Solvency II Data Solutions

Transcription

1 Solvency II Data Solutions Interactive Data offers a comprehensive approach to managing the data and reporting requirements for asset managers and insurers under Solvency II. Solvency II is the European-wide regulation for the insurance industry. It encompasses all insurance and reinsurance firms with gross premium income exceeding 5m or gross technical provisions in excess of 25m HQ in EU and subsidiaries outside of the EU. It also applies to European subsidiaries of global insurance companies. Contact Us To find out more or to arrange a demo T: EMEA +44(0) E: eu-info@interactivedata.com Pillar 1 Quantitative Requirements Technical provisions Minimum capital requirement (MCR) Solvency Capital Requirement (SCR) Pillar 2 Qualitative Requirements Corporate governance Principles for internal controls and risk management FLAOR (Forward Looking Assessment of Own Risk) Pillar 3 Reporting & Disclosures Enhance market discipline through public disclosures Annual SFCR and Solvency reports QRTs Funds Look-through Market-consistent valuation of assets and liabilities Risk-based requirements Validation of internal models Business governance Risk-based supervision Funds Look-through Insight into actual risk and return profile of an insurance company Solvency II: What are the implications for my firm? Asset data requirements - Higher data volumes and the merging of market and reference data sets that are traditionally processed separately and the implementation of new data attributes and analytics to stress asset values all present significant challenges around data quality, complexity, timeliness and operational models. In addition, for any fund investments, the look-through principle applies under both Pillar I and Pillar III, placing an additional burden on data sourcing and data standardisation on insures and their asset managers. Data governance impact Insurers are expected to demonstrate that data used to support the SCR process is accurate, complete and appropriate. Firms therefore need to ensure they have the appropriate data management and quality assurance controls in place. Accuracy in calculating capital adequacy Inaccuracies in the identification and valuation of assets could potentially result in either too little capital being retained, putting the firm in breach of capital requirement limits, or too much capital being set aside that could otherwise be utilised by the business to generate revenues. More granular and frequent reporting Quantitative Reporting Templates (QRTs) and a move to quarterly returns, as well as a reduction in the reporting requirement timeframe from six weeks before end of quarter in year one to four weeks in subsequent years. Pricing & Reference Data

2 Interactive Data: Unparalleled data expertise for Solvency II Interactive Data provides high-quality reference data on over 10 million financial instruments, and collects, edits, maintains and delivers pricing and pricing-related data from more than 450 markets and exchanges around the globe. The combination of high quality reference and pricing data, coupled to proven analytics can help your firm successfully manage the transition to Solvency II and maintain ongoing compliance. Data required for Market risk Equity risk Interest rate risk Credit risk Forex risk Concentration risk Illiquidity risk Data required for Default risk Counterparty default risk Concentration default risk Data delivered by Interactive Data s Solvency II solution Interactive Data s unique approach to addressing Solvency II compliance Interactive Data s Solvency II approach delivers unparalleled breadth and depth of cross-asset data to enable asset managers and their insurance clients by providing: The extensive high-quality asset data required to support the Minimum Capital Requirement (MCR) and Solvency Capital Requirement (SCR) calculation process under Pillar 1 requirements The additional asset data requirements specific to Quantitative Reporting Templates (QRTs) under Pillar 3 Interactive Data s Solvency II data solution also contains a number of key data attributes and service capabilities required to support Pillar 1 and Pillar 3 requirements. Integrated CIC Code Legal Entity Identifier (LEI) ISO NACE code Patented, market - leading fixed income evaluations Integrated, marketleading market and reference data New standard for Solvency II used for QRT reporting Cross referenced to a comprehensive range of security identifiers for ease of implementation Over 2.5 million financial assets included Entire CIC universe is checked daily for consistency against our latest reference data updates Fully mapped to the entity legal name, the entity group and across the relevant security level data, including underlying assets (for convertible instruments) Managed by Interactive Data using a wide range of authoritative company data, and tracking global Mergers and Aquisitions events that may affect the NACE classification Fully cross referenced to entities and underlying securities via a wide range of official coding 2.7m securities per day Fair-Value Duration Convexity Option-adjusted Spreads Key Rates Yield Analytics Issuer Credit Curves Credit Derivatives Swaps Equities Funds Futures Options Structured Attachment/ Detachment Collateral Prepayment Swaps Swap inflow/outflow Sensitivity Interactive Data s Solvency II product fully leverages its global expertise in reference data and income data collection. Fixed income data is sourced from prospectuses for accuracy and completeness of data. *AVOX unique identifier Pricing & Reference Data

3 Look-through data and Interactive Data s partnership with Morningstar As part of Pillar I Market Risk SCR calculations and Pillar III asset data reporting, insurers holding funds are required to look-through to the fund s underlying holdings multiple times, in order to identify material positions. In addition to sourcing basic information on the look-through data from (often a large number of) asset managers, insurers also need to source a wide range of reference, pricing and analytical attributes on securities. To assist with these requirements, Interactive Data has partnered with Morningstar, a leading investment research firm and data provider, who have already established full security level fund portfolio disclosure relationships with global asset managers and as part of their Solvency II service can readily extend these relationships to any managers the customer nominates. With more than 25 years of experience in collecting fund portfolios, Morningstar sources the data from asset managers and leverages its expertise in security mapping, data enrichment and quality assurance standards to deliver a streamlined look-through data solution that helps companies meet the required levels of regulatory transparency. This partnership between Interactive Data and Morningstar allows clients to benefit from both multiple levels of look-through provided by Morningstar and Interactive Data s reference, analytics and pricing service for individual securities to achieve a fully standardized and streamlined source of fund look-through data. Attributes included in this offering include those captured in the Tripartite template: https: / The Tripartite Template is a data exchange protocol developed by the asset management community (in consultation with insurers) and key industry stakeholders including TPA s. Specifically designed to service the data traffic between asset managers and insurers, the template has become the standard Solvency II template in several European countries. It is managed by the Solvency II European Working Group and is actively sponsored by several European Asset Management associations, including EFAMA, the Investment Association in the UK, Club Ampere in France, BVI in Germany, Assogestioni in Italy, the Dutch Fund and Asset Management Association and VÖIG in Austria. This partnership between Interactive Data and Morningstar allows clients to benefit from both multiple levels of look-through provided by Morningstar and Interactive Data s reference, analytics and pricing service for individual securities to achieve a fully standardized and streamlined source of fund lookthrough data. The European Working Group actively lobbies EIOPA who in turn advise the European institutions on the implementation of Solvency II.

4 Morningstar Solvency II Solution Fund Full Holdings & Fund Look-Through Balance Full Multi-Layer Fund Sheet Holdings Look-Through Fund A Fund B Funds Fund C Funds Equities (Eg. Shell) (Eg. Shell) 100 Funds 500 Funds 1,000 Funds Equities (Eg.Shell) Equities (Eg.Shell) Detailed fund exposures to individual Equity, Bond, Cash and other securities. Multi-Layer Fund Look-through Built on our Industry Leading portfolio collection Consistent methodology across Global Funds Bespoke Data Permissioning System Superior Timeliness & Data Quality Seamless bundling with 3rd party data Unified, Consistent, Easy To Integrate Solution Pricing & Reference Data

5 Interactive Data combined offering via Morningstar Data type Detail of data type CIC Security level identifier (developed specifically for the Solvency II regulation) NACE Entity level industrial sector LEI and issuer level data Issuer identifier Parent Group (ultimate parent linkage) Ultimate parent of issuer Duration Risk Analytical Data Z spread Risk Analytical Data Valuation yield & convexity Risk Analytical Data Fixed income Terms & Conditions Fixed income Terms & Conditions Interest rate type, annual coupon rate, interest rate index, margin, coupon frequency Maturity date, redemption type, redemption rate, callable/ puttable, subordinated debt flag Warrants and options data Strike price General reference data Incorporation of issuer General reference data Instrument name Security coding ISIN and CUSIP Price Only when instrument is convertible, and only for the instrument the instrument converts into Ratings S&P, Moody s and Fitch Fund level data Integrated evaluated prices data Interactive Data s patented, independent and industry-leading evaluated pricing service is an integral component of the Solvency II data service, providing prices for instruments not on liquid markets. The processes and workflow providing transparency ensures firms gain: The underlying methodology of an evaluated price Understanding into how a net asset value (NAV) has been calculated Fixed Income analytics to stress test assets and model scenarios to determine impact on portfolio values, and help calculate the correct levels of capital required

6 Contact Us To find out more or to arrange a demo T: EMEA +44(0) E: eu-info@interactivedata.com ABOUT INTERACTIVE DATA Interactive Data Corporation is a trusted leader in financial information. Thousands of financial institutions and active traders, as well as hundreds of software and service providers, subscribe to our fixed income evaluations, reference data, real-time market data, trading infrastructure services, fixed income analytics, desktop solutions and web-based solutions. Interactive Data s offerings support clients around the world with mission-critical functions, including portfolio valuation, regulatory compliance, risk management, electronic trading and wealth management. Interactive Data has over 2,400 employees in offices worldwide. AMERICAS 100 Church Street 11th Floor New York, NY T: +1 (212) E: info@interactivedata.com OUR OFFICES: Amsterdam Bedford Chicago Cologne Dubai Dublin Frankfurt Geneva Glasgow Hayward Hong Kong Jersey, CI London Luxembourg Madrid Melbourne Milan Minneapolis New York Paris Rome Santa Monica Singapore Sydney Tokyo Zurich LIMITATIONS: This document is provided for informational purposes only. The information contained herein is subject to change and does not constitute any form of warranty representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between Interactive Data Pricing and Reference Data LLC and/or its affiliates and their clients relating to any of the products or services described herein. Nothing herein is intended to constitute legal, tax, accounting, investment, or other professional advice. Interactive Data makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, Interactive Data makes no representation or warranty that any data or information (including but not limited to evaluations) supplied to or by it are complete or free from errors, omissions or defects. Pricing, evaluations and reference data are provided in the U.S. through Interactive Data Pricing and Reference Data LLC and internationally through Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd. Interactive Data SM and the Interactive Data logo are registered service marks or service marks of Interactive Data Corporation in the United States or other countries. Vantage SM is a service mark of Interactive Data Pricing and Reference Data LLC. Other products, services or company names mentioned herein are the property of, and may be the service mark or trademark of, their respective owners. Third party licenses may be required for access to certain data, e.g. ratings. Excel is a registered trademark of Microsoft Corporation in the US and other countries EMEA Fitzroy House Epworth Street London EC2A 4DL T: +44 (0) E: eu-info@interactivedata.com ASIA PACIFIC , 20/F The Center 99 Queen s Road Central Central, Hong Kong T: E: asia.enquiry@interactivedata.com Interactive Data Pricing and Reference Data LLC INT101615