Your SEC modernization road map: The latest on Filing N-PORT and N-CEN

At this point, you are well aware of the SEC Modernization reforms, which include new regulatory demands for Form N-PORT and Form N-CEN. You’ve likely already assembled a working group – either internal or external – to assess the resource and data collection efforts that this reporting will impose on your compliance and risk reporting teams. The substantial complexity of filing these forms, as well as the sizeable operational challenges are starting to come into focus.

So unprecedented is the sheer volume of data required for Form N-PORT alone that SEC has termed its modernization rules a “game-changer” for the industry. We’ve been analyzing the SEC Division of Investment Management’s SEC Modernization FAQ, along with released specifications and other documentation related to SEC modernization. Below is a synopsis of key items relating to filing N-PORT:

Development and Testing of Schema

Schema for N-PORT & N-CEN have been released and test filing will be permitted following EDGAR release 17.3 later this year. Test filings will not be evaluated for compliance with the form requirements.

Regulatory Reporting; Dates and Scope

The compliance date for an investment company (including groups of companies) with net assets of $1bn or above (“large fund”) for filing N-PORT is June 1, 2018.  The filing deadline is 30 days from month end.  The first filing deadline for a large fund will be July 30, 2018. Private Funds should not be included in calculating the $1bn threshold for the above compliance date. The Commission staff would not object to a fund using T+1 accounting data for reporting holdings on N-PORT and T+0 for calculating security and portfolio level risk metrics provided the information complies with General Instruction G. Part F attachments of N-PORT may be filed 60 days following month end using submission types “NPORT-EX” and “NPORT-EX/A”. N-PORT data will not be made public for the first six months. The first month of data that could potentially be made public is December 31, 2018 (depending on the funds fiscal quarter).

N-PORT Clarification on Report Compilation

Funds may report month-end value using internal methodologies where no market price is available provided they explain the internal methodology in Part E of N-PORT. Flow information should be made available at the master portfolio level for transactions between portfolio and its feeder funds. Investments in shares of other funds should be reported as either asset type “Short Term Investment Vehicle” or “Equity-Common”. Investments in shares of other funds should be reported as either issuer typeRegistered Fund” or “Private Fund”. Guidance provided by the Commission in relation to Regulation S-X on Restricted Investments can be used for identifying restricted securities for N-PORT. Collateral information for securities subject to repurchase agreements should be reported separately for each category of investment.  Aggregation of principal amount and value of collateral is acceptable. The Commission staff recognize that different methods for calculating notional amount of a derivatives investment exist but may include methods listed in Table 1. of the Derivatives Proposing Release. However, Funds using this method would not delta-adjust the notional amount as detailed in Table 1 for filing N-PORT. The inclusion of “To Be Announced” or “TBAs” (forward mortgage-backed securities trades) as Derivatives or Securities in N-PORT reporting is acceptable provided the disclosure is consistent with the Funds internal methodology and consistent with the information they report to their current and prospective investors. Whether you have just begun planning your N-PORT and N-CEN roadmaps or are well into vetting custodians, fund administrators and/or other intermediaries, speak to us about how we are working with clients to seamlessly and painlessly transition to the next generation of Regulatory Reporting from the SEC, including filing N-PORT and N-CEN.

Click here to learn more or call us at 212-991-4500 in North America; +44 207 856 2424 in Europe; +852 8203 2790 in Asia.

Nicola Le Brocq

Nicola is the London-based Director of Reporting Solutions at Axioma. A Chartered Fellow of the Chartered Securities & Investment Institute and an ex-regulator with 18 years of financial services regulatory experience with an in-depth understanding of US and European regulatory framework. Nicola has provided regulatory consultancy services to the asset servicing / asset management industry and acts as a subject matter ...

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