27 September 2017
New York
Reporter: Jenna Lomax

IHS Markit and MSCI partner for liquidity risk solution

IHS Markit and MSCI are joining forces to release a liquidity risk management solution to help US asset managers comply with upcoming liquidity classification rules.

From 2018, the Securities and Exchange Commission’s (SEC’s) Rule 22e-4 will require mutual funds and exchange-traded funds to classify the exact level of liquidity across their portfolios.

Manager will need to categorise funds into ‘highly liquid’, ‘moderately liquid’, ‘less liquid’ or ‘illiquid’.

Only 15 percent of a fund’s assets will be permitted to be classified as illiquid, which IHS Markit and MSCI highlight as being a potential challenge in fixed income markets where only a small minority of securities trade regularly.

The multi-asset class solution will integrate fixed income market and liquidity data from IHS Markit with MSCI LiquiditMetrics analytics.

“In line with SEC requirements, the service will classify the liquidity of each asset in a portfolio and calculate other complex liquidity indicators, such as cost to liquidate, liquidation amount and time-to-liquidation while factoring in market impact, market depth and market activity,” IHS Markit and MSCI in a joint statement.

Kiet Tran, managing director and head of pricing and reference data at IHS Markit, said: “IHS Markit has unparalleled access to fixed income market data and we are pleased to collaborate with MSCI on a robust solution for liquidity management.”

Giulio Panzano, global head of analytics product management at MSCI, commented: “High-quality data and reliable analytics are necessary ingredients in establishing an effective liquidity risk management programme.”

“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.”

More news
The latest news from Securities Lending Times
Join Our Newsletter

Sign up today and never
miss the latest news or an issue again

Subscribe now
Citi and CME Clearing launch collateral DLT platform
18 December 2017 | New York | Reporter: Zsuzsa Szabo
The blockchain software aims to reduce margin cost
South Africa extends code of conduct consultation deadline
18 December 2017 | Pretoria | Reporter: Jenna Lomax
The Registrar of Securities Services has proposed a new code of conduct for a renewed deadline for comment
Dubai Financial Market launches short selling
18 December 2017 | Abu Dhabi | Reporter: Jenna Lomax
Dubai Financial Market has launched a regulated short selling service after gaining approval by the Securities and Commodities Authority
J.P. Morgan and Citi collaborate on truePTS post-trade platform
15 December 2017 | New York | Reporter: Zsuzsa Szabo
The New-York-based startup processes ecosystem for the global $700 trillion derivatives market
SIFMA: US market requires improved CCP access
15 December 2017 | Washington DC | Reporter: Jenna Lomax
The Dodd-Frank Act has increased the need for US firms to have access to non US swaps trading venues and central counterparties, according to paper by FIA and SIFMA
France raises spectre of European financial transactions tax
15 December 2017 | Paris | Reporter: Jenna Lomax
French President Emmanuel Macron and several ministers have dismissed concerns over the negative effect of an EU financial transactions tax on securities lending revenue
Vekaria exits Credit Suisse
14 December 2017 | Dublin | Reporter: Zsuzsa Szabo
Head of Credit Suisse's Dublin branch Manish Vekaria has left the bank