State Street 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, according to State Street.