A unit of UBS is collaborating with research firm Morningstar to help asset managers calculate solvency capital requirements (SCRs) under the Solvency II regime at the fund level.
UBS Delta, part of the investor client services division at UBS Investment Bank, will provide SCR calculations based on risk analytics and Morningstar data.
“By including the SCR calculation in their client reporting, asset managers can communicate the indicative risk breakdown of their funds’ portfolios to insurance clients using the language and methodology of the Solvency II Standard Model,” says Connor Sloman, head of asset management solutions, Europe, Middle East and Africa, Morningstar.
“As a result, asset managers will be better able to support their insurance clients by providing an additional level of transparency on their funds’ portfolios.”
From January 2016, the Solvency II regime will require insurance companies to calculate a market risk SCR for their entire balance sheet, including assets held in funds. The regulation is intended to improve transparency and reduce the risk of insurers becoming insolvent.
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