A Luxembourg-based asset owner, which happens to be a fund management company (ManCo), has issued a request for proposals via IPE Quest for provision of a multi-asset class investment risk management system as well as an investment restrictions monitoring system for its fixed income and equities investment funds.

According to search QN-2620, as of end of June 2020, the ManCo managed an umbrella fund with several sub-funds. It mainly invests in government debt instruments issued by emerging and frontier countries, being in hard or local currencies.

One sub-fund is only dedicated to investment in equities, mainly blue chips. Derivatives are mainly linear and used for hedging purposes, at the exception of one sub-fund where options are used for speculative purposes, the notice clarified.

The risk system, however, should be able to cover a wide range of asset classes in order to cope with the ManCo’s future projects (emerging and frontier corporate fixed income assets for instance).

Another important element will be abilities for respondents to demonstrate their expertise and experience in offering multi-asset class risk systems and investment restrictions monitoring services on behalf of ManCos over the past five years.

Regarding the risk management system, teh asset owner expects the following coverage:

  • Leverage calculation (sum of notional and commitment as defined by ESMA guidelines 10-788 and CSSF circular 11/512);
  • Value at Risk (compliant with requirements of ESMA guidelines 10-788 and CSSF circular 11/512);
  • A dirty and clean back testing program;
  • Statistical tests such as Kupiec and Christoffersen;
  • Stress tests (historical and hypothetical);
  • Liquidity risk calculations in line with CSSF circular 19/733 and ESMA guidelines 34-39-882;
  • Calculation of SRRI values;
  • Ability to support adhoc regulatory and client risk report risk.

Regarding the investment restriction monitoring system, it expects:

  • Coverage of legal rules set by Chapter 5 of the 2010 Law;
  • Coverage of prospectus rules;
  • Impact assessment in case of breach;
  • Eligibility of assets controls.

The deadline to participate is 9 September 2020 at 5pm UK time.

Swiss pension fund tenders $200m high yield mandate

A pension fund based in Switzerland has issued a tender through IPE Quest.

The $200m (€167.8m) US high yield mandate – which will be managed as a single investor fund – will follow the Bloomberg Barclays US High Yield 2% Issuer constraint Index as benchmark.

According to search QN-2619, the deadline for applications is 4 September at 5pm UK time. Applicants should state performance data to 30 June 2020, gross of fees.

Interested managers – which should have a minimum track record absolute of eight years amd a minimum of $2bn of assest under management for this strategy – can respond to the tender in either English or German, the notice said.

The IPE news team is unable to answer any further questions about IPE Quest, Discovery, or Innovation tender notices to protect the interests of clients conducting the search. To obtain information directly from IPE Quest, please contact Jayna Vishram on +44 (0) 20 3465 9330 or email jayna.vishram@ipe-quest.com.

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