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Morningstar Augments Solvency II Solutions with UBS Delta’s Capital Requirement Calculations

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Morningstar UK has extended its range of Solvency II solutions for asset managers through a partnership with UBS Delta that adds fund level Solvency Capital Requirement (SCR) calculations to the company’s fund portfolio holdings data and Solvency II classifications.

Morningstar has included fund portfolio holdings data for many years and Solvency II classification data since 2012 in its data feed solutions. Adding to these, UBS Delta, a provider of risk and performance analytics within UBS Investment Bank’s Investor Client Services Division, will provide the company with SCR score calculations based on its risk analytics and Morningstar’s data. The calculations are available immediately and are offered as a supplementary dataset within Morningstar’s Solvency II reporting solution for asset managers.

Connor Sloman, head of asset management solutions, EMEA, at Morningstar, explains: “We are seeing asset managers taking an active interest in providing additional insight into how their funds’ asset allocations may drive Solvency II capital charges. By including the SCR calculation in 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.”

Dermot Shortt, global head of UBS Delta, adds: “Asset managers and insurers face a steep hurdle to comply with Solvency II asset reporting and capital rules. Our collaboration with Morningstar will provide a holistic approach to addressing reporting challenges by coupling Morningstar’s global fund database with UBS Delta’s asset analytics.”

Sloman says Morningstar considered a number of prospective partners to calculate SCR scores before selecting UBS Delta on the basis of its expertise in risk analytics and overall solution, but notes that the partnership is not exclusive, allowing Morningstar to work with asset managers using risk analytics from other providers and to make further partnerships depending on client demand.

While Morningstar’s partnership with UBS Delta focuses on asset managers, the company continues to develop and deliver data feed solutions directly to insurance clients that must meet Solvency II requirements to make and report SCR calculations.

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