Regulatory Reporting Solutions

For Asset Managers

Asset managers face increasing pressures to manage regulatory and market risk, while fulfilling the role of fiduciary. The challenge, particularly for asset managers with global reach, is navigating a wide-ranging regulatory environment.

A leader in regulatory compliance, risk reporting and analytics for asset managers, MSCI offers award-winning analytics and tools needed to help manage risk and improve transparency and reporting requirements that, in many cases, vary by jurisdiction and asset class.

MSCI’s LiquidityMetrics, enables users to benefit from a single liquidity platform and methodology to support liquidity risk management and regulatory risk reporting requirements in UCITS, AIFMD, SEC 22e-4 and Form PF directives.

Asset managers need to be aware of the liquidity risk of their portfolios and are required to conduct stress testing as per ESMA’s liquidity stress testing guidelines in effect since September 30, 2020. This applies to AIFs, UCITS and MMFs. Asset managers would have to follow this comprehensive set of guidelines as they design liquidity stress tests for their funds.

Asset managers need to be aware of the liquidity risk of their portfolios and are required to conduct stress testing as per ESMA’s liquidity stress testing guidelines in effect since September 30, 2020. This applies to AIFs, UCITS and MMFs. Asset managers would have to follow this comprehensive set of guidelines as they design liquidity stress tests for their funds.

Watch a brief demonstration of a sample liquidity risk report to understand how MSCI can help you prepare for the upcoming ESMA liquidity stress testing requirements.

Sample liquidity risk report to understand how MSCI can help you prepare for the ESMA liquidity stress testing requirements

In addition to the liquidity risk requirements, MSCI offers a standard report designed to support investment managers in their efforts to comply with UCITS and AIFMD market risk requirements. MSCI’s UCITS and AIFMD reporting packages streamline reporting by aggregating group market risk exposure, issuer concentration risk, collateral exposure, counter-party exposure, and stress testing. The packages monitor global exposure by using relative and absolute value at risk (VaR). The reports can be shared with investors as well as regulators. The report package for Market Risk Requirements include the following reports:

For more information on AIFMD or UCITS:

Money Market Funds Regulation (MMFR) Solutions

The global financial crisis exposed vulnerabilities of Money Market Funds (MMFs) during difficult financial market conditions. The COVID-19 market turmoil in March 2020 continued to highlight vulnerabilities in MMFs and it is expected to further increase regulatory scrutiny.

In Europe, as prescribed by the Money Market Funds Regulation, each MMF shall have in place sound stress testing processes that identify changes in economic conditions which could have unfavorable effects on the fund. ESMA guidelines established common reference parameters of the stress tests to be included, but the complexity and the large spectrum of scenarios pose a significant challenge for Money Market Funds.

The scope of the MSCI MMFR Report is primarily focused on these components related to ESMA’s prescriptive stress testing reporting requirements for a MMF. As the guidelines and directives are open to some level of interpretation, MSCI’s approach is to implement a base report and allow customization for clients based on understanding of best practices in the market.

The U.S. Securities and Exchange Commission’s (SEC) Rule 18F-4 applies to registered investment companies, including open-ended mutual funds and exchange-traded funds, and business development companies (BDCs). The rule requires compliance with additional conditions regarding the implementation of a derivatives risk management program, application of a VaR-based limit on a fund’s leverage risk and board oversight and reporting.

MSCI’s industry-leading risk analytics provide relevant data, solutions, and robust and customizable delivery channels that can support clients seeking to meet these requirements.

• A broad range of statistics to perform exposure, sensitivity, risk, stress testing, and scenario analysis.
• Flexibility to parameterize risk measures.
• Continuously back-tested models.
• Integrated Terms & Conditions, market, and benchmark data.
• Support for Regular External Reporting including SEC Rule 18f-4, Form N-PORT, Form N-RN, and N-CEN.
• Superior, customizable, and robust delivery and support by an experienced team

Watch a brief demonstration of the SEC 18f-4 risk report to understand how MSCI can help you prepare for the SEC 18f-4 regulatory requirements.

For more information on SEC Rule 18F-4:

The U.S. Securities and Exchange Commission’s (SEC) modernization rule applies to registered investment companies, including open-ended mutual funds and exchange-traded funds. The regulation requires that investment companies disclose detailed fund and holding information to the SEC every month using Form N-PORT, including derivatives, counterparties and certain activities such as securities lending.

Under Solvency II, European insurers must provide transparency on the cost of capital related to underlying assets and demonstrate that they meet Solvency Capital Requirements (SCR). Increasingly, asset managers wanting to establish and maintain relationships with European insurers need to consider Solvency II compliance. MSCI’s reporting package aims to streamline reporting across a broad spectrum of asset classes, including alternatives.

The reporting package calculates Solvency Capital Ratios (SCR) using the Standardized Approach on position level data. It also includes the following standard reports:

• SCR Dashboard (pdf)
• SCR Diagnostics (xls)
• Tripartite report (xls)

For more information on Solvency II: