New York - IHS Markit, the provider of critical information, analytics and solutions, has announced an alliance with MSCI to help asset managers implement liquidity risk management programs and comply with SEC Rule 22e-4. Available next month, the multi-asset class solution integrates fixed income market and liquidity data from IHS Markit with MSCI LiquidityMetrics analytics.
Slated to take effect in 2018, SEC Rule 22e-4
requires mutual funds and exchange-traded funds (ETFs) to
classify their portfolios as highly liquid, moderately liquid,
less liquid or illiquid. Only 15 percent of a fund's assets will
be permitted to be classified as illiquid - a potential challenge
in fixed income markets where only a small minority of securities
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.
The service covers equities and all fixed income instruments, including government, supranational, agency, corporate sovereign and municipal bonds, securitized products, syndicated loans and credit default swaps.