SEC 22e-4 Solution for Liquidity

Board Oversight

o Approval and annual review

o Highly Liquid Investment

Minimum and 15% Illiquid

Investment restriction

LRM Program administrator or

committee

Policies, processes and

procedures

Investment strategy and liquidity

of portfolio assets in normal

and foreseeably stressed

conditions

Short & long term cash flow

projections under normal and

stressed market conditions

Cash (-equivalent) holdings,

borrowing arrangements, and

other funding sources

Determine Position Sizes

Determine Materiality Threshold

Maintain a monthly classification

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 re-

classification

Determine and monitor Highly

Liquid Investment Minimum

15% Illiquid Investments

Maximum

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

5. Reporting and Disclosure

Form N-Port

Form N-Liquid

Form N-CEN

Form N-1A

1. Governance Framework 2. Assessment, Management &

Periodic Review of Fund’s

Liquidity Risk

3. Classification 4. Highly Liquid and Illiquid

Investment Limits

- Component of Bloomberg’s SEC 22e-4 Solution for Liquidity

3

Fund Positions & Parameters

BBG Liquidity Calculations

Liquidity Data Feed

LQA<GO> LQAP<GO>

N-PORT Filing

BLOOMBERG 22E-4 SOLUTION WORKFLOW

Customizable Inputs

Integration with Downstream

Systems

Record Keeping and Audit Trails

Dashboards for Liquidity Metrics

Analyze Classification and Limits

Scenario Analysis

Streamlined Regulatory Filing

Integrate with existing reporting

Bloomberg’s SEC 22e-4 Solution for Liquidity Mutual Fund

XYZ Ltd.

BLOOMBERG 22E-4 SOLUTION DATAFEED WORKFLOW

4

Input Liquidity Analytics Output

Liquidity Classification

(or Cost of Liquidation)

Liquidity Score

Position

Materiality Threshold

(or Time Horizon)

Customization

Bid-Ask

Price Volatility

Confidence Level

A B

Position level inputs Additional parameters to

control for market

conditions

(Bloomberg defaults are

available to use if desired)

Security analytics can easily be

aggregated to enable monitoring at

the fund level

A B

C

C

* Illustrative Portfolio – For Demonstration Purposes

5

LQAP<GO> - Fund Analysis Monitor fund level classification and liquidity metrics

Identify and analyze limit breaches, breakdown and change in classification

22e-4 Liquidity

Classifications

15% Illiquid

Asset Monitor

Simulate

Market

Conditions

COVERAGE

Current Coverage

Government & Agency Debt

Corporate Bonds

Convertible Bonds

US Municipal Bonds

Global Equities & ETFs

Coverage by June 2018*

Listed derivatives

oFutures (Equity, Index, FX,

Bond, Commodity)

oOptions (Stock, Index, Interest

Rate, Bond, Commodity,

Futures)

Syndicated Loans

Structured Finance

6

Bloomberg’s SEC 22e-4 Solution for Liquidity currently covers approximately 1,100,000

securities globally

* - Planned coverage expansion as of November 2016

Position Scenario &

Redemption Fund Analysis

Enhanced 22e-4 Liquidity Risk Analysis L

QA

P

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

Monitor fund level liquidity

risk program metrics

Liquidity classification

breakdown and change

analysis

Liquidity profile

HLIM and II breach alerts

Classification plot over time

Compare to benchmark

Visualize classification and

liquidation horizon

(5th/mean/95th) per asset

classes

N-PORT Filing Data incl.

Ref data, ASC 820, LQA

More transparency data:

o Liquidity Classification

Factors

o Holding data, News

sentiment, …

LQA <go> function

Liquidity surface relating

liquidation cost, time and

volume

Customize

Settings

Redemption / disposal

scenario

Before / after

With / without stress

Liquidity Risk Dashboard Analysis

Liquidity classification and

volume boundaries, LQA

analytics, settlement data

Historical analysis

Sensitivity matrix liquidity

classification and LQA

analytics

Scenario analysis

o Liquidity classification

o Liquidity profile

o Biggest movers

Reverse analysis: trigger

breaking scenarios

Top10 position change

(22e-4 classification)

Top10 large positions Cu

rren

t C

ap

ab

ilit

y

Ro

llo

ut

befo

re

1 J

un

e 2

018*

7 * - Planned feature expansion as of November 2016

Contact Us For more information or a demonstration of Bloomberg’s SEC 22e-4 Solution for Liquidity please contact eprise@bloomberg.net or your Bloomberg sales representative