FORM SHO
INFORMATION REQUIRED OF INSTITUTIONAL
INVESTMENT MANAGERS PURSUANT TO SECTION 13(f)(2) OF THE SECURITIES EXCHANGE ACT OF 1934 AND RULES THEREUNDER
GENERAL INSTRUCTIONS
Rule as to Use of Form SHO. Institutional investment managers (“Managers”) must use Form SHO for reports to the Commission required by Rule 13f-2 [17 CFR 240.13f-2] promulgated under section 13(f)(2) of the Securities Exchange Act of 1934 [15 U.S.C. 78m(f)(2)] (“Exchange Act”). A Manager shall file a report on Form SHO in accordance with these instructions with the Commission within 14 calendar days after the end of each calendar month with regard to:
| (1) | each equity security that is of a class of securities that is registered pursuant to section 12 of the Exchange Act or for which the issuer of that class of securities is required to file reports pursuant to section 15(d) of the Exchange Act over which the Manager and all accounts over which the Manager (or any person under the Manager’s control) has investment discretion with respect to either (A) a monthly average gross short position at the close of regular trading hours in the equity security with a value of $10 million or more, or (B) a monthly average gross short position at the close of regular trading hours as a percentage of shares outstanding in the equity security of 2.5 percent or more; and |
| (2) | each equity security that is of a class of securities that is not registered pursuant to section 12 of the Exchange Act or for which the issuer is not required to file reports pursuant to section 15(d) of the Exchange Act over which the Manager and all accounts over which the Manager (or any person under the Manager’s control) has investment discretion with respect to a gross short position in the equity security with a U.S. dollar value of $500,000 or more at the close of regular trading hours on any settlement date during the calendar month. For purposes of Rule 13f-2 and Form SHO, “regular trading hours” shall have the meaning ascribed in Rule 600(b)(77) under the Exchange Act [17 CFR 242.600(b)(77)]. |
Amendment. A Manager that determines that it has filed a Form SHO with errors that affect the accuracy of the short sale data reported must file an amended and restated Form SHO within ten (10) calendar days of discovering the error.
Rules to Prevent Duplicative Reporting. If two or more Managers, each of which is required by Rule 13f-2 to file Form SHO for the reporting period, exercise investment discretion with respect to the same securities, only one such Manager must report the information in its report on Form SHO. If a Manager has information that is required to be reported on Form SHO and such information is reported by another Manager (or Managers), such Manager must identify the Manager(s) reporting on its behalf in the manner described in Special Instruction 5.
Filing of Form SHO. A reporting Manager must file Form SHO with the Commission via the Commission’s Electronic Data Gathering, Analysis, and Retrieval system (“EDGAR”), in accordance with Regulation S-T. The Commission plans to publish certain data from the filings on an aggregated basis.
Confidentiality. All information included in a Form SHO report is deemed subject to a confidential treatment request under 17 CFR 200.83. The Commission plans to publish only aggregated data derived from information provided in Form SHO reports.
Technical filing errors may cause delays in the filing of Form SHO. Technical support for making Form SHO reports is available through EDGAR Filer Support.
INSTRUCTIONS FOR CALCULATING REPORTING THRESHOLD
A Manager shall file a report on Form SHO:
| · | with regard to each equity security that is of a class of securities that is registered pursuant to section 12 of the Exchange Act or for which the issuer is required to file reports pursuant to section 15(d) of the Exchange Act (a “reporting company issuer”) in either of the following circumstances: (1) the Manager and all accounts over which the Manager or any person under the Manager’s control has investment discretion that are a monthly average gross short position at the close of regular trading hours in the equity security with a U.S. dollar value of $10 million or more, or (2) the Manager and all accounts over which the Manager or any person under the Manager’s control has investment discretion that are a monthly average gross short position at the close of regular trading hours as a percentage of shares outstanding in the equity security of 2.5 percent or more (“Threshold A”). |
| · | with regard to each equity security that is of a class of securities of an issuer that is not a reporting company issuer as described above (a “non-reporting company issuer”), when the Manager and all accounts over which the Manager or any person under the Manager’s control has investment discretion that are a gross short position in the equity security with a U.S. dollar value of $500,000 or more at the close of regular trading hours on any settlement date during the calendar month (“Threshold B”). |
With respect to each equity security to which the circumstances described in Threshold A or Threshold B applies, the Manager shall report the information, as described in the “Special Instructions” below, aggregated across accounts over which the Manager, or any person under the Manager’s control, has investment discretion.
To determine whether the dollar value threshold described in (1) of Threshold A above is met, a Manager shall determine its gross short position at the close of regular trading hours in the equity security (as defined in Rule 13f-2) on each settlement date during the calendar month and multiply that figure by the closing price at the close of regular trading hours on the settlement date (“end of day dollar value”). The Manager shall then add all end of day dollar values during the calendar month and divide that sum by the number of settlement dates in the month to arrive at a “monthly average” for each equity security the Manager traded during that calendar month reporting period.
To determine whether the dollar value threshold described in Threshold B above is met, a Manager shall determine its gross short position at the close of regular trading hours in the equity security (as defined in Rule 13f-2) on each settlement date during the calendar month and multiply that figure by the closing price at the close of regular trading hours on the settlement date. If such closing price is not available, a Manager shall use the price at which it last purchased or sold any share of that security.
To determine whether the percentage threshold described in (2) of Threshold A above is met, the Manager shall (a) determine its gross short position at the close of regular trading hours in the equity security (as defined in Rule 13f-2) on each settlement date during the calendar month, and divide that figure by the number of shares outstanding in such security at the close of regular trading hours on the settlement date, and (b) add up the daily percentages during the calendar month as determined in (a) and divide that sum by the number of settlement dates in the month to arrive at a “monthly average” for each equity security the Manager traded during that calendar month reporting period. The number of shares outstanding of the security for which information is being reported shall be determined by reference to an issuer’s most recent annual or quarterly report, and any subsequent update thereto, filed with the Commission.
SPECIAL INSTRUCTIONS
1. This form consists of two parts: the Cover Page, and the Information Tables.
Cover Page:
2. The period end date used in the report (and in the EDGAR submission header) is the last settlement day of the calendar month. The date shall name the month, and express the day and year in Arabic numerals, with the year being a four-digit numeral (e.g., 2023).
3. Amendments to Form SHO must restate the Form SHO in its entirety. If the Manager is filing the Form SHO report as an amendment, then the Manager must check the “Amendment and Restatement” box on the Cover Page; and enter the amendment number. Each Amendment and Restatement must include a complete Cover Page and Information Tables. Amendments must be filed sequentially.
| a. | In the space designated on the Cover of Page of each Amendment and Restatement, a Manager shall (1) provide a written description of the revision being made; (2) explain the reason for the revision; and (3) indicate whether data from any additional Form SHO reporting period(s) (up to the past 12 calendar months) is/are affected by the Amendment and Restatement. |
| b. | If (3) applies, a Manager shall complete and file a separate Amendment and Restatement for each previous calendar month so affected (up to the past 12 months) and provide a description of the revision being made and explain the reason for the revision. |
4. Present the Cover Page information in the format and order provided in the form, including the non-lapsed Legal Entity Identifier (“LEI”), if any, of the Manager filing the Form SHO report. The Cover Page shall include only the required information. Do not include any portions of the Information Tables on the Cover Page.
5. Designate the Report Type for the Form SHO by checking the appropriate box in the Report Type section of the Cover Page, and include, where applicable, the Name and non-lapsed LEI (if available) of each of the Other Managers Reporting for this Manager on the Cover Page, and the Information Tables, as follows:
| a. | If all of the information that a Manager is required by Rule 13f-2 to report on Form SHO is reported by another Manager (or Managers), check the box for Report Type “FORM SHO NOTICE,” include on the Cover Page the Name and non-lapsed LEI (if available) of each of the Other Managers Reporting for this Manager, and omit the Information Tables. |
| b. | If all of the information that a Manager is required by Rule 13f-2 to report on Form SHO is reported in this report, check the box for Report Type “FORM SHO ENTRIES REPORT,” omit the “Name and Non-Lapsed LEI (if available) of each of the Other Managers Reporting for this Manager” section of the Cover Page, and include the Information Tables. |
| c. | If only a part of the information that a Manager is required by Rule 13f-2 to report on Form SHO is reported in this report, check the box for Report Type “FORM SHO COMBINATION REPORT,” include on the Cover Page the name and non- lapsed LEI (if available) of each of the Other Managers Reporting for this Manager, and include the Information Tables. |
Information Tables:
6. Do not include any additional information in the Information Tables. Do not include any portions of the Information Tables on the Cover Page.
7. In reporting information required on Information Tables 1 and 2, Managers must account for a gross short position in an ETF, and activity that results in the acquisition or sale of shares of the ETF resulting from call options exercises or assignments; put options exercises or assignments; tendered conversions; secondary offering transactions; or other activity, as discussed further below. In determining its gross short position in an equity security, however, a Manager is not required to consider short positions that the ETF holds in individual underlying equity securities that are part of the ETF basket.
8. Instructions for Information Table 1 — Manager’s Gross Short Position:
| a. | Column 1. Settlement Date. Enter in Column 1 the last day of the calendar month of the reporting period on which a trade settles (“settlement date”). |
| b. | Column 2. Issuer Name. Enter in Column 2 the name of the issuer of the security for which information is being reported. Reasonable abbreviations are permitted. |
| c. | Column 3. Issuer LEI. If the issuer has an LEI, enter the issuer’s LEI in Column 3. |
| d. | Column 4. Title of Class. Enter in Column 4 the title of the class of the security for which information is being reported. Reasonable abbreviations are permitted. |
| e. | Column 5. CUSIP Number. Enter in Column 5 the nine (9) digit CUSIP number of the security for which information is being reported, if applicable. |
| f. | Column 6. FIGI. Enter in Column 6 the twelve (12) character, alphanumeric Financial Instrument Global Identifier (“FIGI”) of the security for which information is being reported, if a FIGI has been assigned. |
| g. | Column 7. End of Month Gross Short Position (Number of Shares). Enter in Column 7 the number of shares that represent the Manager’s gross short position in the security for which information is being reported at the close of regular trading hours on the last settlement date of the calendar month of the reporting period. The term “gross short position” means the number of shares of the security for which information is being reported that are held short, without inclusion of any offsetting economic positions— including shares of the reportable equity security or derivatives of such security. |
| h. | Column 8. End of Month Gross Short Position (rounded to nearest USD). Enter in Column 8 the U.S. dollar value of the shares reported in Column 7, rounded to the nearest dollar. A Manager shall report the corresponding dollar value of the reported gross short position by multiplying the number of shares of the security for which information is being reported by the closing price at the close of regular trading hours on the last settlement date of the calendar month. In circumstances where such closing price is not available, the Manager shall use the price at which it last purchased or sold any share of that security. |
INFORMATION TABLE 1 – Manager’s Monthly Gross Short Position
| Column 1 | Column 2 | Column 3 | Column 4 | Column 5 | Column 6 | Column 7 | Column 8 |
| Settlement Date (Month End) |
Issuer Name | Issuer LEI | Title of Class | CUSIP Number | FIGI | End of Month Gross Short Position (Number of Shares) | End of Month Gross Short Position (rounded to nearest USD) |
(Repeat as Necessary)
9. Instructions for Information Table 2—Daily Activity Affecting Manager’s Gross Short
Position During the Reporting Period:
| a. | Column 1. Settlement Date. Enter in Column 1 each date during the reporting period on which a trade settles (settlement date). The Manager shall report information for each settlement date during the calendar month reporting period as described in these instructions. |
| b. | Column 2. Issuer Name. Enter in Column 2 the name of the issuer of the equity security for which information is being reported. Reasonable abbreviations are permitted. |
| c. | Column 3. Issuer LEI. If the issuer has an LEI, enter the issuer’s LEI in Column 3. |
| d. | Column 4. Title of Class. Enter in Column 4 the title of the class of the security for which information is being reported. Reasonable abbreviations are permitted. |
| e. | Column 5. CUSIP Number. Enter in Column 5 the nine (9) digit CUSIP number of the security for which information is being reported, if applicable. |
| f. | Column 6. FIGI. Enter in Column 6 the twelve (12) character, alphanumeric FIGI of the security for which information is being reported, if a FIGI has been assigned. |
| g. | Column 7. Net Change in Short Position (Number of Shares). For the settlement date set forth in Column 1, enter the net change in short position (represented as a number of shares) reflecting how the reported gross short position in shares of the security for which information is being reported are being closed out—or increased—as a result of the acquisition or sale of shares of that equity security, by taking into account: |
| 1) | Short sales of the security that settled on that date. |
| 2) | Shares of the security that were purchased to cover, in whole or in part, an existing short position and settled on that date. |
| 3) | Shares of the security that were acquired in a call option exercise that reduces or closes a short position on that security and settled on that date. |
| 4) | Shares of the security that were sold in a put option exercise that creates or increases a short position on that security and settled on that date. |
| 5) | Shares of the security that were sold in a call option assignment that creates or increases a short position on that security and settled on that date. |
| 6) | Shares of the security that were acquired in a put option assignment that reduces or closes a short position on that security and settled on that date. |
| 7) | Shares of the security for which information is being reported that were acquired as a result of the tendered conversions that reduces or closes a short position on that security and settled on that date. |
| 8) | Shares of the security that were obtained through a secondary offering transaction that reduces or closes a short position on that security and settled on that date. Such secondary offering purchases must be reported whether they occurred outside or within the restricted period of Rule 105 of Regulation M, 17 CFR 242.105, which prohibits purchasing offering shares within the restricted period after selling short. |
| 9) | Shares of the security that resulted from other activity not previously reported on this form that creates or increases a short position on that security and settled on that date, or that reduces or closes a short position on that security and settled on that date. |
| 10) | Activity other than (1) through (9) above that creates or increases, or reduces or closes, a short position on that security, including, but not limited to, shares resulting from ETF creation or redemption activity. |
INFORMATION TABLE 2 – Daily Activity Affecting Manager’s Gross Short Position During the Reporting Period
| Column 1 | Column 2 | Column 3 | Column 4 | Column 5 | Column 6 | Column 7 |
| Settlement Date | Issuer Name | Issuer LEI | Title of Class | CUSIP Number | FIGI | Net Change in Short Position (Number of Shares) |
(Repeat as Necessary)