August 26, 2021
Changes to the Technical Specification of Form N-PORT
On Monday, August 23, 2021, the SEC released proposed changes to the technical specification of form N-PORT. Changes are part of the XML Schema document (XSD). As per this release, the following two sections will be introduced on the form.
- Section B.9: If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], it should provide derivative exposure in percentage of Fund’s NAV, its currency and interest rate exposure and number of days for which the fund’s derivative exposure exceeded 10% of its NAV
- Section B10: Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)] must provide median daily VaR during reporting period. Funds subject to Relative VaR test should also provide name of fund’s designated Index, Index identifier and median VaR ratio
The SEC has also published changes in technical specifications of form N-CEN. EDGAR release 21.3 has updated enumeration RELY_ON_RULE which now has 7 additional elements increasing total count to 20.