* Shares lost more than a quarter of value in two days
* Capital issue may be needed as new EU rules loom
By Toby Sterling
AMSTERDAM, Aug 12 (Reuters) - Shares in Delta Lloyd fell sharply again on Wednesday because of worries the third largest Dutch insurer may need to raise capital for the second time this year, the latest in a rapid series of setbacks.
Delta Lloyd shares were down 8 percent by 1335 GMT and have lost more than a quarter of their value over the past two sessions since the insurer surprised the market with far worse-than-expected guidance on its solvency ratio.
The ratio miss came hard on the heels of the resignation of the company's chief financial officer and chairman on Aug. 3, following a clash with regulators over the fallout from an ethics case dating back to 2012.
Adding to concerns, research group Morningstar said late on Tuesday that it has placed all the company's funds under review until it has greater confidence that asset managers are running them in a professional and ethical manner.
The most pressing worry for investors was the possible need for new capital, which comes only five months after a 338 million euro ($377 million) share issue in March that management said was the cure for uncertainty around its solvency ratio.
A spokesman for the insurer declined to comment beyond remarks made by CEO Hans van der Noordaa on Tuesday that a second capital increase was "not on the agenda."
However, ABN Amro analyst Jan Willem Knoll said that "a capital raising is now unavoidable" and estimated that Delta Lloyd needs 500 million euros.
The EU's new risk capital rules for insurers, known as Solvency II, are due to take effect on Jan. 1, 2016 and analysts have been looking for insurers to report strong and stable capital ratios.
The rules are designed to ensure that insurers have sufficient resources to cover their liabilities.
Despite analyst concerns about the solvency ratio, Delta Lloyd maintained an interim dividend of 0.42 euros per share.
Delta Lloyd told analysts on Tuesday that its Solvency II rating fell "slightly below appetite level" -- meaning below the low end of a 140-180 percent target range. The company itself had indicated in March it was near the high end of that range.
The drop at Delta Lloyd contrasts with a 22 percentage point rise in Solvency II capitalisation at Europe's largest insurer, Allianz, which reported the ratio at 212 percent at the end of the first half, compared with 191 percent in December.
Delta Lloyd said the fall came as rising bond yields led to declines in the value of its fixed income investment portfolio and also because it is fine-tuning how it will value assets under Solvency II.
Delta Lloyd is the third largest insurer in the Netherlands behind Transamerica owner Aegon NV and former ING insurance arm NN Group. It focuses on life and general insurance with significant pension, asset management and banking operations. ($1 = 0.8972 euros) (Editing by Keith Weir)