The SEC has published technical specifications for the reporting modernization rules. The planned deployment for EDGAR is September and test filing will be available later this year. The EDGAR Filing Manual is still to come.
The SEC has also published FAQs that provide additional guidance on Form N-PORT, the Regulation S-X, and Form N-CEN, in addition to clarifying the logistics around transitioning to reporting on Forms N-PORT and N-CEN. You can find the FAQs here:
Here are a few highlights from the FAQs on Form N-PORT:
Q1. Funds may distinguish the basis on which they calculate portfolio holdings and risk metrics. Thus, if a fund uses T+1 accounting for portfolio holdings, it may still report portfolio and security level risk metrics on a T+0 basis.
Q2. Part F attachments, which are submitted 60 days after the reporting period, will be filed as “NPORT-EX and NPORT-EX/A, rather than as an amended filing.
Q3. Portfolio holdings schedules will continue to be presented using the form investors are accustomed to. For example, Part F may contain a portfolio schedule for other series in the trust with the same fiscal year-end.
Q6. If a class terminates during a reporting period, the fund still reports for that class, but reports “N/A” for the information that is not available.
Q7. Master portfolios should provide flow information at the master portfolio level for transactions between the master and its feeders.
Q8. For foreign forward currency contracts, files should report value in US dollars in Item C.2.c, but may report “N/A” for the other reporting requirements in Items C.2.b and c.
Q9. For Item C.4 (asset type), investments in other funds should be reported as “short-term investment vehicle” or “equity-common.” For Item C.4.b (issuer type), they should be reported as “registered fund” or “private fund.”
Q10. When reporting restricted securities on N-PORT, funds may consider SEC guidance provided for amendments to Article 12 of Regulation S-X regarding identification of restricted securities in financial statements.
Q11. When categorizing debt securities, funds may look to definitions in rule 2a-7 under the Investment Company Act.
Q12. When reporting collateral information for securities subject to repurchase agreements, funds should report the information separately for each category of investment, but may aggregate the principal amount and value of collateral for each category of investment regardless of whether the collateral is issued by the same issuer.
Q14. Funds may use different methods for calculating the notional amount of a derivatives investment. For example, some common methods are included in the Derivatives Proposing Release; however, funds would not delta-adjust the notional amount for options because Form N-PORT separately requires delta and Regulation S-X specifically requires notional amount without a delta adjustment.
Q15. Funds may use their own internal methodologies in categorizing “TBAs” (forward mortgage-backed securities trades) as derivatives or securities, provided the information is consistent with information reported internally and to current and prospective investors.
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