Methodology note
Liquidity bases: lock-ups, notice periods and classifications
A liquidity limit needs a definition of illiquid, and the registry offers eight bases, from days to liquidate to a liquidity classification. Each basis reads an approved input for every holding. A holding without that input is a data gap, never assumed to be liquid.
liquidity_profile · Time-to-liquidate limittime_to_liquidate · Liquidity bucket limitsliquidity_bucketsThe eight bases
| Basis | Illiquid when |
|---|---|
| Days to liquidate | The estimate reaches the threshold |
| Trading volume | Exiting takes that many days of average volume |
| Dealing frequency | There are too few dealing days a year |
| Lock-up | The remaining lock-up reaches the threshold |
| Notice period | The notice period reaches the threshold |
| Redemption gate | Too small a share can be redeemed at one date |
| Maturity | Days to maturity reach the threshold |
| Classification | The holding's class is one you named as illiquid |
Nothing is inferred
Every basis reads an approved input. Nothing is inferred from asset class, instrument name or any other proxy.
A position missing the input is a data gap, and the rule is not evaluated. The absence of a recorded lock-up is not evidence that there is none.
Pitfall: the edge of the threshold
Two templates treat the boundary differently. The liquidity profile counts a holding at or beyond its threshold, while the time-to-liquidate limit counts only holdings strictly beyond its horizon.
In the example, a loan needing exactly 30 days is illiquid under a 30-day liquidity-profile threshold, giving 26%. The same book under a 30-day time-to-liquidate horizon reads 16%.
Choosing a basis
Match the basis to the policy's wording. "At least 25% available within 30 days" is a time-to-liquidate rule. "No more than 15% in funds locked up for over a year" is a lock-up rule.
Regulators classify too. US Rule 22e-4 sorts holdings into highly liquid, moderately liquid, less liquid and illiquid, and caps illiquid investments at 15% of net assets.
Worked example
A loan needing exactly 30 days counts as illiquid at a 30-day threshold, so 260 of 1,000 is illiquid: 26%, over a 20% cap.
Rule template:liquidity_profile basis: days_to_liquidatefieldCode: DTLthreshold: 30classificationSource: field
Bounds: hard max 20%
| Holding | Market value | DTL |
|---|---|---|
| Private equity fund | 160 | 180 |
| Loan fund | 100 | 30 |
| Listed equities | 740 | 1 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Illiquid by days to liquidate | Breach | 26% | ≤ 20% | -6% | ABOVE_HARD_MAXIMUM |
ABOVE_HARD_MAXIMUM: The measured value exceeds the approved hard maximum, beyond any stated tolerance.
Largest contributors: Illiquid by days to liquidate → Private equity fund 16%, Loan fund 10%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
Questions
Can asset class stand in for liquidity data?
No. The registry never infers liquidity from asset class or name, because two funds in the same class can have very different dealing terms.
Which basis suits a family office?
Often days to liquidate for listed holdings, and lock-up or notice period for funds. Pick the basis the policy's wording implies, one rule per basis.
Sources
- 17 CFR 270.22e-4, liquidity risk management programs (Cornell LII) · public domain · Read on12 October 2026