Our guide outlines the workflow required and content needed to ensure Form N-PORT readiness. If you have any questions on Form N-PORT and how Accudelta can help your firm to meet the requirement, please contact us to schedule an evaluation: info@accudelta.com

1. Form N-PORT
by
Ronan Brennan
101 Guide

2. On October 13th 2016, the SEC voted to adopt the
rules that will ultimately bring reporting under Form
N-PORT into effect. Prior to this the SEC revealed that
it was planning to modernize its approach to data
collection from asset managers. The announcement
of reform is leading many management firms to
question if their data,technology and service provider
architecture is up to the demands of reporting the
new data set within the time constraints outlined.
Background
This document zeroes in on a central pillar in this proposed reform, the new Form N-PORT. Firms
with exposure to N-MFP will have some insight into the potential uptick regarding exactly how
onerous Form N-PORT will be. Our estimation is that Form N-PORT looks to be roughly two to three
times more complex than N-MFP as a baseline.
This guide is a high level run-down on the content required to populate Form N-PORT and the issues
that firms are likely to encounter in the workflow needed to ensure readiness to populate it once the
first reporting dates arrive.
What is the scope of Form N-PORT?
The proposed reporting requirement applies to all
registered management investment companies/funds,
other than MMFs, UITs (except ETF as UIT) and SBICs
(small business investment companies).
What is the Data Model?
Within the Form N-PORT, funds will be required to report a
wide breadth of portfolio holdings information – including
reference and analytical data, as well as information
related to liquidity, derivative usage, securities lending,
purchases and redemptions and counter-party exposures.
What is the format?
The reporting format will be a new structured data format
(XML based) report that will be filed electronically.
What is the reporting deadline?
Reporting will be monthly, with each fund required to file
with the SEC no later than 30 days after the last business
day or last calendar day of each month. Only information
reported for the third month of each quarter would be
available to the public, and such information would not
be made public until 60 days after the end of the third
month of the fund’s fiscal quarter.
What about Amendments?
A fund may file an amendment to correct erroneous
data in a previously filing at any time. A fund that files
an amendment to a previously filed report must provide
information in response to all items of Form N-PORT,
regardless of why the amendment is filed.
What are the Compliance Dates?
Most funds will be required to begin filing reports on Form
N-PORT after June 1, 2018, while funds with less than a $1
billion in net assets will be required to begin filing reports
after June 1, 2019.
What does this mean for Form N-Q?
The SEC is proposing to eliminate Form N-Q.
FAQs
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3. Content Form N-PORT will primarily involve the monthly reporting
of portfolio position data – including security reference data
and analytics for each holding position. The following is an
overview of the proposed data content in the form.
General information:
Specific data about the fund including the
basic identification data you would expect,
including LEIs (Legal Entity Identifiers).
Assets and liabilities:
Funds will be required to report total assets,
total liabilities and net assets. Funds will
also be required to report any investments
(including underlying exposures) in CFCs
(controlled foreign corporations). Additionally,
there are specific requirements to report
certain liabilities including (but not limited to):
fixed income security payments, payments
related to standby commitments and delayed
payment terms as well as details on the
liquidation preference for fund issued preferred
stock.
Portfolio level data and metrics:
Funds will be required to report specific
analytics and risk metrics in addition to
verbose disclosures in the registration
statement. Specifically, certain funds with
positions in debt instruments or derivatives
with underlying fixed income or interest rate
securities will be required to calculate and
report portfolio-level analytics related to
duration, and spread duration across the range
of maturities in the related portfolio security
positions.
Performance:
Funds will be required to report monthly total
returns for the previous three months for each
reporting share class. The analytics themselves
will be aligned to the risk/return data
already shared in factsheets and prospectus
documentation.
For a range of typical derivative types
(commodity contracts, credit contracts, equity
contracts, fx contracts, interest rate contracts
as a sample) funds will report monthly net
realized gains/losses and net unrealized
appreciation or depreciation for the preceding
three months.
Portfolio holding position level data and
risk metrics:
Funds will be required to report granular
holdings data in a new schedule of portfolio
investments, including risk measures and
terms at the investment level for options and
convertible bonds. Regarding some of the
proposed specific reporting requirements – note
the following:
• Every holding position in the portfolio will
have a common basic level of information
to be communicated. For example
the name of the issue and issuer, the
investment amount, the security type,
the payoff profile and the GAAP fair value
categorization.
• Funds will need to report if a position held,
is in a restricted security or an illiquid asset
• Specific disclosure is proposed on debt
securities, convertibles, and repo/reverse-
repo
• For derivative positions, funds will
be required to disclose specific T&Cs
and identifying information of the
counterparty. Depending on the type of
derivative the range of terms/conditions
to be disclosed is different.
Miscellaneous securities:
Where funds wish not to disclose publicly
certain holdings, classifying them as
miscellaneous securities, funds will be required
to disclose information on these miscellaneous
securities to the SEC. The SEC proposes that
funds report miscellaneous securities on an
investment-by-investment basis, including
the aggregate value of all the miscellaneous
securities held – noting that the SEC has
promised not to disclose this information in the
public filing.
Security lending:
Form N-PORT will usher in a new level of deeper
granularity regarding transparency in security
lending and the related counterparties to
such arrangements. Funds will report data on
securities lent from their portfolio, with a focus
on the revenue generated from this activity
and any related costs, including the use of
reinvested collateral. On the counterparties to
each security lending relationship, the fund will
be required to report the value (in aggregate)
of all securities on loan to each counterparty
along with the registered full name and LEI
(where applicable and available) of said party.
Flows:
For each of the preceding three months funds
will report the total net asset value of:
• Shares sold, including exchanges but
excluding reinvestment of dividends
• Shares sold in connection with
reinvestment of dividends
• Shares redeemed or repurchased, including
exchanges.

4. ISSUES
Form N-PORT is expected to precipitate significant issues for firms, both in
terms of preparation for the new regime, as well as the ongoing servicing of the
new report generation operating model. So with the principle of ‘forewarned is
forearmed’ in mind, consider carefully the following likely pain points:
Understanding the requirement:
Thefirstchallengeformanyfirmswillbesourcingsubjectmatterexpertsthatunderstand
the breadth of the challenge, in order to lead the analysis and implementation effort.
Many firms will need to use external consultants and vendor firms to help deliver to a
challenging timeline.
Source identification:
In the analysis phase of the project the firm will need to identify a source (be that internal or
external) for each of the reporting fields. There will be numerous challenges in making tactical or
strategic decisions when it comes to source choice, with accessibility and expedience being the
trade-off. The typical financial statement requires six to eight different data files. Our estimate
on number of sources that will be required is in the range 10-15; note that Invesco, in their response
to the SEC specified “With respect to Form N-PORT, implementation will require us to undertake
significant systems development and operational updates. Based upon a preliminary internal
analysis, we have calculated approximately 1.8 million data points, 72 manual inputs and 37
automated inputs per 250 funds, with information being pulled from over 10 separate data sources”.
Data collection:
Setting up a collection operating model, which includes a data quality management
process with appropriate stewardship and governance to gather the data on a monthly
basis, will be a serious data management and organizational challenge.
Aggregation to a central model:
Aggregating data from multiple new sources and normalizing it to a central
reporting model will be a major challenge for most firms.
Reconciliation:
Reconciliation of data will be a serious task many firms will want to do in order to double check the filing.
Specifically firms who outsource or use an existing back-office service provider will probably want to reconcile
their accounting book filing with a shadow report built off the investment book record used in front and middle
office. This will allow the PM and product manager for each of the strategies/products to verify the report’s
accuracy in a timely manner.
Reference data gap:
70% of required data will be current use for a number of other reporting requirements, but we approximate 30% of
the reference data could be new and pose a real challenge. Firms will need to do a careful reckoning of their security/
reference master dictionaries to identify this gap across all security types.
Analytic gap:
The calculation and/or the sourcing of the risk metrics is probably the most daunting of the challenges for
some managers where the analytic requirement is not familiar. Determining which of the existing vendors can
calculate the analytics, and then confirming these vendors can tap into the source data required to feed the
risk engine will be a critical element in most firms’ implementation programs.

5. Costs:
This will not be a ‘quick and easy’ type response, but rather a long, painful and
potentially costly journey, both in the initial build and in the ongoing operating
model, although the XML electronic filing will help in terms of ongoing costs.
From the view of resourcing alone, firms are looking at potentially needing to
double existing reporting teams. Remember: the data set to be reported is
expected to be at least double current size – double the amount of data in half
the time. Many firms will need to be four times as efficient just to keep costs
level!
Building a Hub
As a result of these challenges, many firms will be looking to
leverage a regulatory reporting hub to serve as a strategic
reporting platform; if they don’t have an existing strategic
regulatory project to tap into, many firms will use Form
ISSUES
A note on Rule 18f-4:
The SEC is also proposing amendments to Form N-PORT which
needs to be noted. 18f-4 is an exemptive rule with respect to
a fund’s use of derivatives and leverage. The proposal requires
segregation of assets, limitations on the use of derivatives
and other leveraging arrangements. These Form N-PORT
additions include risk metrics relating to some derivatives, but
only for funds that are required to adopt a DRMP (derivative
risk management program) which would also include the
appointment of a derivatives management officer.
Rule 18f-4

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