Réponse de l’AFG à la consultation IOSCO sur les outils de gestion de la liquidité

The AFG has provided its feedback to the IOSCO consultation report on Anti-dilution Liquidity Management Tools. IOSCO’s consultation report addresses Anti-dilution Liquidity Management Tools (LMTs) for Collective Investment Schemes, emphasizing their importance in managing liquidity risk. It proposes guidance for responsible entities, including tools like swing pricing and anti-dilution levies. Feedback from market participants was sought until 4 September 2023.
AFG responded to IOSCO’s consultation and emphasizes that its members operate in a jurisdiction already adhering to IOSCO’s Recommendations and have issued a Guide to establish efficient risk control frameworks for liquidity risk management. AFG has consistently supported asset managers in implementing sound liquidity risk management practices, including anti-dilution LMTs. They believe that LMTs, including anti-dilution measures, are a part of a broader liquidity risk management framework and should not be activated continuously.
One crucial aspect for estimating redemption magnitude is a better understanding of the liability side. AFG urges regulators to mandate fund distributors and intermediaries to provide granular investor profile data free of charge to fund managers. This data would aid in anticipating redemptions during market stresses more effectively.
AFG agrees with IOSCO that anti-dilution LMTs can be a vital component of daily liquidity risk control for selected fund categories. However, they argue that these tools are not equally effective for all fund types and should be selectively applied. They stress the importance of considering the valuation policy and asset type when implementing these tools.
Regarding European regulations, AFG notes that only three LMTs are listed in upcoming releases. They believe that other LMTs mentioned in the consultation may not be necessary.
AFG acknowledges the complexity and operational costs associated with anti-dilution LMTs and fears that smaller asset managers may face disproportionate costs. They argue that the choice of LMTs should be based on investment and structuring strategies, and asset managers should have the primary responsibility for justifying their LMT selection.
AFG disagrees with the cost of liquidity definition that relies solely on simulating portfolio transactions. They argue that the estimation should be based on actual transactions that the portfolio manager intends to execute, especially when leveraging or using liquidity buffers.
Regarding the cost of liquidity components, AFG believes the proposed list is comprehensive. They emphasize the need for flexibility and pragmatism in calibrating anti-dilution LMTs, as market conditions can change rapidly.
AFG sees subscription/redemption fees as a simpler form of anti-dilution levy but notes their lack of flexibility in adjusting to net flows in real-time. They argue that these fees are essential in semi-liquid funds to incentivize investors to remain invested.
AFG supports estimating liquidity costs on a best-effort basis with continuous improvement and strong supervision of fund management. They emphasize that swing/ADLs are not costs per se but adjustments to fund valuation based on market conditions.
AFG highlights the importance of flexibility in implementing swing pricing and avoiding detailed disclosure of calibration thresholds to prevent front-running.