Proposed Rule2026-03460
Form N-PORT Reporting
Primary source
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Published
February 23, 2026
Issuing agencies
Securities and Exchange Commission
Abstract
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 sub-items, 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.
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<title>Federal Register, Volume 91 Issue 35 (Monday, February 23, 2026)</title>
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[Federal Register Volume 91, Number 35 (Monday, February 23, 2026)]
[Proposed Rules]
[Pages 8582-8614]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-03460]
[[Page 8581]]
Vol. 91
Monday,
No. 35
February 23, 2026
Part II
Securities and Exchange Commission
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17 CFR Parts 270 and 274
Form N-PORT Reporting; Proposed Rule
Federal Register / Vol. 91 , No. 35 / Monday, February 23, 2026 /
Proposed Rules
[[Page 8582]]
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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.
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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 sub-items, 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.
ADDRESSES: Comments may be submitted by any of the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/comments/s7-2026-05/form-n-port-reporting">https://www.sec.gov/comments/s7-2026-05/form-n-port-reporting</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#2654534a430b45494b4b434852556655434508414950"><span class="__cf_email__" data-cfemail="ec9e998089c18f8381818982989fac9f898fc28b839a">[email protected]</span></a>. Please include
File Number S7-2026-05 on the subject line.
Paper Comments
<bullet> 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 (<a href="https://www.sec.gov/comments/s7-2026-05/form-n-port-reporting">https://www.sec.gov/comments/s7-2026-05/form-n-port-reporting</a>). 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 <a href="http://www.sec.gov">www.sec.gov</a> to receive notifications by email.
A summary of the proposal of not more than 100 words is posted on
the Commission's website (<a href="https://www.sec.gov/rules-regulations/2026/02/s7-2026-05">https://www.sec.gov/rules-regulations/2026/02/s7-2026-05</a>).
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
A. Developments After Adoption of the 2024 Amendments
B. Overview of Proposed Amendments
II. Discussion
A. Filing Timeframe
B. Publication Frequency
C. Other Proposed Amendments to Form N-PORT
D. Proposed Transition Period
III. Economic Analysis
A. Introduction
B. Baseline
1. Regulatory Baseline
2. Affected Entities
3. Economic Literature on the Disclosure of Registered Fund
Portfolio Holdings
C. Benefits and Costs of the Amendments
1. Filing Timeframe
2. Publication Frequency
3. Other Proposed Amendments to Form N-PORT
4. Monetized Benefits and Costs
5. Present Values and Annualized Values of Monetized Benefits
and Costs
D. Effects on Efficiency, Competition, and Capital Formation
1. Efficiency
2. Competition
3. Capital Formation
E. Reasonable Alternatives
1. Filing Timeframe
2. Publication of Registered Fund Holdings
IV. Paperwork Reduction Act
A. Introduction
B. Form N-PORT
C. Request for Comment
V. Initial Regulatory Flexibility Analysis
A. Reasons for and Objectives of Proposed Actions
B. Legal Basis
C. Small Entities Subject to the Amendments
D. Projected Reporting, Recordkeeping, and Other Compliance
Requirements
E. Duplicative, Overlapping, or Conflicting Federal Rules
F. Significant Alternatives
G. General Request for Comment
VI. Consideration of Impact on the Economy
VII. Other Matters
Statutory Authority
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 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
[[Page 8583]]
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.
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\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''), <a href="https://www.sec.gov/files/rules/final/2024/ic-35308.pdf">https://www.sec.gov/files/rules/final/2024/ic-35308.pdf</a>. 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.
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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 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\
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\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'').
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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 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\
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\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''),
<a href="https://www.sec.gov/files/rules/final/2025/ic-35538.pdf">https://www.sec.gov/files/rules/final/2025/ic-35538.pdf</a>.
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).
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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 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.
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\6\ Regulatory Freeze Pending Review (Jan. 20, 2025) [90 FR 8249
(Jan. 28, 2025)], available at <a href="https://www.whitehouse.gov/presidential-actions/2025/01/regulatory-freeze-pending-review/">https://www.whitehouse.gov/presidential-actions/2025/01/regulatory-freeze-pending-review/</a>
(``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 <a href="https://www.whitehouse.gov/presidential-actions/2025/01/unleashing-prosperity-through-deregulation/">https://www.whitehouse.gov/presidential-actions/2025/01/unleashing-prosperity-through-deregulation/</a>.
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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\
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\8\ See Letter from Investment Company Institute (Feb. 26, 2025)
(``ICI Letter''), available at <a href="https://www.ici.org/system/files/2025-02/25-cl-form%20nport-amendments.pdf">https://www.ici.org/system/files/2025-02/25-cl-form%20nport-amendments.pdf</a>.
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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
[[Page 8584]]
to extend the filing 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\
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\9\ 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.
Table 1--Comparison of Form N-PORT Requirements Prior to 2024 Amendments, the 2024 Amendments, and the Proposed
Amendments
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Requirements prior to
2024 amendments \1\ 2024 Amendments Proposed amendments
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Filing Timeframe................... Reports for each month Reports for each month Reports for each month
in a registered fund's must be filed no later must be filed no later
fiscal quarter must be than 30 days after the than 45 days after the
filed no later than 60 end of the relevant end of the relevant
days after the end of month. month.
the relevant fiscal
quarter.
Publication Frequency.............. Information reported for Information reported for Information reported
the third month of a each month will be made for the third month of
registered fund's public 60 days after a registered fund's
fiscal quarter will be month end. fiscal quarter will be
made public upon filing made public 60 days
(i.e., no later than 60 after fiscal quarter
days after fiscal end.
quarter end).
Recordkeeping...................... No later than 30 days N/A..................... N/A.
after the end of each
month, a registered
fund must maintain in
its records the
information that Form N-
PORT requires.
Entity Identifiers................. Certain items require Provides separate fields No change to 2024
reporting of a legal for reporting LEI or amendments.
entity identifier RSSD ID, if any.
(``LEI''), if any, of a
counterparty or 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.
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Notes:
\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 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.
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\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.
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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 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.
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\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.
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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
[[Page 8585]]
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 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 N-PORT reports. Information gathered and reassessed
during the review informed the development of the proposed amendments.
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\12\ See 2024 Adopting Release, supra note 1, at section II.A.1.
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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 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.
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\13\ See ICI Letter.
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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, 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.
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\14\ See ICI Letter (stating that the Commission should extend
the filing deadline to ``at least 45 days'' to avoid increased
errors and resubmissions).
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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.
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\15\ See 2024 Adopting Release, supra note 1, at section II.A.1.
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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 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 N-PORT information to, among
other things, monitor industry trends, identify risks, inform policy
and
[[Page 8586]]
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.
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\16\ See 2024 Adopting Release, supra note 1, at paragraph
accompanying n.57.
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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 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.
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\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.
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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 confidential and proprietary
registered fund information could be misappropriated as a result of
unauthorized access.
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\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.
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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 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
[[Page 8587]]
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 N-PORT 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.
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\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 45-day 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.
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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 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 N-PORT 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
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
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?
[[Page 8588]]
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 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?
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\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).
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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\
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\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).
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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.
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\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 270.6c-
11(c)(1)(i) and (c)(2).
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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).
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\27\ Commenters and other parties have at times referred to
these activities as ``predatory trading.''
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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, 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\
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\28\ See infra sections III.D.1 and III.D.3.
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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
[[Page 8589]]
fund's proprietary investment strategy or trading inventions are
inferred by external parties.
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\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).
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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
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.
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\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).
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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 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\
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\31\ See 2024 Adopting Release, supra note 1, at n.103 and
accompanying text.
\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).
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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 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\
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\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.
\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.
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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 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?
[[Page 8590]]
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 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?
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 non-diversified 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 quarter-end? 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?
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 user-friendly 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 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,
---------------------------------------------------------------------------
\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 N-PORT requires).
\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).
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[[Page 8591]]
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 N-PORT, should we likewise amend or remove
associated requirements from these other rules?
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\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).
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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 Proposed requirement
------------------------------------------------------------------------
Portfolio Level Risk Metrics
------------------------------------------------------------------------
Scope of registered funds The average value of The average value of
that must report. the fund's debt the fund's debt
securities securities
positions for the positions for the
previous 3 months, previous 3 months,
in the aggregate, in the aggregate,
exceeds 25% of the exceeds 50% of the
fund's net asset fund's net asset
value. value.
Interest rate risk metrics.. Report both DV01 and Report DV100 only.
DV100.
Report DV100 Report DV100
separately for each aggregated across
currency for which all currencies for
the fund had a which the fund had
value of 1% or more a value of 1% or
of the fund's net more of the fund's
value. net asset value.
Credit spread risk metrics.. Report separately Aggregate investment
for investment grade and non-
grade and non- investment grade
investment grade exposures.
exposures.
------------------------------------------------------------------------
Return Information
------------------------------------------------------------------------
Reporting by multiple class Report separately Report for a single
funds. for each class. representative
class.
Calculating returns......... Calculate in Calculate in
accordance with accordance with
methodologies methodologies
outlined in outlined in
applicable applicable
registration form. registration form,
except do not
deduct sales loads
and redemption
fees.
Reporting net realized gain Report separately by Report separately by
(loss) and net change in asset category and, asset category
unrealized appreciation within each asset only.
(depreciation) attributable category, further
to derivatives. report by type of
derivative
instrument.
Period of return information One month........... Each of the
covered in each report preceding three
(same change also made for months, in light of
flow information). the proposed
quarterly
publication
frequency.
------------------------------------------------------------------------
Items for Elimination
------------------------------------------------------------------------
Names rule information...... (1) Definitions of None.
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.
Payoff profile for non- Indicate payoff None.
derivatives. profile among the
following
categories (long,
short, N/A).
Convertible securities Report conversion None.
information. ratio and delta (if
applicable).
Multiple liquidity If attributing None.
classifications. multiple liquidity
classifications to
a single holding,
indicate which of
three possible
circumstances is
applicable.
------------------------------------------------------------------------
ETF Share Class Reporting
------------------------------------------------------------------------
Separate information None................ Report net assets
reported for ETF share and flow
classes. information
separately for the
ETF share class, as
well as the class's
ticker.
------------------------------------------------------------------------
[[Page 8592]]
Identifying Information
------------------------------------------------------------------------
Provide ticker and certain Registered funds Report ticker symbol
class-level information, as report class by registrant, and
applicable. identification for each class of a
numbers in registrant or
connection with series, as
reporting class- applicable, as well
level returns \2\. 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
changes would not significantly affect the utility of the reported
information about portfolio level risk metrics but would reduce burdens
for funds.
---------------------------------------------------------------------------
\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.
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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 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\
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\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.
---------------------------------------------------------------------------
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
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\
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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,
[[Page 8593]]
particularly in times of stress.\47\ Based on our experience, we can
use information we separately receive on Form N-PORT 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.
---------------------------------------------------------------------------
\47\ See Reporting Modernization Adopting Release, supra note
20, at text accompanying n.159.
---------------------------------------------------------------------------
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 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 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\
---------------------------------------------------------------------------
\48\ See Item B.5 of current Form N-PORT.
\49\ See Reporting Modernization Adopting Release, supra note
20, at section II.A.2.e.
---------------------------------------------------------------------------
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.)
---------------------------------------------------------------------------
\50\ See Item B.5 of proposed Form N-PORT.
---------------------------------------------------------------------------
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 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.
---------------------------------------------------------------------------
\51\ See Instruction 3(a) to Item 4(b)(2) of Form N-1A.
---------------------------------------------------------------------------
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 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
[[Page 8594]]
effects of sales loads and redemption fees in monthly return
information reported on the form.
---------------------------------------------------------------------------
\52\ See Item B.5 of proposed Form N-PORT.
\53\ See Investment Company Reporting Modernization Frequently
Asked Questions (Apr. 21, 2021) available at <a href="https://www.sec.gov/about/divisions-offices/division-investment-management/accounting-disclosure-information/investment-company-reporting-modernization-frequently-asked-questions">https://www.sec.gov/about/divisions-offices/division-investment-management/accounting-disclosure-information/investment-company-reporting-modernization-frequently-asked-questions</a>.
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\55\ See Item B.6 of current Form N-PORT; Item B.6 of proposed
Form N-PORT.
---------------------------------------------------------------------------
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, 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\
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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
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\
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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,
[[Page 8595]]
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 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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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 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 N-PORT reports.
---------------------------------------------------------------------------
\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.
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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 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\
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\65\ See Item C.9 of current Form N-PORT.
\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.
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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 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.
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\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.
\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.
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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
[[Page 8596]]
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 the Commission's and the public's understanding of the
growth of the industry and inform any future Commission action.
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\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).
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We are proposing amendments to Form N-PORT to require registered
funds with an ETF share class to report the following:
<bullet> Size. The amendments would require separate reporting of
net asset information for the ETF share class.\73\
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\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.
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<bullet> 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\
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\74\ See Item B.6.d of proposed Form N-PORT.
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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
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.
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\75\ See Item A.3 of proposed Form N-PORT.
\76\ See Reporting Modernization Adopting Release, supra note
20, at paragraph accompanying n.69.
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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 complement other
identifying information that registered funds currently report across
other reporting forms.\77\
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\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.
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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, 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,
[[Page 8597]]
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 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?
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?
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\78\ See Item C.11.c.v of current Form N-PORT.
\79\ 17 CFR 270.18f-4 (defining derivatives exposure as the sum
of the gross notional amount of the fund's derivatives
transactions); Item B.3 of Form N-PORT (requiring funds to use the
notional value of certain derivatives for which the underlying
reference asset or assets are debt securities or an interest rate
when determining if the fund is required to report portfolio level
risk metrics due to the value of its exposure to debt instruments).
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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,
but remove other names rule-related reporting requirements?
34. Should we, as proposed, eliminate reporting of the payoff
profiles of non-derivatives? Should we, as proposed, eliminate
reporting of the conversion ratio and delta of convertible debt
securities? Would removal of the conversion ratio of convertible debt
securities affect investors or other uses of Form N-PORT information
and, if so, how? Should we, as proposed, eliminate reporting of the
reason an open-end fund has reported multiple liquidity classifications
for a single investment? What are the burdens of reporting each of the
items that we propose to eliminate, and how much burden would be
eliminated by the proposed changes? Are there items that we are
proposing to eliminate that we should retain and/or modify? If so, what
are they, why should we retain or modify them, and what should any
modifications be?
35. What is the impact to the public if there is less Form N-PORT
data available because of these proposed amendments to the form? Please
provide examples.
36. Should we, as proposed, require registered funds with ETF share
classes to disclose net assets and flows for these share classes
separately from information for the full fund? Should we amend Form N-
PORT to require more or less information about ETF share classes? If
there is other information that would be helpful to the public, provide
specific examples of how that information would be useful.
37. Should we, as proposed, require registered funds to provide
ticker information by registrant or for each class of a registrant or
series, as applicable? Should we, as proposed, require registered funds
to report for any classes of the registrant or series the class name
and EDGAR class identification number as identifying information in
Part A? How would the reporting burden compare between the current and
proposed requirements?
38. Should the Commission eliminate reporting on Form N-PORT
related to the liquidity of a fund's investments and, if so, why? \80\
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\80\ See Items B.7 (requiring information related to a fund's
highly liquid investment minimum, if applicable), B.8 (requiring
information about the percentage of a fund's highly liquid
investments that it has pledged as margin or collateral in
connection with derivatives transactions classified in non-highly
liquid categories), and C.7 (requiring the liquidity classification
of each portfolio investment) of Form N-PORT.
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39. Are there other Form N-PORT items that we should modify or
eliminate? Why are the benefits of the reported information to the
Commission and the public not justified by the costs of reporting the
information?
D. Proposed Transition Period
We propose to provide a tiered transition period for registered
funds to comply with the proposed amendments, if adopted, based on fund
size. We propose to provide a 12-month transition period for larger
entities and an 18-month transition period for smaller entities. For
these purposes, larger entities would be registered funds that,
together with other investment
[[Page 8598]]
companies in the same ``family of investment companies'' (as such term
is defined in Item B.5 of Form N-CEN), have net assets of $10 billion
or more as of the end of the most recent fiscal year. Smaller entities
would be registered funds that, together with other investment
companies in the same family of investment companies, have net assets
of less than $10 billion as of the end of the most recent fiscal
year.\81\ The tiered transition period would provide time for
registered funds to adjust their internal processes and arrangements
with service providers to begin to file Form N-PORT reports on a
monthly basis within 45 days of month end and to modify the information
that is reported. Registered funds would not need to make adjustments
related to publication frequency because the proposed amendments align
with historic requirements, and the 2024 amendments have not yet gone
into effect.
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\81\ For the last several years, the Commission generally has
used a threshold of $1 billion in net assets for differentiating
between larger and smaller registered investment companies when
providing smaller entities with additional time to comply with new
requirements. We instead are proposing to use a $10 billion
threshold for the transition period, based on an analysis of the
distribution of assets across funds at different net asset
thresholds. This $10 billion threshold is designed to be a
reasonable means of distinguishing larger and smaller entities for
purposes of tiered compliance dates for Form N-PORT reporting
requirements. We estimate that, as of Dec. 2024, 22.9% of registered
investment companies would be considered to be smaller entities.
These smaller entities hold approximately 2.13% of aggregate assets
of registered investment companies. These estimates are based on
data reported on Form N-CEN through Jan. 21, 2025. The Commission
also recently proposed similar amendments to how it defines ``small
entity'' under the Regulatory Flexibility Act for investment
companies. See Amendments to the ``Small Business'' and ``Small
Organization'' Definitions for Investment Companies and Investment
Advisers for Purposes of the Regulatory Flexibility Act, Investment
Company Act Release No. 35864 (Jan. 7, 2026) [91 FR 1107 (Jan. 12,
2026)] (``Small Entity Proposing Release'').
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At the end of the relevant transition period, registered funds
would be required to shift from a quarterly filing approach to a
monthly filing approach and file reports that conform to the amended
information requirements.\82\ We propose to require registered funds to
make their first monthly filing for the first month of the fiscal
quarter that begins after the compliance date. Because fiscal quarter
ends differ among funds, this approach would result in funds being
required to file their first monthly reports at different times within
a three-month range, depending on the date of a fund's fiscal quarter
end. Basing the approach on fiscal quarter end is meant to ease the
transition from quarterly to monthly filing, as this approach would
avoid requiring some registered funds to begin to file monthly Form N-
PORT reports in the middle of a fiscal quarter. As an illustrative
example, if the compliance date were in May of a given year, the
transition period would operate as shown in Table 3.
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\82\ Once a registered fund shifts from quarterly filing to
monthly filing, the fund would also no longer be required to
maintain records of Form N-PORT information no later than 30 days
after the end of each month under rule 30b1-9. If the proposal is
adopted, we anticipate that registered funds would be required to
maintain records under that rule until they begin to file reports on
a monthly basis, consistent with the approach taken in the 2024
amendments. See 2024 Adopting Release, supra note 1, at n.170 and
accompanying text.
Table 3--Illustrative Example of Proposed Transition From Quarterly to
Monthly Filings With a Hypothetical Compliance Period End in May
------------------------------------------------------------------------
First monthly
Fund's fiscal quarter end Last quarterly filing filing
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May...................... Filing covering the Filing for June
months of March, April, would be due
and May would be due within 45 days of
within 60 days of the the end of June.
end of May.
June..................... Filing covering the Filing for July
months of April, May, would be due 45
and June would be due days after the end
within 60 days of the of July.
end of June.
July..................... Filing covering the Filing for August
months of May, June, would be due
and July would be due within 45 days of
within 60 days of the the end of August.
end of July.
------------------------------------------------------------------------
In addition, we propose to amend the effective and compliance dates
of the Form N-PORT amendments in the 2024 Adopting Release that would
not be superseded by this rulemaking to align with the effective and
compliance dates for the proposed amendments in this release, if
adopted. This would include the amendments to entity identifiers to
separate the concepts of LEI and RSSD ID, as well as technical
amendment to the definition of ETF in Form N-PORT to include a direct
reference to 17 CFR 270.6c-11, the Commission's exemptive rule for
ETFs.
We request comment on the proposed transition period:
40. Would the proposed transition period provide registered funds
enough time to comply with the proposed amendments? Should the period
be shorter or longer?
41. Should the transition period differ by fund size, as proposed,
or should the transition period be the same for all registered funds?
Is there a different approach we should use for determining fund size
for purposes of the transition period?
42. As proposed, should we change the compliance date for the
amendments from the 2024 Adopting Release that are not being superseded
(e.g., the amendments to separate the concepts of LEI and RSSD ID) to
align with the compliance date for the proposed amendments? If the
transition period for the 2024 amendments that are not being superseded
should differ, in what way should it differ?
43. Is the proposed approach for transitioning from quarterly
filing to monthly filing workable? Would a different approach be more
effective? For example, should we instead require registered funds to
make their first monthly filing for the first month preceding the end
of the compliance period, meaning registered funds would begin to file
monthly reports at the same time, regardless of their fiscal year ends?
Under this approach, if that month is not the beginning of a fund's
fiscal quarter, should we require the fund to file information for
prior months in that fiscal quarter at the same time the first monthly
report is due?
III. Economic Analysis
A. Introduction
Reports on Form N-PORT are an important source of information for
the Commission and its staff. This information helps the Commission
monitor industry trends, identify risks, inform policy and rulemaking,
and assists the staff in examination and enforcement efforts, which
ultimately benefits investors. In addition, investors and other market
participants also benefit from the publicly available
[[Page 8599]]
information that registered funds report on Form N-PORT because it aids
them in making more informed investment decisions. Currently, the
Commission receives reports on Form N-PORT on a quarterly basis, no
later than 60 days after the end of a registered fund's fiscal quarter,
with each quarterly report containing month-end information for each
month in the quarter, while investors have access to Form N-PORT
portfolio data for only the third month of a fund's fiscal quarter.\83\
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\83\ Monthly portfolio holdings of certain open-end and closed-
end funds may also be available on funds' websites, as well as for a
fee through third-party data aggregators. Voluntary disclosures of
monthly portfolio holdings that are currently publicly available may
be inconsistent across registered funds and over time and may vary
in format, presentation, or ease of access.
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In 2024, the Commission adopted amendments to Form N-PORT that were
intended to give the Commission timelier information to conduct
comprehensive oversight of the registered fund industry, as well as to
give investors information to make more informed investment
decisions.\84\ Specifically, the 2024 amendments require registered
funds to file monthly reports within 30 days of month end, replacing
the prior approach requiring these funds to file reports for each month
in a fund's fiscal quarter no later than 60 days after the end of each
fiscal quarter. In addition, the 2024 amendments make monthly report
information publicly available 60 days after month end, which replaces
the prior approach of making information for only the third month of
the fiscal quarter public. The 2024 amendments have yet to be
implemented.
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\84\ See supra note 1.
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Following adoption of the Form N-PORT amendments, several
developments caused the Commission to delay the effective and
compliance dates of the 2024 amendments and review their potential
effects.\85\ As a result of this review, we are proposing to extend the
filing deadline to 45 days after month end to reduce the costs to
registered funds of filing Form N-PORT while continuing to provide the
Commission with timely data. We are also proposing to publish reports
for only the third month of a registered fund's fiscal quarter 60 days
after month end to reduce the risks to funds and their investors of
publishing significantly more information on funds' holdings. In
addition, we are proposing to remove or streamline certain items and
sub-items of the form and to modernize the form to better account for
fund structures with ETF share classes.
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\85\ See supra section I.A.
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The Commission has considered the economic effects of the proposed
amendments.\86\ Where possible, we have attempted to quantify the
economic effects. In some cases, however, we are unable to quantify the
economic effects because we lack the information necessary to provide a
reasonable and reliable numerical estimate. For example, relative to
the 2024 amendments, the proposed amendments would reduce the amount of
information investors have to compare registered funds by reverting the
frequency of Form N-PORT publication to prior standards. For the same
reasons we were unable to quantify some of the economic effects
associated with the increase in publication frequency associated with
the 2024 amendments, we are unable to quantify these effects as we
revert to prior standards in this proposal.\87\ As described more fully
below, the Commission is providing both a qualitative assessment and
quantified estimate of the economic effects, where feasible.
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\86\ Section 2(c) of the Act and section 3(f) of the Exchange
Act direct the Commission, when engaging in rulemaking where it is
required to consider or determine whether an action is necessary or
appropriate in, or consistent with, the public interest, to
consider, in addition to the protection of investors, whether the
action will promote efficiency, competition, and capital formation.
In addition, section 23(a)(2) of the Exchange Act requires the
Commission, when making rules under the Exchange Act, to consider
among other matters the impact that the rules would have on
competition and prohibits the Commission from adopting any rule that
would impose a burden on competition not necessary or appropriate in
furtherance of the purposes of the Exchange Act. The analysis below
addresses the likely economic effects of the amendments, including
the anticipated benefits and costs of the amendments and their
likely effects on efficiency, competition, and capital formation.
The Commission also discusses the potential economic effects of
certain alternatives to the approaches taken in this release.
\87\ See 2024 Adopting Release, supra note 1, at paragraph
accompanying n.180.
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We request comment on all aspects of the economic analysis of the
proposed amendments. To the extent possible, we request that commenters
provide supporting data and analysis on the benefits, costs, and
effects on competition, efficiency, and capital formation of the
proposed amendments or any reasonable alternatives.
B. Baseline
The baseline against which the costs, benefits, and the effects on
efficiency, competition, and capital formation of the proposed rules
are measured consists of the current state of the securities markets
and the current regulatory framework with respect to registered
management investment companies and ETFs organized as unit investment
trusts (``registered funds'').\88\
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\88\ See, e.g., Nasdaq v. SEC, 34 F.4th 1105, 1111-15 (D.C. Cir.
2022). This approach also follows SEC staff guidance on economic
analysis for rulemaking. See SEC Staff, Current Guidance on Economic
Analysis in SEC Rulemaking (Mar. 16, 2012), available at <a href="https://www.sec.gov/divisions/riskfin/rsfi_guidance_econ_analy_secrulemaking.pdf">https://www.sec.gov/divisions/riskfin/rsfi_guidance_econ_analy_secrulemaking.pdf</a> (``The economic
consequences of proposed rules (potential costs and benefits
including effects on efficiency, competition, and capital formation)
should be measured against a baseline, which is the best assessment
of how the world would look in the absence of the proposed
action.''); id. at 7 (``The baseline includes both the economic
attributes of the relevant market and the existing regulatory
structure.'').
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1. Regulatory Baseline
Registered funds are required to file periodic reports on Form N-
PORT about their portfolios and each of their portfolio holdings as of
month end. In addition to providing a registered fund's portfolio
holdings, Form N-PORT reports also provide information to help assess a
fund's risk and return characteristics, such as portfolio level risk
metrics, liquidity related information, and monthly fund returns for
each fund share class.\89\ Additional amendments to Form N-PORT were
also adopted in 2023 that would require certain registered funds to
report information related to their compliance with the names rule
after that rule's compliance date.\90\
---------------------------------------------------------------------------
\89\ While the proposed amendments to Form N-PORT would require
sales loads and redemption fees to be deducted from monthly fund
return calculations, some registered funds currently exclude these
fees from their monthly fund returns on Form N-PORT. This approach
is consistent with many funds' current practices and consistent with
prior staff guidance. See supra section II.C.
\90\ See Names Rule Adopting Release, supra note 10.
---------------------------------------------------------------------------
Until the 2024 amendments go into effect, registered funds will
continue to file these reports on a quarterly basis, with each report
due 60 days after the end of a fund's fiscal quarter. While each report
includes month-end portfolio information for each month in the relevant
fiscal quarter, only information about portfolio holdings for the third
month of each fiscal quarter is made available to the public upon
filing; information for the first and second month of each fiscal
quarter remains confidential. Registered funds are also currently
required to maintain the data Form N-PORT requires within 30 days of a
month end for recordkeeping purposes until the 2024 amendments go into
effect.\91\
---------------------------------------------------------------------------
\91\ See rule 30b1-9.
---------------------------------------------------------------------------
The 2024 amendments require registered funds to file monthly
reports within 30 days of month end and the
[[Page 8600]]
Commission would publish those reports 60 days after month end. The
subsequent delay of the effective and compliance dates for the 2024
amendments means that larger entities must comply with these new
requirements as of November 17, 2027, and that smaller entities must
comply by May 18, 2028.
Currently, a registered fund may report certain portfolio holdings
as miscellaneous securities, meaning that information about these
holdings can remain nonpublic for up to a year, provided that the
combined value of the positions reported as miscellaneous securities
does not exceed 5% of the total value of a fund's investments and that
these positions have not been previously disclosed to the public.
Part F of Form N-PORT also currently requires a registered fund to
attach a complete schedule of portfolio holdings for the end of the
first and third quarters of the fund's fiscal year, presented in
accordance with Regulation S-X, within 60 days after the end of the
reporting period. Further, ETFs, including actively managed ETFs,
generally are required to provide full portfolio holdings on their
websites every business day.\92\ A small number of ``non-transparent''
ETFs have received exemptive orders from the Commission permitting them
not to disclose their portfolio holdings on a daily basis. Monthly
portfolio holdings of certain registered funds may also be available on
their websites, as well as through third-party data aggregators
(typically for a fee), generally on a lagged basis (e.g., 15, 30, 45,
or more days after a month end). However, this more frequent
publication and/or aggregation by third parties of portfolio data is
voluntary.
---------------------------------------------------------------------------
\92\ See rule 6c-11(c)(1)(i).
---------------------------------------------------------------------------
Currently, most ETFs are structured as individual funds. However,
since the early 2000s, there have been some mutual funds with ETF share
classes. In recent years, the Commission has received requests to
provide exemptive relief to allow additional mutual funds with ETF
share classes and the Commission recently began granting exemptive
relief.\93\
---------------------------------------------------------------------------
\93\ See supra note 72.
---------------------------------------------------------------------------
2. Affected Entities
The proposed amendments to the filing and public disclosure
frequency of Form N-PORT reports would affect all registered funds that
are currently required to file reports on Form N-PORT. Table 4 below
lists registered fund counts along with their net assets by type.\94\
---------------------------------------------------------------------------
\94\ Form N-CEN provides census-type information about
registered funds, while Form N-PORT provides detailed information
about fund activities. Because Form N-PORT does not include
information about fund types, we use information reported on Form N-
CEN to estimate the number of affected funds for each type of fund.
We use information reported to the Commission for each fund as of
Dec. 31, 2024, incorporating filings and amendments to filings
received through May 15, 2025. Net assets are monthly average net
assets during the reporting period identified on Item C.19.a of Form
N-CEN and validated with Bloomberg (for ETFs). Current values are
based on the most recent filings and amendments, which are based on
fiscal years and are therefore not synchronous. Submissions of Form
N-CEN reports are required on a yearly basis. Therefore, these
estimates do not include newly established funds that have not
completed their first fiscal year and, therefore, have not filed on
Form N-CEN yet. These estimates also do not account for the funds
that have been terminated since the last Form N-CEN report was
filed. Therefore, the estimates for the number of registered funds
and their net assets may be over- or under-estimated.
Table 4--Registered Funds Required To File Form N-PORT by Type, as of
December 31, 2024
------------------------------------------------------------------------
Total
-------------------------------
Registered fund type Net assets, $
Number trillion
------------------------------------------------------------------------
1. Open-end funds registered on Form N-
1A:
a. Mutual funds required to file 8,497 $23.10
Form N-PORT\1\.....................
b. ETFs: \2\........................ 3,481 7.34
i. non-transparent ETFs \3\..... 42 0.01
ii. daily website disclosure 3,439 7.33
required \4\...................
2. Closed-end funds registered on Form N- 671 0.37
2 \5\..................................
3. ETFs that are UITs registered on Form 4 1.00
N-8B-2 \6\.............................
4. Variable annuity separate accounts 15 0.27
registered on Form N-3 \7\.............
-------------------------------
Total............................... 12,668 32.08
------------------------------------------------------------------------
Notes:
\1\ Mutual funds are identified as those funds reported in Item B.6.a of
Form N-CEN that are not identified as ETFs in Item C.3.a.i of Form N-
CEN. Money market funds are excluded from the number of mutual funds,
as they are not required to file Form N-PORT. We use information
reported in Item C.3.g of Form N-CEN to identify money market funds
and exclude 307 money market funds that hold approximately $6.86
trillion in net assets from the total number of mutual funds in order
to estimate the number of mutual funds required to file Form N-PORT.
\2\ ETFs registered as open-ended funds are identified in Item C.3.a.i
of Form N-CEN. UIT ETFs and exchange-traded managed funds are excluded
from these ETF totals and presented in a separate line item.
\3\ Non-transparent ETFs are not subject to daily website disclosure of
their portfolio holdings. The estimate for the number of non-
transparent ETFs is based on the staff analysis of funds that have
been granted exemptive relief to operate actively managed ETFs that do
not provide daily portfolio transparency (non-transparent ETFs).
\4\ ETFs identified in Item C.3.a.i of Form N-CEN excluding 42 non-
transparent ETFs.
\5\ Closed-end funds are identified in Form N-CEN, Item B.6.b.
\6\ UIT ETFs are identified in Form N-CEN Item B.6.g, and are also
reported in Item E of Form N-CEN.
\7\ Variable annuity separate accounts are identified in Form N-CEN,
Item B.6.c.
We estimate that there are 12,668 registered funds currently
required to file reports on Form N-PORT that hold approximately $32.08
trillion in assets (approximately 82% of total registered investment
companies' assets). Different types of registered funds may be affected
differently by the amendments to Form N-PORT. Among the affected funds,
there are 8,497 mutual funds that represent approximately 72% of
registered funds' assets, 3,481 ETFs registered as open-end funds that
represent approximately 23% of registered funds' assets, 671 closed-end
funds that represent approximately 1.2% of registered funds' assets, 4
ETFs registered as unit investment trusts that represent approximately
3.1% of assets of all registered funds, and 15 variable annuity
separate accounts that represent
[[Page 8601]]
approximately 0.8% of assets of all registered funds. Among the ETFs
registered as open-end funds, 42 are non-transparent ETFs with assets
of $0.01 trillion and 3,439 are ETFs for which daily website portfolio
disclosure is required, with assets of $7.33 trillion.
Of the 12,668 funds required to file reports on Form N-PORT, some
registered funds will be affected more than others by the proposed
amendments to Form N-PORT intended to refine the information funds
provide.\95\ 30.6% of registered funds representing 25.4% of aggregate
net assets of N-PORT filers currently report portfolio level risk
metrics on Item B.3, while 28.1% of registered funds representing 22.5%
of aggregate net assets of N-PORT filers have an average value of debt
securities for the three months prior to December 31, 2024 that exceeds
50% of each fund's net asset value. 47.5% of registered funds
representing 62.9% of aggregate net assets of N-PORT filers report
monthly fund returns for more than one share class on Item B.5.a. 44.1%
of registered funds representing 63.7% of aggregate net assets of N-
PORT filers report unrealized appreciation (or depreciation)
attributable to derivatives in Item B.5.c. All 12,668 registered funds
are required to report payoff profile information for non-derivative
positions in Item C.3. 0.3% of registered funds representing 1.1% of
aggregate net assets of N-PORT filers attribute multiple liquidity
classification categories to a holding in Item C.7. 5.5% of registered
funds representing 7.8% of aggregate net assets of N-PORT filers report
information on convertible debt securities in Item C.9.f. Approximately
9,628 registered funds representing 76% of registered funds' assets
would be subject to reporting requirements related to their compliance
with the names rule in Item B.11 and Item C.2.e, once that rule's
compliance period ends.\96\ Finally, 69 mutual funds offer an ETF share
class, representing 18.9% of aggregate net assets of open-end Form N-
PORT filers.\97\
---------------------------------------------------------------------------
\95\ To obtain the percentage of registered funds affected by
each Form N-PORT item that follows, we use information reported to
the Commission on Form N-PORT for each registered fund as of Dec.
31, 2024, incorporating filings and amendments to filings received
through May 15, 2025.
\96\ See Names Rule Adopting Release, supra note 10, at n.495
and accompanying text. The Commission estimated that the names rule
would increase the percentage of funds subject to the names rule
from 60% to 76%. We therefore estimate that 9,628 = 76% * 12,668
funds would be affected by the proposed removal of Items B.11 and
C.2.e on Form N-PORT.
\97\ This figure does not reflect recent exemptions, issued by
the Commission, permitting additional mutual funds to add ETF share
classes. See, e.g., DFA Investment Dimensions Group Inc., Investment
Company Act Release Nos. 35770 (Sept. 29, 2025) (notice) and 35786
(Nov. 17, 2025) (order).
---------------------------------------------------------------------------
Table 5 below lists registered fund counts along with their
aggregate net assets by fiscal year end.\98\ Among registered funds,
there is variation in the fiscal year end. The most common fiscal year
end used by registered funds is December (26.9% of registered funds),
the second most common fiscal year end is October (19.0% of registered
funds), and August is the third most common fiscal year end (8.8% of
registered funds).
---------------------------------------------------------------------------
\98\ We use information reported on Form N-PORT to the
Commission for each registered fund as of Dec. 31, 2024,
incorporating filings and amendments to filings received through May
15, 2025. Fiscal year is reported in Item A.3.a of Form N-PORT. Net
assets are reported in Item B.1.c of Form N-PORT. We note that the
total number of the registered funds in this table (12,898 funds)
differs from the number based on the Form N-CEN data in Table 4
(12,668 funds) because Form N-PORT is submitted on a less delayed
basis compared to Form N-CEN; thus, it may include newly established
funds that have not completed their first fiscal year and,
therefore, have not filed Form N-CEN yet, as well as funds that have
been terminated since the last Form N-CEN was filed.
Table 5--Registered Funds by Fiscal Year End, as of December 31, 2024
----------------------------------------------------------------------------------------------------------------
Number of registered funds Net assets
Fiscal year end ----------------------------------------------------------------
Number % of total $, trillion % of total
----------------------------------------------------------------------------------------------------------------
31-Jan......................................... 197 1.5 $0.61 1.7
28-Feb......................................... 398 3.1 2.22 6.1
31-Mar......................................... 1,116 8.7 3.37 9.3
30-Apr......................................... 529 4.1 0.99 2.7
31-May......................................... 626 4.9 1.26 3.5
30-Jun......................................... 816 6.3 1.46 4.0
31-Jul......................................... 672 5.2 1.28 3.5
31-Aug......................................... 1,131 8.8 2.78 7.7
30-Sep......................................... 1,112 8.6 4.03 11.1
31-Oct......................................... 2,448 19.0 5.89 16.2
30-Nov......................................... 389 3.0 0.88 2.4
31-Dec......................................... 3,464 26.9 11.46 31.6
----------------------------------------------------------------
Total...................................... 12,898 100.0 36.23 100.0
----------------------------------------------------------------------------------------------------------------
3. Economic Literature on the Disclosure of Registered Fund Portfolio
Holdings
This section summarizes the academic literature pertaining to the
economic effects relevant to the changes we are proposing. The
Commission has also considered the potential economic effects of
publicly disclosing registered fund portfolio information in several
past releases.\99\
---------------------------------------------------------------------------
\99\ See supra notes 1, 2, and 20. Those releases also include
reviews of the associated academic literature.
---------------------------------------------------------------------------
One strand of the academic literature suggests that the disclosure
of holdings can have negative economic consequences for a registered
fund and its investors. One early study provides a theoretical
framework showing that, under certain assumptions, ``predatory
trading'' can increase trading costs for a large institution (e.g., a
fund) when it needs to liquidate a position that is known by other
market participants.\100\ Subsequent studies claim that strategies that
anticipate the sales of mutual funds based on their holdings and
predicted outflows, trading ahead of them (``front running''), earn
excess returns, suggesting that funds incur additional
---------------------------------------------------------------------------
\100\ See Markus K. Brunnermeier & Lasse Heje Pedersen,
Predatory Trading, 60 J. of Fin. 1825, no. 4, (2005).
---------------------------------------------------------------------------
[[Page 8602]]
costs as a result of these disclosures.\101\ Several studies also
suggest that market participants can ``free-ride'' on registered funds
by ``copycatting'' their strategies, earning excess returns without
incurring the information production costs of the target fund.\102\
Another study more generally finds that while portfolio holdings
disclosure by registered funds has beneficial effects, such as
increased market liquidity, it reduces the returns of otherwise
informed funds, noting that such costs reduce a fund's incentive to
perform costly research on the securities they invest in.\103\
---------------------------------------------------------------------------
\101\ See, e.g., Joshua Coval & Erik Stafford, Asset Fire Sales
(and Purchases) in Equity Markets, 86 J. of Fin. Econ.479 (2007);
Teodar Dyakov & Marno Verbeek, Front Running of Mutual Fund Fire-
Sales (Sept. 6, 2012) (revised May 1, 2014), 37 J. of Banking and
Fin., no.12, 2013 at 4931-4942, available at <a href="https://ssrn.com/abstract=2170660">https://ssrn.com/abstract=2170660</a> retrieved from SSRN Elsevier database. See, also,
Sophie Shive & Hayong Yun, Are Mutual Funds Sitting Ducks?, 107 J.
of Fin. Econ. 220 (2013).
\102\ See Mary Margaret Frank, et al., Copycat Funds:
Information Disclosure Regulation and the Returns to Active
Management in the Mutual Fund Industry, 47 J. of Law and Econ., no.
2, 2004 at 515-541; Marno Verbeek & Yu Wang, Better Than the
Original? The Relative Success of Copycat Funds, 37 J. of Banking
and Fin. 3454 (2013).
\103\ See Vikas Agarwal, et al., Mandatory Portfolio Disclosure,
Stock Liquidity, and Mutual Fund Performance, 76 J. of Fin. 2773-
2776, (2015) (``Agarwal et al.'').
---------------------------------------------------------------------------
Other studies examine the effect of disclosure on registered fund
manager behavior and potential agency problems between a fund manager
and fund investors. One study suggests that more standardized portfolio
disclosures can decrease agency problems between funds and
investors.\104\ In contrast, another study suggests that more frequent
disclosure actually increases window-dressing by low-skill fund
managers, who try to obfuscate poor performance by manipulating their
holdings around reporting dates, though more frequent disclosure allows
investors to sort out skilled from unskilled managers more
rapidly.\105\
---------------------------------------------------------------------------
\104\ See Ki-Soon Choi, The Role of Portfolio Disclosures in
Mutual Funds (working paper revised Aug. 2 2023), available at SSRN:
<a href="https://ssrn.com/abstract=4283140">https://ssrn.com/abstract=4283140</a> (retrieved from SSRN Elsevier
database). The paper analyzes the 2016 adoption of Form N-PORT
reporting requirements and suggests that standardized portfolio
disclosures decreased information asymmetry between fund investors
and managers, showing that, as a result of the 2016 reporting
requirements, fixed-income fund managers (who generally have
incentives to display lower volatility) became less likely to engage
in return smoothing, and equity managers became less likely to
engage in risk shifting (increasing the risk of a fund portfolio in
hopes of achieving higher portfolio returns).
\105\ See Xiangang Xin, et al., Wrong Kind of Transparency?
Mutual Funds' Higher Reporting Frequency, Window Dressing, and
Performance, 62 J. Acct. Rsch.737 (2024); See also Vikas Agarwal, et
al., Window Dressing in Mutual Funds, 27 Rev. of Fin. Stud, 3133
(2024) for a theoretical model of why managers engage in window
dressing.
---------------------------------------------------------------------------
Some studies analyze the effects of portfolio disclosures on issues
related to market efficiency and capital formation. As noted above, one
study suggests that while disclosure is costly for individual funds, it
can increase the liquidity of the underlying market for a fund's
securities, implying lower trading costs for investors and a lower
cost-of-capital for issuing firms.\106\ Another study suggests that
quarterly holdings disclosure requirements cause funds to alter their
trading strategies to conceal their intentions leading up to reporting
dates, reducing price efficiency around these dates.\107\ Finally,
another study suggests that increased portfolio holding disclosure
requirements can disincentivize a fund from performing costly research
activities, reducing price informativeness for firms that the fund
invests in and decreasing the ability of those firms' managers to learn
from market prices when making real investment decisions.\108\
---------------------------------------------------------------------------
\106\ See Agarwal et al., supra note 103.
\107\ See Todd A. Gormley, et al., More Informative Disclosures,
Less Informative Prices? Portfolio and Price Formation Around
Quarter-Ends, 146 J. of Fin. Econ. 665 (2022).
\108\ See Jalal Sani, et al., Spillover Effects of Mandatory
Portfolio Disclosures on Corporate Investment, 76 J. of Acct. &
Econ. 101641 (2023).
---------------------------------------------------------------------------
C. Benefits and Costs of the Amendments
1. 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.\109\ Specifically, rather than
filing monthly reports with the Commission within 30 days after the end
of each calendar month as finalized in the 2024 Adopting Release, we
are proposing to require registered funds to file reports on a monthly
basis due within 45 days after the end of the month to which they
relate. As a result, the proposed approach would provide registered
funds with more time to gather and verify the information required to
be filed on Form N-PORT and to submit the filing.
---------------------------------------------------------------------------
\109\ See supra note 11.
---------------------------------------------------------------------------
The primary benefit of the revised 45-day filing deadline would be
to reduce the costs that funds might otherwise incur in gathering,
verifying, and ultimately filing Form N-PORT on a monthly basis under
the 2024 amendments. The associated cost savings may be passed on to
fund investors. While funds will still incur costs associated with
gathering and reviewing Form N-PORT information, the additional 15 days
they have to do so might reduce, for example, the number of personnel
some funds require. Similarly, while funds will still incur costs
associated with data validation and data tagging, third-party service
provider fees, personnel costs, and internal costs associated with
developing and maintaining systems, processes, and procedures to file
form N-PORT on a monthly basis,\110\ the additional 15 days may reduce
the number of personnel required to file Form N-PORT each month for
some funds. The 45-day filing deadline would also reduce any potential
costs associated with increased errors and resubmissions under a 30-day
filing deadline.\111\ The 2024 Adopting Release also stated that some
registered funds, such as those belonging to smaller fund groups that
may not experience economies of scale, may experience higher costs
associated with a 30-day filing deadline. Consistent with this
analysis, we would expect that cost reductions associated with the
proposed 45-day filing deadline to particularly benefit such funds.
Finally, during staff outreach following the 2024 Adopting Release,
industry participants have indicated that registered funds with more
complex strategies and certain types of closed-end funds, such as those
that only strike net asset values once per month, may not receive
certain data until shortly before the 30-day deadline, increasing the
potential for errors and resubmissions and potentially causing some
registered fund industry participants to hire additional personnel to
manage the condensed timeframe.\112\ The 45-day filing deadline would
mitigate these costs for such funds.
---------------------------------------------------------------------------
\110\ See 2024 Adopting Release, supra note 1, at nn. 204-206
and accompanying text for a more detailed discussion of these
effects.
\111\ See id. at nn. 221-223 and accompanying text. See also ICI
Letter at note 23.
\112\ See supra section II.A and paragraph accompanying n.13.
---------------------------------------------------------------------------
The proposed 45-day filing deadline would delay the Commission's
receipt of monthly Form N-PORT filings by 15 days. As discussed in the
2024 Adopting Release, the timely receipt of Form N-PORT information
allows the Commission to conduct targeted and timely monitoring
efforts, to accurately analyze risks and trends, and to assess the
breadth and magnitude of potential impacts of market events and stress
affecting particular issuers, asset classes, counterparties, or market
participants.\113\ Therefore, the benefits associated with timely
Commission
[[Page 8603]]
oversight, such as reduced investor harm or market disruptions, may
decrease as a result of the 15-day delay. However, the Commission would
still have more timely access to registered fund information than it
does under the quarterly filing requirements that are currently in
effect.
---------------------------------------------------------------------------
\113\ See 2024 Adopting Release, supra note 1, at n. 198 and
accompanying text.
---------------------------------------------------------------------------
2. Publication Frequency
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. While the proposal would reduce the amount of information
available to investors about registered fund holdings relative to the
monthly portfolio disclosure required by the 2024 amendments, it would
also reduce the risk that a fund's proprietary investment strategy or
trading intentions are inferred by external parties.
The primary benefits of the proposed decrease in publication
frequency would be to reduce certain costs that an increased
publication frequency could impose on registered funds.\114\ The
monthly publication frequency required by the 2024 amendments would
provide market participants with four times more data annually
regarding a registered fund's holdings, increasing the risk that a
fund's proprietary investment strategy could be copied by funds that do
not incur the information production costs of the target fund, and may
reduce the returns of the target fund.\115\ In addition, because the
2024 amendments reduce the maximum potential time that a registered
fund can use to, for example, build a position in a new fund holding
from approximately five months to approximately three months, funds
that tend to establish or dispose of positions over periods of time
longer than three months risk having their trading intentions inferred
sooner than is the case under the rules currently in effect.\116\ While
a registered fund's trading intentions or the information on which it
is basing its proprietary investment strategy may be reflected in the
market through other channels, such as the trades a fund initiates in
the interim, the revelation of a fund's holdings via Form N-PORT before
it has fully established or disposed of a position could increase the
associated trading costs and reduce returns for its investors.\117\ The
proposed changes to the publication frequency would therefore reduce
any trading costs associated with the publication of registered fund
holdings on Form N-PORT.
---------------------------------------------------------------------------
\114\ See id. at n. 237 and accompanying text.
\115\ See supra notes 102-103 and accompanying text.
\116\ Under the requirements prior to the 2024 amendments, if a
registered fund, for example, begins to establish a new position
immediately after quarter-end, the position will not be publicly
disclosed for 3 months and 60 days (i.e., about 5 months in total).
Under the 2024 amendments, if a registered fund begins to establish
a new position immediately after quarter-end, the position will not
be publicly disclosed for 1 month and 60 days (i.e., about 3 months
in total).
\117\ See 2024 Adopting Release, supra note 1, at n. 240 and
accompanying text.
---------------------------------------------------------------------------
While the 2024 Adopting Release acknowledged that increasing the
publication frequency of Form N-PORT could affect a registered fund's
business practices by, for example, altering the fund's trading
strategy around disclosure dates,\118\ market participants have since
reiterated the potential costs that the more frequent publication of
holdings could impose on actively managed funds and their shareholders,
and the subsequent need funds may have to alter their investment
strategies to mitigate these costs.\119\ These costs could also lead a
registered fund to decrease its research expenditures or, in the
extreme, conclude that a given investment strategy is not viable and
stop offering it, which could decrease price efficiency as well as
investor choice.\120\
---------------------------------------------------------------------------
\118\ See id. at n. 248.
\119\ See ICI Letter.
\120\ See supra section III.B.3.
---------------------------------------------------------------------------
The costs of the proposed amendments include the loss of several
benefits to investors and other users of Form N-PORT associated with a
monthly publication frequency 60 days after the end of each reporting
period, such as an enhanced ability of investors to review and monitor
information on registered funds' portfolios (directly or through
analyses performed by third-party data aggregators). These forgone
benefits would include a reduced need to rely on registered funds'
voluntary holdings disclosures, which are not consistently provided by
all registered funds and, even where they are, may have formats that
are inconsistent across time or across funds, or may be difficult to
access.\121\ In addition, voluntary disclosures do not necessarily
contain other potentially useful information that is contained on Form
N-PORT, such as a registered fund's net assets, liabilities, flows,
interest rate risk, credit risk, or counterparty risk. Moreover, even
where market participants use quarterly Form N-PORT data, registered
funds report these data in accordance with their own fiscal years,
which may differ and preclude the comparison of different funds at a
given point in time.\122\ Finally, to the extent more frequent Form N-
PORT disclosures would have ameliorated agency problems that may exist
between a registered fund's manager and the fund's investors, any
benefits investors would have accrued due to a reduction in these
agency problems under the 2024 Amendments would no longer apply.\123\
---------------------------------------------------------------------------
\121\ See 2024 Adopting Release, supra note 1, at n. 231.
\122\ See id. at 73784 (Table 2).
\123\ See id. at nn. 234-236 and accompanying text for a
discussion of potential agency problems that may be mitigated by
more frequent portfolio disclosure.
---------------------------------------------------------------------------
3. Other Proposed Amendments to Form N-PORT
We are also proposing amendments to Form N-PORT to refine the
information registered funds provide. 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 non-derivatives instruments' payoff profiles,
convertible bonds, names rule compliance, 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. Finally, we are proposing to require registered 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. Throughout this discussion, when we refer to the potential
use of Form N-PORT by investors, we note that investors may use the
information directly or by relying on third parties that aggregate the
information available on Form N-PORT and provide it to investors and
other market participants. We also generally refer to the costs (or
cost savings) associated with the proposed changes as being incurred
by, or accrued to, a fund, but note that all of the costs or cost
savings discussed below may be passed onto fund investors.
The proposed modifications to the information collected on
portfolio level risk metrics include an increase in the threshold
percentage of registered fund assets held in debt or debt derivatives
that triggers risk metric reporting requirements, the removal of risk
metrics associated with small changes in interest rates (DV01), the
aggregation of risk metrics associated with larger changes in interest
rates (DV100) (rather than separate DV100 reporting for each currency
that a registered fund has holdings of that amount to 1% or more
[[Page 8604]]
of the fund's net asset value), the aggregation of credit risk metrics
for investment-grade and non-investment grade into a single credit risk
metric, and a clarification that risk metrics are reported in US
dollars. These changes would reduce the costs associated with reporting
risk metrics on Form N-PORT by reducing the number of registered funds
that are required to report the metrics, removing certain metrics
(DV01), and streamlining the reporting of the remaining metrics. To the
extent investors currently rely on the risk metrics that will be
removed or streamlined, the amendments would reduce the amount of
information on which investors can base their investment decisions. We
do not expect these changes to significantly affect the utility of the
reported information about portfolio risk metrics to the
Commission.\124\
---------------------------------------------------------------------------
\124\ See supra note 43 and subsequent text.
---------------------------------------------------------------------------
The proposed modifications to the information collected on
registered fund returns would require that funds with multiple share
classes only report return information for a single representative
class, rather than reporting returns for each share class. This change
should reduce the costs associated with filing such return information
while still providing investors and the Commission with fundamental
information on a registered fund's monthly returns. In addition, the
proposed changes would exclude sales loads and redemption fees from
monthly return calculations, which would remove the ambiguous effect
that these fees have on such monthly returns for investors who hold a
fund for different lengths of time. Investors would still have access
to return information reflecting sales loads and redemption fees over
several hypothetical holding periods for relevant registered funds on
Forms N-1A and N-3, and these fees are explicitly disclosed in a fund's
prospectus. In addition, some registered funds already exclude sales
loads and redemption fees from their monthly fund returns on Form N-
PORT, so we do not expect the removal of these fees from monthly return
calculations to impose significant costs on investors.\125\
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\125\ See supra note 89.
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While registered funds would continue to report the net realized
gain and net change in unrealized appreciation attributable to
derivatives for multiple asset categories, funds would no longer be
required to separately report this information for each type of
derivative within each asset category, reducing reporting costs for
funds. To the extent investors currently rely on the more granular
reporting by derivative type within each asset category, the amendments
would reduce the amount of information on which investors can base
their investment decisions.
In addition, the proposed changes would remove several items from
Form N-PORT altogether, which would reduce reporting costs for
registered funds. For positions that are not derivatives, registered
funds would no longer have to classify the payoff profile (long, short,
or N/A) of the position. While the explicit item capturing the payoff
profile of such positions would no longer be available to investors,
investors would still be able to determine a position's payoff profile
from the sign of the corresponding holding reported on Form N-PORT. We
are also proposing to remove both the conversion ratio and the delta
for convertible debt securities from Form N-PORT. To the extent
investors rely on the conversion ratio information, they will have less
information on which to base their investment decisions. In addition,
the proposed changes would no longer require an open-end fund that is
attributing multiple liquidity classifications to a holding to indicate
the reason the holding requires multiple classifications. Because
liquidity classifications are not publicly reported, this change would
not impose costs on investors.
The proposed changes discussed above either reduce the content of,
or eliminate, certain items from Form N-PORT, which will reduce the
amount of information available to the Commission for oversight
purposes. However, based on our experience, not having this data would
not adversely affect our oversight capabilities, so we do not expect
them to reduce investor protections.
In addition to the Form N-PORT items that we are proposing to
remove or streamline based on Commission experience using the
information provided by registered funds on Form N-PORT, we are also
proposing to remove three items from Form N-PORT that were adopted as
part of amendments to the names rule, which funds have not yet begun to
report.\126\ These disclosures apply to registered funds required to
adopt an 80% investment policy and include: (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.\127\
Removing these items would eliminate the costs registered funds would
incur associated with modifications to internal compliance systems, the
potential use of third-party service providers in filing these items,
and the need to add new data tags for these items for purposes of
filing the names rule relevant items on Form N-PORT.\128\ While the
Commission would still be able to perform oversight of a fund's
compliance with the names rule due to the rule's recordkeeping and
other disclosure requirements, the removal from Form N-PORT of
individual holding classifications under the names rule as well as the
aggregate value of a fund's 80% basket could reduce the efficacy of the
Commission's oversight, such as its ability to conduct targeted exams.
In addition, to the extent that investors would have relied on the
information on Form N-PORT regarding names rule compliance, either
directly or through third parties, to better determine whether or not a
registered fund's investment strategy is consistent with their goals
and preferences, the removal of these items would reduce their ability
to do so. For a fund with an 80% investment policy, investors would
still have access to the definition of terms used in the fund's name
and any selection criteria associated with these terms in the fund's
prospectus, as well as information about the fund's portfolio holdings,
which may mitigate this effect.
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\126\ See Names Rule Adopting Release, supra note 10.
\127\ See Items B.11 and C.2.e of current Form N-PORT.
\128\ See Names Rule Adopting Release, supra note 10, at
paragraphs accompanying nn.571-574.
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The proposed changes to Form N-PORT also include a new item
tailored to registered funds with ETF share classes. Funds with ETF
share classes would be required to provide identifying information for
the share class, information on the net assets associated with the
share class, and information on flows into and out of the share class.
Investors and market participants would benefit from these changes by
gaining a more detailed understanding of the differences in size and
flows of a fund's ETF and non-ETF share classes, particularly if the
number of funds offering ETF share classes increases. Finally, these
changes would allow the Commission to monitor and respond to any issues
that arise if the number of registered funds and the amount of assets
managed using ETF share classes increase in the future. Funds that have
an ETF share class would incur costs associated with
[[Page 8605]]
identifying, validating, and filing these new items on Form N-PORT.
Finally, we are proposing to require registered 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.\129\ As discussed above, using the identifying information
that registered funds currently report to match a fund, series, and/or
class across 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 slight differences in the reported name of the
fund, series, and/or class as well as the lack of LEIs or EDGAR series
identifiers in some data sources.\130\ The additional identifying
information required for registrants and each class of a registrant or
series would improve the Commission's ability to monitor and analyze
registered fund activity across data sources, enhancing investor
protections. The additional identifying information would also improve
the ability of investors to compare funds and individual share classes
and series across different data sources, allowing them to make more
informed investment decisions. Registered funds would incur costs
associated with validating and filing these new items on Form N-PORT.
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\129\ See supra note 75.
\130\ See supra note 77 and preceding discussion.
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4. Monetized Benefits and Costs
This section estimates the monetized benefits and costs of the
proposed amendments by disaggregating the net reduction in PRA burden
discussed in section IV.\131\ These estimates are then used in the
following section to calculate present and annualized values of the
benefits and costs of the proposed amendments under different discount
rate assumptions. These
[…truncated; see source link]Indexed from Federal Register on February 23, 2026.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.