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18 April 2016

EFAMA(欧州投資信託協会)・AMIC(資産運用投資家委員会)・ICMA(国際資本市場協会)、ファンドの流動性リスク管理に関する報告書を公表


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ICMA, AMIC and EFAMA published a report on the legislative requirements and market-based tools available to manage liquidity risk in investment funds in Europe. The report also offers some recommendations to further improve the general liquidity management environment.


 The report was written in response to public concerns that liquidity has become more fragmented, whether as a result of the reduced role of banks as market makers and liquidity providers or the prolonged accommodative monetary policy of the world’s most prominent central banks.

The report documents in detail (i) the current regulatory requirements of EU legislation (namely UCITS and AIFMD), emphasising inter alia risk management and reporting, and (ii) market based liquidity risk management tools, for example swing pricing or redemption gates. The combination of regulatory requirements and market based tools prove comprehensive and appropriate for liquidity management in both normal and exceptional circumstances, in line with the findings of the International Organization of Securities Commissions’ (IOSCO) December 2015 Report on Liquidity Management Tools in Collective Investment Schemes.

Peter de Proft, EFAMA Director General, commented: “Our industry acknowledges the virtues of the EU regulatory regimes for funds. Indeed, existing regulatory requirements in EU legislation such as the UCITS and the AIFMD regimes form a very far-reaching, strict and sound regime. The legal requirements

 Martin Scheck, ICMA Chief Executive, explains, “This report adds an important element to the discussion regarding liquidity fragmentation, and complements the IOSCO Report. It shows that there is a comprehensive framework already in place available to managers to manage liquidity in difficult market conditions, through a combination of regulatory requirements and market-based tools.”

The report also proposes three recommendations that could lead to improvements in the general liquidity management environment in Europe. Firstly, it encourages that all European jurisdictions make available the full range of market based tools. Secondly, it strongly encourages the European Securities Markets Authority (ESMA) and the European Systemic Risk Board (ESRB) to make use of the existing liquidity data already currently reported to national authorities in Europe. Finally, it supports the continuing efforts by European and national trade associations to develop further guidelines for best practices in liquidity risk management.

Full report



© ICMA


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