Solutions for Asset Managers

SFDR Reporting Solutions

European Union’s new Sustainable Finance Disclosure Regulations (SFDR) requires certain financial market players serving EU investors to consider ESG risks and make ESG disclosures at the entity and financial product level. Financial firms with 500+ employees doing business in the EU must submit their first regulatory report by June 2023 with the reference period for the metrics starting in July 2022.¹

A leader in sustainable finance solutions, MSCI offers a holistic toolkit to support you in meeting your regulatory reporting requirements which can evolve with the ESG and climate-related regulatory environment. The MSCI EU Sustainable Finance Module, launched in February 2021, can now be combined with a reporting solution built on the strengths of our ESG and Analytics research. Our what-if, portfolio construction, stress testing, and security selection tools can also assist institutional investors seeking to construct portfolios in line with SFDR.

Sophisticated ESG Analytics across multi-asset class securities

• Metrics based on extensive research, deep insights into EU regulations and quality data sourcing
• Broad coverage with more than 10,000 corporate equity and fixed income issuers, with issuer-to-instrument mapping including derivatives and coverage across multiple other asset classes like sovereign bonds

Operational efficiency

• One-time upload of your portfolio that can be leveraged across reports
• We can process large numbers of portfolios across multiple asset classes
• Reporting is scalable, customizable, and built to meet your needs

Transparency and monitoring (analytics validation)

• Ability to monitor and gain transparency into what is driving the entity-level numbers
• Monthly reporting at a portfolio level with additional asset level diagnostic report
• Customizable reporting to incorporate client views on portfolio aggregation

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AIFMD, UCITS & MMFR

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.

SEC 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

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

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:

Download Factsheet