Options swaps and futures pdf


Company Filings More Search Options. The staff of the Division of Investment Management has prepared the following responses to questions related to the investment company reporting modernization reforms adopted in October and revised in December The staff expects to update this document from time to time to include responses to additional questions.

These responses represent the views of the staff of the Division of Investment Management. They are not a rule, regulation, or statement of the Commission, and the Commission has neither approved nor disapproved these FAQs or the interpretive answers to these FAQs.

Those who encounter problems during the testing or filing of those forms or who have questions regarding the technical specifications may email StructuredData sec. And how options swaps and futures pdf the schema be obtained? Test filings will not be evaluated for compliance with the forms or be available for public viewing.

Compliance should be based on reporting period-end options swaps and futures pdf. The Amendments modified the framework contemplated by the Adopting Release. Under the modified approach, larger entities will maintain in their records the information that is required to be options swaps and futures pdf in Form N-PORT, in lieu of filing reports with the Commission, until April 1, Smaller fund groups are not subject to a requirement to prepare and retain as a record the information required on Form N-PORT.

The compliance date for these amendments is August 1, For example, financial statements contained in a report on Form N-CSR for the period ended June 30,need not comply with the amendments to Regulation S-X, even though that report is required to be filed by Options swaps and futures pdf 8, i. Financial statements in options swaps and futures pdf on Forms N-CSR, N-Q, K or Q whether quarterly, semi-annual, or annual for the period ended August 31,should comply with options swaps and futures pdf amendments to Regulation S-X since the period ends after the compliance date of August 1, Thus, open-end funds and separate accounts offering variable annuity contracts that have fiscal-year ends following the compliance date should reflect these amendments as part of their next annual update of their prospectuses.

For example, a July 31 fiscal year-end open-end fund should first reflect the amendments in its prospectus update following the July 31, fiscal year-end. Thus, a February 28 fiscal year-end closed-end fund should first reflect the amendments options swaps and futures pdf its report on Form N-CSR for the annual reporting period ending February 28, Compliance dates for the liquidity information on Form N-CEN is December 1, for larger entities and June 1, for smaller entities.

A private fund relying on section 3 c 1 or 3 c 7 of the Investment Company Act of is not an investment company and thus would not be part of a group of related investment companies. As noted above, a fund with a June 30 or December 31 fiscal year-end that is part of a larger entity should first file a report on Form N-PORT, relating to the month ended March 31,no later than April 30, 30 days after the reporting period end date. Thus, a money market fund with a fiscal year-end of February 28 or August 31 that was relying on the August 1, rescission date for Form N-Q will make its final Form N-Q filing for the quarter options swaps and futures pdf May 31, This is because the filing is due by July 30, 60 days after the reporting period end datewhich is before August 1,the revised rescission date for Form N-Q.

A money market fund with a fiscal year-end of March 31 or September 30 that was relying on the August 1, rescission date for Form N-Q will not make a Form N-Q filing for the quarter ended June 30, because the filing will be due after August 1, Money market funds must, however, continue to post their portfolio holdings on a web site monthly pursuant to rule 2a-7 h 10 under the Investment Company Act of and file Form N-MFP monthly pursuant to rule 30b under the Investment Company Act of The staff believes that funds with a fiscal year-end on April 30 or May 31, may file their final reports for fiscal year on either Form N-SAR due 60 days after the reporting period end or Form N-CEN due 75 days after the reporting period end.

The Commission staff would not object if a fund distinguishes between the basis on which it calculates portfolio holdings and the basis on which it calculates risk metrics.

Funds must file reports on Form N-PORT up to 30 days after the end of each month, but may file Part F attachments up to 60 days after the end of the reporting period. Some trusts that have multiple series all with the same fiscal year end currently include in their shareholder reports and on Form N-Q portfolio schedules for each of the different series, as well as one set of financial statement notes that cover all of the different series combined into one document.

The Part F attachment is designed to ensure that notwithstanding the rescission of Form N-Q, portfolio holdings schedules for the options swaps and futures pdf and third fiscal quarters continue to be presented using the form and content which investors are options swaps and futures pdf to viewing in reports on Form N-Q and in shareholder reports. The staff therefore believes that the Part F attachment may contain the portfolio schedule for the series making the filing, options swaps and futures pdf well as the portfolio schedules for the other series in the trust with the same fiscal year-end and one set of financial statement notes that cover all of the different series combined into one Part F attachment.

How should funds report values for holdings where no market value is available at that point for month-end? In response to options swaps and futures pdf, the Commission noted in the Adopting Release that while most closed-end funds do strike their NAV on at least a monthly basis, those funds that do not do so may report information on Form N-PORT by using their internal methodologies consistent with how they report internally and to current and prospective investors, as allowed by General Instruction G to Form N-PORT.

What happens if a class terminates during the reporting period? A fund should report all information for each of its classes through the reporting period in which the class existed. For example, if a fund class terminates in January, the fund should continue reporting the Items B.

The March Form N-PORT filing should include monthly total returns for January, which should include the return information for the terminated class, as well as return information for February and March, which would not include any return information for the terminated class.

How should master portfolios report flow information? The staff believes that master options swaps and futures pdf should provide flow information at the master portfolio level for transactions between the master portfolio and its feeder funds.

How should funds report this information for foreign forward currency contracts? For foreign forward currency contracts, funds must report options swaps and futures pdf in U. For purposes of Item C. In responding to Item C. For example, the Adopting Release provides that, for the amendments to Regulation S-X, a fund should indicate that a derivative that cannot be sold as of the reporting date because of a restriction applicable to the investment itself as opposed to, e.

When reporting restricted securities on Form N-PORT, Commission staff believes that funds may consider the Commission guidance provided for amendments to Article 12 of Regulation S-X regarding identification of restricted securities in financial statements. How should funds distinguish between debt securities that have a floating versus a variable options swaps and futures pdf of return? The staff believes that funds may look to definitions in rule 2a-7 under the Investment Company Act to make these determinations.

Must that information be reported for each category of investments, and to options swaps and futures pdf extent can that information be aggregated? A fund should separately report this information for each category of investments. However, the staff would not object if funds aggregated the principal amount and value of collateral for each category of investments, regardless of whether the collateral is issued by the same issuer.

Can funds voluntarily report information about all the underlying index components even when such disclosure is not required? For Form N-PORT and in the amendments to Regulation S-X, the reporting of notional amount is required for many different derivatives investments, but can be options swaps and futures pdf in different ways.

Is there a prescribed calculation of notional amount that funds should follow? The Commission staff understands that funds currently use different methods for calculating notional amount of a derivatives investment. The term TBA is derived from the fact that the actual mortgage-backed security that will be delivered to fulfill options swaps and futures pdf TBA trade is not designated at the time the trade is made.

The staff recognizes that some funds currently disclose TBAs in their financial statements either as derivatives or securities, depending on, among other factors, whether TBAs are cash settled derivative or physically settled security. Instruction G to Form N-PORT provides that funds may respond using their own internal methodologies and the conventions of their service providers, provided the information is consistent with information that they report internally and to current and prospective investors.

Thus, the staff believes that to the extent funds categorize TBAs as derivatives in their portfolio holdings, as reported internally and to current and prospective investors, they may also do so in their reports on Form N-PORT. RulesA, B, C, Options swaps and futures pdf, and prescribe information to be presented for derivatives contracts, other investments, and investments in affiliates. The rules contemplate a tabular format where each row is an individual contract or investment, and each column is a specified data element e.

Must the columns appear in the options swaps and futures pdf order specified in the rules, and to the extent that certain columns contain the same information, can such columns be merged if the heading of the merged column appropriately discloses what the information represents? The staff believes that the order of the columns need not be the same as the order set forth in the rules. Additionally, when columns contain the same information, the staff believes that the information may be provided in a single column provided that the heading to the column clearly discloses what the information represents.

Article 12 of Regulation S-X requires, in certain options swaps and futures pdf, for derivatives where the options swaps and futures pdf asset is an index or basket of investments, that funds disclose the 50 largest components in the index or custom basket.

How should short positions be treated for these purposes? Will every underlying instrument have a notional value to determine this calculation? For purposes of these calculations, the staff believes that the notional values of short positions should be treated in terms of their absolute values because Article 12 requires that the fund disclose the largest components of an index or basket and the staff believes that the magnitude of a component does not depend on whether the position is long or short.

The staff recognizes that all components would have a notional amount or other metric to evaluate the magnitude of the components in the index or custom basket, although the staff believes that the metric utilized could be determined differently based on the nature of the investment.

For example, notional amount should be used for swaps, while the staff believes par value and value options swaps and futures pdf be used for bonds and equities, respectively. Do funds need to include in the description of each component of an index or custom basket all of the information required by the notes to all of the columns in rules, A, B or D, or only the information required by the notes in certain columns related to the description of the components?

When providing a description of the components of the index or custom basket, the staff would not options swaps and futures pdf if funds limit their disclosures to the information required by the column in each of the tables included in Article 12 that relate to the description of the instrument, including any notes in that column. For example, if the underlying component of the index or basket of investments is a derivative that would normally be presented in accordance with rule of Regulation S-X, the staff believes that the fund should provide the information required by Column A descriptionincluding the notes to Column A.

Rules through D require funds to "[i]ndicate by an appropriate symbol each investment which cannot be sold because of restrictions or conditions applicable to the investment.

For example, a fund would exit a futures transaction by entering into an offsetting transaction. How should the fund treat these types of transactions for the purposes of rules to D?

Do the disclosures required by rule of Regulation S-X regarding investments in and advances to affiliates need to be presented in the schedule of investments, or can they be presented in the notes to the financial statements? The Commission staff understands that the disclosures required by rule relate to investments that are already presented in the schedule of investments under rules and through D, and, as such and to preserve the readability of the schedule of investments, would not object if funds chose to provide the additional disclosures required by rule in the notes to the financial statements.

The counterparty will not separately collect margin or collateral for each particular type of transaction, making it not practicable for the fund to identify the portions of any margin or collateral posted by the fund attributable to each of the types of investments specified in Rule In these circumstances, may a fund instead provide disclosure about the arrangements with counterparties in the notes to the financial statements that includes a description of the rights of setoff and the amounts held by each counterparty in connection with the investments specified in Rule How should information be reported for Item C.

If a variable insurance product no longer files post-effective prospectus amendments, for example, because the options swaps and futures pdf insurance product is no longer being sold, [26] is the registrant still required to file reports on Form N-CEN? Variable insurance options swaps and futures pdf are required to file periodic reports with the Commission pursuant to section 30 of the Investment Company Act and therefore must continue to file annual reports on Form N-CEN even when the variable insurance product no longer files post-effective amendments.

See rule 31a-2 a 2 providing that funds must preserve certain records for a period not less than six years from the end of the fiscal year, the first two years in an easily accessible place ; see generally rule 31a-2 f requirements for electronic records.

Because rule 31a-2 provides for preservation for not less than six options swaps and futures pdf from the end of the fiscal year, the Amendments will cease to be effective March 31, Per Instruction A to Form N-PORT, funds must report information about their portfolios and each of their portfolio holdings as of the last business day, or last calendar day of the month.

D compliance date chart. See also rulen. Securities and Exchange Commission. Investment Company Reporting Modernization Frequently Asked Questions July 17, Updated April 10, The staff of the Division of Investment Management has prepared the following responses to questions related to the investment company reporting modernization reforms adopted in October and revised in December When may money market funds cease filing reports on Form N-Q?

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