The following holdings and security data required. Funds-Axis can provide the market data, subject to data licensing. Alternatively, it can be provided by the client. Clients can also provide additional data for use in the liquidity risk assessment.

*Security Identifier – For securities and funds, please provide Sedol/ISIN. For listed futures, please provide the standard derivatives identified – e.g. Z M9. For OTCs and for cash, deposits etc. Please provide an internal identified.

** Instrument settlement cycle – Is not required for liquidity calculations, but is used to provide additional analysis.

*** Underlying ISIN/Sedol – Required for OTC derivatives, excluding currency and interest rate derivatives.

**** For Derivatives Stressed Liquidity – Please note that for both OTC Derivatives and Exchange traded, the calculations are based on market value. However, the stressed liquidity calculations need to reflect the potential for losses based on movement in the underlyings. Therefore, for all derivatives we need either the current economic exposure or the contract size and current underlying price – we can obtain this for standard futures contracts, CFDs, FFX, interest rate. For other OTCs, client should provide the data

***** For Unlisted Funds – See also Appendix 4 for additional data points used for the assessment of stressed liquidity of other open ended funds invested into. Most of these data points are manually captured.

There is a range of data that can be captured to support the clients fund risk assessment.

This data is captured in the scheme master and summarised below.

Total Liquidity risk score

The capture results in a Liquidity Risk Assessment score being calculated at Portfolio level.

Data Captured