SEC 22e-4 Solution for
Liquidity
22E-4 LIQUIDITY RISK MANAGEMENT PROGRAM OBJECTIVES
 Promote effective liquidity risk management for mutual funds and ETFs
 Enhance disclosure of fund liquidity and redemption practices
1. Governance Framework
2. Assessment, Management &
Periodic Review of Fund’s
Liquidity Risk
 Board Oversight
 Investment strategy and liquidity
of portfolio assets in normal
and foreseeably stressed
conditions
o Approval and annual review
o Highly Liquid Investment
Minimum and 15% Illiquid
Investment restriction
 LRM Program administrator or
committee
 Policies, processes and
procedures
 Short & long term cash flow
projections under normal and
stressed market conditions
 Cash (-equivalent) holdings,
borrowing arrangements, and
other funding sources
3. Classification
4. Highly Liquid and Illiquid
Investment Limits
 Determine and monitor Highly
 Determine Position Sizes
Liquid Investment Minimum
 Determine Materiality Threshold
 Maintain a monthly classification  15% Illiquid Investments
of assets into liquidity categories
 Identify and classify exceptions
at security level
 Consider market, trading and
investment-specific data
 Assess if market, trading and
investment specific
considerations are cause for reclassification
5. Reporting and Disclosure
 Form N-Port
 Form N-Liquid

Form N-CEN

Form N-1A
- Component of Bloomberg’s SEC 22e-4 Solution for Liquidity
Maximum
BLOOMBERG 22E-4 SOLUTION WORKFLOW
Mutual Fund
XYZ Ltd.
Bloomberg’s SEC 22e-4 Solution for Liquidity
Liquidity
Data Feed
Fund
Positions &
Parameters
BBG Liquidity
Calculations
 Customizable Inputs
 Integration with Downstream
Systems
 Record Keeping and Audit Trails
 Dashboards for Liquidity Metrics
LQA<GO>  Analyze Classification and Limits
LQAP<GO>  Scenario Analysis
N-PORT
Filing
 Streamlined Regulatory Filing
 Integrate with existing reporting
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BLOOMBERG 22E-4 SOLUTION DATAFEED WORKFLOW
Output
Customization
Input
A
 Position
 Materiality Threshold
 (or Time Horizon)
Position level inputs
Liquidity Analytics
B
C
 Bid-Ask
 Price Volatility
 Confidence Level
Additional parameters to
control for market
conditions
(Bloomberg defaults are
available to use if desired)
A
B
 Liquidity Classification
 (or Cost of Liquidation)
 Liquidity Score
Security analytics can easily be
aggregated to enable monitoring at
the fund level
C
* Illustrative Portfolio – For Demonstration Purposes
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LQAP<GO> - Fund Analysis
 Monitor fund level classification and liquidity metrics
 Identify and analyze limit breaches, breakdown and change in classification
Simulate
Market
Conditions
15% Illiquid
Asset Monitor
22e-4 Liquidity
Classifications
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COVERAGE
 Bloomberg’s SEC 22e-4 Solution for Liquidity currently covers approximately 1,100,000
securities globally
Current Coverage
Coverage by June 2018*
Government & Agency Debt
Corporate Bonds
Convertible Bonds
US Municipal Bonds
Global Equities & ETFs
 Listed derivatives
oFutures (Equity, Index, FX,
Bond, Commodity)
oOptions (Stock, Index, Interest
Rate, Bond, Commodity,
Futures)
 Syndicated Loans
 Structured Finance
* - Planned coverage expansion as of November 2016
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Enhanced 22e-4 Liquidity Risk Analysis
Liquidity Risk Dashboard Analysis
Current Capability
Rollout before
1 June 2018*
LQAP
Customize
Settings
 Position Size
 Materiality Thresholds
 Customization of input
parameters
 Input scenarios and stress
conditions
 Highly Liquid Instruments
Minimum
 Proxies and simplified
approach for instruments
not covered
Fund Analysis
 Monitor fund level liquidity
risk program metrics
 Liquidity classification
breakdown and change
analysis
 Liquidity profile
Scenario &
Redemption
 Scenario analysis
o Liquidity classification
o Liquidity profile
o Biggest movers
 Top10 position change
(22e-4 classification)
 Top10 large positions




* - Planned feature expansion as of November 2016
HLIM and II breach alerts
Classification plot over time
Compare to benchmark
Visualize classification and
liquidation horizon
(5th/mean/95th) per asset
classes
Position
 Liquidity classification and
volume boundaries, LQA
analytics, settlement data
 Historical analysis
 Sensitivity matrix liquidity
classification and LQA
analytics
 LQA <go> function
 Liquidity surface relating
liquidation cost, time and
volume
 Redemption / disposal
scenario
 Before / after
 With / without stress
 Reverse analysis: trigger
breaking scenarios
 N-PORT Filing Data incl.
Ref data, ASC 820, LQA
 More transparency data:
o Liquidity Classification
Factors
o Holding data, News
sentiment, …
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Contact Us
For more information or a demonstration of Bloomberg’s SEC 22e-4
Solution for Liquidity please contact [email protected] or your
Bloomberg sales representative