Risk Reporting
A delicate balance between regulation and risk
The data management and calculation functionalities are implemented within BMA’s analytical platform for risk measurement, performance assessment, and valuation: DRaX.
This enables us to produce comprehensive sets of risk reports for investment funds and asset management companies, covering both liquid and illiquid assets.
Risk Reporting for UCITS Funds
BMA produces risk management reports for UCITS-type funds, covering all financial risks.
These typically include:
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Global exposure (commitment approach or VaR/stress tests)
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Credit risk and counterparty risk analyses (reducing reliance on external credit ratings)
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Liquidity risk (see below)
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Performance analyses adjusted for risk
Liquidity Risk Reporting
BMA’s solution for measuring and analyzing liquidity risk complies with ESMA guidelines (ESMA 34-39-882 – Guidelines on liquidity stress testing in UCITS and AIFs) and CSSF Circular 19/733:
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Retrieval and verification of all data provided by the client
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Completion of missing data (if necessary)
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Analysis of asset slippage risk (under both normal market conditions and stressed market conditions)
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Simultaneous analysis of liquidity risk for assets and liabilities (under both normal and stressed market conditions)
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Generation of a detailed risk report for each fund analyzed
Stress Tests on Money Market Funds
BMA produces stress test reports in compliance with current regulatory requirements.
These reports provide the full range of risk analyses and measurements as defined in the ESMA guidelines (ESMA 34-49-115 – Guidelines on stress test scenarios under Article 28 of the Money Market Funds Regulation).
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Receipt and verification of all data provided by the client
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Completion of missing data where necessary
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Development of scenarios to assess and cover the following risks:
- Market risk (interest rates, exchange rates)
- Credit risk (spread, rating)
- Default risk
- Liquidity risk on both asset and liability sides
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Construction of global scenarios combining key highlighted factors
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Production of a detailed stress test report for each fund
PRIIPS
The BMA PRIIPS calculation and reporting solution is fully compliant with PRIIPS regulations and is regularly updated.
It supports all AIF strategies, including UCITS-type funds, private debt funds, and private equity funds.
Services include:
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Receipt and verification of all client-provided data
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Calculation and monitoring of the Summary Risk Indicator (SRI)
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Calculation and monitoring of performance scenarios
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Calculation and monitoring of the impact of costs and fees on returns (RIY)
Deliverable: Automated generation of files in the 'Club AMPERE EPT' format
SCR Solvency II Reports solution
The SCR Solvency II reporting solution leverages BMA’s expertise in optimizing regulatory capital, combined with efficient data management technology to enable the production of TPT / Club Ampère reports.
Services include:
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Receipt and validation of all client-provided data
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Loading and monitoring of various data streams
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Completion of missing data, where applicable
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Calculation of various market-based SCR indicators
Deliverable: Automated generation of files in the "Club Ampère EPT" format
AIFMD Annex IV Reporting
BMA performs all required calculations—including leverage, generalized sensitivities, and liquidity and market stress tests—as well as report generation (XML for regulatory submission, PDF for internal reporting) and transmission via official secure platforms.
The report is also delivered in Excel format, aligned with ESMA’s standard template.
Services include:
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Receipt and validation of all client-provided data
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Loading and monitoring of various data streams
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Completion of missing data, where applicable
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Calculation of key indicators (exposure, leverage, stress tests, liquidity, etc.) and classifications in accordance with directive requirements
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Automated report generation, delivered in standard formats (XML / Excel)
For each of these reports, BMA ensures ongoing regulatory monitoring and updates the reports in accordance with any changes in regulatory requirements.
