ICE Data Services
SEC Report Modernization

Support for Form N-PORT

The SEC rule addressing Investment Company Reporting Modernization adds extensive new reporting requirements for the funds industry. The new disclosures are concentrated in two newly required forms, which will replace existing Forms N-SAR and Form N-Q:

• Form N-PORT (Part C: Schedule of Portfolio Investments) requires funds to report monthly on a wide range of security-level information to the SEC for the first time.
• Form N-CEN, filed annually, imposes new disclosures for securities lending activities, counterparty information, portfolio-level risk metrics, and details of derivatives exposures.

ICE Data Services is positioned to assist our fund clients towards their compliance by aggregating select content from various of our entities:

• Our existing reference data offering
• Our evaluated pricing services (many required disclosures involve market values)
• SuperDerivatives
• BondEdge risk analytics
• Newly derived content specific to this SEC reporting rule

Scope and Timing

Content Disclosure Requirements

New content that funds will be required to collect, aggregate and disclose to the SEC includes:

• Classifications of asset holdings, issuer types, derivatives holdings, categories of collateral, and fund types -all based on taxonomies prescribed by the SEC.
• New disclosures for debt instrument holdings, including: maturity date, coupon, coupon type, default flag, interest in arrears, PIK flag, coupon type and end-of-period coupon.
• For convertible securities: conversion ratio, mandatory/contingent conversion flags, delta calculation.
• Fair Value Hierarchy Level Classifications (Level 1, 2 or 3) in accordance with US GAAP. The final rules upgrade this disclosure from aggregate numbers reported in footnotes to financial statement, to a monthly instrument-level disclosure within each fund’s required SEC reports.
• Country of Organization or Domicile, and if different, Country of risk for each instrument. A fund may use its own methodology and the conventions of its service provider, “so long as the methodology and conventions are consistent with the way the fund reports internally and to current and prospective investors.”
• Y/N flag to identify restricted instruments (i.e. 144A restrictions).
• Portfolio-level risk metrics (i.e. DV01, DV100 and CS01) disaggregated by currency and maturity/duration buckets. Required when debt and derivatives exposure equals or exceeds 25% of NAV based on 3-month trailing average (proposed rule placed this exposure threshold at 20% of NAV on 1-month trailing basis).
• Derivatives holdings: type, payoff profile description, exercise price/rate, expiration, underlying reference instrument (among others). When the underlying is a custom basket or non-public index to which the fund’s exposure exceeds 5% of NAV, the fund will have to itemize the underlying component reference assets, weightings and values. In addition to Form N-PORT disclosures, amendments to Regulation S-X will add significant new Derivatives disclosures to the funds’ financial statements.
• Securities Lending and Repurchase/Reverse Repurchase Arrangements - including counterparties and aggregate values of securities on loans, among others.

Additional Notes

• Form N-PORT disclosures (including instrument-level liquidity classifications) are required 6 months prior to compliance date for the SEC’s separate Liquidity Risk Management rule.
• Delta, Country of Risk, Miscellaneous Securities and related Explanatory notes must be reported to SEC but will not be released to the public (proposed rule would have made those disclosures public). Liquidity classifications will be made public only at portfolio-level (proposed rule called for public release of instrument-level classifications).
• Yielding to pressure from the paper industry, the SEC dropped proposed the provision (Rule 30e-3) to allow funds to publish and deliver shareholder reports through electronic means.
• Funds must report their pricing providers to the SEC, but names of pricing providers hired or terminated during the reporting period will not be released to the public.

¹RIC = Registered Investment Company; SBIC = Small Business Investment Company; UIT = Unit Investment Trust (only those not operating as an ETF are exempted)

²When the exposure is between 1-5% of NAV, the top 50 holdings (and any additional underlying that represents 1% or more of the index weight) will have to be disclosed.