Most Innovative Market Data Project: IHS Markit—MSCI

IMD/IRD Awards 2018

IMD/IRD Awards 2018 – 37
IMD/IRD Awards 2018 logo

Liquidity risk has been in the spotlight in recent times following changing regulation for liquidity ratios. Next on the agenda is the new Securities and Exchange Commission (SEC) rule 22e‑4 on liquidity risk and, last year, two vendors pooled resources to offer a solution to this issue for their joint customer base. IHS Markit and MSCI have scored a winning goal after integrating fixed-income market and liquidity data—an effort that has seen the vendors awarded Most Innovative Market Data Project.

 The SEC’s rule 22e‑4 requires mutual funds and other open‑ended funds in the US to establish liquidity risk management programs—hence introducing classification of liquidity of investments. 

To help clients comply with this new rule ahead of the upcoming deadline, IHS Markit and MSCI teamed up by adding fixed-income data from IHS Markit to MSCI’s LiquidityMetrics—a multi-asset-class liquidity risk measurement framework—thus creating a powerful combination of risk models and analytics with integrated pricing and liquidity data.

 Dan Huscher, managing director of fixed-income product development at IHS Markit, says with the proposal of the SEC rule 22e‑4, the vendor realised its existing liquidity offering needed to evolve to include time to liquidation and estimates of potential price movements that firms would need to comply with the new regulation. “We’ve traditionally had a liquidity scoring model, but it didn’t provide specific metrics on how long it would take to exit a position,” he says, explaining that when working with MSCI the two companies discussed which metrics IHS Markit could create for improving the estimation of price impact.


IHS Markit and MSCI decided to collaborate as each possessed the pieces of the puzzle that the other sought for assessing liquidity of assets in line with the new SEC rule—IHS Markit had fixed-income data, while MSCI had the liquidity risk model. Carlo Acerbi, managing director and head of risk management research at MSCI, says the two vendors realized it was a perfect match. “This marriage took place in September 2017, and ever since we’ve been marching together and showcasing what we can do jointly,” he says, adding: “With IHS Markit we achieve what we believe is cutting-edge technology.”

 It was the “innovative partnership” that set IHS Markit and MSCI apart in the category, according to the judges, who added that it is “hard to beat these behemoth providers.” Considering “the near collapse of the financial industry 10 years ago,” the judges added that the “industry must continue to innovate and understand risks, liquidity and concentrations.”

 

Read more about the IMD/IRD Awards 2018 winners

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.

Pushing the boundaries of TCA

S&P Global Market Intelligence finished runner-up in the perennially competitive TCA system provider category of the Waters Rankings 2024. Michael Richter, global head of trading analytics, discusses the TCA challenges facing the firm’s buy- and sell…

Consistency is the key

Broadridge Financial Solutions won Best outsourcing provider to the sell side in this year’s Sell‑Side Technology Awards thanks to its perennially successful Business Process Outsourcing offering, which has won this category for the past six years…

Most read articles loading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here