MSCI Inc. (NYSE:MSCI), 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. 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.
About MSCI
For more than 40 years, MSCI’s research-based indexes and
analytics have helped the world’s leading investors build and
manage better portfolios. Clients rely on our offerings for deeper
insights into the drivers of performance and risk in their
portfolios, broad asset class coverage and innovative research.
Our line of products and services includes indexes, analytical
models, data, real estate benchmarks and ESG research.
MSCI serves 97 of the top 100 largest money managers, according
to the most recent P&I ranking.
For more information, visit us at www.msci.com.
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Media:New YorkJ&L CommunicationsJennifer
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