FUSION ANALYTICS
Risk Analytics
Market Risk | Liquidity Risk | Swing Pricing | Regulatory Reporting
schedule a demoDiscover Fusion’s risk analytics capabilities, providing a comprehensive understanding of your investment risk via a fully managed solution. J.P. Morgan and MSCI’s collaboration provides risk analytics to analyze, assess and report market risk, liquidity risk, and regulatory compliance leveraging Fusion’s modern data management and service expertise.
Market Risk
Understand how changing market conditions can impact your profit and loss. Identify the risk drivers for your portfolio and vet market opportunities with in-depth Value-at-Risk analysis. Provide risk analytics across a broad range of asset classes using multiple VaR methodologies and robust stress-testing, utilizing MSCI's market risk engine. Fusion’s integrated data management allows for comparison and analysis across asset classes, and seamless interoperability with the Fusion platform.
- Multi-asset classes: Assess risk for your complete portfolio or for individual elements. Compare asset classes to identify correlations and develop a complete understanding.
- Comprehensive analytics: Leverage a diverse set of analytics and calculations to fit your strategy, including exposures, sensitivities, and advanced risk analytics.
- Aggregation and drill-down: Analytics are available at aggregated level across multiple dimensions with the ability to drill-down to the underlying holdings.
- Stress testing: Understand impact of historical and hypothetical events. Pre-configure hypothetical events, like market crash or simple rate change and quantify potential losses.
- Look-through: Fusion natively supports look-through for mutual funds and ETFs, for greater transparency and granular detail.
Liquidity Risk
Gain detailed insights into how changing market conditions will affect liquidity, and the time horizon needed for liquidation. Integration with MSCI’s liquidity risk engine for calculations and modeling, for high-quality diagnostics and reports. A unified approach to modeling incorporates multiple facets of liquidity risk, including time, cost, and size.
- Multi-asset class framework: Model different facets of liquidity risk based on a liquidity surface.
- Liquidity statistics: See detailed breakdowns of key metrics, like time horizon, transaction cost, liquidity size, liquidity value, and bid-ask spread.
- Stress tests: Test liquidity against historical or hypothetical scenarios based on shifts to bid-ask spread, market depth, relaxation time, and market volatility.
- Remain Compliant: Reports tailored to SEC 22e-4 and ESMA directives.
Swing Pricing
Robust, multi-tiered swing pricing to protect investors from dilution effects and comply with changing regulatory demands. Fusion offers a swing pricing solution to support our clients’ liquidity risk workflow and manage transaction costs effectively under various market conditions. An end-to-end solution, optimizing the process of calculating the swing factor, attaining client approval of the output, and integrating the factor into the fund accounting NAV calculation process.
- Features
- Analytics Capabilities
- MSCI advanced liquidity models: Calculate implicit transaction cost factors for funds across multiple asset classes, covering global equities, bonds, and derivatives and across 59 liquidation thresholds and multiple liquidation horizons.
- Capture explicit trading costs: Include the impact of explicit trading costs by utilizing fund specific historical purchases and sales trading data at the transaction level.
- Multiple swing pricing methods: (i) partial swing pricing (ii) full swing pricing and (iii) tiered swing pricing.
- Total transaction cost/swing factor: Cost to execute a specific trading scenario over a select trading horizon.
- Contribution to Total: Additive to fund-level total transactions by position, by asset class, and more.
- Liquidity time horizon: Time required to execute a specific trading scenario.
- Liquidity size: Amount that can be sold/bought with a given time horizon and transaction cost.
- Stress-tests: Historical and scenario-based stress testing, including bid-ask spread shift, market depth shift, volatility shift and historical events.
Regulatory Reporting
Generate comprehensive SEC 18f-4 and UCITS reports to complete your regulatory coverage across regions and regulatory regimes. Track compliance issues and mitigate before costly mistakes or violations occur.
- SEC Rule 18f-4 features
- UCITS reporting features
- Statistical analysis: Analyze exposure, sensitivity, and risk.
- Stress testing: Test against a selection of historical and macro-events.
- Pre-configured risk setting: Easily meet SEC 18f-4 regulations and a wide range of stress testing scenarios for quick on-boarding.
- Daily VaR back-testing: Ensure model accuracy and support periodic risk model reviews needed by management committee.
- N-Port Risk Summary: Provide month-end risk summary to J.P. Morgan Financial reporting team to meet the regulatory filing requirements for 18f-4.
- Fund-level reporting: Assess aggregate group exposure, issuer concentration risk, regional and global exposure, and perform stress testing.
- Transparency: Generate high-quality back-testing and diagnostic reports, for better transparency, on par with VaR estimates.
- Optional VaR back-testing: Get a more complete view of fund-level exposure with an optional VaR back-testing add-on.
SEE IT IN ACTION
Schedule a demo with our team today.
