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MSCI Inc. a leader in risk and portfolio analytics announced today it is integrating IHS Markit’s premier data to help asset managers implement a multi-asset class liquidity risk management program and comply with SEC rule 22e-4 ahead of the 2018 deadline. .

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Diana Tidd, Head of Index at MSCI


Available next month, the offering integrates extensive fixed income market and liquidity data from IHS Markit into MSCI LiquidityMetrics analytics and the firm’s regulatory reporting workflow. 

“High-quality data and reliable analytics are necessary ingredients in establishing an effective liquidity risk management program.” said Giulio Panzano, Global Head of Analytics Product Management. “In integrating IHS Markit data we are able to offer our clients a scalable solution designed to help them manage liquidity risk and meet regulatory requirements in a cost efficient manner.”

The end-to-end solution is designed to facilitate compliance with SEC’s rule 22e-4 by classifying each asset in a portfolio across all funds into prescribed liquidity buckets and calculating other complex liquidity indicators, such as transaction costs, liquidation amounts and time-to-liquidation taking into account market impact, market depth and market activity. Combined with other analytics, such as market risk sensitivities, and reference data, MSCI provides the necessary components designed to facilitate compliance with the SEC’s monthly reporting requirement, N-PORT. 

This solution offers the broadest asset class coverage available in the industry today across equities and all fixed income instruments, including government, supranational, agency, corporate, sovereign and municipal bonds, securitized products, syndicated loans and credit default swaps.

“Fund managers face major challenges in obtaining the data they need to comply with the SEC’s liquidity rule. This challenge is more pronounced in fixed income where assessing liquidity is not dependent on trade data alone. IHS Markit has unparalleled access to fixed income market data and we are pleased to work with MSCI on delivering a robust solution for liquidity management.” said Kiet Tran, Managing Director and Global Head of Pricing and Reference Data at IHS Markit.

MSCI introduced LiquidityMetrics, its flagship multi-asset class liquidity risk measurement framework, in 2013. Built incorporating feedback from various industry participants, it has been widely accepted to be the first single, transparent liquidity risk model across asset classes. The addition of IHS Markit’s fixed income quote and trade data enhances liquidity surfaces for fixed income, designed to achieve better resolution and recognition of outliers, increased responsiveness to market conditions and better auditability.

MSCI is ranked as a top 3 risk management technology firm according to the 2016 RiskTech100®, a study of risk and compliance technology companies by Chartis. Since launching LiquidityMetrics, the firm has continued to expand its functionality in step with evolving regulatory mandates. As a result, MSCI has received numerous awards for LiquidityMetrics, most recently earning a Risk Award for Market Risk Vendor of the Year in 2016.

 

Source: ETFWorld