal quarters, no later than 60 days after the end of the quarter. If the proposed requirement for registered funds to file monthly reports within 45 days of month end is adopted, we anticipate providing a separate submission type on EDGAR for funds to file Part F exhibits within 60 days of the end of a fund’s first and third fiscal quarters. This would result in separate submission types for the monthly reports due within 45 days of month end and the Part F exhibits due within 60 days of first and third-quarter end. Historically, registered funds have filed Part F exhibits in connection with publicly available Form N-PORT filings because, prior to the 2024 amendments, Part F exhibits were due at the same time as those Form N-PORT filings. 33 See 2024 Adopting Release, supra note 1, at paragraph accompanying n.85 (discussing comment letters that supported publishing Form N-PORT reports more frequently than quarterly). 34 Certain of the reported information, such as information about liquidity, use of derivatives, and miscellaneous securities, would remain confidential for all months of a quarter. See General Instruction F of Form N-PORT. This aspect of the form is unchanged in this proposal. 35 For example, if a registered fund’s fiscal quarter ends on Mar. 31, an investment made on Jan. 1 would not need to be disclosed until May 30, or 60 days after Mar. 31. 29 compared to monthly public reporting. Importantly, as public information of portfolio holdings has generally increased, these proposed amendments are not intended to inhibit registered funds from publishing their portfolio holdings more frequently than quarterly on their websites or through data aggregators. The proposal takes into account our review and rebalancing of the benefits of information available for investors with the potential harms caused by more frequent publication of portfolio holdings, such as free riding or front running. 36 We request comment on the proposed amendments to the publication frequency of portfolio holdings on Form N-PORT, including: 13. How often should portfolio holding information be disclosed publicly? Should we, as proposed, require registered funds to publish their portfolio holdings quarterly? Should the publication frequency be shortened or lengthened, for example, to monthly or semi-annually? What are the costs and benefits of each publication frequency? Do retail investors find publication of this information helpful and/or useful? If publication of this information is used primarily by institutional investors and data aggregators, should we require this information to be continued to be made public? 14. What would be the costs and consequences of quarterly publication of portfolio holdings, based on experience with the historic quarterly frequency? Please provide concrete examples and data. For example, does the historic quarterly publication frequency lead to free riding, front running, or other actions by 36 Section 45(a) of the Act requires information in reports filed with the Commission pursuant to the Act to be made public unless we find that public disclosure is neither necessary nor appropriate in the public interest or for the protection of investors. For the reasons discussed above, we would view that keeping the data for the first and second months of a registered fund’s fiscal quarter confidential, and the data for the third quarter confidential until the expiration of the 60-day period provided by the proposal, as necessary or appropriate in the public interest or for the protection of investors. 30 external parties that harm registered funds, and, if so, how, to what extent, and for which kinds of funds? Would these actions by external parties affect fund performance, and, if so, how? Would these actions reduce research and resources spent on research, and, if so, by how much? 15. What would be the costs and consequences of more frequent than quarterly publication of portfolio holdings? Please provide concrete examples and data. For example, would more frequent publication increase free riding, front running, or other actions by external parties that harm registered funds, and, if so, how? Would these actions by external parties affect fund performance, and, if so, how, to what extent, and for which kinds of funds? Would these actions reduce research and resources spent on research, and if so, by how much? Are there administrative, operational, or other costs of more frequent publication of portfolio holdings. And if so, what are they? Would some registered funds change their investment strategies and other business practices, and, if so, what would the changes be? How many, and what kinds of, funds would be affected, and what would the effects be? Please provide concrete examples and data. 16. What are the benefits of more frequent publication of portfolio holdings than a quarterly frequency? Please provide concrete examples and data. For example, how do investors, other market participants, such as data aggregators and financial intermediaries, and the broader market use or plan to use portfolio holdings information? How do they use portfolio holdings information to inform their investment decisions or perform other tasks? How does standardized information in a central location, as opposed to individual websites, benefit 31 investors and other market participants? Do registered funds voluntarily publish data about their portfolios to compete for investors? How does the publication of portfolio holdings information improve market efficiency? 17. Should we publish monthly portfolio holding information on Form N-PORT, but with a longer delay than provided in the 2024 amendments? For example, should monthly reports be made public 90 days after the end of the reporting period? Should monthly reports for each month in a fiscal quarter be made public at the same time, such as 60 or 90 days after the end of the fiscal quarter? Would delaying publication of monthly reports reduce the risks of free riding, front running, or similar actions relative to the 2024 amendments? Would this type of delayed dissemination of monthly information benefit investors? 18. How have market participants used technology, including artificial intelligence, in connection with portfolio holdings information? Is the information used in ways that increase free riding, front running, or similar actions and adversely affect registered funds and their shareholders? If so, who has used the information, and in what ways, and how has this use affected funds and shareholders? Please provide concrete examples of which kinds of funds have been affected and what the effects have been, and any related data. Is this usage expected to increase or change in the future, and if so, in what ways, and how much? How would more or less frequent disclosure of registered funds’ portfolio holdings information affect these uses? Conversely, is the information used in ways that improve investor choice, information, and experience or otherwise benefit investors? 32 19. What types of registered funds are more adversely affected by more frequent publication of portfolio holdings? How are they affected? Should certain funds, for example, smaller or actively managed funds, or closed-end funds or nondiversified funds, be exempt or have different treatment in publication of portfolio holdings? What type of exemption or changes would suffice, for example, longer confidential treatment? If so, for what longer period should information remain confidential? Would investors and market participants suffer harm from or disadvantages from a longer period, and if so, how? For registered funds that are less likely to be adversely affected, should the Commission retain the monthly publication timing adopted in 2024? 20. Should publication be required on calendar quarter-end instead of fiscal quarterend? What are the costs and benefits of moving to a calendar quarter-based publication frequency? For registered funds with fiscal year ends that do not match a calendar quarter, how could requirements for the publication of portfolio holdings be changed to minimize additional publications as the result of annual and semi-annual shareholder reports? 21. How long should the period for publication delay be? Should the delay be shortened or lengthened, for example, to 45, 75, or 90 days? What are the costs and benefits of a 60-day or other period of delay? Please provide concrete examples and data. For example, how does the current 60-day delay affect the risks of free riding, front running, or similar actions? How would a shortened or lengthened timeframe affect these risks? What other effects would a different timeframe have on fund performance? 33 22. Are there other amendments to Form N-PORT that would reduce compliance burdens and the risks of disclosing portfolio holdings? For example, should the percentage of assets allowed to be reported non-publicly on Form N-PORT as miscellaneous securities (Part D) be lower or higher than the current 5% limit, for example, 3%, 8%, or 10%? What would the costs and benefits be of amending this or any other reporting requirement? 23. Do investors or others use the presentation of portfolio holdings that registered funds provide under Part F of Form N-PORT for their first and third fiscal quarters? Are there ways we could make the Part F information more userfriendly or less costly for funds to prepare? 37 For example, are there other ways to disclose the portfolio information in Part F that would facilitate the use of artificial intelligence or other tools to analyze the portfolio holdings information, and if so, how? As another example, should we require only certain holdings but not the complete portfolio holdings, and, if so, which holdings? For instance, should we require presentation of a certain number of the largest issues (e.g., 10, 25, or 50) and any other issues that exceed a particular percentage of the registered fund’s net asset value (e.g., 1% or 5%)? Should we require each registered fund to provide a graphical representation of holdings for reports covering the end of the first and third quarters of the fund’s fiscal year, similar to the graphical representations of holdings provided in funds’ annual and 37 See 2024 Adopting Release, supra note 1, at section II.A.3 (discussing comments on the burdens of providing a Regulation S-X compliant presentation of portfolio holdings more frequently than Form NPORT requires). 34 semiannual shareholder reports? 38 Is there other information that would be helpful to investors in a more user-friendly presentation for these quarter ends, such as a registered fund’s net assets, total number of portfolio holdings, or other fund statistics? 39 Are there other tools that would be helpful to investors in understanding and analyzing a fund’s portfolio holdings, for example, artificial intelligence tools on registered funds’ websites, that would decrease the need for Part F? If so, what kinds of tools would serve this purpose, and which information could be removed from Part F? If the information that registered funds currently provide under Part F is not typically useful to investors or others, should we remove Part F from Form N-PORT? Certain Commission rules reflect that, due to Part F requirements, registered funds prepare schedules of their complete portfolio holdings for the close of their first and third fiscal quarters in a Regulation S-X compliant format. 40 If we amend or remove Part F of Form NPORT, should we likewise amend or remove associated requirements from these other rules? 38 See, e.g., Item 27A(f) of Form N-1A (requiring a graphical representation of holdings in annual and semiannual shareholder reports of funds that register on Form N-1A). 39 See, e.g., Item 27A(e) of Form N-1A (requiring funds that register on Form N-1A to provide certain fund statistics in their annual and semiannual shareholder reports, and allowing these funds to provide additional statistics that the fund believes would help shareholders better understand the fund’s activities and operations, such as tracking error, maturity, duration, average credit quality, or yield). 40 See, e.g., 17 CFR 270.30e-1(b)(2)(ii) (requiring, among other things, that an open-end fund registered on Form N-1A (other than a money market fund) make available on its website the fund’s complete portfolio holdings as of the close of the most recent first and third fiscal quarters, presented in accordance with Regulation S-X); 17 CFR 270.30e-3(b)(1)(iv) (permitting a management company registered on Forms N-2 or N-3 to send a notice of website availability of a fund’s shareholder reports to satisfy shareholder report transmittal requirements if certain conditions are met, including website availability of the fund’s complete portfolio holdings as of the close of the most recent first and third fiscal quarters, presented in accordance with Regulation S-X). 35 C. Other Proposed Amendments to Form N-PORT In addition to the proposed amendments to provide registered funds with fifteen additional days to file monthly reports and to revert to the quarterly publication frequency, we are proposing amendments to Form N-PORT to refine the information funds provide while maintaining the usability and reliability of Form N-PORT data. Specifically, we are proposing to modify certain information collected on portfolio level risk metrics and returns to narrow their scope, and proposing to eliminate certain information collected on registered funds’ compliance with names-related regulatory requirements, payoff profiles of non-derivatives instruments, convertible bonds, and the reason a single holding has multiple liquidity classifications. We are also proposing to modify how funds with ETF share classes report net assets and shareholder flows to require separate information for ETF share classes. Additionally, we are proposing to require registered funds to provide certain additional identifying information, such as ticker symbols and certain class-level information, as applicable. The key aspects of the proposed amendments are described in Table 2 below and discussed in more detail throughout this section. Table 2. Comparison of Current and Proposed Requirements Current Requirement Portfolio Level Risk Metrics Scope of registered funds that The average value of the must report fund’s debt securities positions for the previous 3 months, in the aggregate, exceeds 25% of the fund’s net asset value Interest rate risk metrics Report both DV01 and DV100 Report DV100 separately for each currency for which the fund had a value of 1% or more of the fund’s net value 36 Proposed Requirement The average value of the fund’s debt securities positions for the previous 3 months, in the aggregate, exceeds 50% of the fund’s net asset value Report DV100 only Report DV100 aggregated across all currencies for which the fund had a value of 1% or more of the fund’s net asset value Credit spread risk metrics Return Information Reporting by multiple class funds Calculating returns Reporting net realized gain (loss) and net change in unrealized appreciation (depreciation) attributable to derivatives Period of return information covered in each report (same change also made for flow information) Items for Elimination Names rule information Payoff profile for nonderivatives Convertible securities information Multiple liquidity classifications Current Requirement Report separately for investment grade and noninvestment grade exposures Proposed Requirement Aggregate investment grade and non-investment grade exposures Report separately for each class Calculate in accordance with methodologies outlined in applicable registration form Report for a single representative class Calculate in accordance with methodologies outlined in applicable registration form, except do not deduct sales loads and redemption fees Report separately by asset category only Report separately by asset category and, within each asset category, further report by type of derivative instrument One month (1) Definitions of the terms used in a registered fund’s name; (2) The value of the fund’s 80% basket, as a percentage of the value of the fund’s assets;1 and (3) Whether each investment in the fund’s portfolio is in the fund’s 80% basket Indicate payoff profile among the following categories (long, short, N/A) Report conversion ratio and delta (if applicable) If attributing multiple liquidity classifications to a single holding, indicate which of three possible circumstances is applicable ETF Share Class Reporting Separate information reported None for ETF share classes Each of the preceding three months, in light of the proposed quarterly publication frequency None None None None Report net assets and flow information separately for the 37 Identifying Information Provide ticker and certain class-level information, as applicable Current Requirement Proposed Requirement ETF share class, as well as the class’s ticker Registered funds report class identification numbers in connection with reporting class-level returns2 Report ticker symbol by registrant, and for each class of a registrant or series, as applicable, as well as class names and class identification numbers. Notes: 1. The names rule requires certain funds to adopt a policy to invest at least 80% of the value of their assets in accordance with the investment focus that a fund’s name suggests. In 2023, the Commission adopted amendments to broaden the scope of this requirement and to define “80% basket” generally as investments that are invested in accordance with the investment focus that a fund’s name suggests (“names rule amendments”). See rule 35d-1(g) under the Act. 2. The proposed amendments would change this reporting and only require returns for a single representative class on Form N-PORT. Portfolio Level Risk Metrics Registered funds that invest certain amounts of their portfolios in debt instruments, or derivatives that provide exposure to debt instruments, currently are required to report specific portfolio level risk metrics on Form N-PORT. 41 The reported risk metrics are intended to provide the Commission staff, investors, and other potential users with measures that can help them analyze how portfolio values might change in response to changes in interest rates or credit spreads. 42 We are proposing to raise the threshold for determining which registered funds are required to report portfolio level risk metrics and to streamline the metrics they are required to report. 43 Based on our experience using Form N-PORT data, as discussed below, the proposed 41 See Item B.3 of current Form N-PORT. 42 See Reporting Modernization Adopting Release, supra note 20, at section II.A.2.c. 43 See Item B.3 of proposed Form N-PORT. 38 changes would not significantly affect the utility of the reported information about portfolio level risk metrics but would reduce burdens for funds. Registered funds are currently required to provide portfolio level risk metrics if the average value of the fund’s debt securities positions for the previous three months, in the aggregate, exceeds 25% of the fund’s net asset value. We are proposing to increase this reporting threshold from 25% to 50%. Registered funds that fall below the proposed threshold would no longer be required to provide information on portfolio level risk metrics. The proposed change to the threshold is designed to focus the risk metrics reporting requirement on funds with more significant exposure to debt securities to better balance the benefits and costs of the reporting. Registered funds that invest more than 50% of their net assets in debt securities, averaged over a three-month period, are more significantly exposed to changes in interest rates or credit spreads and associated changes in the funds’ portfolio values, in comparison to registered funds that invest at the 25% threshold. Setting the threshold at the higher 50% level would provide Commission staff, investors, and other potential users with more focused measures to help them analyze how portfolio values might change in response to changes in interest rates or credit spreads for registered funds that invest significantly in debt instruments, or in derivatives that provide exposure to debt instruments. We also propose to eliminate one risk metric and simplify the reporting of the other required risk metrics. Currently, registered funds are required to report two interest rate risk metrics, DV01 and DV100. DV01 reflects the change in value of a fund’s portfolio resulting from a 1 basis point change in interest rates, while DV100 reflects the change in value from a 100 basis point change in interest rates. The Commission previously determined to require 39 registered funds to report both measures because, combined, they show how a fund’s exposure changes with different changes in interest rates and thus provide information about convexity. 44 Based on staff experience using Form N-PORT information, and given that our receipt of Form N-PORT information is delayed, we propose to eliminate the DV01 metric, which is typically used as a daily risk measure. Registered funds currently are required to report this metric for each currency for which the fund had a value of 1% or more of its net assets and report the metric across multiple maturities. In our experience, the DV100 metric that registered funds report has been more useful in monitoring funds’ exposures to interest rate risk over time. DV100 is among the most common measures of interest rate sensitivity, allows the staff to capture larger changes to interest rates (and corresponding “shocks” to the markets), and provides useful information about non-parallel shifts in the yield curve as compared to smaller measures like DV01. In addition, DV100 on its own provides some information about convexity because it measures larger changes in interest rates, and it can be combined with other information that registered funds report (such as the prevalence of holdings in certain instrument types, like zero coupon bonds and mortgage-backed securities) to monitor convexity. We also propose to simplify the reporting of the DV100 metric by requiring registered funds to report the aggregate change in the value of the portfolio from a 100 basis point change in interest rates across all applicable currencies (i.e., those that are 1% or more of the fund’s net asset value), rather than providing separate changes in value for each of those currencies. The Commission required DV100 for each applicable currency to help understand interest risk for 44 See Reporting Modernization Adopting Release, supra note 20, at paragraph accompanying n.155. The Commission also discussed that some filers may not calculate convexity internally, so requiring the two interest rate metrics was designed to mitigate the increase in reporting costs that would be associated with requiring registered funds to separately report a measurement of convexity. 40 registered funds with significant currency risk. 45 Based on our experience, we can use other information reported on the form, such as the currency denomination of each portfolio holding, to help assess significant currency risk in conjunction with the aggregate DV100 information that funds would report under the proposal. 46 In addition, we propose to streamline the information reported on credit spread risk by no longer requiring registered funds to report credit spread risk metrics separately for investment grade and non-investment grade exposures. The Commission required separate reporting for investment grade and non-investment grade debt because credit spreads for investment grade and non-investment grade debt do not always shift in parallel or lock step, particularly in times of stress. 47 Based on our experience, we can use information we separately receive on Form NPORT about debt securities’ coupons as a proxy for a registered fund’s relative exposures to investment grade and non-investment grade debt, as these different categories of debt generally have different coupon levels to account for their differing levels of risk. This information, combined with aggregated credit spread metrics under the proposal, would continue to provide information about credit spreads, and the risk associated with credit spreads. We are also proposing to require information about portfolio risk metrics to be reported in U.S. dollars for consistency in reporting. Consistent reporting, in turn, makes the information more useable and facilitates comparisons across registered funds. The proposed instruction is consistent with many registered funds’ current practices and aligns with how funds report changes in the value of the portfolio elsewhere in the form. Additionally, we understand that the 45 See Reporting Modernization Adopting Release, supra note 20, at paragraph accompanying n.148. 46 See Item C.2 of current Form N-PORT (requiring registered funds to report the currency in which each investment is denominated). 47 See Reporting Modernization Adopting Release, supra note 20, at text accompanying n.159. 41 proposed instruction is consistent with a common interpretation of DV100, with “DV” being an abbreviation for “dollar value.” When a registered fund reports portfolio level risk metrics in currencies other than U.S. dollars—particularly when the exchange rate between a given currency and U.S. dollars is significantly different from an exchange rate of 1.00—the fund’s risk metric values are more likely to be outside the range of typical risk metric values reported in U.S. dollars by similar funds, which has the potential to cause investor confusion and has negatively affected staff use of the reported information. The proposed amendments to risk metric reporting would, to a certain degree, reduce information for understanding and monitoring registered funds’ exposures to changes in interest rates and credit spreads across the yield curve. In particular, there would be less information about these exposures for registered funds with marginal or temporary exposure to debt securities, and somewhat less granular risk metric information for funds with more significant exposures to debt securities. However, the proposed changes would not significantly affect how the Commission uses Form N-PORT data, and the public would continue to have access to information about registered funds’ significant interest rate and credit spread risks from the form. On balance, the proposed amendments to portfolio level risk metrics would simplify registered fund reporting and reduce burdens while maintaining useability and reliability of Form N-PORT data. Return Information Currently, registered funds are required to report monthly total returns and, if the fund has multiple classes, to report returns for each class. 48 For purposes of Form N-PORT, registered funds calculate returns using the same standardized formulas required for fund prospectuses and 48 See Item B.5 of current Form N-PORT. 42 sales materials. The return information reported on Form N-PORT is intended to facilitate comparisons across registered funds and to help identify performance that appears inconsistent with a fund’s strategy or other benchmarks as a basis for further inquiry and monitoring. 49 We are proposing to simplify reporting by multiple class funds and to provide more specific instructions for calculating returns. 50 We are also proposing to streamline information registered funds currently must report about gains (losses) or appreciation (depreciation) attributable to derivatives. Finally, in connection with revisiting the 2024 amendments and proposing to return to a quarterly publication frequency, we are proposing to require registered funds to report return and flow information for the three preceding months in a single report as was the requirement before the 2024 amendments to provide investors access to monthly data for a given quarter. (This requirement was removed as a part of the 2024 amendments because the amendments to the publication frequency gave investors access to monthly Form N-PORT reports.) Currently, multiple class funds are required to report monthly total returns and related identifying information for each class of the fund. We propose to require that multiple class funds report information for a single representative class rather than return information for each class within a fund. Under the proposal, the representative class would be selected in the same manner that Form N-1A registrants use to determine which class’s annual total returns to disclose in fund prospectuses. Using this approach, a registered fund can select which class to use as its representative class (e.g., the oldest class, the class with the greatest net assets), except the fund must: (1) select the class with 10 or more years of annual returns if other classes have 49 See Reporting Modernization Adopting Release, supra note 20, at section II.A.2.e. 50 See Item B.5 of proposed Form N-PORT. 43 fewer than 10 years of annual returns; and (2) select the class with the longest period of annual returns when the classes all have fewer than 10 years of returns. 51 Based on our experience with the data, having return information for a single representative class of a multiple class fund should be sufficient for purposes of comparing registered funds and identifying performance that appears inconsistent with a fund strategy or other benchmarks, as returns across classes of a multiple class fund are generally consistent except for the effects of certain class-specific fees and expenses, and as discussed below, we are specifying that certain of these differences should not be accounted for in monthly returns reported on Form N-PORT. Moreover, certain performance information for all classes would remain available in fund prospectuses for an investor making an investment decision about the appropriate class in which to invest. We are also proposing to specify that registered funds should not deduct sales loads and redemption fees charged to shareholder accounts when calculating monthly returns. 52 This approach is consistent with many funds’ current practices and consistent with prior staff guidance. 53 Currently, total returns are to be reported in accordance with the methodologies outlined in applicable registration forms. The methodologies in Forms N-1A and N-3 require that sales loads and redemption fees charged to all shareholder accounts be deducted when calculating returns. The performance disclosures that Forms N-1A and N-3 require show the effects of these loads and fees for non-cumulative periods of one, five, and ten-years, while the information Form N-PORT provides is monthly. Deducting sales loads and redemption fees for each month over an indefinite number of reports could give investors the impression that these 51 See Instruction 3(a) to Item 4(b)(2) of Form N-1A. 52 See Item B.5 of proposed Form N-PORT. 53 See Investment Company Reporting Modernization Frequently Asked Questions (Apr. 21, 2021) available at https://www.sec.gov/about/divisions-offices/division-investment-management/accounting-disclosureinformation/investment-company-reporting-modernization-frequently-asked-questions. 44 are ongoing fees and overstate their effect on performance. As a result, we are proposing to require that registered funds not deduct sales loads and redemption fees from the returns reported on Form N-PORT to provide for consistency across registered fund reporting and to avoid overstating the effects of sales loads and redemption fees in monthly return information reported on the form. In addition to monthly total returns, registered funds are currently required to report the net realized gain (loss) and net change in unrealized appreciation (depreciation) attributable to derivatives by asset category (e.g., commodity contracts, credit contracts, equity contracts), and within those asset categories, funds are required to report the same information for different types of derivative instruments (e.g., forward, future, option, swap). This derivative-related reporting is intended to help Commission staff, investors, and other potential users better understand how a registered fund is using derivatives to accomplish its investment strategy and the impact of derivatives on fund returns. 54 We propose to eliminate the requirement that registered funds report the information by type of derivative instrument. As a result, registered funds would not need to separately report return information for each instrument type (e.g., equity options and equity swaps), and instead would report information only by asset class (e.g., equity contracts). Removing the need to separately report gain (loss) and appreciation (depreciation) information for each type of derivative instrument within a given asset category would reduce reporting burdens without significantly affecting the utility of the reported information, as the Commission and the public would continue to have derivatives-related information elsewhere on the form, such as the types and amounts of derivatives instruments the registered fund holds, to understand the impact of derivatives on fund returns. 54 See Reporting Modernization Adopting Release, supra note 20, at section II.A.2.e. 45 Finally, because we are proposing to require that Form N-PORT reports be made public only for the third month in a fund’s fiscal quarter, rather than monthly, we likewise are proposing to require registered funds to report return information for each of the preceding three months in each report to avoid unintended effects on investor’s access to monthly return information, similar to how registered funds reported prior to the 2024 amendments. Prior to the 2024 amendments, registered funds were required to report return information for each of the preceding three months in each report to provide investors access to monthly data for a given quarter since investors only had access to Form N-PORT reports for the third month of each quarter. In connection with requiring publication of monthly Form N-PORT reports in the 2024 amendments, the Commission modified the form to require return information in each report only for the month that the Form N-PORT report covers because the amendments provided investors access to each monthly report. Our proposed approach would continue to provide investors with “batched” access to monthly return data for a given quarter, consistent with the Commission’s historical approach of requiring that investors have access to monthly return information on Form N-PORT regardless of the publication frequency. For the same reason, we are also proposing to require registered funds to report flow information for each of the preceding three months in a single Form N-PORT report. 55 Eliminating Reporting Items In addition to proposing to streamline the reporting of some information, we propose to remove certain required information from the form. Specifically, we are proposing to remove requirements to report information related to the registered fund’s compliance with the names rule, the payoff profiles of non-derivatives, certain information about convertible debt securities, 55 See Item B.6 of current Form N-PORT; Item B.6 of proposed Form N-PORT. 46 and explanations of why a single investment has multiple liquidity classifications. Removing these requirements would not have a significant effect on the Commission’s uses of the data and are not expected to significantly affect the public’s ability to assess relevant information about the fund. The names rule amendments, among other things, broadened the scope of the requirement for certain funds to adopt a policy to invest at least 80% of the value of their assets in accordance with the investment focus that the fund’s name suggests (an “80% investment policy) and added reporting requirements on Form N-PORT related to a registered fund’s compliance with that rule. 56 For a registered fund that is required to adopt an 80% investment policy under the names rule, the names rule amendments require the fund to report quarterly on Form N-PORT: (1) definitions of terms used in the fund’s name; (2) the value of the fund’s 80% basket, as a percentage of the value of the fund’s assets; and (3) whether each investment in the fund’s portfolio is in the fund’s 80% basket. 57 We are proposing to eliminate these names rule-related reporting requirements on Form N-PORT. 58 The purpose of the names rule-related reporting requirements is to provide market-wide insight with respect to those registered funds that are subject to the 80% investment policy requirement for the Commission, its staff, and market participants. When these requirements were adopted, the Commission stated that, by providing context through the definitions used in the fund’s name, combined with the value of the fund’s investments in the 80% basket and whether each investment in the fund’s portfolio is in the fund’s 80% basket, investors and the 56 See rule 35d-1 under the Act; see also Names Rule Adopting Release, supra note 10, at section II.E (discussing Form N-PORT names rule-related reporting requirements). 57 See Items B.11 and C.2.e of current Form N-PORT. 58 In addition, we propose to make conforming changes to General Instruction A of Form N-PORT to remove references to these Items. 47 Commission could use this information to better understand how funds have invested in compliance with their 80% investment policies. 59 Beyond the Form N-PORT requirements, there are other sources of information to help investors, the Commission, and its staff understand how a registered fund invests in accordance with the names rule, including fund prospectuses and portfolio information. For example, the names rule amendments also require a fund to define the terms used in its name, including the criteria the fund uses to select the investments that the term describes, in its prospectus. In addition, the amendments require a fund to retain records that are available to the Commission and its staff, documenting whether an investment is included in its 80% basket and, if so, the basis for including that investment in the 80% basket. 60 The Commission considered the costs of reporting requirements in the Names Rule Adopting Release. Since then, some funds have begun to work toward implementation of these requirements and, in conversations with staff, have raised concerns that the reporting requirements are more burdensome than anticipated and may have unintended effects. There are operational burdens associated with this reporting, such as building connections between different internal and external data systems (including, for example, vendor systems or systems of subadvisers) and translating that data from various systems for filing, as well as preparing, reviewing, tagging, and filing the information on Form N-PORT. Further, while the names rule amendments preserved flexibility for the specific criteria a fund uses to select the investments that the term in its name describes, and did not require funds to disclose in their prospectuses proprietary criteria used to select investments, reporting on Form N-PORT whether an investment is in a registered fund’s 80% basket may provide insight into otherwise proprietary 59 See Names Rule Adopting Release, supra note 10, at sections II.E.1 and II.E.2. 60 See id. at section II.F. 48 investment criteria because it will provide specific information about what is included in the 80% basket. 61 This more specific information may allow other market participants to free ride or front run the registered fund’s strategy and may harm fund performance. These considerations lead us to propose to eliminate the names rule-related reporting on Form N-PORT to avoid potential unintended effects and reduce costs while still providing ways for the Commission and the public to understand how a fund invests in accordance with the names rule. Although the names-related reporting on Form N-PORT would facilitate the Commission’s analysis of a registered fund’s compliance with the names rule, the Commission can continue to assess compliance with the names rule through analysis of a fund’s disclosures about the terms used in its name, including the criteria the fund uses to select the investments that the term describes, combined with portfolio holdings. The Commission also can assess compliance with the rule through examinations when appropriate, including by analyzing required records documenting whether an investment is included in a fund’s 80% basket and, if so, the basis for including that investment in the 80% basket. Although the names rule-related reporting on Form N-PORT would provide more specific insight to the public into how funds have invested in compliance with their 80% investment policies, the public would continue to have access to enhanced disclosures in a fund’s prospectus regarding its 80% investment policy, which would provide the public with additional context on the fund’s investments and risks in plain English. Finally, the public would continue to have access to information about a fund’s 61 See Names Rule Adopting Release, supra note 10, at n.92 and accompanying text (stating that the amended rule provides fund managers with flexibility to ascribe reasonable definitions for the terms used in a fund's name and to determine the specific criteria the fund uses to select the investments that the term describes, which means a fund would not be required to include proprietary information in its 80% investment policy in its prospectus). 49 portfolio holdings in annual and semi-annual reports, in public Form N-PORT reports, and on fund websites. With respect to payoff profiles for non-derivatives, the form currently requires registered funds to report whether each position is long or short. 62 The purpose of the payoff profile reporting is to identify short positions held by registered funds, consistent with the current requirement in Regulation S-X to disclose investments sold short. 63 Under the proposed amendment, registered funds would not need to classify non-derivative positions as long or short for the purposes of reporting on Form N-PORT. We are proposing to remove this reporting because the Commission and the public can use the sign of the value of the holding (positive/negative) as a proxy for whether holdings are long or short. 64 As a result, removing the payoff profile item for non-derivatives would have a limited effect on the utility of Form NPORT reports. For convertible debt securities, registered funds are required to provide information on the conversion ratio as well as the delta (if applicable), among other information. 65 The purpose of this reporting is to help understand the risk and reward profiles of convertible debt securities. We propose to simplify reporting of convertible debt securities by no longer requiring registered funds to provide the conversion ratio or delta. We have not found this information as helpful as 62 See Item C.3 of current Form N-PORT. Form N-PORT also allows registered funds to report N/A in this field, generally for derivatives because the payoff profiles for derivatives are reported in a separate portion of the form. 63 See Reporting Modernization Adopting Release, supra note 20, at paragraph accompanying n.267; 17 CFR 210.12-12A. 64 Registered funds report the value of each investment under Item C.2 of Form N-PORT. Funds generally report positive values for long positions and negative values for short positions. For example, for Dec. 2024 filings, only 0.0040% of non-derivative long positions were reported with a negative value and 0.0012% of short positions were reported with a positive value. 65 See Item C.9 of current Form N-PORT. 50 originally contemplated, and we are able to use information about the underlying reference instrument for most of our monitoring and analytical purposes. Moreover, funds may use different methodologies for calculating delta for convertible bonds, which adds to variability in the reported information and reduces its utility. 66 When reporting liquidity classifications for each portfolio holding, an open-end fund is permitted to attribute multiple classifications to a single holding under specified circumstances. 67 Currently, if an open-end fund reports multiple liquidity classifications for a single holding, it is required to indicate in its Form N-PORT report which of the three listed circumstances led to the use of multiple classifications. We propose to eliminate the requirement that funds indicate a reason for reporting multiple liquidity classifications for a single holding. The purpose of this requirement was to facilitate more effective Commission monitoring of the liquidity of a fund’s portfolio and the ability to determine the circumstances leading to the classification. 68 Based on our experience with this reporting, it is quite rare for open-end funds to report multiple liquidity classifications for a single holding. When funds have reported multiple liquidity classifications for a single holding, we have not found the reported reasons to be significantly helpful because the circumstances in which open-end funds are permitted to use multiple liquidity classifications 66 Delta information reported on Form N-PORT is nonpublic. As a result, removing the delta for convertible debt securities would not affect the public’s use of Form N-PORT information. While the conversion ratio is made public, we are not aware of public uses of Form N-PORT information that would be significantly affected by the removal of the conversion ratio. 67 See Instruction to Item C.7 of current Form N-PORT. Specifically, an open-end fund may choose to report multiple liquidity classifications for a single holding only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on sizes it would reasonably anticipate trading). 68 See Investment Company Liquidity Disclosure, Investment Company Act Release No. 33142 (June 28, 2018) [83 FR 31859 (July 10, 2018)], at section II.B.1. 51 for a single holding are limited and specifically outlined in the form. 69 As a result, we are proposing to remove this requirement. Under the proposal, open-end funds would, however, continue to be permitted to report multiple liquidity classifications (if any) under the circumstances identified in the form. Information on ETF Share Classes and Additional Identifier Information for all Registered Funds For multiple-class funds that offer an ETF share class, we are proposing to require disclosures about the ETF share class’s net assets and flows on Form N-PORT. 70 Starting in the early 2000s, the Commission granted one fund sponsor exemptive relief to offer an ETF share class as one class of an open-end, multi-class fund, subject to various terms and conditions. 71 In the past few years, the Commission has received many exemptive applications from fund sponsors seeking a similar ability to offer ETF share classes. The Commission has begun granting exemptive relief in response to these applications. 72 As a result, it is likely that ETF share classes will grow in number and net assets, and information about ETF share classes’ expanding size and flows will become more important. The proposed disclosures would facilitate 69 Liquidity classification information reported on Form N-PORT is nonpublic. As a result, removing this item would not affect the public’s use of Form N-PORT information. 70 Form N-PORT currently requires information on net assets and flows for the registered fund as a whole and not on a class-by-class basis. See Items B.1 and B.6 of current Form N-PORT. 71 See Vanguard Index Funds, et al., File No. 812-12094, Investment Company Act Rel. Nos. 24680 (Oct. 6, 2000) (notice) and 24789 (Dec. 12, 2000) (order); Vanguard Index Funds, et al., File No. 812-12912, Investment Company Act Rel. Nos. 26282 (Dec. 2, 2003) (notice) and 26317 (Dec. 29, 2003) (order); Vanguard International Equity Index Funds, et al., File No. 812-12860, Investment Company Act Rel. Nos. 26246 (Nov. 3, 2003) (notice) and 26281 (Dec. 1, 2003) (order); and Vanguard Bond Index Funds, et. al., File No. 812-13336, Investment Company Act Release Nos. 27750 (Mar. 9, 2007) (notice) and 27773 (Apr. 2, 2007) (order). 72 See DFA Investment Dimensions Group Inc., Dimensional Investment Group Inc., Dimensional ETF Trust and Dimensional Fund Advisors LP, File No. 812-15484, Investment Company Act Release Nos. 35770 (Sept. 29, 2025) (notice) and 35786 (Nov. 17, 2025) (order). 52 the Commission’s and the public’s understanding of the growth of the industry and inform any future Commission action. We are proposing amendments to Form N-PORT to require registered funds with an ETF share class to report the following: • Size. The amendments would require separate reporting of net asset information for the ETF share class. 73 • Flows. The amendments would require separate reporting of information about the total net asset value of shares sold and total net asset value of shares redeemed or repurchased for the ETF share class. 74 These disclosure requirements are designed to provide investors and the Commission information about the ETF share class structure by measuring their net assets and flows, separately from the fund as a whole. This information is important because an ETF share class is structured and may behave differently than the other share classes in a multiple-class fund. Separate information for an ETF share class also would facilitate staff analysis of industry trends and risks given these structural differences. As an example, ETFs may present different liquidity risks than mutual funds, as shares of an ETF can be traded on an exchange throughout the day and, when authorized participants transact with the fund, an ETF is more likely to redeem in kind (that is, by delivering certain assets from the ETF’s portfolio, rather than in cash), thereby avoiding the need for the ETF to sell assets to meet redemptions. Additional Identifying Information 73 See Item B.1.d of proposed Form N-PORT. To identify the ETF share class, funds would be required to report the ticker symbol of the ETF share class. 74 See Item B.6.d of proposed Form N-PORT. 53 While registered funds are currently required to report certain identifying information on Form N-PORT, we are proposing to require funds to provide ticker symbols by registrant, and for each class of a registrant or series, as applicable, as well as certain other class-level information, if any, to help staff and data users use data more efficiently. 75 We recognize that when the Commission adopted Form N-PORT, the Commission determined that requiring a registered fund to report ticker symbols on Form N-PORT would not be necessary because other reported information (e.g., for the registrant, information such as the name, CIK, and LEI; and for the series, information such as the name, EDGAR identifier, and LEI) was sufficient for Commission staff, as the primary user of Form N-PORT, to identify funds filing reports on Form N-PORT, and could also be useful for investors and other potential users. 76 However, since then, with experience, the staff has found that ticker symbols would enhance the efficiency of data analysis. For example, staff has observed that matching a registered fund, series, and/or class using only its name in multiple data sources (e.g., Form N-PORT reports, other reports such as Form N-CEN, and third-party vendor information) can be difficult because of very slight differences in the reported name of the fund, series, and/or class. Further, staff has observed that ticker symbols are more widely used than LEIs across multiple data sources, and that while LEIs are not assigned on the basis of share classes, there are distinct ticker symbols identifying each fund share class. Requiring a registered fund to report a ticker symbol associated with the registrant, or for each class of the registrant or series, as relevant, would facilitate the ability of the data user to conduct comprehensive data analyses across multiple data sources more efficiently, and would 75 See Item A.3 of proposed Form N-PORT. 76 See Reporting Modernization Adopting Release, supra note 20, at paragraph accompanying n.69. 54 complement other identifying information that registered funds currently report across other reporting forms. 77 We request comment on the proposed amendments to Form N-PORT, including the following: 24. Should we, as proposed, relating to portfolio level risk metrics, increase the threshold for determining which registered funds must report risk metrics from 25% or more of the fund’s net asset value to 50% or more of the fund’s net asset value? Should the threshold be lower (e.g., 30% or 40%) or higher (e.g., 60% or 70%)? In addition to, or separate from, the numerical threshold, should we change the period over which the threshold is measured? For instance, instead of measuring the average value of the fund’s debt positions for the previous 3 months, should the period be shorter or longer, such as 1-, 6-, or 12-months? Are there other threshold alternatives that would be more effective or appropriate? 25. Should we, as proposed, remove the requirement to report the DV01 interest rate risk metric? Do investors or other members of the public use this information? If so, how? Do the benefits of this information to investors or other members of the public justify the costs of reporting it? 26. Should we, as proposed, simplify the reporting of the DV100 interest rate risk metric by requiring registered funds to report an aggregate figure across all currencies for which the fund had a value of 1% or more of its net asset value, 77 Registered funds currently are required to provide their ticker symbols in other filings with the Commission. See, e.g., Item 1 of Form N-1A and Item C.2 of Form N-CEN. By requiring current ticker symbol information on Form N-PORT, the proposed amendments would address situations where a registered fund, for example, may have changed its ticker symbol information between the fund’s annual filings on Form N-CEN and, thus, the ticker information in the fund’s most recent Form N-CEN filing is inaccurate. 55 rather than separately by currency? What effect, if any, would this change have on the use of Form N-PORT information by investors or other members of the public? In addition to, or separate from these proposed changes, should we eliminate the need to report DV100 separately for different maturity buckets (3 months, 1 year, 5 years, 10 years, and 30 years) and instead require a single aggregated DV100 measure? 27. Should we, as proposed, simplify the reporting of the credit spread risk metrics by no longer requiring registered funds to provide separate measures for investment grade and non-investment grade exposures? What effect, if any, would this change have on the use of Form N-PORT information by investors or other members of the public? In addition to, or separate from these proposed changes, should we eliminate the requirement to report credit spread risk metrics separately for different maturity buckets (3 months, 1 year, 5 years, 10 years, and 30 years) and instead require a single aggregated credit spread risk measure? 28. What is the burden associated with the proposed changes to portfolio level risk metrics? How would the reporting burden compare between the current and proposed requirements? 29. Should we, as proposed, require multiple class funds to report returns only for a single representative class? Is the proposed method of selecting a representative class effective? Should we instead define a representative class as the class with the greatest net assets as of the end of the reporting period or give a registered fund full discretion to choose a representative class based on considerations such as age or size of the class (e.g., by selecting the oldest class or the class with the 56 greatest net assets), without considering which class has the longest period of returns as Form N-1A requires under certain circumstances? How often would the representative class change under our proposed approach or potential alternatives? Are there other criteria a fund should be permitted or required to use to select its representative class? Would the proposed approach of requiring reporting of only a single representative class affect how investors or other users of Form N-PORT use the reported information? If so, could investors or other users instead use return information in fund prospectuses or shareholder reports for individual classes? 30. Should we, as proposed, continue to require registered funds to report monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for the listed asset categories (commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts)? Should we make any changes to the listed asset categories? Should we require the aggregate net realized gain (loss) and net change in unrealized appreciation (depreciation) for all derivatives positions, instead of requiring separate figures for each asset category? 31. As proposed, should we remove the requirement to report monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) by derivative type (forward, future, option, swaption, swap, warrant, and other) within each asset category of derivatives? Would removal of this information reduce reporting burdens for registered funds? Would removal of this information affect investors or other users of Form N-PORT information and, if so, how? 57 32. Currently, Form N-PORT requires funds to report the notional value for most types of derivatives but, for options, requires funds to report the exercise price. 78 In addition, funds must calculate the notional value of derivatives positions for purposes of meeting other regulatory requirements. 79 When reporting options positions on Form N-PORT, should we require registered funds to provide the notional value, rather than the exercise price? Would this change streamline reporting and reduce reporting burdens (and, if so, by how much)? What effect, if any, would such a change have on the public’s use of Form N-PORT information? 33. Should we, as proposed, eliminate the names rule-related reporting? Do enhanced disclosures in fund prospectuses about a fund’s 80% investment policy, along with available information about fund portfolio holdings, provide the public with sufficient information to understand a fund’s investments and risks? To what extent would removing the names rule-related reporting reduce reporting burdens for registered funds? Instead of eliminating the names rule-related reporting, are there modifications to these requirements we should make? For example, should we require a fund to report the value of the fund’s 80% basket, as a percentage of the value of the fund’s assets, bu [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Af65c7f7d10eed265. Public record. Not legal advice.