17 CFR § 210.12-13C - Open swap contracts.

§ 210.12-13C Open swap contracts.

[For management investment companies only]

Col. A Col. B Col. C Col. D Col. E Col. F Col. G Col. H
Description and terms of payments to be received from another party 1 2 3 Description and terms of payments to be paid to another party 1 2 3 Counterparty 4 Maturity date Notional amount Value Upfront payments/receipts Unrealized appreciation/
depreciation. 5 6 7

1 List each major category of swaps by descriptive title (e.g., credit default swaps, interest rate swaps, total return swaps). Credit default swaps where protection is sold shall be listed separately from credit default swaps where protection is purchased.

2 Swaps where description, counterparty, or maturity dates differ shall be listed separately within each major category.

3 Description should include information sufficient for a user of financial information to understand the terms of payments to be received and paid. (e.g. For a credit default swap, including, among other things, description of reference obligation(s) or index, financing rate to be paid or received, and payment frequency. For an interest rate swap, this may include, among other things, whether floating rate is paid or received, fixed interest rate, floating interest rate, and payment frequency. For a total return swap, this may include, among other things, description of reference asset(s) or index, financing rate, and payment frequency.) If the reference instrument is an index or basket of investments, and the components are publicly available on a Web site as of the balance sheet date, identify the index or basket. If the reference instrument is an index or basket of investments, the components are not publicly available on a Web site as of the balance sheet date, and the notional amount of the swap contract does not exceed one percent of the net asset value of the registrant as of the close of the period, identify the index or basket. If the reference instrument is an index or basket of investments, the components are not publicly available on a Web site as of the balance sheet date, and the notional amount of the swap contract exceeds one percent of the net asset value of the registrant as of the close of the period provide a description of the index or custom basket and list separately: (i) The 50 largest components in the index or custom basket and (ii) any other components where the notional value for that components exceeds 1% of the notional value of the index or custom basket. For each investment separately listed, include the description of the underlying investment as would be required by §§ 210.12-12, 210.12-13, 210.12-13A, 210.12-13B, or 210.12-13D as part of the description, the quantity held (e.g., the number of shares for common stocks, principal amount for fixed income securities), the value at the close of the period, and the percentage value when compared to the custom basket's net assets.

4 Not required for exchange-traded or centrally cleared swaps.

5 Indicate by an appropriate symbol each investment which cannot be sold because of restrictions or conditions applicable to the investment.

6 Indicate by an appropriate symbol each investment whose value was determined using significant unobservable inputs.

7 Columns G and H shall be totaled and shall agree with the total of correlative amount(s) shown on the related balance sheet.

[81 FR 82017, Nov. 18, 2016]

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