Morningstar Collaborates with UBS Delta to Deliver Solvency II Capital Requirement Calculations to Asset Managers

London - 22 April 2014

Morningstar UK Limited, a subsidiary of Morningstar Inc., (NASDAQ: MORN), an independent investment research firm, and UBS Delta, a leading provider of risk and performance analytics and part of UBS Investment Bank’s Investor Client Services Division, are working together to provide fund-level Solvency II market risk Solvency Capital Requirement (SCR) calculations to asset managers.

Morningstar offers leading fund portfolio holdings data and Solvency II classifications. UBS Delta will provide Morningstar with SCR score calculations based on its long-standing risk analytics expertise and Morningstar’s data. The calculations are available as a supplementary data set within Morningstar’s existing Solvency II look-through reporting solution for asset managers.

Connor Sloman, Head of Asset Management Solutions, EMEA for Morningstar, comments: “We are seeing first-hand how asset managers are 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 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. 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.”

Dermot Shortt, Global Head of UBS Delta, comments: “Asset managers and insurers face a steep hurdle to comply with Solvency II asset reporting and capital rules. We are excited to collaborate with Morningstar to provide a holistic approach to address reporting challenges, by coupling Morningstar’s market-leading global fund database with UBS Delta’s strength in asset analytics."

Solvency II is an updated set of EU regulations that will require insurance companies operating in the European Union to meet enhanced levels of transparency, capital adequacy, and risk assessment for all assets and liabilities on their balance sheet. From January 2016, this will include the requirement upon insurers to calculate the market risk Solvency Capital Requirement for their entire balance sheet, including for assets held in investment funds.

Drawing on its 30 years’ experience in collecting, verifying, and analysing full portfolio holdings data, Morningstar is well positioned to support asset managers and insurers in the delivery of Solvency II holdings transparency solutions and to provide further data enrichment through collaboration with third-party calculation and data providers. Morningstar’s commitment to quality assurance throughout each stage of the portfolio data collection, standardisation, and enrichment process is an aspect that strongly supports the high standards of data governance within Pillar II of Solvency II.

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