A State Street news release said the new capabilities help funds manage new liquidity, maturity and credit quality guidelines for disclosure and reporting.
The new capabilities include new weighted average life (WAL) calculation and a monthly portfolio of investment statements and data. State Street will also aggregate data to prepare the new Form N-MFP for Securities and Exchange Commission (SEC) filing on a monthly basis (see SEC Adopts New Rules for Money Market Funds).
State Street said the stress tests detail fund performance in response to hypothetical market scenarios, supplying fund managers with the analytical information necessary to assess a fund’s ability to maintain a stable NAV.
Pre-set scenarios that are tested include interest rate shifts, increased shareholder redemptions, downgrades or defaults on portfolio securities, widening and narrowing of spreads, and “combination events” – an amalgamation of interest rate, credit and liquidity tests.
The analytics package can also perform historical stress tests based on past crisis events, such as assessing the impact of the market events of September 2008 on a fund’s current portfolio holdings. These stress tests can be generated on a monthly, weekly or daily basis, State Street said.
“This comprehensive suite of money market fund services is specifically designed to help advisers meet the requirements of the regulations without having to invest in additional infrastructure,” said Alan Greene, executive vice president of Global Services for State Street Corporation, in the news release. “State Street’s solution provides a range of stress tests to help clients assess the stability of their portfolios in times of market turmoil, as well as new calculations, reporting and filings to help clients meet all of the new SEC guidelines.”
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