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10 May 2012

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


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ステートストリート・グローバルサービシーズは、欧州委員会が、合同運用の投資媒体に対して「ルックスルー」アプローチを導入した場合、ソルベンシー2の下で資産運用会社は投資戦略の「不慮の」開示を強いられる可能性があると警告した。


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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