Search N-PORT Filings With Python
In this guide, we'll explore how to find N-PORT filings and holding information using different search expressions.
Quick Start
pip install sec-api
from sec_api import FormNportApi
nportApi = FormNportApi("YOUR_API_KEY")
search_query = {
"query": "fundInfo.totAssets:[100000000 TO *]",
"from": "0",
"size": "10",
"sort": [{"filedAt": {"order": "desc"}}],
}
response = nportApi.get_data(search_query)
response["filings"][0]
import pandas as pd
df = pd.json_normalize(response["filings"])
Find N-PORT filings with more than $100 million in total assets
We start with installing the sec-api Python package.
pip install sec-api
Initilize the FormNportApi with your API key so that your requests are automatically authenticated.
from sec_api import FormNportApi
nportApi = FormNportApi("YOUR_API_KEY")
Next, we define our search_query:
fundInfo.totAssets:[100000000 TO *]
The search expression looks for all N-PORT filings reporting total assets (totAssets) of $100 million and more.
The .get_data(search_query) function sends the search_query to the N-PORT API and returns the first ten N-PORT filings matching the search expression. The return value of the function represents a dictionary with two keys total and filings. total tells us how many N-PORT filings matched our query in total, and filings represents a list of dictionaries where each dictionary represents a filing.
The structure of a filing dictionary has the same structure as the API response described in the documentation here.
search_query = {
"query": "fundInfo.totAssets:[100000000 TO *]",
"from": "0",
"size": "10",
"sort": [{"filedAt": {"order": "desc"}}],
}
response = nportApi.get_data(search_query)
response["filings"][0]Out:
{'submissionType': 'NPORT-P',
'filerInfo': {'filer': {'issuerCredentials': {'cik': '0001537140',
'ccc': 'XXXXXXXX'}},
'seriesClassInfo': {'seriesId': 'S000037505',
'classId': ['C000115778', 'C000115777', 'C000115779']}},
'genInfo': {'regName': 'NORTHERN LIGHTS FUND TRUST III',
'regFileNumber': '811-22655',
'regCik': '0001537140',
'regLei': '549300PPUECJSQFBYV98',
'regStreet1': '225 PICTORIA DRIVE',
'regStreet2': 'SUITE 450',
'regCity': 'CINCINNATI',
'regStateConditional': {'regCountry': 'US', 'regState': 'US-OH'},
'regZipOrPostalCode': '45246',
'regPhone': '631-470-2600',
'seriesName': 'Swan Defined Risk Fund',
'seriesId': 'S000037505',
'seriesLei': '549300A86W0U1NC10X11',
'repPdEnd': '2023-06-30',
'repPdDate': '2022-09-30',
'isFinalFiling': 'N'},
'fundInfo': {'totAssets': 952319517.52,
'totLiabs': 57161473.68,
'netAssets': 895158043.84,
'assetsAttrMiscSec': 0,
'assetsInvested': 0,
'amtPayOneYrBanksBorr': 0,
'amtPayOneYrCtrldComp': 0,
'amtPayOneYrOthAffil': 0,
'amtPayOneYrOther': 0,
'amtPayAftOneYrBanksBorr': 0,
'amtPayAftOneYrCtrldComp': 0,
'amtPayAftOneYrOthAffil': 0,
'amtPayAftOneYrOther': 0,
'delayDeliv': 0,
'standByCommit': 0,
'liquidPref': 0,
'cshNotRptdInCorD': 16810102.62999999,
'isNonCashCollateral': 'N',
'returnInfo': {'monthlyTotReturns': {'monthlyTotReturn': [{'classId': 'C000115778',
'rtn1': 2.85,
'rtn2': -3.28,
'rtn3': -3.61},
{'classId': 'C000115777', 'rtn1': 2.98, 'rtn2': -3.24, 'rtn3': -3.5},
{'classId': 'C000115779', 'rtn1': 2.89, 'rtn2': -3.16, 'rtn3': -3.48}]},
'monthlyReturnCats': {'equityContracts': {'mon1': {'netRealizedGain': -3052200.57,
'netUnrealizedAppr': -43354666.67},
'mon2': {'netRealizedGain': -1101404.33, 'netUnrealizedAppr': 6780372.28},
'mon3': {'netRealizedGain': -2124444.47,
'netUnrealizedAppr': 46988087.23},
'optionCategory': {'instrMon1': {'netRealizedGain': -3052200.57,
'netUnrealizedAppr': -43354666.67},
'instrMon2': {'netRealizedGain': -1101404.33,
'netUnrealizedAppr': 6780372.28},
'instrMon3': {'netRealizedGain': -2124444.47,
'netUnrealizedAppr': 46988087.23}}}},
'othMon1': {'netRealizedGain': 0, 'netUnrealizedAppr': 75790040},
'othMon2': {'netRealizedGain': 7655645.18,
'netUnrealizedAppr': -43518577.75},
'othMon3': {'netRealizedGain': 9574759.68,
'netUnrealizedAppr': -89955768.85}},
'mon1Flow': {'redemption': -15187145.39,
'reinvestment': 0,
'sales': 11339550.27},
'mon2Flow': {'redemption': -19267846.58,
'reinvestment': 0,
'sales': 10224548.02},
'mon3Flow': {'redemption': -34520066.32,
'reinvestment': 0,
'sales': 6059747.32},
'varInfo': {'fundsDesignatedInfo': {'nameDesignatedIndex': 'S&P 500 (TR)',
'indexIdentifier': '500TR'}}},
'invstOrSecs': [{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'CONSUMER STAPLES SPDR',
'cusip': '81369Y308',
'identifiers': {'isin': {'value': 'US81369Y3080'}},
'balance': 604904,
'units': 'NS',
'curCd': 'USD',
'valUSD': 40365243.92,
'pctVal': 4.5092868458,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 12/16/22 P3400',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3400 12/16/2022'}},
'balance': -1062,
'units': 'NC',
'curCd': 'USD',
'valUSD': -11715865.82,
'pctVal': -1.30880417157,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -1062,
'exercisePrice': 3400,
'exercisePriceCurCd': 'USD',
'expDt': '2022-12-16',
'delta': None,
'unrealizedAppr': -2944435.22,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'REAL ESTATE SELECT SECT S',
'cusip': '81369Y860',
'identifiers': {'isin': {'value': 'US81369Y8600'}},
'balance': 436711.0002,
'units': 'NS',
'curCd': 'USD',
'valUSD': 15725963.12,
'pctVal': 1.756780629768,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 12/15/23 P3650',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3650 12/15/2023'}},
'balance': 584,
'units': 'NC',
'curCd': 'USD',
'valUSD': 21276387.1,
'pctVal': 2.376830242035,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 584,
'exercisePrice': 3650,
'exercisePriceCurCd': 'USD',
'expDt': '2023-12-15',
'delta': None,
'unrealizedAppr': -410481.61,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 C3775',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWC3775 09/30/2022'}},
'balance': -162,
'units': 'NC',
'curCd': 'USD',
'valUSD': 0,
'pctVal': 0,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -162,
'exercisePrice': 3775,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': 902017.76,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 10/21/22 C3870',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX C3870 10/21/2022'}},
'balance': -535,
'units': 'NC',
'curCd': 'USD',
'valUSD': -599538.51,
'pctVal': -0.06697571609,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -535,
'exercisePrice': 3870,
'exercisePriceCurCd': 'USD',
'expDt': '2022-10-21',
'delta': None,
'unrealizedAppr': 5505320.19,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 12/15/23 P4525',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P4525 12/15/2023'}},
'balance': 1048,
'units': 'NC',
'curCd': 'USD',
'valUSD': 90622098.91,
'pctVal': 10.12358650336,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 1048,
'exercisePrice': 4525,
'exercisePriceCurCd': 'USD',
'expDt': '2023-12-15',
'delta': None,
'unrealizedAppr': 42337543.4,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 P3775',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWP3775 09/30/2022'}},
'balance': 378,
'units': 'NC',
'curCd': 'USD',
'valUSD': 7158564,
'pctVal': 0.799698338104,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 378,
'exercisePrice': 3775,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': 5423525.42,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 11/18/22 P3260',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3260 11/18/2022'}},
'balance': -1055,
'units': 'NC',
'curCd': 'USD',
'valUSD': -5431519.02,
'pctVal': -0.60676648747,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -1055,
'exercisePrice': 3260,
'exercisePriceCurCd': 'USD',
'expDt': '2022-11-18',
'delta': None,
'unrealizedAppr': -1086025.87,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'TECHNOLOGY SELECT SECT SP',
'cusip': '81369Y803',
'identifiers': {'isin': {'value': 'US81369Y8030'}},
'balance': 1335463,
'units': 'NS',
'curCd': 'USD',
'valUSD': 158626295.14,
'pctVal': 17.72047921946,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 P3575',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWP3575 09/30/2022'}},
'balance': 162,
'units': 'NC',
'curCd': 'USD',
'valUSD': 0,
'pctVal': 0,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 162,
'exercisePrice': 3575,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': -166096.84,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 12/16/22 P3025',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3025 12/16/2022'}},
'balance': 1062,
'units': 'NC',
'curCd': 'USD',
'valUSD': 4400718.7,
'pctVal': 0.491613601674,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 1062,
'exercisePrice': 3025,
'exercisePriceCurCd': 'USD',
'expDt': '2022-12-16',
'delta': None,
'unrealizedAppr': 1192789.3,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 P3975',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWP3975 09/30/2022'}},
'balance': -540,
'units': 'NC',
'curCd': 'USD',
'valUSD': -21026520,
'pctVal': -2.34891705936,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -540,
'exercisePrice': 3975,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': -15229646.54,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'CONSUMER DISCRETIONARY SE',
'cusip': '81369Y407',
'identifiers': {'isin': {'value': 'US81369Y4070'}},
'balance': 488791,
'units': 'NS',
'curCd': 'USD',
'valUSD': 69628277.95,
'pctVal': 7.778322322984,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'FIRST AMERN FDS INC',
'lei': '549300J5J5SJCZ9IA369',
'title': 'FRST AM-GV OB-X',
'cusip': '31846V336',
'identifiers': {'isin': {'value': 'US31846V3362'}},
'balance': 424470.83,
'units': 'PA',
'curCd': 'USD',
'valUSD': 424470.83,
'pctVal': 0.047418534963,
'payoffProfile': 'Long',
'assetCat': 'STIV',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 10/21/22 P3870',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3870 10/21/2022'}},
'balance': -535,
'units': 'NC',
'curCd': 'USD',
'valUSD': -15551890.21,
'pctVal': -1.7373345765,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -535,
'exercisePrice': 3870,
'exercisePriceCurCd': 'USD',
'expDt': '2022-10-21',
'delta': None,
'unrealizedAppr': -8917916.51,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'FINANCIAL SELECT SECTOR S',
'cusip': '81369Y605',
'identifiers': {'isin': {'value': 'US81369Y6059'}},
'balance': 2191869,
'units': 'NS',
'curCd': 'USD',
'valUSD': 66545142.84,
'pctVal': 7.433898773286,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 11/18/22 C4040',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX C4040 11/18/2022'}},
'balance': -1055,
'units': 'NC',
'curCd': 'USD',
'valUSD': -1237175.5,
'pctVal': -0.13820749403,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -1055,
'exercisePrice': 4040,
'exercisePriceCurCd': 'USD',
'expDt': '2022-11-18',
'delta': None,
'unrealizedAppr': 1136280,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'ENERGY SELECT SECTOR SPDR',
'cusip': '81369Y506',
'identifiers': {'isin': {'value': 'US81369Y5069'}},
'balance': 379782,
'units': 'NS',
'curCd': 'USD',
'valUSD': 27351899.64,
'pctVal': 3.055538608877,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 12/15/23 P4700',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P4700 12/15/2023'}},
'balance': 478,
'units': 'NC',
'curCd': 'USD',
'valUSD': 47886920.89,
'pctVal': 5.349549302442,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 478,
'exercisePrice': 4700,
'exercisePriceCurCd': 'USD',
'expDt': '2023-12-15',
'delta': None,
'unrealizedAppr': 21149378.4,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'UTILITIES SELECT SECTOR S',
'cusip': '81369Y886',
'identifiers': {'isin': {'value': 'US81369Y8865'}},
'balance': 275716,
'units': 'NS',
'curCd': 'USD',
'valUSD': 18062155.16,
'pctVal': 2.017761587944,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 C4175',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWC4175 09/30/2022'}},
'balance': 540,
'units': 'NC',
'curCd': 'USD',
'valUSD': 0,
'pctVal': 0,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 540,
'exercisePrice': 4175,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': -1347866.54,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 11/18/22 C4200',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX C4200 11/18/2022'}},
'balance': -1059,
'units': 'NC',
'curCd': 'USD',
'valUSD': -405512.82,
'pctVal': -0.04530069553,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -1059,
'exercisePrice': 4200,
'exercisePriceCurCd': 'USD',
'expDt': '2022-11-18',
'delta': None,
'unrealizedAppr': 1305779.13,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 11/18/22 C4000',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX C4000 11/18/2022'}},
'balance': 1059,
'units': 'NC',
'curCd': 'USD',
'valUSD': 1648646.43,
'pctVal': 0.184173782645,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 1059,
'exercisePrice': 4000,
'exercisePriceCurCd': 'USD',
'expDt': '2022-11-18',
'delta': None,
'unrealizedAppr': -4328401.62,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 10/21/22 C4070',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX C4070 10/21/2022'}},
'balance': 535,
'units': 'NC',
'curCd': 'USD',
'valUSD': 75906.76,
'pctVal': 0.008479704843,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 535,
'exercisePrice': 4070,
'exercisePriceCurCd': 'USD',
'expDt': '2022-10-21',
'delta': None,
'unrealizedAppr': -1663939.54,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPX US 10/21/22 P3670',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPX P3670 10/21/2022'}},
'balance': 535,
'units': 'NC',
'curCd': 'USD',
'valUSD': 7649767.29,
'pctVal': 0.854571697438,
'payoffProfile': 'Long',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Put',
'writtenOrPur': 'Purchased',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': 535,
'exercisePrice': 3670,
'exercisePriceCurCd': 'USD',
'expDt': '2022-10-21',
'delta': None,
'unrealizedAppr': 4624315.99,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'HEALTH CARE SELECT SECTOR',
'cusip': '81369Y209',
'identifiers': {'isin': {'value': 'US81369Y2090'}},
'balance': 751207,
'units': 'NS',
'curCd': 'USD',
'valUSD': 90978679.77,
'pctVal': 10.16342090606,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'INDUSTRIAL SELECT SECT SP',
'cusip': '81369Y704',
'identifiers': {'isin': {'value': 'US81369Y7040'}},
'balance': 573195,
'units': 'NS',
'curCd': 'USD',
'valUSD': 47483473.8,
'pctVal': 5.304479373978,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Ishares Trust',
'lei': '5493000860OXIC4B5K91',
'title': 'ISHARES CORE S&P 500 ETF',
'cusip': '464287200',
'identifiers': {'isin': {'value': 'US4642872000'}},
'balance': 432000,
'units': 'NS',
'curCd': 'USD',
'valUSD': 154936800,
'pctVal': 17.30831790723,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'MATERIALS SELECT SECTOR S',
'cusip': '81369Y100',
'identifiers': {'isin': {'value': 'US81369Y1001'}},
'balance': 224769,
'units': 'NS',
'curCd': 'USD',
'valUSD': 15286539.69,
'pctVal': 1.707691708206,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'N/A',
'lei': 'N/A',
'title': 'SPXW US 09/30/22 C3975',
'cusip': 'N/A',
'identifiers': {'other': {'otherDesc': 'Internal ID',
'value': 'SPXWC3975 09/30/2022'}},
'balance': -378,
'units': 'NC',
'curCd': 'USD',
'valUSD': 0,
'pctVal': 0,
'payoffProfile': 'Short',
'assetCat': 'DE',
'issuerCat': 'CORP',
'invCountry': 'N/A',
'isRestrictedSec': 'N',
'fairValLevel': '2',
'derivativeInfo': {'optionSwaptionWarrantDeriv': {'counterparties': [{'counterpartyName': 'GOLDMAN SACHS',
'counterpartyLei': 'N/A'}],
'putOrCall': 'Call',
'writtenOrPur': 'Written',
'descRefInstrmnt': {'indexBasketInfo': {'indexName': 'S&P Indices INDEX',
'indexIdentifier': '78378X107'}},
'shareNo': -378,
'exercisePrice': 3975,
'exercisePriceCurCd': 'USD',
'expDt': '2022-09-30',
'delta': None,
'unrealizedAppr': 3955751.42,
'derivCat': 'OPT'}},
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Select Sector Spdr',
'lei': '5493008JJKIPMEX3CO91',
'title': 'COMM SERV SELECT SECTOR S',
'cusip': '81369Y852',
'identifiers': {'isin': {'value': 'US81369Y8527'}},
'balance': 1029751,
'units': 'NS',
'curCd': 'USD',
'valUSD': 49314775.39,
'pctVal': 5.509057951202,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'RF',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}}],
'explntrNotes': {'explntrNote': [{'note': 'Returns are reported without deducting sales loads and redemption fees, if any.',
'noteItem': 'B.5.a'}]},
'signature': {'dateSigned': '2022-10-28',
'nameOfApplicant': 'NORTHERN LIGHTS FUND TRUST III',
'signature': 'Brian Curley',
'signerName': 'Brian Curley',
'title': 'Treasurer'},
'accessionNo': '0001752724-22-276177',
'filedAt': '2022-12-01T14:46:00-05:00',
'id': '097ed38b18f4e4644bf33f2e2dcc6c30'}Find N-PORT filings with a specific holding company
The next N-PORT query example finds all reports with investments in the company Confluent (ticker: CFLT).
search_query = {
"query": "invstOrSecs.identifiers.ticker.value:CFLT",
"from": "0",
"size": "10",
"sort": [{"filedAt": {"order": "desc"}}],
}
response = nportApi.get_data(search_query)
response["filings"][0]Out:
{'submissionType': 'NPORT-P',
'filerInfo': {'filer': {'issuerCredentials': {'cik': '0000916053',
'ccc': 'XXXXXXXX'}},
'seriesClassInfo': {'seriesId': 'S000003668',
'classId': ['C000010227',
'C000010228',
'C000010229',
'C000010230',
'C000010231',
'C000093671',
'C000140361']}},
'genInfo': {'regName': 'MASSMUTUAL SELECT FUNDS',
'regFileNumber': '811-08274',
'regCik': '0000916053',
'regLei': 'PJVR01EN4PJWVNUIQ236',
'regStreet1': '1295 State Street',
'regCity': 'Springfield',
'regStateConditional': {'regCountry': 'US', 'regState': 'US-MA'},
'regZipOrPostalCode': '01111-0001',
'regPhone': '4137441000',
'seriesName': 'MassMutual Small Cap Growth Equity Fund',
'seriesId': 'S000003668',
'seriesLei': '9T0957ZK0MF24NE45C35',
'repPdEnd': '2022-09-30',
'repPdDate': '2022-09-30',
'isFinalFiling': 'N'},
'fundInfo': {'totAssets': 536010324.95,
'totLiabs': 9428362.65,
'netAssets': 526581962.3,
'assetsAttrMiscSec': 0,
'assetsInvested': 0,
'amtPayOneYrBanksBorr': 0,
'amtPayOneYrCtrldComp': 0,
'amtPayOneYrOthAffil': 0,
'amtPayOneYrOther': 0,
'amtPayAftOneYrBanksBorr': 0,
'amtPayAftOneYrCtrldComp': 0,
'amtPayAftOneYrOthAffil': 0,
'amtPayAftOneYrOther': 0,
'delayDeliv': 0,
'standByCommit': 0,
'liquidPref': 0,
'cshNotRptdInCorD': 17685.37,
'borrowers': {'borrower': [{'aggrVal': 8618227.23,
'lei': 'G5GSEF7VJP5I7OUK5573',
'name': 'BARCLAYS BANK PLC'},
{'aggrVal': 2263462.24,
'lei': 'AC28XWWI3WIBK2824319',
'name': 'BARCLAYS CAPITAL INC.'},
{'aggrVal': 1496648.75,
'lei': '2J5703FH5U5M97R1I237',
'name': 'BNP PARIBAS SECURITIES CORPORATION'},
{'aggrVal': 4641374.08,
'lei': '549300HN4UKV1E2R3U73',
'name': 'BOFA SECURITIES, INC.'},
{'aggrVal': 3090131.9,
'lei': 'FOR8UP27PHTHYVLBNG30',
'name': 'GOLDMAN SACHS & CO. LLC'},
{'aggrVal': 1872342.28,
'lei': 'ZBUT11V806EZRVTWT807',
'name': 'JP MORGAN SECURITIES LLC'},
{'aggrVal': 3248975.74,
'lei': '9R7GPTSO7KV3UQJZQ078',
'name': 'MORGAN STANLEY & CO. LLC.'},
{'aggrVal': 906344,
'lei': '549300BLWPABP1VNME36',
'name': 'SCOTIA CAPITAL (USA) INC.'},
{'aggrVal': 109896.99,
'lei': '549300F35UE0BOM1WJ55',
'name': 'SG AMERICAS SECURITIES, LLC'},
{'aggrVal': 286830,
'lei': 'T6FIZBDPKLYJKFCRVK44',
'name': 'UBS SECURITIES LLC'}]},
'aggregateCondition': {'aggregateInfos': {'aggregateInfo': [{'invstCat': 'UST',
'amt': 19173643.66,
'collatrl': 16901407.15},
{'invstCat': 'AMBS', 'amt': 2050575.48, 'collatrl': 1918619.3}]},
'isNonCashCollateral': 'Y'},
'returnInfo': {'monthlyTotReturns': {'monthlyTotReturn': [{'classId': 'C000010227',
'rtn1': -7.88,
'rtn2': -2.15,
'rtn3': 11.1},
{'classId': 'C000010228', 'rtn1': -7.78, 'rtn2': -2.15, 'rtn3': 11.06},
{'classId': 'C000010229', 'rtn1': -7.8, 'rtn2': -2.25, 'rtn3': 11.18},
{'classId': 'C000010230', 'rtn1': -7.77, 'rtn2': -2.17, 'rtn3': 11.11},
{'classId': 'C000010231', 'rtn1': -7.83, 'rtn2': -2.15, 'rtn3': 11.1},
{'classId': 'C000093671', 'rtn1': -7.79, 'rtn2': -2.11, 'rtn3': 11.06},
{'classId': 'C000140361', 'rtn1': -7.74, 'rtn2': -2.23, 'rtn3': 11.02}]},
'monthlyReturnCats': {},
'othMon1': {'netRealizedGain': -10209866.03,
'netUnrealizedAppr': -34187886.51},
'othMon2': {'netRealizedGain': -3696124.34,
'netUnrealizedAppr': -8840791.68},
'othMon3': {'netRealizedGain': -2558469.18,
'netUnrealizedAppr': 60386984.91}},
'mon1Flow': {'redemption': 4991452.21,
'reinvestment': 0,
'sales': 8659146.3},
'mon2Flow': {'redemption': 9255192.41,
'reinvestment': 0,
'sales': 6395814.85},
'mon3Flow': {'redemption': 18930195.82,
'reinvestment': 0,
'sales': 18423355.32}},
'invstOrSecs': [{'name': 'ACADIA HEALTHCARE CO INC',
'lei': '5493005CW985Y9D0NC11',
'title': 'COMMON STOCK USD.01',
'cusip': '00404A109',
'identifiers': {'isin': {'value': 'US00404A1097'},
'ticker': {'value': 'ACHC'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'B65VZ37'}},
'balance': 73857,
'units': 'NS',
'curCd': 'USD',
'valUSD': 5774140.26,
'pctVal': 1.096532102007,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ACLARIS THERAPEUTICS INC',
'lei': '5493000B2LQ9QTW1DF52',
'title': 'COMMON STOCK USD.00001',
'cusip': '00461U105',
'identifiers': {'isin': {'value': 'US00461U1051'},
'ticker': {'value': 'ACRS'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BYV2W40'}},
'balance': 56675,
'units': 'NS',
'curCd': 'USD',
'valUSD': 892064.5,
'pctVal': 0.169406581286,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ACUITY BRANDS INC',
'lei': 'N/A',
'title': 'COMMON STOCK USD.01',
'cusip': '00508Y102',
'identifiers': {'isin': {'value': 'US00508Y1029'},
'ticker': {'value': 'AYI'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2818461'}},
'balance': 13910,
'units': 'NS',
'curCd': 'USD',
'valUSD': 2190407.7,
'pctVal': 0.415967096638,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ACUSHNET HOLDINGS CORP',
'lei': '529900W5FI106H543E43',
'title': 'COMMON STOCK USD.001',
'cusip': '005098108',
'identifiers': {'isin': {'value': 'US0050981085'},
'ticker': {'value': 'GOLF'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BD3WG50'}},
'balance': 32690,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1421688.1,
'pctVal': 0.26998420033,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ADVANCED DRAINAGE SYSTEMS IN',
'lei': '6QQTOZ5MF5DHM7K92I60',
'title': 'COMMON STOCK USD.01',
'cusip': '00790R104',
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'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'TRINET GROUP INC',
'lei': '5299003FJVBETSFKE990',
'title': 'COMMON STOCK USD.000025',
'cusip': '896288107',
'identifiers': {'isin': {'value': 'US8962881079'},
'ticker': {'value': 'TNET'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2693914'}},
'balance': 51068,
'units': 'NS',
'curCd': 'USD',
'valUSD': 3637062.96,
'pctVal': 0.690692659527,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VALMONT INDUSTRIES',
'lei': '5493009ZGZJJ8F77JN08',
'title': 'COMMON STOCK USD1.0',
'cusip': '920253101',
'identifiers': {'isin': {'value': 'US9202531011'},
'ticker': {'value': 'VMI'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2926825'}},
'balance': 11166,
'units': 'NS',
'curCd': 'USD',
'valUSD': 2999410.92,
'pctVal': 0.569600011914,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VARONIS SYSTEMS INC',
'lei': '549300SHIVNRRH7STS26',
'title': 'COMMON STOCK USD.001',
'cusip': '922280102',
'identifiers': {'isin': {'value': 'US9222801022'},
'ticker': {'value': 'VRNS'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BJZ2ZR5'}},
'balance': 27199,
'units': 'NS',
'curCd': 'USD',
'valUSD': 721317.48,
'pctVal': 0.136981045999,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VERACYTE INC',
'lei': '529900ESWZRHXOW27Z37',
'title': 'COMMON STOCK USD.001',
'cusip': '92337F107',
'identifiers': {'isin': {'value': 'US92337F1075'},
'ticker': {'value': 'VCYT'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BFTWZY0'}},
'balance': 55446,
'units': 'NS',
'curCd': 'USD',
'valUSD': 920403.6,
'pctVal': 0.174788288604,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VERRA MOBILITY CORP',
'lei': '549300XX5EKGLR0M4152',
'title': 'COMMON STOCK USD.0001',
'cusip': '92511U102',
'identifiers': {'isin': {'value': 'US92511U1025'},
'ticker': {'value': 'VRRM'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BFXX5X8'}},
'balance': 212499,
'units': 'NS',
'curCd': 'USD',
'valUSD': 3266109.63,
'pctVal': 0.620247153118,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VIAVI SOLUTIONS INC',
'lei': '5493006K3E3N1QOBF092',
'title': 'COMMON STOCK USD.001',
'cusip': '925550105',
'identifiers': {'isin': {'value': 'US9255501051'},
'ticker': {'value': 'VIAV'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BYXB201'}},
'balance': 130558,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1703781.9,
'pctVal': 0.323554930093,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VICTORIA S SECRET + CO',
'lei': '5493006T3O70U3UWVF17',
'title': 'COMMON STOCK USD.01',
'cusip': '926400102',
'identifiers': {'isin': {'value': 'US9264001028'},
'ticker': {'value': 'VSCO'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BNNTGH3'}},
'balance': 47575,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1385384,
'pctVal': 0.26308990797,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VIPER ENERGY PARTNERS LP',
'lei': '5299009LINL232255G03',
'title': 'COMMON STOCK',
'cusip': '92763M105',
'identifiers': {'isin': {'value': 'US92763M1053'},
'ticker': {'value': 'VNOM'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BN8TKC1'}},
'balance': 163693,
'units': 'NS',
'curCd': 'USD',
'valUSD': 4691441.38,
'pctVal': 0.890923297013,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'VISTEON CORP',
'lei': '549300MOVLYHRW4GGW78',
'title': 'COMMON STOCK',
'cusip': '92839U206',
'identifiers': {'isin': {'value': 'US92839U2069'},
'ticker': {'value': 'VC'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'B4N0JJ6'}},
'balance': 10008,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1061448.48,
'pctVal': 0.201573269879,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WESCO INTERNATIONAL INC',
'lei': '529900TXOGREY3WNJ434',
'title': 'COMMON STOCK USD.01',
'cusip': '95082P105',
'identifiers': {'isin': {'value': 'US95082P1057'},
'ticker': {'value': 'WCC'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2416973'}},
'balance': 17761,
'units': 'NS',
'curCd': 'USD',
'valUSD': 2120308.18,
'pctVal': 0.402654920184,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WILLSCOT MOBILE MINI HOLDING',
'lei': '549300HJ4VIXF476Q166',
'title': 'COMMON STOCK USD.0001',
'cusip': '971378104',
'identifiers': {'isin': {'value': 'US9713781048'},
'ticker': {'value': 'WSC'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BMHL0Z4'}},
'balance': 182470,
'units': 'NS',
'curCd': 'USD',
'valUSD': 7359015.1,
'pctVal': 1.397506110513,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WINGSTOP INC',
'lei': '549300SSH3F8HPIM3Q47',
'title': 'COMMON STOCK USD.01',
'cusip': '974155103',
'identifiers': {'isin': {'value': 'US9741551033'},
'ticker': {'value': 'WING'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BYYXHN4'}},
'balance': 32606,
'units': 'NS',
'curCd': 'USD',
'valUSD': 4089444.52,
'pctVal': 0.776601709283,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WINTRUST FINANCIAL CORP',
'lei': 'Q774KI4AW80FHFW33O61',
'title': 'COMMON STOCK',
'cusip': '97650W108',
'identifiers': {'isin': {'value': 'US97650W1080'},
'ticker': {'value': 'WTFC'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2425258'}},
'balance': 24208,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1974162.4,
'pctVal': 0.374901257798,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WNS HOLDINGS LTD ADR',
'lei': '529900RM7QHUD3W9DM42',
'title': 'ADR USD.16',
'cusip': '92932M101',
'identifiers': {'isin': {'value': 'US92932M1018'},
'ticker': {'value': 'WNS'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'B194GX4'}},
'balance': 21632,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1770362.88,
'pctVal': 0.336198921867,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'JE',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'WORLD WRESTLING ENTERTAIN A',
'lei': '549300WZVLSCS3L4L698',
'title': 'COMMON STOCK USD.01',
'cusip': '98156Q108',
'identifiers': {'isin': {'value': 'US98156Q1085'},
'ticker': {'value': 'WWE'},
'other': {'otherDesc': 'SEDOL Number', 'value': '2503529'}},
'balance': 25876,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1815718.92,
'pctVal': 0.344812213481,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'XENIA HOTELS + RESORTS INC',
'lei': '54930075IWIPHF5IQL62',
'title': 'REIT USD.01',
'cusip': '984017103',
'identifiers': {'isin': {'value': 'US9840171030'},
'ticker': {'value': 'XHR'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BVV6CY1'}},
'balance': 100153,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1381109.87,
'pctVal': 0.262278233756,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'Y MABS THERAPEUTICS INC',
'lei': 'N/A',
'title': 'COMMON STOCK USD.0001',
'cusip': '984241109',
'identifiers': {'isin': {'value': 'US9842411095'},
'ticker': {'value': 'YMAB'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BG31GH0'}},
'balance': 30864,
'units': 'NS',
'curCd': 'USD',
'valUSD': 445058.88,
'pctVal': 0.084518443825,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ZENTALIS PHARMACEUTICALS INC',
'lei': 'N/A',
'title': 'COMMON STOCK USD.001',
'cusip': '98943L107',
'identifiers': {'isin': {'value': 'US98943L1070'},
'ticker': {'value': 'ZNTL'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BMQ5T49'}},
'balance': 29986,
'units': 'NS',
'curCd': 'USD',
'valUSD': 649496.76,
'pctVal': 0.123342006848,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ZIFF DAVIS INC',
'lei': '5493008OJYGLHD7MXA18',
'title': 'COMMON STOCK USD.01',
'cusip': '48123V102',
'identifiers': {'isin': {'value': 'US48123V1026'},
'ticker': {'value': 'ZD'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'B75DGJ3'}},
'balance': 24006,
'units': 'NS',
'curCd': 'USD',
'valUSD': 1643930.88,
'pctVal': 0.312188984374,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}},
{'name': 'ZURN ELKAY WATER SOLUTIONS C',
'lei': '549300AM3633XDFU1Q85',
'title': 'COMMON STOCK USD.01',
'cusip': '98983L108',
'identifiers': {'isin': {'value': 'US98983L1089'},
'ticker': {'value': 'ZWS'},
'other': {'otherDesc': 'SEDOL Number', 'value': 'BMV1ZD3'}},
'balance': 128088,
'units': 'NS',
'curCd': 'USD',
'valUSD': 3138156,
'pctVal': 0.595948252062,
'payoffProfile': 'Long',
'assetCat': 'EC',
'issuerCat': 'CORP',
'invCountry': 'US',
'isRestrictedSec': 'N',
'fairValLevel': '1',
'securityLending': {'isCashCollateral': 'N',
'isNonCashCollateral': 'N',
'isLoanByFund': 'N'}}],
'explntrNotes': {'explntrNote': [{'note': "Assets and liabilities are reported on a trade date basis, consistent with the MassMutual Funds' financial statements. Differences between N-PORT reported values and the Funds' financial statements may occur due to foreign securities' mark-to-market adjustments, expense adjustments, and other non-material items identified by the fund administrator during the financial statement review process.
",
'noteItem': 'B.1.a'},
{'note': "Assets and liabilities are reported on a trade date basis, consistent with the MassMutual Funds' financial statements. Differences between N-PORT reported values and the Funds' financial statements may occur due to foreign securities' mark-to-market adjustments, expense adjustments, and other non-material items identified by the fund administrator during the financial statement review process.
",
'noteItem': 'B.1.b'},
{'note': "Assets and liabilities are reported on a trade date basis, consistent with the MassMutual Funds' financial statements. Differences between N-PORT reported values and the Funds' financial statements may occur due to foreign securities' mark-to-market adjustments, expense adjustments, and other non-material items identified by the fund administrator during the financial statement review process.
",
'noteItem': 'B.1.c'},
{'note': 'Payable amount for investments purchased on a delayed
delivery, when issued, or other firm commitment basis generally is determined based on
the number of days between trade date and settlement date. Payable amount for purchases of bank loan securities for
which the settlement date is unknown also are included.',
'noteItem': 'B.2.d'},
{'note': "Amounts reported include U.S. Dollar cash and the base equivalent of foreign currency balances (identified cost plus unrealized gain/loss). Amounts are derived from the fund's General Ledger and may differ from financial statements due to adjustments made by the fund administrator during the financial statement review process. ",
'noteItem': 'B.2.f'},
{'note': "DV01 indicates the estimated change in the price of the security given a one basis point change in the 'yield to worst' or the sensitivity of the security's value to a one basis point parallel shift in the yield curve. For floating rate securities, the value of DV01 is calculated by scaling the Effective Duration by 1/100th. For derivatives, when calculating the value of DV01, it is assumed that the volatility will not stay constant given a shift in the yield curve. Accordingly, the DV01 result shows the anticipated move in the present value/market value given a one basis point shift in the yield curve. Risk metrics at the security level are provided by a third-party vendor (ICE). As of the current filing, ICE has gaps in its coverage (e.g., certain CMOs, options on futures, non-U.S. futures). We have attempted to gather missing information from the Funds' subadvisers; however, missing security-level risk metrics may result in non-material errors in portfolio-level calculations._x000D_
",
'noteItem': 'B.3.a'},
{'note': "DV100 is based on the Effective Duration of the security and is an option-adjusted measure. It represents the average change in a security's market value (price plus accrued interest) given both up and down 100 basis point shifts in the underlying government par yield curve. This calculation incorporates the effect of embedded optionality for corporate bonds and changes in prepayments for mortgage-backed securities. In the event that a bond's currency has no associated government yield curve, the U.S. Treasury curve is used for the calculation. Risk metrics at the security level are provided by a third-party vendor (ICE). As of the current filing, ICE has gaps in its coverage (e.g., certain CMOs, options on futures, non-U.S. futures). We have attempted to gather missing information from the Funds' subadvisers; however, missing security-level risk metrics may result in non-material errors in portfolio-level calculations._x000D_
",
'noteItem': 'B.3.b'},
{'note': "CS01 measures the change in price for a one basis point change in the Option Adjusted Spread (OAS) of the bond. It is calculated by shifting the bond's OAS up and down one basis point and observing the average change from the starting Input Price, holding the term structure of interest rates and volatility assumptions constant. This indicates the sensitivity of price to a change in the risk premium demanded by the market. CS01 is not computed for most derivatives, except for single-name Credit Default Swaps. Since Treasuries are insensitive to changes in credit spread/risk premiums, a spread duration of zero is assumed. Risk metrics at the security level are provided by a third-party vendor (ICE). As of the current filing, ICE has gaps in its coverage (e.g., certain CMOs, options on futures, non-U.S. futures). We have attempted to gather missing information from the Funds' subadvisers; however, missing security-level risk metrics may result in non-material errors in portfolio-level calculations._x000D_
",
'noteItem': 'B.3.c'},
{'note': "The market value of securities on loan as calculated by the Lending Agent may differ from the market value of those securities using the fund's approved pricing services. Due to this difference in pricing sources, the aggregate market value of securities on loan for a fund as reported on Form N-PORT may differ from the total value of securities on loan reported in the Notes to Portfolio of Investments in a fund's annual financial statement.",
'noteItem': 'B.4.a.iii'},
{'note': "Beginning in December 2019, the MassMutual Funds began accepting non-cash collateral in the securities lending program. The aggregate value of non-cash collateral reported includes the actual principal amount of that collateral as of the close of business on month-end but the market value is calculated based on the prior day's price.",
'noteItem': 'B.4.b.ii'},
{'note': "Monthly total returns for each share class are calculated by the Funds' Sub-Administrator, State Street Bank. The returns are reported without deducting sales loads and redemption fees.",
'noteItem': 'B.5.a'},
{'note': 'TBAs are reported as securities rather than as derivatives.',
'noteItem': 'C.1.a'},
{'note': "Certain derivative investments (e.g., options, futures and swaps), private investments, commercial paper, bank loans, and reverse repurchase agreements do not have a standard industry CUSIP and are assigned a 'dummy' CUSIP number by the Funds' Custodian, State Street Bank. Foreign currency forwards do not have a CUSIP in the Custodian's system.",
'noteItem': 'C.1.d'},
{'note': "Certain derivative investments (e.g., OTC options and swaps), private investments, commercial paper, and reverse repurchase agreements do not have an ISIN, SEDOL, ticker or other industry-recognized identifier. For bank loans, we provide the Bank Loan LNX ID. For foreign currency forwards, we provide the Custodian's trade identification number. For investments for which no standard industry or other identifier is available, we are responding with N/A and a description of 'Additional identifier not available.'",
'noteItem': 'C.1.e.iii'},
{'note': "Issuer type for certain SLM Student Loan Trust asset-backed securities is reported as USGA (U.S. government agency) even though the security may have been issued by Sallie Mae as a private entity. The third-party vendor (ICE) provides the issuer type classification and is unable at this time to differentiate Sallie Mae securities issued prior to or after termination of the entity's federal charter.",
'noteItem': 'C.4.b'},
{'note': 'Country codes tagged as N/A indicate that the security is a cross-border supranational/multinational.',
'noteItem': 'C.5.a'},
{'note': 'Restricted securities include any equity or fixed income security acquired in a private offering, or any fixed income security flagged by a third-party vendor as exempt from registration under Rule 144A or Regulation S of the Security Act of 1933.',
'noteItem': 'C.6'},
{'note': "Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Level 1 - Quoted prices (unadjusted) in active markets for identical investments that the Fund can access at the measurement date. Level 1 securities generally include actively traded domestic equity securities and American Depository Receipts, derivatives actively traded on a national securities exchange (such as futures and options), and shares of open-end mutual funds. Level 2 - Other significant observable inputs, including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc. Level 2 securities generally include debt securities such as U.S. Government and agency securities, mortgage-backed and asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; broker-quoted securities; and non-exchange traded equity securities and equity securities traded on foreign exchanges._x000D_
Level 3 - Significant unobservable inputs, including the Funds'/Fund's own assumptions in determining the fair value of investments). Level 3 securities include securities for which prices, spreads, or any other significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been delisted from their primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; and securities acquired in a non-public offering and for which there is no active market are categorized as Level 3.",
'noteItem': 'C.8'},
{'note': 'Perpetual bonds held in the MassMutual Funds reflect a maturity date of 2099-12-31.',
'noteItem': 'C.9.a'},
{'note': 'Instruments are classified as Floating when the coupon rate is determined by a formula that includes an index and margin. Other non-fixed coupon types are mapped as Variable. If an instrument has a fixed coupon rate of 0%, the coupon type will be mapped as None. For fixed-to-float instruments, coupon type will be Variable during the fixed period and Floating after the trigger date.',
'noteItem': 'C.9.b.i'},
{'note': 'Certain securities flagged as both mandatory convertible and contingent convertible by the third-party vendor are redeemable or become convertible upon occurrence of some condition or event, e.g., default, tax change, or other trigger event. Related convertible data (description of reference instrument, conversion ratio, delta) is reported as N/A because it is unknown when or if the event will occur.',
'noteItem': 'C.9.f.iii'},
{'note': 'Certain securities flagged as both mandatory convertible and contingent convertible by the third-party vendor are redeemable or become convertible upon occurrence of some condition or event, e.g., default, tax change, or other trigger event. Related convertible data (description of reference instrument, conversion ratio, delta) is reported as N/A because it is unknown when or if the event will occur.',
'noteItem': 'C.9.f.iv'},
{'note': 'For certain unlisted warrants, information regarding exercise terms and underlying reference instruments are not available at this time.',
'noteItem': 'C.11.c.iii.3'},
{'note': 'For certain unlisted warrants, information regarding exercise terms and underlying reference instruments are not available at this time.',
'noteItem': 'C.11.c.iv'},
{'note': 'For certain unlisted warrants, information regarding exercise terms and underlying reference instruments are not available at this time.',
'noteItem': 'C.11.c.v'},
{'note': "Certain currency forward contracts or options on currency forward contracts have been executed by counterparties for currency CNH, China's offshore Yuan traded outside mainland China. Our filing reflects currency code CNY, the Yuan traded within mainland China. Since CNY and CNH both refer to the Chinese currency and CNH is not an option for the filing, we have substituted CNY for CNH, as needed._x000D_
",
'noteItem': 'C.11.e.i'},
{'note': "Certain currency forward contracts or options on currency forward contracts have been executed by counterparties for currency CNH, China's offshore Yuan traded outside mainland China. Our filing reflects currency code CNY, the Yuan traded within mainland China. Since CNY and CNH both refer to the Chinese currency and CNH is not an option for the filing, we have substituted CNY for CNH, as needed._x000D_
",
'noteItem': 'C.11.e.ii'},
{'note': "The market value of securities on loan as calculated by the Lending Agent may differ from the market value of those securities using the fund's approved pricing services. Due to this difference in pricing sources, the aggregate market value of securities on loan for a fund as reported on Form N-PORT may differ from the total value of securities on loan reported in the Notes to Portfolio of Investments in a fund's annual financial statement.",
'noteItem': 'C.12.c'}]},
'signature': {'dateSigned': '2022-11-29',
'nameOfApplicant': 'MASSMUTUAL SELECT FUNDS',
'signature': '/s/ Renee Hitchcock',
'signerName': 'Renee Hitchcock',
'title': 'Treasurer and CFO'},
'accessionNo': '0001398344-22-023732',
'filedAt': '2022-11-29T17:21:23-05:00',
'id': 'e67981bdc09a88d5229cd2a392563dc2'}Extract constituents of an ETF from its N-PORT filing
This Python tutorial shows you how to extract the list of constituents for a given ETF ticker from its most recent N-PORT filing. The process works for any ETF, such as S&P 500, Russell 3000 and many more.
Process overview:
- Find the accession number of the most recently filed N-PORT filing for a given ETF ticker. Use the Query API to search the EDGAR database.
- Load the N-PORT filing for the given accession number into a pandas DataFrame using the N-PORT API.
- Extract constituents of ETF from DataFrame
The example uses the iShares Core S&P 500 ETF with the ticker symbol IVV.
!pip install sec-api
from sec_api import QueryApi
api_key = 'YOUR_API_KEY'
queryApi = QueryApi(api_key=api_key)
# iShares Core S&P 500 ETF
etf_ticker = 'IVV'
# iShares Russell 3000 ETF
# etf_ticker = 'IWV'
# Vanguard High Dividend Yield ETF
# etf_ticker = 'VYM'
query = {
"query": "formType:"NPORT-P" AND seriesAndClassesContractsInformation.classesContracts.ticker:" + etf_ticker,
"from": "0",
"size": "10",
"sort": [{"filedAt": {"order": "desc"}}]
}
response = queryApi.get_filings(query)
import pandas as pd
metadata = pd.DataFrame.from_records(response['filings'])
metadata.head(3)
Out[66]:
| id | accessionNo | cik | ticker | companyName | companyNameLong | formType | description | filedAt | linkToTxt | linkToHtml | linkToXbrl | linkToFilingDetails | entities | documentFormatFiles | dataFiles | seriesAndClassesContractsInformation | periodOfReport | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1c03495da372416a860eaa0b12fbe71c | 0001752724-23-039243 | 1100663 | iSHARES TRUST | iSHARES TRUST (Filer) | NPORT-P | Form NPORT-P - Monthly Portfolio Investments R... | 2023-02-24T13:00:15-05:00 | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | [{'companyName': 'iSHARES TRUST (Filer)', 'cik... | [{'sequence': '1', 'documentUrl': 'https://www... | [] | [{'series': 'S000004310', 'name': 'iShares Cor... | 2022-12-31 | ||
| 1 | a1f94bcbf640ed6808e2f4785f87289f | 0001752724-22-268673 | 1100663 | iSHARES TRUST | iSHARES TRUST (Filer) | NPORT-P | Form NPORT-P - Monthly Portfolio Investments R... | 2022-11-28T10:15:28-05:00 | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | [{'companyName': 'iSHARES TRUST (Filer)', 'cik... | [{'sequence': '1', 'documentUrl': 'https://www... | [] | [{'series': 'S000004310', 'name': 'iShares Cor... | 2022-09-30 | ||
| 2 | 0321c565e9c40c3ed74b03d633110e42 | 0001752724-22-193652 | 1100663 | iSHARES TRUST | iSHARES TRUST (Filer) | NPORT-P | Form NPORT-P - Monthly Portfolio Investments R... | 2022-08-25T14:39:08-04:00 | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | https://www.sec.gov/Archives/edgar/data/110066... | [{'companyName': 'iSHARES TRUST (Filer)', 'cik... | [{'sequence': '1', 'documentUrl': 'https://www... | [] | [{'series': 'S000004310', 'name': 'iShares Cor... | 2022-06-30 |
Let's get the accession number of the most recently filed N-PORT filing for our iShares Core S&P 500 ETF.
accession_number = metadata.iloc[0]['accessionNo']
print(accession_number)
0001752724-23-039243
Next, we load the content of the N-PORT filing into a pandas DataFrame. The first step is to retrieve the filing as JSON formatted object using the nportApi.get_data(search_query) function. The search_query tells the N-PORT search engine to return a single match ("size": "1") where the match has to include our previously identified accession number ("query": "accessionNo:"{accession_number}"".format(accession_number=accession_number)).
We convert the JSON formatted filing into a DataFrame using pd.json_normalize(response["filings"][0]). Extracting the holdings (or constituents) disclosed in the filing and generating a new DataFrame with the data is accomplished by using pd.json_normalize(filing['invstOrSecs'].iloc[0]).
import pandas as pd
from sec_api import FormNportApi
nportApi = FormNportApi(api_key=api_key)
search_query = {
"query": "accessionNo:"{accession_number}"".format(accession_number=accession_number),
"from": "0",
"size": "1",
"sort": [{"filedAt": {"order": "desc"}}],
}
response = nportApi.get_data(search_query)
filing = pd.json_normalize(response["filings"][0])
holdings = pd.json_normalize(filing['invstOrSecs'].iloc[0])
filing.drop(labels=['invstOrSecs'], axis=1, inplace=True)
fund_name = filing['genInfo.seriesName'].iloc[0]
print('Fund name:', fund_name)
Fund name: iShares Core S&P 500 ETF
from google.colab.data_table import DataTable
DataTable.max_columns = 40
print('Constituents of {fund_name} ({ticker})'.format(fund_name=fund_name, ticker=etf_ticker))
print('-------------------------------------------------')
holdings
Constituents of iShares Core S&P 500 ETF (IVV)
-------------------------------------------------
Out[70]:
| name | lei | title | cusip | balance | units | curCd | valUSD | pctVal | payoffProfile | ... | issuerConditional.issuerCat | derivativeInfo.futrDeriv.counterparties | derivativeInfo.futrDeriv.payOffProf | derivativeInfo.futrDeriv.descRefInstrmnt.indexBasketInfo.indexName | derivativeInfo.futrDeriv.descRefInstrmnt.indexBasketInfo.indexIdentifier | derivativeInfo.futrDeriv.expDate | derivativeInfo.futrDeriv.notionalAmt | derivativeInfo.futrDeriv.curCd | derivativeInfo.futrDeriv.unrealizedAppr | derivativeInfo.futrDeriv.derivCat | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | CBRE Group, Inc. | 52990016II9MJ2OSWA10 | CBRE Group, Inc., Class A | 12504L109 | 2837947.0 | NS | USD | 2.184084e+08 | 0.075452 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 1 | Brown & Brown, Inc. | 549300PC8KTJ71XKFY89 | Brown & Brown, Inc. | 115236101 | 2111367.0 | NS | USD | 1.202846e+08 | 0.041554 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 2 | Host Hotels & Resorts, Inc. | N6EL63S0K3PB1YFTDI24 | Host Hotels & Resorts, Inc. | 44107P104 | 6422159.0 | NS | USD | 1.030757e+08 | 0.035609 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 3 | Intercontinental Exchange, Inc. | 5493000F4ZO33MV32P92 | Intercontinental Exchange, Inc. | 45866F104 | 5016736.0 | NS | USD | 5.146669e+08 | 0.177798 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 4 | Oracle Corp. | 1Z4GXXU7ZHVWFCD8TV52 | Oracle Corp. | 68389X105 | 13802817.0 | NS | USD | 1.128242e+09 | 0.389766 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 501 | Equinix, Inc. | 549300EVUN2BTLJ3GT74 | Equinix, Inc. | 29444U700 | 831133.0 | NS | USD | 5.444170e+08 | 0.188076 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 502 | eBay, Inc. | OML71K8X303XQONU6T67 | eBay, Inc. | 278642103 | 4874229.0 | NS | USD | 2.021343e+08 | 0.069830 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 503 | AO Smith Corp. | 549300XG4US7UJNECY36 | AO Smith Corp. | 831865209 | 1139495.0 | NS | USD | 6.522469e+07 | 0.022533 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 504 | Cintas Corp. | N/A | Cintas Corp. | 172908105 | 775287.0 | NS | USD | 3.501351e+08 | 0.120959 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
| 505 | Best Buy Co., Inc. | HL5XPTVRV0O8TUN5LL90 | Best Buy Co., Inc. | 086516101 | 1799694.0 | NS | USD | 1.443535e+08 | 0.049869 | Long | ... | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN |
506 rows × 36 columns
The next example extracts the list of borrowers from the N-PORT filing and converts it into a new DataFrame borrowers.
borrowers = pd.json_normalize(filing['fundInfo.borrowers.borrower'].iloc[0])
filing.drop(labels=['fundInfo.borrowers.borrower'], axis=1, inplace=True)
borrowers
Out[71]:
| aggrVal | lei | name | |
|---|---|---|---|
| 0 | 4.446460e+05 | RUC0QBLBRPRCU4W1NE59 | BMO Capital Markets |
| 1 | 4.622688e+07 | RCNB6OTYUAMMP879YW96 | BNP PARIBAS SECURITIES CORP |
| 2 | 6.158053e+07 | BFM8T61CT2L1QCEMIK50 | UBS AG |
| 3 | 2.735210e+08 | MP6I5ZYZBEU3UXPYFY54 | HSBC BANK PLC |
| 4 | 4.276696e+07 | T6FIZBDPKLYJKFCRVK44 | UBS SECURITIES LLC |
| 5 | 1.411006e+08 | G5GSEF7VJP5I7OUK5573 | BARCLAYS BANK PLC |
| 6 | 1.707703e+07 | 58PU97L1C0WSRCWADL48 | Jefferies LLC |
| 7 | 3.005683e+08 | 549300BLWPABP1VNME36 | Scotia Capital (USA) Inc |
| 8 | 3.501195e+08 | 9R7GPTSO7KV3UQJZQ078 | MORGAN STANLEY & CO. LLC (US EQUITY SEC LENDING) |
| 9 | 3.318326e+06 | 549300L8G1E7ZHVEOG75 | Natixis Securities Americas LLC |
| 10 | 2.637523e+08 | 549300LCO2FLSSVFFR64 | RBC Capital Markets LLC |
| 11 | 7.824712e+06 | 5493001I7IJ4CW6Q9N27 | CITADEL CLEARING LLC |
| 12 | 6.007840e+06 | 571474TGEMMWANRLN572 | STATE STREET BANK & TRUST COMPANY |
| 13 | 8.644974e+05 | 549300JRHF1MHHWUAW04 | National Financial Services LLC |
| 14 | 3.670057e+07 | KB1H1DSPRFMYMCUFXT09 | Wells Fargo Bank, National Association |
| 15 | 5.373918e+08 | ZBUT11V806EZRVTWT807 | JP MORGAN SECURITIES LLC |
| 16 | 6.042879e+08 | MBNUM2BPBDO7JBLYG310 | CITIGROUP GLOBAL MARKETS INC. |
| 17 | 3.521901e+08 | FOR8UP27PHTHYVLBNG30 | GOLDMAN SACHS & CO. |
| 18 | 8.404058e+08 | 549300ZBQI1JB1844X09 | TD Prime Services LLC |
| 19 | 4.156447e+07 | 549300RA02N3BNSWBV74 | VIRTU AMERICAS, LLC |
| 20 | 6.810370e+07 | 549300F35UE0BOM1WJ55 | SG AMERICAS SECURITIES LLC |
| 21 | 3.106955e+07 | 9J6MBOOO7BECTDTUZW19 | DEUTSCHE BANK SECURITIES INC |
| 22 | 6.568503e+07 | AC28XWWI3WIBK2824319 | BARCLAYS CAPITAL INC. |
| 23 | 8.270160e+07 | 549300KUN9K9K32C6D97 | BNP PARIBAS PRIME BROKERAGE INTERNATIONAL LIMITED |
| 24 | 1.314555e+08 | 549300HN4UKV1E2R3U73 | BofA Securities, Inc. |
| 25 | 6.309112e+06 | VYVVCKR63DVZZN70PB21 | Wells Fargo Securities LLC |
| 26 | 1.459124e+04 | 1V8Y6QCX6YMJ2OELII46 | CREDIT SUISSE SECURITIES (USA) LLC |
Now let us inspect the N-PORT filing and all of its values.
print('{fund_name} ({ticker}) N-PORT Filing Overview'.format(fund_name=fund_name, ticker=etf_ticker))
print('-------------------------------------------------')
filing_stacked = filing.stack()[0]
for index, value in filing_stacked.items():
if isinstance(value, list):
continue
key = index if len(index) < 50 else '...' + index[len(index) - 47:]
padding_length = 70 - len(str(key)+str(value));
print(key, ''.ljust(padding_length, ' '), value)
iShares Core S&P 500 ETF (IVV) N-PORT Filing Overview
-------------------------------------------------
submissionType NPORT-P
accessionNo 0001752724-23-039243
filedAt 2023-02-24T13:00:15-05:00
id 88bfb8328b0538f0713310f01f5ff8e9
filerInfo.filer.issuerCredentials.cik 0001100663
filerInfo.filer.issuerCredentials.ccc XXXXXXXX
filerInfo.seriesClassInfo.seriesId S000004310
genInfo.regName iShares Trust
genInfo.regFileNumber 811-09729
genInfo.regCik 0001100663
genInfo.regLei 5493000860OXIC4B5K91
genInfo.regStreet1 400 Howard Street
genInfo.regCity San Francisco
genInfo.regStateConditional.regCountry US
genInfo.regStateConditional.regState US-CA
genInfo.regZipOrPostalCode 94105
genInfo.regPhone 800-474-2737
genInfo.seriesName iShares Core S&P 500 ETF
genInfo.seriesId S000004310
genInfo.seriesLei 5493007M4YMN8XL48C14
genInfo.repPdEnd 2023-03-31
genInfo.repPdDate 2022-12-31
genInfo.isFinalFiling N
fundInfo.totAssets 293826392297.07
fundInfo.totLiabs 4359714182.67
fundInfo.netAssets 289466678114.4
fundInfo.assetsAttrMiscSec 0
fundInfo.assetsInvested 0
fundInfo.amtPayOneYrBanksBorr 0
fundInfo.amtPayOneYrCtrldComp 0
fundInfo.amtPayOneYrOthAffil 0
fundInfo.amtPayOneYrOther 0
fundInfo.amtPayAftOneYrBanksBorr 0
fundInfo.amtPayAftOneYrCtrldComp 0
fundInfo.amtPayAftOneYrOthAffil 0
fundInfo.amtPayAftOneYrOther 0
fundInfo.delayDeliv 0
fundInfo.standByCommit 0
fundInfo.liquidPref 0
fundInfo.cshNotRptdInCorD 0
fundInfo.isNonCashCollateral N
...urnCats.commodityContracts.mon1.netRealizedGain 0
...nCats.commodityContracts.mon1.netUnrealizedAppr 0
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...ReturnCats.equityContracts.mon1.netRealizedGain -27980903.51
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...tracts.futureCategory.instrMon3.netRealizedGain 33109955.73
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signature.dateSigned 2022-12-31
signature.nameOfApplicant iShares Trust
signature.signature Ann Frechette
signature.signerName Ann Frechette
signature.title Assistant Treasurer