Column 5 requires reporting the “Value of Securities Sold Short (Day).” How should “value” be calculated?
In valuing securities for purposes of Column 5, the instructions state that managers should use “fair market value.” Managers should not use execution prices for valuing securities reported under Column 5 of Form SH. For purposes of determining the fair market value of securities sold short, a manager must use the market price of the Form SH Security on the primary or listing market for the Form SH Security, as of the close of floor trading on the New York Stock Exchange (“NYSE”) for the day in question. This market closing time should be used to determine the price of all Form SH Securities irrespective of the U.S. market on which the Form SH Security trades. If the securities are sold short on a non-business day, a manager must use the market price of the Form SH Securities as of the close of the NYSE for the most recent business day. Entered values should be rounded to the nearest one thousand dollars (with “000” omitted). See Item 9 of the Instructions to Form SH. Because Column 5
