News & Resources

Open-End Fund Liquidity Risk Management Programs, Swing Pricing, and Form N-PORT

On November 2, 2022, the SEC proposed amendments to improve liquidity risk management programs (“LRMP”) and utilize swing pricing for the adjustment of net asset values on a per-share basis. A “hard close” cutoff time requirement was also proposed, as well as updates to Forms N-1A, N-CEN, and N-PORT.

Affected Rules/Forms Include

  • Form N-1A
  • Form N-CEN
  • Form N-PORT
  • Rule 22c-1
  • Rule 22e-4
  • Rule 30b1-9
  • Rule 31a-2

Amendments Include


Pursuant to Rule 22e-4, as it stands, each portfolio investment must be categorized as either:

  • Highly liquid
  • Moderately liquid
  • Less liquid
  • Illiquid (proposal, noted below, to remove this category)


  • Require:
    • Funds to employ sale of a predetermined stressed trade size
      • Maintain a highly liquid investment minimum of at least 10% of a fund’s net assets
    • Identification of metric on when a sale or disposition would notably affect the market value of an investment
    • Illiquid investment limitations
    • Daily classifications (instead of monthly), report on Form N-PORT
  • Remove:
    • Class categorization
    • “Less liquid” portfolio investment category

A summary of the proposed liquidity classifications changes can be found in Table 1 of the proposed rule (Section II.A.1).

Swing Pricing


  • Require:
    • Open-end funds to use swing pricing under certain specified conditions
    • Use of swing pricing as an anti-dilution tool
    • Employing swing pricing policies and procedures that adjust current NAV per share by a swing factor if the fund has net redemptions or net purchases that exceed a specific threshold
    • Swing pricing administrator to:
      • Review investor flow information on a daily basis to determine:
        • If the fund experiences net purchases or redemptions
        • Amount of net purchases or redemptions
      • Estimate costs to purchase or sell a pro rata amount of each investment in portfolio
    • Swing factor adjustments to be reported on Form N-PORT
  • Remove:
    • Upper limit on swing factor from Item 6(d) on Form N-1A
Hard Close


  • Require:
    • A hard close for funds required to implement swing pricing
    • Orders to purchase or redeem to receive price for next pricing time following receipt of order
    • Funds to calculate NAV on days including which changes in the value of securities do not materially affect current NAV
Form Updates

Form N-1A

  • Update Item 11 to require disclosure that financial intermediaries may require investors to submit purchase orders earlier than a fund’s pricing time in order to receive the next calculated NAV

Form N-CEN

  • Require:
    • Funds to:
      • List liquidity service provider
      • Identify information such as the LEI number and location, any affiliation with the fund or investment adviser, asset classes involved, and whether the provider was hired or terminated during the reporting period
  •  Remove:
    • Item C.21 disclosure, replacing with a new requirement on Form N-PORT


  • Require:
    • Non-public reports to be filed within 30 days of month-end
    • Public reports to be filed within 60 days of month-end
  • Open-end funds to identify information for aggregate percentage of portfolio indicated in the three proposed liquidity categories
  • Disclosure of use of swing pricing, Rule 22e-4 adjustments, and certain entity identifiers

Important Dates

Final action expected in October 2023.

Proposed Rule