Solutions for Asset Managers Intro

 

 

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.

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AIFMD and UCITS


AIFMD and UCITS

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.


Solutions for Asset Managers Video Module

Overview of MSCI Liquidity Report

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.

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AIFMD and UCITS Part 2

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:

AIFMD

  • Group Overview (pdf and xls)
  • AIFM/AIF ESMA Annex IV (xml and xls)
  • AIF Summary (pdf) and diagnostic (xls)
  • AIF BackTest (pdf) and (xls)
  • AIF Liquidity (pdf) and (xls)

UCITS

  • UCITS Fund Level Compliance
  • Summary (pdf) and Diagnostic (xls)
  • UCITS Fund Level Enhanced
  • Group Level (xls)
  • BackTest (pdf) and Diagnostic (xls)
  • Liquidity (pdf) and Diagnostic (xls)

For more information on AIFMD or UCITS:

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PRIIPS


PRIIPS

As a result of 2017 EU legislation, banks, insurers and asset managers that are producing or selling “packaged retail investment” and “insurance-based investment” products (PRIIPS) will need to produce key information documents (KIDs) for retail investors to compare products across multiple providers.

MSCI can help asset managers comply by providing calculations for market risk and performance scenarios, and facilitating the end-to-end production of KIDs) through an arrangement with Kneip via ManagedService and WebService delivery channels for:

  • Category I (Derivatives)
  • Category II (Investment Funds)
  • Category III (Structured Products)

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SEC RULE 22E-4


SEC RULE 22E-4

Open-ended mutual funds, exchange-traded funds and other registered investment companies are required to disclose certain fund holdings information to the U.S. Securities and Exchange Commission. To comply, asset managers must also classify their investments into one of four liquidity buckets and monitor liquid investment minimums and illiquid assets.

While the requirements of this rule have evolved since its proposal in 2016, MSCI is prepared to provide the advanced liquidity analytics and robust reporting capabilities asset managers need in order to comply. These include:

  • Apply a single, transparent liquidity risk model for all funds and across asset classes.
  • Classify holdings into one of four prescribed liquidity buckets, ranging from highly liquid to illiquid.
  • Calculate time-to-liquidation based on trading size and market impact constraints.
  • Determine the percentage of highly liquid investments and illiquid assets.
  • Analyze the liquidity profile of their funds in stressed scenarios.

For more information on SEC Rule 22e-4:

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SEC RULE 18F-4


SEC RULE 18F-4

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

For more information on SEC Rule 18F-4:

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FORM N-PORT


FORM N-PORT

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.

MSCI’s N-PORT package is built on its award-winning multi-asset class risk platform. It provides market and liquidity risk analytics as well as investment specific data required under Part B and C of the report form. This content can seamlessly feed into regulatory filing services that aggregate additional data to generate and file N-PORT.

For more information on FORM N-PORT:

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SOLVENCY II


SOLVENCY II

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:

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