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10 May 2012

IPE: Solvency II look-through approach a threat to fund managers


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State Street Global Services has warned that Solvency II could force asset managers to disclose their investment strategies "inadvertently" if Brussels adopts a 'look-through' approach for pooled vehicles.


The current third pillar of the Solvency II framework sets out how insurers must report their solvency positions. This requires asset managers to provide a much more granular level of reporting for pooled investment funds such as mutual funds, hedge funds and securitised products.

This 'look-through' approach aims to assess and manage the investors' risk profile and the risks embedded in investment funds, while 'look-through' reporting will also be used in the calculation of the capital adequacy requirements.

By revealing that precise amount, asset managers could "inadvertently" disclose their investment style, as they will be required to break down that total investment into pieces in order to reflect the pools of funds in which they are investing. However, some asset classes such as derivatives remain more opaque and therefore more difficult to define and collate for reporting purposes.

Full article (IPE subscription required)



© IPE International Publishers Ltd.


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