Solvency II News: PIMCO leads Solvency II reporting initiative for asset management industry

Solvency II Wire can reveal that leading European asset management companies met last Wednesday (19 October) to discuss the possibility of setting an industry-wide standard for Solvency II reporting on investment holdings for insurers. The initiative is being led by PIMCO Europe and coordinated by the International Capital Market Association (ICMA). Matthieu Louanges, Executive Vice President, PIMCO Europe, who has been leading the initiative internally, told Solvency II Wire in an interview, “PIMCO believes there is a real risk that firms will have different interpretations of the Solvency II reporting requirements, which would not be optimal for either the insurance or the asset management industries. We need to start a discussion at the asset management industry level to develop a standard that could be agreed between the asset management industry, the insurance industry and the regulator.” The initial meeting of the Solvency II Working Group was hosted by ICMA. Dr Nathalie Aubry-Stacey, Director, Market Practice and Regulatory Policy at ICMA, said, “We had a successful first meeting with a number of the key industry participants and we agreed on some work streams moving forward.” Dr Aubry-Stacey indicated there was a willingness to widen the scope of the group. “At this stage we are still confining the discussion to the asset management industry but there was a broad consensus to include both the insurance industry and the regulators in future discussions.” Solvency II will require look through analysis at the line item level of the portfolio to calculate the capital charge, but providing this information poses a number of challenges. Mr Louanges explained that there were two main parts to the initiative, “One part is to agree on some general principles at the industry level regarding acceptable disclosure policies in terms of frequency and the timeline of reporting after month and quarter end. The other relates to simplification of the look through into the underlying fund holdings. Here the idea is to explore the possibility of developing a set of Solvency II compliant aggregated risk numbers, which will simplify reporting for a fund with very large portfolio holdings.” The second meeting of the working group is due to take place in London in November.

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