glossary · what it means in a filing
also called NPORT-P · monthly portfolio report
Form N-PORT is the portfolio report that registered investment companies file with the US Securities and Exchange Commission, position by position, including the fair value level the filer assigns and the security identifier where one exists.
It is structured XML, not prose, which makes it the cleanest source in the chain. Two fields matter here and appear nowhere else: the declared fair value level, and whether the position carries a CUSIP. Note who files it — registered funds, not business development companies, which report on a different form. The two populations overlap on the same loans without being the same set of lenders.
Those two fields are what the control group rests on. Level is declarative — the filer chooses it. A CUSIP is structural — a syndicated loan is assigned one, a bilateral loan is not. Crossed against each other, they show the CUSIP tracks the level rather than confirming it from outside: inside level 3, holding a CUSIP moves the gap from 106 to 101 basis points.