SEC 22e-4 Solution for Liquidity

Transcription

1 SEC 22e-4 Solution for Liquidity

2 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 3. Classification 4. Highly Liquid and Illiquid Investment Limits 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 reclassification Determine and monitor Highly Liquid Investment Minimum 15% Illiquid Investments Maximum 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

3 BLOOMBERG 22E-4 SOLUTION WORKFLOW Mutual Fund XYZ Ltd. Bloomberg s SEC 22e-4 Solution for Liquidity Liquidity Data Feed Customizable Inputs Integration with Downstream Systems Record Keeping and Audit Trails Fund Positions & Parameters BBG Liquidity Calculations LQA<GO> LQAP<GO> Dashboards for Liquidity Metrics Analyze Classification and Limits Scenario Analysis N-PORT Filing Streamlined Regulatory Filing Integrate with existing reporting 3

4 BLOOMBERG 22E-4 SOLUTION DATAFEED WORKFLOW A Input Position Materiality Threshold (or Time Horizon) Position level inputs B Customization Output Bid-Ask Price Volatility Confidence Level Additional parameters to control for market conditions (Bloomberg defaults are available to use if desired) C Liquidity Analytics Liquidity Classification (or Cost of Liquidation) Liquidity Score Security analytics can easily be aggregated to enable monitoring at the fund level A B C * Illustrative Portfolio For Demonstration Purposes 4

5 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 5

6 COVERAGE Bloomberg s SEC 22e-4 Solution for Liquidity currently covers approximately 1,100,000 securities globally 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 * - Planned coverage expansion as of November

7 Rollout before 1 June 2018* LQAP Current Capability Enhanced 22e-4 Liquidity Risk Analysis Liquidity Risk Dashboard Analysis Customize Settings Fund Analysis Scenario & Redemption Position 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 Top10 position change (22e-4 classification) Top10 large positions Scenario analysis o Liquidity classification o Liquidity profile o Biggest movers 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 HLIM and II breach alerts Classification plot over time Compare to benchmark Visualize classification and liquidation horizon (5th/mean/95th) per asset classes 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, * - Planned feature expansion as of November

8 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