Look-through analysis that reads every manager report to its holdings and ties each fund to the manager's own NAV
Every manager report read to its holdings, and every figure tied to the manager's own NAV.
See one case, screen by screen ↓Look-through analysis means looking through the funds an investor holds to the securities inside them, so its real exposure to issuers, sectors, countries of risk, currencies and leverage can be measured and tested against limits. Look-Through Risk Analysis does this from each manager's own reports: six agents read every fund and GP report in its original language, map each holding, tie each fund to the manager's NAV, estimate what has not been reported and surface the concentrations only visible after looking through, for the risk analyst, the Head of Investment Risk and the CIO to approve and sign.
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Look-through analysis is how a pension or insurer that invests through external managers sees what it really owns. It holds funds, not securities, so its issuers, sectors, countries of risk, currencies and leverage sit one or two layers down, in each manager's quarterly report, capital account statement or holdings file. Those arrive as PDFs, spreadsheets and the occasional Tripartite Template file, in the manager's own layout and often its own language. Risk analysts do the fund look-through by hand: they key the holdings, map them to the security master, tie each fund back to the NAV the manager reported, and roll forward the funds that have not reported yet.
The risk sits in what nobody had time to see. A developer registered in the Cayman Islands is mapped by domicile instead of country of risk, so a China property exposure never shows. It is the classic fund of funds risk: an issuer held by eleven funds of eight managers stays under every single manager's radar. Tie-out differences are waved through, and last quarter's holdings pass as this quarter's. Under Solvency II, a fund an insurer cannot look through is charged as type 2 equity.
Estimated split for the demo's multi-manager portfolio of 38 managers and 120 funds, by hand and with the solution.
Six agents read, map, tie out, estimate and test every manager report; analysts map, the CIO signs.
Quillfield Capital's Multi-Asset Portfolio is $14.62B at September 30, 2026, invested through 38 external managers and 120 funds for pension and insurance clients. It is Thursday, October 8, business day 6 of the Q3 close, and the CIO's sign-off is due Friday. Here is what happens next, screen by screen, in the working solution.
Claire's home screen shows 93.1% of the portfolio looked through ($13.61B from 104 of 120 funds), 6.9% not yet reported and held at a labeled estimate, 3 exposures over a limit that are invisible at the fund level, and 2,148 mappings waiting for a person. Under Needs you, the first item reads: China real estate is 3.2% against a 2.5% limit.
Concentration agent, 2:15 a.m.: “Overnight: 3 exposures over a limit appear only after looking through; the largest is China real estate at 3.2% against 2.5%. Nine mappings need you before the alert is final.”
On the look-through screen the portfolio unfolds ring by ring, from 38 managers to 120 funds to their holdings, colored by sector, country or currency, with the unreported $1.01B as a gray, labeled wedge. Claire asks in plain words. The agent answers with the path and the pages: $292M through credit funds, $468M in all, and it highlights the ten funds on the chart.
“Through credit funds: $292M, 2.0% of the portfolio: Valmorel Crédit Opportunités $251M (page 14) and Kittiwake Asia Private Credit III $41M (page 11). With the equity and property funds the total is $468M (3.2%) against a 2.5% limit.”
The look-through exposure is 3.2% ($468M) against 0.4% ($58M) at the fund level, over the limit by 0.7 points. The path runs through 10 funds of 8 managers; $251M is in Valmorel Crédit Opportunités, whose quarterly report lists nine bonds of Chinese property developers registered in the Cayman Islands and the British Virgin Islands. The French page sits beside the English, line for line.
Mapper agent: “My confidence is 89–93%, below the 95% needed to approve on my own, so the mapping waits for an analyst. Without it, $251M would sit in ‘Cayman Islands’ and the breach would not show.”
Claire approves the 9 mappings: $251.0M from the Cayman Islands and the British Virgin Islands to China, real estate, with report page 14 and the security master record as evidence. The reason code is MP-02, country of risk from parent revenue and listing, not domicile. Seconds later the Concentration agent re-tests the limit: the alert is final and goes to Isabel Moreno, and it now appears in the draft committee papers.
“Signed as Claire Dubois · Investment Risk Analyst · 9:54 a.m. ET · recorded on the audit trail.”
Isabel picks one of four decisions: escalate to the investment committee, ask manager research to engage the manager, put on watch, or accept within tolerance, with the rationale in the note. A breach needs a note. She escalates to the October 22 committee and asks Hannah Weiss in manager research to engage Valmorel Gestion; the Reporting agent drafts the engagement note for Hannah to approve and send.
Until the mapping is approved, her Decide button says why it is locked: “The analyst approves the mapping first (maker), then you decide (checker).”
101 of 104 reported funds tie to the manager's NAV within 2%. Two are escalated to Hannah. Rheinfeld Infrastruktur Fonds II reads €307.6M of holdings against a NAV of €318.4M, −3.39%, and the Checker finds a €10.8M sale receivable on page 31 that closes the gap exactly. Kittiwake Asia Private Credit III is +2.59%, two real estate loans listed at par instead of fair value. A question to each manager is already drafted.
Checker agent: “I suggest treating it as cash, with the manager’s confirmation.” It never closes a gap itself.
Serra Alta Brasil Crédito sent its report by email as a scanned PDF in Portuguese. The Reader read 88 lines and tied them to the NAV within 0.18%, but the gross leverage on page 6 is smudged. It marks the value unreadable and sends it to an analyst, who enters it from the page with a reason code, and the checks run again.
“Unreadable on page 6 · not guessed.”
Sixteen funds, $1.01B or 6.9% of NAV, mostly private funds that report 45–75 days after quarter end, are held at an estimate under method v2.1, approved by Isabel Moreno. Larkspur Hill Capital Partners VII is $182.0M: its June 30 capital account of $178.9M, plus a $4.2M call, less $2.9M distributed, rolled forward 1.0%. When a report lands it replaces the estimate and the variance is recorded.
“Last quarter the estimates were within 3.4% of the reported values on average.”
The sign-off checklist shows what is left: every received report read, mappings over $10M a line decided, tie-out gaps resolved or noted as exceptions, the unreported share estimated and labeled, breaches decided, client files validated. Claire submits, Isabel reviews, and Daniel Okoro, Chief Investment Officer, Multi-Manager, signs the quarter with the investment committee papers the Reporting agent drafted. Last quarter was signed on business day 23.
“The preparer cannot review or sign. The reviewer cannot sign. The CIO did not prepare or review this quarter. Agents drafted; people decided.”
From the same signed data, the Reporting agent drafts each client's look-through reporting: the Tripartite Template (TPT) files for Halden Mutual Life (Solvency UK) and Aurelia Assurances Vie (Solvency II, with S.06.03 support), the NAIC look-through support file for Pinecrest Life & Annuity (NAIC risk-based capital) and the exposure report for the Marlow County Employees' Retirement System. Rajiv validates each one (a CIC code on every line, ISIN check digits, holdings that sum to the client's share of NAV, estimates flagged) and prepares it; a second person approves the release.
The Aurelia file holds 87,102 lines; the estimated share is labeled in the file, 16 funds, 6.9%.
The same Q3 look-through, seen by five of the people who carry it — what quarter end looked like, and what it looks like now.
Six agents read, map, tie out, estimate and test every manager report; analysts map, the CIO signs.
Reads every manager report, capital account statement, holdings file and Tripartite Template file in its original language, and extracts each holding, the NAV, cash and leverage, cited to its page.
Maps each line to an identifier, issuer, sector, country of risk and currency against the security master and vendor reference data.
Ties each fund's extracted holdings to the NAV the manager reported for Quillfield's share, and explains the gap from the report: cash, receivables, accruals, par versus fair value.
Estimates the share not yet reported from the last holdings, market proxies and known capital calls and distributions, and replaces the estimate when the report lands.
Tests looked-through exposures by issuer, sector, country, currency and leverage against the investment policy and the restricted list, compares them with the fund-level view and explains the path.
Drafts the investment committee papers, each insurer's Tripartite Template file with CIC codes, S.06.03 support, the NAIC support file and the pension exposure report, validates them, and drafts messages to managers.
Maker, checker, signature, release. The agents propose; a named person decides.
Ask about total portfolio exposure to any issuer, sector, country or currency, about any manager, fund, mapping or estimate, or say what to do. The agents answer with the path through managers and funds and the pages behind it, and act only with a person's approval.
How much China property do we hold through credit funds?
Through credit funds: $292M, 2.0% of the portfolio: Valmorel Crédit Opportunités $251M (page 14) and Kittiwake Asia Private Credit III $41M (page 11). With the equity and property funds the total is $468M (3.2%) against a 2.5% limit. The ten funds are highlighted on the chart.
Why China and not the Cayman Islands?
The report lists where each issuer is registered: the Cayman Islands or the British Virgin Islands (page 14). Risk follows the business: each parent is listed in Hong Kong and earns 100% of its revenue from mainland China property. The data vendor agrees. That is why the exposure is invisible at the fund level and visible looked through.
What can we do about it?
I do not trade or change limits. The usual options, for Isabel Moreno to decide: escalate to the October 22 committee with a plan; ask manager research to engage Valmorel; reduce the allocation to Valmorel Crédit Opportunités by about $300M to bring the total under 2.5%; or accept with a rationale. Each is recorded with a reason code.
Why does Rheinfeld not tie to its NAV?
The asset list sums to €307.6M against a NAV of €318.4M. Page 31 lists a €10.8M receivable from a sale, which closes the gap exactly. It is with Hannah Weiss to confirm with the manager.
13 screens from the working solution, on its sample data. Pick one to see it large.
The rules every quarter is tested against are settings. The administrator proposes a change, the Head of Investment Risk approves it, and both are on the audit trail.
| Setting | Default | Choose from |
|---|---|---|
| Tie-out tolerance (escalate above) | 2.0% | Gaps above it go to manager research with the Checker's explanation |
| Auto-approve a mapping at confidence of at least | 95% | Lines below it wait for a risk analyst |
| Auto-approve limit per line | $25M | Larger lines always go to a risk analyst |
| Second approval for bulk approvals over | $50M | Approved by the Head of Investment Risk |
| Report due | Liquid funds 10 business days · private funds 45–75 days by fund terms | Overdue reports are flagged, with reminders drafted for manager research to approve |
| Country and sector limit (look-through) | 2.5% of NAV | Set from your investment policy |
| Single issuer limit | 1.5% of NAV | Set from your investment policy |
| Private credit leverage, watch level | 1.75x | Set from your investment policy |
Every figure is labelled: a target the solution is built to, an estimate, a typical published result, or a proven one.
“demo” = seen in the working solution, on its sample portfolio · “target” = the design goal, measured in the live solution · “estimated” = our estimate · “typical” = published figures (Delegated Regulation (EU) 2015/35, Articles 84 and 169 — look-through and the 49% type 2 equity charge before the symmetric adjustment; NAIC life risk-based capital — about 30% for most equity-like Schedule BA interests; EIOPA template S.06.03; FinDatEx Tripartite Template). Day 23 is the example firm's last-quarter baseline. People, firms, managers, funds, issuers and clients named on this page are fictional — characters and sample data in the working solution.
Look-through analysis means looking through the funds an investor holds to the securities inside them, so its real exposure to issuers, sectors, countries of risk, currencies and leverage can be measured and tested against limits. Look-Through Risk Analysis does this from each manager's own reports: six agents read every fund and GP report in its original language, map each holding, tie each fund to the manager's NAV, estimate what has not been reported and surface the concentrations only visible after looking through, for the risk analyst, the Head of Investment Risk and the CIO to approve and sign.
The Solvency II look-through approach asks insurers to look through collective investment undertakings to their underlying assets when calculating the solvency capital requirement (Delegated Regulation (EU) 2015/35, Article 84). A fund that cannot be looked through is charged as type 2 equity, 49% before the symmetric adjustment. Insurers report the look-through in template S.06.03 and receive most fund data on the Tripartite Template; the solution drafts both from the signed look-through.
Yes. The Reader agent reads quarterly reports, capital account statements and holdings files in their original language (the sample quarter has reports in 12 languages) and cites every holding to its page, with the original beside the English. A value it cannot read, such as a smudged figure in a scanned report, is marked unreadable and sent to an analyst rather than guessed.
Domicile is where an issuer is registered; country of risk is where its business and revenue are. A Chinese property developer registered in the Cayman Islands is a China risk. The Mapper agent maps each line to country of risk and never by domicile alone, and sends anything below 95% confidence to an analyst with its evidence.
The Checker agent ties each fund's extracted holdings to the NAV the manager reported for your share, explains the difference from the report and escalates every gap over 2% to manager research. The Gap agent estimates funds not yet reported from their last holdings, capital activity and market proxies, labels the estimate everywhere, and replaces it with the variance recorded when the report arrives. Most of the unreported share is private funds that report 45–75 days after quarter end, so private markets exposure analysis rests on these labeled roll-forward estimates until each capital account statement arrives.
Yes. The Tripartite Template (TPT) is the standard file asset managers send insurers for Solvency II look-through reporting. From the CIO-signed look-through, the Reporting agent drafts each insurer's Tripartite Template file with CIC codes, S.06.03 support, the NAIC look-through support file and pension exposure reports, and validates them: CIC codes, identifier check digits, totals against the client's share of NAV and labeled estimates. Regulatory reporting prepares each file and a second person releases it.
Yes. The agents read, map, tie out, estimate, test and draft; they never sign, release a file, message a manager, change a limit or close a gap. The risk analyst approves mappings and submits, the Head of Investment Risk reviews and decides breaches, the CIO signs, and every decision carries a reason code on a hash-chained audit trail.
The Agentic Solution Engine builds and deploys it from your requirements and documents — your investment policy, client reporting templates and a quarter of past manager reports — and it goes live once every quality gate has passed. We will walk you through it on your own manager reports first.
Every holding bucketed monthly, every override explained, no filing trigger missed.
1-min demoLiquidity Stress TestingEach fund's breach day found and evidenced, and the quarterly pack signed in a day.
1-min demoDerivatives Risk Management ProgramEvery daily VaR test explained in plain words, every escalation signed, no late N-RN.
1-min demoWe'll run Look-Through Risk Analysis on a quarter of your own manager reports and the systems they tie to.