In accordance with the requirements of the Audit Guide and ASC 946-210-50-4 through 50-6, nonregistered investment companies are required to include a condensed schedule of investments. Minimum disclosures include categorization by (i) type of investment (i.e., common stocks, preferred stocks, corporate bonds, etc.), (ii) country or geographical region, (iii) industry, and (iv) derivatives, where the underlying is not a security. The percent of the nonregistered investment company's net assets that each such category represents should be reported, as well as the total assigned value and cost for categories (i) and (ii). For individual security investments and for aggregate investments of any one issuer exceeding five percent of net assets, the condensed portfolio of investments should include the issuer name, shares or principal amount of each investment, type of investment, and assigned value. Long and short positions in the same security (i.e., boxed positions) should be evaluated gross for purposes of the five percent test. To the extent that one (or both) of the components is (are) required to be disclosed, such component(s) should be disclosed on the schedule of investments because there may be market risk if one position is removed before the other or experiences settlement costs or losses upon disposition. In the event that only one of the positions is required to be disclosed, a nonregistered investment company is not precluded from disclosing both positions. If a nonregistered investment company has a long position that exceeds five percent of net assets and a short position in the same issuer that is less than five percent of net assets, the nonregistered investment company is not required to disclose both the long and short position in the condensed schedule of investments.

The Audit Guide and ASC 946-210-50-6 require that the number of contracts and range of expiration or maturity dates should be presented in the condensed portfolio of investments if the fair value (or, the cumulative appreciation/depreciation for open futures contracts) of derivatives positions in an underlying exceed five percent of net assets, regardless of counterparty. A nonregistered investment company may hold one or more securities of the same issuer and one or more derivative contracts for which the underlying is a security of the same issuer. The disclosure on the condensed schedule of investments should be consistent with the classification of the securities or contracts on the statement of assets and liabilities. Those securities (market value) and derivative contracts (appreciation or fair value) that are classified as assets should be aggregated. To the extent that the sum constitutes more than five percent of net assets, each position must be presented separately in the condensed schedule of investments. The investment company should similarly sum all of the positions classified as liabilities and determine whether or not they exceed five percent. The netting concepts allowed by ASC 210-20 are not considered when determining disclosures in the condensed schedule of investments. TIS Section 6910.18 includes illustrative examples.

Investments in other investment companies ("investees") are considered individual investments in accordance with 946-210-50-8. Thus, to the extent that any individual investee exceeds five percent of net assets of the nonregistered investment company, separate disclosure in the condensed portfolio of investments is required. In addition, for investments in investees comprising greater than five percent of net assets, the Audit Guide and ASC 946-210-50-9 require disclosure of the investment objectives, and restrictions on redemption (i.e., liquidity provisions) applicable to the investment. An additional requirement is to "look through" all investees to determine if the nonregistered investment company's aggregate pro rata portion of any security investment exceeds five percent of net assets thus requiring the disclosure items noted above. Because investees will generally disclose only those investments that exceed five percent of their respective net assets, the nonregistered investment company, to the extent that it invests in other investment companies, will generally be unable to identify all investments which exceed five percent of its net assets. This limitation should be disclosed in the nonregistered investment company's financial statements.

TIS Section 6910.30, Disclosure Requirements of Investments for Nonregistered Investment Partnerships When Their Interest in an Investee Fund Constitutes Less Than 5 Percent of the Nonregistered Investment Partnership’s Net Assets, provides clarification that a non-registered investment partnership that owns an interest in an investee fund that constitutes less than five percent of the nonregistered investment partnership’s net assets should apply the guidance in ASC 946-210-50-8 through 50-9 to that interest. The TPA specifies that this guidance also applies to limited liability companies, fund of funds, special purpose vehicles, and disregarded entities.

In accordance with ASC 946-210-50-8 through 50-9 (formerly SOP 95-2, paragraph 12), nonregistered investment partnerships that own interests in other investment partnerships ("investee funds") are required to disclose the investment partnership’s proportional share of any underlying investment owned (either directly or through an investee fund) in any issuer that exceeds five percent of the reporting investment partnership’s net assets at the reporting date. Because an investee fund may have issued debt to purchase investments or may have significant short positions or other liabilities, the reporting investment partnership’s proportional share of the investee fund’s investments in an individual issuer may exceed five percent of the reporting investment partnership’s net assets, even though the amount of the investment in the investee fund does not exceed five percent of the reporting investment partnership’s net assets.

TIS Section 6910.31, The Nonregistered Investment Partnership’s Method for Calculating Its Proportional Share of Any Investments Owned by an Investee Fund in Applying the "5 Percent Test" Described in TIS Section 6910.30, describes the methodology for a non-registered investment partnership's calculation of its proportional share of any investment owned to apply the "5 percent test." According to the guidance within this TPA, a reporting non-registered investment partnership should calculate its proportional share of any investments owned by the investee fund using its percentage ownership of the investee fund. Consistent with the guidance for an investment partnership's direct investments, indirect long and short positions of the same issuer held by the investee fund should not be netted. The disclosure of investments in issuers exceeding five percent of reporting investment partnership net assets should be made either on the face of the condensed schedule of investments or within the financial statement footnotes.