Solutions for asset managers

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 coming into effect in September 30, 2020. This is applies to AIFs, UCITS and also 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. You can also view a sample report here.

MSCI’s LiquidityMetrics, currently delivered through RiskManager, 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. Download factsheet

In addition to the recent liquidity risk requirements MSCI offers solutions 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 and includes a set of standard regulatory 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 and how MSCI can help, download our factsheet or contact us today.

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)

For more information on PRIIPS and how MSCI can help, download our factsheet or contact us today.

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 and how MSCI can help, download our factsheet or contact us today.

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 N-PORT and how MSCI can help, download our factsheet or contact us today.

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 how MSCI can help with Solvency II compliance reporting, download our factsheet or contact us today.