Morningstar Partners UBS Delta for Solvency II Calculations
The calculations will be provided at a fund level, with UBS crunching the numbers based on its own risk analytics and Morningstar's proprietary data. Morningstar will distribute the calculations as a supplementary data set within its existing Solvency II reporting platform.
"We are seeing firsthand how asset managers are taking an active interest in providing additional insight into how their funds' asset allocations may drive Solvency II capital charges," says Connor Sloman, head of asset management solutions, Emea, at Morningstar. "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."
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